<PAGE> 1
MAS
---------
MAS FUNDS
ANNUAL REPORT
1996
FINANCIAL STATEMENTS
<PAGE> 2
We are pleased to present the Annual Report for the Portfolios of MAS Funds
listed below. Please call your Miller Anderson & Sherrerd service contact at
800-354-8185 with any questions regarding these Financial Statements.
TABLE OF CONTENTS
Statement of Net Assets
<TABLE>
<S> <C>
Value Portfolio.......................... 1
Equity Portfolio......................... 4
Small Cap Value Portfolio................ 8
International Equity Portfolio........... 11
Mid Cap Growth Portfolio................. 15
Mid Cap Value Portfolio.................. 17
Emerging Markets Portfolio............... 19
Fixed Income Portfolio................... 22
Domestic Fixed Income Portfolio.......... 28
High Yield Portfolio..................... 32
Cash Reserves Portfolio.................. 36
Fixed Income Portfolio II................ 38
Mortgage-Backed Securities Portfolio..... 43
Limited Duration Portfolio............... 47
Special Purpose Fixed Income Portfolio... 51
Municipal Portfolio...................... 56
PA Municipal Portfolio................... 60
Global Fixed Income Portfolio............ 63
International Fixed Income Portfolio..... 65
Intermediate Duration Portfolio.......... 67
Balanced Portfolio....................... 71
Multi-Asset-Class Portfolio.............. 79
Statement of Operations..................... 89
Statement of Changes in Net Assets.......... 94
Financial Highlights........................ 102
Notes to Financial Statements............... 118
Report of Independent Accountants........... 131
</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.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.1%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
BANKS (8.2%)
Bank of New York Co. 475,200 $ 13,959
Capital One Financial Corp. 464,808 13,944
Chase Manhattan Corp. 247,000 19,791
Citicorp 224,350 20,332
Crestar Financial Corp. 115,777 6,831
First Chicago NBD Corp. 286,594 12,968
First Union Corp. 212,352 14,174
Mellon Bank Corp. 208,400 12,348
Republic New York Corp. 188,800 13,051
Signet Banking Corp. 496,316 13,276
Standard Federal Bancorp. 292,600 13,387
- -----------------------------------------------------
GROUP TOTAL 154,061
- -----------------------------------------------------
BASIC RESOURCES (5.4%)
Bowater, Inc. 303,400 11,529
Cabot Oil & Gas Corp., Class A 247,200 6,891
Cyprus Amax Minerals Co. 393,100 8,452
E.I. DuPont de Nemours & Co. 285,300 25,178
Potash Corp. of Saskatchewan 197,100 14,413
Reynolds Metals Co. 254,100 12,991
Rohm & Haas Co. 333,300 21,830
- -----------------------------------------------------
GROUP TOTAL 101,284
- -----------------------------------------------------
CONSUMER DURABLES (4.9%)
Ford Motor Co. 495,900 15,497
General Motors Corp. 490,312 23,535
Goodyear Tire & Rubber Co. 579,320 26,721
Premark International, Inc. 387,800 7,320
Tupperware Corp. 387,800 19,002
- -----------------------------------------------------
GROUP TOTAL 92,075
- -----------------------------------------------------
CONSUMER SERVICES (0.4%)
Standard Register Co. 263,500 7,279
- -----------------------------------------------------
CREDIT & FINANCIAL/INVESTMENT COMPANIES (4.0%)
Dean Witter Discover & Co. 309,700 17,034
Federal Home Loan Mortgage
Corp. 108,350 10,605
Federal National Mortgage
Association 454,700 15,858
Great Western Financial 751,797 19,922
Salomon, Inc. 240,100 10,954
- -----------------------------------------------------
GROUP TOTAL 74,373
- -----------------------------------------------------
ENERGY (7.3%)
Amoco Corp. 353,700 24,936
Atlantic Richfield Co. 150,500 19,189
British Petroleum plc ADR 187,700 23,463
El Paso Natural Gas Co. 294,600 12,962
MAPCO, Inc. 292,100 17,416
PanEnergy Corp. 308,700 10,689
Ultramar Corp. 483,100 14,614
YPF SA ADR 569,100 13,018
- -----------------------------------------------------
GROUP TOTAL 136,287
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (5.1%)
Archer Daniels Midland Co. 846,074 16,287
IBP, Inc. 704,900 16,389
Philip Morris Co., Inc. 406,950 36,524
RJR Nabisco Holdings Corp. 452,060 11,754
Universal Foods Corp. 458,900 14,914
- -----------------------------------------------------
GROUP TOTAL 95,868
- -----------------------------------------------------
HEALTH CARE (6.8%)
Beckman Instruments, Inc. 555,400 21,591
Bergen Brunswig Corp., Class A 588,400 18,682
Bristol-Myers Squibb Co. 116,220 11,201
* Foundation Health Corp. 664,300 22,503
Mallinckrodt Group, Inc. 492,400 20,496
* Maxicare Health Plans, Inc. 440,200 8,364
Rhone-Poulenc SA ADR 470,165 13,165
* Tenet Healthcare Corp. 524,700 11,674
- -----------------------------------------------------
GROUP TOTAL 127,676
- -----------------------------------------------------
HEAVY INDUSTRY / TRANSPORTATION (19.5%)
* AMR Corp. 272,800 21,722
Burlington Northern Santa Fe,
Inc. 207,246 17,486
Caterpillar, Inc. 151,600 11,427
CSX Corp. 271,230 13,697
Cummins Engine Co., Inc. 556,000 21,893
Deere & Co. 451,200 18,950
Eaton Corp. 320,900 19,374
* FMC Corp. 342,320 23,235
Harnischfeger Industries, Inc. 862,000 32,541
Kennametal, Inc. 561,540 19,303
Parker Hannifin Corp. 457,900 19,232
PHH Corp. 706,800 21,027
Raytheon Corp. 307,400 17,099
Ryder Systems, Inc. 204,900 6,070
Tecumseh Products Co., Class A 410,000 22,243
Textron, Inc. 264,010 22,441
Trinova Corp. 927,400 29,213
TRW, Inc. 196,700 18,293
* UAL Corp. 188,400 8,854
- -----------------------------------------------------
GROUP TOTAL 364,100
- -----------------------------------------------------
INSURANCE (9.0%)
Allstate Corp. 407,917 20,090
American General Corp. 414,500 15,647
American Re Corp. 190,800 12,116
Chubb Corp. 226,600 10,424
Everest Reinsurance Holdings,
Inc. 512,100 12,674
ITT Hartford Group, Inc. 251,500 14,839
Old Republic International
Corp. 665,450 16,470
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
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<TABLE>
<CAPTION>
VALUE
PORTFOLIO
<S> <C> <C>
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
Providian Corp. 529,400 $ 22,764
ReliaStar Financial Corp. 366,700 17,418
St. Paul Cos., Inc. 164,040 9,104
Transatlantic Holdings, Inc. 240,600 16,361
- -----------------------------------------------------
GROUP TOTAL 167,907
- -----------------------------------------------------
RETAIL (3.1%)
Dillard Department Stores,
Inc., Class A 647,500 20,882
Spring Industries, Inc., Class
A 230,600 10,262
Tandy Corp. 227,200 9,173
V.F. Corp. 276,940 16,651
- -----------------------------------------------------
GROUP TOTAL 56,968
- -----------------------------------------------------
TECHNOLOGY (9.2%)
* Compaq Computer Corp. 537,150 34,445
International Business
Machines Corp. 318,600 39,666
* Lam Research Corp. 639,200 17,019
* Seagate Technology 740,800 41,392
* Stratus Computer, Inc. 933,100 18,429
Tektronix, Inc. 492,000 20,110
- -----------------------------------------------------
GROUP TOTAL 171,061
- -----------------------------------------------------
UTILITIES (6.2%)
Central Maine Power Co. 569,700 6,979
CINergy Corp. 265,100 8,185
DTE Energy Co. 407,600 11,413
Entergy Corp. 481,666 13,005
GPU, Inc. 442,560 13,609
MCI Communications Corp. 750,700 19,237
PECO Energy Co. 544,400 12,929
Sprint Corp. 492,600 19,149
Unicom Corp. 476,800 11,979
- -----------------------------------------------------
GROUP TOTAL 116,485
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,365,620) 1,665,424
- -----------------------------------------------------
CASH EQUIVALENTS (17.7%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
Short-term Investments
Held as Collateral for
Loaned Securities (3.6%) $ 67,468 67,468
- -----------------------------------------------------
COMMERCIAL PAPER (7.7%)
Dun & Bradstreet
5.30%, 10/8/96 25,000 24,974
Ford Motor Credit Corp.
5.28%, 10/21/96 30,000 29,912
Metlife
5.26%, 10/9/96 30,000 29,965
Motorola
5.28%, 10/24/96 30,000 29,899
PHH Corp.
5.27%, 10/10/96 28,585 28,547
- -----------------------------------------------------
GROUP TOTAL 143,297
- -----------------------------------------------------
REPURCHASE AGREEMENT (6.4%)
Chase Securities, Inc.,
5.60%, dated 9/30/96, due
10/1/96, to be repurchased
at $120,320, collateralized
by various U.S. Government
obligations, due 10/3/96-
7/17/98, valued at $121,505 120,301 120,301
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $331,066) 331,066
- -----------------------------------------------------
TOTAL INVESTMENTS (106.8%) (Cost $1,696,686)1,996,490
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.8%)
Dividends Receivable 2,611
Interest Receivable 19
Receivable for Investments
Sold 9
Receivable for Fund Shares
Sold 4,416
Other Assets 18
Payable for Investments
Purchased (57,058)
Payable for Fund Shares
Redeemed (829)
Payable for Investment Advisory Fees (2,122)
Payable for Administrative
Fees (118)
Payable for Shareholder
Servicing Fee-Investment
Class (1)
Payable for Distribution
Fee-Adviser Class (1)
Payable for Trustees' Deferred
Compensation Plan-Note F (12)
Payable to Custodian (6,316)
Collateral on Securities
Loaned, at Value (67,468)
Other Liabilities (161)
--------
(127,013)
- -----------------------------------------------------
NET ASSETS (100%) $1,869,477
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 118,198,199 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,844,740
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.61
- -----------------------------------------------------
</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>
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 592,548 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 9,244
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.60
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 992,729 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 15,493
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.61
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $1,434,927
Undistributed Net Investment Income
(Loss) 9,064
Undistributed Realized Net Gain (Loss) 125,682
Unrealized Appreciation (Depreciation)
on Investment Securities 299,804
- -----------------------------------------------------
NET ASSETS $1,869,477
- -----------------------------------------------------
(+) 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.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (94.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- ------------------------------------------------------
<S> <C> <C>
BANKS (4.3%)
Chase Manhattan Corp. 198,100 $ 15,873
Citicorp 89,800 8,138
First Chicago NBD Corp. 257,923 11,671
First Union Corp. 227,103 15,159
NationsBank Corp. 135,353 11,759
- ------------------------------------------------------
GROUP TOTAL 62,600
- ------------------------------------------------------
BASIC RESOURCES (3.0%)
Bowater, Inc. 158,300 6,016
Champion International Corp. 164,300 7,537
E.I. DuPont de Nemours & Co. 337,500 29,784
- ------------------------------------------------------
GROUP TOTAL 43,337
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.8%)
Avon Products, Inc. 249,900 12,401
Kimberly-Clark Corp. 178,154 15,700
PepsiCo, Inc. 529,600 14,961
Procter & Gamble Co. 121,500 11,846
- ------------------------------------------------------
GROUP TOTAL 54,908
- ------------------------------------------------------
CONSUMER DURABLES (3.1%)
Chrysler Corp. 545,900 15,626
Eastman Kodak Co. 75,844 5,954
General Motors Corp. 264,751 12,708
Goodyear Tire & Rubber Co. 215,600 9,944
- ------------------------------------------------------
GROUP TOTAL 44,232
- ------------------------------------------------------
CONSUMER SERVICES (2.9%)
Carnival Corp., Class A 305,200 9,461
Gannett Co. 91,400 6,432
Harcourt General, Inc. 140,300 7,752
* ITT Corp. 87,750 3,828
* Tele-Communications Liberty
Media Group, Class A 235,595 6,744
Service Corp. International 250,200 7,568
- ------------------------------------------------------
GROUP TOTAL 41,785
- ------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (0.4%)
Transamerica Corp. 92,334 6,452
- ------------------------------------------------------
ENERGY (9.5%)
Atlantic Richfield Co. 80,000 10,200
British Petroleum plc ADR 227,217 28,402
Chevron Corp. 183,700 11,504
Coastal Corp. 266,400 10,989
Columbia Gas System, Inc. 132,200 7,403
Mobil Corp. 191,075 22,117
Phillips Petroleum Company 382,100 16,335
Royal Dutch Petroleum Co. ADR 142,390 22,231
Texaco, Inc. 94,100 8,657
- ------------------------------------------------------
GROUP TOTAL 137,838
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (5.9%)
ConAgra, Inc. 238,600 11,751
Philip Morris Cos., Inc. 482,290 43,285
RJR Nabisco Holdings Corp. 391,880 10,189
Unilever N.V. ADR 57,300 9,032
UST, Inc. 362,838 10,749
- ------------------------------------------------------
GROUP TOTAL 85,006
- ------------------------------------------------------
HEALTH CARE (11.5%)
Abbott Laboratories 334,000 16,449
Aetna, Inc. 223,700 15,743
Allergan, Inc. 269,100 10,259
American Home Products Corp. 215,600 13,745
Baxter International, Inc. 199,600 9,331
Becton, Dickinson & Co. 307,800 13,620
Bristol-Myers Squibb Co. 243,586 23,476
Columbia/HCA Healthcare Corp. 191,470 10,890
Johnson & Johnson 195,700 10,030
Mallinckrodt Group, Inc. 188,700 7,855
Merck & Co., Inc. 224,600 15,806
Schering-Plough Corp. 221,300 13,610
Warner Lambert Co. 74,380 4,909
- ------------------------------------------------------
GROUP TOTAL 165,723
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.4%)
Allied Signal, Inc. 75,800 4,993
* AMR Corp. 214,500 17,080
Burlington Northern Santa Fe,
Inc. 112,689 9,508
CASE Corp. 91,300 4,451
Cummins Engine Co., Inc. 222,600 8,765
Eaton Corp. 127,600 7,704
* FMC Corp. 136,800 9,285
General Electric Co. 231,705 21,085
McDonnell Douglas Corp. 113,900 5,980
@* MEDA, Inc. 125 --
Tenneco, Inc. 121,800 6,105
Textron, Inc. 83,500 7,098
Trinova Corp. 232,100 7,311
Union Pacific Corp. 260,050 19,049
United Technologies Corp. 59,600 7,159
- ------------------------------------------------------
GROUP TOTAL 135,573
- ------------------------------------------------------
INSURANCE (5.5%)
Ace, Ltd. 225,900 11,945
Allstate Corp. 295,600 14,558
CIGNA Corp. 151,700 18,185
Exel Ltd. 285,800 9,932
ITT Hartford Group, Inc. 414,650 24,464
- ------------------------------------------------------
GROUP TOTAL 79,084
- ------------------------------------------------------
</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>
MID CAP GROWTH (4.2%)
* AccuStaff, Inc. 26,900 $ 696
* Airgas, Inc. 39,400 1,000
* Ascend Communications, Inc. 12,200 807
* Ascent Entertainment Group,
Inc. 27,900 663
* Borders Group, Inc. 25,300 942
* Boston Chicken, Inc. 26,100 920
Cardinal Health, Inc. 23,100 1,909
* Celeritek, Inc. 11,900 146
* Ceridian Corp. 14,800 740
Cintas Corp. 19,100 1,069
Comcast Corp., Class A Special 70,300 1,081
Danaher Corp. 38,800 1,605
* DSP Communications, Inc. 29,900 1,671
* EchoStar Communications Corp.,
Class A 25,500 695
Estee Lauder Cos., Class A 33,800 1,517
* Fiserv, Inc. 20,150 771
Frontier Corp. 39,100 1,041
* Fuisz Technologies Ltd. 18,000 234
* Gartner Group, Inc., Class A 15,800 537
* Globalstar Telecommunications
Ltd. 42,300 2,178
Gucci Group N.V. (New York
Shares) 23,100 1,675
Guidant Corp. 18,600 1,028
HBO & Co. 3,800 254
* Health Management Associates,
Class A 107,095 2,664
* Healthcare COMPARE Corp. 14,100 668
* Ibis Technology Corp. 40,800 352
* Infinity Broadcasting Co.,
Class A 24,300 765
* International Cabletel, Inc. 26,300 674
International Game Technology 33,400 685
* Lin Television Corp. 12,900 529
* Lincare Holdings, Inc. 16,500 660
Loral Space & Communications 35,600 561
* McAfee Associates, Inc. 25,750 1,777
* MFS Communications Co., Inc. 56,300 2,456
* Millicom International
Cellular SA 25,800 1,042
Money Store (The), Inc. 40,700 1,078
* Octel Communications Corp. 26,600 771
* Orthodontic Centers of
America, Inc. 36,200 737
* Paging Network, Inc. 52,900 1,058
* Palmer Wireless, Inc. 26,400 467
* PanAmSat Corp. 34,800 968
Paychex, Inc. 19,375 1,124
* Pediatrix Medical Group, Inc. 10,000 501
Post Properties, Inc. 14,300 524
* Robert Mondavi Corp., Class A 30,400 996
Security Capital Industrial
Trust 26,108 476
Security Capital Pacific Trust 24,900 526
* Sinclair Broadcast Group, Inc. 24,200 965
Sirrom Capital Corp. 37,600 1,137
* Spacehab, Inc. 48,200 410
* Tele-Communications, Inc.,
Class A 68,100 1,017
* Tele-Communications
International, Inc., Class A 48,200 729
* Tele-Communications Liberty
Media Group, Class A 54,473 1,559
* Tellabs, Inc. 15,400 $ 1,088
* Tommy Hilfiger Corp. 16,800 995
* Total Renal Care Holdings,
Inc. 28,800 1,145
* Transaction Systems Architect,
Inc., Class A 29,900 1,263
* United Video Satellite Group 46,000 931
U.S. Robotics Corp. 14,400 931
* USA Detergents, Inc. 25,300 1,006
* USA Waste Services, Inc. 31,000 976
* Viking Office Products, Inc. 32,700 981
- ------------------------------------------------------
GROUP TOTAL 60,371
- ------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.1%)
Colonial Properties Trust 34,700 911
- ------------------------------------------------------
RETAIL (4.4%)
American Stores Co. 216,300 8,652
* Federated Department Stores,
Inc. 402,400 13,480
Home Depot, Inc. 262,759 14,945
Pep Boys-Manny, Moe & Jack 244,300 8,703
Sears, Roebuck & Co. 404,600 18,106
- ------------------------------------------------------
GROUP TOTAL 63,886
- ------------------------------------------------------
TECHNOLOGY (5.5%)
* Cisco Systems, Inc. 274,900 17,061
Hewlett Packard Co. 300 15
Intel Corp. 202,750 19,350
Lucent Technologies, Inc. 1,000 46
* Microsoft Corp., Inc. 169,100 22,300
* Nexus Telecommunication
Systems Ltd. 52,500 236
* Oracle System Corp. 205,605 8,751
U.S. Robotics Corp. 180,000 11,632
- ------------------------------------------------------
GROUP TOTAL 79,391
- ------------------------------------------------------
UTILITIES (11.3%)
AT&T 536,200 28,017
Central & South West Corp. 129,200 3,359
CINergy Corp. 238,800 7,373
DQE, Inc. 275,300 7,674
DTE Energy Co. 292,100 8,179
Entergy Corp. 322,600 8,710
Frontier Corp. 190,800 5,080
GPU, Inc. 223,500 6,873
GTE Corp. 301,300 11,600
* MFS Communications Co., Inc. 239,066 10,429
NYNEX Corp. 281,500 12,245
Ohio Edison Co. 73,300 1,420
PECO Energy Co. 347,700 8,258
SBC Communications, Inc. 283,100 13,624
Sprint Corp. 564,300 21,937
Unicom Corp. 318,900 8,013
- ------------------------------------------------------
GROUP TOTAL 162,791
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- ---------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- ------------------------------------------------------
<S> <C> <C>
VALUE (9.7%)
Allstate Corp. 25,581 $ 1,260
American General Corp. 31,600 1,193
American Re Corp. 15,700 997
Amoco Corp. 17,300 1,220
* AMR Corp. 14,100 1,123
Archer Daniels Midland Co. 85,962 1,655
Atlantic Richfield Co. 11,100 1,415
Bank of New York Co. 40,900 1,201
Beckman Instruments, Inc. 44,600 1,734
Bergen Brunswig Corp., Class A 60,900 1,934
Bowater, Inc. 22,900 870
Bristol-Myers Squibb Co. 10,000 964
British Petroleum plc ADR 23,583 2,948
Burlington Northern Santa Fe,
Inc. 22,500 1,898
Cabot Corp., Class A 28,900 806
Capital One Financial Corp. 57,353 1,721
Caterpillar, Inc. 16,400 1,236
Central Maine Power Co. 55,200 676
Chase Manhattan Corp. 26,300 2,107
Chubb Corp. 22,400 1,030
Citicorp 21,600 1,957
* Compaq Computer Corp. 47,000 3,014
Crestar Financial Corp. 41,613 2,455
CSX Corp. 36,100 1,823
Cummins Engine Co., Inc. 38,300 1,508
Cyprus Amax Minerals Co. 57,300 1,232
Dean Witter Discover & Co. 24,500 1,347
Deere & Co. 30,600 1,285
Dillard Department Stores, Inc.,
Class A 32,600 1,051
Eaton Corp. 32,500 1,962
E.I. DuPont de Nemours & Co. 27,800 2,453
Entergy Corp. 46,467 1,255
Federal Home Loan Mortgage Corp. 12,400 1,214
Federal National Mortgage
Association 51,400 1,793
First Chicago NBD Corp. 26,700 1,208
First Union Corp. 10,500 701
* FMC Corp. 25,200 1,710
Ford Motor Co. 21,300 666
* Foundation Health Corp. 51,400 1,741
General Motors Corp. 49,998 2,400
Goodyear Tire & Rubber Co. 44,900 2,071
GPU, Inc. 50,900 1,565
Great Western Financial Corp. 44,971 1,192
Harnischfeger Industries, Inc. 51,700 1,952
IBP, Inc. 61,300 1,425
International Business Machines
Corp. 25,000 3,112
* ITT Hartford Group, Inc. 20,500 1,210
* Lam Research Corp. 59,200 1,576
Mallinckrodt Group, Inc. 42,400 1,765
MAPCO, Inc. 26,300 1,568
* Maxicare Health Plans, Inc. 51,500 979
MCI Communications Corp. 57,600 1,476
Mellon Bank Corp. 17,600 1,043
Old Republic International Corp. 43,800 1,084
PanEnergy Corp. 24,600 852
Parker Hannifin Corp. 29,900 1,256
PECO Energy Co. 62,500 1,484
PHH Corp. 60,300 1,794
Philip Morris Cos., Inc. 26,300 2,360
Potash Corp. of Saskatchewan 11,000 804
Premark International, Inc. 41,100 776
Providian Corp. 55,200 2,374
Raytheon Corp. 31,200 1,736
ReliaStar Financial Corp. 19,000 902
Republic New York Corp. 16,500 1,141
Reynolds Metals Co. 26,100 1,334
Rhone-Poulenc SA ADR 44,915 1,258
RJR Nabisco Holdings Corp. 44,400 1,154
Rohm & Haas Co. 29,900 1,958
Ryder Systems, Inc. 44,800 1,327
Salomon, Inc. 15,500 707
* Seagate Technology, Inc. 62,600 3,498
Signet Banking Corp. 62,227 1,665
Spring Industries, Inc., Class A 38,600 1,718
Sprint Corp. 50,500 1,963
St. Paul Cos., Inc. 28,700 1,593
Standard Register Co. 28,300 782
* Stratus Computer, Inc. 52,000 1,027
Tandy Corp. 25,300 1,021
Tecumseh Products Co., Class A 64,200 3,483
Tektronix, Inc. 39,600 1,619
* Tenet Healthcare Corp. 67,500 1,502
Textron, Inc. 18,400 1,564
@ 360 Communications Co. 1 --
Transatlantic Holdings, Inc. 14,200 966
Trinova Corp. 80,300 2,529
TRW, Inc. 14,000 1,302
Tupperware Corp. 41,100 2,014
Ultramar Corp. 44,800 1,355
Unicom Corp. 26,800 673
V.F. Corp. 33,700 2,026
YPF SA ADR 39,200 897
- ------------------------------------------------------
GROUP TOTAL 139,195
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,119,219) 1,363,083
- ------------------------------------------------------
CASH EQUIVALENTS (8.2%)
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (1.6%) $22,751 22,751
- ------------------------------------------------------
REPURCHASE AGREEMENT (6.6%)
Chase Securities, Inc., 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $96,208,
collateralized by various U.S.
Government Obligations, due
10/3/96-7/17/98 valued at
$97,155 96,193 96,193
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $118,944) 118,944
- ------------------------------------------------------
TOTAL INVESTMENTS (102.7%) (Cost $1,238,163) 1,482,027
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- ------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)(+)
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-2.7%)
Dividends Receivable $ 3,549
Interest Receivable 15
Receivable for Investments Sold 15,912
Receivable for Fund Shares Sold 1,100
Other Assets 26
Payable for Investments Purchased (30,413)
Payable for Fund Shares Redeemed (5,022)
Payable for Investment Advisory Fees (1,779)
Payable for Administrative Fees (94)
Payable for Trustees' Deferred
Compensation Plan-Note F (14)
Collateral on Securities Loaned, at Value (22,751)
Other Liabilities (182)
----------
(39,653)
- ------------------------------------------------------
NET ASSETS (100%) $1,442,374
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 56,178,696 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,442,261
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 25.67
- ------------------------------------------------------
VALUE
(000)(+)
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 4,399 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 113
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 25.66
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 990,017
Undistributed Net Investment Income (Loss) 7,536
Undistributed Realized Net Gain (Loss) 200,957
Unrealized Appreciation (Depreciation) on
Investment Securities 243,864
- ------------------------------------------------------
NET ASSETS $1,442,374
- ------------------------------------------------------
(+) See Note A1 to Financial Statements.
* Non-income producing security.
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
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 (99.8%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
BANKS (8.6%)
* Andover Bancorp, Inc. 17,000 $ 431
Banco Latinoamericano de
Exportaciones SA ADR 146,700 8,234
Bancorp Hawaii, Inc. 295,500 11,525
Banknorth Group, Inc. 20,400 762
Community Savings FA 13,000 218
Deposit Guaranty Corp. 40,100 1,935
Eagle Financial Corp. 115,100 3,136
First Essex Bancorp, Inc. 87,400 1,049
Leader Financial Corp. 67,500 3,645
ML Bancorp, Inc. 101,400 1,426
Norwalk Savings Society 72,000 1,629
* Redfed Bancorp, Inc. 110,000 1,334
Reliance Bancorp, Inc. 231,100 4,333
St. Paul Bancorp, Inc. 160,300 4,208
Trustco Bank Corp. 37,300 886
Union Planters Corp. 90,000 3,195
Vermont Financial Services Corp. 19,500 668
Wilmington Trust Corp. 50,000 1,787
- -----------------------------------------------------
GROUP TOTAL 50,401
- -----------------------------------------------------
BASIC RESOURCES (4.3%)
* ACX Technologies, Inc. 154,300 2,681
Caraustar Industries, Inc. 24,300 721
* Ceradyne, Inc. 51,400 514
Chesapeake Corp. 62,100 1,708
* Gibraltar Steel Corp. 126,100 2,837
Longview Fibre Co. 134,500 2,118
Quanex Corp. 144,100 3,873
Rouge Steel Co. 83,200 1,810
Ryerson Tull, Inc., Class A 73,200 1,016
Schnitzer Steel Industries, Inc.,
Class A 63,500 1,842
Schulman, Inc., Class A 63,100 1,467
* Tetra Technologies, Inc. 204,900 3,765
Tri Polyta Indonesia ADR 106,000 769
- -----------------------------------------------------
GROUP TOTAL 25,121
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.8%)
Coors (Adolph) Co., Class B 205,800 4,515
- -----------------------------------------------------
CONSUMER DURABLES (8.0%)
* Ameriwood Industries
International Corp. 46,900 410
Arvin Industries, Inc. 225,300 5,548
Borg-Warner Automotive, Inc. 26,900 955
* Brewer (C) Homes, Inc., Class A 121,300 364
Cavalier Homes, Inc. 63,800 1,180
Centex Corp. 64,600 2,108
* Cross-Continent Auto Retailers 21,000 483
Excel Industries, Inc. 237,800 4,043
* Falcon Building Products, Inc.,
Class A 130,800 1,700
Kaydon Corp. 87,000 3,741
Lone Star Industries 10,300 331
Maytag Corp. 34,500 673
O'Sullivan Industries Holdings 142,500 1,265
Pulte Corp. 78,800 2,019
* Quaker Fabric Corp. 74,000 740
* R & B, Inc. 55,000 426
Schult Homes Corp. 89,800 1,818
Simpson Industries, Inc. 206,100 2,087
Smith (A.O.) Corp., Class B 211,600 5,264
SPX Corp. 60,000 1,792
Stanley Works 269,000 7,566
Stant Corp. 209,900 2,256
- -----------------------------------------------------
GROUP TOTAL 46,769
- -----------------------------------------------------
CONSUMER SERVICES (1.0%)
* American Telecasting, Inc. 190,000 2,090
* HMG Worldwide Corp. 180,000 225
* John Q. Hammons Hotels, Inc. 129,600 1,280
* MGM Grand, Inc. 23,400 989
* People's Choice TV Corp. 29,500 420
TCA Cable TV, Inc. 32,300 832
- -----------------------------------------------------
GROUP TOTAL 5,836
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT
COMPANIES (6.6%)
Alex Brown, Inc. 145,000 8,392
Edwards (A.G.), Inc. 62,800 1,829
* First Merchants Acceptance
Corp. 109,500 2,190
Hambrecht & Quist Group 86,700 1,680
Inter-Regional Financial Group,
Inc. 28,000 906
Legg Mason, Inc. 91,800 2,938
North American Mortgage Co. 171,300 3,255
Raymond James Financial, Inc. 71,500 1,734
United Asset Management Corp. 658,900 15,566
- -----------------------------------------------------
GROUP TOTAL 38,490
- -----------------------------------------------------
ENERGY (15.2%)
Aquila Gas Pipeline Corp. 111,000 1,499
* Belden & Blake Corp. 40,000 930
* BJ Services Co. 50,700 1,838
Cabot Oil & Gas Corp., Class A 21,800 322
Camco International, Inc. 128,600 4,806
* Dailey Petroleum Services 200,000 1,750
* Dawson Production Services,
Inc. 227,600 2,902
* Diamond Offshore Drilling, Inc. 3,600 198
Eastern Enterprises 93,400 3,526
Energen Corp. 129,100 3,098
* Global Industries Ltd. 200,500 3,183
* HS Resources, Inc. 302,301 4,005
KN Energy, Inc. 140,000 4,935
* Marine Drilling Co., Inc. 940,400 9,051
* Maverick Tube Corp. 114,000 1,596
* Morgan Hydrocarbons, Inc. 620,545 2,172
* Noble Drilling Corp. 915,200 13,842
* Offshore Logistics, Inc. 290,500 4,176
* Petroleum Geo-Services ADR 205,000 5,586
* Pride Petroleum Services, Inc. 236,200 3,336
* Reading & Bates Corp. 44,300 1,202
* Seacor Holdings, Inc. 185,400 9,409
</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>
Southwestern Energy Co. 83,500 $ 1,242
* Tejas Gas Corp. 45,000 1,637
Transocean Offshore, Inc. 42,400 2,597
Wicor, Inc. 7,100 257
- -----------------------------------------------------
GROUP TOTAL 89,095
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.1%)
Dean Foods Co. 75,000 2,119
Dimon, Inc. 394,700 7,549
* SEDA Specialty Packaging Corp. 45,200 870
* Stokely USA, Inc. 561,300 1,544
Universal Foods Corp. 17,900 456
- -----------------------------------------------------
GROUP TOTAL 12,538
- -----------------------------------------------------
HEALTH CARE (8.8%)
Alpharma, Inc. 87,600 1,369
Angelica Corp. 380,100 8,220
Bergen Brunswig Corp., Class A 77,600 2,464
Bindley Western Industries, Inc. 63,300 1,108
* Coherent, Inc. 333,800 11,766
* Datascope Corp. 210,700 3,635
* HealthCare Compare Corp. 55,000 2,606
* Inphynet Medical Management,
Inc. 30,000 547
* Maxicare Health Plans, Inc. 165,000 3,135
* MIM Corp. 60,000 870
Minntech Corp. 57,800 751
* Multicare Cos., Inc. 185,450 4,034
* OrNda Healthcorp 143,943 3,940
* Patterson Dental Co. 91,400 2,445
* Personnel Group of America,
Inc. 99,900 2,597
Sterile Recoveries, Inc. 67,000 971
* Theratx, Inc. 52,400 622
* Universal Health Services,
Inc., Class B 24,500 668
- -----------------------------------------------------
GROUP TOTAL 51,748
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.2%)
* AccuStaff, Inc. 238,100 6,161
Airborne Freight Corp. 354,100 7,569
* Allied Holdings, Inc. 146,800 1,505
* American Buildings Co. 43,500 1,153
Arnold Industries, Inc. 110,000 1,733
Belden, Inc. 173,200 5,023
* CDI Corp. 297,700 7,517
Columbus McKinnon Corp. 61,200 910
Consolidated Freightways, Inc. 40,000 980
Duriron Co., Inc. 113,900 3,018
Expeditors International of
Washington, Inc. 20,700 730
* Giant Cement Holdings, Inc. 609,300 9,063
Gleason Corp. 9,900 386
Greenbrier Companies, Inc. 140,800 1,619
* Halter Marine Group, Inc. 50,000 588
* Insurance Auto Auctions, Inc. 152,100 1,331
* Interim Services, Inc. 7,700 329
JLG Industries, Inc. 37,300 699
* Johnstown America Industries,
Inc. 112,500 352
Keystone International, Inc. 14,700 288
* Kirby Corp. 37,600 663
* Midwest Express Holdings 30,000 896
* NCI Building Systems, Inc. 56,800 1,846
* Old Dominion Freight Lines,
Inc. 124,700 1,153
Olsten Corp. 77,100 1,918
Penn Engineering &
Manufacturing Corp. 265,000 4,638
* PST Vans, Inc. 110,000 371
Regal Beloit Corp. 82,000 1,363
Teekay Shipping Corp. 71,000 2,050
Texas Industries, Inc. 19,900 1,192
* The Cronos Group 43,000 392
* Tranz Rail Holdings Ltd. ADR 260,000 3,770
* World Color Press, Inc. 19,000 422
- -----------------------------------------------------
GROUP TOTAL 71,628
- -----------------------------------------------------
INSURANCE (3.2%)
Allied Life Financial Corp. 67,000 1,055
American Bankers Insurance
Group, Inc. 21,800 1,090
* FBL Financial Group, Inc.,
Class A 75,000 1,594
Financial Security Assurance
Holdings Ltd. 68,300 2,015
Fremont General Corp. 295,500 8,718
Presidential Life Corp. 195,700 2,153
Transnational Re Corp., Class A 87,300 2,105
- -----------------------------------------------------
GROUP TOTAL 18,730
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (3.7%)
Associated Estates Realty Corp. 94,300 1,933
Healthcare Realty Trust, Inc. 88,200 2,084
Home Properties of N.Y., Inc. 378,800 7,718
Oasis Residential, Inc. 33,200 726
ROC Communities, Inc. 150,200 3,661
Smith (Charles E.) Residential
Realty, Inc. 160,000 3,860
South West Property Trust 43,900 609
Walden Residential Properties,
Inc. 55,900 1,181
- -----------------------------------------------------
GROUP TOTAL 21,772
- -----------------------------------------------------
RETAIL (8.8%)
* Burlington Industries, Inc. 128,200 1,266
Cato Corp., Class A 250,800 1,379
* Cone Mills Corp. 30,000 236
Culp, Inc. 115,500 1,617
* Donnkenny, Inc. 430,400 7,371
Farah, Inc. 43,200 319
* Fred Meyer, Inc. 152,000 5,035
* Galey & Lord, Inc. 84,100 1,083
Haverty Furniture Co. 98,050 1,054
* Jos. A. Bank Clothiers, Inc. 222,000 777
* Lechters, Inc. 40,000 220
* Mac Frugals Bargains
Close-outs, Inc. 78,500 1,855
* Max & Erma's Restaurants, Inc. 64,020 440
* Paul Harris Stores, Inc. 139,800 1,398
Pier 1 Imports, Inc. 314,800 5,076
Russ Berrie & Co., Inc. 16,500 266
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
Spring Industries, Inc., Class A 10,900 $ 485
* Thrifty Payless Holdings, Class
B 663,700 12,361
* Welcome Home, Inc. 95,200 166
* Wickes Lumber Co. 244,600 1,101
* Zale Corp. 355,200 7,770
- -----------------------------------------------------
GROUP TOTAL 51,275
- -----------------------------------------------------
TECHNOLOGY (15.2%)
* Ade Corp. 100,000 925
* Align-Rite International, Inc. 217,400 2,391
* Atmel Corp. 77,500 2,393
* Black Box Corp. 26,000 858
* CFM Technologies, Inc. 100,000 1,162
* Ciprico, Inc. 64,000 1,280
* Computer Products, Inc. 1,600 35
* Compuware Corp. 70,000 3,203
* Credence Systems Corp. 138,000 2,174
* Cymer, Inc. 40,500 719
* Dionex Corp. 139,600 5,305
* ETEC Systems, Inc. 501,000 17,034
FactSet Research Systems, Inc. 25,300 484
HMT Technology Corp. 464,200 10,096
* Intevac, Inc. 317,000 5,389
Investors Financial Services
Corp. 15,000 386
* IPC Information Systems, Inc. 93,300 1,936
* LTX Corp. 142,000 719
MacNeal-Schwendler Corp. 30,000 244
* Micro Linear Corp. 150,900 1,188
* Norstan, Inc. 28,800 497
* Nu Horizons Electronics Corp. 29,800 294
* Oak Industries, Inc. 127,200 4,229
Precision Response Corp. 120,000 4,620
* Quantum Corp. 120,900 2,123
* Read-Rite Corp. 70,000 1,103
* Spectran Corp. 109,000 1,730
* SPS Transaction Services 50,000 794
@* Sterling Software, Inc.
(Escrow) 6,951 --
* Technical Data Corp. 91,600 2,553
Technology Modeling Association,
Inc. 227,500 2,958
* Unit Instruments, Inc. 166,500 1,499
Vanstar Corp. 89,800 2,178
Wallace Computer Services, Inc. 167,500 4,732
Wyle Electronics 5,000 161
* Xircom, Inc. 95,000 1,543
- -----------------------------------------------------
GROUP TOTAL 88,935
- -----------------------------------------------------
UTILITIES (1.3%)
Commonwealth Energy Systems 246,000 5,720
Rochester Gas & Electric Corp. 92,700 1,691
- -----------------------------------------------------
GROUP TOTAL 7,411
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $542,351) 584,264
- -----------------------------------------------------
TOTAL INVESTMENTS (99.8%) (Cost $542,351) 584,264
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.2%)
Dividends Receivable 600
Receivable for Investments Sold 18,390
Receivable for Fund Shares Sold 516
Other Assets 6
Payable for Investments Purchased (7,636)
Payable for Fund Shares Redeemed (92)
Payable for Investment Advisory Fees (957)
Payable for Administrative Fees (36)
Payable to Custodian (9,505)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Other Liabilities (89)
--------
1,193
- -----------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------
Applicable to 29,815,114 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $585,457
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.64
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $467,381
Undistributed Net Investment Income (Loss) 1,636
Undistributed Realized Net Gain (Loss) 74,527
Unrealized Appreciation (Depreciation) on
Investment Securities 41,913
- -----------------------------------------------------
NET ASSETS $585,457
- -----------------------------------------------------
(+) See Note A1 to Financial Statements.
* Non-income producing security.
@ Security carried at fair value of zero.
ADR American Depositary Receipt.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (85.1%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- ------------------------------------------------------
<S> <C> <C>
ARGENTINA (1.6%)
Banco Frances del Rio de la
Plata SA ADR 70,220 $ 1,834
* CIADEA SA 351,882 1,672
* Comercial del Plata SA 488,420 1,182
YPF SA ADR 235,400 5,385
- ------------------------------------------------------
GROUP TOTAL 10,073
- ------------------------------------------------------
AUSTRALIA (0.6%)
Broken Hill Proprietary
Co., Ltd. 104,580 1,341
Reinsurance Australia
Corp., Ltd. 380,200 1,089
WMC, Ltd. 225,000 1,447
- ------------------------------------------------------
GROUP TOTAL 3,877
- ------------------------------------------------------
AUSTRIA (2.2%)
Boehler-Uddeholm AG 108,100 8,636
OMV AG 53,400 5,370
- ------------------------------------------------------
GROUP TOTAL 14,006
- ------------------------------------------------------
BRAZIL (1.1%)
Telebras SA 105,220,000 6,844
- ------------------------------------------------------
CANADA (2.9%)
Abitibi-Price, Inc. 228,500 2,937
(+++)Finning Ltd. 149,200 2,740
Quebecor, Inc., Class B 202,700 3,037
Royal Bank of Canada 223,500 6,369
TransCanada Pipelines Ltd. 203,900 3,272
- ------------------------------------------------------
GROUP TOTAL 18,355
- ------------------------------------------------------
CHINA (0.3%)
New World Development
Co., Ltd. 324,000 1,701
- ------------------------------------------------------
COLOMBIA (0.1%)
Banco Ganadero SA ADR 32,200 652
- ------------------------------------------------------
FRANCE (4.2%)
Accor SA 26,488 3,273
Credit Local de France 85,619 7,297
Elf Acquitaine 106,740 8,351
Usinor Sacilor 491,800 7,593
- ------------------------------------------------------
GROUP TOTAL 26,514
- ------------------------------------------------------
GERMANY (4.9%)
Deutsche Bank AG 120,170 5,649
(+++)Hoechst AG 201,800 7,354
Siemens AG 128,800 6,774
Springer (Axel) Verlag AG 6,212 3,663
Volkswagen AG 21,600 8,040
- ------------------------------------------------------
GROUP TOTAL 31,480
- ------------------------------------------------------
GREECE (0.3%)
Nikas SA 178,550 2,107
- ------------------------------------------------------
HONG KONG (3.2%)
Asia Satellite
Telecommunications
Holdings, Ltd. ADR 129,900 3,491
HSBC Holdings plc 322,400 5,983
Johnson Electric Holdings
Ltd. 938,000 2,147
Varitronix International
Ltd. 949,400 1,743
Wharf (Holdings) Ltd. 1,633,000 6,758
- ------------------------------------------------------
GROUP TOTAL 20,122
- ------------------------------------------------------
INDIA (0.7%)
Hindustan Lever Ltd. 50,100 1,157
Housing Development Finance
Corp., Ltd. 284 18
ITC Ltd. 79,600 674
Mahanagar Telephone
Nigam Ltd. 250,000 1,451
Tata Power Supply Co., Ltd. 12,020 42
Videsh Sanchar Nigam Ltd. 45,000 1,295
- ------------------------------------------------------
GROUP TOTAL 4,637
- ------------------------------------------------------
INDONESIA (0.4%)
Lippo Life Insurance
(Foreign) 3,208,000 2,832
- ------------------------------------------------------
IRELAND (1.0%)
Irish Life plc 1,592,000 6,402
- ------------------------------------------------------
ITALY (3.8%)
ENI S.p.A. 1,825,000 9,335
* Olivetti Group 14,565,000 5,340
Telecom Italia S.p.A. 5,184,000 9,554
- ------------------------------------------------------
GROUP TOTAL 24,229
- ------------------------------------------------------
JAPAN (28.4%)
Bridgestone Corp. 573,000 10,322
Canon, Inc. 590,000 11,580
Canon Sales Co., Inc. 336,000 9,124
Chiyoda Fire & Marine
Insurance Co., Ltd. 963,000 5,679
Daiwa House Industry 172,000 2,466
Fuji Photo Film Ltd. 194,000 5,894
Hitachi Ltd. 799,000 7,734
Honda Motor Co., Ltd. 132,000 3,312
Ito-Yokado Co., Ltd. 109,000 6,184
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- ------------------------------------------------------
<S> <C> <C>
Kao Corp. 762,000 $ 9,493
Kirin Brewery Co., Ltd. 553,000 6,146
Mitsubishi Corp. 602,000 7,661
Mitsubishi Heavy
Industries Ltd. 805,000 6,544
Mitsui & Co. 843,000 7,321
NEC Corp. 945,000 11,095
Nichido Fire & Marine
Insurance Co. 794,000 5,565
Nippon Fire & Marine
Insurance Co. 82,000 481
Nippon Oil Co., Ltd. 892,000 5,444
* NKK Corp. 1,193,000 3,058
Shiseido Co., Ltd. 600,000 7,206
Sony Corp. 80,000 5,040
Sumitomo Electric
Industries 402,000 5,512
Sumitomo Marine & Fire
Insurance Co. 891,000 7,011
Sumitomo Metal 1,148,000 3,251
Takeda Chemical Industries 353,000 6,454
Tokio Marine & Fire
Insurance 543,000 6,424
Yamanouchi Pharmaceutical
Co. 342,000 7,234
Yasuda Fire & Marine
Insurance 1,042,000 7,208
- ------------------------------------------------------
GROUP TOTAL 180,443
- ------------------------------------------------------
KOREA (0.3%)
Samsung Electronics 16,172 1,269
Shinhan Bank 26,000 467
- ------------------------------------------------------
GROUP TOTAL 1,736
- ------------------------------------------------------
MALAYSIA (0.2%)
Nestle Malaysia Bhd. 149,000 1,148
- ------------------------------------------------------
MEXICO (0.2%)
* Empresas ICA Sociedad
Controladora SA ADR 99,000 1,510
*@ Grupo Financiero Capital
SA 761,325 --
- ------------------------------------------------------
GROUP TOTAL 1,510
- ------------------------------------------------------
NETHERLANDS (4.1%)
ING Groep N.V. 267,032 8,332
Royal PTT Nederland N.V. 194,487 6,693
Vendex International N.V. 277,941 10,832
- ------------------------------------------------------
GROUP TOTAL 25,857
- ------------------------------------------------------
NORWAY (1.3%)
Christiania Bank OG
Kreditkasse 3,236,700 8,312
- ------------------------------------------------------
PHILIPPINES (0.7%)
Ayala Land, Inc., Class B 481,000 587
*# Benpres Holdings Corp.
GDR 220,000 1,650
Philippine Commercial
International Bank 169,400 2,344
- ------------------------------------------------------
GROUP TOTAL 4,581
- ------------------------------------------------------
SINGAPORE (1.7%)
DBS Land Ltd. 546,000 1,807
Oversea-Chinese
Banking Corp., Ltd. 298,100 3,579
Overseas Union Bank Ltd. 763,000 5,339
- ------------------------------------------------------
GROUP TOTAL 10,725
- ------------------------------------------------------
SPAIN (2.6%)
Argentaria SA 198,100 8,214
Repsol SA 245,500 8,075
- ------------------------------------------------------
GROUP TOTAL 16,289
- ------------------------------------------------------
SWEDEN (4.2%)
Nordbanken AB 367,800 9,439
SKF AB, Class B 290,900 7,004
Sparbanken Sverige AB,
Class A 714,100 10,349
- ------------------------------------------------------
GROUP TOTAL 26,792
- ------------------------------------------------------
SWITZERLAND (2.7%)
Ciba-Geigy AG (Registered) 8,010 10,243
* Swissair AG (Registered) 8,475 6,966
- ------------------------------------------------------
GROUP TOTAL 17,209
- ------------------------------------------------------
TURKEY (0.3%)
Netas-Northern Elektrik
Telekomunkasyon AS 4,100,000 1,072
Tat Konserve Sanayii AS 4,419,999 626
- ------------------------------------------------------
GROUP TOTAL 1,698
- ------------------------------------------------------
UNITED KINGDOM (11.1%)
Abbey National plc 1,075,900 9,992
B.A.T. Industries plc 1,131,000 7,539
BOC Group plc 681,900 9,342
(+++)British Petroleum Co.
plc 1,072,000 11,122
Railtrack Group plc PP 2,479,200 11,677
Sun Alliance Insurance
Group plc 1,853,187 11,745
Tate & Lyle plc 1,293,200 9,461
- ------------------------------------------------------
GROUP TOTAL 70,878
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $505,489) 541,009
- ------------------------------------------------------
</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>
PREFERRED STOCK (0.6%)
- ------------------------------------------------------
BRAZIL (0.6%)
Cia Energetica de Minas
Gerais (Cost $2,878) 120,000,000 $ 3,585
- ------------------------------------------------------
WARRANT (0.4%)
- ------------------------------------------------------
GERMANY (0.4%)
* Veba AG, expiring 4/6/98
(Cost $1,797) 9,229 2,542
- ------------------------------------------------------
PURCHASED OPTIONS (1.7%)
- ------------------------------------------------------
NO. OF
CONTRACTS
---------
KOREA (1.7%)
* Kookmin Bank Call Option
expiring 9/4/99, strike
price $0.01 20,500 364
* Kookmin Bank Call Option
expiring 9/30/99, strike
price $0.01 130,000 2,240
* Korea Mobile Telecom Call
Option expiring 9/4/99,
strike price $0.01 1,710 1,080
* Korea Mobile Telecom Call
Option expiring 9/30/99,
strike price $0.01 3,850 2,357
* Pohang Iron & Steel Call
Option expiring 9/30/99,
strike price $0.01 43,000 2,294
* Shinhan Bank Call Option
expiring 9/30/99, strike
price $0.01 130,000 2,254
- ------------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $11,891) 10,589
- ------------------------------------------------------
FIXED INCOME SECURITY (0.3%)
- ------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
GERMANY (0.3%)
+ Bundesschatzanweigungen
7.125%, 11/21/96
(Cost $2,328) Aaa DEM 3,410 2,245
- ------------------------------------------------------
FOREIGN CURRENCY (0.8%)
- ------------------------------------------------------
Australian Dollar AUD 19 15
British Pound GBP 751 1,175
French Franc FRF 7,324 1,419
German Mark DEM 1,584 1,038
Hong Kong Dollar HKD 221 29
Indian Rupee INR 7,136 201
Italian Lira ITL 1,426 1
Japanese Yen JPY 142,387 1,275
Malaysian Ringgit MYR 2 1
Singapore Dollar SGD 10 7
@ Spanish Peseta ESP 1 --
Taiwan Dollar TWD 19 1
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $5,170) 5,162
- ------------------------------------------------------
CASH EQUIVALENTS (17.8%)
- ------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (8.7%) $ 55,497 55,497
- ------------------------------------------------------
REPURCHASE AGREEMENT (9.1%)
Chase Securities, Inc., 5.60%,
dated 9/30/96, due 10/1/96,
to be repurchased at
$57,664, collateralized by
various U.S. Government
obligations, due
10/3/96-7/17/98 valued at
$58,231 57,655 57,655
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $113,152) 113,152
- ------------------------------------------------------
TOTAL INVESTMENTS (106.7%) (Cost $642,705) 678,284
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.7%)
Cash 1
Dividends Receivable 1,808
Interest Receivable 146
Receivable for Withholding Tax Reclaim 491
Receivable for Daily Variation on
Futures Contracts 2,211
Receivable for Investments Sold 18,900
Receivable for Fund Shares Sold 2,240
Unrealized Gain on Forward Foreign
Currency Contracts 65
Other Assets 9
Accrued Foreign Capital Gain Taxes (97)
Payable for Investments Purchased (11,568)
Payable for Fund Shares Redeemed (66)
Payable for Investment Advisory Fees (812)
Payable for Administrative Fees (41)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Collateral on Securities Loaned, at Value (55,497)
Other Liabilities (127)
--------
(42,343)
- ------------------------------------------------------
NET ASSETS (100%) $635,941
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 48,022,117 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $635,706
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.24
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
VALUE
(CONT'D) (000)(+)
- ------------------------------------------------------
<S> <C>
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 17,751 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 235
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.23
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $574,184
Undistributed Net Investment Income (Loss) 12,067
Undistributed Realized Net Gain (Loss) 12,858
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign
Capital Gain Taxes of $97) 35,490
Foreign Currency Transactions (15)
Futures 1,357
- ------------------------------------------------------
NET ASSETS $635,941
- ------------------------------------------------------
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# 144A security. Certain conditions for public
sale may exist.
@ Value is less than $500.
ADR American Depositary Receipt
GDR Global Depositary Receipt
PP Partially Paid
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (95.4%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
BASIC RESOURCES (1.8%)
* Airgas, Inc. 281,400 $ 7,141
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (4.1%)
Estee Lauder Cos., Class A 176,000 7,898
* Robert Mondavi Corp., Class A 187,600 6,144
* USA Detergents, Inc. 65,000 2,584
- -----------------------------------------------------
GROUP TOTAL 16,626
- -----------------------------------------------------
CONSUMER DURABLES (2.2%)
Danaher Corp. 158,900 6,574
* Marker International 250,000 2,438
- -----------------------------------------------------
GROUP TOTAL 9,012
- -----------------------------------------------------
CONSUMER SERVICES (17.4%)
* Ascent Entertainment Group,
Inc. 155,000 3,681
* Cinar Films, Inc., Class B 125,000 3,258
Comcast Corp., Class A Special 321,072 4,937
Cox Radio, Inc., Class A 75,000 1,650
* EchoStar Communications
Corp., Class A 150,000 4,088
* Imax Corp. 95,600 3,215
* International Cabletel, Inc. 211,867 5,429
International Game Technology 206,900 4,241
* Lin Television Corp. 101,400 4,157
* PanAmSat Corp. 146,200 4,066
* Sinclair Broadcast Group,
Inc. 91,500 3,649
* Tele-Communications, Inc.,
Class A 278,700 4,163
* Tele-Communications
International, Inc., Class A 318,300 4,814
* Tele-Communications Liberty
Media Group, Class A 371,755 10,641
* United Video Satellite Group 278,900 5,648
Univision Communications, Inc. 75,200 2,519
- -----------------------------------------------------
GROUP TOTAL 70,156
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (3.3%)
Money Store (The), Inc. 255,000 6,758
Sirrom Capital Corp. 220,900 6,682
- -----------------------------------------------------
GROUP TOTAL 13,440
- -----------------------------------------------------
ENERGY (1.3%)
* Input/Output, Inc. 180,000 5,355
- -----------------------------------------------------
HEALTH CARE (14.6%)
Cardinal Health, Inc. 108,600 8,973
Fuisz Technologies Ltd. 20,000 260
Guidant Corp. 106,200 5,868
HBO & Co. 100,000 6,675
* Health Management Associates,
Class A 680,132 16,918
* Lincare Holdings, Inc. 185,000 7,400
* Orthodontic Centers of
America, Inc. 150,000 3,056
* Pediatrix Medical Group, Inc. 63,000 3,158
* Total Renal Care Holdings,
Inc. 160,000 6,360
- -----------------------------------------------------
GROUP TOTAL 58,668
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.1%)
* AccuStaff, Inc. 175,000 4,528
Cintas Corp. 139,600 7,817
* HA-LO Industries, Inc. 188,000 5,452
Loral Space & Communications 363,500 5,725
Paychex, Inc. 70,100 4,066
* Spacehab, Inc. 260,000 2,210
* USA Waste Services, Inc. 220,400 6,943
- -----------------------------------------------------
GROUP TOTAL 36,741
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (2.7%)
Post Properties, Inc. 92,500 3,388
Security Capital Industrial
Trust 188,644 3,442
Security Capital Pacific Trust 189,529 4,004
- -----------------------------------------------------
GROUP TOTAL 10,834
- -----------------------------------------------------
RETAIL (10.2%)
Abercrombie & Fitch Co., Class
A 92,400 2,264
* Borders Group, Inc. 165,000 6,146
* Boston Chicken, Inc. 170,200 6,000
CKE Restaurants, Inc. 83,000 2,552
* Eagle Hardware & Garden, Inc. 150,000 4,050
Gucci Group N.V.
(New York Shares) 123,700 8,968
* Mail Boxes Etc. 140,000 3,168
* Tommy Hilfiger Corp. 57,900 3,430
* Viking Office Products, Inc. 150,600 4,518
- -----------------------------------------------------
GROUP TOTAL 41,096
- -----------------------------------------------------
TECHNOLOGY (17.9%)
Advanced Fibre
Communications, Inc. 20,000 500
* Ascend Communications, Inc. 64,000 4,232
* BMC Software, Inc. 90,000 7,155
* Ceridian Corp. 90,600 4,530
* DSP Communications, Inc. 81,800 4,570
* Fiserv, Inc. 160,700 6,147
* Ibis Technology Corp. 205,000 1,768
* McAfee Associates, Inc. 83,100 5,734
sec.* Nexus Telecommunication
Systems Ltd. (acquired
11/21/95-2/28/96, cost
$1,338) 295,000 1,328
* Octel Communications Corp. 175,200 5,081
* Peoplesoft, Inc. 86,000 7,159
* Tellabs, Inc. 98,500 6,957
* Transaction Systems
Architect, Inc., Class A 68,000 2,873
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP GROWTH
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
U.S. Robotics Corp. 151,000 $ 9,758
* Uniphase Corp. 101,500 4,288
- -----------------------------------------------------
GROUP TOTAL 72,080
- -----------------------------------------------------
UTILITIES (10.8%)
Frontier Corp. 165,600 4,409
* Globalstar Telecommunications
Ltd. 216,100 11,129
* MFS Communications Co., Inc. 265,688 11,591
* Millicom International
Cellular SA 143,500 5,794
* Paging Network, Inc. 337,800 6,756
* Palmer Wireless, Inc. 214,800 3,799
- -----------------------------------------------------
GROUP TOTAL 43,478
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $283,961) 384,627
- -----------------------------------------------------
WARRANTS (0.1%)
- -----------------------------------------------------
TECHNOLOGY (0.1%)
sec.* Nexus Telecommunication
Systems Ltd., expiring
11/28/97 (acquired 11/21/95,
cost $0) 225,000 225
- -----------------------------------------------------
PURCHASED OPTIONS (0.0%)
- -----------------------------------------------------
NO. OF
CONTRACTS
---------
* AMEX S&P Midcap 400 Index Put
Option, expiring 10/31/96,
strike price $230 (Cost
$1,595) 220,000 99
- -----------------------------------------------------
CASH EQUIVALENTS (13.3%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
---------
Short-term Investments
Held as Collateral for
Loaned Securities (8.9%) $ 36,237 36,237
- -----------------------------------------------------
REPURCHASE AGREEMENT (4.4%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96,
to be repurchased at $17,569,
collateralized by various
U.S. Government Obligations,
due 10/3/96-7/17/98, valued
at $17,741 17,566 17,566
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $53,803) 53,803
- -----------------------------------------------------
TOTAL INVESTMENTS (108.8%) (Cost $339,359) 438,754
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.8%)
Cash 1
Dividends Receivable 59
Interest Receivable 3
Receivable for Investments Sold 17,035
Receivable for Fund Shares Sold 48
Other Assets 4
Payable for Investments
Purchased (10,786)
Payable for Fund Shares
Redeemed (5,011)
Payable for Investment Advisory
Fees (482)
Payable for Administrative Fees (25)
Payable for Trustees' Deferred
Compensation Plan-Note F (3)
Collateral on Securities
Loaned, at Value (36,237)
Other Liabilities (79)
--------
(35,473)
- -----------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------
Applicable to 19,647,535 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $403,281
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.53
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $242,027
Undistributed Realized Net Gain (Loss) 61,859
Unrealized Appreciation (Depreciation) on
Investment Securities 99,395
- -----------------------------------------------------
NET ASSETS $403,281
- -----------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1996 was $1,553 or
0.4% of net assets.
(+) See Note A1 to Financial Statements.
* Non-income producing security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (99.2%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
BANKS (5.2%)
AmSouth Bancorp 5,100 $ 227
Andover Bancorp, Inc. 5,000 127
Bancorp Hawaii, Inc. 4,000 156
* Lawrence Savings Bank 13,100 88
Mellon Bank Corp. 9,500 563
Mercantile Bankshares Corp. 66 2
PNC Bank Corp. 41,200 1,375
Signet Banking Corp. 4,000 107
- -----------------------------------------------------
GROUP TOTAL 2,645
- -----------------------------------------------------
BASIC RESOURCES (3.2%)
Louisiana-Pacific Corp. 8,600 196
* McWhorter Technologies, Inc. 800 16
Millenium Chemicals, Inc. 8,400 215
* Tetra Technologies, Inc. 53,400 981
Union Carbide Corp. 4,900 223
- -----------------------------------------------------
GROUP TOTAL 1,631
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.6%)
* Robert Mondavi Corp., Class A 9,500 311
- -----------------------------------------------------
CONSUMER DURABLES (3.6%)
Arvin Industries, Inc. 8,100 200
Cooper Tire & Rubber Co. 16,000 346
Lone Star Industries, Inc. 6,600 212
O'Sullivan Industries Holdings 18,700 166
Stanley Works 17,500 492
Stant Corp. 37,500 403
- -----------------------------------------------------
GROUP TOTAL 1,819
- -----------------------------------------------------
CONSUMER SERVICES (2.9%)
International Game Technology 30,100 617
Lee Enterprises, Inc. 12,800 293
* MGM Grand, Inc. 6,600 279
* Red Lion Hotels, Inc. 9,600 284
- -----------------------------------------------------
GROUP TOTAL 1,473
- -----------------------------------------------------
CREDIT & FINANCE (0.8%)
CMAC Investment Corp. 6,300 400
- -----------------------------------------------------
ENERGY (15.2%)
* BJ Services Co. 14,100 511
Columbia Gas System, Inc. 4,300 241
* Dawson Production Services,
Inc. 10,700 136
* Diamond Offshore Drilling, Inc. 12,400 682
* ENSCO International, Inc. 27,700 900
* Global Industries Ltd. 31,000 492
* Marine Drilling Co., Inc. 100,000 962
National Fuel Gas Co. 8,100 298
* Noble Drilling Corp. 42,500 643
* Offshore Logistics, Inc. 23,000 331
* Petroleum Geo-Services ADR 70,700 1,927
* Pride Petroleum Services, Inc. 40,000 565
- -----------------------------------------------------
GROUP TOTAL 7,688
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (0.9%)
Dole Food Co. 1,500 63
Hershey Foods Corp. 1,400 70
* SEDA Specialty Packaging Corp. 16,900 325
- -----------------------------------------------------
GROUP TOTAL 458
- -----------------------------------------------------
HEALTH CARE (9.3%)
* Aequitron Medical, Inc. 4,500 42
Angelica Corp. 36,700 794
Arrow International, Inc. 8,000 276
* Datascope Corp. 9,300 160
Health Images, Inc. 76,300 1,021
* Healthdyne Technologies, Inc. 57,800 484
* Maxicare Health Plans, Inc. 12,000 228
* Merit Medical Systems, Inc. 6,500 50
Minntech Corp. 25,000 325
* OrNda Healthcorp 14,900 408
Sullivan Dental Products, Inc. 81,100 902
- -----------------------------------------------------
GROUP TOTAL 4,690
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (21.2%)
Arnold Industries, Inc. 51,200 806
* CDI Corp. 35,600 899
Consolidated Freightways, Inc. 10,000 245
Crane Co. 6,200 275
CSX Corp. 13,500 682
Cummins Engine Co., Inc. 5,700 224
Duriron Co., Inc. 5,000 132
Expeditors International of
Washington, Inc. 30,000 1,058
Hvide Marine, Inc., Class A 10,000 130
Kaydon Corp. 33,300 1,432
Keystone International, Inc. 12,100 237
* Kirby Corp. 7,400 130
Lockheed Martin Corp. 9,000 811
Omnicom Group, Inc. 4,100 192
Penn Engineering &
Manufacturing Corp. 55,000 963
Precision Castparts Corp. 6,200 301
* Seacor Holdings, Inc. 33,700 1,710
Tidewater, Inc. 13,500 505
- -----------------------------------------------------
GROUP TOTAL 10,732
- -----------------------------------------------------
INSURANCE (1.6%)
American Bankers Insurance
Group, Inc. 3,700 185
Equitable of Iowa Companies 5,000 208
Guarantee Life Companies, Inc. 4,000 79
Mercury General Corp. 7,000 329
- -----------------------------------------------------
GROUP TOTAL 801
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP VALUE
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES (2.1%)
Hambrecht & Quist Group 19,000 $ 368
Paine Webber Group, Inc. 18,400 386
Piper Jaffray Cos., Inc. 22,100 268
Raymond James Financial, Inc. 2,500 61
- -----------------------------------------------------
GROUP TOTAL 1,083
- -----------------------------------------------------
RETAIL (8.3%)
* Barnes & Noble, Inc. 7,900 272
* Donnkenny, Inc. 66,000 1,130
* Jones Apparel Group, Inc. 11,700 746
Liz Claiborne, Inc. 30,700 1,143
Loehmann's Holdings, Inc. 3,700 99
Russ Berrie & Co., Inc. 4,200 68
* Safeway, Inc. 2,500 107
Talbots, Inc. 3,800 114
* Zale Corp. 22,400 490
- -----------------------------------------------------
GROUP TOTAL 4,169
- -----------------------------------------------------
TECHNOLOGY (21.7%)
* Atmel Corp. 21,200 655
* Cadence Design Systems, Inc. 17,100 611
* Cascade Communications Corp. 4,000 326
Computer Task Group, Inc. 15,700 489
* Compuware Corp. 10,000 457
* Envoy Corp. 3,100 120
* ETEC Systems, Inc. 30,000 1,020
FactSet Research Systems, Inc. 6,200 118
* Gateway 2000, Inc. 17,000 814
HMT Technology Corp. 8,100 176
Intel Corp. 8,000 764
* Intevac, Inc. 51,300 872
* Jabil Circuit, Inc. 33,000 577
LSI Logic Corp. 8,100 188
* Metatools, Inc. 30,000 630
* Oak Industries, Inc. 8,900 296
* SPS Transaction Services 23,800 378
* Sterling Software, Inc. 15,000 1,146
* Storage Technology Corp. 17,900 678
* Tech Data Corp. 6,100 170
* Teradyne, Inc. 9,900 165
Vanstar Corp. 12,600 306
- -----------------------------------------------------
GROUP TOTAL 10,956
- -----------------------------------------------------
UTILITIES (2.6%)
Baltimore Gas & Electric Co. 5,800 152
* Destec Energy, Inc. 54,500 647
GPU, Inc. 300 9
PP&L Resources, Inc. 7,900 173
Puget Sound Power & Light Co. 3,200 72
360 Communications Co. 3,400 80
Washington Water Power Co. 9,300 176
- -----------------------------------------------------
GROUP TOTAL 1,309
- -----------------------------------------------------
TOTAL INVESTMENTS (99.2%) (Cost $46,859) 50,165
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.8%)
Dividends Receivable 46
Receivable for Investments Sold 2,974
Receivable for Fund Shares Sold 23
Payable for Investments Purchased (2,131)
Payable for Fund Shares Redeemed (6)
Payable for Investment Advisory
Fees (68)
Payable for Administrative Fees (3)
Payable to Custodian (386)
Other Liabilities (38)
-------
411
- -----------------------------------------------------
NET ASSETS (100%) $50,576
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 3,482,043 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $50,449
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.49
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 8,821 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 127
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.48
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 45,311
Undistributed Net Investment Income (Loss) 372
Undistributed Realized Net Gain (Loss) 1,587
Unrealized Appreciation (Depreciation) on
Investment Securities 3,306
- -----------------------------------------------------
NET ASSETS $50,576
- -----------------------------------------------------
(+) 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.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCK (71.8%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -------------------------------------------------------
<S> <C> <C>
ARGENTINA (6.9%)
Banco Frances ADS 20,200 $ 528
Central Puerto SA, Class
B 140,800 443
* CIADEA SA 83,431 396
Nobleza Piccardo SA 91,569 339
YPF SA ADR 25,600 586
- -------------------------------------------------------
GROUP TOTAL 2,292
- -------------------------------------------------------
BRAZIL (3.5%)
Aracruz Celulose SA ADR 49,000 429
Telebras SA 11,292,000 734
- -------------------------------------------------------
GROUP TOTAL 1,163
- -------------------------------------------------------
CHINA (0.3%)
* AES China Generating
Co., Class A 10,000 95
- -------------------------------------------------------
COLOMBIA (1.0%)
# Cementos Diamante SA
ADR 25,300 323
- -------------------------------------------------------
HONG KONG (9.5%)
Jardine Strategic
Holdings Ltd. 399,000 1,268
Orient Overseas
International Ltd. 747,000 541
Semi-Tech (Global) Ltd. 596,700 988
South China Morning Post
(Holdings) Ltd. 450,000 335
- -------------------------------------------------------
GROUP TOTAL 3,132
- -------------------------------------------------------
INDIA (8.7%)
Bajaj Auto Ltd. 14,000 395
East India Hotels Ltd. 16,000 259
Garden Silk Mills Ltd.
GDR 100,000 213
Indian Petrochemicals Corp. Ltd. 131,000 411
ITC Ltd. 63,806 540
Mahanagar Telephone Nigam Ltd. 134,000 778
Reliance Industries Ltd. 50,000 269
- -------------------------------------------------------
GROUP TOTAL 2,865
- -------------------------------------------------------
INDONESIA (2.3%)
Enseval PuTera Mega 433,000 233
Sinar Mas Multiartha
(Foreign) 83,300 86
Unilever Indonesia
(Foreign) 29,000 437
- -------------------------------------------------------
GROUP TOTAL 756
- -------------------------------------------------------
ISRAEL (3.4%)
* Bank Hapoalim Ltd. 240,000 330
Elron Electronic
Industries Ltd. 10,000 105
First International Bank
of Israel Ltd., Class 1 3,300 355
Supersol Ltd. 15,000 343
- -------------------------------------------------------
GROUP TOTAL 1,133
- -------------------------------------------------------
KOREA (5.7%)
Cheil Foods & Chemicals,
Inc. 650 37
* Chosun Brewery Co. 19,246 604
Doosan Beverages Co. 8,480 382
* Jinro Ltd. 8,810 186
* Jinro Ltd. RFD 5,070 105
LG International Corp. 55,399 513
Samsung Electronics 674 51
- -------------------------------------------------------
GROUP TOTAL 1,878
- -------------------------------------------------------
MALAYSIA (2.3%)
Boustead Holdings Bhd. 368,000 771
- -------------------------------------------------------
MEXICO (6.9%)
* Empresas ICA Sociedad
Controladora SA ADR 30,600 467
* Grupo Financiero
Bancomer SA, Class B 1,271,000 623
* Grupo Posadas SA,
Series A 969,000 449
* Tubos de Acero de
Mexico SA 66,000 722
- -------------------------------------------------------
GROUP TOTAL 2,261
- -------------------------------------------------------
PHILIPPINES (4.2%)
First Philippine Holdings
Corp., Class B 168,000 365
Universal Robina Corp. 2,020,000 1,022
- -------------------------------------------------------
GROUP TOTAL 1,387
- -------------------------------------------------------
SOUTH AFRICA (3.0%)
DeBeers Consolidated
Mines, Ltd. ADR 22,400 694
Rembrandt Group Ltd. 32,900 298
- -------------------------------------------------------
GROUP TOTAL 992
- -------------------------------------------------------
THAILAND (12.2%)
* Orient Telecom &
Technology Holding Ltd. 190,280 45
Ruam Pattana Fund II
(Foreign) 830,600 466
Siam Commercial Bank Co., Ltd. 52,400 519
Sinpinyo Fund 5 (Foreign) 1,587,000 937
* Sub-Thawee Fund 785,400 1,004
* TelecomAsia Corp. 413,292 837
Thai Orchid Fund 593,200 203
- -------------------------------------------------------
GROUP TOTAL 4,011
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS
PORTFOLIO
VALUE
(CONT'D) SHARES (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
TURKEY (1.9%)
Erciyas Biracilik ve Malt
Sanayii 5,000 $ 3
Yapi ve Kredi Bankasi AS 24,360,000 610
- -------------------------------------------------------
GROUP TOTAL 613
- -------------------------------------------------------
TOTAL COMMON STOCKS (Cost $23,408) 23,672
- -------------------------------------------------------
PREFERRED STOCKS (11.6%)
- -------------------------------------------------------
BRAZIL (9.4%)
Banco Itau SA 1,391,000 577
Brasmotor SA 2,245,000 820
* CESP 14,950,000 433
Ceval Alimentos SA 45,100,000 415
Cia Energetica de Minas
Gerais 15,000,000 448
Cia Vale Do Rio Doce 20,000 397
- -------------------------------------------------------
GROUP TOTAL 3,090
- -------------------------------------------------------
KOREA (2.2%)
Cheil Foods & Chemicals,
Inc. 32,460 735
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $3,717) 3,825
- -------------------------------------------------------
FIXED INCOME SECURITIES (4.2%)
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
MALAYSIA (1.1%)
# Aokam Perdana Bhd.
(Convertible) 3.50%,
6/13/04 N/R $ 430 356
- -------------------------------------------------------
SOUTH AFRICA (3.1%)
Barlow International Investments
(Convertible) 7.00%,
9/20/04 N/R ZAR 400 467
Republic of South Africa
11.50%, 5/30/00 BBB+ 2,750 552
- -------------------------------------------------------
GROUP TOTAL 1,019
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $1,379) 1,375
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- -------------------------------------------------------
STRUCTURED INVESTMENT (6.5%)-NOTE A7
- -------------------------------------------------------
RUSSIA (6.5%)
## Credit Suisse Note, 11/2/97,
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.
(Cost $2,197) N/R $ 2,000 $ 2,145
- -------------------------------------------------------
PURCHASED OPTIONS (4.2%)
- -------------------------------------------------------
NO. OF
CONTRACTS
---------
KOREA (4.2%)
* Korea Mobile Telecom
Call Option, expiring
9/4/99, strike price
$0.01 990 625
* Pohang Iron & Steel
Call Option, expiring
9/4/99, strike price
$0.01 6,720 370
* Shinhan Bank Call
Option, expiring
9/4/99, strike price
$0.01 21,450 384
- -------------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $1,589) 1,379
- -------------------------------------------------------
FOREIGN CURRENCY (2.6%)
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
Argentine Peso ARS 15 14
@ Hong Kong Dollar HKD 1 --
Indian Rupee INR 30,237 853
Israeli Shekel ILS 6 2
- -------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $869) 869
- -------------------------------------------------------
TOTAL INVESTMENTS (100.9%)(Cost $33,159) 33,265
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)(+)
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-0.9%)
Dividends Receivable $ 44
Interest Receivable 56
Receivable for Fund Shares Sold 1
Other Assets 1
Payable for Administrative Fees (2)
Payable for Investment Advisory Fees (50)
Accrued Foreign Capital Gain Taxes (84)
Payable to Custodian Bank (189)
Other Liabilities (58)
(281)
- -------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 2,862,963 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $32,984
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.52
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $30,560
Undistributed Net Investment Income (Loss) 277
Undistributed Realized Net Gain (Loss) 2,062
Unrealized Appreciation (Depreciation) on
Investment Securities (Net of Foreign Capital
Gain Taxes of $21) 85
- -------------------------------------------------------
NET ASSETS $32,984
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public sale may
exist.
## Variable or Floating rate security-rate disclosed is
as of September 30, 1996.
@ Value is less than $500.
ADR American Depositary Receipt
ADS American Depositary Shares
GDR Global Depositary Receipt
N/R Not rated by either Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
RFD Ranked for Dividend
ZAR South African Rand
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (98.7%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (34.2%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 11/1/20 Agy $ 13,920 $ 14,971
10.50%, 4/1/11-10/1/20 Agy 4,951 5,411
11.00%, 9/1/15-5/1/20 Agy 3,713 4,102
11.25%,
10/1/11-12/1/15 Agy 2,169 2,397
11.75%, 4/1/19 Agy 233 260
13.00%, 6/1/19 Agy 81 92
14.75%, 3/1/10 Agy 42 48
November TBA
7.50%, 6/15/06 Agy 14,500 14,320
Gold Pools:
7.00%, 9/1/23-6/1/25 Agy 18,584 18,055
9.50%, 10/1/16-1/1/21 Agy 12,623 13,498
10.00%, 10/1/20 Agy 5,106 5,531
10.50%, 8/1/19-10/1/20 Agy 2,441 2,675
October TBA
7.00%, 4/25/25 Agy 21,175 20,599
7.50%, 6/15/23-6/15/26 Agy 275,450 272,523
8.00%, 6/15/25 Agy 53,375 53,909
Federal National Mortgage
Association
Conventional Pools:
9.50%, 7/1/16 Agy 3,550 3,806
10.00%, 8/1/21 Agy 3,535 3,818
10.50%, 6/1/10-11/1/20 Agy 7,119 7,811
10.75%, 2/1/11 Agy 48 53
11.00%, 1/1/16-11/1/20 Agy 3,949 4,382
11.50%, 7/1/13-11/1/15 Agy 564 636
12.00%, 4/1/15 Agy 112 126
October TBA
7.50%, 10/1/23-6/15/25 Agy 69,300 68,477
8.00%, 6/15/25 Agy 33,025 33,314
Government National
Mortgage Association
Various Pools:
10.50%,
2/15/13-3/15/21 Agy 7,150 7,908
11.00%,
12/15/09-5/15/26 Agy 10,867 12,158
11.50%,
7/20/15-9/20/19 Agy 616 673
12.00%,
4/15/12-3/15/16 Agy 1,959 2,242
October TBA
7.50%, 7/15/22-3/15/26 Agy 40,600 40,099
- -------------------------------------------------------
GROUP TOTAL 613,894
- -------------------------------------------------------
ASSET BACKED CORPORATES (1.5%)
## Airplanes Pass Through
Trust, Series 1 B
6.522%, 3/15/19 A 5,852 5,859
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 3,350 3,417
94-1 C2 CMO
9.35%, 9/15/04 BBB 4,378 4,484
# National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 4,850 4,808
Security Pacific Home
Equity Trust,
Series:
91-A A2
8.90%, 3/10/06 AAA 1,235 1,241
91-AB
10.50%, 3/10/06 A+ 7,585 7,768
- -------------------------------------------------------
GROUP TOTAL 27,577
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.3%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 8,940 9,060
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 6,800 6,864
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 6,717 6,795
- -------------------------------------------------------
GROUP TOTAL 22,719
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.4%)
Federal Home Loan
Mortgage Corporation,
Series 92-1398 I Inv Fl
IO
9.10%, 10/15/07 Agy 2,471 2,161
Federal National Mortgage
Association,
Series:
90-118S Inv Fl
29.569%, 9/25/20 Agy 1,580 2,232
92-33S Inv Fl
10.89%, 3/25/22 Agy 2,230 2,157
- -------------------------------------------------------
GROUP TOTAL 6,550
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (6.6%)
American Housing Trust V
1G
9.125%, 4/25/21 AAA 6,500 6,567
Citicorp Mortgage Securities,
Inc. REMIC, Series 90-11A 5
9.50%, 7/25/20 AAA 837 851
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 5,822 5,193
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
sec. First Boston
Mortgage Securities
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-
12/9/93, cost $4,101) A $ 4,322 $ 4,152
GE Capital Mortgage Services,
Inc., Series 94-24 A4
7.00%, 7/25/24 AAA 7,861 7,018
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.47%, 5/28/22
(acquired
8/5/92-12/9/93,
cost $3,925) N/R 3,913 3,834
Mid-State Trust II,
Series 88-A4
9.625%, 4/1/03 AAA 1,800 1,958
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 1,232 1,233
+# 92A-B2 4
7.90%, 4/28/22 A1 11,188 9,704
sec.+ 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93-10/13/94, cost
$6,353) A2 6,643 6,373
#93-B B1
7.836%, 4/28/23 AA 8,453 8,372
#94-A 3B3
6.802%, 4/28/24 N/R 11,384 10,267
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
92-S2 M
8.00%, 1/25/22 AA 5,817 5,885
92-S15 A5
8.00%, 5/25/07 AAA 57 57
93-MZ2 A2
7.47%, 5/30/23 AA 7,000 6,659
sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired 7/17/95,
cost $7,274) N/R 7,821 7,140
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95-12/19/95,
cost $10,988) AAA 11,639 10,812
95-R20 A5
7.50%, 12/25/25 AAA 8,441 8,205
Rural Housing Trust,
Series 87-1M
3.33%, 4/1/26 A- 7,728 7,145
Ryland Mortgage
Securities Corp.,
Series 94-7B 4A2
7.50%, 8/25/25 AAA 7,500 7,046
Saxon Mortgage Securities
Corp., Series 93-4 1B
7.25%, 6/25/24 AAA 250 226
- -------------------------------------------------------
GROUP TOTAL 118,697
- -------------------------------------------------------
COMMERCIAL MORTGAGES (6.1%)
+ American Southwest
Financial Securities
Corp., Series 95-C1 A1B
7.40%, 11/17/04 Aaa 8,075 8,166
Asset Securitization
Corp., Series 95-MD4 A1
7.10%, 8/13/29 AAA 9,883 9,746
# Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 6,200 6,063
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 7,450 7,313
# Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 5,692 5,970
# Crystal Run
Properties, Series A
7.393%, 8/15/11 AA 8,500 8,445
+# DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 Aaa 6,650 6,786
DLJ Mortgage Acceptance Corp.,
Series:
# 95-CF2 S2 IO
1.645%, 12/17/27 BBB 48,300 4,644
# 96-CF1 A1B
7.58%, 3/13/28 AAA 5,350 5,401
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 95-C1 A1
7.268%, 7/25/10 AAA 6,968 6,976
# Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 7,000 6,799
Merrill Lynch Mortgage
Investors, Inc., Series
96-C1 A3
7.42%, 4/25/28 AAA 11,500 11,481
Mortgage Capital Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 10,750 10,837
Nomura Asset Securities Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 200 203
94-MD1 A3
8.026%, 3/15/18 N/R 4,249 4,424
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
# Prime Property
Funding,
Series 1A
6.633%, 7/23/03 AA $ 7,000 $ 6,828
- -------------------------------------------------------
GROUP TOTAL 110,082
- -------------------------------------------------------
ENERGY (0.8%)
# Excel Paralubes
Funding
7.43%, 11/1/15 A- 6,700 6,425
Mobile Energy Services
8.665%, 1/1/17 BBB- 6,907 7,022
- -------------------------------------------------------
GROUP TOTAL 13,447
- -------------------------------------------------------
FINANCE (6.1%)
## Bank of Hawaii,
Honolulu
5.55%, 11/25/96 A 6,000 6,000
## Caterpillar Financial
Services
5.513%, 6/20/97 A 11,000 11,003
# Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 9,750 9,673
# First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 4,950 4,785
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 7,825 8,109
First Union REIT
8.875%, 10/1/03 BB- 3,325 3,008
John Hancock Surplus Note
7.375%, 2/15/24 AA 7,200 6,740
# Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 5,800 5,641
# Metropolitan Life Insurance
Co.
7.45%, 11/1/23 AA 8,450 7,722
(#) Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 6,625 6,200
# Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 AA- 8,660 7,932
# New York Life
Insurance Co.
7.50%, 12/15/23 AA 8,700 8,174
# Principal Mutual Life
Insurance Co., Series
95-2 A6
7.875%, 3/1/24 AA- 5,950 5,684
# Prudential Insurance
Co.
8.30%, 7/1/25 A 5,975 5,954
Reliance Group Holdings
9.00%, 11/15/00 BB+ 6,005 6,065
## United Savings of
Texas
8.05%, 5/15/98 BB+ 6,100 6,082
- -------------------------------------------------------
GROUP TOTAL 108,772
- -------------------------------------------------------
FOREIGN GOVERNMENTS (2.9%)
Government of Germany
7.50%, 9/9/04 AAA DEM 23,300 16,749
Kingdom of Denmark
8.00%, 3/15/06 AA+ DKK 93,900 17,178
United Kingdom
9.75%, 8/27/02 AAA GBP 9,875 17,258
- ------------------------------------------------------
GROUP TOTAL 51,185
- ------------------------------------------------------
[ ] HEDGED MORTGAGES (1.7%)
Federal Home Loan
Mortgage Corporation,
Series:
1415-S Inv Fl IO
CMO
19.75%, 11/15/07 Agy $ 3,612 1,535
1476-S Inv Fl IO
REMIC PAC
4.431%, 2/15/08 Agy 35,107 3,532
1485-S Inv Fl IO
REMIC
4.10%, 3/15/08 Agy 35,391 2,760
1600-SA Inv Fl IO
REMIC
2.50%, 10/15/08 Agy 67,639 3,402
Federal National
Mortgage Association,
Series:
91-46 S Inv Fl CMO
1252.344%, 5/25/21 Agy 19 570
91-90 S Inv Fl CMO
547.044%, 7/25/21 Agy 58 771
92-186 S Inv Fl IO
3.431%, 10/25/07 Agy 64,376 4,802
94-33 S Inv Fl IO
2.569%, 3/25/09 Agy 94,842 4,647
G 92-53 S Inv Fl IO
REMIC
33.469%, 9/25/22 Agy 3,075 2,331
G 92-63 S Inv Fl IO
3.819%, 11/25/22 Agy 16,542 1,451
G 94-2 S Inv Fl IO
REMIC
2.569%, 1/25/24 Agy 78,147 4,228
- ------------------------------------------------------
GROUP TOTAL 30,029
- ------------------------------------------------------
INDUSTRIALS (5.8%)
## Blue Bell Funding
11.85%, 5/1/99 BB- 4,252 4,215
Comcast Corp.
9.375%, 5/15/05 BB- 8,200 8,303
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 10,015 9,600
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- $ 3,365 $ 2,499
94-K1 A1
7.60%, 8/15/07 BB- 3,390 2,807
DR Structured Finance,
Series 94 K2
9.35%, 8/15/19 BB- 3,600 2,978
Federated Department Stores, Inc.
8.125%, 10/15/02 BB- 6,980 7,059
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- 3,500 2,998
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 4,100 4,479
# Oxymar
7.50%, 2/15/16 BBB 5,420 5,046
Paramount Communications, Inc.
8.25%, 8/1/22 BB+ 10,947 9,866
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 6,610 6,533
Rhone-Poulenc Rorer, Inc.
8.62%, 1/5/21 BBB+ 7,300 7,626
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 6,692 6,767
Southland Corp.
5.00%, 12/15/03 BB+ 9,274 7,384
(+++) Time Warner, Inc.
9.15%, 2/1/23 BBB- 8,240 8,708
Unisys Corp.
10.625%, 10/1/99 B+ 6,650 6,750
- -------------------------------------------------------
GROUP TOTAL 103,618
- -------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank,
Series 85-1
7.94%, 5/1/02
(acquired 6/22/94,
cost $345) N/R 365 363
sec.## Magnolia Federal
Bank, Series 84-2
9.129%, 10/1/07
(acquired 5/1/87, cost
$902) N/R 959 976
- -------------------------------------------------------
GROUP TOTAL 1,339
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.6%)
Bank of America, Series A
8.375%, 5/1/07 AAA 21 21
Marine Midland Bank NA,
Series 91-1 A7
8.50%, 4/25/22 AA 6 6
## Resolution Trust
Corp., Series 92-5 C
8.62%, 1/25/26 AA 5,482 5,583
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 5,365 5,090
Ryland Mortgage
Securities Corp.,
Series 93-A1 A
7.45%, 1/28/23 AAA 270 257
+ Town & Country Funding Corp.
5.85%, 8/15/98 Aa2 550 542
- -------------------------------------------------------
GROUP TOTAL 11,499
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.6%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 18,000 10,995
254 1 PO
1/1/24 Agy 5,163 3,367
260 1 PO
4/1/24 Agy 6,889 4,435
93-205 G PO REMIC
9/25/23 Agy 4,283 2,263
93-235 H PO REMIC
9/25/23 Agy 1,793 1,197
93-237 E PO REMIC
11/25/23 Agy 5,542 3,696
93-243 C PO REMIC
11/25/23 Agy 1,170 741
94-25 C PO REMIC
11/25/23 Agy 2,742 1,706
- -------------------------------------------------------
GROUP TOTAL 28,400
- -------------------------------------------------------
TELEPHONES (2.4%)
Comcast Cellular Corp.,
Series:
A,
Zero Coupon, 3/5/00 BB- 8,325 5,848
B,
Zero Coupon, 3/5/00 BB- 2,675 1,879
Lenfest Communications, Inc.
8.375%, 11/1/05 BB+ 7,225 6,798
(#) MFS Communications Co., Inc.
0.00%, 1/15/06 B 6,855 4,790
Rogers Cablesystems
10.00%, 3/15/05 BB+ 8,300 8,425
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 1,450 1,260
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 6,915 6,728
9.875%, 6/15/22 BBB- 6,355 6,806
- -------------------------------------------------------
GROUP TOTAL 42,534
- -------------------------------------------------------
</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>
TRANSPORTATION (0.5%)
# Jet Equipment Trust
Series 95-5A C
10.69%, 5/1/15 BBB- $ 7,925 $ 9,393
- -------------------------------------------------------
U.S. TREASURY SECURITIES (24.1%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 52,095 62,083
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 80,250 80,350
7.00%, 4/15/99 Tsy 27,125 27,625
7.125%, 9/30/99 Tsy 52,000 53,170
7.50%, 2/15/05 Tsy 163,975 172,557
U.S. Treasury Strips
PO
5/15/18 Tsy 73,000 15,636
8/15/20 Tsy 109,750 19,932
- -------------------------------------------------------
GROUP TOTAL 431,353
- -------------------------------------------------------
YANKEE (2.0%)
+(#) Brazil Par Series Z-L
4.25%, 4/15/24 B1 7,300 4,334
# Paiton Energy Funding
9.34%, 2/15/14 BBB- 7,295 7,392
## Republic of Argentina
5.00%, 3/31/23 BB- 17,560 10,251
United Mexican States
6.25%, 12/31/19 BB 11,025 7,621
YPF SA
7.50%, 10/26/02 BBB 5,403 5,436
- -------------------------------------------------------
GROUP TOTAL 35,034
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $1,752,642) 1,766,122
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
SHARES
------
*@ Mexico Recovery Rights,
expiring 6/30/03 (Cost $0) 11,025,000 --
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.3%)-SEE NOTE A7
- -------------------------------------------------------
FACE
AMOUNT
(000)
-------
Morgan Guaranty Trust Company,
11/20/05; monthly payments
equal to 1% per annum of the
outstanding notional balance,
indexed to GNMA ARM pools
(Cost $6,574) $ 185,856 6,031
- -------------------------------------------------------
CASH EQUIVALENTS (41.4%)
- -------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(6.4%) 114,216 114,216
- -------------------------------------------------------
COMMERCIAL PAPER (28.4%)
American Express Credit Corp.
5.30%, 10/15/96 30,000 29,938
Banc One Corp.
5.33%, 10/29/96 30,000 29,876
CIT Group Holdings, Inc.
5.30%, 10/17/96 30,000 29,929
Colgate-Palmolive Co.
5.39%, 11/13/96 30,000 29,807
Commercial Credit Co.
5.32%, 10/25/96 30,000 29,894
Dun & Bradstreet Corp.
5.36%, 10/24/96 30,000 29,897
Ford Motor Credit Corp.
5.36%, 10/10/96 30,000 29,960
General Electric Credit Corp.
5.28%, 11/1/96 30,000 29,864
Household Finance Corp.
5.28%, 10/16/96 30,000 29,934
Motorola Corp.
5.28%, 10/24/96 30,000 29,899
Prudential Funding Corp.
5.38%, 10/28/96 30,000 29,879
Raytheon Corp.
5.33%, 10/15/96 30,000 29,938
Shell Oil Co.
5.33%, 10/8/96 30,000 29,969
Transamerica Financial Corp.
5.30%, 11/21/96 30,000 29,774
Warner-Lambert Co.
5.28%, 10/2/96 30,000 29,996
Weyerhaeuser Corp.
5.28%, 10/7/96 30,000 29,973
Xerox Corp.
5.35%, 10/18/96 30,000 29,924
- -------------------------------------------------------
GROUP TOTAL 508,451
- -------------------------------------------------------
REPURCHASE AGREEMENT (6.6%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96,
to be repurchased at $119,168,
collateralized by various U.S.
Government Obligations, due
10/3/96-7/17/98, valued at
$120,342 119,150 119,150
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $741,817) 741,817
- -------------------------------------------------------
TOTAL INVESTMENTS (140.4%) (Cost $2,501,033) 2,513,970
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)(+)
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-40.4%)
Cash $ 6,317
Interest Receivable 17,365
Receivable for Investments Sold 133,765
Receivable for Fund Shares Sold 26,281
Unrealized Gain on Forward Foreign
Currency Contracts 1,401
Other Assets 20
Payable for Investments Purchased (760,473)
Payable for Fund Shares Redeemed (721)
Payable for Investment Advisory Fees (1,570)
Payable for Administrative Fees (112)
Payable for Trustees' Deferred Compensation
Plan-Note F (13)
Payable for Daily Variation on Futures
Contracts (67)
Written Interest Rate Floors, at Value (31,171)
Collateral on Securities Loaned, at Value (114,216)
Other Liabilities (630)
----------
(723,824)
- -------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 151,295,871 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,790,146
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.83
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $1,732,994
Undistributed Net Investment Income (Loss) 42,529
Undistributed Realized Net Gain (Loss) 298
Unrealized Appreciation (Depreciation) on:
Investment Securities 12,937
Foreign Currency Transactions 1,438
Futures and Written Floors (50)
- -------------------------------------------------------
NET ASSETS $1,790,146
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1996
was $33,650 or 1.9% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public sale
may exist.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1996.
[ ] Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
DEM German Mark
DKK Danish Krone
GBP British Pound
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (98.7%)
<TABLE>
<CAPTION>
- -------------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (43.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 11/1/20 Agy $ 464 $ 499
11.00%, 5/1/20 Agy 276 304
Gold Pools:
7.00%, 4/1/24-11/1/24 Agy 943 916
10.00%, 9/1/17 Agy 500 538
10.50%, 4/1/26 Agy 600 655
12.00%, 11/1/19 Agy 111 123
October TBA
7.00%, 4/25/25 Agy 1,125 1,094
7.50%, 6/15/23-6/15/26 Agy 23,400 23,177
Federal National
Mortgage Association
Conventional Pools:
9.00%, 11/1/08-12/1/08 Agy 448 471
9.50%, 2/1/20-8/1/21 Agy 1,174 1,255
10.00%, 5/1/22 Agy 173 187
10.50%, 12/1/17 Agy 500 549
11.50%, 9/1/25 Agy 225 252
October TBA
7.50%, 10/1/23 Agy 3,575 3,533
8.00%, 6/15/25 Agy 1,250 1,261
Government National Mortgage
Association
Various Pools:
10.00%, 9/15/18-1/15/19 Agy 45 49
10.50%, 5/15/19-2/15/25 Agy 717 794
11.00%, 12/15/09-1/15/10 Agy 39 44
12.00%, 12/15/12-3/15/15 Agy 152 175
October TBA
7.50%, 7/15/22-3/15/26 Agy 5,300 5,235
- -------------------------------------------------------------
GROUP TOTAL 41,111
- -------------------------------------------------------------
ASSET BACKED CORPORATES (2.6%)
sec. Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 (acquired
5/1/96, cost $423) N/R 417 423
## Airplanes Pass Through
Trust, Series 1 B
6.522%, 3/15/19 A 157 157
ALPS,
Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 100 102
94-1 A4 CMO
7.80%, 9/15/04 AA 50 51
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 681 681
# National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 375 372
Security Pacific Home Equity
Trust, Series 91-A A2
8.90%, 3/10/06 AAA 32 32
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 662 661
- -------------------------------------------------------------
GROUP TOTAL 2,479
- -------------------------------------------------------------
ASSET BACKED MORTGAGES (1.4%)
Cityscape Home Equity Loan,
Series 96-3 A8
7.65%, 8/25/26 AAA 450 443
Contimortgage Home Equity
Loan Trust, Series 96-3 A7
8.04%, 9/15/27 AAA 400 402
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 450 455
- -------------------------------------------------------------
GROUP TOTAL 1,300
- -------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.4%)
Collateralized Mortgage
Obligation Trust, Series
86-16 Q Inv Fl
12.00%, 3/20/18 AAA 155 155
## Federal Home Loan
Mortgage Corporation,
Series 1632 SA
5.657%, 11/15/23 Agy 300 214
- -------------------------------------------------------------
GROUP TOTAL 369
- -------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (6.8%)
Chemical Mortgage
Securities, Inc. Series
96-1 A9
7.25%, 1/25/26 AAA 398 381
Citicorp Mortgage Securities, Inc.,
Series:
90-11A5
9.50%, 7/25/20 AAA 35 36
94-7 A5
6.25%, 4/25/24 AAA 550 457
# 95-2 B1
7.50%, 4/25/25 AA 420 406
sec. 95-3 A6
7.50%, 11/25/25 (acquired
11/2/95, cost $322) AAA 347 338
</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>
Countrywide Mortgage Backed
Securities, Inc., Series
93-C A11
6.50%, 1/25/24 AAA $ 242 $ 221
Delta Funding Home Equity
Loan Trust, Series 96 2 A5
8.01%, 10/25/27 AAA 434 435
sec. First Boston Mortgage
Securities Corp., Series
93-5 B1
7.30%, 7/25/23 (acquired
7/19/95, cost $230) N/R 242 227
GE Capital Mortgage
Services, Inc.,
Series:
92-10A F
7.50%, 8/25/22 AAA 250 240
94-24 A4
7.00%, 7/25/24 AAA 218 195
94-27 A6
6.50%, 7/25/24 AAA 250 215
sec.+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24 (acquired
11/9/95, cost $245) A2 246 236
Mid-State Trust II Series
88-2 A4
9.625%, 4/1/03 AAA 100 109
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 150 141
sec. 96-1 B1
7.50%, 6/25/26, (acquired
4/15/96, cost $434) AA 449 436
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 42 42
sec. 95-2 M
8.50%, 6/25/25 (acquired
4/8/95, cost $272) AA 274 279
Residential Funding Mortgage
Securities Co., Inc.,
Series:
sec. 93-MZ3 A2
6.97%, 8/28/23 (acquired
7/17/95-4/22/96, cost
$507) N/R 550 502
sec. 93-S27 M2
7.50%, 6/25/23 (acquired
7/21/95, cost $233) A 242 232
sec. 93-S43 A10
6.50%, 11/25/23 (acquired
6/12/95, cost $224) AAA 242 221
95-R20 A5
7.50%, 12/25/25 AAA 248 241
95-S16 A7
7.50%, 11/25/25 AAA 297 289
95-S17 A8
7.50%, 12/25/25 AAA 273 265
- ------------------------------------------------------------
Rural Housing Trust, Series
87-1 M
3.33%, 4/1/26 A- 384 355
- ------------------------------------------------------------
GROUP TOTAL 6,499
- ------------------------------------------------------------
COMMERCIAL MORTGAGES (5.0%)
American Southwest Financial
Securities Corp.,
Series:
93-2 S1 IO
1.078%, 1/18/09 N/R 7,002 369
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 225 228
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 222 225
95-MD4 A1
7.10%, 8/13/29 AAA 272 268
## 95-MD4 ACS2 IO
2.41%, 8/13/29 N/R 1,704 302
# Carousel Center Finance,
Inc., Series 1 B
7.188%, 11/15/07 A 325 318
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 250 245
# Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 245 257
# CVM Finance Corp.
7.19%, 3/1/04 AA 439 438
#+ DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 Aaa 150 153
DLJ Mortgage Acceptance
Corp.,
Series:
# 95-CF 2 A3
7.05%, 12/17/27 A 400 383
# 96-CF1 A1B
7.58%, 3/13/28 AAA 375 379
# Equitable Life Assurance
Society of the U.S.,
Series 1 A
6.633%, 7/23/03 AA 250 244
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 95-C1 A1
7.268%, 7/25/10 AAA 151 151
# Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 125 121
Merrill Lynch Mortgage
Investors, Inc., Series
96-C1 A3
7.42%, 4/25/28 AAA 275 275
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 225 227
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
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>
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R $ 100 $ 101
## 94-MD1 A2
7.673%, 3/15/18 N/R 125 127
- ------------------------------------------------------------
GROUP TOTAL 4,811
- ------------------------------------------------------------
ENERGY (0.5%)
# Excel Paralubes Funding
7.43%, 11/1/15 A- 450 432
- ------------------------------------------------------------
FINANCE (6.4%)
## Caterpillar Financial
Services
5.513%, 6/20/97 A 250 250
+ ## Corestates Capital Corp.
5.49%, 10/16/96 A1 575 575
+ ## Dean Witter Discover &
Co.
5.70%, 11/15/96 A1 325 325
# Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 573 535
# First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 250 242
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 175 181
## International Lease
Finance
6.00%, 10/15/97 A+ 500 502
John Hancock Surplus Note
7.375%, 2/15/24 AA 500 468
## Marshall & Ilsley Bank
5.525%, 5/26/97 A+ 425 425
# Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 550 535
# Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 375 343
## NationsBank Texas
5.50%, 6/18/97 A+ 250 250
# Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 AA- 350 320
# New York Life Insurance
Co.
7.50%, 12/15/23 AA 570 535
# Principal Mutual Life
Insurance Co., Series 95-2
A6
7.875%, 3/1/24 AA- 250 239
# Prudential Insurance Co.
8.30%, 7/1/25 A 375 374
- ------------------------------------------------------------
GROUP TOTAL 6,099
- ------------------------------------------------------------
[ ] HEDGED MORTGAGES (0.1%)
Federal Home Loan Mortgage
Corporation, Series
1699-SD Inv Fl IO REMIC
2.50%, 3/15/24 Agy 1,988 128
- ------------------------------------------------------------
INDUSTRIALS (0.3%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 360 333
- ------------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec. ## Gemsco Mortgage Pass
thru Certifcate, Series
83-TX A
8.635%, 11/25/10
(acquired 9/9/88, cost
$303) AA 329 332
## Resolution Trust Corp.,
Series 92-5 C
8.62%, 1/25/26 AA 54 55
- ------------------------------------------------------------
GROUP TOTAL 387
- ------------------------------------------------------------
TRANSPORTATION (0.4%)
# Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 295 343
- ------------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.1%)
Federal National Mortgage
Association,
Series:
96-34 C PO
3/25/23 Agy 525 219
249 1 PO
10/25/23 Agy 775 474
254 1 PO
1/1/24 Agy 239 156
260 1 PO
4/1/24 Agy 322 207
- ------------------------------------------------------------
GROUP TOTAL 1,056
- ------------------------------------------------------------
U.S. TREASURY SECURITIES (30.2%)
(+++) U.S. Treasury Bond
8.75%, 8/15/20 Tsy 4,600 5,482
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 3,750 3,755
7.00%, 4/15/99 Tsy 8,700 8,861
7.125%, 9/30/99 Tsy 3,950 4,039
7.50%, 2/15/05 Tsy 4,450 4,683
U.S. Treasury Strip, PO
8/15/20 Tsy 10,675 1,938
- ------------------------------------------------------------
GROUP TOTAL 28,758
- ------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $94,026) 94,105
- ------------------------------------------------------------
CASH EQUIVALENTS (41.6%)
- ------------------------------------------------------------
COMMERCIAL PAPER (36.7%)
American Express Credit
Corp.
5.30%, 10/15/96 2,700 2,695
Aon Corp.
5.30%, 10/4/96 2,700 2,699
Bell Atlantic
5.28%, 10/10/96 2,700 2,696
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)(+)
- ------------------------------------------------------------
<S> <C> <C>
Colgate-Palmolive Co.
5.39%, 11/13/96 $ 2,700 $ 2,683
Commercial Credit Co.
5.32%, 10/25/96 2,700 2,690
Ford Motor Credit Corp.
5.36%, 10/10/96 2,700 2,696
General Electric Credit
Corp.
5.28%, 11/1/96 2,700 2,688
Heinz (HJ) Co.
5.30%, 11/12/96 2,700 2,683
Motorola, Inc.
5.28%, 10/24/96 2,700 2,691
PHH Corp.
5.30%, 10/31/96 2,700 2,688
Raytheon Corp.
5.27%, 10/28/96 2,700 2,689
Warner Lambert Co.
5.28%, 10/2/96 2,700 2,700
Xerox Corp.
5.28%, 10/23/96 2,700 2,691
- ------------------------------------------------------------
GROUP TOTAL 34,989
- ------------------------------------------------------------
REPURCHASE AGREEMENT (4.9%)
Chase Securities, Inc. 5.60%, dated
9/30/96, due 10/1/96, to be
repurchased at $587, collateralized
by various U.S. Government
Obligations, due 10/3/96-7/17/98,
valued at $593 587 587
Goldman Sachs 5.65%, dated 9/30/96, due
10/1/96, to be repurchased at $2,041,
collateralized by U.S. Treasury
Bonds, 8.75%, due 5/15/17, valued at
$2,089 2,041 2,041
Merrill Lynch 5.50%, dated
9/30/96, due 10/1/96, to
be repurchased at $2,041,
collateralized by U.S.
Treasury Bills, due
12/31/96, valued at $2,091 2,041 2,041
- ------------------------------------------------------------
GROUP TOTAL 4,669
- ------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $39,658) 39,658
- ------------------------------------------------------------
TOTAL INVESTMENTS (140.3%) (Cost $133,684) 133,763
- ------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-40.3%)
Cash 1
Interest Receivable 798
Receivable for Investments Sold 5,354
Other Assets 2
Payable for Investments Purchased (44,371)
Payable for Investment Advisory Fees (81)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Payable for Daily Variation on Futures Contracts (4)
Written Interest Rate Floors, at Value (68)
Other Liabilities (25)
(38,401)
- ------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------
Applicable to 8,759,409 outstanding
shares of beneficial interest (unlimited
authorization, no par value) 95,362
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE 10.89
- ------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital 95,004
Undistributed Net Investment Income (Loss) 1,348
Undistributed Realized Net Gain (Loss) (1,139)
Unrealized Appreciation (Depreciation) on:
Investment Securities 79
Futures and Written Floors 70
- ------------------------------------------------------------
NET ASSETS 95,362
- ------------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $3,226 or 3.4% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
# 144A security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 1996.
[ ] Security purchased with proceeds from written
floors. See Note A6 to Financial Statements.
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, 1996.
CMO Collateralized Mortgage Obligation
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only
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.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (95.7%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (2.2%)
# ALPS, Series 96-1 D
12.75%, 6/15/06 BB- $ 6,400 $ 6,592
- -------------------------------------------------------
CABLE (12.5%)
Cablevision Systems Corp.
9.25%, 11/1/05 B 1,425 1,382
9.875%, 5/15/06 B 4,175 4,185
Comcast Corp. (Convertible)
1.125%, 4/15/07 BB- 5,750 2,631
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 6,090 5,730
# 10.50%, 6/15/06 BB- 1,075 1,108
(#) Marcus Cable Co.
0.00%, 12/15/05 B 7,025 4,768
Rogers Cablesystems
10.00%, 3/15/05 BB+ 4,300 4,364
* TCI Pacific
Communications, 5.00%,
7/31/06
(Convertible Preferred
Stock) BB- (1)27,175 2,534
# Time Warner, Inc.,
Series K, 10.25%
(Preferred Stock) BB+ (1)6,133 6,440
(#) Telewest plc
0.00%, 10/1/07 BB 5,785 3,681
- -------------------------------------------------------
GROUP TOTAL 36,823
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (7.5%)
sec.(##) CBA Mortgage Corp.,
Series 93-C1 E
7.153%, 12/25/03
(acquired 8/18/95, cost
$1,349) BB 1,675 1,412
+ Citicorp Mortgage Securities,
Inc.,
Series 90-8 A7
9.50%, 6/25/05 Ba1 2,286 1,645
# CMC Securities Corp.
IV, Series 94-G B3
7.00%, 9/25/24 N/R 753 519
sec. Countrywide Funding
Corp., Series 95-4 B3
7.50%, 9/25/25 (acquired
1/19/96, cost $1,166) N/R 1,467 1,086
sec. DLJ Mortgage
Acceptance Corp., Series
94-3 B3
6.50%, 4/25/24 (acquired
5/8/95, Cost $933) N/R 1,397 835
#+ First Boston Mortgage
Securities Corp.,
Series 92-4R 2
8.025%, 10/25/22 Ba3 1,422 978
# GE Capital Mortgage
Services, Inc., Series
94-28 B3
8.00%, 8/25/24 N/R 1,395 1,050
Prudential Home Mortgage
Securities Co., Inc.,
(#) Series:
#+ 92-A 3B2
7.90%, 4/28/22 Baa3 3,900 2,652
# 95-5 B3
7.25%, 9/25/25 BB 587 479
# 95-7 B3
7.00%, 11/25/25 BB 664 530
# 95-D B4
7.539%, 10/28/25 BB 1,667 1,403
sec. 95-F B2
6.625%, 12/25/23
(acquired 11/8/95, cost
$1,563) N/R 2,598 1,721
sec.+ 96-A B1
7.963%, 4/15/25
(acquired 4/18/96, cost
$2,137) Ba2 3,200 2,168
# 96-5 B3
7.25%, 4/25/26 N/R 1,472 1,110
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
sec. 95-S10 B1
7.50%, 7/25/25 (acquired
8/25/95, cost $469) N/R 618 467
sec. 95-S11 B1
7.50%, 11/25/25
(acquired 8/25/95, cost
$977) N/R 1,288 972
sec. 95-S16 B3
7.50%, 11/25/25
(acquired 9/20/95, cost
$961) N/R 1,245 967
(##) Ryland Mortgage
Securities Corp., Series
92-A C1
8.294%, 3/29/30 BB 700 536
Saxon Mortgage Securities Corp.,
Series:
sec. 93-8A B3
7.30%, 9/25/23 (acquired
2/9/94, cost $741) BB 866 610
# 94-2 B3
6.75%, 1/25/24 BB 1,600 1,042
- -------------------------------------------------------
GROUP TOTAL 22,182
- -------------------------------------------------------
CONSUMER SERVICES/PRODUCTS (3.3%)
Marvel Parent Holdings,
Inc.
Zero Coupon, 4/15/98 B- 4,010 3,118
(#) Six Flags Theme Parks
0.00%, 6/15/05 B 3,355 2,969
TLC Beatrice International
Holdings, Inc.
11.50%, 10/1/05 BB- 3,350 3,509
- -------------------------------------------------------
GROUP TOTAL 9,596
- -------------------------------------------------------
</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>
ENERGY (2.5%)
Flores & Rucks
9.75%, 10/1/06 B- $ 1,695 $ 1,723
Midland Funding II, Series
A
11.75%, 7/23/05 B- 2,300 2,467
Nuevo Energy Co.
9.50%, 4/15/06 B+ 3,005 3,073
- -------------------------------------------------------
GROUP TOTAL 7,263
- -------------------------------------------------------
FINANCE (4.6%)
First Nationwide Holdings,
Inc.
9.125%, 1/15/03 B 850 836
# 10.625%, 10/1/03 B 1,400 1,463
Home Holdings, Inc.
8.625%, 12/15/03 B- 6,299 2,186
# Homeside, Inc.
11.25%, 5/15/03 B+ 1,550 1,678
Reliance Group Holdings,
Inc.
9.00%, 11/15/00 BB+ 3,950 3,990
(##) United Savings of Texas
8.05%, 5/15/98 BB+ 3,505 3,495
- -------------------------------------------------------
GROUP TOTAL 13,648
- -------------------------------------------------------
INDUSTRIALS (29.5%)
Advanced Micro Devices
11.00%, 8/1/03 BB- 3,800 3,938
Algoma Steel, Inc.
12.375%, 7/15/05 B 3,500 3,658
Collins & Aikman Products
11.50%, 4/15/06 B 1,850 1,947
*#@ Consolidated Hydro,
Inc. (Warrants, expiring
12/31/03) (1)2,700 --
* Consolidated Hydro, Inc.
13.50% (Preferred Stock) N/R (1)1,500 230
Courtyard by Marriott,
Series B
10.75%, 2/1/08 B- 4,310 4,407
Crown Paper Co.
11.00%, 9/1/05 B 4,325 4,282
DR Securitized Lease Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 2,324 1,725
93-K1 A2
7.43%, 8/15/18 BB- 1,450 988
94-K1 A2
8.375%, 8/15/15 BB- 525 401
DR Structured Finance,
Series 94 K2
9.35%, 8/15/19 BB- 600 496
Exide Corp. (Convertible)
2.90%, 12/15/05 B 1,130 689
G-I Holdings, Inc., Series
B
Zero Coupon, 10/1/98 B+ 3,680 3,174
Gaylord Container Corp.
11.50%, 5/15/01 B 4,500 4,753
(#) 12.75%, 5/15/05 B- 1,475 1,613
Grand Casinos, Inc.
10.125%, 12/1/03 BB $ 4,575 $ 4,489
HMC Acquisition Properties
9.00%, 12/15/07 BB- 3,585 3,415
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 5,050 5,050
Kmart Corp.
8.375%, 7/1/22 B+ 2,081 1,582
Kmart Funding Corp., Series
F
8.80%, 7/1/10 BB- 4,600 3,940
La Quinta Inns, Inc.
9.25%, 5/15/03 BB+ 1,955 2,014
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 3,025 3,305
Norcal Waste Systems, Inc.
12.75%, 11/15/05 BB- 5,655 6,114
Revlon Worldwide Corp.
Zero Coupon, 3/15/98 B- 8,715 7,658
SD Warren Co.
12.00%, 12/15/04 B+ 2,440 2,641
Station Casino, Inc.
9.625%, 6/1/03 B+ 1,175 1,153
# Stone Container Corp.
11.50%, 8/15/06 B 2,700 2,774
Trump Atlantic City
Associates
11.25%, 5/1/06 BB- 2,100 2,069
Viacom, Inc.
8.00%, 7/7/06 BB- 8,925 8,311
- -------------------------------------------------------
GROUP TOTAL 86,816
- -------------------------------------------------------
SUPERMARKETS (1.0%)
Southland Corp.
5.00%, 12/15/03 BB+ 3,850 3,066
- -------------------------------------------------------
TECHNOLOGY (1.0%)
Blue Bell Funding
11.85%, 5/1/99 BB- 2,118 2,100
Unisys Corp.
12.00%, 4/15/03 B+ 925 955
- -------------------------------------------------------
GROUP TOTAL 3,055
- -------------------------------------------------------
TELEPHONES (11.5%)
(#) Brooks Fiber Properties
0.00%, 3/1/06 N/R 7,875 4,853
Comcast Cellular Corp.,
Series B
Zero Coupon, 3/5/00 BB- 6,375 4,478
@* Dial Call
Communications, Inc.
(Warrants, expiring
4/25/99) (1)4,800 --
(#) Dial Call Communications,
Inc.
0.00%, 4/15/04 CCC- 4,800 3,264
(#) EchoStar Satellite
Broadcast
0.00%, 3/15/04 B- 9,210 6,332
(#) MFS Communications Co.,
Inc.
0.00%, 1/15/06 B 9,365 6,543
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
(#) Nextel Communications
0.00%, 8/15/04 CCC- $ 11,750 $ 7,579
Paging Network, Inc.
10.125%, 8/1/07 B 900 931
- -------------------------------------------------------
GROUP TOTAL 33,980
- -------------------------------------------------------
TRANSPORTATION (2.6%)
Jet Equipment Trust
11.79%, 6/15/13 BB+ 3,450 4,001
#Series 95-D C
11.44%, 11/1/14 BB+ 2,350 2,669
USAir, Inc., Series F:
10.55%, 4/1/05 B+ 625 594
10.70%, 1/15/06 B+ 296 281
- -------------------------------------------------------
GROUP TOTAL 7,545
- -------------------------------------------------------
UTILITIES (3.6%)
Cleveland Electric
Illuminating Co.,
Series:
B
9.50%, 5/15/05 BB 1,900 1,959
8.375%, 12/1/11 BB 600 567
8.375%, 8/1/12 BB 2,025 1,914
First PV Funding Corp.
10.15%, 1/15/16 B+ 3,800 4,045
Midland Cogeneration Ltd.
Venture LP,
Series:
C-91
10.33%, 7/23/02 BB- 720 757
C-94
10.33%, 7/23/02 BB- 1,261 1,324
- -------------------------------------------------------
GROUP TOTAL 10,566
- -------------------------------------------------------
YANKEE (13.9%)
APP International Finance
11.75%, 10/1/05 BB 2,785 2,896
(##)Central Bank of
Argentina Bocon PIK Pre 4
0.00%, 9/1/02 N/R 4,400 4,433
+(##)Government of Venezuela
Front Loaded Interest
Reduction Bond
6.625%, 3/31/07 Ba2 3,500 2,949
*@ Mexico Recovery Rights
expiring 6/30/03 (1)9,525,000 --
#(#)Net Sat Servicos
Ltd.
12.75%, 8/5/04 B 2,500 2,650
#(#)Occidente Y Caribe
Celular
0.00%, 3/15/04 B 6,325 3,289
Philippines Long Distance
Telephone-Global Bond
9.25%, 6/30/06 BB 1,200 1,233
(#)Republic of Argentina
5.00%, 3/31/23 BB- $ 10,550 $ 6,159
+(#)Republic of Brazil Front
Loaded Interest Reduction
Bond
4.50%, 4/15/09 BB 1,000 693
+ Republic of Brazil Par
Series Z-L
4.25%, 4/15/24 B1 12,450 7,392
# Transgas de Occidente
S.A.
9.79%, 11/1/10 BBB- 2,800 2,788
United Mexican States
6.25%, 12/31/19 BB 9,525 6,584
- -------------------------------------------------------
GROUP TOTAL 41,066
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $278,115) 282,198
- -------------------------------------------------------
CASH EQUIVALENTS (2.6%)
- -------------------------------------------------------
REPURCHASE AGREEMENTS (2.6%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/01/96, to
be repurchased at $6,811
collateralized by various U.S.
Government and Agency
Obligations, due
10/3/96-7/17/98, valued at
$6,878 6,810 6,810
Chase Securities, Inc. 5.00%,
dated 9/30/96, due 10/01/96, to
be repurchased at $957
collateralized by U.S. Treasury
Bills, due 6/26/97, valued at
$980 957 957
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $7,767) 7,767
- -------------------------------------------------------
TOTAL INVESTMENTS (98.3%) (Cost $285,882) 289,965
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.7%)
Interest Receivable 6,413
Receivable for Investments Sold 4,062
Receivable for Fund Shares Sold 414
Dividends Receivable 174
Other Assets 4
Payable for Investments Purchased (5,620)
Payable for Fund Shares Redeemed (130)
Payable for Investment Advisory Fees (279)
Payable for Administrative Fees (19)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other Liabilities (32)
--------
4,984
- -------------------------------------------------------
NET ASSETS (100%) $294,949
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)(+)
- -------------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 31,104,570 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $289,810
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.32
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 551,800 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 5,139
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.31
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $283,562
Undistributed Net Investment Income (Loss) 8,657
Undistributed Realized Net Gain (Loss) (1,353)
Unrealized Appreciation (Depreciation) on
Investment Securities 4,083
- -------------------------------------------------------
NET ASSETS $294,949
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1996
was $10,238 or 3.5% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate securities-rate
disclosed is as of September 30, 1996.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
N/R Not rated by Moody's Investor Services, Inc.,
Standard & Poor's Corporation or Fitch.
PIK Payment-In-Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (94.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
FACE
AMOUNT VALUE
SEPTEMBER 30, 1996 (000) (000)(+)
- -----------------------------------------------------
<S> <C> <C>
FINANCE (48.2%)
American Express Credit Corp.
5.29%, 10/7/96 $ 2,225 $ 2,223
American General Finance Corp.
5.30%, 10/21/96 2,300 2,293
Associates Corp. of North
America
5.29%, 10/4/96 2,225 2,224
CIT Group Holdings, Inc.
5.30%, 10/10/96 2,300 2,297
Commercial Credit Co.
5.32%, 10/24/96 2,225 2,217
General Electric Capital Corp.
5.35%, 10/21/96 2,225 2,218
Household Finance Corp.
5.35%, 10/22/96 2,225 2,218
IBM Credit Corp.
5.35%, 10/24/96 2,225 2,217
JC Penney Funding Corp.
5.32%, 10/23/96 2,225 2,218
Metlife Funding, Inc.
5.35%, 10/28/96 2,225 2,216
Motorola Credit Corp.
5.30%, 10/3/96 2,225 2,224
National Rural Utilities Finance
Corp.
5.32%, 11/1/96 2,225 2,215
Norwest Financial, Inc.
5.30%, 10/11/96 2,225 2,222
PHH Corp.
5.30%, 10/8/96 2,225 2,223
Prudential Funding Corp.
5.41%, 11/4/96 2,225 2,214
Transamerica Corp.
5.34%, 10/30/96 725 722
5.35%, 10/18/96 1,500 1,496
Weyerhaeuser Mortgage Co.
5.27%, 10/2/96 2,225 2,225
- -----------------------------------------------------
GROUP TOTAL 37,882
- -----------------------------------------------------
INDUSTRIALS (14.2%)
E.I. DuPont de Nemours & Co.
5.25%, 10/3/96 2,225 2,224
H.J. Heinz Co.
5.35%, 10/17/96 2,225 2,220
John Deere & Co.
5.34%, 10/10/96 2,225 2,222
Raytheon Co.
5.33%, 10/2/96 2,225 2,225
Warner-Lambert Co.
5.28%, 10/2/96 2,225 2,225
- -----------------------------------------------------
GROUP TOTAL 11,116
- -----------------------------------------------------
MANUFACTURING AND RETAIL TRADE (17.1%)
Colgate Palmolive Co.
5.35%, 10/11/96 2,225 2,222
PepsiCo., Inc.
5.37%, 10/16/96 2,300 2,295
Philip Morris Cos., Inc.
5.27%, 10/15/96 2,225 2,220
R.R. Donnelley & Sons Co.
5.42%, 10/28/96 2,300 2,291
SmithKline Beecham plc
5.35%, 11/5/96 2,225 2,213
Xerox Corp.
5.37%, 10/21/96 2,225 2,218
- -----------------------------------------------------
GROUP TOTAL 13,459
- -----------------------------------------------------
TELECOMMUNICATIONS (9.3%)
Ameritech Corp.
5.32%, 10/17/96 2,225 2,220
Bell Atlantic Corp.
5.42%, 10/8/96 2,300 2,298
Dow Jones & Co., Inc.
5.35%, 10/7/96 2,275 2,273
Southwestern Bell Telephone Co.
5.30%, 10/1/96 530 530
- -----------------------------------------------------
GROUP TOTAL 7,321
- -----------------------------------------------------
TRANSPORTATION (5.8%)
Daimler-Benz AG
5.30%, 10/9/96 2,225 2,222
Toyota Motor Credit Corp.
5.40%, 10/18/96 2,300 2,294
- -----------------------------------------------------
GROUP TOTAL 4,516
- -----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $74,294) 74,294
- -----------------------------------------------------
VARIABLE RATE OBLIGATION (0.5%)
- -----------------------------------------------------
FINANCE (0.5%)
(##)Dean Witter Discover & Co.
5.70%, 11/15/96 (Cost $400) 400 400
- -----------------------------------------------------
REPURCHASE AGREEMENT (4.8%)
- -----------------------------------------------------
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $3,749,
collateralized by U.S.
Treasury Notes, 9.00%, due
5/15/98, valued at $3,831
(Cost $3,748) 3,748 3,748
- -----------------------------------------------------
TOTAL INVESTMENTS (99.9%) (Cost $78,442) 78,442
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)(+)
- -----------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (0.1%)
Interest Receivable $ 3
Receivable for Fund Shares Sold 119
Other Assets 1
Payable for Investment Advisory
Fees (28)
Dividends Payable (8)
Payable for Fund Shares Redeemed (5)
Payable for Administrative Fees (5)
Other Liabilities (22)
--------
55
- -----------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------
Applicable to 78,496,720 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 78,497
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 78,497
- -----------------------------------------------------
NET ASSETS $ 78,497
- -----------------------------------------------------
(+) See Note A1 to Financial Statements.
(##) Variable or floating rate security-rate disclosed is
as of September 30, 1996.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (101.1%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (32.3%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
8.25%, 10/1/06 Agy $ 120 $ 123
10.00%, 1/1/20-11/1/20 Agy 745 801
10.25%, 7/1/09 Agy 303 328
11.00%, 1/1/16 Agy 434 480
11.25%, 9/1/10-12/1/14 Agy 565 625
11.50%, 2/1/00 Agy 3 3
Gold Pools:
7.00%, 9/1/23-6/1/25 Agy 2,824 2,744
10.00%, 9/1/17-1/1/21 Agy 2,020 2,181
October TBA
7.00%, 4/25/25 Agy 2,475 2,408
7.50%, 6/15/23-6/15/26 Agy 14,050 13,901
8.00%, 6/15/25 Agy 3,875 3,914
Federal National
Mortgage Association
Conventional Pools:
10.00%, 5/1/22 Agy 1,035 1,119
10.50%, 11/1/17-12/1/17 Agy 886 973
10.75%, 8/1/13 Agy 105 116
11.25%, 11/1/00-8/1/13 Agy 269 296
11.50%, 9/1/25 Agy 900 1,007
October TBA
7.50%, 10/1/23 Agy 8,325 8,226
8.00%, 6/15/25 Agy 1,875 1,891
Government National
Mortgage Association
Various Pools:
10.00%, 11/15/09-5/15/18 Agy 2,141 2,340
10.50%, 12/15/00-5/15/19 Agy 131 145
11.00%, 2/15/10-2/15/19 Agy 1,732 1,939
11.50%, 8/20/14-1/20/18 Agy 39 43
October TBA
7.50%, 7/15/22-3/15/26 Agy 16,500 16,296
- -------------------------------------------------------
GROUP TOTAL 61,899
- -------------------------------------------------------
ASSET BACKED CORPORATES (4.4%)
sec. Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 (acquired
5/1/96, cost $1,256) N/R 1,239 1,256
(##) Airplanes Pass Through
Trust,
Series 1 B
6.522%, 3/15/19 A 520 520
ALPS, Series 94-1 A4 CMO
7.80%, 7/15/99 AA 800 816
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 1,885 1,886
# National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,115
Security Pacific Home
Equity Trust,
Series:
91-A A2
8.90%, 3/10/06 AAA 35 35
91-AB
10.50%, 3/10/06 A+ 1,050 1,075
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 1,810 1,807
- -------------------------------------------------------
GROUP TOTAL 8,510
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.7%)
Federal Home Loan
Mortgage Corporation,
Series:
89-47 F PAC CMO
10.00%, 6/15/20 Agy 400 438
(##) 1632 SA
5.657%, 11/15/23 Agy 884 631
Federal National Mortgage
Association,
Series 92-33 S Inv Fl
10.89%, 3/25/22 Agy 305 295
- -------------------------------------------------------
GROUP TOTAL 1,364
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (11.8%)
(##)Bear Stearns Mortgage
Securities, Inc.
Series 96-4 AI 10
8.125%, 9/25/97 AAA 1,100 1,113
+ Chase Mortgage Finance
Corp.,
Series:
93-N A8
6.75%, 11/25/24 Aaa 1,287 1,145
94-H A7
7.25%, 6/25/25 Aaa 1,600 1,475
Chemical Mortgage
Securities, Inc., Series
96-1 A9
7.25%, 1/25/26 AAA 994 952
Citicorp Mortgage
Securities, Inc. REMIC,
Series:
90-11 A5
9.50%, 7/25/20 AAA 58 59
#95-2 B1
7.50%, 4/25/25 AA 784 758
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
First Boston Mortgage
Corp., Series:
sec. 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93, cost
$326) A $ 339 $ 326
sec. 93-5 B1
7.30%, 7/25/23 (acquired
7/19/95, cost $1,365) AAA 1,435 1,348
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 582 520
sec.(##) Kidder Peabody
Funding Corp., Series
92-4 B2
8.47%, 5/28/22 (acquired
8/5/92, cost $290) N/R 289 283
Mid-State Trust II
Series 88-A4
9.625%, 4/1/03 AAA 1,050 1,142
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 2,117 1,990
sec. 96-1 B1
7.50%, 6/25/26 (acquired
4/15/96, cost $1,134) AA 1,172 1,138
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec.+ 92-33 B1
7.50%, 8/15/22 (acquired
9/14/92, cost $529) A2 556 527
# 92A-B2 4
7.90%, 4/28/22 A1 1,000 868
sec.+ 93-17 B1
6.50%, 3/1/23 (acquired
4/14/93, cost $580) Aa2 603 585
#(##) 94-A 3B3
6.803%, 4/28/24 N/R 1,450 1,311
Residential Funding
Mortgage
Securities Co., Inc.
Series:
93-MZ-1 A2
7.47%, 3/2/23 AA 1,000 969
93-MZ2 A2
7.47%, 5/30/23 AA 650 618
93-MZ3 A2
6.97%, 8/28/23 N/R 700 639
sec. 93-S27 M2
7.50%, 6/25/23 (acquired
7/21/95, cost $776) A 807 774
sec. 94-S1 A19
6.75%, 1/25/24 (acquired
5/22/95, cost $707) AAA 775 720
95-R20 A5
7.50%, 12/25/25 AAA 993 965
Rural Housing Trust Series
87-1M
3.33%, 4/1/26 A- 1,379 1,275
(##) Ryland Mortgage
Securities Corp., Series
92-A 1A
8.286%, 3/29/30 A- 585 577
sec.+ Salomon Brothers
Mortgage Securities,
Series 93-3 B1
7.20%, 8/25/23 (acquired
7/26/95, cost $602) Aa2 629 596
- -------------------------------------------------------
GROUP TOTAL 22,673
- -------------------------------------------------------
COMMERCIAL MORTGAGES (10.6%)
American Southwest
Financial
Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 AA 1,203 1,195
93-2 S1 IO
1.078%, 1/18/09 AA 9,725 513
95-C1 A1B
7.40%, 11/17/04 AAA 1,050 1,062
Asset Securitization Corp.
Series:
95-D1 A1
7.59%, 8/11/27 AAA 1,280 1,299
95-MD4 A1
7.10%, 8/13/29 AAA 1,186 1,170
(##) 95-MD4 ACS2 IO
2.41%, 8/13/29 AAA 2,013 356
Beverly Finance
8.36%, 7/15/04 AA- 675 699
# Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 11/15/07 A 1,400 1,372
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 950 932
# Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 736 772
# Crystal Run Properties,
Series A
7.393%, 8/15/06 AA 1,100 1,093
# CVM Finance Corp.
7.19%, 3/1/04 AA 586 585
# DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 AAA 400 408
DLJ Mortgage Acceptance Corp.,
Series:
# 95-CF 2 A3
7.05%, 12/17/27 A 1,100 1,053
# 96-CF1 A1B
7.58%, 3/13/28 AAA 1,100 1,111
# FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA 680 682
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 95-C1 A1
7.268%, 7/25/10 AAA 841 842
</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>
#Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA $ 900 $ 874
Merrill Lynch Mortgage
Investors, Inc.,
Series 96-C1 A3
7.42%, 4/25/28 AAA 1,100 1,098
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,311
(##)Nomura Asset Securities
Corp., Series 94-MD1 A2
7.673%, 3/15/18 AA 750 763
#Prime Property Funding,
Series 1A
6.633%, 7/23/03 AA 1,150 1,122
- -------------------------------------------------------
GROUP TOTAL 20,312
- -------------------------------------------------------
ENERGY (0.6%)
#Excel Paralubes Funding
7.43%, 11/1/15 A- 1,275 1,223
- -------------------------------------------------------
FINANCE (7.8%)
(##)Bank of Hawaii, Honolulu
5.55%, 11/25/96 A 750 750
(##)Caterpillar Financial
Services
5.513%, 6/20/97 A 1,350 1,350
Countrywide Funding Corp.
6.55%, 4/14/00 A 1,000 990
#Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,171 1,093
(##)First Chicago Corp.
5.683%, 10/3/97 A 1,525 1,526
#First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 350 338
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 850 881
(##)Household Finance Corp.
5.709%, 8/11/97 A 1,350 1,352
John Hancock Surplus Note
7.375%, 2/15/24 AA 950 889
#Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 900 875
#Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 950 868
# Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 AA- 1,250 1,145
#New York Life Insurance
Co.
7.50%, 12/15/23 AA 1,250 1,174
#Principal Mutual Life
Insurance Co., Series
95-2 A6
7.875%, 3/1/24 AA- 825 788
#Prudential Insurance
Co.
8.30%, 7/1/25 A 875 872
- -------------------------------------------------------
GROUP TOTAL 14,891
- -------------------------------------------------------
FOREIGN GOVERNMENTS (3.1%)
Government of Germany
7.50%, 9/9/04 AAA DEM 2,495 1,794
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 10,250 1,875
+ United Kingdom
9.75%, 8/27/02 Aaa GBP 1,265 2,211
- -------------------------------------------------------
GROUP TOTAL 5,880
- -------------------------------------------------------
[ ] HEDGED MORTGAGES (0.3%)
Federal Home Loan Mortgage Corpo-
ration, Series 1699-SD
Inv Fl IO REMIC
2.50%, 3/15/24 Agy $10,087 651
- -------------------------------------------------------
INDUSTRIALS (0.5%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 1,025 947
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.9%)
Bank of America, Series A
8.375%, 5/1/07 AAA 146 147
California Federal Savings & Loan,
Series 86-1A
8.80%, 1/1/14 AA 89 89
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 58 58
@ Marine Midland Bank NA,
Series 91-1 A7
8.50%, 4/25/22 AA -- --
(##)Resolution Trust Corp.,
Series 92-5 C
8.62%, 1/25/26 AA 574 585
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 893 847
- -------------------------------------------------------
GROUP TOTAL 1,726
- -------------------------------------------------------
</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>
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.7%)
Federal National Mortgage
Association Series:
93-205 G PO REMIC
9/25/23 Agy $ 474 250
93-235 H PO REMIC
9/25/23 Agy 195 130
93-237 E PO REMIC
11/25/23 Agy 610 407
93-243 C PO REMIC
11/25/23 Agy 128 81
94-25 C PO REMIC
11/25/23 Agy 300 187
249 1 PO
10/25/23 Agy 1,852 1,131
254 1 PO
1/1/24 Agy 698 455
260 1 PO
4/1/24 Agy 935 602
- -------------------------------------------------------
GROUP TOTAL 3,243
- -------------------------------------------------------
TRANSPORTATION (0.6%)
# Jet Equipment Trust,
Series 95-A A11
10.00%, 6/15/12 A 950 1,106
- -------------------------------------------------------
U.S. TREASURY SECURITIES (25.8%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 6,025 7,180
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 18,500 18,523
7.00%, 4/15/99 Tsy 3,200 3,259
7.125%, 9/30/99 Tsy 2,250 2,301
7.50%, 2/15/05 Tsy 13,550 14,259
U.S. Treasury Strips PO
5/15/18 Tsy 2,400 514
2/15/19 Tsy 7,950 1,611
(+++)8/15/20 Tsy 9,525 1,730
- -------------------------------------------------------
GROUP TOTAL 49,377
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $193,428) 193,802
- -------------------------------------------------------
CASH EQUIVALENTS (21.7%)
- -------------------------------------------------------
COMMERCIAL PAPER (20.6%)
American Express Credit
Corp.
5.30%, 10/15/96 6,600 6,586
CIT Group Holdings, Inc.
5.30%, 10/17/96 6,600 6,584
Colgate-Palmolive Co.
5.39%, 11/13/96 6,600 6,558
Commercial Credit Co.
5.32%, 10/25/96 6,600 6,577
Ford Motor Credit Corp.
5.36%, 10/10/96 6,600 6,591
Warner-Lambert Co.
5.28%, 10/2/96 6,600 6,599
- -------------------------------------------------------
GROUP TOTAL 39,495
- -------------------------------------------------------
REPURCHASE AGREEMENT (1.1%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $2,089,
collateralized by various U.S.
Government Obligations, due
10/3/96-7/17/98, valued at
$2,110 2,089 2,089
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $41,584) 41,584
- -------------------------------------------------------
TOTAL INVESTMENTS (122.8%) (Cost $235,012) 235,386
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.8%)
Cash 1,116
Interest Receivable 1,788
Receivable for Investments Sold 47,055
Receivable for Daily Variation on
Futures Contracts 6
Unrealized Gain on Forward Foreign
Currency Contracts 209
Other Assets 3
Payable for Investments Purchased (93,157)
Payable for Fund Shares Redeemed (45)
Payable for Investment Advisory Fees (206)
Payable for Administrative Fees (14)
Payable for Trustees' Deferred Compensation
Plan Shares-Note F (2)
Written Interest Rate Floors, at Value (346)
Other Liabilities (53)
--------
(43,646)
- -------------------------------------------------------
</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
VALUE
(CONT'D) (000)(+)
- -------------------------------------------------------
<S> <C>
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 17,068,331 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $191,740
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.23
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $186,698
Undistributed Net Investment Income (Loss) 4,660
Undistributed Realized Net Gain (Loss) (446)
Unrealized Appreciation (Depreciation) on:
Investment Securities 374
Foreign Currency Transactions 209
Futures and Written Floors 245
- -------------------------------------------------------
NET ASSETS $191,740
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1996
was $7,553 or 3.9% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
# 144A security. Certain conditions for public sale
may exist.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(##) Variable or floating rate security-rate disclosed
is as of September 30, 1996.
@ Amounts are less than $500.
[ ] Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
CMO Collateralized Mortgage Obligation
DEM German Mark
DKK Danish Krone
GBP British Pound
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (100.6%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (56.0%)
Federal Home Loan Mortgage
Corporation Gold Pools:
7.00%, 1/1/24-7/1/24 Agy $ 543 $ 528
10.00%, 2/1/18 Agy 427 459
October TBA
7.00%, 4/25/25 Agy 625 608
7.50%, 7/15/24-6/15/26 Agy 6,900 6,828
8.00%, 6/15/25 Agy 5,900 5,959
Federal National Mortgage
Association Conventional
Pools:
11.50%, 2/1/15-12/1/15 Agy 193 215
12.50%, 9/1/13 Agy 36 42
October TBA
8.00%, 5/15/25 Agy 1,500 1,513
Government National Mortgage
Association Various Pools:
12.00%, 12/15/12-11/15/15 Agy 1,407 1,609
October TBA
7.50%, 10/1/23-3/15/26 Agy 8,400 8,296
8.00%, 6/15/25 Agy 2,450 2,474
- -------------------------------------------------------
GROUP TOTAL 28,531
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.3%)
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 645 661
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.6%)
Federal Home Loan Mortgage
Corporation,
Series:
90-1007 F Inv Fl
22.61%, 1/15/20 Agy 12 13
90-129 H PAC
8.85%, 3/15/21 Agy 265 282
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
29.569%, 9/25/20 Agy 73 103
92-33 S Inv Fl
10.89%, 3/25/22 Agy 325 314
Government National Mortgage
Association,
Series:
96-12 S Inv Fl IO
3.063%, 6/16/26 Agy 7,943 513
Kidder Peabody Mortgage
Assets Trust,
Series:
+ 87-B PO
4/22/18 Aaa 345 257
+ 87-B IO
9.50%, 4/22/18 Aaa 345 103
Morgan Stanley Mortgage
Trust, Series 88-28 8 PAC
9.40%, 10/1/18 AAA 244 256
- -------------------------------------------------------
GROUP TOTAL 1,841
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (21.5%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 560 566
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1
7.00%, 3/25/20 AAA 301 301
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 365 326
Countrywide Funding Corp.,
Series 94-12 A10
7.00%, 5/25/24 AAA 1,645 1,472
First Boston Mortgage
Securities Corp.,
Series:
87-B2 IO
8.985%, 4/25/17 AAA 263 80
sec. 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-10/27/93,
cost $151) A 149 143
GE Capital Mortgage
Services, Inc.,
Series:
94-24 A4
7.00%, 7/25/24 AAA 502 448
96-2 A8
7.00%, 2/25/26 AAA 249 234
sec.(##) Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.47%, 5/28/22 (acquired
8/5/92-10/27/93,
cost $181) A 179 175
Mid-State Trust,
Series 88-A4
9.625%, 4/1/03 AAA 855 930
Old Stone Credit
Corporation,
Series 92-3 B1
6.35%, 9/25/07 AAA 69 67
sec. PNC Mortgage Securities
Corp.,
Series 96-1 B1
7.50%, 6/25/26 (acquired
4/15/96, cost $436) AA 450 437
</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
(STANDARD FACE
(CONT'D) & POOR'S) AMOUNT VALUE
(000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec.+ 92-33 B1
7.50%, 11/15/22 (acquired
11/30/92, cost $333) A2 $ 387 $ 366
#(##) 94-A 3B3
6.803%, 4/28/24 A 1,320 1,194
Residential Funding Mortgage
Securities Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 56 57
93-MZ1 A2
7.47%, 3/2/23 AA 500 485
sec. 93-S43 A10
6.50%, 11/25/23 (acquired
6/12/95, cost $538) AAA 582 530
94-S1 A19
6.75%, 1/25/24 AAA 445 414
Rural Housing Trust,
Series 87-1 M
3.33%, 4/1/26 A- 873 807
+ Ryland Mortgage Securities
Corp.,
Series 93-4 A9
7.50%, 8/25/24 Aaa 1,285 1,209
Saxon Mortgage Securities
Corp.,
Series 93-8A A6
7.375%, 9/25/23 AAA 752 699
- -------------------------------------------------------
GROUP TOTAL 10,940
- -------------------------------------------------------
COMMERCIAL MORTGAGES (8.4%)
Asset Securitization Corp.,
Series 95-MD4 A1
7.10%, 8/13/29 AAA 321 317
Beverly Finance Corp.
8.36%, 7/15/04 AA- 410 424
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 225 221
#+ DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 AAA 495 505
# Lakeside Finance Corp.
6.47%, 12/15/00 AA 460 452
Nomura Asset Securities
Corp.,
Series:
94-MD1 A 1B
7.526%, 3/15/18 AAA 265 269
(##) 94-MD1 A2
7.673%, 3/15/18 AA 215 219
Oakdale Mall
7.95%, 4/27/01 AAA 525 532
# Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 375 366
Sawgrass Financial,
Series 93-A1
6.45%, 1/20/06 AAA 495 484
# Stratford Finance Corp.
6.776%, 2/1/04 AA 495 472
- -------------------------------------------------------
GROUP TOTAL 4,261
- -------------------------------------------------------
[ ] HEDGED MORTGAGES (5.7%)
Federal Home Loan
Mortgage Corporation,
Series:
209-S Inv Fl IO
3.55%, 12/15/18 Agy 1,600 182
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 243 103
1476-S Inv Fl IO REMIC PAC
4.431%, 2/15/08 Agy 1,984 200
1485-S Inv Fl IO REMIC
4.10%, 3/15/08 Agy 3,691 288
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 5,282 266
Federal National
Mortgage Association,
Series:
91-46 S Inv Fl REMIC
1252.344%, 5/25/21 Agy 1 41
91-90 S Inv Fl REMIC
547.044%, 7/25/21 Agy 4 46
92-186 S Inv Fl IO CMO
3.431%, 10/25/07 Agy 3,863 288
sec. G 92-52 SQ Inv Fl IO
REMIC
7,602.546%, 9/25/22
(acquired 7/11/96,
cost $253) Agy 1 265
G 94-2 S Inv Fl IO REMIC
2.569%, 1/25/24 Agy 4,252 230
Government National
Mortgage Association,
Series:
96-10 S Inv Fl IO
3.063%, 6/16/26 Agy 7,772 502
96-13 S Inv Fl IO
3.65%, 7/16/11 Agy 3,150 248
96-17 S Inv Fl IO
3.05%, 8/16/26 Agy 3,928 259
- -------------------------------------------------------
GROUP TOTAL 2,918
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (2.2%)
Bank of America, Series 79-3
9.50%, 11/1/08 AAA 81 82
DLJ Mortgage Acceptance
Corp.,
Series 93-MF7 A1
7.40%, 6/18/03 AAA 361 364
(##)Resolution Trust Corp.,
Series 92-5 C
8.62%, 1/25/26 AA 556 566
</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>
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA $ 115 $ 109
- -------------------------------------------------------
GROUP TOTAL 1,121
- -------------------------------------------------------
STRIPPED MORTGAGE-AGENCY COLLATERAL (1.9%)
Federal National
Mortgage Association,
Series:
(##) 93-M2 B IO REMIC
2.572%, 7/25/03 Agy 812 62
93-205 G PO REMIC
9/25/23 Agy 261 138
93-235 H PO REMIC
9/25/23 Agy 111 74
93-237 E PO REMIC
11/25/23 Agy 341 227
93-243 C PO REMIC
11/25/23 Agy 66 42
94-25 C PO REMIC
11/25/23 Agy 168 105
249 1 PO
10/25/23 Agy 172 105
254 1 PO
1/1/24 Agy 156 101
260 1 PO
4/1/24 Agy 207 133
- -------------------------------------------------------
GROUP TOTAL 987
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $50,548) 51,260
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.4%)-NOTE A7
- -------------------------------------------------------
Morgan Guaranty Trust
Company, 11/20/05; monthly
payments equal to 1% per
annum of the oustanding
notional balance, indexed
to GNMA ARM pools. (Cost
$200) N/R 5,641 183
- -------------------------------------------------------
CASH EQUIVALENTS (51.8%)
- -------------------------------------------------------
U.S. TREASURY SECURITY (1.5%)
(+++)U.S. Treasury Bill
Zero Coupon,
10/31/96 Tsy 750 747
- -------------------------------------------------------
COMMERCIAL PAPER (47.0%)
American Express Credit
Corp.
5.30%, 10/15/96 1,500 1,497
Aon Corp.
5.30%, 10/4/96 1,500 1,499
CIT Group Holdings, Inc.
5.30%, 10/17/96 1,500 1,496
Colgate-Palmolive Co.
5.39%, 11/13/96 1,500 1,490
Commercial Credit Corp.
5.32%, 10/25/96 1,500 1,495
Dun & Bradstreet Corp.
5.30%, 10/10/96 1,500 1,498
Ford Motor Credit Corp.
5.36%, 10/10/96 1,500 1,498
General Electric Capital
Corp.
5.28%, 11/1/96 1,500 1,493
HJ Heinz Co.
5.30%, 11/12/96 1,500 1,491
Household Finance Corp.
5.28%, 10/16/96 1,500 1,497
Metlife Funding, Inc.
5.30%, 11/1/96 1,500 1,493
Motorola Credit Corp.
5.28%, 10/24/96 1,500 1,495
PHH Corp.
5.30%, 10/31/96 1,500 1,493
Raytheon Co.
5.27%, 10/28/96 1,500 1,494
Warner Lambert Co.
5.28%, 10/2/96 1,500 1,500
Xerox Corp.
5.28%, 10/23/96 1,500 1,495
- -------------------------------------------------------
GROUP TOTAL 23,924
- -------------------------------------------------------
REPURCHASE AGREEMENTS (3.3%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/01/96, to
be repurchased at $570,
collateralized by various U.S.
Government and Agency
Obligations, due
10/3/96-7/17/98, valued at $576 570 570
Goldman Sachs & Co. 5.65%, dated
9/30/96, due 10/01/96, to be
repurchased at $568,
collateralized by U.S. Treasury
Bonds 8.75%, due 5/15/17, valued
at $581 568 568
Merrill Lynch & Co. 5.50%, dated
9/30/96, due 10/01/96, to be
repurchased at $568,
collateralized by U.S. Treasury
Bills, due 12/31/96, valued at
$582 568 568
- -------------------------------------------------------
GROUP TOTAL 1,706
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $26,377) 26,377
- -------------------------------------------------------
TOTAL INVESTMENTS (152.8%) (Cost $77,125) 77,820
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-52.8%)
Cash 1
Interest Receivable 271
Receivable for Investments Sold 303
Receivable for Daily Variation on
Futures Contracts 8
Payable for Investments Purchased (25,684)
Payable for Investment Advisory Fees (38)
Payable for Administrative Fees (3)
Written Interest Rate Floors, at Value (1,693)
Other Liabilities (60)
--------
(26,895)
- -------------------------------------------------------
</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
VALUE
(CONT'D) (000)(+)
- -------------------------------------------------------
<S> <C>
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 4,884,890 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $50,925
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.42
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 53,310
Undistributed Net Investment Income (Loss) 1,056
Undistributed Realized Net Gain (Loss) (4,143)
Unrealized Appreciation (Depreciation) on:
Investment Securities 695
Futures and Written Floors 7
- -------------------------------------------------------
NET ASSETS $50,925
- -------------------------------------------------------
</TABLE>
---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $1,916 or 3.8% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
# 144A security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(##) Variable or floating rate security-rate
disclosed is as of September 30, 1996.
[ ] Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
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 (98.3%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (8.8%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 4/1/10-8/1/16 Agy $ 503 $ 540
10.50%, 12/1/14-10/1/20 Agy 798 869
11.00%, 8/1/15-5/1/20 Agy 331 364
11.50%, 12/1/08-1/1/18 Agy 1,352 1,511
12.00%, 12/1/14 Agy 61 70
13.00%, 9/1/14 Agy 6 7
Gold Pools:
10.00%, 2/1/21-10/1/21 Agy 374 405
10.50%, 1/1/19-11/1/19 Agy 811 889
11.50%, 8/1/10 Agy 256 285
12.00%, 6/1/15-9/1/15 Agy 748 835
Federal National
Mortgage Association
Conventional Pools:
10.00%, 12/1/15-9/1/16 Agy 762 823
10.50%, 4/1/15 Agy 182 199
12.00%, 5/1/14-8/1/20 Agy 451 511
12.50%, 2/1/15 Agy 187 215
Government National Mortgage
Association Various Pools:
10.00%, 11/15/09-4/15/17 Agy 844 924
10.50%, 5/15/16-5/15/26 Agy 958 1,060
11.00%, 1/15/10-12/15/17 Agy 891 998
11.50%, 2/15/13-9/15/14 Agy 346 391
- -------------------------------------------------------
GROUP TOTAL 10,896
- -------------------------------------------------------
ASSET BACKED CORPORATES (19.0%)
+ Access Financial
Manufacturing Housing
Contract Trust,
Series 96-1 A2
6.75%, 11/15/26 Aaa 740 737
sec. Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 (acquired
5/1/96, cost $764) N/R 754 764
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 385 383
96-B A
6.60%, 4/15/01 A 591 591
(##) Airlines Pass Through
Trust,
Series 1 A5
5.77%, 3/15/19 AA 719 719
ALPS,
Series 94-1 A2 CMO
7.15%, 11/15/97 AA 452 455
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 1,113 1,113
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 256 259
95-A B
7.65%, 3/15/02 A 300 304
Champion Healthcare Trust,
Series 96-3 A2
7.35%, 8/25/11 AAA 550 549
Cityscape Home Equity
Loan Trust,
Series:
# 95-2 A1
7.29%, 2/25/09 AAA 112 111
96-1 A1
6.45%, 1/25/11 AAA 881 879
96-3 A2
6.65%, 6/25/11 AAA 600 597
Contimortgage Home Equity
Loan Trust,
Series:
96-1 A1
5.70%, 10/15/09 AAA 702 700
96-3 A2
6.97%, 7/15/11 AAA 600 602
First Plus Home Loan Trust,
Series 96-3 A2
6.85%, 6/20/07 AAA 775 775
Fleet Finance, Inc.,
Series 93-1 A
5.45%, 3/20/23 AAA 613 611
Fleetwood Credit Corp,
Series 92-A A
7.10%, 2/15/07 AAA 702 707
Ford Credit Auto Owner
Trust,
Series 96-A A3
6.50%, 11/15/99 AAA 1,700 1,705
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA 1,029 1,041
General Motors Acceptance
Corp., Series 93-A A
Grantor Trust
4.15%, 3/16/98 AAA 17 17
Green Tree Financial Corp.,
Series:
95-4 A1
6.05%, 7/15/25 AAA 359 359
94-5 A1
6.60%, 11/15/19 AA 167 168
Greenwich Capital
Acceptance, Inc.,
Series 95-BA1 A1
6.00%, 8/10/20 AAA 477 472
</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>
(##) IBM Credit Receivables
Lease Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA $ 344 $ 340
(##) John Deere Owner Trust,
Series 93-B A2
4.10%, 10/15/00 AAA 150 149
Money Store (The) Home
Equity Trust,
Series:
95-C A1
6.20%, 1/15/09 AAA 576 575
96-C A3
7.07%, 12/15/16 AAA 750 750
# National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 600 595
Navistar Financial Corp.,
Series:
(##) 93-A A2
4.475%, 10/15/98 AAA 138 138
94-B A
6.40%, 1/15/00 AAA 840 842
Oakwood Mortgage Investors
Inc., Series 95-B A1
6.25%, 1/15/21 AAA 694 693
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 338 337
94-B B
6.95%, 6/15/01 AAA 410 412
Onyx Acceptance Trust,
Series 94-1 A
6.90%, 1/17/00 AAA 268 270
Orix Credit Alliance Owner
Trust, Series 94-AA
6.05%, 6/15/99 AAA 291 291
Premier Auto Trust,
Series:
94-3 B
6.80%, 12/2/99 AA 231 232
95-A A 4
6.00%, 5/6/00 AAA 775 771
Southern Pacific Secured
Assets Corp., Series 96-1
A2
6.09%, 2/25/14 AAA 794 790
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 1,060 1,058
(##) Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 77 77
93-3 A1
4.25%, 12/1/98 AAA 112 111
94-1 A1
5.10%, 6/1/99 AAA 216 215
(##) Western Financial, Series
93-A1
4.45%, 7/1/98 AAA 119 118
- -------------------------------------------------------
GROUP TOTAL 23,382
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.0%)
(##) Student Loan
Marketing Association,
Series:
95-1 A1
5.78%, 4/26/04 AAA 661 662
96-1 A1
5.78%, 7/26/04 AAA 529 530
- -------------------------------------------------------
GROUP TOTAL 1,192
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.8%)
Citicorp Mortgage
Securities, Inc., REMIC,
Series 93-9 A1
7.00%, 3/25/20 AAA 169 169
GE Capital Mortgage
Services, Inc., Series
93-14 A2
5.75%, 4/25/11 AAA 900 891
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 144 140
Residential Funding Mortgage
Securities Co., Inc.,
Series 93-MZ1 A1
7.47%, 3/2/23 AA 259 259
Security Pacific Home Loan
Equity Trust, Series 91-1
B
8.85%, 5/15/98 AAA 750 766
- -------------------------------------------------------
GROUP TOTAL 2,225
- -------------------------------------------------------
COMMERCIAL MORTGAGES (0.8%)
+ Carolina First Bank,
Series 96
6.50%, 12/18/99 Aa2 493 489
CBM Funding Corp.,
Series 96-1 A1
7.55%, 7/1/99 AA 506 513
- -------------------------------------------------------
GROUP TOTAL 1,002
- -------------------------------------------------------
</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>
FINANCE (10.9%)
Allstate Corp.
5.875%, 6/15/98 A $ 1,125 $ 1,117
Associates Corp., N.A.
8.25%, 12/1/99 AA- 600 627
Barclays American Corp.
7.875%, 8/15/98 AA 450 461
Chrysler Financial Corp.
6.09%, 7/18/97 A- 625 626
Countrywide Funding Corp.
7.32%, 8/15/00 A 650 659
Dean Witter Discover & Co.
6.00%, 3/1/98 A 625 623
Equitable Cos., Inc.
7.30%, 12/1/03 A+ 560 563
# Farmers Insurance
Exchange
8.50%, 8/1/04 BBB- 700 722
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 675 688
8.375%, 1/15/00 A+ 400 419
General Motors Acceptance Corp.
6.00%, 12/30/98 A- 600 594
7.125%, 7/1/97 A- 100 101
7.25%, 6/22/99 A- 285 289
Heller Financial, Inc.
7.875%, 11/1/99 BBB+ 525 541
9.375%, 3/15/98 BBB+ 375 391
(##) Household Finance Corp.,
Series 89-2 A
5.59%, 12/20/04 AAA 5 5
Household International
6.00%, 3/15/99 A 575 568
International Lease Finance
(##) 6.00%, 10/15/97 A+ 700 703
8.28%, 2/3/00 A+ 550 575
Lehman Brothers Holding,
Inc.
6.625%, 11/15/00 A 725 711
# Metropolitan Life
Insurance Co.
6.30%, 11/1/03 AA 675 640
# Nationwide Mutual Insurance Co.
6.50%, 2/15/04 AA- 675 644
#+ Prudential Insurance
Co.
6.875%, 4/15/03 A2 400 389
#(##) Superior Wholesale Inventory
Financing, Series 94-A
5.57%, 1/15/99 A 650 651
(##) Wells Fargo & Co.
5.582%, 1/28/97 A- 175 175
- -------------------------------------------------------
GROUP TOTAL 13,482
- -------------------------------------------------------
INDUSTRIALS (2.0%)
# Kern River Funding Corp.
6.42%, 3/31/01 A- 759 753
Philip Morris Cos., Inc.
8.75%, 6/1/01 A 520 553
- -------------------------------------------------------
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 575 582
Time Warner, Inc.
9.625%, 5/1/02 BBB- 550 607
- -------------------------------------------------------
GROUP TOTAL 2,495
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
+ Town & Country Funding
Corp.
5.85%, 8/15/98 Aa2 1,000 986
- -------------------------------------------------------
TELEPHONES (0.5%)
Tele-Communications Inc.
8.25%, 1/15/03 BBB- 550 554
- -------------------------------------------------------
U.S. TREASURY SECURITIES (52.7%)
U.S. Treasury Bond
6.125%, 8/31/98 Tsy 1,500 1,500
U.S. Treasury Notes
4.75%, 8/31/98 Tsy 20,150 19,662
6.375%, 5/15/99 Tsy 4,025 4,037
6.75%, 5/31/99 Tsy 2,225 2,252
6.875%, 8/31/99 Tsy 16,000 16,245
7.00%, 4/15/99 Tsy 1,000 1,018
7.50%, 10/31/99 Tsy 4,100 4,232
U.S. Treasury Strip PO
5/15/98 Tsy 17,600 15,982
- -------------------------------------------------------
GROUP TOTAL 64,928
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $121,258) 121,142
- -------------------------------------------------------
CASH EQUIVALENTS (10.5%)
- -------------------------------------------------------
REPURCHASE AGREEMENTS
Chase Securities, Inc. 5.60%, dated
9/30/96, due 10/01/96, to be
repurchased at $4,325,
collateralized by various U.S.
Government and Agency
Obligations, due 10/3/96-7/17/98,
valued at $4,367 4,324 4,324
Goldman Sachs & Co. 5.65%, dated
9/30/96, due 10/01/96, to be
repurchased at $4,324,
collateralized by U.S. Treasury
Bonds 8.75%, due 5/15/17, valued
at $4,424 4,323 4,323
Merrill Lynch & Co. 5.50%, dated
9/30/96, due 10/01/96, to be
repurchased at $4,324,
collateralized by U.S. Treasury
Bills, due 12/31/96, valued at
$4,429 4,323 4,323
- -------------------------------------------------------
GROUP TOTAL (Cost $12,970) 12,970
- -------------------------------------------------------
TOTAL INVESTMENTS (108.8%) (Cost $134,228) 134,112
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
VALUE
(CONT'D) (000)(+)
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-8.8%)
Receivable for Investments Sold $ 8,132
Interest Receivable 1,054
Other Assets 1
Payable for Investments Purchased (19,003)
Payable for Fund Shares Redeemed (951)
Payable for Investment Advisory Fees (87)
Payable for Administrative Fees (8)
Payable to Custodian (3)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (19)
--------
(10,885)
- -------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 11,868,080 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $123,227
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.38
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $126,301
Undistributed Net Investment Income (Loss) 1,710
Undistributed Realized Net Gain (Loss) (4,668)
Unrealized Appreciation (Depreciation) on
Investment Securities (116)
- -------------------------------------------------------
NET ASSETS $123,227
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $764 or 0.6% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
# 144A security. Certain conditions for public
sale may exist.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(##) Variable or floating rate security-rate
disclosed is as of September 30, 1996.
CMO Collateralized Mortgage Obligation
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (102.2%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (38.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.50%, 10/1/20 Agy $ 398 $ 434
11.00%, 12/1/10-9/1/20 Agy 3,027 3,340
11.75%, 12/1/17 Agy 163 182
Gold Pools:
7.00%, 9/1/23-4/1/24 Agy 4,930 4,789
10.50%, 11/1/15-4/1/21 Agy 1,011 1,108
October TBA
7.00%, 4/25/25 Agy 5,375 5,229
7.50%, 6/15/23-6/15/26 Agy 77,100 76,281
8.00%, 6/15/25 Agy 7,000 7,070
Federal National
Mortgage Association
Conventional Pools:
9.00%, 6/1/16-8/1/16 Agy 2,211 2,325
10.50%, 8/1/15-4/1/22 Agy 5,975 6,561
October TBA
7.50%, 10/1/23-6/15/25 Agy 20,775 20,529
8.00%, 6/15/25 Agy 9,325 9,407
Government National
Mortgage Association
Various Pools:
10.50%,
10/15/15-4/15/25 Agy 4,743 5,249
11.00%, 1/15/10-5/15/26 Agy 7,117 7,856
12.00%, 4/15/14 Agy 63 72
October TBA
7.50%, 10/1/23-3/15/26 Agy 15,125 14,938
8.00%, 6/15/25 Agy 5,300 5,351
- --------------------------------------------------------
GROUP TOTAL 170,721
- --------------------------------------------------------
ASSET BACKED CORPORATES (1.5%)
(##) Airplanes Pass Through
Trust, Series 1 B
6.522%, 3/15/19 A 1,176 1,178
ALPS,
Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 950 969
94-1 C2 CMO
9.35%, 3/15/00 BBB 1,617 1,656
# National Car Rental Financing
Ltd., Series 96-1 A4
7.35%, 10/20/03 N/R 1,175 1,165
Security Pacific Home
Equity Trust,
Series:
91-A A2 N/R
8.90%, 3/10/06 AAA 376 378
91-A B
10.50%, 3/10/06 A+ 1,298 1,329
- --------------------------------------------------------
GROUP TOTAL 6,675
- --------------------------------------------------------
ASSET BACKED MORTGAGES (1.4%)
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 2,105 2,125
Cityscape Home Equity
Loan, Series 96-3 A8
7.65%, 8/25/26 AAA 2,200 2,164
Contimortgage Home Equity
Loan Trust, Series 96-3
A7
8.04%, 9/15/27 AAA 2,150 2,162
- --------------------------------------------------------
GROUP TOTAL 6,451
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.1%)
Federal Home Loan Mortgage
Corporation, Series
88-22C PAC 11
9.50%, 4/15/20 Agy 41 45
Federal National Mortgage
Association, Series
92-33 S Inv Fl IO
10.89%, 3/25/22 Agy 610 590
- --------------------------------------------------------
GROUP TOTAL 635
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (8.0%)
American Housing Trust,
Series:
IV 2
9.553%, 9/25/20 A 350 360
V 1G
9.125%, 4/25/21 AAA 1,650 1,667
+ Chase Mortgage Finance
Corp., Series 93-N A8
6.75%, 11/25/24 Aaa 2,800 2,492
Chemical Mortgage
Securities, Inc., Series
93-1M
7.45%, 2/25/23 AA 227 221
Citicorp Mortgage
Securities, Inc., Series
90-11 A5
9.50%, 7/25/20 AAA 150 152
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 1,800 1,606
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired 1/26/93,
cost $1,098) A 1,150 1,104
GE Capital Mortgage
Services, Inc.,
Series:
# 94-13 B1
6.50%, 4/25/24 N/R 5,360 4,770
94-24 A4
7.00%, 7/25/24 AAA 1,681 1,501
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C> <C>
sec.+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24
(acquired
11/9/95, cost $2,552) A2 $ 2,558 $ 2,462
sec.(##) Kidder Peabody
Funding
Corp., Series 92-4 B2
8.47%, 5/28/22
(acquired
8/5/92, cost $780) N/R 779 763
Mid-State Trust II, Series
88-A4
9.625%, 4/1/03 AAA 725 789
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 283 283
#+ 92A-B2 4
7.90%, 4/28/22 A1 2,598 2,253
# 93-B B1
7.836%, 4/28/23 AA 3,047 3,018
# 94-A 3B3
6.802%, 4/28/24 N/R 3,176 2,864
Residential Funding
Mortgage
Securities Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 38 38
93-MZ1 A2
7.47%, 3/2/23 AA 2,800 2,713
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93, cost
$2,153) AA 2,150 2,045
Rural Housing Trust,
Series 87-1M
3.33%, 4/1/26 A- 694 642
Ryland Mortgage Securities
Corp.,
Series:
(##) 92-A 1A
8.286%, 3/29/30 A- 1,948 1,927
94-7B 4A2
7.50%, 8/25/25 AAA 2,700 2,537
- --------------------------------------------------------
GROUP TOTAL 36,207
- --------------------------------------------------------
COMMERCIAL MORTGAGES (5.9%)
+ American Southwest
Financial Securities
Corp.,
Series:
95-C1 A1B
7.40%, 11/17/04 Aaa 2,150 2,174
Asset Securitization
Corp., Series 95-MD4 A1
7.10%, 8/13/29 AAA 2,619 2,583
Beverly Finance
8.36%, 7/15/04 AA- 2,300 2,381
# Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 1,650 1,613
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 1,800 1,767
# Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 1,717 1,801
# Crystal Run
Properties, Series A
7.393%, 8/15/11 AA 2,250 2,235
#+ DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 Aaa 2,600 2,653
# Equitable Life Assurance
Society of the U.S.,
Series 1 A
6.633%, 7/23/03 AA 2,200 2,146
# FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA 1,749 1,755
# Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 1,900 1,845
Nomura Asset Securities
Corp., Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,200 1,249
# Stratford Finance
Corp.
6.776%, 2/1/04 AA 2,300 2,193
- --------------------------------------------------------
GROUP TOTAL 26,395
- --------------------------------------------------------
ENERGY (0.8%)
# Excel Paralubes
Funding
7.43%, 11/1/15 A- 1,725 1,654
Mobile Energy Services
8.665%, 1/1/17 BBB- 1,686 1,715
- --------------------------------------------------------
GROUP TOTAL 3,369
- --------------------------------------------------------
FINANCE (8.0%)
(##) Bank of Hawaii,
Honolulu
5.55%, 11/25/96 A 2,000 2,000
(##) Caterpillar Financial
Services
5.513%, 6/20/97 A 3,450 3,451
# Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 2,200 2,182
# First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,575 1,523
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 2,250 2,332
First Union REIT
8.875%, 10/1/03 BB- 1,050 950
(##) Ford Motor Credit Corp.
5.513%, 11/3/97 A+ 4,050 4,056
(##) Marshall & Ilsley Bank
5.525%, 5/26/97 A+ 3,500 3,500
# Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 1,500 1,459
</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>
# Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA $ 2,250 $ 2,056
(#) Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 2,250 2,105
# Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 AA- 2,025 1,855
# New York Life
Insurance Co.
7.50%, 12/15/23 AA 2,500 2,349
# Principal Mutual Life
Insurance Co., Series 95-2 A6
7.875%, 3/1/24 AA- 2,225 2,125
# Prudential Insurance
Co.
8.30%, 7/1/25 A 1,550 1,545
Reliance Group Holdings,
Inc.
9.00%, 11/15/00 BB+ 1,175 1,187
(##) United Savings of Texas
8.05%, 5/15/98 BB+ 1,100 1,097
- --------------------------------------------------------
GROUP TOTAL 35,772
- --------------------------------------------------------
FOREIGN GOVERNMENTS (2.9%)
Government of Germany
7.50%, 9/9/04 AAA DEM 5,985 4,302
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 23,375 4,276
United Kingdom
9.75%, 8/27/02 AAA GBP 2,540 4,439
- --------------------------------------------------------
GROUP TOTAL 13,017
- --------------------------------------------------------
[ ] HEDGED MORTGAGES (1.9%)
Federal Home Loan Mortgage
Corporation,
Series:
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 1,189 505
1476-S Inv Fl IO
REMIC PAC
4.431%, 2/15/08 Agy 11,310 1,138
1485-S Inv Fl IO REMIC
4.10%, 3/15/08 Agy 11,473 895
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 22,300 1,122
Federal National Mortgage
Association,
Series:
92-186 S Inv Fl IO CMO
3.431%, 10/25/07 Agy 20,793 1,551
94-33S Inv Fl IO
2.569%, 3/25/09 Agy 33,730 1,652
G94-2 S Inv Fl IO REMIC
2.569%, 1/25/24 Agy 27,469 1,486
- --------------------------------------------------------
GROUP TOTAL 8,349
- --------------------------------------------------------
INDUSTRIALS (5.6%)
(##) Blue Bell Funding
11.85%, 5/1/99 BB- 378 375
Comcast Corp.
9.375%, 5/15/05 BB- 2,500 2,531
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 504 374
94-K1 A2
8.375%, 8/15/15 BB- 1,035 790
DR Structured Finance,
Series 94 K2
9.35%, 8/15/19 BB- 1,280 1,059
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 1,975 1,893
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 1,260 1,274
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 1,175 1,284
# Oxymar
7.50%, 2/15/16 BBB 1,490 1,387
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 2,950 2,659
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 1,535 1,517
(#) Rhone-Poulenc Rorer,
Inc.
8.62%, 1/5/21 BBB+ 2,000 2,089
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 1,567 1,585
Southland Corp.
5.00%, 12/15/03 BB+ 2,947 2,347
(+++) Time Warner, Inc.
9.15%, 2/1/23 BBB- 2,100 2,219
Unisys Corp.
10.625%, 10/1/99 B+ 1,625 1,649
- --------------------------------------------------------
GROUP TOTAL 25,032
- --------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 66 66
Marine Midland Bank NA,
Series 91-1A7
8.50%, 4/25/22 AA 1 1
(##) Resolution Trust Corp.,
Series 92-5 C
8.62%, 1/25/26 AA 1,615 1,645
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 1,767 1,677
sec. Shearson American
Express, Series A
9.625%, 12/1/12
(acquired
8/24/92- 5/25/93,
cost $303) AA 290 297
- --------------------------------------------------------
GROUP TOTAL 3,686
- --------------------------------------------------------
</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 FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.4%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy $ 3,746 $ 2,288
254 1 PO
1/1/24 Agy 1,329 866
260 1 PO
4/1/24 Agy 1,790 1,152
93-205 G PO REMIC
9/25/23 Agy 853 451
93-235 H PO REMIC
9/25/23 Agy 354 237
93-237 E PO REMIC
11/25/23 Agy 1,121 748
93-243 C PO REMIC
11/25/23 Agy 238 151
94-25 C PO REMIC
11/25/23 Agy 554 345
- --------------------------------------------------------
GROUP TOTAL 6,238
- --------------------------------------------------------
TELEPHONES (2.2%)
Comcast Cellular Corp.,
Series:
A
Zero Coupon, 3/5/00 BB- 2,000 1,405
B
Zero Coupon, 3/5/00 BB- 530 372
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 1,950 1,835
(#) MFS Communications Co.,
Inc.
0.00%, 1/15/06 B 1,910 1,335
Rogers Cablesystems
10.00%, 3/15/05 BB+ 1,975 2,005
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 825 717
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 2,450 2,384
- --------------------------------------------------------
GROUP TOTAL 10,053
- --------------------------------------------------------
TRANSPORTATION (0.6%)
# Jet Equipment Trust,
Series 95-5 AC
10.69%, 5/1/15 BBB- 2,100 2,489
- --------------------------------------------------------
U.S. TREASURY SECURITIES (20.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 10,675 12,722
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 4,100 4,176
7.125%, 9/30/99 Tsy 15,250 15,593
7.50%, 2/15/05 Tsy 32,725 34,438
6.125%, 5/15/98 Tsy 19,000 19,024
U.S. Treasury Strip PO
8/15/20 Tsy 43,175 7,841
- -------------------------------------------------------
GROUP TOTAL 93,794
- -------------------------------------------------------
YANKEE (2.1%)
+ Brazil Par Series Z-L
4.25%, 4/15/24 B1 2,925 1,737
# Paiton Energy Funding
9.34%, 2/15/14 BBB- 1,675 1,697
(#) Republic of Argentina
5.00%, 3/31/23 BB- 4,445 2,595
United Mexican States
6.25%, 12/31/19 BB 3,100 2,143
YPF SA
7.50%, 10/26/02 BBB 1,188 1,195
- -------------------------------------------------------
GROUP TOTAL 9,367
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $452,888) 458,250
- -------------------------------------------------------
PREFERRED STOCK (0.1%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
# Time Warner, Inc.,
10.25% Series K
(Cost $196) 194 204
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
@* Mexico Recovery Rights,
expiring 6/30/03 (Cost
$0) 3,100,000 --
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.3%)
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
(##) Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum of the
outstanding notional
balance of certain GNMA
ARM pools. (Cost
$1,701) N/R $48,098 1,561
- -------------------------------------------------------
CASH EQUIVALENTS (38.7%)
- -------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(4.9%) 22,313 22,313
- -------------------------------------------------------
COMMERCIAL PAPER (26.0%)
American General
Finance Corp.
5.30%, 11/1/96 13,000 12,941
American Express
Credit Corp.
5.30%, 10/15/96 13,000 12,973
Colgate-Palmolive Co.
5.39%, 11/13/96 13,000 12,916
Commercial Credit Co.
5.32%, 10/25/96 13,000 12,954
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)(+)
- --------------------------------------------------------
<S> <C> <C>
Ford Motor Credit Corp.
5.36%, 10/10/96 $ 13,000 $ 12,983
General Electric Credit
Corp.
5.28%, 11/1/96 13,000 12,941
Heinz, (HJ) Co.
5.35%, 11/4/96 13,000 12,934
Transamerica Financial
Corp.
5.30%, 11/21/96 13,000 12,902
Warner-Lambert Co.
5.28%, 10/2/96 13,000 12,998
- --------------------------------------------------------
GROUP TOTAL 116,542
- --------------------------------------------------------
REPURCHASE AGREEMENT (7.8%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $34,883,
collateralized by various U.S.
Government and Agency
Obligations, valued at $35,226 34,877 34,877
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $173,732) 173,732
- --------------------------------------------------------
TOTAL INVESTMENTS (141.3%) (Cost $628,517) 633,747
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-41.3%)
Receivable for Investments Sold 34,408
Interest Receivable 4,194
Receivable for Fund Shares Sold 24
Unrealized Gain on Forward Foreign
Currency Contracts 434
Dividend Receivable 5
Other Assets 5
Payable for Investments Purchased (190,408)
Written Interest Rate Floors, at Value (10,528)
Payable for Fund Shares Redeemed (410)
Payable for Investment Advisory Fees (410)
Payable for Daily Variation on Futures (38)
Payable for Administrative Fees (29)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Collateral on Securities Loaned, at Value (22,313)
Other Liabilities (250)
--------
(185,319)
- --------------------------------------------------------
NET ASSETS (100%) $448,428
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 36,517,472 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $447,646
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.26
- --------------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 63,849 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 782
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.24
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $431,444
Undistributed Net Investment Income (Loss) 11,292
Undistributed Realized Net Gain (Loss) 277
Unrealized Appreciation (Depreciation) on:
Investment Securities 5,230
Foreign Currency Transactions 418
Futures and Written Floors (233)
- --------------------------------------------------------
NET ASSETS $448,428
- --------------------------------------------------------
</TABLE>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $6,671 or 1.5% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate security-rate
disclosed is as of September 30, 1996.
[ ] Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
DEM German Mark
DKK Danish Krone
GBP British Pound
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.1%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (86.0%)
Adelanto, CA School
District (FGIC)
Zero Coupon, 9/1/18 AAA $ 4,350 $ 1,185
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 430
Allegheny County, PA
Sanitation Authority,
Series B (MBIA)
Zero Coupon, 6/1/10 AAA 1,500 705
(##) Bakersfield, CA Hospital
Revenue Bonds (AMBAC)
3.69%, 1/1/19 AAA 750 750
Benicia, CA School District
(MBIA)
Zero Coupon, 8/1/11 AAA 3,480 1,503
California Housing &
Finance Agency Revenue
Bonds (MBIA)
5.30%, 8/1/14 AAA 225 225
California State
Zero Coupon, 3/1/04 A+ 375 256
Center Township, PA Sewer
Authority, Series A
(MBIA)
Zero Coupon, 4/15/19 AAA 855 231
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 125 125
(##) Chelsea, MA Lease
Revenue Bonds, Series A
3.78%, 6/6/23 AAA 700 700
(##) Colorado Health
Facilities Authority
(MBIA)
3.91%, 10/29/20 AAA 1,000 1,000
Colorado Health Facilities
Revenue Bonds, Series A
Zero Coupon, 7/15/20 AAA 1,000 191
(##) Connecticut State Health
& Educational Facilities
Authority Revenue Bonds
3.57%, 6/10/30 AAA 800 800
Elizabeth Forward, PA
School District (AMBAC)
Zero Coupon,
9/1/08 AAA 425 224
9/1/11 AAA 850 370
Fort Bend, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 1,250 716
Fort Worth, TX Independent
School District (PSFG)
Zero Coupon, 2/15/08 AAA 940 505
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 200 202
Grand Prairie, TX
Independent School
District (PSFG)
Zero Coupon, 8/15/07 AAA 750 418
Hamilton Southeastern, IN
(AMBAC)
Zero Coupon, 1/1/15 AAA 1,000 338
Harris County, TX Toll
Road, Series A (MBIA)
Zero Coupon, 8/15/07 AA+ 475 265
Houston, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 AAA 550 222
Hurst Euless Bedford, TX
Independent School
District (PSFG)
Zero Coupon,
8/15/17 AAA 965 283
8/15/18 AAA 1,100 304
+ Idaho Housing & Finance
Association, Series F
5.70%, 7/1/27 Aaa 275 276
Illinois Development
Finance Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 968
(##) Illinois Health
Facilities Authority
Revenue Bonds (AMBAC)
3.60%, 8/15/24 AAA 800 800
+ Indiana State Housing
Finance Authority Revenue
Bonds,
Series A2 (AMBAC)
5.55%, 1/1/21 Aaa 500 505
Indiana Transportation
Finance Authority Highway
Revenue
Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 509
Indianapolis Airport
Authority Revenue Bonds
7.10%, 1/15/17 BBB 375 399
Intermountain Power
Agency, UT
Zero Coupon, 7/1/17 AA- 1,750 507
6.50%, 7/1/09 (MBIA) AAA 875 969
Jacksonville, FL Electric
Authority Revenue Bonds
Zero Coupon, 10/1/11 AA 325 141
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 525 249
</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>
Kansas City, KA Utility
Systems Revenue Bonds
(AMBAC)
Zero Coupon,
3/1/06 AAA $ 130 $ 80
3/1/06 AAA 95 58
+ Keller, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 Aaa 800 323
Kentucky State Turnpike
Authority (FGIC)
Zero Coupon, 1/1/10 AAA 450 214
La Joya, TX Independent
School District (PSFG)
Zero Coupon, 8/1/12 AAA 645 261
Little Rock, AK Airport
Passenger Facility
Revenue Bonds (AMBAC)
5.65%, 5/1/16 AAA 250 251
(##) Los Angeles, CA
Wastewater Systems
Revenue Bonds (FGIC)
3.55%, 11/1/09 AAA 800 800
Maricopa County, AZ Unified
School District-Chandler
(FGIC)
Zero Coupon, 7/1/07 AAA 250 140
Maryland Transportation
Authority (FGIC)
Zero Coupon, 7/1/08 AAA 250 135
Mercer County, NJ Revenue
Bonds (County Guaranteed)
Zero Coupon, 4/1/06 AA 350 218
(##) Metropolitan Pier &
Exposition Authority, IL
Dedicated
State Tax Revenue Bonds
3.88%, 6/15/27 AAA 750 750
Michigan State Housing
Development Authority,
Series B
5.50%, 12/1/26 AA+ 500 503
Michigan State Trunk Line
(AMBAC)
Zero Coupon
10/1/05 AAA 750 471
10/1/12 AAA 1,500 602
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 446
Millcreek Township, PA
(FGIC)
Zero Coupon, 8/15/05 AAA 325 207
Mississippi Housing
Finance Corp.
Zero Coupon, 9/15/16 AA- 5,250 1,598
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 BBB- 180 190
(##) Montana State Health
Facilities Authority
Revenue Bonds, Deaconess
Medical Center, Series C
3.52%, 2/15/17 AAA 900 900
Nebraska Investment Finance
Authority Revenue Bonds,
Series B
5.60%, 3/1/20 AAA 500 506
Series D
5.80%, 3/1/20 AAA 500 505
Nebraska Public Power
District Revenue Bonds
5.40%, 1/1/03 A+ 200 206
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 500 506
+ Nevada Housing Division
Senior, Series A 2
5.50%, 10/1/27 Aaa 350 352
New Jersey Economic
Development Authority
Zero Coupon, 3/15/09 A+ 275 139
New Jersey State
Zero Coupon, 2/15/06 AA+ 500 311
New Mexico Mortgage Finance
Authority, Series H
5.35%, 7/1/15 AAA 500 504
(##) New York City, NY
General Obligation
Inverse Bonds
18.709%, 10/1/03 BBB+ 250 362
New York State Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 252
Noblesville, IN High School
Building Corp. (AMBAC)
Zero Coupon,
2/15/17 AAA 900 267
2/15/19 AAA 1,850 484
Norris, CA School District
(MBIA)
Zero Coupon,
5/1/15 AAA 785 265
5/1/16 AAA 400 127
North Carolina Eastern
Municipal Power Agency,
Series B
6.125%, 1/1/09 BBB+ 350 359
Series C
5.125%, 1/1/03 BBB+ 450 441
North Carolina Housing
Finance Agency,
Series FF
5.50%, 9/1/22 AA 500 502
Series JJ
5.75%, 3/1/23 AA 600 607
</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>
North Slope Borough, AK
General Obligation,
Series B (CGIC)
Zero Coupon, 6/30/04 AAA $ 575 $ 382
Northern Illinois
University Revenue Bonds
(FGIC)
Zero Coupon, 4/1/15 AAA 675 224
Okemos, MI Public School
District (MBIA)
Zero Coupon, 5/1/15 AAA 900 306
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 381
(##) Orange County, FL Health
Facilities Authority
Revenue Bonds (MBIA)
3.60%, 10/29/21 AAA 800 800
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 1,025 358
(##) Pennsylvania Housing and
Finance Agency
3.53%, 10/3/23 AA+ 500 500
(#) Pennsylvania State
General Obligation
(AMBAC)
0.00%, 4/15/03 AAA 775 833
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 350 359
Philadelphia, PA General
Obligation, Series A
(FGIC)
5.40%, 11/15/03 AAA 600 617
Philadelphia, PA Hospitals
& Higher Education
Facilities Authority
Revenue Bonds
6.15%, 7/1/05 BBB+ 125 127
Philadelphia, PA Municipal
Authority (FGIC)
4.90%, 4/1/03 AAA 500 498
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 450 478
(##) Richland County, SC
Hospital Facilities
Revenue Bonds, Richland
Memorial Hospital, Series
C
3.625%, 7/5/13 AAA 800 800
+ Saline County, KS
Zero Coupon, 12/1/15 Aaa 750 242
San Antonio, TX Electric &
Gas Revenue Bonds (AMBAC)
Zero Coupon, 2/1/05 AAA 200 130
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 1,150 1,116
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 100 103
Schuylkill County, PA
Redevelopment Authority
(FGIC)
7.125%, 6/1/13 AAA 750 833
Skokie, IL Park District,
Series B (AMBAC)
Zero Coupon, 12/1/12 AAA 1,750 678
(##) South Broward, IL
Hospital District (AMBAC)
3.50%, 5/13/21 AAA 800 800
Steel Valley, PA
Allegheny County
Zero Coupon, 11/1/17 A 650 182
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 740 308
(##) University of California
Revenue Bonds
3.55%, 9/1/16 AAA 900 900
Utah State Housing Finance
Agency, Series A-2
5.50%, 7/1/27 AAA 480 483
Washington State Public
Power Supply (MBIA)
Zero Coupon, 7/1/10 AAA 475 217
7.00%, 7/1/07 AA- 375 418
(##) Wichita, KS Hospital
Revenue Bonds, Series
III-A (MBIA)
3.62%, 10/20/17 AAA 800 800
(##) York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.583%, 7/1/21 AAA 900 900
- --------------------------------------------------------
GROUP TOTAL 46,886
- --------------------------------------------------------
ASSET BACKED CORPORATES (0.7%)
# ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 350 361
- --------------------------------------------------------
INDUSTRIALS (2.7%)
Comcast Corp.
9.375%, 5/15/05 BB- 225 228
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 412 355
Grand Casinos, Inc.
10.125%, 12/1/03 BB 250 245
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 175 175
Revlon Worldwide Corp.
Zero Coupon, 3/15/98 B- 300 264
Viacom, Inc.
8.00%, 7/7/06 BB- 250 234
- --------------------------------------------------------
GROUP TOTAL 1,501
- --------------------------------------------------------
</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>
TELEPHONES (0.5%)
MFS Communications Co.,
Inc.
Zero Coupon, 1/15/06 B $ 200 $ 140
Rogers Cablesystems
10.00%, 3/15/05 BB+ 125 127
- --------------------------------------------------------
GROUP TOTAL 267
- --------------------------------------------------------
TRANSPORTATION (0.2%)
# Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB- 100 118
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $46,882) 49,133
- --------------------------------------------------------
CASH EQUIVALENTS (7.9%)
- --------------------------------------------------------
MONEY MARKET INSTRUMENTS (7.2%)
Dreyfus Basic Municipal
Money Market Fund 1,956,792 1,957
Vanguard Municipal Fund
Money Market Portfolio 1,957,621 1,958
- --------------------------------------------------------
GROUP TOTAL 3,915
- --------------------------------------------------------
U.S. TREASURY SECURITY (0.4%)
(+++) U.S. Treasury Bill
Zero Coupon, 10/31/96 Tsy $ 250 249
- --------------------------------------------------------
REPURCHASE AGREEMENT (0.3%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $145,
collateralized by various U.S.
Government Obligations due
10/3/96-7/17/98, valued at $146 145 145
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,309) 4,309
- --------------------------------------------------------
TOTAL INVESTMENTS (98.0%) (Cost $51,191) 53,442
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.0%)
Cash 1
Interest Receivable 307
Receivable for Fund Shares Sold 148
Receivable for Investments Sold 130
Unrealized Gain on Swap Agreements 658
Dividends Payable (71)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (34)
Payable for Administrative Fees (3)
Payable for Daily Variation on Futures
Contracts (10)
Other Liabilities (31)
--------
1,094
- --------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------
Applicable to 4,856,903 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $54,536
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.23
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 52,097
Undistributed Net Investment Income (Loss) 11
Undistributed Realized Net Gain (Loss) (484)
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,251
Futures and Swaps 661
- --------------------------------------------------------
NET ASSETS $54,536
- --------------------------------------------------------
</TABLE>
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate security-rate disclosed
is as of September 30, 1996.
# 144A security. Certain conditions for public sale
may exist.
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Financial Guaranty Insurance Corporation
MBIA Municipal Bond Insurance Association
PSFG Permanent School Fund Guarantee
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (82.5%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -----------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (80.4%)
Aliquippa School District,
PA
Zero Coupon, 6/1/12 A $ 685 $ 269
Allegheny County, PA
(AMBAC)
Zero Coupon, 5/1/03 AAA 325 235
Berks County, PA (FGIC)
Zero Coupon,
5/15/19 AAA 1,250 336
11/15/20 AAA 1,000 255
(##) Bucks County, PA
Industrial Development
Authority Revenue Bonds,
Grandview Hospital
Project, Series B
3.78%, 7/3/12 AAA 500 500
Bucks County, PA Water &
Sewer Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/05 AAA 375 235
+ 5.50%, 2/1/08 Aaa 245 250
Center Township, PA Sewer
Authority (MBIA)
Zero Coupon, 4/15/17 AAA 615 188
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 100 100
Chartiers Valley, PA (FGIC)
Zero Coupon, 2/1/06 AAA 425 262
Clinton County, PA
Industrial Development
Authority
6.25%, 11/15/06 BB- 150 139
Conrad Weiser Area School
District, PA, Series A
(MBIA)
3.70%, 7/1/97 AAA 200 200
(##) Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series G
4.25%, 12/1/13 AAA 350 350
Elizabeth Forward, PA
School District (AMBAC)
Zero Coupon, 9/1/11 AAA 400 174
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 120 121
Girard Area, PA School
District (FGIC)
Zero Coupon,
10/1/18 AAA 700 195
10/1/19 AAA 250 66
Huron, MI School District
(AMBAC)
Zero Coupon, 5/1/18 AAA 1,500 426
Intermountain Power Agency,
UT (MBIA)
6.50%, 7/1/09 AAA 300 332
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 200 95
Lehigh County, PA General
Purpose Authority Revenue
Bonds, Horizons Health
Systems, Inc., Series B
8.25%, 7/1/13 N/R 250 260
Millcreek Township, PA
(FGIC)
Zero Coupon, 8/15/05 AAA 375 239
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 BBB- 80 84
Montour, PA School District
(MBIA)
Zero Coupon, 1/1/13 AAA 300 119
Nebraska Investment Finance
Authority Revenue Bonds,
Series D
5.80%, 3/1/20 AAA 275 278
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 250 253
(##) New York City, NY
General Obligation
Inverse Bonds
18.709%, 10/1/03 BBB+ 100 145
North Carolina Eastern
Municipal Power
Agency Revenue Bonds,
Series C
5.125%, 1/1/03 BBB+ 150 147
North Carolina Housing
Finance Agency, Series JJ
5.75%, 3/1/23 AA 325 329
North Slope Borough, AK
General Obligation,
Series B (CGIC)
Zero Coupon, 6/30/04 AAA 285 189
Northwestern, PA School
District (AMBAC)
Zero Coupon, 1/15/09 AAA 450 230
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 381
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 450 157
Penn Hills Township, PA,
Series B
Zero Coupon, 12/1/13 N/R 500 158
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB- 250 261
6.70%, 9/1/16 (FGIC) AAA 500 553
Pennsylvania Housing
Finance Authority,
Series 47
5.20%, 4/1/27 AA+ 375 373
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE> 63
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- ---------------------------------------------------------
<S> <C> <C> <C>
Series 48
5.375%, 10/1/16 AA+ $ 300 $ 302
Series 50A
5.35%, 10/1/08 AA+ 250 252
Series 51
5.65%, 4/1/20 AA+ 250 252
Series 52B
5.55%, 10/1/16 AA+ 500 501
Pennsylvania Infrastructure
Investment Authority
Revenue Bonds (MBIA)
6.00%, 9/1/04 AAA 2,000 2,129
6.00%, 9/1/04 AAA 3,000 3,194
Pennsylvania State General
Obligation (AMBAC)
(#) 0.00%, 4/15/03 AAA 300 323
Zero Coupon, 7/1/05 AAA 375 242
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 200 205
Philadelphia, PA General
Obligation, Series A
(FGIC)
5.125%, 5/15/03 AAA 100 101
+ Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 145 189
Philadelphia, PA Hospitals
& Higher Education
Facilities
Authority Revenue Bonds
(FGIC)
(##) 3.70%, 3/6/12 AAA 500 500
6.15%, 7/1/05 BBB+ 50 51
Philadelphia, PA Municipal
Authority Revenue Bonds
7.875%, 7/15/17 AAA 300 315
Philadelphia, PA School
District (MBIA)
5.20%, 7/1/03 AAA 200 204
Philadelphia, PA Water &
Wastewater Revenue
Bonds (FGIC)
5.20%, 6/15/05 AAA 500 505
Pittsburgh, PA General
Obligation (AMBAC)
Zero Coupon, 9/1/04 AAA 350 236
6.50%, 4/1/11 AAA 285 303
Pittsburgh, PA Water &
Sewer (FGIC)
Zero Coupon, 9/1/05 AAA 375 240
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 250 266
Robinson Township, PA
6.90%, 5/15/18 AAA 115 132
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 450 437
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 40 41
Scott Township, PA (AMBAC)
3.80%, 3/1/97 AAA 200 200
Scranton, PA Health &
Welfare Authority
6.625%, 7/1/09 AAA 125 134
Southeastern Area Schools,
PA
Zero Coupon, 10/1/06 A 590 343
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 179
Stroud Township, PA Sewer
Authority (CGIC)
Zero Coupon, 11/15/05 AAA 375 235
Upper Darby Township, PA
(AMBAC)
Zero Coupon, 7/15/11 AAA 525 230
Washington County, West PA
Power Co.
4.95%, 3/1/03 A 150 151
Westmoreland County, PA
(AMBAC)
Zero Coupon, 8/1/14 AAA 1,475 527
(##) York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.583%, 7/1/21 AAA 550 550
Yough, PA School District
(MBIA)
Zero Coupon, 10/1/13 AAA 1,445 547
- ------------------------------------------------ -------
GROUP TOTAL 22,900
- ------------------------------------------------ -------
ASSET BACKED CORPORATES (0.5%)
# ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 150 154
- ------------------------------------------------ -------
INDUSTRIALS (0.7%)
Comcast Corp.
9.375%, 5/15/05 BB- 75 76
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 57 49
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 75 75
- ------------------------------------------------ -------
GROUP TOTAL 200
- ------------------------------------------------ -------
TELEPHONES (0.5%)
(#) MFS Communications Co.,
Inc.
0.00%, 1/15/06 B 130 91
Rogers Cablesystems
10.00%, 3/15/05 BB+ 50 51
- ------------------------------------------------ -------
GROUP TOTAL 142
- ------------------------------------------------ -------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- ---------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.4%)
# Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB- $ 100 $ 119
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $22,412) 23,515
- ---------------------------------------------------------
CASH EQUIVALENTS (15.7%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
MONEY MARKET INSTRUMENTS (9.4%)
Dreyfus PA Municipal Money
Market Fund 1,337,212 1,337
Vanguard PA Tax-Free Money
Market Fund 1,332,796 1,333
- ---------------------------------------------------------
GROUP TOTAL 2,670
- ---------------------------------------------------------
U.S. TREASURY SECURITY (0.4%)
(+++) U.S. Treasury Bill
Zero Coupon, 11/21/96 Tsy 125 124
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (5.9%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $561,
collateralized by various U.S.
Government Obligations due
10/3/96-7/17/98, valued at $567 561 561
Goldman Sachs 5.65%, dated
9/30/96, due 10/1/96, to
be repurchased at $561,
collateralized by U.S.
Treasury Bonds, 8.75%,
due 5/15/17, valued at
$574 561 561
Merrill Lynch 5.50%, dated
9/30/96, due 10/1/96, to
be repurchased at $561,
collateralized by U.S.
Treasury Bills, due
12/31/96, valued at $575 561 561
- ---------------------------------------------------------
GROUP TOTAL 1,683
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,477) 4,477
- ---------------------------------------------------------
TOTAL INVESTMENTS (98.2%) (Cost $26,889) 27,992
- ---------------------------------------------------------
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.8%)
Cash 1
Interest Receivable 194
Receivable for Investments Sold 65
Unrealized Gain on Swap Agreements 297
Dividends Payable (8)
Payable for Investment Advisory Fees (18)
Payable for Administrative Fees (2)
Payable for Daily Variation Margin on Futures
Contracts (8)
Other Liabilities (25)
-------
496
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 2,504,646 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $28,488
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.37
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $27,319
Undistributed Net Investment Income (Loss) 22
Undistributed Realized Net Gain (Loss) (237)
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,103
Futures and Swaps 281
- ---------------------------------------------------------
NET ASSETS $28,488
- ---------------------------------------------------------
</TABLE>
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate security - rate
disclosed is as of September 30, 1996.
# 144A security. Certain conditions for public sale
may exist.
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Financial Guaranty Insurance Corporation
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (84.0%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (0.8%)
Commonwealth of Australia
9.50%, 8/15/03 AA AUD 580 $ 504
- -------------------------------------------------------
BRITISH POUND (7.3%)
United Kingdom Treasury Bills
7.00%, 11/6/01 AAA GBP 1,625 2,532
8.00%, 6/10/03 AAA 600 973
8.50%, 7/16/07 AAA 840 1,386
- -------------------------------------------------------
GROUP TOTAL 4,891
- -------------------------------------------------------
CANADIAN DOLLAR (2.1%)
# Global Econ2 EI
Zero Coupon, 11/1/98 AAA (1)6 65
# Global Econ2 PIP
Zero Coupon, 11/1/98 AAA (1)6 22
Government of Canada
9.75%, 6/1/21 AA+ CAD 1,500 1,351
- -------------------------------------------------------
GROUP TOTAL 1,438
- -------------------------------------------------------
DANISH KRONE (5.2%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 18,840 3,499
- -------------------------------------------------------
FRENCH FRANC (3.1%)
Government of France O.A.T.
8.50%, 3/28/00 AAA FRF 9,650 2,092
- -------------------------------------------------------
GERMAN MARK (16.3%)
Government of Germany
6.25%, 1/4/24 AAA DEM 1,000 603
7.125%, 1/29/03 AAA 3,325 2,354
7.375%, 1/3/05 AAA 2,680 1,911
7.50%, 9/9/04 AAA 2,410 1,733
8.375%, 5/21/01 AAA 5,845 4,350
- -------------------------------------------------------
GROUP TOTAL 10,951
- -------------------------------------------------------
IRISH PUNT (5.5%)
Irish Government
6.25%, 4/1/99 AA IEP 740 1,189
6.50%, 10/18/01 AA 1,530 2,470
- -------------------------------------------------------
GROUP TOTAL 3,659
- -------------------------------------------------------
ITALIAN LIRA (8.3%)
Republic of Italy BTPS
9.50%, 1/1/05 AA ITL 910,000 635
9.50%, 2/1/06 AA 945,000 663
10.50%, 7/15/98 AA 2,130,000 1,461
10.50%, 7/15/00 AA 4,000,000 2,848
- -------------------------------------------------------
GROUP TOTAL 5,607
- -------------------------------------------------------
JAPANESE YEN (4.2%)
Credit Locale de France
6.00%, 10/31/01 AAA JPY 75,000 793
European Investment Bank
6.625%, 3/15/00 AAA 60,000 628
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 718
(+++) International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 64,000 696
- -------------------------------------------------------
GROUP TOTAL 2,835
- -------------------------------------------------------
SPANISH PESETA (2.6%)
Spanish Government
12.25%, 3/25/00 N/R ESP 195,000 1,750
- -------------------------------------------------------
SWEDISH KRONA (5.1%)
Government of Sweden
13.00%, 6/15/01 AAA SEK 18,175 3,429
- -------------------------------------------------------
UNITED STATES DOLLAR (23.5%)
AGENCY FIXED RATE MORTGAGES (8.9%)
Federal Home Loan Mortgage
Corporation Gold
October TBA
7.50%, 6/15/23 Agy $ 4,850 4,799
Federal National Mortgage
Association
October TBA
7.50%, 6/15/25 Agy 1,250 1,235
- -------------------------------------------------------
GROUP TOTAL 6,034
- -------------------------------------------------------
U.S. TREASURY SECURITIES (14.6%)
(+++) U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,005 2,389
U.S. Treasury Notes
6.25%, 2/15/03 Tsy 4,075 4,010
6.75%, 5/31/99 Tsy 2,550 2,581
7.50%, 5/15/02 Tsy 775 811
- -------------------------------------------------------
GROUP TOTAL 9,791
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $55,735) 56,480
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME
PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (23.0%)
- --------------------------------------------------------
COMMERCIAL PAPER (10.4%)
Aon Corp.
5.30%, 10/4/96 $1,000 $ 999
Bell Atlantic Corp.
5.28%, 10/10/96 1,000 999
Dun & Bradstreet Corp.
5.30%, 10/10/96 1,000 999
Ford Motor Credit Corp.
5.28%, 10/21/96 1,000 997
Gannett Co.
5.33%, 10/4/96 1,000 999
Motorola Corp.
5.27%, 10/16/96 1,000 998
Warner-Lambert Co.
5.30%, 10/31/96 1,000 996
- --------------------------------------------------------
GROUP TOTAL 6,987
- --------------------------------------------------------
REPURCHASE AGREEMENTS (7.5%)
Goldman Sachs 5.65%, dated
9/30/96, due 10/1/96, to be
repurchased at $2,537,
collateralized by U.S.
Treasury Bonds, 8.75%, due
5/15/17 valued at $2,596 2,537 2,537
Merrill Lynch 5.50%, dated
9/30/96, due 10/1/96, to be
repurchased at $2,537,
collateralized by U.S.
Treasury Bills, due 12/31/96,
valued at $2,599 2,537 2,537
- --------------------------------------------------------
GROUP TOTAL 5,074
- --------------------------------------------------------
U.S. TREASURY SECURITY (5.1%)
U. S. Treasury Bill
Zero Coupon, 2/27/97 3,500 3,426
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $15,487) 15,487
- --------------------------------------------------------
FOREIGN CURRENCY (0.2%)
- --------------------------------------------------------
Canadian Dollar CAD 14 10
German Mark DEM 181 119
@ Italian Lira ITL 3 --
- --------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $131) 129
- --------------------------------------------------------
TOTAL INVESTMENTS (107.2%) (Cost $71,353) 72,096
- --------------------------------------------------------
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.2%)
Cash 1
Interest Receivable 1,314
Receivable for Investments Sold 672
Receivable for Daily Variation on Futures Contracts 124
Payable for Investments Purchased (6,617)
Payable for Investment Advisory Fees (57)
Payable for Administrative Fees (4)
Unrealized Loss on Forward Foreign Currency
Contracts (210)
Other Liabilities (37)
-------
(4,814)
- --------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------
Applicable to 6,112,609 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $67,282
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.01
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $63,316
Undistributed Net Investment Income (Loss) 2,358
Undistributed Realized Net (Gain) Loss 1,053
Unrealized Appreciation (Depreciation) on:
Investment Securities 745
Foreign Currency Transactions (240)
Futures 50
- --------------------------------------------------------
NET ASSETS $67,282
- --------------------------------------------------------
</TABLE>
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
@ Value is less than $500.
# 144A security. Certain conditions for public sale may
exist.
(1) Amount represents shares held by the Portfolio.
N/R Not rated by Moody's Investor Service, Inc., Standard
& Poor's Corporation or Fitch.
TBA Security is subject to delayed delivery. See Note A8
to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (79.1%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.2%)
Commonwealth of Australia
9.50%, 8/15/03 AA AUD 1,980 $ 1,720
- -------------------------------------------------------
BRITISH POUND (10.6%)
United Kingdom
Treasury Bills
7.00%, 11/6/01 AAA GBP 7,225 11,256
8.00%, 6/10/03 AAA 880 1,427
8.50%, 7/16/07 AAA 1,510 2,492
- -------------------------------------------------------
GROUP TOTAL 15,175
- -------------------------------------------------------
CANADIAN DOLLAR (3.6%)
# Global Econ2 EI
Zero Coupon, 11/1/98 AAA (1) 14 152
# Global Econ2 PIP
Zero Coupon, 11/1/98 AAA (1) 14 52
Government of Canada
6.50%, 6/1/04 AA+ CAD 2,200 1,579
8.50%, 4/1/02 AA+ 500 402
9.75%, 6/1/21 A 3,250 2,928
- -------------------------------------------------------
GROUP TOTAL 5,113
- -------------------------------------------------------
DANISH KRONE (8.5%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 29,060 5,396
8.00%, 3/15/06 AAA 18,350 3,357
9.00%, 11/15/00 AAA 17,500 3,369
- -------------------------------------------------------
GROUP TOTAL 12,122
- -------------------------------------------------------
FRENCH FRANC (1.0%)
(+++) Government of France O.A.T.
8.50%, 3/28/00 AAA FRF 6,400 1,387
- -------------------------------------------------------
GERMAN MARK (12.7%)
European Economic Community
6.50%, 3/10/00 AAA DEM 2,250 1,561
Government of Germany
(+++) 6.25%, 1/4/24 AAA 2,350 1,417
7.375%, 1/3/05 AAA 2,925 2,086
8.375%, 5/21/01 AAA 13,415 9,983
International Bank for
Reconstruction & Development
7.125%, 4/12/05 AAA 4,550 3,179
- -------------------------------------------------------
GROUP TOTAL 18,226
- -------------------------------------------------------
IRISH PUNT (5.4%)
Irish Government
6.25%, 4/1/99 AA IEP 1,735 2,787
6.50%, 10/18/01 AA 3,085 4,981
- -------------------------------------------------------
GROUP TOTAL 7,768
- -------------------------------------------------------
ITALIAN LIRA (11.8%)
Republic of Italy BTPS
9.50%, 2/1/06 AA ITL 2,015,000 1,413
10.00%, 8/1/03 AAA 3,915,000 2,789
10.50%, 7/15/98 AA 6,905,000 4,736
10.50%, 7/15/00 AA 11,100,000 7,904
- -------------------------------------------------------
GROUP TOTAL 16,842
- -------------------------------------------------------
JAPANESE YEN (13.3%)
(+++) Credit Locale de France
6.00%, 10/31/01 AAA JPY 426,000 4,505
European Investment Bank
6.625%, 3/15/00 AAA 205,000 2,146
Export-Import Bank of Japan
2.875%, 7/28/05 AAA 470,000 4,214
Inter-American Development
Bank
6.00%, 10/30/01 AAA 535,000 5,682
(+++) International Bank for
Reconstruction & Development
6.75%, 6/18/01 AAA 235,000 2,556
- -------------------------------------------------------
GROUP TOTAL 19,103
- -------------------------------------------------------
NETHERLANDS GUILDER (2.0%)
Netherlands Government
8.25%, 2/15/07 AAA NLG 4,225 2,878
- -------------------------------------------------------
SPANISH PESETA (4.3%)
Spanish Government
10.10%, 2/28/01 AAA ESP 240,000 2,063
12.25%, 3/25/00 N/R 455,000 4,084
- -------------------------------------------------------
GROUP TOTAL 6,147
- -------------------------------------------------------
SWEDISH KRONA (4.4%)
Government of Sweden
13.00%, 6/15/01 AAA SEK 33,125 6,250
- -------------------------------------------------------
UNITED STATES DOLLAR (0.3%)
CORPORATE (0.3%)
(##) Bank of Hawaii,
Honolulu
5.55%, 11/25/96 A $ 500 500
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $112,814) 113,231
- -------------------------------------------------------
CASH EQUIVALENTS (14.8%)
- -------------------------------------------------------
U.S. TREASURY SECURITY (4.8%)
U.S. Treasury Bill
Zero Coupon, 2/27/97 Tsy 7,000 6,852
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (5.2%)
Dun & Bradstreet Corp.
5.30%, 10/10/96 $2,500 $ 2,497
Ford Motor Credit Corp.
5.28%, 10/21/96 2,500 2,492
Motorola Corp.
5.27%, 10/16/96 2,500 2,495
- -------------------------------------------------------
GROUP TOTAL 7,484
- -------------------------------------------------------
REPURCHASE AGREEMENTS (4.8%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96,
to be repurchased at $2,279,
collateralized by various
U.S. Government Obligations,
due 10/3/96-7/17/98, valued
at $2,301 2,279 2,279
Goldman Sachs 5.65%, dated
9/30/96, due 10/1/96, to be
repurchased at $2,276,
collateralized by U.S.
Treasury Bonds, 8.75%, due
5/15/17 valued at $2,329 2,276 2,276
Merrill Lynch 5.50%, dated
9/30/96, due 10/1/96, to be
repurchased at $2,276,
collateralized by U.S.
Treasury Bills, due
12/31/96, valued at $2,332 2,276 2,276
- -------------------------------------------------------
GROUP TOTAL 6,831
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,167) 21,167
- -------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- -------------------------------------------------------
Canadian Dollar
(Cost $10) CAD 14 10
- -------------------------------------------------------
TOTAL INVESTMENTS (93.9%) (Cost $133,991) 134,408
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (6.1%)
Cash 2
Interest Receivable 3,581
Receivable for Investments
Sold 10,892
Receivable for Daily Variation
on Futures Contracts 515
Other Assets 1
Payable for Investments Purchased (5,048)
Payable for Fund Shares Redeemed (7)
Payable for Investment Advisory Fees (133)
Payable for Administrative
Fees (9)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Unrealized Loss on Forward Foreign Currency
Contracts (1,016)
Other Liabilities (48)
--------
8,729
- -------------------------------------------------------
NET ASSETS (100%)
- -------------------------------------------------------
Applicable to 13,285,546 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $143,137
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.77
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $135,890
Undistributed Net Investment Income (Loss) 3,997
Undistributed Realized Net Gain (Loss) 3,683
Unrealized Appreciation (Depreciation) on:
Investment Securities 417
Foreign Currency Transactions (1,160)
Futures 310
- -------------------------------------------------------
NET ASSETS $143,137
- -------------------------------------------------------
</TABLE>
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
(+++) A portion of these securities was pledged to cover
margin requirements for futures contracts.
# 144A security. Certain conditions for public sale may
exist.
(##) Variable or floating rate security-rate disclosed is
as of September 30, 1996.
(1) Amount represents shares held by the Portfolio.
N/R Not rated by Moody's Investor Service, Inc., Standard
& Poor's Corporation or Fitch.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (82.8%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (22.2%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
11.00%, 7/1/13 Agy $ 125 $ 138
11.50%, 3/1/13 Agy 246 274
Gold Pools:
7.00%, 1/1/24-4/1/24 Agy 151 147
October TBA
7.00%, 4/25/25 Agy 100 97
8.00%, 6/15/25 Agy 325 328
November TBA
7.50%, 6/15/06 Agy 425 420
Federal National Mortgage
Association Conventional
Pools:
10.00%, 5/1/22 Agy 121 131
10.50%, 12/1/10 Agy 174 191
October TBA
7.50%, 10/1/23 Agy 150 148
Government National
Mortgage Association
Various Pools:
10.00%, 7/15/19 Agy 120 131
October TBA
7.50%, 7/15/22-10/1/23 Agy 675 666
- ------------------------------------------------------
GROUP TOTAL 2,671
- ------------------------------------------------------
ASSET BACKED CORPORATES (17.5%)
sec. Aegis Auto Receivables
Trust Series 95-1 A
8.60%, 3/20/02 (acquired
5/1/96, cost $137) N/R 135 136
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 33 32
96-B A
6.60%, 4/15/01 A 79 79
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 60 61
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 159 159
Bear Stearns Mortgage
Securities, Inc., Series
96-4 AI10
8.125%, 9/25/27 AAA 50 50
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 26 26
95-A B
7.65%, 3/15/02 A 37 38
Cityscape Home Equity Loan
Trust,
Series:
# 95-2 A1
7.29%, 2/25/09 AAA 27 27
96-1 A1
6.45%, 1/25/11 AAA 100 100
Contimortgage Home Equity
Loan Trust,
Series:
96-1 A1
5.70%, 10/15/09 AAA 67 67
96-3 A2
6.97%, 7/15/11 AAA 75 75
Fleetwood Credit Corp
Series 92-A A
7.10%, 2/15/07 AAA 111 112
Ford Credit Auto Owner
Trust, Series 96-A A3
6.50%, 11/15/99 AAA 200 201
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA 137 138
## Household Finance Corp.,
Series 89-2 A
5.59%, 12/20/04 AAA 12 12
General Motors Acceptance
Corp. Grantor Trust,
Series 93-A A
4.15%, 3/16/98 AAA 13 13
Greenwich Capital
Acceptance, Inc., Series
95-BA1 A1
6.00%, 8/10/20 AAA 40 39
IBM Credit Receivables
Lease Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA 32 32
Money Store (The) Home
Equity Trust, Series 95-C
A1
6.20%, 1/15/09 AAA 51 51
Navistar Financial Corp.
Owner Trust,
Series:
94-B A
6.40%, 1/15/00 AAA 53 53
94-C A1
7.65%, 12/22/97 AAA 31 31
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA 109 110
94-B B
6.95%, 6/15/01 AAA 55 55
Onyx Acceptance Trust,
Series 94-1 A
6.90%, 1/17/00 AAA 56 56
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
Orix Credit Alliance Owner
Trust, Series 94-A A
6.05%, 6/15/99 AAA $ 27 $ 27
Premier Auto Trust, Series
95-4 A4
6.00%, 5/6/00 AAA 100 100
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 155 154
Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 28 28
94-1 A1
5.10%, 6/1/99 AAA 45 44
- ------------------------------------------------------
GROUP TOTAL 2,106
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.4%)
## Federal Home Loan
Mortgage Corporation,
Series 1632 SA
5.657%, 11/15/23 Agy 65 46
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (6.7%)
Citicorp Mortgage
Securities, Inc.,
Series:
93-9 A1
7.00%, 3/25/20 AAA 101 101
sec. 95-3 A6
7.50%, 11/25/25
(acquired 11/2/95, cost
$152) AAA 149 145
sec.+ Independent National
Mortgage Corp. Series
94-O B1
7.875%, 9/25/24
(acquired 11/9/95, cost
$98) A2 98 95
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 92 89
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
92-S2 M
8.00%, 1/25/22 AA 91 92
95-S17 A8
7.50%, 12/25/25 AAA 149 145
95-R20 A5
7.50%, 12/25/25 AAA 149 145
- ------------------------------------------------------
GROUP TOTAL 812
- ------------------------------------------------------
COMMERCIAL MORTGAGES (8.0%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 50 51
- ------------------------------------------------------
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 148 150
95-MD4 A1
7.10%, 8/13/29 AAA 124 122
# Carousel Center
Finance, Inc., Series 1 C
7.527%, 11/15/07 BBB+ 92 91
CBM Funding Corp., Series
96-1 A3P1
7.08%, 2/1/13 AA 100 98
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 95-C1 A1
7.268%, 7/25/10 AAA 102 102
# Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 100 97
Merrill Lynch Mortgage
Investors, Inc., Series
96-C1 A3
7.42%, 4/25/28 AAA 100 100
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 150 151
- ------------------------------------------------------
GROUP TOTAL 962
- ------------------------------------------------------
ENERGY (0.8%)
# Excel Paralubes Funding
7.43%, 11/1/15 A- 100 96
- ------------------------------------------------------
FINANCE (6.7%)
Allstate Corp.
5.875%, 6/15/98 A 125 124
Barclays American Corp.
7.875%, 8/15/98 AA 125 128
Countrywide Funding Corp.
6.55%, 4/14/00 A 100 99
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 75 76
8.375%, 1/15/00 A+ 25 26
General Motors Acceptance
Corp.
6.75%, 6/10/02 A- 100 99
Heller Financial, Inc.
6.45%, 2/15/97 BBB+ 16 16
Household Finance Corp.
6.08%, 3/8/06 A 75 72
Lehman Brothers Holding
Corp.
6.625%, 11/15/00 A 100 98
Sears Roebuck Acceptance
Corp.
6.86%, 8/6/01 A- 70 70
- ------------------------------------------------------
GROUP TOTAL 808
- ------------------------------------------------------
</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>
FLOATING RATE NOTES (0.9%)
Student Loan Marketing
Association
Series:
## 95-1 A1
5.78%, 4/26/04 Agy $ 56 $ 57
## 96-1 A1
5.78%, 7/26/04 Agy 46 46
- ------------------------------------------------------
GROUP TOTAL 103
- ------------------------------------------------------
FOREIGN GOVERNMENTS (2.6%)
Government of Germany
7.75%, 10/1/02 AAA DEM 125 91
Irish Government
6.50%, 10/18/01 AA IEP 65 105
Kingdom of Denmark
9.00%, 11/15/00 AAA DKK 600 116
- ------------------------------------------------------
GROUP TOTAL 312
- ------------------------------------------------------
INDUSTRIALS (2.3%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 55 51
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 50 49
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 87 88
(+++) Time Warner, Inc.
8.375%, 3/15/23 BBB- 85 84
- ------------------------------------------------------
GROUP TOTAL 272
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.9%)
## Resolution Trust Corp.,
Series 92-5 C
8.62%, 1/25/26 AA 108 110
- ------------------------------------------------------
STRIPPED MORTGAGES-AGENCY COLLATERAL (2.1%)
Federal National Mortgage Association,
Series:
93-M2 B IO
2.572%, 7/25/03 Agy 812 62
254 1 PO
1/1/24 Agy 48 31
260 1 PO
4/1/24 Agy 63 41
93-235 H PO REMIC
9/25/23 Agy 4 3
93-205 G PO REMIC
9/25/23 Agy 14 7
94-25 C PO REMIC
11/25/23 Agy 9 6
93-237 E PO REMIC
11/25/23 Agy 13 8
93-243 C PO REMIC
11/25/23 Agy 4 3
249 1 PO
10/25/23 Agy 86 53
263 1 PO
5/25/24 Agy 67 41
- ------------------------------------------------------
GROUP TOTAL 255
- ------------------------------------------------------
TELEPHONES (0.9%)
Tele-Communications, Inc.
9.875%, 6/15/22 BBB- 100 107
- ------------------------------------------------------
U.S. TREASURY SECURITIES (10.3%)
U.S. Treasury Notes
5.75%, 8/15/03 Tsy 550 525
7.50%, 2/15/05 Tsy 675 710
- ------------------------------------------------------
GROUP TOTAL 1,235
- ------------------------------------------------------
YANKEE (0.5%)
YPF SA
7.50%, 10/26/02 BBB 58 59
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $9,944) 9,954
- ------------------------------------------------------
CASH EQUIVALENTS (33.3%)
- ------------------------------------------------------
COMMERCIAL PAPER (5.0%)
Beneficial Corp.
5.36%, 10/10/96 300 300
General Electric Capital
Corp.
5.35%, 10/10/96 300 299
- ------------------------------------------------------
GROUP TOTAL 599
- ------------------------------------------------------
REPURCHASE AGREEMENT (28.3%)
Chase Securities, Inc.
5.60%, dated 9/30/96, due
10/1/96, to be
repurchased at $3,402,
collateralized by $3,402
of various U.S.
Government and Agency
Obligations, due
10/3/96-7/17/98, valued
at $3,435 (Cost $3,401) 3,401 3,401
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,000) 4,000
- ------------------------------------------------------
TOTAL INVESTMENTS (116.1%) (Cost $13,944) 13,954
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
VALUE
(CONT'D) (000)(+)
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-16.1%)
Cash $ 52
Interest Receivable 94
Receivable for Investments Sold 899
Unrealized Gain on Foreign Forward Currency
Contracts 11
Other Assets 1
Payable for Investments Purchased (2,965)
Payable for Investment Advisory Fees (9)
Payable for Daily Variation
on Futures Contracts (2)
Payable for Administrative Fees (1)
Other Liabilities (17)
-------
(1,937)
- ------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------
Applicable to 1,168,908 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $12,017
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.28
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $11,470
Undistributed Net Investment Income (Loss) 295
Undistributed Realized Net Gain (Loss) 233
Unrealized Appreciation (Depreciation) on:
Investment Securities 10
Foreign Currency Transactions 10
Futures (1)
- ------------------------------------------------------
NET ASSETS $12,017
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $376 or 3.1% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
# 144A Security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not
rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 1996.
CMO Collateralized Mortgage Obligation.
DEM German Mark
DKK Danish Krone
IEP Irish Punt
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (43.0%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1996 & POOR'S) (000) (000)(+)
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (15.7%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 9/1/17 Agy $ 804 $ 865
11.00%, 5/1/20-9/1/20 Agy 1,206 1,330
12.00%, 3/1/15 Agy 453 516
November TBA
7.50%, 6/15/06 Agy 650 642
Gold Pools:
7.00%, 1/1/24-6/1/25 Agy 1,760 1,710
October TBA:
7.00%, 4/25/25 Agy 1,550 1,508
7.50%,
7/15/23-11/15/25 Agy 7,875 7,792
8.00%, 6/15/25 Agy 3,200 3,232
Federal National Mortgage
Association
Conventional Pools:
10.00%, 7/1/17 Agy 957 1,034
10.50%, 12/1/16-4/1/22 Agy 1,879 2,062
October TBA
7.50%, 10/1/23-6/15/25 Agy 9,675 9,560
8.00%, 6/15/25 Agy 3,825 3,858
Government National
Mortgage Association
Various Pools:
11.00%, 5/15/26 Agy 1,340 1,460
October TBA
7.50%, 10/1/23-2/15/26 Agy 10,100 9,975
8.00%, 6/15/25 Agy 1,650 1,666
- ------------------------------------------------------
GROUP TOTAL 47,210
- ------------------------------------------------------
ASSET BACKED CORPORATES (1.1%)
(##) Airplanes Pass Through
Trust, Series 1 B
6.522%, 3/15/19 A 338 338
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 375 383
94-1 C2 CMO
9.35%, 9/15/04 BBB 622 637
# 96-1 D
12.75%, 6/15/06 BB- 1,100 1,133
# National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 425 421
Security Pacific Home
Equity Trust,
Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 138 139
91-AB
10.50%, 3/10/06 A+ 202 207
- ------------------------------------------------------
GROUP TOTAL 3,258
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity
Loan Trust, Series 96-2
A5
8.10%, 8/25/26 AAA 700 710
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.3%)
Federal National Mortgage
Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy 674 698
92-33 S Inv Fl IO
10.89%, 3/25/22 Agy 330 319
- ------------------------------------------------------
GROUP TOTAL 1,017
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (3.6%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 305 308
Chemical Mortgage
Securities, Inc.,
Series:
93-1 M
7.45%, 2/25/23 AA 450 438
Citicorp Mortgage
Securities, Inc.,
Series:
90-11 A5
9.50%, 7/25/20 AAA 73 74
94-7 A5
6.25%, 4/25/24 AAA 825 686
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 675 602
sec. First Boston
Mortgage Corp., Series
92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-2/26/93,
cost $249) A 253 244
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 858 766
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- ------------------------------------------------------
<S> <C> <C> <C>
sec. Independent National
Mortgage Corp., Series
95-V A3
7.12%, 2/25/26
(acquired 10/24/95,
cost $932) AAA $ 945 $ 901
sec.(##) Kidder Peabody
Funding Corp., Series
92-4 B2
8.47%, 5/28/22
(acquired 2/26/93,
cost $112) N/R 111 109
Prudential Home Mortgage
Securities Co.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 156 156
#+ 92-A 2B4
7.90%, 4/28/22 A1 370 321
#+ 92-A 3B2
7.90%, 4/28/22 Baa3 1,000 680
#(##) 94-A 3B3
6.803%, 4/28/24 N/R 1,129 1,021
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
93-MZ1 A2
7.47%, 3/2/23 AA 1,700 1,647
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93,
cost $651) AA 650 618
Rural Housing Trust,
Series 87-1M
3.33%, 4/1/26 A- 912 844
Ryland Mortgage
Securities Corp,
Series:
(##) 92-A 1A
8.286%, 3/29/30 A- 507 501
94-7B 4A2
7.50%, 8/25/25 AAA 850 799
- ------------------------------------------------------
GROUP TOTAL 10,715
- ------------------------------------------------------
COMMERCIAL MORTGAGES (2.7%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 AA 1,371 1,362
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 650 657
Asset Securitization
Corp., Series 95-MD4 A1
7.10%, 8/13/29 AAA 840 828
# Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 525 513
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 600 589
# Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 564 592
#+ DeBartolo Capital
Corp., Series A2
7.48%, 5/1/04 Aaa 900 919
# Equitable Life
Assurance Society of
the U.S., Series 1A
6.633%, 7/23/03 AA 700 683
# FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA 632 634
Nomura Asset Securities
Corp., Series 94-MD1 A3
8.026%, 3/15/18 A 525 547
# Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 763
- ------------------------------------------------------
GROUP TOTAL 8,087
- ------------------------------------------------------
ENERGY (0.3%)
# Excel Paralubes
Funding
7.43%, 11/1/15 A- 550 527
Mobile Energy Services
8.665%, 1/1/17 BBB- 508 517
- ------------------------------------------------------
GROUP TOTAL 1,044
- ------------------------------------------------------
FINANCE (2.9%)
(##) Bank of Hawaii,
Honolulu
5.55%, 11/25/96 A 750 750
# Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 725 719
# First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 350 339
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 700 726
First Union REIT
8.875%, 10/1/03 BB- 450 407
John Hancock Surplus Note
7.375%, 2/15/24 AA 375 351
# Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 350 340
# Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 600 548
(#) Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 700 655
# Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 AA- 925 847
# New York Life
Insurance Co.
7.50%, 12/15/23 AA 700 658
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- ------------------------------------------------------
<S> <C> <C> <C>
# Principal Mutual Life
Insurance Co., Series
95-2 A6
7.875%, 3/1/24 AA- $ 775 $ 740
# Prudential Insurance
Co.
8.30%, 7/1/25 A 475 473
Reliance Group Holdings,
Inc.
9.00%, 11/15/00 BB+ 750 758
(##) United Savings of
Texas
8.05%, 5/15/98 BB+ 275 274
- ------------------------------------------------------
GROUP TOTAL 8,585
- ------------------------------------------------------
FOREIGN GOVERNMENTS (1.3%)
Government of Germany
7.50%, 9/9/04 AAA DEM 1,880 1,351
Kingdom of Denmark
8.00%, 3/15/06 AA+ DKK 7,350 1,345
United Kingdom
9.75%, 8/27/02 AAA GBP 735 1,285
- ------------------------------------------------------
GROUP TOTAL 3,981
- ------------------------------------------------------
[ ] HEDGED MORTGAGES (0.9%)
Federal Home Loan
Mortgage Corporation,
Series:
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy $ 442 188
1476-S Inv Fl IO REMIC
PAC
4.431%, 2/15/08 Agy 4,066 409
1485-S Inv Fl IO REMIC
4.10%, 3/15/08 Agy 4,320 337
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 6,912 348
Federal National Mortgage
Association,
Series:
92-186 S Inv Fl IO CMO
3.431%, 10/25/07 Agy 7,581 565
94-33 S Inv Fl IO
2.569%, 3/25/09 Agy 11,163 547
G94-2 S Inv Fl IO REMIC
2.569%, 1/25/24 Agy 8,583 464
- ------------------------------------------------------
GROUP TOTAL 2,858
- ------------------------------------------------------
INDUSTRIALS (3.3%)
Blue Bell Funding
11.85%, 5/1/99 BB- 85 84
Comcast Corp.
9.375%, 5/15/05 BB- 775 785
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 750 719
DR Securitized Lease
Trust, Series 93-K1 A1
6.66%, 8/15/10 BB- 144 107
DR Structured Finance,
Series 94 K2
9.35%, 8/15/19 BB- 375 310
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 615 622
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 387 334
Host Marriot Travel Plaza
9.50%, 5/15/05 BB- 650 650
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- 300 257
Marvel Parent Holdings,
Inc.
Zero Coupon, 4/15/98 B- 1,160 902
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 400 437
# Oxymar
7.50%, 2/15/16 BBB 470 437
Paramount Communications.
Inc.
8.25%, 8/1/22 BB+ 860 775
Rhone-Poulenc Rorer, Inc.
8.62%, 1/5/21 BBB+ 400 418
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 600 593
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 637 644
Southland Corp.
5.00%, 12/15/03 BB+ 835 665
Time Warner, Inc.
9.15%, 2/1/23 BBB- 560 592
Unisys Corp.
10.625%, 10/1/99 B+ 575 584
- ------------------------------------------------------
GROUP TOTAL 9,915
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.5%)
First Federal Savings &
Loan Association,
Series 92-C
8.75%, 6/1/06 AA 1 1
@ Marine Midland Bank NA,
Series 91-1A7
8.50%, 4/25/22 AA -- --
(##) Resolution Trust
Corp., Series 92-5 C
8.62%, 1/25/26 AA 395 402
Ryland Acceptance Corp.,
Series 79-A
6.65%, 7/1/11 AA 95 90
Ryland Mortgage
Securities Corp.,
Series 93-A1 A
7.45%, 1/28/23 AAA 989 941
- ------------------------------------------------------
GROUP TOTAL 1,434
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
Federal National Mortgage
Association
Series:
249 1 PO
10/25/23 Agy $ 1,077 $ 658
254 1 PO
1/1/24 Agy 479 312
260 1 PO
4/1/24 Agy 639 411
93-205 G PO REMIC
9/25/23 Agy 308 163
93-235 H PO REMIC
9/25/23 Agy 128 86
93-237 E PO REMIC
11/25/23 Agy 392 262
93-243 C PO REMIC
11/25/23 Agy 84 53
94-25 C PO REMIC
11/25/23 Agy 195 121
- --------------------------------------------------------
GROUP TOTAL 2,066
- --------------------------------------------------------
TELEPHONES (1.0%)
Comcast Cellular Corp.,
Series A
Zero Coupon, 3/5/00 BB- 1,000 703
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 600 564
(#) MFS Communications Co.,
Inc.
0.00%, 1/15/06 B 535 374
Rogers Cablesystems
10.00%, 3/15/05 BB+ 600 609
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 235 204
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 700 681
- --------------------------------------------------------
GROUP TOTAL 3,135
- --------------------------------------------------------
TRANSPORTATION (0.3%)
# Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB 675 800
- --------------------------------------------------------
U.S. TREASURY SECURITIES (7.1%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,065 2,461
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 2,500 2,546
7.125%, 9/30/99 Tsy 2,200 2,249
7.50%, 2/15/05 Tsy 10,350 10,892
U.S. Treasury Strips PO
8/15/20 Tsy 17,500 3,178
- --------------------------------------------------------
GROUP TOTAL 21,326
- --------------------------------------------------------
YANKEE (1.1%)
+(#) Brazil Par, Series Z-L
4.25%, 4/15/24 B1 $ 855 $ 508
# Paiton Energy Funding
9.34%, 2/15/14 BBB- 545 552
(#) Republic of Argentina
5.00%, 3/31/23 BB- 1,720 1,004
United Mexican States
6.25%, 12/31/19 BB 1,050 726
YPF SA
7.50%, 10/26/02 BBB 520 523
- --------------------------------------------------------
GROUP TOTAL 3,313
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$128,286) 129,454
- --------------------------------------------------------
COMMON STOCKS (53.6%)
- --------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
BANKS (2.4%)
Chase Manhattan Corp. 22,500 1,803
Citicorp 9,700 879
First Chicago NBD Corp. 29,265 1,324
First Union Corp. 28,604 1,909
NationsBank Corp. 15,798 1,373
- --------------------------------------------------------
GROUP TOTAL 7,288
- --------------------------------------------------------
BASIC RESOURCES (1.8%)
Bowater, Inc. 17,700 672
Champion International Corp. 20,200 927
E.I. DuPont de Nemours & Co. 43,400 3,830
- --------------------------------------------------------
GROUP TOTAL 5,429
- --------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.1%)
Avon Products, Inc. 27,400 1,360
Kimberly-Clark Corp. 21,962 1,935
PepsiCo, Inc. 61,700 1,743
Procter & Gamble Co. 13,300 1,297
- --------------------------------------------------------
GROUP TOTAL 6,335
- --------------------------------------------------------
CONSUMER DURABLES (1.8%)
Chrysler Corp. 62,600 1,792
Eastman Kodak Co. 11,900 934
General Motors Corp. 28,597 1,373
Goodyear Tire & Rubber Co. 26,700 1,231
- --------------------------------------------------------
GROUP TOTAL 5,330
- --------------------------------------------------------
CONSUMER SERVICES (1.6%)
Carnival Corp., Class A 33,500 1,038
Gannett Co. 10,600 746
Harcourt General, Inc. 18,600 1,028
* ITT Corp. (New) 10,200 445
</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>
Service Corp. International 27,400 $ 829
* Tele-Communications Liberty
Media Group, Class A 26,450 757
- ------------------------------------------------------
GROUP TOTAL 4,843
- ------------------------------------------------------
CREDIT & FINANCE (0.2%)
Transamerica Corp. 10,219 714
- ------------------------------------------------------
ENERGY (5.2%)
Atlantic Richfield Co. 9,300 1,186
British Petroleum plc ADR 25,100 3,138
Chevron Corp. 20,100 1,259
Coastal Corp. 29,600 1,221
Columbia Gas System, Inc. 18,400 1,030
Mobil Corp. 21,150 2,448
Phillips Petroleum Co. 42,300 1,808
Royal Dutch Petroleum Co. ADR 15,800 2,467
Texaco, Inc. 10,200 938
- ------------------------------------------------------
GROUP TOTAL 15,495
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (3.4%)
ConAgra, Inc. 27,300 1,345
Philip Morris Co., Inc. 56,900 5,107
RJR Nabisco Holdings Corp. 48,320 1,256
Unilever N.V. ADR 7,400 1,166
UST, Inc. 44,800 1,327
- ------------------------------------------------------
GROUP TOTAL 10,201
- ------------------------------------------------------
HEALTH CARE (6.6%)
Abbott Laboratories 37,100 1,827
Aetna, Inc. 35,300 2,484
Allergan, Inc. 30,500 1,163
American Home Products Corp. 26,100 1,664
Baxter International, Inc. 21,900 1,024
Becton, Dickinson & Co. 36,800 1,628
Bristol-Myers Squibb Co. 30,900 2,978
Columbia/HCA Healthcare Corp. 22,340 1,270
Johnson & Johnson 22,900 1,174
Mallinckrodt Group, Inc. 20,800 866
Merck & Co., Inc. 26,100 1,837
Schering-Plough Corp. 24,500 1,507
Warner Lambert Co. 8,200 541
- ------------------------------------------------------
GROUP TOTAL 19,963
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.2%)
Allied Signal, Inc. 8,900 586
* AMR Corp. 28,400 2,262
Burlington Northern Santa Fe,
Inc. 12,305 1,038
CASE Corp. 10,700 522
Cummins Engine Co., Inc. 21,000 827
Eaton Corp. 14,200 857
* FMC Corp. 15,000 1,018
General Electric Co. 25,500 2,320
McDonnell Douglas Corp. 13,200 693
Tenneco, Inc. 14,500 727
Textron, Inc. 8,800 748
- ------------------------------------------------------
Trinova Corp. 26,500 835
Union Pacific Corp. 32,000 2,344
United Technologies Corp. 6,900 829
- ------------------------------------------------------
GROUP TOTAL 15,606
- ------------------------------------------------------
INSURANCE (3.1%)
Ace, Ltd. 24,500 1,295
Allstate Corp. 32,000 1,576
CIGNA Corp. 17,800 2,134
Exel Ltd. 34,600 1,202
ITT Hartford Group, Inc. 49,200 2,903
- ------------------------------------------------------
GROUP TOTAL 9,110
- ------------------------------------------------------
MID CAP GROWTH (2.6%)
* Airgas, Inc. 5,700 145
* Ascend Communications, Inc. 1,700 112
* Ascent Entertainment Group,
Inc. 3,700 88
* Boston Chicken, Inc. 2,500 88
Cardinal Health, Inc. 2,800 231
* Ceridian Corp. 2,100 105
Cintas Corp. 2,800 157
Comcast Corp., Class A Special 10,900 168
Danaher Corp. 5,400 223
* DSP Communications, Inc. 4,200 235
* EchoStar Communications Corp.,
Class A 3,000 82
Estee Lauder Cos., Class A 4,700 211
* FIserv, Inc. 2,600 99
Frontier Corp. 5,600 149
* Gartner Group, Inc., Class A 3,000 102
* Globalstar Telecommunications
Ltd. 6,600 340
Gucci Group N.V. (New York
Shares) 1,900 138
Guidant Corp. 2,500 138
HBO & Co. 500 33
* Health Management Associates,
Class A 15,475 385
* HealthCare COMPARE Corp. 1,800 85
Infinity Broadcasting Corp.,
Class A 3,450 109
* International Cabletel, Inc. 3,800 97
International Game Technology 3,900 80
* Lin Television Corp. 1,700 70
* Lincare Holdings, Inc. 2,300 92
Loral Space & Communications 4,900 77
* McAfee Associates, Inc. 3,675 254
* MFS Communications Co., Inc. 7,600 331
* Millicom International
Cellular SA 3,100 125
Money Store (The), Inc. 5,700 151
* Octel Communications Corp. 3,700 107
* Orthodontic Centers of
America, Inc. 5,200 106
* Paging Network, Inc. 4,000 80
* Palmer Wireless, Inc. 4,000 71
* PanAmSat Corp. 3,200 89
Paychex, Inc. 3,000 174
* Pediatrix Medical Group, Inc. 1,300 65
Post Properties, Inc. 1,800 66
* Robert Mondavi Corp., Class A 3,900 128
</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) SHARES (000)(+)
- ------------------------------------------------------
<S> <C> <C>
Security Capital Industrial
Trust 4,550 $ 83
Security Capital Pacific Trust 3,400 72
* Sinclair Broadcast Group, Inc. 3,200 128
Sirrom Capital Corp. 5,000 151
* Spacehab, Inc. 6,500 55
Stolt-Nielsen SA ADR 5,100 80
* Tele-Communications, Inc.,
Class A 6,300 94
* Tele-Communications
International, Inc., Class A 5,000 76
* Tele-Communications Liberty
Media Group, Class A 7,543 216
@ Telephone & Data Systems, Inc. 5 --
* Tellabs, Inc. 3,400 240
* Tommy Hilfiger Corp. 2,400 142
* Total Renal Care Holdings, Inc. 3,000 119
* Transaction Systems Architect,
Inc., Class A 4,200 178
* United Video Satellite Group 5,300 107
U.S. Robotics Corp. 1,800 116
* USA Detergents, Inc. 3,900 155
* USA Waste Services, Inc. 4,300 136
* Viking Office Products, Inc. 4,600 138
- ------------------------------------------------------
GROUP TOTAL 7,872
- ------------------------------------------------------
RETAIL (2.4%)
American Stores Co. 23,500 940
* Federated Department Stores, Inc. 49,300 1,652
Home Depot, Inc. 29,100 1,655
Pep Boys-Manny, Moe & Jack 26,500 944
Sears, Roebuck & Co. 44,900 2,009
- ------------------------------------------------------
GROUP TOTAL 7,200
- ------------------------------------------------------
TECHNOLOGY (3.1%)
* Cisco Systems, Inc. 29,800 1,849
Intel Corp. 25,500 2,434
* Microsoft Corp.,Inc. 19,600 2,585
* Oracle System Corp. 23,475 999
U.S. Robotics Corp. 21,300 1,377
- ------------------------------------------------------
GROUP TOTAL 9,244
- ------------------------------------------------------
UTILITIES (6.3%)
AT&T Corp. 59,400 3,104
Central & South West Corp. 14,300 372
CINergy Corp. 26,300 812
DQE, Inc. 38,100 1,062
DTE Energy Co. 32,200 902
Entergy Corp. 34,900 942
Frontier Corp. 20,600 548
GPU, Inc. 24,700 760
GTE Corp. 39,700 1,528
* MFS Communications Co., Inc. 27,988 1,221
NYNEX Corp. 33,700 1,466
Ohio Edison Co. 29,000 562
PECO Energy Co. 38,300 910
SBC Communications, Inc. 32,900 1,583
Sprint Corp. 62,500 2,430
Unicom Corp. 35,200 884
- ------------------------------------------------------
GROUP TOTAL 19,086
- ------------------------------------------------------
VALUE (5.8%)
Allstate Corp. 3,427 169
American General Corp. 6,200 234
American Re Corp. 2,300 146
Amoco Corp. 2,200 155
* AMR Corp. 2,000 159
Archer Daniels Midland Co. 11,119 214
Atlantic Richfield Co. 1,500 191
Bank of New York Co. 5,600 165
Beckman Instruments, Inc. 5,800 225
Bergen Brunswig Corp., Class A 8,500 270
Bowater, Inc. 3,200 122
Bristol-Myers Squibb Co. 1,300 125
British Petroleum plc ADR 2,100 263
Burlington Northern Santa Fe,
Inc. 2,899 245
Cabot Oil & Gas Corp., Class A 3,600 100
Capital One Financial Corp. 6,232 187
Caterpillar, Inc. 2,100 158
Central Maine Power Co. 9,200 113
Chase Manhattan Corp. 3,300 264
Chubb Corp. 2,400 110
Citicorp 1,300 118
* Compaq Computer Corp. 6,400 410
Crestar Financial Corp. 3,414 201
CSX Corp. 2,100 106
Cummins Engine Co., Inc. 5,500 217
Cyprus Amax Minerals Co. 5,900 127
Dean Witter Discover & Co. 2,600 143
Deere & Co. 4,800 202
Dillard Department Stores, Inc.,
Class A 4,500 145
Eaton Corp. 4,400 266
E.I. DuPont de Nemours & Co. 3,800 335
Entergy Corp. 6,900 186
Federal Home Loan Mortgage Corp. 1,300 127
Federal National Mortgage
Association 5,500 192
First Chicago NBD Corp. 3,600 163
First of America Bank Corp. 41 2
First Union Corp. 1,400 93
Fleet Financial Group, Inc. 43 2
* FMC Corp. 3,300 224
Ford Motor Co. 2,300 72
* Foundation Health Corp. 6,200 210
General Motors Corp. 5,696 273
Goodyear Tire & Rubber Co. 6,200 286
GPU, Inc. 8,500 261
Great Western Financial Corp. 5,573 148
Harnischfeger Industries, Inc. 5,500 208
IBP, Inc. 8,300 193
International Business Machines
Corp. 3,400 423
ITT Hartford Group, Inc. 2,700 159
* Lam Research Corp. 7,400 197
</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>
Mallinckrodt Group, Inc. 6,200 $ 258
MAPCO, Inc. 2,700 161
* Maxicare Health Care Plans, Inc. 7,200 137
MCI Communications Corp. 6,100 156
Mellon Bank Corp. 2,200 130
Old Republic International Corp. 6,050 150
PanEnergy Corp. 2,600 90
Parker Hannifin Corp. 4,000 168
PECO Energy Co. 7,700 183
PHH Corp. 8,200 244
Philip Morris Cos., Inc. 4,600 413
Potash Corp. of Saskatchewan 1,400 102
Premark International, Inc. 5,100 96
Providian Corp. 4,200 181
Raytheon Corp. 4,400 245
ReliaStar Financial Corp. 2,700 128
Republic New York Corp. 2,200 152
Reynolds Metals Co. 3,500 179
Rhone-Poulenc SA ADR 6,166 173
RJR Nabisco Holdings Corp. 8,100 211
Rohm & Haas Co. 3,800 249
Ryder Systems, Inc. 5,600 166
Salomon, Inc. 2,000 91
* Seagate Technology, Inc. 7,600 425
Signet Banking Corp. 6,271 168
Spring Industries, Inc., Class A 3,800 169
Sprint Corp. 4,600 179
St. Paul Cos., Inc. 3,400 189
Standard Register Co. 6,100 169
* Stratus Computer, Inc. 6,600 130
Tandy Corp. 3,600 145
Tecumseh Products Co., Class A 8,400 456
Tektronix, Inc. 4,900 200
* Tenet Healthcare Corp. 9,200 205
Textron, Inc. 2,600 221
@ 360 Communications Co. 1 --
Transatlantic Holdings, Inc. 2,000 136
Trinova Corp. 10,800 340
TRW, Inc. 1,900 177
Tupperware Corp. 5,100 250
Ultramar Corp. 6,500 197
Unicom Corp. 3,200 80
Universal Foods Corp. 400 10
V.F. Corp. 3,700 223
YPF SA ADR 5,300 121
- ------------------------------------------------------
GROUP TOTAL 17,557
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $133,588) 161,273
- ------------------------------------------------------
PREFERRED STOCK (0.2%)
- ------------------------------------------------------
# Time Warner, Inc.,
10.25%, Series K
(Cost $702) 695 730
- ------------------------------------------------------
RIGHTS (0.0%)
- ------------------------------------------------------
*@ Mexico Recovery Rights,
expiring 6/30/03
(Cost $0) 1,050,000 --
- ------------------------------------------------------
STRUCTURED INVESTMENT (0.2%)-NOTE A7
- ------------------------------------------------------
<CAPTION>
(++)
(RATINGS FACE
STANDARD AMOUNT
& POOR'S) (000)
--------- ------
<S> <C> <C>
(##) Morgan Guaranty Trust
Co., 11/20/05; monthly
payments equal to 1%
per annum of the
outstanding notional
balance indexed to GNMA
ARM pools. (Cost $546) N/R $15,434 501
- ------------------------------------------------------
CASH EQUIVALENTS (18.5%)
- ------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(0.5%) 1,436 1,436
- ------------------------------------------------------
U.S. TREASURY SECURITY (0.1%)
(+++) U.S. Treasury Bill
Zero Coupon, 10/17/96 Tsy 150 150
- ------------------------------------------------------
COMMERCIAL PAPER (13.2%)
American Express Credit Corp.
5.30%, 10/15/96 4,000 3,992
Colgate-Palmolive Co.
5.39%, 11/13/96 4,000 3,974
Commercial Credit Co.
5.32%, 10/25/96 4,000 3,986
Ford Motor Credit Corp.
5.36%, 10/10/96 4,000 3,995
General Electric Credit Corp.
5.28%, 11/1/96 4,000 3,982
Heinz (H.J.) Co.
5.30%, 11/12/96 4,000 3,975
PHH Corp.
5.30%, 10/31/96 4,000 3,982
Raytheon Corp.
5.27%, 10/28/96 4,000 3,984
Warner Lambert Co.
5.28%, 10/2/96 4,000 3,999
Xerox Corp.
5.28%, 10/23/96 4,000 3,987
- ------------------------------------------------------
GROUP TOTAL 39,856
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.7%)
Chase Securities, Inc. 5.60%,
dated 9/30/96 due 10/1/96, to
be repurchased at $14,250,
collateralized by various U.S.
Government Obligations, due
10/3/96-7/17/98, valued at
$14,391 14,248 14,248
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $55,690) 55,690
- ------------------------------------------------------
TOTAL INVESTMENTS (115.5%) (Cost $318,812) 347,648
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
VALUE
(CONT'D) (000)(+)
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-15.5%)
Dividends Receivable $ 442
Interest Receivable 1,386
Receivable for Investments Sold 12,064
Receivable for Fund Shares Sold 2,583
Unrealized Gain on Forward Foreign Currency
Contracts 138
Other Assets 5
Payable for Investments Purchased (57,751)
Payable for Fund Shares Redeemed (74)
Payable for Investment Advisory Fees (351)
Payable for Administrative Fees (19)
Payable for Daily Variation on Futures
Contracts (11)
Payable for Deferred Trustees' Compensation
Plan-Note F (3)
Written Interest Rate Floor, at Value (3,593)
Collateral on Securities Loaned, at Value (1,436)
Other Liabilities (160)
--------
(46,780)
- ------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------
Applicable to 21,780,829 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $300,868
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.81
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $241,226
Undistributed Net Investment Income (Loss) 4,707
Undistributed Realized Net Gain (Loss) 26,066
Unrealized Appreciation (Depreciation) on:
Investment Securities 28,836
Foreign Currency Transactions 129
Futures and Written Floors (96)
- ------------------------------------------------------
NET ASSETS $300,868
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $1,872 or 0.6% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate security-rate
disclosed is as of September 30, 1996.
[ ] Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
@ Amount is less than $500.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
DEM German Mark
DKK Danish Krone
GBP British Pound
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
STATEMENT OF NET ASSETS
EQUITY (44.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1996 SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (44.7%)
- -----------------------------------------------------
BANKS (2.0%)
Chase Manhattan Corp. 8,400 $ 673
Citicorp 3,600 326
First Chicago NBD Corp. 11,178 506
First Union Corp. 10,274 686
NationsBank Corp. 5,793 503
- -----------------------------------------------------
GROUP TOTAL 2,694
- -----------------------------------------------------
BASIC RESOURCES (1.4%)
Bowater, Inc. 6,900 262
Champion International Corp. 7,100 326
E.I. DuPont de Nemours & Co. 13,975 1,233
- -----------------------------------------------------
GROUP TOTAL 1,821
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.8%)
Avon Products, Inc. 10,100 501
Kimberly-Clark Corp. 8,476 747
PepsiCo, Inc. 25,200 712
Procter & Gamble Co. 4,900 478
- -----------------------------------------------------
GROUP TOTAL 2,438
- -----------------------------------------------------
CONSUMER DURABLES (1.4%)
Chrysler Corp. 23,200 664
Eastman Kodak Co. 2,800 220
General Motors Corp. 11,287 542
Goodyear Tire & Rubber Co. 9,800 452
- -----------------------------------------------------
GROUP TOTAL 1,878
- -----------------------------------------------------
CONSUMER SERVICES (1.4%)
Carnival Corp., Class A 12,400 384
Gannett Co. 3,800 267
Harcourt General, Inc. 7,000 387
* ITT Corp. (New) 3,600 157
Service Corp. International 10,100 306
Tele-Communications Liberty
Media Group, Class A 10,675 306
- -----------------------------------------------------
GROUP TOTAL 1,807
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (0.2%)
Transamerica Corp. 4,000 280
- -----------------------------------------------------
ENERGY (4.3%)
Atlantic Richfield Co. 3,050 389
British Petroleum plc ADR 9,400 1,175
Chevron Corp. 7,400 464
Coastal Corp. 12,200 503
Columbia Gas System, Inc. 5,500 308
Mobil Corp. 7,900 914
Phillips Petroleum Co. 15,700 671
Royal Dutch Petroleum Co. ADR 5,900 921
Texaco, Inc. 3,800 350
- -----------------------------------------------------
GROUP TOTAL 5,695
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.7%)
ConAgra, Inc. 10,600 522
Philip Morris Cos., Inc. 19,800 1,777
RJR Nabisco Holdings Corp. 15,340 399
Unilever N.V. ADR 2,700 425
UST, Inc. 16,700 495
- -----------------------------------------------------
GROUP TOTAL 3,618
- -----------------------------------------------------
HEALTH CARE (5.4%)
Abbott Laboratories 14,100 694
Aetna, Inc. 9,100 641
Allergan, Inc. 11,800 450
American Home Products Corp. 10,000 638
Baxter International, Inc. 8,600 402
Becton, Dickinson & Co. 12,800 566
Bristol-Myers Squibb Co. 10,500 1,012
Columbia/HCA Healthcare Corp. 8,162 464
Johnson & Johnson 8,800 451
Mallinckrodt Group, Inc. 7,700 321
Merck & Co., Inc. 10,800 760
Schering-Plough Corp. 9,400 578
Warner Lambert Co. 3,000 198
- -----------------------------------------------------
GROUP TOTAL 7,175
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (4.5%)
Allied Signal, Inc. 3,700 244
* AMR Corp. 9,700 772
Burlington Northern, Inc. 4,542 383
Case Corp. 3,800 185
Cummins Engine Co., Inc. 8,200 323
Eaton Corp. 5,200 314
* FMC Corp. 5,600 380
General Electric Co. 9,500 864
McDonnell Douglas Corp. 5,500 289
Tenneco, Inc. 5,400 271
Textron, Inc. 3,500 298
Trinova Corp. 10,600 334
Union Pacific Corp. 13,500 989
United Technologies Corp. 2,900 348
- -----------------------------------------------------
GROUP TOTAL 5,994
- -----------------------------------------------------
INSURANCE (2.5%)
Ace, Ltd. 9,900 523
Allstate Corp. 12,000 591
CIGNA Corp. 6,300 755
Exel Ltd. 12,400 431
ITT Hartford Group, Inc. 18,300 1,080
- -----------------------------------------------------
GROUP TOTAL 3,380
- -----------------------------------------------------
</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
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
MID CAP GROWTH (2.4%)
Cardinal Health, Inc. 4,500 $ 372
* Ceridian Corp. 5,900 295
Danaher Corp. 7,900 327
Estee Lauder Cos., Class A 8,100 363
* Globalstar Telecommunications
Ltd. 5,900 304
* Health Management Associates,
Inc., Class A 13,425 334
* Loral Space & Communications 20,600 325
* Tommy Hilfiger Corp. 5,900 350
U.S. Robotics Corp. 3,300 213
* U.S.A. Waste Services, Inc. 10,200 321
- -----------------------------------------------------
GROUP TOTAL 3,204
- -----------------------------------------------------
RETAIL (2.1%)
American Stores Co. 8,800 352
* Federated Department Stores,
Inc. 18,400 616
Home Depot, Inc. 11,200 637
Pep Boys-Manny, Moe & Jack 9,800 349
Sears, Roebuck & Co. 17,200 770
- -----------------------------------------------------
GROUP TOTAL 2,724
- -----------------------------------------------------
TECHNOLOGY (2.5%)
* Cisco Systems, Inc. 11,200 695
Intel Corp. 8,200 783
* Microsoft Corp. 7,200 949
* Oracle System Corp. 9,175 390
U.S. Robotics Corp. 7,500 485
- -----------------------------------------------------
GROUP TOTAL 3,302
- -----------------------------------------------------
UTILITIES (5.3%)
AT&T Corp. 22,500 1,176
CINergy Corp. 9,800 302
Central & South West Corp. 5,200 135
DQE, Inc. 11,000 307
DTE Energy Co. 12,000 336
Entergy Corp. 13,100 354
Frontier Corp. 7,700 205
* GPU, Inc. 8,900 274
GTE Corp. 13,600 524
* MFS Communications Co., Inc. 9,900 432
NYNEX Corp. 13,000 565
Ohio Edison Co. 12,300 238
PECO Energy Co. 14,300 340
SBC Communications, Inc. 12,000 577
Sprint Corp. 23,100 898
*@ 360 Communications Co. 1 --
Unicom Corp. 13,100 329
- -----------------------------------------------------
GROUP TOTAL 6,992
- -----------------------------------------------------
VALUE (4.8%)
Baxter International, Inc. 19,200 898
Chrysler Corp. 35,500 1,016
Citicorp 10,100 915
Dillard Department Stores, Inc.,
Class A 17,000 548
MAPCO, Inc. 19,200 1,145
Sprint Corp. 15,900 618
Texas Instruments, Inc. 8,800 485
Textron, Inc. 8,000 680
- -----------------------------------------------------
GROUP TOTAL 6,305
- -----------------------------------------------------
TOTAL U.S. COMMON STOCK (Cost $52,249) 59,307
- -----------------------------------------------------
U.S. FIXED INCOME (24.7%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (24.7%)
(Unless otherwise noted)
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
----------- -------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (13.2%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
11.00%, 9/1/16 Agy $ 134 148
11.50%, 7/1/15 Agy 127 141
Gold Pools:
7.00%, 1/1/24-4/1/24 Agy 397 386
9.50%, 12/1/16 Agy 297 318
October TBA
7.00%, 4/25/25 Agy 525 511
7.50%, 7/15/24-11/15/25 Agy 10,225 10,116
Federal National Mortgage
Association Conventional
Pools:
9.00%, 10/1/16-11/1/16 Agy 201 211
11.00%, 11/1/20 Agy 187 208
October TBA
7.50%, 10/1/23-6/15/25 Agy 1,600 1,581
Government National
Mortgage Association
Various Pools:
10.50%, 2/15/19-8/15/26 Agy 707 782
11.00%, 7/15/10-7/15/19 Agy 379 424
11.50%, 1/15/13-2/15/13 Agy 95 105
October TBA
7.50%, 3/15/26 Agy 2,650 2,617
- -------------------------------------------------------
GROUP TOTAL 17,548
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.2%)
(##) Airplanes Pass Through
Trust, Series 1 B
6.522%, 3/15/19 A 98 98
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 100 102
94-1 C2 CMO
9.35%, 3/15/00 BBB 99 102
- -------------------------------------------------------
GROUP TOTAL 302
- -------------------------------------------------------
</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>
ASSET BACKED MORTGAGES (0.5%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA $ 150 $ 152
Delta Funding Home Equity
Loan Trust, Series 96-1
A7
7.95%, 6/25/27 AAA 150 151
GE Capital Mortgage
Services, Inc., Series
96-HE2 A6
8.00%, 6/25/26 AAA 150 151
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 175 177
- -------------------------------------------------------
GROUP TOTAL 631
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.1%)
Federal Home Loan Mortgage
Corporation, Series 1632
SA
5.657%, 11/15/23 Agy 75 54
Federal National Mortgage
Association, Series 92-33
S Inv Fl IO
10.89%, 3/25/22 Agy 50 48
- -------------------------------------------------------
GROUP TOTAL 102
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.2%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 170 172
Chemical Mortgage
Securities, Inc., Series
96-1 A9
7.25%, 1/25/26 AAA 124 119
sec. Citicorp Mortgage
Securities, Inc., Series
95-3 A6
7.50%, 11/25/25
(acquired
11/2/95, cost $102) AAA 99 97
Countrywide Mortgage Backed
Securities, Inc.,
Series 93-C A11
6.50%, 1/25/24 AAA 145 133
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 220 196
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 188 204
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
92-S2 M
8.00%, 1/25/22 AA 91 92
sec. 93-MZ3 A2
6.97%, 8/28/23 (acquired
7/17/95, cost $93) NA 100 91
sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95, cost
$135) AAA 146 133
sec. 94-S1 A19
6.75%, 1/25/24 (acquired
5/22/95, cost $177) AAA 194 180
Rural Housing Trust,
Series 87-B 1
3.33%, 10/1/28 A- 125 116
sec.(##) Securitized Asset
Sales, Inc.,
Series 95-B M
7.41%, 9/25/24 (acquired
5/16/95, cost $93) N/R 100 93
- -------------------------------------------------------
GROUP TOTAL 1,626
- -------------------------------------------------------
COMMERCIAL MORTGAGES (1.0%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 AA 144 143
93-2 S1 IO
1.078%, 1/18/09 AA 1,170 62
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 150 151
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 123 125
95-MD4 A1
7.10%, 8/13/29 AAA 124 122
(##)95-MD4 ACS2 IO
2.17%, 8/13/29 AAA 695 123
Beverly Finance Corp.
8.36%, 7/15/04 AA- 100 104
# Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 100 98
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 100 98
# DLJ Mortgage Acceptance
Corp., Series 96-CF1 A1B
7.58%, 3/13/28 AAA 150 151
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 95-C1 A1
7.268%, 7/25/10 AAA 83 83
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 125 126
- -------------------------------------------------------
GROUP TOTAL 1,386
- -------------------------------------------------------
</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
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)(+)
- -------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.2%)
# Excel Paralubes Funding
7.43%, 11/1/15 A- $ 200 $ 192
Mobile Energy Services
8.665%, 1/1/17 BBB- 98 99
- -------------------------------------------------------
GROUP TOTAL 291
- -------------------------------------------------------
FINANCE (1.0%)
First National Bank of
Chicago, Series 93-A
8.08%, 1/5/18 AA- 100 104
John Hancock Surplus Note
7.375%, 2/15/24 AA 250 234
# Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 250 228
# Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 AA- 250 229
# New York Life Insurance
Co.
7.50%, 12/15/23 AA 250 235
# Prudential Insurance
Co.
8.30%, 7/1/25 A 150 149
Reliance Group Holdings,
Inc.
9.00%, 11/15/00 BB+ 50 51
(##) United Savings of Texas
8.05%, 5/15/98 BB+ 50 50
- -------------------------------------------------------
GROUP TOTAL 1,280
- -------------------------------------------------------
INDUSTRIALS (1.6%)
Comcast Corp.
9.375%, 5/15/05 BB- 170 172
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 140 134
DR Securitized Lease Trust,
Series:
93-K1 A2
7.43%, 8/15/18 BB- 180 122
94-K1 A1
7.60%, 8/15/07 BB- 92 76
DR Structured Finance,
Series 94 K2
9.35%, 8/15/19 BB- 30 25
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 115 116
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 140 153
# Oxymar
7.50%, 2/15/16 BBB 100 93
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 255 230
(#) Rhone-Poulenc Rorer, Inc.
8.62%, 1/5/21 BBB+ 100 105
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 110 109
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 109 110
Southland Corp.
5.00%, 12/15/03 BB+ 275 219
Time Warner, Inc.
9.15%, 2/1/23 BBB- 175 185
# Time Warner, Inc.
10.25%, Series K
(Preferred Stock) B+ (1)133 140
Unisys Corp.
10.625%, 10/1/99 B+ 125 127
- -------------------------------------------------------
GROUP TOTAL 2,116
- -------------------------------------------------------
STRIPPED MORTGAGE-BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.3%)
Federal National Mortgage
Association, Series:
249 1 PO
10/25/23 Agy 323 197
254 1 PO
1/1/24 Agy 92 60
260 1 PO
4/1/24 Agy 123 79
96-34 C PO REMIC
3/25/23 Agy 225 94
- -------------------------------------------------------
GROUP TOTAL 430
- -------------------------------------------------------
TELEPHONES (0.6%)
Comcast Cellular Corp.,
Series:
A,
Zero Coupon, 3/5/00 BB- 75 53
B,
Zero Coupon, 3/5/00 BB- 125 88
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 150 141
(#)MFS Communications, Inc.
0.00%, 1/15/06 B 150 105
Rogers Cablesystems
10.00%, 3/15/05 BB+ 105 106
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 135 117
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 155 151
- -------------------------------------------------------
GROUP TOTAL 761
- -------------------------------------------------------
TRANSPORTATION (0.3%)
Jet Equipment Trust,
Series:
# 94-A11 10.00%,
6/15/12 A 125 146
# 95-5A C 10.69%,
5/1/15 BBB- 200 237
- -------------------------------------------------------
GROUP TOTAL 383
- -------------------------------------------------------
U.S. TREASURY SECURITIES (3.0%)
(+++)U.S. Treasury Bond
8.75%, 8/15/20 Tsy 675 804
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 1,200 1,202
7.125%, 9/30/99 Tsy 1,200 1,227
</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>
U.S. Treasury Strips
Principal Only,
8/15/20 Tsy $ 3,700 $ 672
- -------------------------------------------------------
GROUP TOTAL 3,905
- -------------------------------------------------------
YANKEE (1.5%)
+(#) Brazil Par Series Z-L
4.25%, 4/15/24 B1 725 431
# Paiton Energy Funding
9.34%, 2/15/14 BBB- 100 101
(#) Republic of Argentina
5.00%, 3/31/23 BB- 1,295 756
United Mexican States
6.25%, 12/31/19 BB 800 553
YPF SA
7.50%, 10/26/02 BBB 112 113
- -------------------------------------------------------
GROUP TOTAL 1,954
- -------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $32,249) 32,715
- -------------------------------------------------------
INTERNATIONAL FIXED INCOME (5.4%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (5.4%)
- -------------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Commonwealth of
Australia 9.50%,
8/15/03 AA AUD 120 104
- ------------------------------------------------------
BRITISH POUND (0.8%)
United Kingdom
Treasury Bills
7.00%, 11/6/01 AAA GBP 480 748
8.00%, 6/10/03 AAA 60 97
8.50%, 7/16/07 AAA 100 165
- ------------------------------------------------------
GROUP TOTAL 1,010
- ------------------------------------------------------
CANADIAN DOLLAR (0.3%)
Government of Canada
8.50%, 4/1/02 AA+ CAD 475 382
- ------------------------------------------------------
DANISH KRONE (0.6%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 2,675 497
8.00%, 3/15/06 AAA 1,275 233
- ------------------------------------------------------
GROUP TOTAL 730
- ------------------------------------------------------
GERMAN MARK (1.5%)
Government of Germany
6.25%, 1/4/24 AAA DEM 150 90
7.125%, 1/29/03 AAA 1,260 892
7.375%, 1/3/05 AAA 95 68
8.375%, 5/21/01 AAA 1,120 834
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA DEM 175 122
- ------------------------------------------------------
GROUP TOTAL 2,006
- ------------------------------------------------------
IRISH PUNT (0.4%)
Irish Government
6.25%, 4/1/99 AA IEP 115 185
6.50%, 10/18/01 AA 200 323
- ------------------------------------------------------
GROUP TOTAL 508
- ------------------------------------------------------
ITALIAN LIRA (0.7%)
Buoni Poliennali Del
Tres 10.50%, 7/15/00 AA ITL 735,000 523
Republic of Italy BTPS
9.50%, 2/1/06 AA 135,000 95
10.00%, 8/1/03 AA 110,000 78
10.50%, 7/15/98 AA 410,000 281
- ------------------------------------------------------
GROUP TOTAL 977
- ------------------------------------------------------
JAPANESE YEN (0.5%)
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA JPY 65,000 707
- ------------------------------------------------------
NETHERLAND GUILDER (0.2%)
Netherlands Government
8.25%, 2/15/07 AAA NLG 450 307
- ------------------------------------------------------
SPANISH PESETA (0.3%)
Spanish Government
10.10%, 2/28/01 AA ESP 16,000 138
12.25%, 3/25/00 AA 30,000 269
- ------------------------------------------------------
GROUP TOTAL 407
- ------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost
$7,123) 7,138
- ------------------------------------------------------
INTERNATIONAL EQUITY (15.7%)
- ------------------------------------------------------
COMMON STOCKS (15.7%)
- ------------------------------------------------------
ARGENTINA (0.5%)
Banco Frances del Rio de la
Plata SA ADR 16,885 441
YPF SA ADR 9,500 217
- -----------------------------------------------------
GROUP TOTAL 658
- -----------------------------------------------------
</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
VALUE
(CONT'D) SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
AUSTRIA (0.6%)
Boehler-Uddeholm AG 4,855 $ 388
OMV AG 3,800 382
- -----------------------------------------------------
GROUP TOTAL 770
- -----------------------------------------------------
BRAZIL (0.2%)
Telebras SA ADR 4,200 330
- -----------------------------------------------------
CANADA (0.4%)
Quebecor Inc., Class B 16,500 247
TransCanada Pipelines Ltd. 15,900 255
- -----------------------------------------------------
GROUP TOTAL 502
- -----------------------------------------------------
FRANCE (0.9%)
Credit Local de France 4,400 375
Elf Aquitaine 5,260 412
(+++)Usinor Sacilor 30,639 473
- -----------------------------------------------------
GROUP TOTAL 1,260
- -----------------------------------------------------
GERMANY (1.8%)
(+++) Deutsche Bank AG 9,450 444
Hoechst AG 14,310 522
Siemens AG 9,090 478
Springer (Axel) Verlag AG 600 354
Veba AG 5,100 267
Volkswagen AG 900 335
- -----------------------------------------------------
GROUP TOTAL 2,400
- -----------------------------------------------------
HONG KONG (0.4%)
Citic Pacific Ltd. 34,000 154
Hong Kong & China Gas Co. Ltd. 65,000 111
HSBC Holdings plc 6,800 126
Johnson Electric Holdings Ltd. 24,000 55
Wharf (Holdings) Ltd. 15,000 62
- -----------------------------------------------------
GROUP TOTAL 508
- -----------------------------------------------------
INDONESIA (0.1%)
Indosat (Foreign) 39,000 131
- -----------------------------------------------------
ITALY (2.1%)
ENI S.p.A. 201,300 1,030
* Olivetti Group 1,879,000 689
Telecom Italia S.p.A. 542,800 1,000
- -----------------------------------------------------
GROUP TOTAL 2,719
- -----------------------------------------------------
JAPAN (3.9%)
Canon, Inc. 16,000 314
Canon Sales Co., Inc. 10,000 272
Daiwa House Industry 16,000 229
Fuji Photo Film Ltd. 9,000 273
Hitachi Ltd. 28,000 271
Honda Motor Co. 11,000 276
Kao Corp. 38,000 473
Kirin Brewery Co., Ltd. 14,000 156
Mitsubishi Heavy Industries Ltd. 33,000 268
Mitsui & Co. 24,000 208
NEC Corp. 25,000 294
Shiseido Co., Ltd. 27,000 324
Sumitomo Electric Industries 12,000 165
Sumitomo Marine & Fire Insurance
Co. 41,000 323
Takeda Chemical Industries 17,000 311
Tokio Marine & Fire Insurance 29,000 343
Yamanouchi Pharmaceutical Co. 16,000 338
Yasuda Fire & Marine Insurance 46,000 318
- -----------------------------------------------------
GROUP TOTAL 5,156
- -----------------------------------------------------
KOREA (0.1%)
* Samsung Electronics RFD 132 10
Samsung Electronics 1,640 129
- -----------------------------------------------------
GROUP TOTAL 139
- -----------------------------------------------------
MEXICO (0.4%)
* Empresas ICA Sociedad
Controladora SA ADR 14,400 220
* Grupo Posadas SA, Series A 546,000 253
- -----------------------------------------------------
GROUP TOTAL 473
- -----------------------------------------------------
NETHERLANDS (0.7%)
ING Groep N.V. 10,407 325
Royal PTT Nederland N.V. 8,300 286
Vendex International N.V. 9,274 361
- -----------------------------------------------------
GROUP TOTAL 972
- -----------------------------------------------------
NORWAY (0.4%)
Christiania Bank OG Kreditkasse 198,600 510
- -----------------------------------------------------
PHILIPPINES (0.2%)
Ayala Land, Inc., Class B 78,000 95
Philippine Commercial
International Bank 12,000 166
- -----------------------------------------------------
GROUP TOTAL 261
- -----------------------------------------------------
SPAIN (0.9%)
Argentaria S.A. 10,500 436
Repsol S.A. 12,900 424
Telefonica Nacional de Espana 16,200 301
- -----------------------------------------------------
GROUP TOTAL 1,161
- -----------------------------------------------------
SWEDEN (0.8%)
Nordbanken AB 14,400 370
SKF AB, Class B 9,900 238
Sparbanken Sverige AB, Class A 27,885 404
*@ Tornet Fastighets AB 1 --
- -----------------------------------------------------
GROUP TOTAL 1,012
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)(+)
- -----------------------------------------------------
<S> <C> <C>
SWITZERLAND (0.4%)
Ciba-Geigy AG (Registered) 240 $ 307
* Swissair AG (Registered) 311 256
- -----------------------------------------------------
GROUP TOTAL 563
- -----------------------------------------------------
THAILAND (0.0%)
Thai Farmers Bank plc (Foreign) 10,000 105
- -----------------------------------------------------
UNITED KINGDOM (0.5%)
Abbey National plc 11,800 110
B.A.T. Industries plc 39,000 260
BOC Group plc 7,200 99
Royal & Sun Alliance Insurance
Group plc 16,325 103
Tate & Lyle plc 14,000 102
- -----------------------------------------------------
GROUP TOTAL 674
- -----------------------------------------------------
UNITED STATES (0.4%)
* The India Fund, Inc. 25,100 182
* The Taiwan Fund 30,000 323
- -----------------------------------------------------
GROUP TOTAL 505
- -----------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $19,731) 20,809
- -----------------------------------------------------
HIGH YIELD (6.9%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (6.9%)
(Unless otherwise noted)
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------
(++)RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.2%)
# ALPS, Series 96-1 D
12.75%, 6/15/06 BB- $ 275 283
- --------------------------------------------------------
CABLE (0.8%)
Cablevision Systems Corp.
9.25%, 11/1/05 B 65 63
9.875%, 5/15/06 B 150 150
Comcast Corp.
(Convertible)
1.125%, 4/15/07 BB- 190 87
Lenfest Communications, Inc.
8.375%, 11/1/05 BB+ 85 80
# 10.50%, 6/15/06 BB- 50 52
(#) Marcus Cable Co.
0.00%, 12/15/05 B 240 163
Rogers Cable Systems
10.00%, 3/15/05 BB+ 160 162
TCI Pacific Communications
(Convertible Preferred Stock)
5.00%, 7/31/06 BB- (1) 830 77
(#) Telewest plc
0.00%, 10/1/07 BB 125 80
# Time Warner, Inc.
10.25%, Series K
(Preferred Stock) BB+ (1) 111 117
- --------------------------------------------------------
GROUP TOTAL 1,031
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.8%)
CBM Funding Corp., Series
96-1 C
7.86%, 2/1/13 BBB 125 123
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 Baa1 59 42
sec. Countrywide Funding
Corp., Series 95-4 B3
7.50%, 9/25/25
(acquired
1/19/96, cost $316) BB 397 294
Prudential Home Mortgage
Securities Co., Inc.,
Series:
# 95-5 B3
7.25%, 9/25/25 BB 299 244
sec. 95-F B2
6.625%, 12/25/23
(acquired 11/8/95,
cost $60) N/R 100 66
# 96-5 B3
7.25%, 4/25/26 N/R 400 302
- --------------------------------------------------------
GROUP TOTAL 1,071
- --------------------------------------------------------
CONSUMER SERVICES (0.3%)
Marvel Parent Holdings,
Inc.
Zero Coupon, 4/15/98 B- 190 148
(#) Six Flags Theme Parks,
Inc.
0.00%, 6/15/05 B 90 79
TLC Beatrice
International Holdings,
Inc.
11.50%, 10/1/05 BB- 100 105
- --------------------------------------------------------
GROUP TOTAL 332
- --------------------------------------------------------
ENERGY (0.2%)
Flores & Rucks, Inc.
9.75%, 10/1/06 B- 50 51
Midland Funding II
11.75%, 7/23/05 B- 75 80
Nuevo Energy Co.
9.50%, 4/15/06 B+ 145 148
- --------------------------------------------------------
GROUP TOTAL 279
- --------------------------------------------------------
FINANCE (0.2%)
First Nationwide
9.125%, 1/15/03 B 30 29
# 10.625%, 10/1/03 B 50 52
Home Holdings, Inc.
8.625%, 12/15/03 B- 365 127
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
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>
# Homeside, Inc.
11.25%, 5/15/03 B+ $ 65 $ 70
Reliance Group
Holdings, Inc.
9.00%, 11/15/00 BB+ 50 51
- --------------------------------------------------------
GROUP TOTAL 329
- --------------------------------------------------------
INDUSTRIALS (2.1%)
Advanced Micro Devices
11.00%, 8/1/03 BB- 85 88
Algoma Steel, Inc.
12.375%, 7/15/05 B 100 104
Collins & Aikman Products
11.50%, 4/15/06 B 80 84
Courtyard by Marriott, Series B
10.75%, 2/1/08 B- 100 102
Crown Paper Co.
11.00%, 9/1/05 B 130 129
Exide Corp. (Convertible)
2.90%, 12/15/05 B 50 31
Gaylord Container Corp.
11.50%, 5/15/01 B 190 201
(#) 12.75%, 5/15/05 B- 65 71
G-I Holdings, Inc.
Zero Coupon, 10/1/98 B+ 189 163
Grand Casinos, Inc.
10.125%, 12/1/03 BB 160 157
HMC Acquisition
Properties
9.00%, 12/15/07 NA 135 129
Host Marriot Travel Plaza
9.50%, 5/15/05 BB- 100 100
Kmart Corp.
8.375%, 7/1/22 B+ 100 76
Kmart Funding Corp., Series F
8.80%, 7/1/10 BB- 175 150
La Quinta Inns, Inc.
9.25%, 5/15/03 BB+ 110 113
(#) Norcal Waste Systems
12.75%, 11/15/05 BB- 200 216
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 75 82
Revlon Worldwide Corp.
Zero Coupon, 3/15/98 B- 290 255
SD Warren Co.
12.00%, 12/15/04 B+ 90 97
Station Casinos, Inc.
9.625%, 6/1/03 B+ 50 49
# Stone Container
Financial
11.50%, 8/15/06 B 100 103
Trump Atlantic City
11.25%, 5/1/06 BB- 80 79
Viacom, Sub Debenture
Exchangable
8.00%, 7/7/06 BB- 225 210
- --------------------------------------------------------
GROUP TOTAL 2,789
- --------------------------------------------------------
SUPERMARKETS (0.1%)
Southland Corp.
5.00%, 12/15/03 BB+ 150 119
- --------------------------------------------------------
TECHNOLOGY (0.0%)
(##) Blue Bell Funding
Corp.
11.85%, 5/1/99 BB- 25 25
- --------------------------------------------------------
TELEPHONES (0.8%)
(#) Brooks Fiber Properties
0.00%, 3/1/06 NA 250 154
Comcast Cellular Corp.,
Series A,
Zero Coupon 3/5/00 BB- 50 35
(#) Dial Call Communications, Inc.
0.00%, 4/15/04 CCC- 75 51
(#) EchoStar Satellite
Broadcast
0.00%, 3/15/04 B- 350 241
(#) MFS Communications,
Inc.
0.00%, 1/15/06 N/R 370 259
(#) Nextel Communications,
Inc.
0.00%, 8/15/04 CCC- 345 222
Paging Network, Inc.
10.125%, 8/1/07 B 60 62
- --------------------------------------------------------
GROUP TOTAL 1,024
- --------------------------------------------------------
TRANSPORTATION (0.1%)
Jet Equipment Trust, Series 95-A
11.79%, 6/15/13 BB+ 150 174
- --------------------------------------------------------
UTILITIES (0.2%)
Cleveland Electric Illuminating
Co.
8.375%, 8/1/12 BB 30 28
Series B
9.50%, 5/15/05 BB 40 41
Midland Cogeneration Venture LP
10.33%, 7/23/02 BB- 25 27
First PV Funding Corp.
10.15%, 1/15/16 BB- 150 160
- --------------------------------------------------------
GROUP TOTAL 256
- --------------------------------------------------------
YANKEE (1.1%)
APP International Finance
11.75%, 10/1/05 BB 120 125
+(#) Brazil Par Series Z-L
4.25%, 4/15/24 B1 345 205
(#) Central Bank of Argentina
Bocon PIK Pre 4
0.00%, 9/1/02 N/R 110 111
+(##) Government of Venezuela
Front
Loaded Interest Reduction Bond
6.625%, 3/31/07 Ba2 250 211
*@ Mexico Recovery Rights
expiring
6/30/03 (1) 1,225,000 --
# Net Sat Servicos Ltd.
12.75%, 8/5/04 B 110 117
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(++)RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)(+)
- --------------------------------------------------------
<S> <C> <C> <C>
#(#) Occidente Y Caribe Celular
0.00%, 3/15/04 B $ 150 $ 78
Philippines Long Distance
Telephone-Global Bond
9.25%, 6/30/06 BB 55 56
(#) Republic of Argentina
5.00%, 3/31/23 BB- 350 204
# Transgas de Occidente
SA
9.79%, 11/1/10 BBB- 250 249
United Mexican States
6.25%, 12/31/19 BB 125 86
- --------------------------------------------------------
GROUP TOTAL 1,442
- --------------------------------------------------------
TOTAL HIGH YIELD (Cost $9,093) 9,154
- --------------------------------------------------------
CASH EQUIVALENTS (23.3%)
- --------------------------------------------------------
COMMERCIAL PAPER (3.3%)
Beneficial Corp.
5.36%, 10/10/96 1,100 1,098
GE Capital Corp.
5.35%, 10/10/96 1,100 1,099
Household Finance Corp.
5.36%, 10/10/96 1,100 1,098
Raytheon Co.
5.35%, 10/10/96 1,100 1,099
- --------------------------------------------------------
GROUP TOTAL 4,394
- --------------------------------------------------------
REPURCHASE AGREEMENT (20.0%)
Chase Securities, Inc. 5.60%,
dated 9/30/96, due 10/1/96, to
be repurchased at $26,565,
collateralized by various U.S.
Government Obligations, due
10/3/96-7/17/98, valued at
$26,827 26,561 26,561
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $30,955) 30,955
- --------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- --------------------------------------------------------
French Franc FRF 652 126
Hong Kong Dollar HKD 16 2
@ Indonesia Rupiah IDR 135 --
Italian Lira ITL 19,466 13
Japanese Yen JPY 336 3
Korean Won KRW 4,598 6
Singapore Dollar SGD 1 1
@ Spanish Peseta ESP 3 --
- --------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $151) 151
- --------------------------------------------------------
TOTAL INVESTMENTS (120.8%) (Cost $151,551) 160,229
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-20.8%)
Cash 1,103
Dividends Receivable 258
Interest Receivable 833
Receivable for Withholding Tax Reclaims 18
Receivable for Investments Sold 11,592
Receivable for Fund Shares Sold 30
Receivable for Daily Variation on
Futures Contracts 328
Other Assets 3
Payable for Forward Foreign Currency
Contracts (5)
Payable for Investments Purchased (19,431)
Payable for Fund Shares Redeemed (22,053)
Payable for Investment Advisory Fees (141)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Unrealized Loss on Forward Foreign Currency
Contracts (35)
Other Liabilities (86)
-----------
(27,597)
- --------------------------------------------------------
NET ASSETS (100%) $132,632
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 10,550,941 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $129,558
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.28
- --------------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 250,463 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 3,074
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.27
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $110,557
Undistributed Net Investment Income (Loss) 3,042
Undistributed Realized Net Gain (Loss) 10,291
Unrealized Appreciation (Depreciation) on:
Investment Securities 8,678
Foreign Currency Transactions (61)
Futures 125
- --------------------------------------------------------
NET ASSETS $132,632
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
(CONT'D)
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1996 was $954 or 0.7% of net assets.
(+) See Note A1 to Financial Statements.
(++) Ratings are unaudited.
* Non-income producing security.
# 144A security. Certain conditions for public
sale may exist.
(+++) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
(#) Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1996. Maturity date disclosed is the ultimate
maturity.
(##) Variable or floating rate security-rate
disclosed is as of September 30, 1996.
@ Value is less than $500.
(1) Amount represents shares held by the Portfolio.
ADR American Depositary Receipt
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, 1996.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PIK Payment-In-Kind Security
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
RFD Ranked for Dividend
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------
SMALL INTER-
CAP NATIONAL MID CAP
VALUE EQUITY VALUE EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended September 30, 1996
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 32,423 $ 35,414 $ 8,246 $ 13,620 $ 1,440
Interest 8,844 4,385 346 3,936 1,111
- ---------------------------------------------------------------------------------------------------------------------------
Total Income 41,267 39,799 8,592 17,556 2,551
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 7,716 7,785 3,464 3,458 1,986
Administrative Fee--Note C 1,235 1,246 369 553 318
Custodian Fee 168 124 64 589 31
Audit Fee 25 29 12 53 13
Shareholder Servicing Fee--Investment Class
shares--Note D 2 -- -- -- --
Distribution Fees--Adviser Class shares--Note D 1 -- -- -- --
Other Expenses 273 220 87 120 61
- ---------------------------------------------------------------------------------------------------------------------------
Total Expenses 9,420 9,404 3,996 4,773 2,409
- ---------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (168) (105) (11) (256) (31)
- ---------------------------------------------------------------------------------------------------------------------------
Net Expenses 9,252 9,299 3,985 4,517 2,378
- ---------------------------------------------------------------------------------------------------------------------------
Net Investment Income 32,015 30,500 4,607 13,039 173
- ---------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 138,640 237,632 80,888 86,684 71,168
Foreign Currency Transactions -- -- -- 4,904 --
Futures and Swaps -- -- -- 9,419 --
- ---------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 138,640 237,632 80,888 101,007 71,168
- ---------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities* 97,514 (24,506) 20,530 (57,275) 27,593
Foreign Currency Transactions -- -- -- (1,339) --
Futures -- -- -- 1,373 --
- ---------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 97,514 (24,506) 20,530 (57,241) 27,593
- ---------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 236,154 213,126 101,418 43,766 98,761
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $268,169 $243,626 $106,025 $ 56,805 $98,934
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $1,891 withholding tax for International Equity Portfolio.
* Net of foreign capital gain taxes of $97 on unrealized gains for International
Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
DOMESTIC
MID CAP EMERGING FIXED FIXED HIGH
VALUE MARKETS INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------
(In Thousands) Year Ended September 30, 1996
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends + $ 586 $ 737 $ 211 $ -- $ 967
Interest 39 338 114,455 4,287 29,238
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 625 1,075 114,666 4,287 30,205
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 188 $286 5,917 $257 1,073
Less: Waived Fees (46) 142 (42) 244 -- (8) 249 --
Administrative Fee--Note C 20 38 1,262 55 229
Custodian Fee 22 119 193 12 31
Audit Fee 13 41 37 13 17
Shareholder Servicing Fee--Investment
Class shares--Note D -- -- -- -- 1
Other Expenses 24 12 240 26 58
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 221 454 7,649 355 1,409
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (1) (1) (121) (12) (30)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 220 453 7,528 343 1,379
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 405 622 107,138 3,944 28,826
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 1,630 1,670 7,632 (806) 3,679
Foreign Currency Transactions -- (13) 11,966 -- (423)
Futures, Written Floors and Swaps 28 413 2,158 (131) 461
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 1,658 2,070 21,756 (937) 3,717
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities * 3,145 (498) (23,923) (540) 4,573
Foreign Currency Transactions -- 2 1,961 -- (1)
Futures and Written Floors -- -- 10,118 66 55
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 3,145 (496) (11,844) (474) 4,627
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 4,803 1,574 9,912 (1,411) 8,344
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $5,208 $2,196 $117,050 $ 2,533 $37,170
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $53 withholding tax for the Emerging Markets Portfolio.
* Net of foreign capital gain taxes of $21 on unrealized gains for Emerging
Markets Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
SPECIAL
MORTGAGE- PURPOSE
CASH FIXED BACKED LIMITED FIXED
RESERVES INCOME SECURITIES DURATION INCOME
PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------
(In Thousands) Year Ended September 30, 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ -- $ -- $ -- $ 70
Interest 3,059 13,556 3,295 7,117 29,285
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 3,059 13,556 3,295 7,117 29,355
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $138 773 $ 177 351 1,517
Less: Waived Fees (52) 86 -- (21) 156 -- --
Administrative Fee--Note C 44 165 38 93 323
Custodian Fee 16 34 10 13 56
Audit Fees 9 12 15 13 25
Other Expenses 26 44 18 30 66
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 181 1,028 237 500 1,987
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (4) (14) (1) (13) (2)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 177 1,014 236 487 1,985
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 2,882 12,542 3,059 6,630 27,370
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities -- (502) (476) (48) 3,369
Foreign Currency Transactions -- 1,625 -- -- 2,828
Futures and Written Floors -- 631 (187) 1 501
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) -- 1,754 (663) (47) 6,698
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities -- (2,722) -- (428) (6,911)
Foreign Currency Transactions -- 214 -- -- 679
Futures and Written Floors -- 240 502 -- 3,180
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) -- (2,268) 502 (428) (3,052)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) -- (514) (161) (475) 3,646
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $2,882 $12,028 $2,898 $6,155 $31,016
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
INTER-
GLOBAL NATIONAL
PA FIXED FIXED INTERMEDIATE
MUNICIPAL MUNICIPAL INCOME INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------
(In Thousands) Year Ended September 30, 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 4 $ 1 $ -- $ -- $ --
Interest + 2,300 1,046 3,207 8,803 935
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 2,304 1,047 3,207 8,803 935
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $167 $ 77 205 555 $ 52
Less: Waived Fees (38) 129 (30) 47 -- -- (18) 34
Administrative Fee--Note C 36 16 44 118 11
Custodian Fee 6 3 17 47 13
Audit Fee 17 17 36 36 12
Other Expenses 40 21 19 37 8
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 228 104 321 793 78
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (5) (1) (2) (2) (5)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 223 103 319 791 73
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 2,081 944 2,888 8,012 862
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 490 797 2,309 4,644 379
Foreign Currency Transactions -- -- 279 (1,610) 106
Futures and Swaps (532) (242) 348 1,527 4
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (42) 555 2,936 4,561 489
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities 795 (204) (1,551) (4,260) (424)
Foreign Currency Transactions -- -- (390) (341) 11
Futures and Swaps 985 412 (110) (319) (11)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 1,780 208 (2,051) (4,920) (424)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 1,738 763 885 (359) 65
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,819 $ 1,707 $ 3,773 $ 7,653 $ 927
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $75 and $248 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------
MULTI-
BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO
-------------------------------------------
(In Thousands) Year Ended September 30, 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME +
Dividends $ 4,717 $ 1,998
Interest 10,260 4,227
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 14,977 6,225
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 1,521 $635
Less: Waived Fees -- (112) 523
Administrative Fee--Note C 271 113
Custodian Fee 63 92
Audit Fee 21 45
Shareholder Servicing Fee--Investment Class shares--Note D -- 1
Other Expenses 69 54
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,945 828
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (9) (8)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,936 820
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 13,041 5,405
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 28,871 10,505
Foreign Currency Transactions 959 346
Futures, Written Floors and Swaps 244 1,393
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 30,074 12,244
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note G2
Investment Securities (3,487) 1,210
Foreign Currency Transactions 190 (142)
Futures and Written Floors 1,032 181
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (2,265) 1,249
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 27,809 13,493
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $40,850 $18,898
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $80 withholding tax for the Multi-Asset-Class Portfolio
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
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) 1995 1996 1995 1996 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 24,635 $ 32,015 $ 32,809 $ 30,500 $ 4,277 $ 4,607
Realized Net Gain (Loss) 118,188 138,640 123,037 237,632 50,198 80,888
Change in Unrealized
Appreciation
(Depreciation)--Note G2 145,262 97,514 173,454 (24,506) 10,603 20,530
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 288,085 268,169 329,300 243,626 65,078 106,025
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (23,680) (30,765) (31,719) (31,471) (2,689) (4,652)
Realized Net Gain (79,195) (130,677) (67,107) (132,351) (37,063) (52,103)
INVESTMENT CLASS +:
Net Investment Income -- (12) -- (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (102,875) (161,454) (98,826) (163,823) (39,752) (56,755)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 302,389 930,274 370,928 186,997 109,087 128,125
In Lieu of Cash Distributions 91,963 143,059 91,153 157,127 38,342 55,347
Redeemed (289,313) (606,431) (287,940) (579,292) (50,543) (77,653)
INVESTMENT CLASS +:
Issued -- 8,889 -- 117 -- --
In Lieu of Cash Distributions -- 12 -- 1 -- --
Redeemed -- (49) -- (11) -- --
ADVISER CLASS +:
Issued -- 15,433 -- -- -- --
Redeemed -- (11) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 105,039 491,176 174,141 (235,061) 96,886 105,819
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 290,249 597,891 404,615 (155,258) 122,212 155,089
NET ASSETS:
Beginning of Period 981,337 1,271,586 1,193,017 1,597,632 308,156 430,368
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,271,586 $1,869,477 $1,597,632 $1,442,374 $430,368 $585,457
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 7,826 $ 9,064 $ 8,769 $ 7,536 $ 2,767 $ 1,636
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 22,270 63,277 17,166 7,686 6,533 7,158
In Lieu of Cash Distributions 8,147 10,269 4,623 6,676 2,674 3,496
Shares Redeemed (22,729) (40,739) (13,063) (23,580) (3,105) (4,377)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 7,688 32,807 8,726 (9,218) 6,102 6,277
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 595 -- 5 -- --
In Lieu of Cash Distributions -- 1 -- -- -- --
Shares Redeemed -- (3) -- (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- 593 -- 4 -- --
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued -- 994 -- -- -- --
Shares Redeemed -- (1) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding -- 993 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Value Portfolio and the Equity Portfolio began offering Investment Class
shares on May 6, 1996 and April 10, 1996, respectively. The Value Portfolio
began offering Adviser Class shares on July 17, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------
INTER-
NATIONAL MID CAP MID CAP
EQUITY GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended Year Ended December 30,
September 30, September 30, 1994* to
------------------ ---------------- September 30,
(In Thousands) 1995 1996 1995 1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 20,687 $ 13,039 $ 636 $ 173 $ 184
Realized Net Gain (Loss) (51,270) 101,007 47,679 71,168 331
Change in Unrealized Appreciation
(Depreciation)--Note G2 (10,980) (57,241) 33,071 27,593 161
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations (41,563) 56,805 81,386 98,934 676
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income -- (16,536) (541) (580) --
Realized Net Gain (104,076) (3,421) (34,250) (53,149) --
In Excess of Net Realized Gain (8,055) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Distributions (112,131) (19,957) (34,791) (53,729) --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 315,862 145,686 78,991 58,508 4,259
In Lieu of Cash Distributions 111,406 14,783 33,984 52,044 --
Redeemed (245,455) (722,596) (89,018) (126,023) (428)
INVESTMENT CLASS +:
Issued -- 268 -- -- --
Redeemed -- (34) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 181,813 (561,893) 23,957 (15,471) 3,831
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 28,119 (525,045) 70,552 29,734 4,507
NET ASSETS:
Beginning of Period 1,132,867 1,160,986 302,995 373,547 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 1,160,986 $ 635,941 $ 373,547 $ 403,281 $4,507
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 11,109 $ 12,067 $ 427 $ -- $ 184
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 25,439 11,400 4,693 3,094 373
In Lieu of Cash Distributions 9,346 1,211 2,527 3,126 --
Shares Redeemed (19,983) (57,391) (5,734) (6,657) (38)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 14,802 (44,780) 1,486 (437) 335
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 21 -- -- --
Shares Redeemed -- (3) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- 18 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------
MID CAP
VALUE
PORTFOLIO
--------------
Year Ended
September 30,
(In Thousands) 1996
- --------------------------------------------------------------------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 405
Realized Net Gain (Loss) 1,658
Change in Unrealized Appreciation
(Depreciation)--Note G2 3,145
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 5,208
- --------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (214)
Realized Net Gain (405)
In Excess of Net Realized Gain --
- --------------------------------------------------------------------------------
Total Distributions (619)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 41,529
In Lieu of Cash Distributions 611
Redeemed (782)
INVESTMENT CLASS +:
Issued 122
Redeemed --
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 41,480
- --------------------------------------------------------------------------------
Total Increase (Decrease) 46,069
NET ASSETS:
Beginning of Period 4,507
- --------------------------------------------------------------------------------
END OF PERIOD $50,576
- --------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 372
- --------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 3,154
In Lieu of Cash Distributions 52
Shares Redeemed (59)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 3,147
- --------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued 9
Shares Redeemed --
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding 9
- --------------------------------------------------------------------------------
</TABLE>
+ The International Equity Portfolio and the Mid Cap Value Portfolio began
offering Investment Class shares on April 10, 1996 and May 10, 1996,
respectively.
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
DOMESTIC
EMERGING FIXED FIXED
MARKETS INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------------------
February 28, Year Ended Year Ended
1995* to Year Ended September 30, September 30,
September 30, September 30, ------------------- ---------------
(In Thousands) 1995 1996 1995 1996 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 370 $ 622 $ 95,041 $ 107,138 $ 1,772 $ 3,944
Realized Net Gain (Loss) 2,104 2,070 3,192 21,756 (67) (937)
Change in Unrealized Appreciation
(Depreciation)--Note G2 581 (496) 79,473 (11,844) 1,704 (474)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting
from Operations 3,055 2,196 177,706 117,050 3,409 2,533
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
Net Investment Income -- (641) (69,099) (103,292) (776) (3,127)
Realized Net Gain -- (2,186) -- (7,817) -- --
In Excess of Realized Net Gain -- -- -- -- -- (185)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions -- (2,827) (69,099) (111,109) (776) (3,312)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 39,405 9,068 431,740 440,801 39,260 62,619
In Lieu of Cash Distributions -- 2,439 52,586 88,188 600 3,009
Redeemed (1) (20,351) (300,481) (232,193) (42,867) (5,634)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 39,404 (8,844) 183,845 296,796 (3,007) 59,994
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 42,459 (9,475) 292,452 302,737 (374) 59,215
NET ASSETS:
Beginning of Period -- 42,459 1,194,957 1,487,409 36,521 36,147
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $42,459 $ 32,984 $1,487,409 $1,790,146 $ 36,147 $95,362
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 301 $ 277 $ 26,685 $ 42,529 $ 531 $ 1,348
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 3,651 801 38,850 37,653 3,820 5,724
In Lieu of Cash Distributions -- 235 4,797 7,612 60 279
Shares Redeemed (1) (1,823) (27,170) (19,803) (4,304) (520)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares
Outstanding 3,650 (787) 16,477 25,462 (424) 5,483
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
HIGH CASH FIXED
YIELD RESERVES INCOME
PORTFOLIO PORTFOLIO PORTFOLIO II
-----------------------------------------------------------------------------
Year Ended Year Ended Year Ended
(In Thousands) September 30, September 30, September 30,
------------------ ---------------- ------------------
1995 1996 1995 1996 1995 1996
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 21,749 $ 28,826 $ 1,970 $ 2,882 $ 10,203 $ 12,542
Realized Net Gain (Loss) (3,020) 3,717 -- -- 1,126 1,754
Change in Unrealized Appreciation
(Depreciation)--Note G2 9,551 4,627 -- -- 9,124 (2,268)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 28,280 37,170 1,970 2,882 20,453 12,028
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (19,609) (27,729) (1,970) (2,882) (6,958) (11,608)
Realized Net Gain (1,760) -- -- -- -- (1,360)
In Excess of Realized Net Gain (1,069) -- -- -- -- (446)
INVESTMENT CLASS +:
Net Investment Income -- (49) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (22,438) (27,778) (1,970) (2,882) (6,958) (13,414)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 94,962 157,380 95,030 143,726 56,653 49,696
In Lieu of Cash Distributions 11,160 16,060 1,868 2,738 3,751 8,664
Redeemed (74,148) (113,632) (90,207) (112,591) (26,856) (42,179)
INVESTMENT CLASS +:
Issued -- 4,915 -- -- -- --
In Lieu of Cash Distributions -- 49 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 31,974 64,772 6,691 33,873 33,548 16,181
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 37,816 74,164 6,691 33,873 47,043 14,795
NET ASSETS:
Beginning of Period 182,969 220,785 37,933 44,624 129,902 176,945
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $220,785 $294,949 $44,624 $ 78,497 $176,945 $191,740
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 6,985 $ 8,657 $ -- $ -- $ 2,756 $ 4,660
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 11,056 17,602 95,030 143,726 5,324 4,438
In Lieu of Cash Distributions 1,334 1,830 1,868 2,738 357 781
Shares Redeemed (8,485) (12,631) (90,207) (112,591) (2,538) (3,763)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 3,905 6,801 6,691 33,873 3,143 1,456
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 546 -- -- -- --
In Lieu of Cash Distributions -- 6 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class
Shares Outstanding -- 552 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The High Yield Portfolio began offering Investment Class shares on May 21,
1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
MORTGAGE SPECIAL
BACKED LIMITED PURPOSE
SECURITIES DURATION FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
(In Thousands) September 30, September 30, September 30,
----------------- ------------------ ------------------
1995 1996 1995 1996 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 5,984 $ 3,059 $ 4,313 $ 6,630 $ 30,784 $ 27,370
Realized Net Gain (Loss) 550 (663) (402) (47) 5,077 6,698
Change in Unrealized Appreciation
(Depreciation)--Note G2 4,008 502 1,669 (428) 25,253 (3,052)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 10,542 2,898 5,580 6,155 61,114 31,016
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (6,794) (3,033) (3,757) (6,274) (22,759) (27,847)
Realized Net Gain -- -- -- -- -- (9,325)
In Excess of Realized Net Gain -- -- (62) -- -- --
INVESTMENT CLASS +:
Net Investment Income -- -- -- -- -- (8)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,794) (3,033) (3,819) (6,274) (22,759) (37,180)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 8,451 5,648 60,552 99,082 107,483 103,802
In Lieu of Cash Distributions 3,732 2,036 2,459 4,921 20,635 34,094
Redeemed (85,683) (6,390) (27,361) (80,843) (160,946) (74,328)
INVESTMENT CLASS +:
Issued -- -- -- -- -- 758
In Lieu of Cash Distributions -- -- -- -- -- 8
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (73,500) 1,294 35,650 23,160 (32,828) 64,334
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (69,752) 1,159 37,411 23,041 5,527 58,170
NET ASSETS:
Beginning of Period 119,518 49,766 62,775 100,186 384,731 390,258
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 49,766 $50,925 $100,186 $123,227 $390,258 $448,428
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period
net assets $ 1,071 $ 1,056 $ 1,354 $ 1,710 $ 8,633 $ 11,292
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 871 552 5,907 9,585 9,436 8,626
In Lieu of Cash Distributions 378 199 243 480 1,768 2,827
Shares Redeemed (8,515) (608) (2,691) (7,817) (13,433) (6,091)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (7,266) 143 3,459 2,248 (2,229) 5,362
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- -- -- -- 63
In Lieu of Cash Distributions -- -- -- -- -- 1
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- -- -- -- -- 64
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Special Purpose Fixed Income Portfolio began offering Investment Class
shares on April 10, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------
GLOBAL
PA FIXED
MUNICIPAL MUNICIPAL INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
---------------- --------------- ----------------
(In Thousands) 1995 1996 1995 1996 1995 1996
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 2,211 $ 2,081 $ 934 $ 944 $ 3,481 $ 2,888
Realized Net Gain (Loss) (578) (42) (1,323) 555 345 2,936
Change in Unrealized Appreciation
(Depreciation)--Note G2 3,278 1,780 2,370 208 3,689 (2,051)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 4,911 3,819 1,981 1,707 7,515 3,773
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
Net Investment Income (2,232) (2,096) (922) (934) (3,155) (3,105)
Realized Net Gain -- -- -- -- -- (186)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,232) (2,096) (922) (934) (3,155) (3,291)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 15,286 17,213 4,150 13,003 14,273 27,692
In Lieu of Cash Distributions 1,281 1,443 803 838 2,953 3,129
Redeemed (21,755) (1,883) (13,793) (1,860) (9,505) (19,168)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (5,188) 16,773 (8,840) 11,981 7,721 11,653
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (2,509) 18,496 (7,781) 12,754 12,081 12,135
NET ASSETS:
Beginning of Period 38,549 36,040 23,515 15,734 43,066 55,147
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 36,040 $54,536 $ 15,734 $28,488 $55,147 $ 67,282
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 26 $ 11 $ 12 $ 22 $ 1,100 $ 2,358
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 1,556 1,542 436 1,154 1,376 2,557
In Lieu of Cash Distributions 125 130 78 74 285 291
Shares Redeemed (2,167) (169) (1,392) (165) (893) (1,725)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding (486) 1,503 (878) 1,063 768 1,123
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------
INTER-
NATIONAL INTERMEDIATE
FIXED INCOME DURATION BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------
Year Ended October 3, Year Ended
September 30, 1994* to Year Ended September 30,
------------------ September 30, September 30, ------------------
(In Thousands) 1995 1996 1995 1996 1995 1996
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 6,989 $ 8,012 $ 1,299 $ 862 $ 13,991 $ 13,041
Realized Net Gain (Loss) 4,838 4,561 456 489 8,633 30,074
Change in Unrealized Appreciation
(Depreciation)--Note G2 4,647 (4,920) 443 (424) 37,054 (2,265)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 16,474 7,653 2,198 927 59,678 40,850
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
Net Investment Income (5,736) (10,889) (832) (1,050) (12,305) (12,942)
Realized Net Gain -- (1,028) -- (697) (1,872) (11,250)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (5,736) (11,917) (832) (1,747) (14,177) (24,192)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 77,909 70,949 22,039 21,694 50,017 40,647
In Lieu of Cash Distributions 5,364 11,131 832 1,746 14,014 24,119
Redeemed (33,008) (62,561) (5,000) (29,840) (84,498) (115,186)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 50,265 19,519 17,871 (6,400) (20,467) (50,420)
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 61,003 15,255 19,237 (7,220) 25,034 (33,762)
NET ASSETS:
Beginning of Period 66,879 127,882 -- 19,237 309,596 334,630
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $127,882 $143,137 $19,237 $ 12,017 $334,630 $300,868
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss)
included in end of period net
assets $ 6,077 $ 3,997 $ 371 $ 295 $ 3,480 $ 4,707
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 7,472 6,561 2,204 2,133 4,108 3,040
In Lieu of Cash Distributions 511 1,054 82 171 1,234 1,858
Shares Redeemed (3,026) (5,940) (485) (2,936) (7,168) (8,744)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Shares Outstanding 4,957 1,675 1,801 (632) (1,826) (3,846)
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
100
<PAGE> 103
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------
MULTI-ASSET-
CLASS
PORTFOLIO
----------------------------
Year Ended
September 30,
-----------------
(In Thousands) 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 3,244 $ 5,405
Realized Net Gain (Loss) 1,484 12,244
Change in Unrealized Appreciation (Depreciation)--Note G2 8,060 1,249
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 12,788 18,898
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (2,649) (4,740)
Realized Net Gain -- (1,968)
INVESTMENT CLASS +:
Net Investment Income -- (27)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,649) (6,735)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 52,541 76,136
In Lieu of Cash Distributions 2,405 6,226
Redeemed (20,123) (61,779)
INVESTMENT CLASS +:
Issued -- 3,020
In Lieu of Cash Distributions -- 27
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share Transactions 34,823 23,630
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 44,962 35,793
NET ASSETS:
Beginning of Period 51,877 96,839
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 96,839 $132,632
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss) included in end of period net assets $ 948 $ 3,042
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 5,045 6,609
In Lieu of Cash Distributions 234 541
Shares Redeemed (1,944) (5,135)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional Class Shares Outstanding 3,335 2,015
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 248
In Lieu of Cash Distributions -- 2
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class Shares Outstanding -- 250
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Multi-Asset-Class Portfolio began offering Investment Class shares on
June 10, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
------------------------------------------------------------
Institutional Class
------------------------------------------------------------
Year Ended September 30,
------------------------------------------------------------
VALUE PORTFOLIO 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.92 $ 12.67 $ 12.76 $ 12.63 $ 14.89
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.35 0.30 0.30 0.31 0.30
Net Realized and Unrealized Gain (Loss) on Investments 1.05 1.92 0.59 3.34 2.20
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.40 2.22 0.89 3.65 2.50
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.38) (0.31) (0.29) (0.31) (0.32)
Realized Net Gain (1.27) (1.82) (0.73) (1.08) (1.46)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.65) (2.13) (1.02) (1.39) (1.78)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 12.83% 19.67% 7.45% 32.58% 18.41%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $448,329 $762,175 $981,337 $1,271,586 $1,844,740
Ratio of Expenses to Average Net Assets (1) 0.60% 0.59% 0.61% 0.60% 0.61%
Ratio of Net Investment Income to Average Net Assets 2.87% 2.48% 2.40% 2.43% 2.07%
Portfolio Turnover Rate 55% 43% 54% 56% 53%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0572
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ----------
(1) For the years ended September 30, 1995 and 1996, the Ratio of Expenses to
Average Net Assets for the Value Portfolio Institutional Class shares
excludes the effect of expense offsets. If expense offsets were included,
the Ratio of Expenses to Average Net Assets would be 0.60% and 0.60%,
respectively.
<TABLE>
<CAPTION>
--------------------------------------------
Investment Class Adviser Class
--------------------------------------------
May 6, July 17,
1996** to 1996*** to
September 30, September 30,
1996 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.97 $ 14.11
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.01
Net Realized and Unrealized Gain (Loss) on Investments 0.59 1.49
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 1.50
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) --
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 10.63%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $9,244 $15,493
Ratio of Expenses to Average Net Assets (2) 0.76%* 0.86%*
Ratio of Net Investment Income to Average Net Assets 2.05%* 1.66%*
Portfolio Turnover Rate 53% 53%
Average Commission Rate ### $0.0572 $0.0572
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
(2) For the period ended September 30, 1996, the Ratio of Expenses to Average
Net Assets for the Value Portfolio Investment Class shares and Adviser
Class shares excludes the effect of expense offsets. If expense offsets
were included, the Ratio of Expenses to Average Net Assets would be
0.75%* for the Investment Class shares and 0.85%* for the Adviser Class
shares, respectively.
- --------------------------------------------------------------------------------
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
* Annualized
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
102
<PAGE> 105
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
----------------------------------------------------------------
Institutional Class
----------------------------------------------------------------
Year Ended September 30,
----------------------------------------------------------------
EQUITY PORTFOLIO 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.78 $ 22.04 $ 22.82 $ 21.05 $ 24.43
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.43 0.41 0.44 0.52 0.50
Net Realized and Unrealized Gain (Loss) on
Investments 1.86 1.95 0.41 4.55 3.26
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.29 2.36 0.85 5.07 3.76
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.42) (0.43) (0.41) (0.52) (0.50)
Realized Net Gain (0.61) (1.15) (2.21) (1.17) (2.02)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.03) (1.58) (2.62) (1.69) (2.52)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 25.67
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.55% 11.05% 4.11% 26.15% 16.48%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $918,989 $1,098,003 $1,193,017 $1,597,632 $1,442,261
Ratio of Expenses to Average Net Assets (1) 0.59% 0.59% 0.60% 0.61% 0.60%
Ratio of Net Investment Income to Average Net Assets 2.03% 1.86% 2.10% 2.39% 1.95%
Portfolio Turnover Rate 21% 51% 41% 67% 67%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0557
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ----------
(1) For the years ended September 30, 1995 and 1996, the Ratio of Expenses to
Average Net Assets for the Equity Portfolio Institutional Class shares
excludes the effect of expense offsets. If expense offsets were included,
the Ratio of Expenses to Average Net Assets would be 0.60% and 0.60%,
respectively.
<TABLE>
<CAPTION>
-----------------------
Investment Class
-----------------------
April 10,
1996** to
September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22
Net Realized and Unrealized Gain (Loss) on Investments 1.24
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113
Ratio of Expenses to Average Net Assets (2) 0.75%*
Ratio of Net Investment Income to Average Net Assets 1.83%*
Portfolio Turnover Rate 67%
Average Commission Rate ### $0.0557
- ------------------------------------------------------------------------------------------------------------------------------
** Initial offering of Investment Class shares
(2) For the period ended September 30, 1996, the Ratio of Expenses to Average Net Assets for the Equity Portfolio Investment
Class shares excludes the effect of expense offsets. If expense offsets were included, the Ratio of Expenses to Average Net
Assets would not significantly differ.
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-----------------------------------------------------------
Year Ended September 30,
-----------------------------------------------------------
SMALL CAP VALUE PORTFOLIO 1992 1993 1994 1995 1996
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.45 $ 12.84 $ 17.55 $ 17.67 $ 18.28
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.18 0.16 0.19 0.18
Net Realized and Unrealized Gain (Loss) on Investments 1.48 4.64 1.14 2.49 3.62
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.58 4.82 1.30 2.68 3.80
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.11) (0.24) (0.14) (0.20)
Realized Net Gain -- -- (0.94) (1.93) (2.24)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (0.11) (1.18) (2.07) (2.44)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 19.64
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.12% 37.72% 8.04% 18.39% 24.00%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $105,886 $175,029 $308,156 $430,368 $585,457
Ratio of Expenses to Average Net Assets (1) 0.86% 0.88% 0.88% 0.87% 0.86%
Ratio of Net Investment Income to Average Net Assets 1.06% 1.33% 0.91% 1.20% 0.99%
Portfolio Turnover Rate 50% 93% 162% 1.19% 1.45%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0498
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) For the years ended September 30, 1995 and 1996, 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.
### For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose the average commission rate per share it paid for trades on
which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
------------------------------------------------------------
Institutional Class
------------------------------------------------------------
Year Ended September 30,
------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.56 $ 11.03 $ 13.18 $ 14.52 $ 12.51
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.36 0.21 0.12 0.19 0.31
Net Realized and Unrealized Gain (Loss) on Investments (0.33) 2.14 1.63 (0.75) 0.77
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.03 2.35 1.75 (0.56) 1.08
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.56) (0.20) (0.16) -- (0.29)
Realized Net Gain -- -- (0.25) (1.35) (0.06)
In Excess of Realized Net Gain -- -- -- (0.10) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.56) (0.20) (0.41) (1.45) (0.35)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 13.24
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.37% 21.64% 13.33% (3.36%) 8.87%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $512,127 $891,675 $1,132,867 $1,160,986 $635,706
Ratio of Expenses to Average Net Assets (1) 0.70% 0.66% 0.64% 0.70% 0.69%
Ratio of Net Investment Income to Average Net Assets 1.41% 1.23% 0.89% 1.90% 1.88%
Portfolio Turnover Rate 42% 43% 69% 112% 78%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0093
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the years ended September 30, 1995 and 1996, the Ratio of Expenses to
Average Net Assets for the International Equity Portfolio Institutional
Class shares excludes the effect of expense offsets. If expense offsets
were included, the Ratio of Expenses to Average Net Assets would be 0.66%
and 0.65%, respectively.
<TABLE>
<CAPTION>
-----------------------
Investment Class
-----------------------
April 10,
1996** to
September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.02
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09
Net Realized and Unrealized Gain (Loss) on Investments 0.12
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.23
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.61%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 235
Ratio of Expenses to Average Net Assets (2) 0.81%*
Ratio of Net Investment Income to Average Net Assets 1.81%*
Portfolio Turnover Rate 78%
Average Commission Rate ### $0.0093
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
(2) For the period ended September 30, 1996, the Ratio of Expenses to Average
Net Assets for the International Equity Portfolio Investment Class shares
excludes the effect of expense offsets. If expense offsets were included,
the Ratio of Expenses to Average Net Assets would be 0.77%*.
- --------------------------------------------------------------------------------
* Annualized
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------------------------------------
Year Ended September 30,
MID CAP GROWTH PORTFOLIO ------------------------------------------------------------
1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.92 $ 14.51 $ 18.56 $ 16.29 $ 18.60
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.01 0.02 0.03 0.01
Net Realized and Unrealized Gain (Loss) on Investments 0.44 4.80 (0.58) 4.21 4.70
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.45 4.81 (0.56) 4.24 4.71
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) -- (0.01) (0.03) (0.03)
Realized Net Gain (0.83) (0.76) (1.70) (1.90) (2.75)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.86) (0.76) (1.71) (1.93) (2.78)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 20.53
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.87% 33.92% (3.28%) 30.56% 28.81%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $192,817 $309,459 $302,995 $373,547 $403,281
Ratio of Expenses to Average Net Assets (1) 0.60% 0.59% 0.60% 0.61% 0.60%
Ratio of Net Investment Income to Average Net Assets 0.05% 0.07% 0.12% 0.21% 0.04%
Portfolio Turnover Rate 39% 69% 55% 129% 141%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0491
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) For the years ended September 30, 1995 and 1996, 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% and 0.60%, respectively.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
------------------------------------
Institutional Class
------------------------------------
December 30,
1994** to Year Ended
September 30, September 30,
MID CAP VALUE PORTFOLIO 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55T 0.11
Net Realized and Unrealized Gain (Loss) on Investments 2.90 2.52
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55)
Realized Net Gain -- (1.04)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 14.49
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $ 50,449
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88%
Ratio of Net Investment Income to Average Net Assets 10.13%*T 1.61%
Portfolio Turnover Rate 639%T 377%
Average Commission Rate ### N/A $ 0.0462
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Mid Cap Value Portfolio Institutional Class shares expense ratio is net of
voluntarily waived and reimbursed expenses of 2.13%* and 0.18% for the
period ended September 30, 1995 and the year ended September 30, 1996,
respectively. For the period ended September 30, 1995 and the year ended
September 30, 1996, the ratio of Expenses to Average Net Assets excludes
the effects of expense offsets. If expense offsets were included, the
Ratio of Expenses to Average Net Assets would be 0.88%* and 0.88%,
respectively.
T 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>
-----------------------
Investment Class
-----------------------
May 10,
1996*** to
September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04
Net Realized and Unrealized Gain (Loss) on Investments 0.67
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $127
Ratio of Expenses to Average Net Assets (2) 1.03%*
Ratio of Net Investment Income to Average Net Assets 0.86%*
Portfolio Turnover Rate 377%
Average Commission Rate ### $0.0462
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Investment Class shares
(2) Mid Cap Value Portfolio Investment Class shares expense ratio is net of
voluntarily waived and reimbursed expenses of 0.14%* for the period ended
September 30, 1996. For the period ended September 30, 1996, the ratio of
Expenses to Average Net Assets excludes the effects of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would not significantly differ.
- --------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------
February 28,
1995** to Year Ended
September September
30, 30,
EMERGING MARKETS PORTFOLIO 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.63
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.19
Net Realized and Unrealized Gain (Loss) on Investments 1.53 0.45
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.64
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.17)
Realized Net Gain -- (0.58)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.75)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.63 $ 11.52
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.30% 6.21%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 42,459 $32,984
Ratio of Expenses to Average Net Assets (1) 1.18%* 1.18%
Ratio of Net Investment Income to Average Net Assets 2.04%* 1.62%
Portfolio Turnover Rate 63% 108%
Average Commission Rate### N/A $0.0014
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
(1) Emerging Markets Portfolio expense ratio is net of voluntarily waived
expenses of 0.29%* and 0.11% for the period ended September 30, 1995 and
the year ended September 30, 1996, respectively. For the period ended
September 30, 1995 and the year ended September 30, 1996, 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.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
<TABLE>
<CAPTION>
------------------------------------------------------------------
Year Ended September 30,
FIXED INCOME PORTFOLIO ------------------------------------------------------------------
1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.20 $ 12.67 $ 12.86 $ 10.93 $ 11.82
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.90 0.88 0.77 0.80 0.78
Net Realized and Unrealized Gain (Loss) on
Investments 0.74 0.75 (1.28) 0.69 0.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.64 1.63 (0.51) 1.49 0.86
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.02) (0.83) (0.82) (0.60) (0.79)
Realized Net Gain (0.15) (0.61) (0.47) -- (0.06)
In Excess of Realized Net Gain -- -- (0.13) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.17) (1.44) (1.42) (0.60) (0.85)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.67 $ 12.86 $ 10.93 $ 11.82 $ 11.83
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.35% 14.26% (4.43%) 14.19% 7.63%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $859,712 $909,738 $1,194,957 $1,487,409 $1,790,146
Ratio of Expenses to Average Net Assets (1) 0.47% 0.47% 0.49% 0.49% 0.48%
Ratio of Net Investment Income to Average Net
Assets 7.50% 7.06% 6.79% 7.28% 6.77%
Portfolio Turnover Rate 137% 144% 100% 140% 162%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) For the years ended September 30, 1995 and 1996, 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% and 0.48%, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
----------------------------------------------------------------------
Year Ended September 30,
----------------------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.34 $ 11.80 $ 11.99 $ 9.87 $ 11.03
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.87 0.84 0.94 0.52 0.56
Net Realized and Unrealized Gain (Loss)
on Investments 0.76 0.66 (1.23) 0.87 (0.09)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 1.50 (0.29) 1.39 0.47
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.00) (0.78) (0.95) (0.23) (0.57)
Realized Net Gain (0.17) (0.53) (0.73) -- --
In Excess of Realized Net Gain -- -- (0.15) -- (0.04)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.17) (1.31) (1.83) (0.23) (0.61)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.41% 14.08% (2.87%) 14.33% 4.41%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $98,130 $90,350 $36,521 $36,147 $95,362
Ratio of Expenses to Average Net Assets
(1) 0.47% 0.50% 0.50% 0.51% 0.52%
Ratio of Net Investment Income to
Average Net Assets 7.67% 7.15% 7.65% 6.80% 5.73%
Portfolio Turnover Rate 136% 96% 78% 313% 168%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) Domestic Fixed Income Portfolio expense ratios are net of voluntarily waived
expenses of 0.03%, 0.09% and 0.01% for the years ended September 30, 1994,
1995, and 1996, respectively. For the years ended September 30, 1995 and
1996, 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%
and 0.50%, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
------------------------------------------------------
HIGH YIELD PORTFOLIO Institutional Class
------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.80 $ 8.58 $ 9.49 $ 8.97 $ 9.08
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.74 0.73 0.75 0.90 0.88
Net Realized and Unrealized Gain (Loss) on Investments 0.89 0.90 (0.42) 0.19 0.28
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 1.63 0.33 1.09 1.16
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.85) (0.72) (0.69) (0.85) (0.92)
Realized Net Gain -- -- (0.16) (0.08) --
In Excess of Realized Net Gain -- -- -- (0.05) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.85) (0.72) (0.85) (0.98) (0.92)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.32
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 22.49% 20.12% 3.57% 13.58% 13.83%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $20,491 $50,396 $182,969 $220,785 $289,810
Ratio of Expenses to Average Net Assets (1) 0.53% 0.53% 0.50% 0.50% 0.49%
Ratio of Net Investment Income to Average Net Assets 9.74% 8.94% 9.01% 10.68% 10.04%
Portfolio Turnover Rate 148% 99% 112% 96% 115%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) High Yield Portfolio Institutional Class shares 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 years ended September
30, 1995 and 1996, the Ratio of Expenses to Average Net Assets for the
High Yield Portfolio Institutional Class shares excludes the effect of
expense offsets. If expense offsets were included, the Ratio of Expenses
to Average Net Assets would be 0.49% and 0.48%, respectively.
<TABLE>
<CAPTION>
-----------------------
Investment Class
-----------------------
May 21,
1996** to
September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.06
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31
Net Realized and Unrealized Gain (Loss) on Investments 0.16
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $5,139
Ratio of Expenses to Average Net Assets (2) 0.62%*
Ratio of Net Investment Income to Average Net Assets 11.06%*
Portfolio Turnover Rate 115%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares.
(2) For the period ended September 30, 1996, the Ratio of Expenses to Average
Net Assets for the High Yield Portfolio Investment Class shares excludes
the effect of expense offsets. If expense offsets were included, the Ratio
of Expenses to Average Net Assets would be 0.61%*.
- --------------------------------------------------------------------------------
* Annualized
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
--------------------------------------------------------
Year Ended September 30,
--------------------------------------------------------
CASH RESERVES PORTFOLIO 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
<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 0.038 0.028 0.034 0.055 0.052
Net Realized and Unrealized Gain (Loss) on Investments -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.038 0.028 0.034 0.055 0.052
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.038) (0.028) (0.034) (0.055) (0.052)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $1.000 $1.000 $1.000 $1.000 $1.000
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.89% 2.81% 3.40% 5.57% 5.35%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $12,935 $10,717 $37,933 $44,624 $129,902
Ratio of Expenses to Average Net Assets (1) 0.32% 0.32% 0.32% 0.33% 0.33%
Ratio of Net Investment Income to Average Net Assets 3.95% 2.78% 3.70% 5.45% 5.19%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Cash Reserves Portfolio expense ratios are net of voluntarily waived and
reimbursed expenses of 0.08%, 0.24%, 0.14%, 0.11% and 0.09% for the years
ended September 1992, 1993, 1994, 1995 and 1996, respectively. For the
years ended September 30, 1995 and 1996, 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% and 0.32%, respectively.
<TABLE>
<CAPTION>
-----------------------------------------------------------
Year Ended September 30,
FIXED INCOME PORTFOLIO II -----------------------------------------------------------
1992 1993 1994 1995 1996
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 11.33
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.77 0.69 0.63 0.71 0.70
Net Realized and Unrealized Gain (Loss) on Investments 0.61 0.77 (1.16) 0.71 (0.03)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.38 1.46 (0.53) 1.42 0.67
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.81) (0.61) (0.67) (0.51) (0.66)
Realized Net Gain (0.24) (0.55) (0.21) -- (0.08)
In Excess of Realized Net Gain -- -- (0.14) -- (0.03)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.05) (1.16) (1.02) (0.51) (0.77)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.23
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.02% 13.53% (4.76%) 14.13% 6.12%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $78,302 $94,836 $129,902 $176,945 $191,740
Ratio of Expenses to Average Net Assets (1) 0.49% 0.51% 0.51% 0.51% 0.50%
Ratio of Net Investment Income to Average Net Assets 7.05% 6.17% 6.07% 6.75% 6.06%
Portfolio Turnover Rate 182% 101% 137% 153% 165%
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) For the years ended September 30, 1995 and 1996, 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% and 0.49%, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-----------------
January 31, ----------------------------------------------
1992** to Year Ended September 30,
MORTGAGE-BACKED SECURITIES PORTFOLIO September 30, ----------------------------------------------
1992 1993 1994 1995 1996
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.44 $ 10.95 $ 9.95 $ 10.49
- -----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment income 0.29 0.63 0.52 0.72 0.68
Net Realized and Unrealized Gain (Loss) on Investments 0.28 0.48 (0.83) 0.47 (0.07)
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.57 1.11 (0.31) 1.19 0.61
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.60) (0.45) (0.65) (0.68)
Realized Net Gain -- -- (0.21) -- --
In Excess of Realized Net Gain -- -- (0.03) -- --
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.60) (0.69) (0.65) (0.68)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.42
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.75% 11.03% (2.95%) 12.52% 6.10%
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,601 $50,249 $119,518 $49,766 $123,227
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 8.11%* 6.92% 5.30% 6.35% 6.46%
Portfolio Turnover Rate 133% 93% 220% 107% 116%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) Mortgage-Backed Securities Portfolio expense ratios are net of voluntarily
waived expenses of 0.30%*, 0.06%, 0.01%, 0.01% and 0.04% for the period
ended September 30, 1992, and the years ended September 30, 1993, 1994,
1995 and 1996, respectively. For the years ended September 30, 1995 and
1996 the ratio of Expenses to Average Net Assets for the Mortgage-Backed
Securities Portfolio excludes the effect of expense offsets. If expense of
sets were included, the Ratio of Expenses to Average Net Assets would not
significantly differ.
<TABLE>
<CAPTION>
-----------------
March 31, ----------------------------------------------
1992** to Year Ended September 30,
LIMITED DURATION PORTFOLIO September 30, ----------------------------------------------
1992 1993 1994 1995 1996
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.58 $ 10.72 $ 10.19 $ 10.41
- ----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.32 0.56 0.56 0.58
Net Realized and Unrealized Gain (Loss) on Investments 0.49 0.22 (0.52) 0.22 (0.03)
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.68 0.54 0.04 0.78 0.55
- ----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.10) (0.32) (0.51) (0.55) (0.58)
Realized Net Gain -- (0.08) (0.04) -- --
In Excess of Realized Net Gain -- -- (0.02) (0.01) --
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.10) (0.40) (0.57) (0.56) (0.58)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.38
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.90% 5.33% 0.40% 7.95% 5.47%
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,065 $128,991 $62,775 $100,186 $123,227
Ratio of Expenses to Average Net Assets (1) 0.49%* 0.42% 0.41% 0.43% 0.43%
Ratio of Net Investment Income to Average Net Assets 4.99%* 3.92% 4.16% 5.96% 5.65%
Portfolio Turnover Rate 159% 217% 192% 119% 174%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) Limited Duration Portfolio expense ratios are net of voluntarily waived
expenses of 0.03% and 0.02% for the years ended September 30, 1993 and
1995, respectively. For the years ended September 30, 1995 and 1996, 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% and 0.42%,
respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
--------------------------------------------------------------
Institutional Class
--------------------------------------------------------------
March 31,
1992** to
September 30, Year Ended September 30,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO 1992 --------------------------------
1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.72 $ 13.40 $ 11.52 $ 12.53
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.88 0.80 0.91 0.83
Net Realized and Unrealized Gain (Loss) on Investments 0.72 0.92 (1.28) 0.75 0.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 1.80 (0.48) 1.66 0.91
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.82) (0.78) (0.65) (0.88)
Realized Net Gain -- (0.30) (0.53) -- (0.30)
In Excess of Realized Net Gain -- -- (0.09) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (1.12) (1.40) (0.65) (1.18)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.26
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 9.47% 15.19% (4.00%) 14.97% 7.74%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $274,195 $300,185 $384,731 $390,258 $447,646
Ratio of Expenses to Average Net Assets (1) 0.53%* 0.48% 0.50% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 6.94%* 6.84% 6.66% 7.33% 6.75%
Portfolio Turnover Rate 138% 124% 100% 143% 151%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the years ended September 30, 1995 and 1996, the Ratio of Expenses to
Average Net Assets for the Special Purpose Fixed Income Portfolio
Institutional Class shares excludes the effect of expense offsets. If
expense offsets were included, the Ratio of Expenses to Average Net Assets
would be 0.48% and 0.49%, respectively
<TABLE>
<CAPTION>
-----------------------
Investment Class
-----------------------
April 10,
1996***
to September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.89
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.27
Net Realized and Unrealized Gain (Loss) on Investments 0.23
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.50
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.15)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.24
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.25%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $782
Ratio of Expenses to Average Net Assets (2) 0.63%*
Ratio of Net Investment Income to Average Net Assets 6.32%*
Portfolio Turnover Rate 151%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Investment Class shares.
(2) For the period ended September 30, 1996, the Ratio of Expenses to Average
Net Assets for the Special Purpose Fixed Income Portfolio Investment Class
shares excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would not
significantly differ.
- --------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-----------------------------------------------------------
October 1,
1992** to
September Year Ended September 30,
30, -----------------------------------------
MUNICIPAL PORTFOLIO 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.15 $ 10.04 $ 10.75
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.37 0.51 0.59 0.51
Net Realized and Unrealized Gain (Loss) on
Investments 1.04 (1.01) 0.71 0.49
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 1.00
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26) (0.54) (0.59) (0.52)
In Excess of Net Investment Income -- (0.07) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26) (0.61) (0.59) (0.52)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 9.46%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $26,914 $38,549 $36,040 $54,536
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51%
Ratio of Net Investment Income to Average Net Assets 4.65%* 4.98% 5.64% 4.66%
Portfolio Turnover Rate 66% 34% 58% 78%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) Municipal Portfolio expense ratios are net of voluntarily waived expenses
of 0.20%*, 0.06%, 0.09% and 0.09% for the years ended September 30, 1993,
1994, 1995, and 1996, respectively. For the years ended September 30, 1995
and 1996, 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 be 0.50% and
0.50%, respectively.
<TABLE>
<CAPTION>
---------------------------------------------------
October 1,
1992** to Year Ended September 30,
September 30, -----------------------------------
PA MUNICIPAL PORTFOLIO 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.26 $ 10.13 $ 10.91
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.56 0.58 0.51
Net Realized and Unrealized Gain (Loss) on Investments 1.17 (1.00) 0.77 0.46
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.56 (0.44) 1.35 0.97
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.30) (0.64) (0.57) (0.51)
In Excess of Realized Net Gain -- (0.05) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.30) (0.69) (0.57) (0.51)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.37
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.81% (4.08%) 13.74% 9.03%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $15,633 $23,515 $15,734 $28,488
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51%
Ratio of Net Investment Income to Average Net Assets 4.74%* 5.39% 5.56% 4.58%
Portfolio Turnover Rate 94% 69% 57% 51%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) PA Municipal Portfolio expense ratios are net of voluntarily waived
expenses of 0.25%*, 0.09%, 0.19% and 0.15% for the years ended September
30, 1993, 1994, 1995, and 1996, respectively. For the year ended September
30, 1996, the Ratio of Expenses to Average Net Assets for the PA Municipal
Portfolio excludes the effects of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would be 0.50%.
There were no such expense offsets for the year ended September 30, 1995.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 117
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
----------------------------------------------------------
April 3,
1993** to Year Ended September 30,
September 30, ----------------------------------------
GLOBAL FIXED INCOME PORTFOLIO 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.67 $ 10.20 $ 11.05
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.58 0.71 0.63
Net Realized and Unrealized Gain (Loss) on Investments 0.61 (0.61) 0.81 0.09
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.74 (0.03) 1.52 0.72
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.71)
Realized Net Gain -- (0.03) -- (0.05)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.76)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 6.83%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $53,164 $43,066 $55,147 $67,282
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.57% 0.58% 0.60%
Ratio of Net Investment Income to Average Net Assets 5.08%* 5.48% 6.34% 5.25%
Portfolio Turnover Rate 30% 117% 118% 133%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
(1) Global Fixed Income Portfolio expense ratio is net of voluntarily waived
expenses of 0.18%* for the period ended September 30, 1993. For the years
ended September 30, 1995 and 1996, 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% and 0.58%, respectively.
<TABLE>
<CAPTION>
----------------------------------------------------
April 29,
1994** to Year Ended September 30,
September 30, -------------------------------
INTERNATIONAL FIXED INCOME PORTFOLIO 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.05 $11.01
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.67 0.52
Net Realized and Unrealized Gain (Loss) on Investments ## (0.11) 0.92 0.12
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.64
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.05) (0.63) (0.80)
Realized Net Gain -- -- (0.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.05) (0.63) (0.88)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.05 $11.01 $10.77
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137
Ratio of Expenses to Average Net Assets (1) 0.60%* 0.54% 0.53%
Ratio of Net Investment Income to Average Net Assets 5.83%* 6.35% 5.39%
Portfolio Turnover Rate 31% 140% 124%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
(1) International Fixed Income Portfolio expense ratio is net of voluntarily
waived expenses of 0.11%* for the period ended September 30, 1994. For the
years ended September 30, 1995 and 1996, 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.
## The amount shown for the year ended September 30, 1996 for a share
outstanding throughout the period does not agree with the amount of
aggregate net losses on investments because of the timing of sales and
repurchases of the International Fixed Income Portfolio shares in
relation to fluctuating market value of the investments in the Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
<TABLE>
<CAPTION>
-------------------------------------
October 3,
1994** to Year Ended
September September
30, 30,
INTERMEDIATE DURATION PORTFOLIO 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.68
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.60
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.03
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65)
Realized Net Gain -- (0.38)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017
Ratio of Expenses to Average Net Assets (1) 0.52%* 0.56%
Ratio of Net Investment Income to Average Net Assets 6.56%* 6.17%
Portfolio Turnover Rate 168% 251%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
(1) Intermediate Duration Portfolio expense ratio is net of voluntarily waived
expenses of 0.08%* and 0.13% for the period ended September 30, 1995 and
the year ended September 30, 1996, respectively. For the period ended
September 30, 1995 and the year ended September 30, 1996, 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 be 0.52%* and 0.52%,
respectively.
<TABLE>
<CAPTION>
------------------------------------------------------
December 31,
1992** to
September Year Ended September 30,
30, -------------------------------------
BALANCED PORTFOLIO 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.06 $ 11.84 $ 11.28 $ 13.06
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.25 0.47 0.54 0.53
Net Realized and Unrealized Gain (Loss) on Investments 0.66 (0.45) 1.78 1.15
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.91 0.02 2.32 1.68
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.43) (0.47) (0.50)
Realized Net Gain -- (0.15) (0.07) (0.43)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.58) (0.54) (0.93)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.84 $ 11.28 $ 13.06 $ 13.81
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.31% 0.19% 21.37% 13.47%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $291,762 $309,596 $334,630 $300,868
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.58% 0.57%
Ratio of Net Investment Income to Average Net Assets 3.99%* 4.06% 4.55% 3.85%
Portfolio Turnover Rate 62% 75% 95% 110%
Average Commission Rate ### N/A N/A N/A $ 0.0521
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
(1) For the years ended September 30, 1995 and 1996, 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% and 0.57%, respectively.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
116
<PAGE> 119
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
--------------------------------------------
Institutional Class
--------------------------------------------
July 29, Year Ended
1994** to September 30,
September 30, ------------------------
MULTI-ASSET-CLASS PORTFOLIO 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.97 $ 11.34
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.44 0.46
Net Realized and Unrealized Gain (Loss) on Investments (0.10) 1.33 1.05
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42)
Realized Net Gain -- -- (0.15)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $129,558
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.58%
Ratio of Net Investment Income to Average Net Assets 4.39%* 4.56% 3.82%
Portfolio Turnover Rate 20% 112% 122%
Average Commission Rate ### N/A N/A $ 0.0225
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Multi-Asset-Class Portfolio Institutional Class shares expense ratio
is net of voluntarily waived and reimbursed expenses of 0.26%*, 0.14% and 0.08%
for the period ended September 30, 1994 and the years ended September 30, 1995
and 1996, respectively. For the years ended September 30, 1995 and 1996, the
ratio of Expenses to Average Net Assets excludes the effects of expense offsets.
If expense offsets were included, the Ratio of Expenses to Average Net Assets
would not significantly differ.
<TABLE>
<CAPTION>
-----------------------
Investment Class
-----------------------
June 10, 1996***
to September 30,
1996
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.17
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13
Net Realized and Unrealized Gain (Loss) on Investments 0.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.27
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,074
Ratio of Expenses to Average Net Assets (2) 0.73%*
Ratio of Net Investment Income to Average Net Assets 3.68%*
Portfolio Turnover Rate 122%
Average Commission Rate ### $0.0225
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Investment Class shares.
(2) Multi-Asset-Class Portfolio Investment Class shares expense ratio is net
of voluntarily waived and reimbursed expenses of 0.08%* for the period
ended September 30, 1996. For the period ended September 30, 1996, the
ratio of Expenses to Average Net Assets excludes the effects of expense
offsets. If expense offsets were included, the Ratio of Expenses to
Average Net Assets would not significantly differ.
- --------------------------------------------------------------------------------
* Annualized
** Commencement of Operations
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
trades on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
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, 1996, the Fund was
comprised of twenty-four active portfolios (each referred to as a "Portfolio").
Effective January 30, 1996, the Board of Trustees of the Funds approved the
offering of three different classes of shares for certain
Portfolios -- Institutional Class shares, Investment Class shares and Adviser
Class shares.
On April 10, 1996, the Equity, International Equity and Special Purpose Fixed
Income Portfolios began offering Investment Class shares. The Value, Mid Cap
Value, High Yield and Multi-Asset-Class Portfolios began offering Investment
Class shares on May 6, May 10, May 21, and June 10, 1996, respectively. In
addition, the Value Portfolio began offering Adviser Class shares on July 17,
1996. Each class of shares has identical voting rights (except shareholders of a
Class have exclusive voting rights regarding any matter relating solely to that
Class of shares), dividend, liquidation and other rights, except each class
bears different distribution fees as described in Note D. 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. Generally accepted accounting
principles may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual
results may differ from those estimates.
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 close of the NYSE (normally 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.
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.
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 agreement, 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
- --------------------------------------------------------------------------------
118
<PAGE> 121
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 the 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 swap 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 favorable movements
in the value of the underlying 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
- --------------------------------------------------------------------------------
119
<PAGE> 122
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 may be no liquid market for these agreements and
that there may be adverse changes in interest rates or the 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
securities or cash is maintained in an amount at least equal to these
commitments.
9. PURCHASED OPTIONS: Certain Portfolios may purchase call and put options on
their portfolio securities. A call option, upon payment of a premium, gives
the purchaser of the option the right to buy, and the seller the obligation
to sell, the underlying instrument at the exercise price. The purchase of a
call option might be intended to protect the Portfolio against an increase
in the price of the underlying instrument that it intends to purchase in
the future by fixing the price at which it may purchase the instrument. A
put option gives the purchaser of the option, upon payment of a premium,
the right to sell, and the writer the obligation to buy, the instrument at
the exercise price. A Portfolio may purchase a put option to protect its
holdings in the underlying instrument, or a similar instrument, against a
substantial decline in the market value of such instrument by giving the
Portfolio the right to sell the instrument at the option exercise price.
Possible losses from purchased options cannot exceed the total amount
invested.
10. 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 contracts, disposition of
foreign
- --------------------------------------------------------------------------------
120
<PAGE> 123
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 the Domestic Fixed Income, Cash Reserves, Mortgage-Backed
Securities, and Limited Duration Portfolios) may enter into forward
foreign currency contracts to protect securities and related receivables
and 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.
11. 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 I), and permanent
differences such as gain (loss) on in-kind redemptions (Note J), foreign
currency transactions and gains on certain equity securities designated as
issued by "passive foreign investment companies".
Permanent book and tax differences relating to shareholder distributions
may result in reclassifications to undistributed net investment income
(loss), undistributed realized net gain (loss) and paid in capital.
12. 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, 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.
Income, expenses (other than class specific expenses) and realized and
unrealized gains or losses are allocated to each class of shares based upon
their relative net assets.
Permanent book-tax differences, if any, are not included in ending
undistributed net investment income (loss) for the purpose of calculating
net investment income (loss) per share in the Financial Highlights.
- --------------------------------------------------------------------------------
121
<PAGE> 124
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
B. INVESTMENT ADVISORY FEE. Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP ("MAS" or the
"Adviser") 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, 1996, the investment advisory fees of each of the Portfolios
were:
<TABLE>
<CAPTION>
Annual
Investment Advisory
Portfolio Fee
- ---------------------------- -------------------
<S> <C>
Value 0.500%
Equity 0.500
Small Cap Value 0.750
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>
The Adviser has voluntarily agreed to reduce the fees payable to it and, if
necessary, reimburse the following Portfolios if annual operating expenses of
the Institutional Class shares exceed the following percentages of average daily
net assets:
<TABLE>
<CAPTION>
Annual
Portfolio Operating Expenses
- ---------------------------- -------------------
<S> <C>
Mid Cap Value 0.880%
Emerging Markets 1.180
Domestic Fixed Income 0.500
Cash Reserves 0.320
Mortgage-Backed Securities 0.500
Limited Duration 0.420
Municipal 0.500
PA Municipal 0.500
Intermediate Duration 0.520
Multi-Asset-Class 0.580
</TABLE>
On January 3, 1996, Morgan Stanley Group, Inc. acquired the Adviser in a
transaction in which Morgan Stanley Asset Management Holdings, Inc., an indirect
wholly owned subsidiary of Morgan Stanley Group, Inc., became the sole general
partner of the Adviser. In addition, Morgan Stanley Asset Management Holdings,
Inc. and two other wholly owned subsidiaries of Morgan Stanley Group, Inc.
became the limited partners of the Adviser. In connection with this transaction,
on January 3, 1996, the Adviser entered into a new Investment Advisory Agreement
with the Funds under the same terms and conditions as stated above.
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. Chase Global Funds Services Company serves as Transfer Agent
to the Fund and provides fund accounting and other services pursuant to a
sub-administration agreement with MAS.
D. DISTRIBUTOR. MAS Funds Distribution, Inc. ("MASDI" or the "Distributor") a
wholly owned subsidiary of Morgan Stanley Asset Management Holdings, Inc., is
the distributor for the Funds. MASDI is a limited-purpose broker/dealer whose
only function is to distribute open-end mutual fund shares. The Distributor
provides all classes of shares in each Portfolio with distribution services
pursuant to separate Distribution Plans (the "Plans") in accordance with Rule
12b-1 under the Investment Company Act of 1940.
Under the Plans the Distributor is entitled to distribution fees and shareholder
servicing fees for Adviser Class and Investment Class shares, respectively. The
distribution fee is an asset-based fee to support distribution efforts and/or
servicing of accounts. The Adviser Class of shares will pay service and
distribution fees of 0.25% for such services under the 12b-1 plan adopted by the
Fund. The Investment Class of shares will pay a shareholder servicing fee of
0.15%. The shareholder servicing fee, also an asset-based fee, is not a
distribution fee and is used to support the expenses associated with servicing
and maintain-
- --------------------------------------------------------------------------------
122
<PAGE> 125
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
ing accounts. Both fees are paid directly to MASDI. The distribution fee may be
retained by MASDI if an Adviser Class shareholder invests directly through
MASDI. Usually the fees are paid by MASDI to external organizations such as
401(k) alliance sponsors, discount brokers and bank trust departments who
distribute MAS Funds to the public.
E. CUSTODY. Morgan Stanley Trust Company (NY) ("MSTC"), an affiliate of the
Funds, serves as custodian for the Fund's assets held outside of the United
States in accordance with a custodian agreement. MSTC is a wholly owned
subsidiary of Morgan Stanley Group, Inc.
For the year ended September 30, 1996, the following Portfolios incurred custody
fees and had amounts payable to MSTC at September 30, 1996:
<TABLE>
<CAPTION>
MSTC Custody
Custody Fees Fees Payable
Incurred to MSTC
(000) (000)
------------- -------------
<S> <C> <C>
International
Equity $ 327 $51
Emerging Markets 42 21
Global Fixed Income 13 5
International Fixed
Income 116 10
Multi-Asset-Class 47 7
</TABLE>
For the year ended September 30, 1996, the following Portfolios paid brokerage
commissions to Morgan Stanley & Co.:
<TABLE>
<CAPTION>
Brokerage
Commission
(000)
-----------
<S> <C>
Value $ 23
Small Cap Value 3
International Equity 284
Mid Cap Growth 64
Mid Cap Value 2
Emerging Markets 22
Multi-Asset-Class 8
</TABLE>
F. TRUSTEES FEES. 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.
Each eligible Trustee of the Fund who is not an officer or affiliated person as
defined under the Investment Company Act of 1940, as amended, participates in
the Trustees' Deferred Compensation Plan. Under the Plan, such Trustees must
defer at least 25% of their fees and may elect to defer payment up to 100% of
their total fees earned as a Trustee of the Fund. These deferred amounts are
credited to an account that will be treated as if they had been invested in the
Portfolios selected by the Trustee. The deferred fees payable, and the
corresponding value of shares owned by the Portfolios to hedge the potential
change in value of the payable, at September 30, 1996 totaled $66,000. The value
of shares owned by the Portfolios is included in Other Assets in each
Portfolio's Statement of Net Assets.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the year ended September 30, 1996,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- ----------------------- ----------- -----------
<S> <C> <C>
Value $ 1,080,954 $ 734,685
Equity 984,432 1,307,281
Small Cap Value 754,026 669,974
International Equity 497,587 1,042,316
Mid Cap Growth 538,976 611,189
Mid Cap Value 135,550 94,369
Emerging Markets 39,149 48,353
Fixed Income 2,908,889 2,594,689
Domestic Fixed Income 166,185 104,851
High Yield 366,116 300,423
Cash Reserves -- --
Fixed Income II 350,125 329,521
Mortgage-Backed
Securities 57,219 56,991
Limited Duration 231,842 189,263
Special Purpose
Fixed Income 698,647 640,082
Municipal 47,991 34,706
PA Municipal 19,318 10,233
Global Fixed Income 73,083 60,540
International Fixed
Income 164,890 144,086
Intermediate Duration 35,092 42,267
Balanced 358,314 410,925
Multi-Asset-Class 189,687 155,837
</TABLE>
- --------------------------------------------------------------------------------
123
<PAGE> 126
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At
September 30, 1996, 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 $1,696,686 $320,943 $(21,139) $299,804
Equity 1,238,845 262,469 (19,287) 243,182
Small Cap Value 542,849 75,631 (34,216) 41,415
International
Equity 637,884 60,078 (24,840) 35,238
Mid Cap Growth 339,607 107,729 (8,582) 99,147
Mid Cap Value 47,155 3,897 (887) 3,010
Emerging Markets 32,447 2,566 (2,617) (51)
Fixed Income 2,502,967 25,964 (14,961) 11,003
Domestic Fixed
Income 133,863 777 (877) (100)
High Yield 286,147 9,612 (5,794) 3,818
Cash Reserves 78,442 -- -- --
Fixed Income II 235,175 1,905 (1,694) 211
Mortgage-Backed
Securities 77,125 1,235 (540) 695
Limited Duration 134,270 266 (424) (158)
Special Purpose
Fixed Income 629,098 8,239 (3,590) 4,649
Municipal 51,191 2,344 (93) 2,251
PA Municipal 26,912 1,136 (56) 1,080
Global Fixed
Income 71,247 1,161 (441) 720
International
Fixed Income 133,981 2,039 (1,622) 417
Intermediate
Duration 13,944 79 (69) 10
Balanced 319,716 31,976 (4,044) 27,932
Multi-Asset-Class 151,571 10,545 (2,038) 8,507
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at September 30, 1996, each Portfolio is obligated
to deliver or receive currency in exchange for U.S. dollars as indicated in
the following table:
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------
Net
Currency In Unrealized
Port- to Exchange Settlement Appreciation
folio Deliver For Date Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- ----- ------ ------ ------ -------- ---------
INTERNATIONAL EQUITY
Purchases
US$ 6,747 JPY 714,770 12/6/96 US$ 6,471 US$ (276)
1,928 JPY 204,280 12/6/96 1,850 (78)
10,000 JPY 1,069,300 3/12/97 9,814 (186)
8,258 JPY 889,304 3/31/97 8,183 (75)
-----------
(615)
-----------
Sales
GBP 1,993 US$ 3,119 10/2/96 US$ 3,118 US$ 1
FRF 7,323 1,419 10/2/96 1,419 --
JPY 324,316 2,906 10/2/96 2,907 (1)
JPY 204,280 2,000 12/6/96 1,849 151
JPY 714,770 7,000 12/6/96 6,471 529
-----------
US$ 680
-----------
NET US$ 65
-----------
<CAPTION>
(000)
---------------------------------------------------------------
Net
Currency In Unrealized
Port- to Exchange Settlement Appreciation
folio Deliver For Date Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- ----- ------ ------ ------ -------- ---------
FIXED INCOME
Purchases
US$ 17,379 GBP 11,117 10/3/96 US$17,397 US$ 18
41,525 DEM 62,020 10/21/96 40,696 (829)
2,407 DEM 3,625 10/21/96 2,379 (28)
8,524 DKK 48,710 10/21/96 8,322 (202)
16,268 SEK 107,335 11/5/96 16,215 (53)
16,954 SEK 112,590 11/8/96 17,009 55
-----------
US$ (1,039)
-----------
Sales
SEK 115,260 US$ 17,345 10/3/96 US$17,400 US$ (55)
DKK 72,675 12,444 10/11/96 12,409 35
DEM 57,210 38,725 10/21/96 37,540 1,185
DEM 59,890 40,046 10/21/96 39,299 747
DKK 79,510 13,932 10/21/96 13,584 348
SEK 107,335 16,340 11/5/96 16,215 125
SEK 112,590 17,064 11/8/96 17,009 55
-----------
US$ 2,440
-----------
NET US$ 1,401
-----------
FIXED INCOME II
Purchases
US$ 381 DKK 2,230 10/11/96 US$ 380 US$ (1)
3,934 DEM 5,830 10/21/96 3,825 (109)
2,043 DEM 3,110 10/21/96 2,041 (2)
1,098 DKK 6,275 10/21/96 1,072 (26)
2,152 SEK 14,200 11/5/96 2,145 (7)
2,215 SEK 14,710 11/8/96 2,222 7
-----------
US$ (138)
-----------
Sales
DKK 2,550 US$ 437 10/11/96 US$ 436 US$ 1
DEM 11,610 7,858 10/21/96 7,618 240
DEM 3,385 2,228 10/21/96 2,221 7
DKK 17,275 3,027 10/21/96 2,952 75
SEK 14,200 2,162 11/5/96 2,145 17
SEK 14,665 2,223 11/8/96 2,216 7
SEK 45 7 11/8/96 7 --
-----------
US$ 347
-----------
NET US$ 209
-----------
SPECIAL PURPOSE FIXED INCOME
Purchases
US$ 11,317 DEM 16,910 10/21/96 US$11,096 US$ (221)
2,212 DKK 12,640 10/21/96 2,160 (52)
3,897 SEK 25,715 11/5/96 3,884 (13)
4,637 SEK 30,765 11/8/96 4,648 11
-----------
US$ (275)
-----------
Sales
DEM 30,135 US$ 20,271 10/21/96 US$19,774 US$ 497
DKK 38,335 6,717 10/21/96 6,549 168
SEK 25,715 3,915 11/5/96 3,885 30
SEK 30,765 4,662 11/8/96 4,648 14
-----------
US$ 709
-----------
NET US$ 434
-----------
</TABLE>
- --------------------------------------------------------------------------------
124
<PAGE> 127
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------
Net
Currency In Unrealized
Port- to Exchange Settlement Appreciation
folio Deliver For Date Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- ----- ------ ------ ------ -------- ---------
GLOBAL FIXED INCOME
Purchases
US$ 3,122 ESP 395,000 10/22/96 US$ 3,076 US$ (46)
2,733 DEM 4,005 10/22/96 2,628 (105)
2,045 DEM 3,035 10/22/96 1,992 (53)
384 DEM 580 10/23/96 381 (3)
2,215 NLG 3,745 10/30/96 2,193 (22)
786 JPY 86,000 10/31/96 774 (12)
5,150 JPY 548,000 11/5/96 4,936 (214)
210 ITL 320,000 11/7/96 210 --
1,469 DEM 2,220 11/8/96 1,458 (11)
4,730 JPY 504,250 11/21/96 4,552 (178)
147 JPY 16,000 11/21/96 145 (2)
867 DKK 5,025 11/29/96 860 (7)
873 SEK 5,740 12/6/96 868 (5)
----------
US$ (658)
----------
Sales
DEM 181 US$ 119 10/1/96 US$ 119 US$ --
DEM 4,240 2,808 10/22/96 2,783 25
ESP 190,000 1,504 10/22/96 1,479 25
ESP 155,000 1,223 10/22/96 1,207 16
ITL 505,000 329 10/22/96 331 (2)
ITL 50,000 33 10/22/96 33 --
DEM 1,460 986 10/23/96 958 28
DEM 2,335 1,559 10/30/96 1,533 26
NLG 3,745 2,265 10/30/96 2,193 72
JPY 86,000 806 10/31/96 774 32
DEM 445 303 11/5/96 292 11
JPY 135,000 1,256 11/5/96 1,216 40
ITL 320,000 210 11/7/96 210 --
DEM 2,220 1,504 11/8/96 1,458 46
SEK 12,740 1,918 11/13/96 1,925 (7)
GBP 400 624 11/29/96 626 (2)
DKK 14,900 2,622 11/29/96 2,551 71
CAD 320 235 12/4/96 236 (1)
SEK 8,675 1,308 12/6/96 1,312 (4)
FRF 2,635 520 12/10/96 512 8
FRF 495 97 12/10/96 96 1
DEM 2,750 1,834 12/13/96 1,811 23
ESP 45,250 355 12/20/96 352 3
CHF 3,255 2,659 12/27/96 2,622 37
----------
US$ 448
----------
NET US$ (210 )
----------
(000)
---------------------------------------------------------------
Net
Currency In Unrealized
Port- to Exchange Settlement Appreciation
folio Deliver For Date Value (Depreciation)
- ----- ------ ------ ------ -------- ---------
INTERNATIONAL FIXED INCOME
Purchases
US$ 760 GBP 490 10/11/96 US$ 767 US$ 7
2,949 JPY 321,000 10/11/96 2,882 (67)
9,048 DEM 13,305 10/22/96 8,731 (317)
7,904 ESP 1,000,000 10/22/96 7,787 (117)
12,357 FRF 62,030 10/23/96 12,032 (325)
1,026 DEM 1,560 10/30/96 1,024 (2)
3,422 NLG 5,785 10/30/96 3,387 (35)
1,117 JPY 120,000 10/31/96 1,080 (37)
1,270 CAD 1,735 11/5/96 1,276 6
2,272 DEM 3,455 11/5/96 2,269 (3)
11,166 JPY 1,185,000 11/5/96 10,674 (492)
5,257 ITL 8,030,000 11/7/96 5,262 5
543 DEM 825 11/8/96 542 (1)
12,164 DEM 17,950 11/12/96 11,795 (369)
3,444 SEK 22,785 11/13/96 3,442 (2)
8,752 JPY 933,000 11/21/96 8,423 (329)
2,407 DKK 13,945 11/29/96 2,387 (20)
1,869 SEK 12,290 12/6/96 1,858 (11)
1,933 DEM 2,930 12/13/96 1,930 (3)
----------
US$ (2,112)
----------
Sales
GBP 1,060 US$ 1,645 10/10/96 US$ 1,658 US$ (13)
JPY 135,000 1,254 10/11/96 1,212 42
DEM 3,910 2,589 10/22/96 2,566 23
ESP 790,000 6,244 10/22/96 6,151 93
ITL 7,085,000 4,624 10/22/96 4,647 (23)
DEM 11,715 7,915 10/23/96 7,688 227
DEM 1,560 1,033 10/30/96 1,024 9
NLG 10,695 6,470 10/30/96 6,263 207
JPY 120,000 1,125 10/31/96 1,080 45
DEM 3,455 2,357 11/5/96 2,269 88
JPY 310,000 2,883 11/5/96 2,792 91
ITL 3,205,000 2,094 11/7/96 2,100 (6)
DEM 825 559 11/8/96 542 17
DEM 980 665 11/12/96 644 21
SEK 27,915 4,203 11/13/96 4,218 (15)
DKK 29,005 5,104 11/29/96 4,965 139
GBP 760 1,186 11/29/96 1,189 (3)
DKK 21,130 3,623 12/2/96 3,618 5
SEK 28,255 4,260 12/6/96 4,272 (12)
DEM 7,320 4,880 12/13/96 4,821 59
ESP 254,650 1,996 12/20/96 1,979 17
CHF 7,505 6,130 12/27/96 6,045 85
----------
US$ 1,096
----------
NET US$ (1,016)
----------
INTERMEDIATE DURATION
Purchases
US$ 14 DKK 80 10/11/96 US$ 14 US$ --
416 DEM 625 10/21/96 410 (6)
118 DKK 675 10/21/96 115 (3)
100 SEK 655 11/5/96 99 (1)
70 SEK 465 11/5/96 70 --
6 SEK 40 11/8/96 6 --
----------
US$ (10)
----------
Sales
DKK 80 US$ 14 10/11/96 US$ 14 US$ --
DEM 915 617 10/21/96 600 17
DEM 5 3 10/21/96 3 --
DKK 600 105 10/21/96 102 3
DKK 75 13 10/21/96 13 --
SEK 1,120 170 11/5/96 169 1
SEK 40 6 11/8/96 6 --
DKK 725 124 12/4/96 124 --
----------
US$ 21
----------
NET US$ 11
----------
</TABLE>
- --------------------------------------------------------------------------------
125
<PAGE> 128
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------
Net
Currency In Unrealized
Port- to Exchange Settlement Appreciation
folio Deliver For Date Value (Depreciation)
- ----- ------ ------ ------ -------- ---------
<S> <C> <C> <C> <C> <C> <C>
BALANCED
Purchases
US$ 4,022 DEM 6,000 10/21/96 US$ 3,937 US$ (85)
1,062 DKK 6,075 10/21/96 1,038 (24)
1,355 SEK 8,945 11/5/96 1,351 (4)
1,351 SEK 8,970 11/8/96 1,355 4
----------
US$ (109)
----------
Sales
DEM 6,300 US$ 4,264 10/21/96 US$ 4,134 US$ 130
DEM 3,690 2,462 10/21/96 2,420 42
DKK 14,060 2,463 10/21/96 2,402 61
SEK 8,945 1,361 11/5/96 1,351 10
SEK 8,970 1,359 11/8/96 1,355 4
----------
US$ 247
----------
NET US$ 138
----------
MULTI-ASSET-CLASS
Purchases
US$ 96 ITL 146,310 10/4/96 96 US$ --
561 DEM 825 10/22/96 542 (19)
553 ESP 70,000 10/22/96 545 (8)
95 ITL 145,000 10/22/96 95 --
763 FRF 3,830 10/23/96 743 (20)
316 NLG 535 10/30/96 313 (3)
1,593 JPY 170,000 11/5/96 1,531 (62)
252 ITL 385,000 11/7/96 252 --
440 DEM 650 11/12/96 427 (13)
177 DKK 1,025 11/29/96 175 (2)
278 SEK 1,835 12/6/96 277 (1)
2,324 JPY 244,464 1/29/97 2,230 (94)
----------
US$ (222)
----------
Sales
FRF 587 US$ 114 10/2/96 114 US$ --
GBP 354 554 10/2/96 554 --
JPY 36,942 331 10/2/96 331 --
DEM 662 434 10/7/96 434 --
ESP 45,000 356 10/22/96 351 5
DEM 200 132 10/22/96 131 1
ITL 500,000 326 10/22/96 328 (2)
DEM 1,935 1,308 10/23/96 1,270 38
DEM 220 146 10/30/96 145 1
NLG 1,060 642 10/30/96 621 21
DEM 245 167 11/5/96 161 6
JPY 20,000 186 11/5/96 180 6
SEK 1,905 287 11/13/96 288 (1)
DKK 3,455 608 11/29/96 591 17
GBP 110 172 11/29/96 172 --
CAD 410 300 12/4/96 302 (2)
SEK 1,835 277 12/6/96 278 (1)
DEM 425 283 12/13/96 280 3
ESP 28,670 225 12/20/96 223 2
CHF 510 417 12/13/96 411 6
JPY 244,464 2,317 1/29/97 2,230 87
----------
US$ 187
----------
NET US$ (35)
----------
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
DKK -- Danish Krone
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At September 30, 1996, the following Portfolios had
futures contracts open:
<TABLE>
<CAPTION>
Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- ----------------- --------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
INTERNATIONAL
EQUITY
DAX Index 26 DEM 6,946 Dec-96 US$ 143
FTSE 100 Index 41 GBP 4,087 Dec-96 64
Nikkei Index 227 JPY 2,446,493 Dec-96 914
Toronto 35
Index 70 CAD 9,685 Dec-96 236
FIXED INCOME
U.S. Treasury
Long Bond 431 US$ 47,060 Dec-96 509
DOMESTIC FIXED
INCOME
U.S. Treasury
5 yr. Note 22 US$ 2,323 Dec-96 18
U.S. Treasury
Long Bond 14 US$ 1,529 Dec-96 17
FIXED INCOME II
U.S. Treasury
Long Bond 52 US$ 5,678 Dec-96 61
MORTGAGE-BACKED
SECURITIES
U.S. Treasury
10 yr. Note 37 US$ 3,969 Dec-96 45
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury
5 yr. Note 115 US$ 12,143 Dec-96 (47)
U.S. Treasury
Long Bond 110 US$ 12,011 Dec-96 130
MUNICIPAL
U.S. Treasury
5 yr. Note 99 US$ 10,454 Dec-96 (7)
U.S. Treasury
10 yr. Note 10 US$ 1,073 Dec-96 (2)
PA MUNICIPAL
U.S. Treasury
5 yr. Note 79 US$ 8,342 Dec-96 (16)
GLOBAL FIXED
INCOME
Japanese 10 yr.
Government
Bond 4 JPY 488,800 Dec-96 45
U.S. Treasury
10 yr. Note 6 US$ 644 Dec-96 5
INTERNATIONAL
FIXED INCOME
French 10 yr.
Government
Bond 26 FRF 16,227 Dec-96 49
German 10 yr.
Government
Bond 65 DEM 16,032 131
Dec-96
Japanese 10 yr.
Government
Bond 9 JPY 1,099,800 Dec-96 130
INTERMEDIATE
DURATION
U.S. Treasury
2 yr. Note 1 US$ 206 Dec-96 --
U.S. Treasury
5 yr. Note 11 US$ 1,162 (2)
Dec-96
U.S. Treasury
10 yr. Note 5 US$ 536 Dec-96 (2)
BALANCED
U.S. Treasury
5 yr. Note 53 US$ 5,596 Dec-96 (22)
U.S. Treasury
Long Bond 39 US$ 4,258 Dec-96 46
</TABLE>
- --------------------------------------------------------------------------------
126
<PAGE> 129
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- ----------------- --------- ------------ ---------- --------------
MULTI-ASSET-CLASS
<S> <C> <C> <C> <C>
CAC 40 Index 15 FRF 6,402 Oct-96 US$ 52
DAX Index 10 DEM 2,672 Dec-96 55
Japanese 10 yr.
Government
Bond 1 JPY 122,200 Dec-96 15
U.S. Treasury
Long Bond 6 US$ 655 Dec-96 7
Sales:
FIXED INCOME
90 day
Eurodollar 223 US$ 52,120 Dec-96
Mar-01 333
U.S. Treasury 5
yr. Note 80 US$ 8,448 Dec-96 32
U.S. Treasury
10 yr. Note 150 US$ 16,092 Dec-96 (141)
DOMESTIC FIXED
INCOME
U.S. Treasury
10 yr. Note 12 US$ 1,287 Dec-96 (10)
FIXED INCOME II
U.S. Treasury 5
yr. Note 26 US$ 2,745 Dec-96 10
U.S. Treasury
10 yr. Note 78 US$ 8,368 Dec-96 (57)
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 2
yr. Note 98 US$ 20,182 Dec-96 (38)
U.S. Treasury 5
yr. Note 15 US$ 1,584 Dec-96 6
U.S. Treasury
Long Bond 10 US$ 1,092 Dec-96 8
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury
10 yr. Note 40 US$ 4,291 Dec-96 (38)
MUNICIPAL
U.S. Treasury
Long Bond 15 US$ 1,638 Dec-96 12
PA MUNICIPAL
U.S. Treasury
Long Bond 8 US$ 874 Dec-96 --
INTERMEDIATE
DURATION
U.S. Treasury
Long Bond 3 US$ 328 Dec-96 3
BALANCED
U.S. Treasury
10 yr. Note 35 US$ 3,755 Dec-96 (26)
MULTI-ASSET-CLASS
U.S. Treasury
5 yr. Note 16 US$ 1,690 Dec-96 2
U.S. Treasury
10 yr. Note 8 US$ 858 Dec-96 (6)
CAD -- Canadian Dollar
DEM -- German Mark
FRF -- French Franc
GBP -- British Pound
JPY -- Japanese Yen
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At September 30, 1996, the following Portfolios had open
Swap Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
MUNICIPAL
$10,300 Agreement with Bankers Trust
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly. $658
--------
PA MUNICIPAL
$4,650 Agreement with Bankers Trust
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly. $297
---------
</TABLE>
LIBOR -- London Interbank Offer Rate
- --------------------------------------------------------------------------------
127
<PAGE> 130
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6. INTEREST RATE FLOOR AGREEMENTS: At September 30, 1996, the following
portfolios had open Written Amortizing Interest Rate Floor Agreements. Each
Amortizing Interest Rate Floor described in the table below requires that in
exchange for a premium received from the counterparty, each Portfolio will
make monthly payments until maturity to the counterparty equal to the
notional amount multiplied by the difference between the strike rate and the
index rate as long as the index rate is below the strike rate.
<TABLE>
<CAPTION>
Notional Amortized
Strike Amount Premium Value
Counterparty Rate Index Maturity Portfolio (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
Bankers Trust Company 9.25% 1 Month COFI 11/1/99 Fixed Income $ 30,441 $ 2,385 $2,457
Mortgage-Backed Securities 1,841 144 149
Special Purpose Fixed Income 9,802 768 791
Balanced 3,592 281 290
Bankers Trust Company 8.25% 1 Month COFI 11/25/99 Fixed Income 51,822 2,968 3,126
Mortgage-Backed Securities 3,136 180 189
Special Purpose Fixed Income 16,583 950 1,000
Balanced 6,219 356 375
Morgan Guaranty Trust 8.00% 1 Month LIBOR 6/15/05 Domestic Fixed Income 1,465 113 68
Fixed Income II 7,450 577 346
Mortgage-Backed Securities 4,826 344 357
Bankers Trust Company 8.10% 1 Month LIBOR 6/25/05 Fixed Income 79,759 6,173 6,099
Mortgage-Backed Securities 4,335 334 332
Special Purpose Fixed Income 28,011 2,159 2,142
Balanced 8,771 676 671
Morgan Guaranty Trust 8.00% 1 Month LIBOR 5/15/08 Fixed Income 61,800 4,411 4,577
Special Purpose Fixed Income 20,375 1,454 1,509
Balanced 6,315 451 468
Bankers Trust Company 8.10% 1 Month LIBOR 1/25/09 Fixed Income 96,156 7,163 7,713
Special Purpose Fixed Income 34,197 2,547 2,743
Balanced 11,319 843 908
Bankers Trust Company 9.45% 1 Month LIBOR 9/15/09 Fixed Income 17,878 2,244 2,280
Mortgage-Backed Securities 1,233 155 157
Special Purpose Fixed Income 5,854 735 747
Balanced 2,223 279 284
Barclay's Bank plc 9.60% 1 Month LIBOR 11/15/09 Fixed Income 37,927 5,044 4,919
Mortgage-Backed Securities 3,922 522 509
Special Purpose Fixed Income 12,306 1,637 1,596
Balanced 4,606 613 597
COFI -- Cost of Funds Index
LIBOR -- London Interbank Offer Rate
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
128
<PAGE> 131
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
H. CAPITAL LOSS CARRY FORWARD. At September 30, 1996, 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)
---------------------
Portfolio 2002 2003 2004
- ------------------------ ---- ------ -----
<S> <C> <C> <C>
High Yield $ -- $ 141 $ 851
Mortgage-Backed
Securities -- 3,206 --
Limited Duration -- 4,395 172
Municipal 120 153 134
PA Municipal -- 216 --
</TABLE>
I. 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, 1996, the following Portfolios may elect to defer capital
losses occurring between November 1, 1995 and September 30, 1996 up to the
following amounts:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Domestic Fixed Income $ 954
Mortgage-Backed Securities 754
Limited Duration 59
Intermediate Duration 70
</TABLE>
The High Yield Portfolio may elect to defer net foreign currency losses
occurring between November 1, 1995 and September 30, 1996 up to the amount of
$423,000.
J. IN-KIND TRANSACTIONS. For the year ended September 30, 1996, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Equity $17,850
International Equity 42,193
High Yield (72)
Multi-Asset-Class 27
</TABLE>
K. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the year ended September 30,
1996, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- --------------------------------------- -----
<S> <C>
Value $ 77
Equity 81
International Equity 249
Mid Cap Growth 169
Fixed Income 28
Domestic Fixed Income 2
Fixed Income II 3
Special Purpose Fixed Income 2
Balanced 10
</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.
The value of loaned securities and related collateral outstanding at September
30, 1996, was as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- -------------------------- -------- --------
<S> <C> <C>
Value $ 65,199 $ 67,468
Equity 21,908 22,751
International Equity 52,194 55,497
Mid Cap Growth 34,480 36,237
Fixed Income 112,121 114,216
Special Purpose Fixed
Income 21,845 22,313
Balanced 1,400 1,436
</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 $319,000 and $483,000, respectively, for the year ended September 30,
1996.
L. OTHER. At September 30, 1996, the net assets of certain Portfolios were
substantially comprised of foreign denominated securities and currency. The net
assets of the Portfolio are presented at the foreign exchange rates and market
values at the close of the period. The Portfolio does not isolate that portion
of the results of operations arising as a result of changes in the foreign
- --------------------------------------------------------------------------------
129
<PAGE> 132
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
exchange rates from the fluctuations arising from changes in the market prices
of the securities held at period end. Similarly, the Portfolio does not isolate
the effect of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities sold during the period.
Accordingly, realized and unrealized foreign currency gains (losses) are
included in the reported net realized and unrealized gains (losses) on
investment transactions and balances. 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, 1996, 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.
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, 1996, approximately 55.2% and 56.1% of the net
assets of the Municipal and PA Municipal Portfolios, respectively, are covered
by such insurance. Listed below are the insurers that insure obligations
constituting more than 10% of the Portfolios' net assets:
<TABLE>
<CAPTION>
MUNICIPAL PA MUNICIPAL
--------- ------------
<S> <C> <C>
FGIC 10.7% 13.3%
MBIA 16.4 25.8
AMBAC 17.7 14.6
</TABLE>
At September 30, 1996, certain employees of Miller Anderson & Sherrerd, LLP
were record owners of approximately 47.4% of the PA Municipal Portfolio. In
addition, the Fund had Portfolios with otherwise unaffiliated record owners of
10% or greater. Investment activities of these shareholders could have a
material impact on these Portfolios. These Portfolios and the aggregate
percentage of such owners was as follows:
<TABLE>
<CAPTION>
Percentage
of Ownership
--------------------------------------
Institutional Investment Adviser
Portfolios Class Class Class
- ------------------ ------------- ---------- -------
<S> <C> <C> <C>
Value --% --% 100.0%
Equity -- 100.0 --
Small Cap Value 11.0 -- --
International
Equity -- 84.5 --
Mid Cap Growth 19.7 -- --
Mid Cap Value 44.2 100.0 --
Emerging Markets 82.9 -- --
Domestic Fixed
Income 33.2 -- --
High Yield -- 58.8 --
Cash Reserves 50.7 -- --
Fixed Income II 12.1 -- --
Mortgage-Backed
Securities 92.8 -- --
Limited Duration 12.9 -- --
Special Purpose
Fixed Income -- 100.0 --
Municipal 36.2 -- --
PA Municipal 15.3 -- --
Global Fixed
Income 42.3 -- --
International
Fixed Income 73.8 -- --
Intermediate
Duration 97.9 -- --
Balanced 27.5 -- --
Multi-Asset-Class 32.4 100.0 --
</TABLE>
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130
<PAGE> 133
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 financial highlights present fairly, in all material respects,
the financial position of each of the twenty two (22) Portfolios of the MAS
Funds listed in the accompanying table of contents, (hereafter referred to as
the "Fund") at September 30, 1996 and the results of each of their operations,
the changes in each of their net assets and their financial highlights for the
periods presented, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (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, 1996 by correspondence with the custodians and brokers and the
application of alternative auditing procedures where broker confirmations were
not received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
November 21, 1996
- --------------------------------------------------------------------------------
131
<PAGE> 134
- --------------------------------------------------------------------------------
SHAREHOLDER MEETING: (UNAUDITED)
At a special shareholder meeting held on April 15, 1996, the shareholders of the
Municipal and PA Municipal Portfolios, respectively, voted on the following
proposals:
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
-------------- -------------- -----------
<S> <C> <C> <C> <C>
1. To amend the investment objective and certain investment
limitations of the Municipal Portfolio. 2,190,501 0 0
========== =========== =========
2. To amend the investment objective and certain investment
limitations of the PA Municipal Portfolio. 1,277,778 0 32,983
========== =========== =========
</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 dividends paid deduction on its federal
income tax return.
<TABLE>
<CAPTION>
AMOUNT
PORTFOLIO (000)
------------------------------------ -------
<S> <C>
Value $70,709
Equity 90,418
Small Cap Value 8,374
International Equity 3,421
Mid Cap Growth 24,932
Fixed Income II 86
Global Fixed 5
International Fixed 69
Special Purpose Fixed Income 1,554
Intermediate Duration 147
Balanced 3,924
Multi-Asset-Class 656
</TABLE>
For the year ended September 30, 1996, the percentage of dividends that qualify
for the 70% dividend received deduction for corporate shareholders for each
Portfolio were:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT
------------------------------------ -------
<S> <C>
Value 34.8%
Equity 52.5
Small Cap Value 9.1
Mid Cap Growth 2.9
Mid Cap Value 8.5
High Yield 4.8
Municipal 7.4
PA Municipal 1.9
Balanced 23.4
Multi-Asset-Class 15.4
</TABLE>
Foreign taxes accrued during the fiscal year ended September 30, 1996 amounting
to $1,891,000, $136,000*, $75,000 and $248,000 for the International Equity
Portfolio, Emerging Markets Portfolio, Global Fixed Income Portfolio and the
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, 1996. In addition, for the year ended September 30, 1996,
gross income derived from sources within foreign countries amounted to
$15,749,000, $1,039,000*, $2,664,000 and $8,520,000 for the International Equity
Portfolio, Emerging Markets Portfolio, Global Fixed Income Portfolio and the
International Fixed Income Portfolio, respectively.
For the fiscal year ended September 30, 1996, the percentage of exempt interest
dividends paid by the Municipal Portfolio and the PA Municipal Portfolio was
93.3% and 89.6%, respectively.
* Amounts based on October 31 tax year end.
- --------------------------------------------------------------------------------
132
<PAGE> 135
MAS FUNDS TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
The following is a list of the Trustees and the principal executive officers of
the Fund and a brief statement of their present positions and principal
occupations during the past five years.
<TABLE>
<S> <C>
THOMAS L. BENNETT, CFA* JAMES D. SCHMID
Chairman of the Board of Trustees; Portfolio Manager President; Head of Mutual Funds, Miller Anderson &
and member of the Executive Committee, Miller Anderson Sherrerd, LLP; Director, MAS Fund Distribution, Inc.;
& Sherrerd, LLP; Director, MAS Fund Distribution, Inc. Chairman of the Board of Directors, The Minerva Fund,
and Morgan Stanley Universal Fund, Inc. Inc.
JOSEPH P. HEALY LORRAINE TRUTEN, CFA
Trustee; Headmaster, Haverford School; formerly; Dean, Vice President; Head of Mutual Fund Services, Miller
Hobart College; Associate Dean, William & Mary Anderson & Sherrerd, LLP; President, MAS Fund
College. Distribution, Inc.
JOSEPH J. KEARNS DOUGLAS W. KUGLER, CFA
Trustee; Vice President and Treasurer, The J. Paul Treasurer; Head of Mutual Fund Administration, Miller
Getty Trust; Director, Electro Rent Corporation; Anderson & Sherrerd, LLP.
Trustee, Southern California Edison Nuclear
Decommissioning Trust; Director, The Ford Family
Foundation.
VINCENT R. MCLEAN JOHN H. GRADY, JR.
Trustee; Director, Alexander and Alexander Services, Secretary; Partner, Morgan, Lewis & Bockius, LLP.
Inc., Director, Legal and General America, Inc.,
Director, William Penn Life Insurance Company of New
York; formerly Executive Vice President, Chief
Financial Officer, Director and Member of the
Executive Committee of Sperry Corporation (now part of
Unisys Corporation).
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.
</TABLE>
*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.
- --------------------------------------------------------------------------------
133
<PAGE> 136
[MAS FUNDS LOGO]
MILLER
ANDERSON
& SHERRERD, LLP
ONE TOWER BRIDGE
WEST CONSHOHOCKEN, PA 19428-2899
INVESTMENT ADVISER: (610) 940-5000
MAS FUNDS: (800) 354-8185
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.
