<PAGE> 1
FINANCIAL STATEMENTS
1996
[MAS
---
MAS FUNDS
SEMI-ANNUAL REPORT
1 9 9 6 LOGO]
<PAGE> 2
We are pleased to present the Semi-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
MAS Overview and Statement of Net Assets
<TABLE>
<S> <C>
Value Portfolio.......................... 1
Equity Portfolio......................... 4
Small Cap Value Portfolio................ 8
Select Equity Portfolio.................. 12
International Equity Portfolio........... 16
Mid Cap Growth Portfolio................. 20
Mid Cap Value Portfolio.................. 22
Emerging Markets Portfolio............... 26
Fixed Income Portfolio................... 29
Domestic Fixed Income Portfolio.......... 35
High Yield Portfolio..................... 40
Cash Reserves Portfolio.................. 45
Fixed Income Portfolio II................ 47
Mortgage-Backed Securities Portfolio..... 52
Limited Duration Portfolio............... 56
Special Purpose Fixed Income Portfolio... 60
Municipal Portfolio...................... 67
PA Municipal Portfolio................... 71
Global Fixed Income Portfolio............ 74
International Fixed Income Portfolio..... 77
Intermediate Duration Portfolio.......... 79
Balanced Portfolio....................... 83
Multi-Asset-Class Portfolio.............. 92
Statement of Operations..................... 103
Statement of Changes in Net Assets.......... 108
Financial Highlights........................ 116
Notes to Financial Statements............... 127
</TABLE>
THIS SEMI-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 (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Value Portfolio combines Miller Anderson & Sherrerd's disciplined valuation
process with the judgment gained through considerable experience in low P/E
investing, emphasizing large capitalization stocks from all market sectors. MAS
considers a company's intrinsic worth, projected earnings and other measures to
help determine if its current price makes it a strong candidate for value
investing. MAS also employs a formal sell discipline. Individual positions are
sold when price appreciation or earnings-per-share deterioration raises the
current P/E.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 11.2% 11.7 %
ONE YEAR 34.1 32.1
FIVE YEARS 18.8 14.7
TEN YEARS 14.0 13.9
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns for the Value Portfolio are compared to the S&P 500 Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (87.8%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BANKS (8.9%)
Bank of Boston Corp. 288,038 $ 14,294
Boatmen's Bancshares,
Inc. 42,800 1,680
Capital One Financial
Corp. 393,275 10,815
Chase Manhattan Corp. 233,200 16,441
Citicorp 197,500 15,800
Crestar Financial Corp. 113,613 6,533
First Chicago NBD Corp. 272,200 11,296
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
First of America Bank
Corp. 235,777 $ 10,934
First Union Corp. 204,957 12,400
Fleet Financial Group,
Inc. 250,529 10,146
Northern Trust Corp. 67,200 3,629
Republic New York Corp. 82,600 4,915
Signet Banking Corp. 394,096 9,803
Standard Federal
Bancorp. 155,200 6,596
TCF Financial Corp. 178,620 6,475
- ---------------------------------------------------------
GROUP TOTAL 141,757
- ---------------------------------------------------------
BASIC RESOURCES (9.0%)
Boise Cascade Corp. 636,300 26,724
Cabot Corp. 247,200 7,540
Champion International
Corp. 262,900 11,896
Cyprus Amax Minerals
Co. 393,100 11,105
Dexter Corp. 338,900 8,981
E.I. DuPont de
Nemours & Co. 272,900 22,651
Inland Steel
Industries, Inc. 378,600 9,370
Olin Corp. 143,900 12,519
Potash Corp. of
Saskatchewan 62,400 3,900
Reynolds Metals Co. 254,100 15,024
Wellman, Inc. 540,000 12,690
- ---------------------------------------------------------
GROUP TOTAL 142,400
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.6%)
Anheuser-Busch Cos.,
Inc. 131,800 8,880
- ---------------------------------------------------------
CONSUMER DURABLES (4.0%)
General Motors Corp. 399,903 21,295
Goodyear Tire & Rubber
Co. 437,820 22,329
Premark International,
Inc. 387,800 20,795
- ---------------------------------------------------------
GROUP TOTAL 64,419
- ---------------------------------------------------------
CONSUMER SERVICES (0.4%)
Standard Register Co. 263,500 6,258
- ---------------------------------------------------------
CREDIT & FINANCIAL/INVESTMENT COMPANIES (2.9%)
Dean Witter Discover &
Co. 192,400 11,015
Federal Home Loan
Mortgage Corp. 106,050 9,041
Federal National
Mortgage Association 438,400 13,974
Great Western Financial
Corp. 488,350 11,781
- ---------------------------------------------------------
GROUP TOTAL 45,811
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
PORTFOLIO VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
ENERGY (6.9%)
Amoco Corp. 146,900 $ 10,614
Atlantic Richfield Co. 119,400 14,209
British Petroleum plc
ADR 226,600 24,076
El Paso Natural Gas Co. 319,200 11,811
IMC Global, Inc. 311,980 11,387
MAPCO, Inc. 292,100 16,321
Panhandle Eastern Corp. 78,200 2,434
Ultramar Corp. 417,500 12,055
YPF SA ADR 369,400 7,434
- ---------------------------------------------------------
GROUP TOTAL 110,341
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (4.2%)
Archer Daniels Midland
Co. 711,585 13,075
IBP, Inc. 623,000 15,965
Philip Morris Cos.,
Inc. 293,200 25,728
RJR Nabisco Holdings
Corp. 398,760 12,063
- ---------------------------------------------------------
GROUP TOTAL 66,831
- ---------------------------------------------------------
HEALTH CARE (6.5%)
Beckman Instruments,
Inc. 555,400 21,661
Bergen Brunswig Corp.,
Class A 588,400 15,372
Bristol-Myers Squibb
Co. 103,900 8,897
* Foundation Health Corp. 372,800 14,213
* Horizon/CMS Healthcare
Corp. 339,600 4,754
Mallinckrodt Group,
Inc. 442,800 16,660
Rhone-Poulenc SA ADR 459,700 11,952
* Tenet Healthcare Corp. 489,700 10,284
- ---------------------------------------------------------
GROUP TOTAL 103,793
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (20.0%)
* AMR Corp. 264,800 23,700
Burlington Northern,
Inc. 204,500 16,795
Caterpillar, Inc. 151,600 10,309
Cummins Engine Co.,
Inc. 339,600 13,711
CSX Corp. 271,230 12,375
Deere & Co. 441,600 18,437
Eaton Corp. 314,200 18,931
* FMC Corp. 115,820 8,701
Hanson plc ADR 748,900 11,233
Kennametal, Inc. 327,500 11,831
Parker Hannifin Corp. 363,600 13,635
PHH Corp. 353,400 19,658
Raytheon Corp. 303,400 15,549
Ryder Systems, Inc. 417,000 11,363
Tecumseh Products Co.,
Class A 268,000 15,778
Tenneco, Inc. 283,400 15,835
Textron, Inc. 262,110 20,969
Trinova Corp. 803,700 25,618
TRW, Inc. 196,700 17,531
* Varity Corp. 378,000 16,348
- ---------------------------------------------------------
GROUP TOTAL 318,307
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
INSURANCE (5.7%)
Allstate Corp. 243,717 $ 10,267
American General Corp. 367,500 12,679
American Re Corp. 284,800 11,392
Old Republic
International Corp. 101,200 3,289
Providian Corp. 529,400 23,624
ReliaStar Financial
Corp. 166,000 7,511
SAFECO Corp. 312,800 10,479
St. Paul Cos., Inc. 164,040 9,104
Torchmark Corp. 38,100 1,715
Transatlantic Holdings,
Inc. 19,800 1,351
- ---------------------------------------------------------
GROUP TOTAL 91,411
- ---------------------------------------------------------
RETAIL (6.1%)
Bob Evans Farms, Inc. 357,100 5,803
Dillard Department
Stores, Inc., Class A 598,000 20,706
Earthgrains Co. 5,272 157
Reebok International
Ltd. 356,900 9,859
Spring Industries,
Inc., Class A 215,600 9,918
Tandy Corp. 419,400 19,397
* Toys R Us, Inc. 577,600 15,595
V.F. Corp. 275,940 15,246
- ---------------------------------------------------------
GROUP TOTAL 96,681
- ---------------------------------------------------------
TECHNOLOGY (9.2%)
* Compaq Computer Corp. 315,000 12,167
* EMC Corp. 361,200 7,901
International Business
Machines Corp. 230,500 25,614
* Lam Research Corp. 347,800 12,173
* National Semiconductor
Corp. 1,627,400 22,580
* Seagate Technology,
Inc. 312,900 17,131
Tektronix, Inc. 223,000 7,248
Texas Instruments, Inc. 500,200 25,448
* Western Digital Corp. 859,600 16,547
- ---------------------------------------------------------
GROUP TOTAL 146,809
- ---------------------------------------------------------
UTILITIES (3.4%)
Central Maine Power Co. 569,700 8,261
Entergy Corp. 349,866 9,796
General Public
Utilities Corp. 296,360 9,780
PECO Energy Co. 474,600 12,636
Sprint Corp. 343,800 13,064
- ---------------------------------------------------------
GROUP TOTAL 53,537
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,133,371) 1,397,235
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (14.9%)
- ---------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(2.9%) $ 45,493 $ 45,493
- ---------------------------------------------------------
COMMERCIAL PAPER (7.1%)
American Express Credit
Corp. 5.37%, 4/22/96 10,000 9,969
Bell South Corp. 5.36%,
4/29/96 12,550 12,498
Beneficial Corp. 5.29%,
4/26/96 15,000 14,945
Colgate Palmolive
5.25%, 4/25/96 15,000 14,947
IBM Credit Corp. 5.34%,
5/3/96 15,000 14,929
John Deere Capital
Corp. 5.25%, 4/25/96 15,000 14,947
Monsanto Co. 5.35%,
4/25/96 15,500 15,445
Philip Morris Cos.,
Inc. 5.18%, 4/4/96 15,000 14,994
- ---------------------------------------------------------
GROUP TOTAL 112,674
- ---------------------------------------------------------
REPURCHASE AGREEMENT (4.9%)
The Chase Manhattan
Bank, N.A. 5.35%,
dated 3/29/96, due
4/1/96, to be
repurchased at
$78,223,
collateralized by
various U.S.
Government
Obligations, due
5/31/96-5/31/97,
valued at $78,969 78,188 78,188
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $236,355) 236,355
- ---------------------------------------------------------
TOTAL INVESTMENTS (102.7%) 1,633,590
(Cost $1,369,726)
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-2.7%)
Dividends Receivable $ 2,111
Interest Receivable 35
Receivable for Fund Shares Sold 18,047
Receivable for Investments Sold 3,575
Payable for Fund Shares Redeemed (2,548)
Payable for Investments Purchased (16,665)
Payable for Investment Advisory Fees (1,872)
Payable for Administrative Fees (105)
Collateral on Securities Loaned, at
Value (45,493)
Other Liabilities (25)
----------
(42,940)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 107,447,346 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,590,650
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.80
- ---------------------------------------------------------
dag. 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 (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Equity Portfolio is Miller Anderson & Sherrerd's primary equity fund,
investing mostly in common stocks of large companies. MAS employs strategic
economic and market analyses and disciplined valuation methodologies to identify
the best strategic themes, sectors and individual stocks. Strategic over- and
under-weightings are managed to maintain a portfolio that is well diversified
among industry sectors.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
<S> <C> <C>
-----------------------------
SIX MONTHS 11.3% 11.7 %
ONE YEAR 30.0 32.1
FIVE YEARS 14.3 14.7
TEN YEARS 13.3 13.9
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns for the Equity Portfolio are compared to the S&P 500 Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (94.1%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BANKS (5.6%)
Chase Manhattan Corp. 313,100 $ 22,074
Citicorp 213,600 17,088
First Chicago NBD Corp. 275,723 11,442
First Union Corp. 267,703 16,196
NationsBank Corp. 261,453 20,949
- ---------------------------------------------------------
GROUP TOTAL 87,749
- ---------------------------------------------------------
BASIC RESOURCES (4.1%)
Bowater, Inc. 169,100 6,299
Champion International
Corp. 192,700 8,720
E.I. DuPont de
Nemours & Co. 387,200 32,137
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Temple-Inland, Inc. 31,900 $ 1,495
W.R. Grace & Co. 203,500 15,924
- ---------------------------------------------------------
GROUP TOTAL 64,575
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (4.7%)
Avon Products, Inc. 162,000 13,892
Kimberly-Clark Corp. 211,854 15,783
PepsiCo, Inc. 478,000 30,233
Procter & Gamble Co. 165,000 13,984
- ---------------------------------------------------------
GROUP TOTAL 73,892
- ---------------------------------------------------------
CONSUMER DURABLES (4.2%)
Chrysler Corp. 316,100 19,677
Eastman Kodak Co. 121,244 8,608
General Motors Corp. 445,418 23,719
Goodyear Tire & Rubber
Co. 262,900 13,408
- ---------------------------------------------------------
GROUP TOTAL 65,412
- ---------------------------------------------------------
CONSUMER SERVICES (3.8%)
Harcourt General, Inc. 36,600 1,661
ITT Corp. (New) 136,750 8,205
News Corp. Limited ADR 435,800 8,825
Service Corp.
International 188,300 9,180
* Tele-Communications,
Inc., Class A 454,578 8,438
Tele-Communications
Liberty Media Group,
Class A 251,795 6,641
Time Warner, Inc. 232,481 9,503
U.S. West Media Group 320,900 6,618
- ---------------------------------------------------------
GROUP TOTAL 59,071
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.1%)
Federal Home Loan
Mortgage Corp. 90,000 7,673
Transamerica Corp. 124,934 9,354
- ---------------------------------------------------------
GROUP TOTAL 17,027
- ---------------------------------------------------------
ENERGY (5.2%)
Atlantic Richfield Co. 90,300 10,746
British Petroleum plc ADR 220,917 23,473
Coastal Corp. 284,700 11,245
El Paso Natural Gas Co. 102,700 3,800
Mobil Corp. 133,075 15,420
Royal Dutch Petroleum Co.
ADR 111,090 15,691
- ---------------------------------------------------------
GROUP TOTAL 80,375
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (6.4%)
ConAgra, Inc. 255,000 10,359
Delta & Pine Land Co. 500 28
Philip Morris Cos., Inc. 547,290 48,025
Ralston Purina Group 62,900 4,207
RJR Nabisco Holdings
Corp. 418,880 12,671
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Unilever N.V. ADR 72,400 $ 9,828
UST, Inc. 431,438 13,752
- ---------------------------------------------------------
GROUP TOTAL 98,870
- ---------------------------------------------------------
HEALTH CARE (9.9%)
Abbott Laboratories 269,600 10,986
Allergan, Inc. 287,600 10,605
American Home Products
Corp. 136,200 14,761
Baxter International,
Inc. 247,900 11,217
Becton, Dickinson & Co. 164,500 13,469
Bristol-Myers Squibb Co. 279,186 23,905
Columbia/HCA Healthcare
Corp. 224,170 12,946
* Humana, Inc. 441,800 11,100
Johnson & Johnson 104,600 9,649
Mallinckrodt Group, Inc. 167,300 6,295
Schering-Plough Corp. 188,500 10,957
U.S. Healthcare, Inc. 167,200 7,670
Warner Lambert Co. 108,990 11,253
- ---------------------------------------------------------
GROUP TOTAL 154,813
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.0%)
* AMR Corp. 246,400 22,053
Burlington Northern, Inc. 181,689 14,921
Cummins Engine Co., Inc. 198,700 8,022
Eaton Corp. 136,400 8,218
General Electric Co. 316,205 24,624
Hanson plc ADR 627,200 9,408
@ MEDA, Inc. 125 --
Minnesota Mining &
Manufacturing Co. 126,288 8,193
Tenneco, Inc. 145,100 8,108
Textron, Inc. 117,200 9,376
Trinova Corp. 248,000 7,905
Union Pacific Corp. 311,150 21,353
United Technologies Corp. 86,500 9,710
WMX Technologies, Inc. 133,200 4,229
- ---------------------------------------------------------
GROUP TOTAL 156,120
- ---------------------------------------------------------
INSURANCE (5.6%)
Ace, Ltd. 241,400 10,773
Aetna Life & Casualty Co. 260,900 19,698
AFLAC, Inc. 309,900 9,684
Allstate Corp. 141,700 5,969
Exel Ltd. 252,700 17,436
ITT Hartford Group, Inc. 474,950 23,273
- ---------------------------------------------------------
GROUP TOTAL 86,833
- ---------------------------------------------------------
MID CAP GROWTH (4.6%)
* Airgas, Inc. 22,400 890
American List Corp. 10,200 321
* American Mobile Satellite
Corp. 43,100 733
* Apollo Group, Inc., Class
A 27,900 1,088
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Ascent Entertainment
Group, Inc. 27,900 $ 418
Boise Cascade Office
Products Corp. 7,500 490
* Borland International,
Inc. 51,000 918
* Boston Chicken, Inc. 19,600 668
Cardinal Health, Inc. 19,100 1,227
* Ceridian Corp. 16,800 722
Charter Power Systems,
Inc. 28,000 756
Cintas Corp. 21,700 1,085
Comcast Corp., Class A
Special 89,500 1,583
* Comcast UK Cable Partners 59,300 749
Danaher Corp. 40,500 1,498
Delta & Pine Land Co. 9,200 512
* DSP Communications, Inc. 34,000 850
EchoStar Communications
Corp., Class A 14,200 479
* Eckerd Corp. 16,500 794
* EmCare Holdings, Inc. 17,200 467
Estee Lauder Cos., Class
A 38,400 1,373
* FIserv, Inc. 22,850 640
Frontier Corp. 44,400 1,399
* Gartner Group, Inc.,
Class A 11,000 671
* Gilat Satellite Networks,
Ltd. 19,400 470
* Glenayre Technologies,
Inc. 30,600 1,170
* Globalstar
Telecommunications Ltd. 52,200 2,767
Gucci Group N.V. (New
York Shares) 15,600 749
Guidant Corp. 18,600 1,007
* Health Management
Associates, Inc., Class
A 81,730 2,860
* HealthCare COMPARE Corp. 16,000 806
* Infinity Broadcasting
Corp., Class A 18,400 798
* International Cabletel,
Inc. 29,900 901
* Kemet Corp. 36,700 830
* Kent Electronics Corp. 21,700 768
Lin Television Corp. 14,700 518
* Lincare Holdings, Inc. 18,800 611
Livent, Inc. 22,000 179
Loral Corp. 40,400 1,980
* McAfee Associates, Inc. 19,500 1,068
* MFS Communications Co.,
Inc. 12,200 759
* Millicom International
Cellular SA 21,400 925
Money Store (The), Inc. 46,300 1,291
* Newbridge Networks Corp. 18,500 1,041
* Oak Technology, Inc. 22,600 486
Orange plc ADR 18,700 320
* Orthodontic Centers of
America, Inc. 20,600 618
* Paging Network, Inc. 31,000 775
* Palmer Wireless, Inc. 30,000 574
PanAmSat Corp. 31,900 973
* Papa John's
International, Inc. 15,800 705
</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)dag.
- ---------------------------------------------------------
<S> <C> <C>
Paychex, Inc. 16,050 $ 939
Pediatrix Medical Group,
Inc. 10,000 355
Pete's Brewing Co. 38,700 726
PhyMatrix Corp. 28,300 644
PMI Group, Inc. 12,200 532
Post Properties, Inc. 16,200 526
* Robert Mondavi Corp.,
Class A 34,500 888
* Rotech Medical Corp. 15,100 559
* Scholastic Corp. 17,100 1,176
Security Capital
Industrial Trust 27,400 479
Security Capital Pacific
Trust 28,300 623
Sinclair Broadcast Group,
Inc. 27,500 729
Sirrom Capital Corp. 42,700 977
Spacehab, Inc. 48,200 687
* Staples, Inc. 44,850 914
Stewart Enterprises,
Inc., Class A 20,200 863
Stolt-Nielsen SA ADR 37,500 670
* Tele-Communications,
Inc., Class A 51,500 956
Tele-Communications
International, Inc.,
Class A 33,400 714
Tele-Communications
Liberty Media Group,
Class A 61,873 1,632
* Tellabs, Inc. 17,500 847
* Tommy Hilfiger Corp. 19,100 876
Total Renal Care
Holdings, Inc. 24,200 753
* Transaction Systems
Architect, Inc., Class A 17,000 693
* United International
Holdings, Inc., Class A 37,000 592
* United Video Satellite
Group 75,500 1,585
* U.S. Robotics Corp. 8,200 1,060
* USA Detergents, Inc. 30,700 998
UUNET Technologies, Inc. 25,700 655
* Viking Office Products,
Inc. 18,600 1,035
Wolverine World Wide,
Inc. 26,100 731
- ---------------------------------------------------------
GROUP TOTAL 71,694
- ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.1%)
Colonial Properties Trust 36,300 858
- ---------------------------------------------------------
RETAIL (5.3%)
Circuit City Stores, Inc. 211,500 6,319
* Federated Department
Stores, Inc. 475,000 15,319
Home Depot, Inc. 280,859 13,446
* Kroger Co. 244,200 9,890
* Office Depot, Inc. 138,300 2,714
OfficeMax, Inc. 207,600 5,034
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Sears, Roebuck & Co. 432,400 $ 21,080
Wendy's International,
Inc. 445,800 8,080
- ---------------------------------------------------------
GROUP TOTAL 81,882
- ---------------------------------------------------------
TECHNOLOGY (5.1%)
* Cisco Systems, Inc. 367,500 17,043
Intel Corp. 237,450 13,505
International Business
Machines Corp. 126,600 14,069
Motorola, Inc. 112,834 5,980
* Oracle System Corp. 146,470 6,902
* Seagate Technology, Inc. 215,000 11,771
* U.S. Robotics Corp. 78,300 10,120
- ---------------------------------------------------------
GROUP TOTAL 79,390
- ---------------------------------------------------------
UTILITIES (6.8%)
DTE Energy Co. 159,300 5,356
Entergy Corp. 291,000 8,148
Frontier Corp. 424,700 13,378
GTE Corp. 340,800 14,953
NYNEX Corp. 318,000 15,860
Ohio Edison Co. 290,200 6,566
PECO Energy Co. 206,000 5,485
Sprint Corp. 459,900 17,476
360 Communications Co. 153,400 3,662
Unicom Corp. 297,000 8,019
U.S. West, Inc. 241,200 7,809
- ---------------------------------------------------------
GROUP TOTAL 106,712
- ---------------------------------------------------------
VALUE (11.6%)
Allstate Corp. 31,981 1,347
American General Corp. 62,100 2,142
American Re Corp. 32,100 1,284
Amoco Corp. 19,400 1,402
* AMR Corp. 17,600 1,575
Anheuser-Busch Cos., Inc. 14,900 1,004
Archer Daniels Midland
Co. 102,140 1,877
Atlantic Richfield Co. 14,000 1,666
Bank of Boston Corp. 38,639 1,917
Beckman Instruments, Inc. 78,300 3,054
Bergen Brunswig Corp.,
Class A 76,100 1,988
Bob Evans Farms, Inc. 46,900 762
Boise Cascade Corp. 79,900 3,356
Bristol-Myers Squibb Co. 12,500 1,071
British Petroleum plc ADR 29,583 3,143
Burlington Northern, Inc. 38,400 3,153
Cabot Corp. 36,000 1,098
Capital One Financial
Corp. 71,757 1,973
Caterpillar, Inc. 20,500 1,394
Central Maine Power Co. 68,900 999
Chase Manhattan Corp. 32,900 2,319
Citicorp 26,900 2,152
* Compaq Computer Corp. 36,200 1,398
Crestar Financial Corp. 53,506 3,077
CSX Corp. 44,900 2,048
Cummins Engine Co., Inc. 47,800 1,930
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Cyprus Amax Minerals Co. 71,400 $ 2,017
Dean Witter Discover &
Co. 22,800 1,305
Deere & Co. 60,000 2,505
Dexter Corp. 47,200 1,251
Dillard Department
Stores, Inc., Class A 63,100 2,185
Earthgrains Co. 596 18
Eaton Corp. 40,600 2,446
E.I. DuPont de
Nemours & Co. 34,700 2,880
El Paso Natural Gas Co. 50,200 1,857
* EMC Corp. 49,400 1,081
Entergy Corp. 57,967 1,623
Federal Home Loan
Mortgage Corp. 15,600 1,330
Federal National Mortgage
Association 64,100 2,043
First Chicago NBD Corp. 33,300 1,382
First of America Bank
Corp. 29,669 1,376
First Union Corp. 13,100 793
Fleet Financial Group,
Inc. 21,506 871
* FMC Corp. 16,900 1,270
* Foundation Health Corp. 45,500 1,735
General Motors Corp. 59,119 3,148
General Public Utilities
Corp. 63,500 2,095
Goodyear Tire & Rubber
Co. 56,200 2,866
Great Western Financial
Corp. 54,903 1,324
* Horizon/CMS Healthcare
Corp. 52,700 738
IBP, Inc. 76,500 1,960
IMC Global, Inc. 42,880 1,565
Inland Steel Industries,
Inc. 46,500 1,151
International Business
Machines Corp. 30,600 3,400
* Lam Research Corp. 43,000 1,505
Mallinckrodt Group, Inc. 52,900 1,990
MAPCO, Inc. 32,700 1,827
* National Semiconductor
Corp. 222,400 3,086
Northern Trust Corp. 8,800 475
Olin Corp. 29,100 2,532
Parker Hannifin Corp. 37,500 1,406
PECO Energy Co. 77,900 2,074
PHH Corp. 37,700 2,097
Philip Morris Cos., Inc. 32,900 2,887
Premark International,
Inc. 51,200 2,746
Providian Corp. 68,900 3,075
Raytheon Corp. 39,000 1,999
Reebok International Ltd. 32,300 892
Reynolds Metals Co. 32,400 1,916
Rhone-Poulenc SA ADR 54,500 1,417
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
RJR Nabisco Holdings
Corp. 55,500 $ 1,679
Ryder Systems, Inc. 55,800 1,521
SAFECO Corp. 18,900 633
* Seagate Technology, Inc. 39,000 2,135
Signet Banking Corp. 76,125 1,894
Spring Industries, Inc.,
Class A 48,100 2,213
Sprint Corp. 63,000 2,394
St. Paul Cos., Inc. 35,800 1,987
Standard Register Co. 35,300 838
Tandy Corp. 48,100 2,225
TCF Financial Corp. 32,800 1,189
Tecumseh Products Co.,
Class A 71,300 4,198
Tektronix, Inc. 26,100 848
* Tenet Healthcare Corp. 84,200 1,768
Tenneco, Inc. 52,600 2,939
Texas Instruments, Inc. 53,400 2,717
Textron, Inc. 23,000 1,840
@ 360 Communications Co. 1 --
Torchmark Corp. 28,100 1,265
* Toys R Us, Inc. 75,100 2,028
Trinova Corp. 100,100 3,191
TRW, Inc. 17,400 1,551
Ultramar Corp. 55,800 1,611
* Varity Corp. 47,300 2,046
V.F. Corp. 42,000 2,320
Wellman, Inc. 50,000 1,175
* Western Digital Corp. 101,400 1,952
YPF SA ADR 48,900 984
- ---------------------------------------------------------
GROUP TOTAL 180,409
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,171,621) 1,465,682
- ---------------------------------------------------------
CASH EQUIVALENTS (8.0%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (2.3%) $ 35,491 35,491
- ---------------------------------------------------------
COMMERCIAL PAPER (3.2%)
American General Corp.
5.17%, 4/3/96 17,000 16,995
CIT Group Holdings, Inc.
5.25%, 4/25/96 16,500 16,442
Transamerica Corp.
5.25%, 4/19/96 16,000 15,958
- ---------------------------------------------------------
GROUP TOTAL 49,395
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY
PORTFOLIO FACE
AMOUNT VALUE
(CONT'D) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (2.5%)
The Chase Manhattan Bank,
N.A. 5.35%, dated
3/29/96, due 4/1/96, to
be repurchased at
$38,802, collateralized
by various U.S.
Government Obligations,
due 5/31/96-5/31/97,
valued at $39,175 $ 38,785 $ 38,785
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $123,671) 123,671
- ---------------------------------------------------------
TOTAL INVESTMENTS (102.1%) 1,589,353
(Cost $1,295,292)
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.1%)
Dividends Receivable 3,450
Interest Receivable 17
Receivable for Fund Shares Sold 460
Receivable for Investments Sold 50,101
Payable for Fund Shares Redeemed (43,513)
Payable for Investments Purchased (5,629)
Payable for Investment Advisory Fees (2,061)
Payable for Administrative Fees (112)
Collateral on Securities Loaned, at
Value (35,491)
Other Liabilities (48)
----------
(32,826)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 62,774,094 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,556,527
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 24.80
- ---------------------------------------------------------
</TABLE>
dag. See Note A1 to Financial Statements.
* Non-income producing security.
@ Value is less than $500.
ADR American Depositary Receipt.
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Value Portfolio applies Miller Anderson & Sherrerd's value
investing to small- and medium-sized companies, combining MAS's disciplined
valuation process with the judgment gained through considerable experience in
low P/E investing. The Portfolio keeps sector weights within 5% of the sector
weights of the Russell 2000 Index, with strategic over- and under-weightings
assigned to different economic sectors and industries. This portfolio is not
currently open to new investors.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 7.0 % 7.3 %
ONE YEAR 26.5 28.9
FIVE YEARS 19.5 16.0
SINCE INCEPTION 11.5 10.1
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 7/1/86 to 3/31/96 for the Small Cap Value Portfolio
are compared to the Russell 2000 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (99.4%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BANKS (12.2%)
Banco Latinoamericano de
Exportaciones SA ADR 163,100 $ 8,053
Bancorp Hawaii, Inc. 514,300 18,065
Banknorth Group, Inc. 20,400 719
* Cal Fed Bancorp, Inc. 58,300 1,042
Center Financial Corp. 114,400 2,073
Commercial Federal Corp. 19,700 766
Deposit Guaranty Corp. 40,100 1,895
Eagle Financial Corp. 115,100 2,734
First Essex Bancorp, Inc. 87,400 940
Keystone Financial, Inc. 3,000 98
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Leader Financial Corp. 57,500 $ 2,530
MLF Bancorp, Inc. 55,700 1,330
Norwalk Savings Society 72,000 1,575
RCSB Financial, Inc. 53,600 1,266
Reliance Bancorp, Inc. 293,800 4,738
Republic Bancorp, Inc. 10,000 115
Standard Federal Bancorp. 6,700 285
St. Paul Bancorp, Inc. 160,300 3,947
Trustco Bank Corp. 10,000 207
Union Planters Corp. 507 15
Vermont Financial Services
Corp. 19,500 639
Walden Bancorp, Inc. 16,800 332
Wilmington Trust Corp. 50,000 1,612
- ---------------------------------------------------------
GROUP TOTAL 54,976
- ---------------------------------------------------------
BASIC RESOURCES (5.9%)
* CasTech Aluminum Group,
Inc. 170,000 2,444
* Ceradyne, Inc. 50,000 431
Chesapeake Corp. 62,100 1,879
* Gaylord Container Corp.,
Class A 21,900 201
* Gibraltar Steel Corp. 177,100 2,656
* Jefferson Smurfit Corp. 216,300 2,406
J&L Specialty Steel, Inc. 131,600 2,254
Longview Fibre Co. 153,300 2,587
Quanex Corp. 162,800 3,561
Rouge Steel Co. 83,200 1,841
Schnitzer Steel Industries,
Inc., Class A 169,700 4,433
Tri Polyta Indonesia ADR 106,000 1,365
WCI Steel, Inc. 88,700 466
- ---------------------------------------------------------
GROUP TOTAL 26,524
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.2%)
Coors (Adolph) Co., Class B 21,700 388
SEDA Specialty Packaging
Corp. 45,200 720
- ---------------------------------------------------------
GROUP TOTAL 1,108
- ---------------------------------------------------------
CONSUMER DURABLES (9.9%)
* Ameriwood Industries
International Corp. 46,900 264
Borg-Warner Automotive,
Inc. 79,100 2,630
Brewer (C) Homes, Inc.,
Class A 121,300 485
Capco Automotive Products
Corp. 191,400 2,369
Cavalier Homes, Inc. 182,700 2,832
Centex Corp. 67,200 2,083
* Consorcio G Grupo Dina SA
de CV ADR 68,100 136
Excel Industries, Inc. 253,400 2,882
* Falcon Building Products,
Inc., Class A 161,600 1,515
Harman International
Industries, Inc. 76,300 2,861
Lennar Corp. 7,300 182
Masland Corp. 581,100 10,169
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Pulte Corp. 114,000 $ 3,064
* Quaker Fabric Corp. 109,000 804
* R & B, Inc. 55,000 330
Schult Homes Corp. 112,800 1,861
Simpson Industries, Inc. 206,100 1,932
Smith (A.O.) Corp., Class B 211,100 4,987
Stant Corp. 159,900 1,919
* Tyco Toys, Inc. 100,000 600
Westcast Industries, Inc.,
Class A 50,000 600
- ---------------------------------------------------------
GROUP TOTAL 44,505
- ---------------------------------------------------------
CONSUMER SERVICES (0.8%)
* Carmike Cinemas, Inc.,
Class A 30,000 682
Central Newspapers, Inc.,
Class A 7,600 271
* HMG Worldwide Corp. 180,000 293
* John Q. Hammons Hotels,
Inc. 129,600 1,409
* Sola International, Inc. 200 6
TCA Cable TV, Inc. 32,300 941
- ---------------------------------------------------------
GROUP TOTAL 3,602
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (7.4%)
Alex. Brown, Inc. 16,900 877
Edwards (A.G.), Inc. 95,100 2,365
* First Merchants
Acceptance Corp. 80,000 1,770
GATX Corp. 11,800 543
Inter-Regional Financial
Group, Inc. 33,400 747
Interpool, Inc. 28,100 492
Legg Mason, Inc. 116,800 3,402
North American Mortgage Co. 221,300 4,536
Raymond James Financial,
Inc. 71,500 1,609
United Asset Management
Corp. 365,800 16,964
- ---------------------------------------------------------
GROUP TOTAL 33,305
- ---------------------------------------------------------
ENERGY (5.6%)
* Belden & Blake Corp. 40,000 715
Cabot Oil & Gas Corp.,
Class A 63,300 902
Dawson Production Services,
Inc. 135,400 1,523
Eastern Enterprises 127,400 4,523
Energen Corp. 129,100 2,824
Global Industrial
Technologies, Inc. 10,200 245
* International Colin
Energy Corp. 314,200 1,571
Maverick Tube Corp. 115,000 1,351
* Nabors Industries, Inc. 62,200 886
* Newfield Exploration Co. 40,100 1,223
NGC Corp. 33,000 421
* Noble Drilling Corp. 30,000 371
* Nuevo Energy Co. 33,500 963
* Rowan Cos., Inc. 137,800 1,757
* Smith International, Inc. 37,800 954
Southwestern Energy Co. 83,500 1,002
* Tide West Oil Co. 19,700 294
</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)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Weatherford Enterra, Inc. 78,755 $ 2,747
Western Gas Resources, Inc. 29,700 427
Zeigler Coal Holding Co. 41,900 608
- ---------------------------------------------------------
GROUP TOTAL 25,307
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.1%)
Dimon, Inc. 344,700 6,075
Grupo Industrial Maseca, SA
de CV ADR 113,400 1,432
Stokely USA, Inc. 561,300 1,386
Universal Foods Corp. 25,000 628
- ---------------------------------------------------------
GROUP TOTAL 9,521
- ---------------------------------------------------------
HEALTH CARE (10.9%)
Alpharma, Inc. 102,600 2,386
Amylin Pharmaceuticals,
Inc. 30,000 296
Bergen Brunswig Corp.,
Class A 174,600 4,561
Bindley Western Industries,
Inc. 102,400 1,626
Carter-Wallace, Inc. 117,600 1,926
* Cerner Corp. 86,300 2,007
* Community Health Systems,
Inc. 11,400 467
* COR Therapeutics, Inc. 58,200 677
* Datascope Corp. 214,600 5,043
* Haemonetics Corp. 106,200 1,752
Integrated Health Services,
Inc. 10,800 252
* Lincare Holdings, Inc. 23,000 747
Medex, Inc. 14,800 176
* MediSense, Inc. 96,900 4,318
* Multicare Cos., Inc. 133,500 3,788
* OrNda Healthcorp 152,943 4,397
* Perrigo Co. 155,000 2,093
Protocol Systems, Inc. 159,600 2,693
* Regency Health Services,
Inc. 90,200 1,015
ResMed, Inc. 76,800 1,018
* Sierra Health Services,
Inc. 148,000 4,828
* Universal Health
Services, Inc., Class B 36,300 1,928
* Ventritex, Inc. 20,000 308
* Vivra, Inc. 27,000 803
- ---------------------------------------------------------
GROUP TOTAL 49,105
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.1%)
Airborne Freight Corp. 190,900 4,820
* Allied Holdings, Inc. 146,800 1,321
* American Buildings Co. 94,200 2,084
* America West Airlines,
Inc., Class B 100,600 2,150
Belden, Inc. 149,800 4,419
* Career Horizons, Inc. 186,800 5,557
Columbus McKinnon Corp. 94,500 1,512
* Giant Cement Holdings,
Inc. 613,700 7,748
Greenbrier Companies, Inc. 140,800 1,813
* Interim Services, Inc. 53,800 2,058
* Johnstown America
Industries, Inc. 112,500 534
Kelly Services, Inc., Class
A 51,600 1,653
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Keystone International,
Inc. 27,500 $ 619
Martin Marietta Materials,
Inc. 222,400 5,060
* Mesa Airlines, Inc. 38,100 410
* NCI Building Systems,
Inc. 90,700 3,106
Old Dominion Freight Lines,
Inc. 124,700 1,403
* PST Vans, Inc. 110,000 454
Regal Beloit Corp. 82,000 1,722
* Stolt-Nielsen SA ADR 65,000 1,162
Teekay Shipping Corp. 81,600 2,132
Texas Industries, Inc. 25,700 1,635
The Cronos Group 43,000 403
Titan Wheel International,
Inc. 37,600 620
True North Communications,
Inc. 3,900 98
- ---------------------------------------------------------
GROUP TOTAL 54,493
- ---------------------------------------------------------
INSURANCE (3.4%)
Allied Group, Inc. 64,400 2,560
Allied Life Financial Corp. 67,000 1,164
American Bankers Insurance
Group, Inc. 30,000 1,057
Financial Security
Assurance Holdings Ltd. 101,800 2,583
Presidential Life Corp. 195,700 1,810
Protective Life Corp. 46,100 1,556
Transnational Re Corp.,
Class A 87,300 1,910
Washington National Corp. 99,608 2,665
- ---------------------------------------------------------
GROUP TOTAL 15,305
- ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (7.0%)
Associated Estates Realty
Corp. 94,300 1,933
Healthcare Realty Trust,
Inc. 119,700 2,618
Home Properties of N.Y.,
Inc. 378,800 7,529
Liberty Property Trust 8,000 165
National Golf Properties,
Inc. 17,800 452
Oasis Residential, Inc. 122,700 2,884
Patriot American
Hospitality, Inc. 30,400 802
Regency Realty Corp. 47,300 798
ROC Communities, Inc. 180,600 4,244
Smith (Charles E.)
Residential Realty, Inc. 160,000 3,800
South West Property Trust 92,200 1,233
Sun Communities, Inc. 86,500 2,357
Walden Residential
Properties, Inc. 113,600 2,485
- ---------------------------------------------------------
GROUP TOTAL 31,300
- ---------------------------------------------------------
RETAIL (5.8%)
Big B, Inc. 231,000 2,397
* Burlington Industries,
Inc. 149,700 1,890
Cato Corp., Class A 280,800 2,843
* Cone Mills Corp. 21,600 251
Culp, Inc. 115,500 1,256
* Donnkenny, Inc. 41,300 666
* Dress Barn (The), Inc. 27,700 325
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Farah, Inc. 104,000 $ 572
* Galey & Lord, Inc. 84,100 915
Haverty Furniture Co. 98,050 1,336
* Jos. A. Bank Clothiers,
Inc. 222,000 388
* Lechters, Inc. 40,000 200
* Mac Frugals Bargains
Close-outs, Inc. 151,600 2,122
* Max & Erma's Restaurants,
Inc. 64,020 400
Paul Harris Stores, Inc. 273,000 614
Richfood Holdings, Inc. 169,000 4,764
Russell Corp. 45,800 1,225
Shopko Stores, Inc. 59,400 832
Welcome Home, Inc. 95,200 274
* Wickes Lumber Co. 244,600 1,254
Zale Corp. 83,300 1,432
- ---------------------------------------------------------
GROUP TOTAL 25,956
- ---------------------------------------------------------
TECHNOLOGY (13.9%)
Align-Rite International,
Inc. 217,400 2,256
* Amphenol Corp., Class A 87,000 2,034
* Asyst Technologies, Inc. 58,000 1,319
* Brooks Automation, Inc. 99,600 1,121
* C.I.S. Technologies, Inc. 45,000 96
* Credence Systems Corp. 198,000 3,316
* Cypress Semiconductor
Corp. 42,000 493
Dallas Semiconductor Corp. 25,500 469
Data Processing Resources
Corp. 18,000 495
* Dionex Corp. 151,600 5,363
* Electro Scientific
Industries, Inc. 29,300 546
* FIserv, Inc. 110,000 3,080
* FSI International, Inc. 37,000 430
* GaSonics International
Corp. 36,400 337
HMT Technology Corp. 365,900 3,819
Innovex, Inc. 75,000 1,022
* Integrated Silicon
Solution, Inc. 29,000 384
Investors Financial
Services Corp. 15,000 328
* IPC Information Systems,
Inc. 93,300 2,193
* Kemet Corp. 90,600 2,050
* KLA Instruments Corp. 120,600 2,729
MacNeal-Schwendler Corp. 30,000 427
* Network Equipment
Technologies, Inc. 162,800 4,945
* Norstan, Inc. 53,300 1,429
* Nu Horizons Electronics
Corp. 29,800 406
* PRI Automation, Inc. 50,000 1,225
* Progress Software Corp. 83,400 1,251
* Quickturn Designs
Systems, Inc. 137,300 1,493
* S3, Inc. 259,600 3,099
@* Sterling Software, Inc. 6,951 --
StorMedia, Inc. 163,500 3,801
* Symantec Corp. 35,300 446
* Tencor Instruments 20,000 360
* Teradyne, Inc. 25,400 425
* Trident Microsystems,
Inc. 20,000 285
* Unit Instruments, Inc. 166,500 2,331
Vanstar Corp. 300,000 3,037
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Western Digital Corp. 186,700 $ 3,594
Wyle Electronics 5,000 173
- ---------------------------------------------------------
GROUP TOTAL 62,607
- ---------------------------------------------------------
UTILITIES (2.2%)
Commonwealth Energy Systems 123,000 5,750
MidAmerican Energy Co. 22,200 397
Rochester Gas & Electric
Corp. 176,800 3,823
- ---------------------------------------------------------
GROUP TOTAL 9,970
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $427,646) 447,584
- ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- ---------------------------------------------------------
Allstate Corp.
6.76%, 1998
(Cost $280) 7,100 277
- ---------------------------------------------------------
CASH EQUIVALENTS (0.3%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (0.3%)
The Chase Manhattan Bank,
N.A. 5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $1,461,
collateralized by various
U.S. Government
Obligations,
due 5/31/96-5/31/97,
valued at $1,473
(Cost $1,460) $ 1,460 1,460
- ---------------------------------------------------------
TOTAL INVESTMENTS (99.8%) (Cost
$429,386) 449,321
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.2%)
Cash 1
Dividends Receivable 634
Interest Receivable 1
Receivable for Fund Shares Sold 248
Receivable for Investments Sold 4,368
Payable for Fund Shares Redeemed (46)
Payable for Investments Purchased (3,398)
Payable for Investment Advisory Fees (813)
Payable for Administrative Fees (30)
Other Liabilities (41)
--------
924
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 26,559,261 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $450,245
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.95
- ---------------------------------------------------------
dag. 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.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SELECT EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Select Equity Portfolio follows the policies of the Equity Portfolio with
the investment restriction that it not invest in companies listed as of August
31, 1993 by the Investor Responsibility Research Center as having direct
investment or employees in South Africa. This portfolio is not currently open to
new investors.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
---------------------------------
<S> <C> <C>
SIX MONTHS 10.8% 11.7 %
ONE YEAR 30.0 32.1
FIVE YEARS 14.6 14.7
SINCE INCEPTION 15.8 15.3
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Select Equity Portfolio from exceeding
0.61% of average daily net assets.
* Returns since inception on 2/26/88 to 3/31/96 for the Select Equity Portfolio
are compared to the S&P 500 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (91.5%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BANKS (6.4%)
Barnett Banks of Florida, Inc. 1,900 $ 118
Boatmen's Bancshares, Inc. 3,900 153
Chase Manhattan Corp. 7,000 494
Citicorp 3,100 248
Comerica, Inc. 3,700 155
First Chicago NBD Corp. 6,816 283
First Union Corp. 6,061 367
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
NationsBank Corp. 6,057 $ 485
SunTrust Banks, Inc. 1,800 126
- ---------------------------------------------------------
GROUP TOTAL 2,429
- ---------------------------------------------------------
BASIC RESOURCES (2.7%)
Bowater, Inc. 3,900 145
Champion International Corp. 3,300 149
Dow Chemical Co. 4,300 374
W.R. Grace & Co. 4,600 360
- ---------------------------------------------------------
GROUP TOTAL 1,028
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (4.8%)
Avon Products, Inc. 6,500 557
PepsiCo, Inc. 11,800 746
Procter & Gamble Co. 6,200 526
- ---------------------------------------------------------
GROUP TOTAL 1,829
- ---------------------------------------------------------
CONSUMER DURABLES (3.8%)
Chrysler Corp. 7,500 467
Eastman Kodak Co. 1,800 128
General Motors Corp. 10,640 566
Goodyear Tire & Rubber Co. 6,000 306
- ---------------------------------------------------------
GROUP TOTAL 1,467
- ---------------------------------------------------------
CONSUMER SERVICES (4.3%)
Harcourt General, Inc. 800 36
ITT Corp. (New) 3,300 198
News Corp. Limited ADR 12,200 247
Service Corp. International 4,400 214
* Tele-Communications, Inc.,
Class A 12,800 238
Tele-Communications Liberty
Media Group, Class A 6,950 183
Time Warner, Inc. 6,428 263
U.S. West Media Group 7,200 149
Walt Disney Co. 2,000 128
- ---------------------------------------------------------
GROUP TOTAL 1,656
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.0%)
Federal Home Loan Mortgage
Corp. 2,100 179
Transamerica Corp. 2,619 196
- ---------------------------------------------------------
GROUP TOTAL 375
- ---------------------------------------------------------
ENERGY (4.3%)
Atlantic Richfield Co. 2,100 250
Coastal Corp. 6,500 257
El Paso Natural Gas Co. 2,500 92
Kerr-McGee Corp. 6,200 394
Mobil Corp. 5,800 672
- ---------------------------------------------------------
GROUP TOTAL 1,665
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
FOOD, TOBACCO & OTHER (7.0%)
American Brands, Inc. 6,900 $ 292
ConAgra, Inc. 9,400 382
Philip Morris Cos., Inc. 13,000 1,141
Ralston Purina Group 2,900 194
RJR Nabisco Holdings Corp. 10,800 327
UST, Inc. 10,300 328
- ---------------------------------------------------------
GROUP TOTAL 2,664
- ---------------------------------------------------------
HEALTH CARE (10.3%)
American Home Products Corp. 4,600 499
Baxter International, Inc. 4,851 219
Becton, Dickinson & Co. 13,700 1,122
Columbia/HCA Healthcare Corp. 5,160 298
* Humana, Inc. 10,500 264
Mallinckrodt Group, Inc. 3,900 147
Merck & Co., Inc. 19,500 1,214
U.S. Healthcare, Inc. 4,000 183
- ---------------------------------------------------------
GROUP TOTAL 3,946
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.7%)
* AMR Corp. 5,800 519
Burlington Northern, Inc. 4,191 344
Cooper Industries, Inc. 4,900 191
Eaton Corp. 3,200 193
General Electric Co. 7,200 561
Tenneco, Inc. 3,300 184
Textron, Inc. 2,500 200
Trinova Corp. 5,700 182
Union Pacific Corp. 6,700 460
WMX Technologies, Inc. 3,000 95
- ---------------------------------------------------------
GROUP TOTAL 2,929
- ---------------------------------------------------------
INSURANCE (5.4%)
Ace, Ltd. 5,200 232
Aetna Life & Casualty Co. 6,100 461
AFLAC, Inc. 6,000 188
Allstate Corp. 3,400 143
Exel Ltd. 5,700 393
ITT Hartford Group, Inc. 11,500 563
Marsh & McLennan, Inc. 1,000 93
- ---------------------------------------------------------
GROUP TOTAL 2,073
- ---------------------------------------------------------
MID CAP GROWTH (4.2%)
* Airgas, Inc. 600 24
American List Corp. 200 6
* American Mobile Satellite
Corp. 700 12
* Apollo Group, Inc., Class A 600 23
Ascent Entertainment Group,
Inc. 900 13
Boise Cascade Office Products
Corp. 150 10
* Borland International, Inc. 1,200 22
* Boston Chicken, Inc. 450 15
Cardinal Health, Inc. 400 26
* Ceridian Corp. 400 17
Charter Power Systems, Inc. 600 16
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Cintas Corp. 450 $ 22
Comcast Corp., Class A Special 3,425 61
* Comcast UK Cable Partners 1,400 18
Danaher Corp. 950 35
Delta & Pine Land Co. 200 11
* DSP Communications, Inc. 800 20
EchoStar Communications Corp.,
Class A 300 10
* Eckerd Corp. 400 19
* EmCare Holdings, Inc. 400 11
* FIserv, Inc. 350 10
Frontier Corp. 1,000 31
* Gartner Group, Inc., Class A 300 18
* Gilat Satellite Networks,
Ltd. 600 15
* Glenayre Technologies, Inc. 1,275 49
* Globalstar
Telecommunications Ltd. 800 42
Gucci Group N.V.
(New York Shares) 300 14
Guidant Corp. 400 22
* Health Management
Associates, Inc., Class A 1,912 67
* HealthCare COMPARE Corp. 300 15
* Infinity Broadcasting Corp.,
Class A 400 17
* International Cabletel, Inc. 733 22
* Kemet Corp. 800 18
* Kent Electronics Corp. 500 18
Lin Television Corp. 300 11
* Lincare Holdings, Inc. 400 13
Livent, Inc. 500 4
Loral Corp. 900 44
* McAfee Associates, Inc. 450 25
* MFS Communications Co., Inc. 300 19
* Millicom International
Cellular SA 600 26
Money Store (The), Inc. 1,000 28
* Newbridge Networks Corp. 400 23
Oak Technology, Inc. 600 13
Orange plc ADR 500 9
* Orthodontic Centers of
America, Inc. 500 15
* Paging Network, Inc. 700 17
* Palmer Wireless, Inc. 500 10
PanAmSat Corp. 1,000 30
* Papa John's International,
Inc. 250 11
Paychex, Inc. 350 20
Pediatrix Medical Group, Inc. 200 7
Pete's Brewing Co. 1,000 19
PhyMatrix Corp. 600 14
PMI Group, Inc. 350 15
Post Properties, Inc. 300 10
* Robert Mondavi Corp., Class
A 800 21
* Scholastic Corp. 300 21
Security Capital Industrial
Trust 500 9
Security Capital Pacific Trust 700 15
Sinclair Broadcast Group, Inc. 600 16
Sirrom Capital Corp. 1,000 23
Spacehab, Inc. 1,100 16
* Staples, Inc. 1,125 23
Stewart Enterprises, Inc.,
Class A 550 23
Stolt-Nielsen SA ADR 900 16
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SELECT EQUITY
PORTFOLIO VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Tele-Communications, Inc.,
Class A 1,200 $ 22
Tele-Communications
International, Inc., Class A 700 15
Tele-Communications Liberty
Media Group, Class A 1,441 38
* Tellabs, Inc. 400 19
* Tommy Hilfiger Corp. 450 21
Total Renal Care Holdings,
Inc. 600 19
* Transaction Systems
Architect, Inc., Class A 400 16
* United International
Holdings, Inc., Class A 600 10
* United Video Satellite Group 1,600 34
* U.S. Robotics Corp. 150 19
* USA Detergents, Inc. 700 23
UUNET Technologies, Inc. 600 15
* Viking Office Products, Inc. 400 22
Wolverine World Wide, Inc. 600 17
- ---------------------------------------------------------
GROUP TOTAL 1,605
- ---------------------------------------------------------
MULTI-INDUSTRY (2.0%)
S&P 500 Depositary Receipt 11,700 755
- ---------------------------------------------------------
RETAIL (5.3%)
Circuit City Stores, Inc. 5,000 149
* Federated Department Stores,
Inc. 11,300 365
Home Depot, Inc. 7,500 359
* Kroger Co. 5,800 235
* Office Depot, Inc. 3,300 65
OfficeMax, Inc. 4,950 120
Sears, Roebuck & Co. 11,100 541
Wendy's International, Inc. 10,600 192
- ---------------------------------------------------------
GROUP TOTAL 2,026
- ---------------------------------------------------------
TECHNOLOGY (4.8%)
* Cisco Systems, Inc. 8,400 389
Intel Corp. 5,100 290
International Business
Machines Corp. 2,900 322
Motorola, Inc. 2,600 138
* Oracle System Corp. 3,450 163
* Seagate Technology, Inc. 5,100 279
* U.S. Robotics Corp. 1,800 233
- ---------------------------------------------------------
GROUP TOTAL 1,814
- ---------------------------------------------------------
UTILITIES (6.7%)
DTE Energy Co. 3,800 128
Entergy Corp. 6,200 174
Frontier Corp. 12,300 387
GTE Corp. 7,900 347
NYNEX Corp. 7,500 374
Ohio Edison Co. 6,900 156
PECO Energy Co. 4,200 112
Sprint Corp. 10,900 414
360 Communications Co. 3,633 87
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Unicom Corp. 6,500 $ 175
U.S. West, Inc. 5,700 184
- ---------------------------------------------------------
GROUP TOTAL 2,538
- ---------------------------------------------------------
VALUE (10.8%)
Allstate Corp. 648 27
American General Corp. 1,600 55
American Re Corp. 800 32
Amoco Corp. 400 29
* AMR Corp. 400 36
Anheuser-Busch Cos., Inc. 300 20
Archer Daniels Midland Co. 1,890 35
Atlantic Richfield Co. 300 36
Bank of Boston Corp. 932 46
Bergen Brunswig Corp., Class A 1,700 44
Bob Evans Farms, Inc. 1,100 18
Boise Cascade Corp. 3,100 130
Burlington Northern, Inc. 700 58
Cabot Corp. 600 18
Capital One Financial Corp. 1,102 30
Central Maine Power Co. 2,100 30
Chase Manhattan Corp. 600 42
Citicorp 300 24
* Compaq Computer Corp. 2,200 85
Crestar Financial Corp. 633 36
CSX Corp. 1,100 50
Cyprus Amax Minerals Co. 1,100 31
Dean Witter Discover & Co. 500 29
Dexter Corp. 1,000 27
Dillard Department Stores,
Inc., Class A 1,600 55
@ Earthgrains Co. 12 --
Eaton Corp. 1,000 60
El Paso Natural Gas Co. 1,100 41
* EMC Corp. 1,200 26
Entergy Corp. 698 20
Federal Home Loan Mortgage
Corp. 400 34
Federal National Mortgage
Association 3,900 124
First Chicago NBD Corp. 900 37
First of America Bank Corp. 1,048 49
First Union Corp. 300 18
Fleet Financial Group, Inc. 535 22
* FMC Corp. 300 23
* Foundation Health Corp. 2,500 95
General Motors Corp. 2,384 127
General Public Utilities Corp. 1,700 56
Goodyear Tire & Rubber Co. 2,900 148
Great Western Financial Corp. 2,239 54
* Horizon/CMS Healthcare Corp. 1,000 14
IBP, Inc. 1,800 46
IMC Global, Inc. 800 29
Inland Steel Industries, Inc. 1,200 30
International Business
Machines Corp. 1,100 122
* Lam Research Corp. 1,100 38
Mallinckrodt Group, Inc. 1,400 53
MAPCO, Inc. 1,000 56
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* National Semiconductor Corp. 6,800 $ 94
Northern Trust Corp. 200 11
PECO Energy Co. 1,600 43
PHH Corp. 900 50
Philip Morris Cos., Inc. 1,600 140
Providian Corp. 1,500 67
Reebok International Ltd. 800 22
Reynolds Metals Co. 700 41
RJR Nabisco Holdings Corp. 1,200 36
Ryder Systems, Inc. 1,600 44
SAFECO Corp. 600 20
* Seagate Technology, Inc. 1,100 60
Signet Banking Corp. 521 13
Sprint Corp. 1,000 38
St. Paul Cos., Inc. 700 39
Standard Register Co. 700 17
Tandy Corp. 1,200 55
TCF Financial Corp. 600 22
Tecumseh Products Co., Class A 900 53
Tektronix, Inc. 600 20
Telefonica de Espana ADR 1,000 47
* Tenet Healthcare Corp. 2,200 46
Tenneco, Inc. 1,300 73
Texas Instruments, Inc. 2,000 102
Textron, Inc. 1,300 104
Torchmark Corp. 600 27
* Toys R Us, Inc. 1,800 49
Trinova Corp. 2,500 80
TRW, Inc. 400 36
Ultramar Corp. 2,600 75
* Varity Corp. 1,200 52
V.F. Corp. 700 39
* Western Digital Corp. 2,200 42
YPF SA ADR 5,400 109
- ---------------------------------------------------------
GROUP TOTAL 4,111
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $29,133) 34,910
- ---------------------------------------------------------
CASH EQUIVALENTS (8.2%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (1.0%) $ 372 372
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (7.2%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96, due
4/1/96, to be repurchased at
$2,751, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$2,777 $2,750 $ 2,750
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $3,122) 3,122
- ---------------------------------------------------------
TOTAL INVESTMENTS (99.7%) (Cost $32,255) 38,032
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.3%)
Dividends Receivable 86
Interest Receivable 1
Receivable for Fund Shares
Sold 200
Receivable for Investments
Sold 304
Payable for Investments
Purchased (44)
Payable for Investment Advisory Fees (36)
Payable for Administrative
Fees (3)
Collateral on Securities
Loaned, at Value (372)
Other Liabilities (13)
-------
123
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 3,017,880 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $38,155
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.64
- ---------------------------------------------------------
dag. 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.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Equity Portfolio is Miller Anderson & Sherrerd's core
international stock fund, investing in more than 100 different companies from
over 30 countries. MAS focuses on absolute and relative measures of value, risk
control through diversification, and control of the costs of investing abroad.
MAS analyzes key influences on international investment results and employs a
proprietary valuation process and liquidity indicators to determine country
weightings and select individual stocks. Exposure to foreign currency is
actively managed and hedged when appropriate.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 6.3 % 7.2 %
ONE YEAR 12.8 12.6
FIVE YEARS 7.9 8.3
SINCE INCEPTION 8.1 4.4
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 11/25/88 to 3/31/96 for the International Equity
Portfolio are compared to the MSCI World Ex-U.S. Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (85.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
ARGENTINA (1.2%)
Banco Frances del Rio de
la Plata SA ADR 109,020 $ 2,984
* CIADEA SA 491,393 2,261
* Comercial del Plata SA 488,420 1,319
Quilmes Industrial SA
ADR 190,500 2,048
- ---------------------------------------------------------
GROUP TOTAL 8,612
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
AUSTRALIA (0.5%)
Broken Hill Proprietary
Co., Ltd. 56,280 $ 801
National Australia Bank
Ltd. 87,800 782
Qantas Airways Ltd. 479,500 851
Reinsurance Australia
Corp., Ltd. 380,200 876
- ---------------------------------------------------------
GROUP TOTAL 3,310
- ---------------------------------------------------------
AUSTRIA (0.9%)
Boehler-Uddeholm AG 84,800 6,589
- ---------------------------------------------------------
BRAZIL (0.6%)
Telebras SA 111,700,000 4,422
- ---------------------------------------------------------
CANADA (1.5%)
Abitibi-Price, Inc. 228,500 3,081
Finning Ltd. 84,000 1,372
ddag. Four Seasons Hotels,
Inc. 80,100 1,234
Royal Bank of Canada 223,500 5,228
- ---------------------------------------------------------
GROUP TOTAL 10,915
- ---------------------------------------------------------
COLOMBIA (0.1%)
Banco Ganadero SA ADR 63,700 940
- ---------------------------------------------------------
FRANCE (5.1%)
Accor SA 45,900 6,921
Credit Local de France 85,619 6,709
Elf Acquitaine 106,740 7,242
PSA Peugeot Citroen 51,350 7,835
Usinor Sacilor 478,800 7,833
- ---------------------------------------------------------
GROUP TOTAL 36,540
- ---------------------------------------------------------
GERMANY (4.6%)
Deutsche Bank AG 120,170 6,042
ddag. Hoechst AG 20,180 7,162
Munich Reinsurance AG 3,163 6,609
SGL Carbon AG 60,570 5,834
Siemens AG 12,880 7,065
Springer (Axel) Verlag
AG 123 81
- ---------------------------------------------------------
GROUP TOTAL 32,793
- ---------------------------------------------------------
GREECE (0.4%)
Nikas SA 178,550 2,818
- ---------------------------------------------------------
HONG KONG (3.3%)
Cheung Kong Holdings
Ltd. 434,900 3,065
Hang Seng Bank Ltd. 281,100 2,871
Hong Kong & China Gas
Co. Ltd. 1,514,100 2,985
Hong Kong Land Holdings
Ltd. 1,981,600 4,756
Hong Kong
Telecommunications Ltd. 1,486,500 2,970
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Jardine Strategic
Holdings Ltd. 1,357,950 $ 4,291
Johnson Electric
Holdings Ltd. 1,196,000 2,428
Varitronix International
Ltd. 108,400 199
- ---------------------------------------------------------
GROUP TOTAL 23,565
- ---------------------------------------------------------
INDIA (0.9%)
Hindustan Lever Ltd. 50,100 1,049
Housing Development
Finance Corp. Ltd. 12,480 1,193
ITC Ltd. 133,000 891
Mahanagar Telephone
Nigam Ltd. 250,000 1,313
Tata Power Supply Co.
Ltd. 226,750 976
Videsh Sanchar Nigam
Ltd. 45,000 1,361
- ---------------------------------------------------------
GROUP TOTAL 6,783
- ---------------------------------------------------------
INDONESIA (1.0%)
Bank Dagang Nasional
(Foreign) 1,187,250 1,029
Indofood Sukses Makmur 143,000 668
Kalbe Farma (Foreign) 284,080 866
* Lippo Life Insurance
(Foreign) 401,000 1,716
Matahari Putra Prima
(Foreign) 515,500 1,125
Unilever Indonesia
(Foreign) 87,036 1,415
- ---------------------------------------------------------
GROUP TOTAL 6,819
- ---------------------------------------------------------
IRELAND (1.0%)
Irish Life plc 1,742,000 7,096
- ---------------------------------------------------------
ITALY (2.0%)
ENI S.p.A. 1,825,000 6,630
* Olivetti Group 14,565,000 7,480
- ---------------------------------------------------------
GROUP TOTAL 14,110
- ---------------------------------------------------------
JAPAN (32.9%)
Canon, Inc. 463,000 8,833
Canon Sales Co., Inc. 251,450 6,678
Chiyoda Fire & Marine
Insurance Co., Ltd. 963,000 5,854
Daiwa House Industry 461,000 7,243
DDI Corp. 1,000 7,622
Fuji Photo Film Ltd. 265,000 7,583
Hitachi Ltd. 1,314,000 12,780
ddag. Ito-Yokado Co., Ltd. 173,000 10,273
Kao Corp. 762,000 9,478
Kirin Brewery Co., Ltd. 1,004,000 12,112
Matsushita Electric
Industries Ltd. 467,000 7,599
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Mitsubishi Corp. 176,000 $ 2,304
Mitsubishi Heavy
Industries Ltd. 920,000 7,950
Mitsui & Co. 1,012,000 9,171
NEC Corp. 801,000 9,289
Nichido Fire & Marine
Insurance Co. 794,850 5,984
Nippon Fire & Marine
Insurance Co. 1,106,000 6,847
Nippon Oil Co., Ltd. 1,147,000 7,326
* NKK Corp. 1,361,000 3,933
Sekisui Chemical Co. 464,000 6,075
Shiseido Co., Ltd. 725,000 8,543
Sumitomo Electric
Industries 568,000 7,649
Sumitomo Marine & Fire
Insurance Co. 1,141,000 9,796
Sumitomo Metal 1,148,000 3,597
Takeda Chemical
Industries 503,000 7,856
Tokio Marine & Fire
Insurance 793,000 10,308
Tostem Corp. 128,000 3,998
ddag. Yamanouchi
Pharmaceutical Co. 414,000 9,215
Yasuda Fire & Marine
Insurance 1,251,000 9,324
Yasuda Trust & Banking
Co. 1,422,000 8,737
- ---------------------------------------------------------
GROUP TOTAL 233,957
- ---------------------------------------------------------
KOREA (0.6%)
Hanjin Shipping Co.,
Ltd. 27,860 844
* Hanjin Shipping Co.,
Ltd. RFD 2,755 83
L.G. Chemical Ltd. 61,740 1,145
Samsung Electronics 12,040 1,416
* Samsung Electronics RFD 4,161 490
- ---------------------------------------------------------
GROUP TOTAL 3,978
- ---------------------------------------------------------
MALAYSIA (1.2%)
Malayan Banking Bhd. 179,000 1,670
Nestle Malaysia Bhd. 149,000 1,325
Renong Bhd. 1,580,000 2,574
United Engineers Bhd. 186,000 1,287
YTL Corp. Bhd. 322,500 1,555
- ---------------------------------------------------------
GROUP TOTAL 8,411
- ---------------------------------------------------------
MEXICO (0.4%)
Grupo Financiero Capital
SA 761,325 2,361
* Tubos de Acero de Mexico
SA 33,000 262
- ---------------------------------------------------------
GROUP TOTAL 2,623
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
NETHERLANDS (2.5%)
Internationale
Nederlanden N.V. 81,195 $ 5,899
Royal PTT Nederland N.V. 143,400 5,643
Vendex International
N.V. 211,700 6,062
- ---------------------------------------------------------
GROUP TOTAL 17,604
- ---------------------------------------------------------
NEW ZEALAND (0.2%)
Fletcher Challenge
Building 172,500 424
Fletcher Challenge
Energy 172,500 369
Fletcher Challenge Paper 345,000 643
- ---------------------------------------------------------
GROUP TOTAL 1,436
- ---------------------------------------------------------
NORWAY (1.2%)
Christiania Bank OG
Kreditkasse 3,596,700 8,359
- ---------------------------------------------------------
PAKISTAN (0.0%)
Pakistan State Oil Co.,
Ltd. 13,000 114
- ---------------------------------------------------------
PHILIPPINES (0.8%)
Ayala Land, Inc., Class
B 962,000 1,564
(dag.)* Benpres Holdings
Corp. GDR 220,000 1,430
* Philippine Commercial
International Bank 169,400 1,944
San Miguel Corp., Class
B 303,400 1,022
- ---------------------------------------------------------
GROUP TOTAL 5,960
- ---------------------------------------------------------
SINGAPORE (2.1%)
DBS Land Ltd. 546,000 2,095
Fraser & Neave Ltd. 325,200 3,675
Oversea-Chinese Banking
Corp. Ltd. 271,000 3,640
Overseas Union Bank Ltd. 763,000 5,422
- ---------------------------------------------------------
GROUP TOTAL 14,832
- ---------------------------------------------------------
SOUTH AFRICA (0.1%)
Anglovaal Industries
Ltd. 16,600 639
- ---------------------------------------------------------
SPAIN (2.5%)
Argentaria SA 198,100 8,379
Repsol SA 245,500 9,257
- ---------------------------------------------------------
GROUP TOTAL 17,636
- ---------------------------------------------------------
SWEDEN (2.6%)
Nordbanken AB 367,800 6,077
SKF AB, Class B 290,900 6,416
Sparbanken Sverige AB,
Class A 568,600 6,377
- ---------------------------------------------------------
GROUP TOTAL 18,870
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
SWITZERLAND (2.7%)
Ciba-Geigy AG
(Registered) 8,010 $ 10,021
* Swissair AG (Registered) 8,475 8,901
- ---------------------------------------------------------
GROUP TOTAL 18,922
- ---------------------------------------------------------
TAIWAN (1.4%)
* Acer, Inc. 494,000 970
Evergreen Marine Corp. 1,214,900 2,118
* Taiwan Semiconductor
Manufacturing Co. 2,509,800 6,909
- ---------------------------------------------------------
GROUP TOTAL 9,997
- ---------------------------------------------------------
TURKEY (0.4%)
Netas-Northern Elektrik
Telekomunkasyon AS 4,100,000 1,266
Tat Konserve Sanayii AS 2,210,000 1,350
- ---------------------------------------------------------
GROUP TOTAL 2,616
- ---------------------------------------------------------
UNITED KINGDOM (10.5%)
Abbey National plc 837,900 7,204
British Gas plc 2,121,000 7,394
ddag. British Petroleum Co.
plc 1,007,000 8,811
* Cordiant plc 4,841,000 9,380
Imperial Chemical
Industries plc 707,600 9,975
National Grid Group plc 2,648,041 7,858
Redland plc 1,396,300 8,032
Royal Insurance Holdings
plc 1,393,100 7,524
Tate & Lyle plc 1,141,200 8,488
- ---------------------------------------------------------
GROUP TOTAL 74,666
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $567,590) 605,932
- ---------------------------------------------------------
PREFERRED STOCKS (0.5%)
- ---------------------------------------------------------
BRAZIL (0.5%)
* Cia Energetica de Minas
Gerais (Cost $2,878) 120,000,000 3,366
- ---------------------------------------------------------
RIGHTS (0.0%)
- ---------------------------------------------------------
MALAYSIA (0.0%)
@* Renong Bhd., expiring
4/18/96 (Cost $0) 316,000 --
- ---------------------------------------------------------
WARRANTS (0.3%)
- ---------------------------------------------------------
GERMANY (0.3%)
* Veba AG, expiring 4/6/98 9,229 2,035
- ---------------------------------------------------------
HONG KONG (0.0%)
* Jardine Strategic
Holdings Ltd., expiring
5/2/98 57,750 22
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
MALAYSIA (0.0%)
@* Renong Bhd., expiring
2/18/97 197,500 $ --
- ---------------------------------------------------------
TOTAL WARRANTS (Cost $1,798) 2,057
- ---------------------------------------------------------
FIXED INCOME SECURITIES (0.3%)
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
------------ -------
GERMANY (0.3%)
+ Bundesschatzan-
weisungen 7.125%,
11/21/96
(Cost $2,370) Aaa DEM 3,410 2,364
- ---------------------------------------------------------
FOREIGN CURRENCY (2.2%)
- ---------------------------------------------------------
British Pound
GBP 8 13
French Franc
FRF 38,632 7,675
German Mark
DEM 4,395 2,977
Indian Rupee
INR 93,067 2,745
Indonesian Rupiah
IDR 726,230 311
@ Italian Lira
ITL 19 --
Japanese Yen
JPY 8,260 77
Malaysian Ringgit
MYR 13 5
Philippine Peso
PHP 17,923 686
Singapore Dollar
SGD 27 19
@ Spanish Peseta
ESP 14 --
Sri Lankan Rupee
LKR 169 3
Swedish Krona
SEK 9,238 1,381
Taiwan Dollar
TWD 1,817 67
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $15,944) 15,959
- ---------------------------------------------------------
CASH EQUIVALENTS (22.9%)
- ---------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(11.5%) $ 81,547 81,547
- ---------------------------------------------------------
REPURCHASE AGREEMENT (11.4%)
The Chase Manhattan
Bank, N.A. 5.35%, dated
3/29/96, due 4/1/96, to
be repurchased at
$81,182, collateralized
by various U.S.
Government Obligations,
due 5/31/96-5/31/97,
valued at $81,956 81,146 81,146
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $162,693) 162,693
- ---------------------------------------------------------
TOTAL INVESTMENTS (111.4%) (Cost
$753,273) 792,371
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-11.4%)
Dividends Receivable $ 2,198
Interest Receivable 96
Receivable for Withholding Tax Reclaim 500
Receivable for Fund Shares Sold 531
Receivable for Investments Sold 13,002
Receivable for Daily Variation on
Futures Contracts 3,883
Unrealized Gain on Forward Foreign
Currency Contracts 520
Payable for Fund Shares Redeemed (314)
Payable for Investments Purchased (19,085)
Payable for Investment Advisory Fees (871)
Payable for Administrative Fees (47)
Payable for Custody Fees (181)
Collateral on Securities Loaned, at
Value (81,547)
Other Liabilities (50)
--------
(81,365)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 55,002,836 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $711,006
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.93
- ---------------------------------------------------------
dag. See Note A1 to Financial Statements.
* Non-income producing security.
ddag.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.
(dag.) 144A security. Certain conditions for public sale
may exist.
@ Value is less than $500.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
RFD Ranked for Dividend.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Growth Portfolio invests in the common stock of small and
medium-sized companies with superior long-term earnings-growth potential and
rising earnings estimates. Miller Anderson & Sherrerd's four-part process
combines quantitative, fundamental and valuation analyses with a strict sell
discipline. A quantitative screen sorts the stocks in each sector into quintiles
based on estimate revision. The Portfolio focuses on stocks that place in the
top two quintiles. MAS then conducts fundamental research on purchase
candidates, seeking strong sales growth, rising profit margins and high returns
on capital. Qualitative measures, including management quality and strategic
positioning, are also reviewed. This fundamental analysis is coupled with
valuation analysis to weed out the most overvalued securities. Holdings are sold
when they fall into the two bottom earnings-estimate-revision quintiles, when
our fundamental research uncovers unfavorable trends or when their valuations
exceed the level that we believe is reasonable given their growth prospects.
<TABLE>
- ---------------------------------------------------------
<CAPTION>
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
------------------------------
<S> <C> <C>
SIX MONTHS 17.4% 7.7 %
ONE YEAR 43.8 28.5
FIVE YEARS 18.2 15.8
SINCE INCEPTION 20.5 16.6
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 3/30/90 to 3/31/96 for the Mid Cap Growth Portfolio
are compared to the S&P Mid-Cap 400 Index, an unmanaged market index. Returns
for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (93.7%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BASIC RESOURCES (1.1%)
* Airgas, Inc. 120,700 $ 4,798
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (5.2%)
Estee Lauder Cos., Class A 196,000 7,007
Pete's Brewing Co. 233,900 4,386
* Robert Mondavi Corp.,
Class A 182,600 4,702
* USA Detergents, Inc. 165,000 5,362
- ---------------------------------------------------------
GROUP TOTAL 21,457
- ---------------------------------------------------------
CONSUMER DURABLES (1.9%)
Danaher Corp. 207,900 7,692
- ---------------------------------------------------------
CONSUMER SERVICES (20.3%)
* Apollo Group, Inc., Class
A 150,000 5,850
Ascent Entertainment
Group, Inc. 200,000 3,000
Comcast Corp., Class A
Special 391,073 6,917
* Comcast UK Cable Partners 319,400 4,032
EchoStar Communications
Corp., Class A 75,000 2,531
* Infinity Broadcasting
Corp., Class A 99,400 4,312
* International Cabletel,
Inc. 151,867 4,575
Lin Television Corp. 86,400 3,046
Livent, Inc. 106,000 861
PanAmSat Corp. 237,500 7,244
* Scholastic Corp. 75,500 5,191
Sinclair Broadcast Group,
Inc. 146,500 3,882
Stewart Enterprises, Inc.,
Class A 132,750 5,675
* Tele-Communications, Inc.,
Class A 288,700 5,359
Tele-Communications
International, Inc.,
Class A 178,300 3,811
Tele-Communications
Liberty Media Group,
Class A 326,755 8,618
* United International
Holdings, Inc., Class A 188,500 3,016
* United Video Satellite
Group 288,200 6,052
- ---------------------------------------------------------
GROUP TOTAL 83,972
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT
COMPANIES (2.8%)
Money Store (The), Inc. 230,000 6,412
Sirrom Capital Corp. 235,900 5,396
- ---------------------------------------------------------
GROUP TOTAL 11,808
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
FOOD, TOBACCO & OTHER (0.7%)
Delta & Pine Land Co. 51,733 $ 2,878
- ---------------------------------------------------------
HEALTH CARE (12.4%)
Cardinal Health, Inc. 103,600 6,656
* CONMED Corp. 81,000 1,985
* EmCare Holdings, Inc. 91,300 2,477
Guidant Corp. 100,000 5,412
* Health Management
Associates, Class A 446,755 15,636
* HealthCare COMPARE Corp. 57,100 2,876
* Lincare Holdings, Inc. 100,000 3,250
* Orthodontic Centers of
America, Inc. 130,000 3,900
Pediatrix Medical Group,
Inc. 53,000 1,882
PhyMatrix Corp. 151,500 3,447
Total Renal Care Holdings,
Inc. 130,000 4,046
- ---------------------------------------------------------
GROUP TOTAL 51,567
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.4%)
American List Corp. 53,000 1,670
Boise Cascade Office
Products Corp. 39,900 2,608
Charter Power Systems,
Inc. 151,300 4,085
Cintas Corp. 110,600 5,530
* Gartner Group, Inc., Class
A 58,700 3,581
Loral Corp. 188,500 9,236
Paychex, Inc. 86,400 5,054
Spacehab, Inc. 260,000 3,705
Stolt-Nielsen SA ADR 200,000 3,575
- ---------------------------------------------------------
GROUP TOTAL 39,044
- ---------------------------------------------------------
INSURANCE (0.9%)
PMI Group, Inc. 81,500 3,556
- ---------------------------------------------------------
REAL ESTATE INVESTMENT COMPANIES (2.4%)
Post Properties, Inc. 92,500 3,006
Security Capital
Industrial Trust 174,133 3,047
Security Capital Pacific
Trust 169,529 3,730
- ---------------------------------------------------------
GROUP TOTAL 9,783
- ---------------------------------------------------------
RETAIL (9.5%)
* Boston Chicken, Inc. 105,200 3,583
* Eckerd Corp. 88,800 4,273
Gucci Group N.V.
(New York Shares) 128,700 6,178
* Orchard Supply Hardware
Stores Corp. 100,000 2,363
* Papa John's International,
Inc. 68,250 3,046
* Staples, Inc. 262,500 5,348
* Tommy Hilfiger Corp. 102,900 4,721
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Viking Office Products,
Inc. 105,300 $ 5,857
Wolverine World Wide, Inc. 140,000 3,920
- ---------------------------------------------------------
GROUP TOTAL 39,289
- ---------------------------------------------------------
TECHNOLOGY (15.6%)
* Borland International,
Inc. 275,000 4,950
Celeritek, Inc. 150,000 1,566
* Ceridian Corp. 90,600 3,896
Data Broadcasting Corp. 160,600 1,706
* DSP Communications, Inc. 183,800 4,595
* FIserv, Inc. 100,700 2,819
* Gilat Satellite Networks,
Ltd. 142,900 3,465
* Glenayre Technologies,
Inc. 136,125 5,207
* Kemet Corp. 161,900 3,663
* Kent Electronics Corp. 117,400 4,153
* McAfee Associates, Inc. 105,400 5,771
* Newbridge Networks Corp. 100,000 5,625
Nexus Telecommunication
Systems Ltd. 75,000 412
sec. Nexus Telecommunication
Systems Ltd. (acquired
11/21/95, cost $956) 225,000 1,238
* Oak Technology, Inc. 120,000 2,580
* Tellabs, Inc. 88,500 4,281
* Transaction Systems
Architect, Inc., Class A 91,500 3,729
* U.S. Robotics Corp. 40,200 5,196
- ---------------------------------------------------------
GROUP TOTAL 64,852
- ---------------------------------------------------------
UTILITIES (11.5%)
* American Mobile Satellite
Corp. 218,500 3,714
Frontier Corp. 240,600 7,579
* Globalstar
Telecommunications Ltd. 236,700 12,545
* MFS Communications Co.,
Inc. 75,500 4,700
* Millicom International
Cellular SA 133,500 5,774
Orange plc ADR 150,000 2,569
* Paging Network, Inc. 169,200 4,230
* Palmer Wireless, Inc. 149,800 2,865
UUNET Technologies, Inc. 138,000 3,519
- ---------------------------------------------------------
GROUP TOTAL 47,495
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $293,567) 388,191
- ---------------------------------------------------------
WARRANTS (0.1%)
- ---------------------------------------------------------
TECHNOLOGY (0.1%)
sec.* Nexus
Telecommunication Systems
Ltd., expiring 11/28/97
(acquired 11/21/95, cost
$0) 225,000 225
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP GROWTH
PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (13.2%)
- ---------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities (7.1%) $29,532 $ 29,532
- ---------------------------------------------------------
REPURCHASE AGREEMENT (6.1%)
The Chase Manhattan Bank,
N.A. 5.35%, dated
3/29/96, due 4/1/96, to
be repurchased at
$25,244, collateralized
by various U.S.
Government Obligations,
due 5/31/96-5/31/97,
valued at $25,484 25,232 25,232
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $54,764) 54,764
- ---------------------------------------------------------
TOTAL INVESTMENTS (107.0%)(Cost
$348,331) 443,180
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.0%)
Dividends Receivable 95
Interest Receivable 11
Receivable for Fund Shares Sold 258
Receivable for Investments Sold 6,945
Receivable due from Custodian 267
Payable for Fund Shares Redeemed (1,010)
Payable for Investments Purchased (5,427)
Payable for Investment Advisory Fees (484)
Payable for Administrative Fees (27)
Collateral on Securities Loaned, at
Value (29,532)
Other Liabilities (14)
--------
(28,918)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 22,132,608 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $414,262
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.72
- ---------------------------------------------------------
sec. Restricted Security -- Total market value of
restricted securities owned at March 31, 1996 was
$1,463 or
0.4% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
ADR American Depositary Receipt.
</TABLE>
MID CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Value Portfolio applies Miller Anderson & Sherrerd's value investing
to common stocks of medium-sized companies, combining MAS's disciplined
valuation process with the judgment gained through considerable experience in
low P/E investing. The Portfolio keeps sector weights within 5% of the sector
weights of the S&P Mid-Cap 400 Index, with strategic over- and under-weightings
assigned to different economic sectors and industries.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
------------------------------
<S> <C> <C>
SIX MONTHS 7.5 % 7.7 %
ONE YEAR 30.6 28.5
SINCE INCEPTION 34.4 30.2
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Mid Cap Value Portfolio from exceeding
0.88% of average daily net assets.
* Returns since inception on 12/30/94 to 3/31/96 for the Mid Cap Value Portfolio
are compared to the S&P Mid-Cap 400 Index, an unmanaged market index. Returns
for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (102.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
BANKS (9.3%)
Bancorp Hawaii, Inc. 10,800 $ 379
Banknorth Group, Inc. 7,000 247
Bank of New York Co., Inc. 2,100 108
Cal Fed Bancorp, Inc. 800 14
First Essex Bancorp, Inc. 8,000 86
First Hawaiian, Inc. 2,300 63
Mellon Bank Corp. 300 17
Northern Trust Corp. 4,000 216
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
PNC Bank Corp. 13,900 $ 427
Reliance Bancorp, Inc. 6,500 105
SouthFirst Bancshares, Inc. 500 6
Southtrust Corp. 8,000 221
State Street Boston Corp. 800 40
St. Paul Bancorp, Inc. 3,000 74
TCF Financial Corp. 900 33
Trustco Bank Corp. 17,000 352
Walden Bancorp, Inc. 3,000 59
- ---------------------------------------------------------
GROUP TOTAL 2,447
- ---------------------------------------------------------
BASIC RESOURCES (5.3%)
Ball Corp. 2,800 87
Bemis Co., Inc. 11,300 355
* Ceradyne, Inc. 38,300 330
Chesapeake Corp. 2,900 88
Crompton & Knowles Corp. 4,800 70
IMC Global, Inc. 900 33
* Jefferson Smurfit Corp. 4,000 44
Pall Corp. 1,700 44
Rohm & Hass Co. 1,800 120
Stone Container Corp. 5,800 81
Tri Polyta Indonesia ADR 10,600 136
- ---------------------------------------------------------
GROUP TOTAL 1,388
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.7%)
Clorox Co. 2,000 172
- ---------------------------------------------------------
CONSUMER DURABLES (1.4%)
Callaway Golf Co. 1,300 35
Harley-Davidson, Inc. 1,000 39
Pulte Corp. 2,800 75
* R & B, Inc. 5,400 33
Stant Corp. 15,600 187
Strattec Strategy Corp. 60 1
- ---------------------------------------------------------
GROUP TOTAL 370
- ---------------------------------------------------------
CONSUMER SERVICES (1.9%)
* AMC Entertainment, Inc. 2,500 61
Banta Corp. 1,500 40
* Carmike Cinemas, Inc., Class
A 4,400 100
Carnival Corp., Class A 500 14
Hilton Hotels Corp. 300 28
New York Times Co., Class A 1,100 32
* Recoton Corp. 6,300 120
TCA Cable TV, Inc. 3,000 87
Washington Post Co., Class B 100 30
- ---------------------------------------------------------
GROUP TOTAL 512
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT
COMPANIES (5.0%)
Bear Stearns Co., Inc. 2,500 62
Dean Witter Discover & Co. 800 46
Edwards (A.G.), Inc. 5,900 147
Great Western Financial Corp. 9,900 239
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Green Tree Financial Corp. 3,900 $ 134
Legg Mason, Inc. 2,700 79
North American Mortgage Co. 4,100 84
Paine Webber Group, Inc. 6,300 139
Piper Jaffray Cos., Inc. 10,200 140
Price (T. Rowe) Associates 2,000 106
Raymond James Financial, Inc. 4,400 99
Schwab (Charles) Corp. 1,700 43
- ---------------------------------------------------------
GROUP TOTAL 1,318
- ---------------------------------------------------------
ENERGY (12.6%)
Camco International, Inc. 2,400 76
Coastal Corp. 1,000 40
Connecticut Natural Gas Corp. 5,200 121
Consolidated Natural Gas Co. 1,100 48
* Cooper Cameron Corp. 2,200 92
Dawson Production Services,
Inc. 20,300 228
Diamond Offshore Drilling,
Inc. 12,800 549
* ENSCO International, Inc. 4,600 128
Global Industrial
Technologies, Inc. 5,000 120
Helmerich & Payne, Inc. 10,800 364
Kerr-McGee Corp. 1,200 76
MCN Corp. 5,200 120
NGC Corp. 800 10
* Noble Drilling Corp. 20,000 247
Norsk Hydro A.S. 700 31
Pacific Enterprises 600 16
* Rowan Cos., Inc. 5,800 74
* Smith International, Inc. 16,700 422
South Jersey Industries, Inc. 1,600 34
* Tesoro Petroleum Corp. 26,900 229
Tidewater, Inc. 600 23
Valero Energy Corp. 9,300 229
* Weatherford Enterra, Inc. 1,407 49
- ---------------------------------------------------------
GROUP TOTAL 3,326
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (3.7%)
Ralston Purina Group 400 27
SEDA Specialty Packaging
Corp. 45,800 730
Universal Corp. 5,400 135
Universal Foods Corp. 2,200 84
- ---------------------------------------------------------
GROUP TOTAL 976
- ---------------------------------------------------------
HEALTH CARE (14.2%)
Allergan, Inc. 4,400 162
Alpharma, Inc. 9,100 212
AmeriSource Health Corp.,
Class A 2,400 79
Angelica Corp. 10,800 230
Becton, Dickinson & Co. 10,600 868
Bergen Brunswig Corp., Class
A 10,500 274
Cardinal Health, Inc. 300 19
* Cerner Corp. 7,000 163
* Datascope Corp. 5,900 139
* Forest Laboratories, Inc. 3,000 146
* Healthdyne Technologies, Inc. 10,000 124
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP VALUE
PORTFOLIO
VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
* Lincare Holdings, Inc. 2,400 $ 78
* Maxicare Health Plans, Inc. 7,000 175
McKesson Corp. 700 36
* MDL Information Systems, Inc. 3,000 63
* MediSense, Inc. 5,000 223
* Merit Medical Systems, Inc. 5,500 42
Metra Biosystems, Inc. 5,000 71
Mylan Labs, Inc. 5,900 124
* Perrigo Co. 10,000 135
Pharmacia & Upjohn, Inc. 500 20
Protocol Systems, Inc. 4,000 67
* Retirement Care Associates,
Inc. 11,300 120
* Staar Surgical Co. 9,800 137
* Vivra, Inc. 1,300 39
- ---------------------------------------------------------
GROUP TOTAL 3,746
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (11.4%)
Airborne Freight Corp. 8,600 217
* America West Airlines, Inc.,
Class B 900 19
* Anicom, Inc. 10,000 135
Belden, Inc. 1,400 41
* CDI Corp. 5,300 142
Duriron Co., Inc. 3,000 82
Equifax, Inc. 2,400 48
Expeditors International of
Washington, Inc. 5,000 131
Foster Wheeler Corp. 1,100 49
Giddings & Lewis, Inc. 6,000 114
Grainger (W.W.), Inc. 600 40
Harnischfeger Industries,
Inc. 2,700 105
Kansas City Southern
Industries, Inc. 8,300 386
Kaydon Corp. 900 31
Keystone International, Inc. 2,300 52
* Litton Industries, Inc. 16,100 741
Midwest Express Holdings,
Inc. 2,000 75
Norfolk Southern Corp. 100 9
Omnicom Group, Inc. 2,600 117
Southwest Airlines Co. 12,900 382
Stolt-Nielsen SA ADR 3,000 54
Teekay Shipping Corp. 1,900 50
Thermo Electron Corp. 100 6
- ---------------------------------------------------------
GROUP TOTAL 3,026
- ---------------------------------------------------------
INSURANCE (3.2%)
American Bankers Insurance
Group, Inc. 18,000 634
Bankers Life Holding Corp. 3,400 76
PMI Group, Inc. 900 39
Transatlantic Holdings, Inc. 1,400 96
- ---------------------------------------------------------
GROUP TOTAL 845
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (0.4%)
Home Properties of N.Y. Inc. 2,800 $ 56
Smith (Charles E.)
Residential Realty, Inc. 2,200 52
- ---------------------------------------------------------
GROUP TOTAL 108
- ---------------------------------------------------------
RETAIL (7.7%)
* Burlington Industries, Inc. 18,600 235
* Donnkenny, Inc. 12,300 198
Mercantile Stores Co., Inc. 2,400 147
* Price/Costco, Inc. 22,000 413
Richfood Holdings, Inc. 16,000 451
* Safeway, Inc. 6,100 174
Shopko Stores, Inc. 3,500 49
V.F. Corp. 1,900 105
* Von Cos., Inc. 300 9
Zale Corp. 14,700 253
- ---------------------------------------------------------
GROUP TOTAL 2,034
- ---------------------------------------------------------
TECHNOLOGY (14.7%)
* ADC Telecommunications, Inc. 3,200 110
* Arrow Electronics 1,300 61
* Asyst Technologies, Inc. 7,000 159
* Atmel Corp. 1,000 26
* Bay Networks, Inc. 1,600 49
* Brightpoint, Inc. 12,000 219
* C.I.S. Technologies, Inc. 5,000 11
* Comdial Corp. 13,000 143
* Credence Systems Corp. 18,800 315
* Cypress Semiconductor Corp. 12,200 143
EG & G, Inc. 1,200 27
* Electroglas, Inc. 1,000 15
* EMC Corp. 2,900 63
* FIserv, Inc. 10,000 280
* Gateway 2000, Inc. 3,000 84
HMT Technology Corp. 15,000 157
* In Focus Systems, Inc. 4,200 147
* Intergraph Corp. 4,000 64
Intevac, Inc. 5,000 36
* Kemet Corp. 13,000 294
* KLA Instruments Corp. 4,000 91
* Lam Research Corp. 2,000 70
* LSI Logic Corp. 5,200 139
* Network Equipment
Technologies, Inc. 7,600 231
* Octel Communications Corp. 1,000 48
* S3, Inc. 19,000 227
StorMedia, Inc. 11,700 272
* Stratacom, Inc. 3,000 110
Teledyne, Inc. 500 14
* Teradyne, Inc. 5,600 94
Vanstar Corp. 7,200 73
* Western Digital Corp. 6,500 125
- ---------------------------------------------------------
GROUP TOTAL 3,897
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
UTILITIES (10.7%)
Central & South West Corp. 1,700 $ 48
Central Hudson Gas & Electric 800 24
Century Telephone Enterprises 800 25
Delmarva Power & Light Co. 1,200 26
Dominion Resources, Inc. 8,900 353
Eastern Utilities Association 3,700 80
General Public Utilities
Corp. 3,100 102
IES Industries, Inc. 3,700 103
* LCI International, Inc. 2,100 51
Minnesota Power & Light Co. 8,900 247
New England Electric System 2,000 77
PP&L Resources, Inc. 7,900 193
Puget Sound Power & Light Co. 3,200 82
Rochester Gas & Electric
Corp. 3,100 67
Southern New England
Telecommunications Corp. 3,900 157
Southwestern Public Service
Co. 9,800 326
Telephone & Data Systems,
Inc. 100 5
Unicom Corp. 5,500 148
United Illuminating Co. 7,500 277
Western Resources, Inc. 10,900 332
* WorldCom, Inc. 2,000 92
- ---------------------------------------------------------
GROUP TOTAL 2,815
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $26,781) 26,980
- ---------------------------------------------------------
PREFERRED STOCKS (0.0%)
- ---------------------------------------------------------
@ Teledyne, Inc., Series E
$1.20 (Cost $0) 10 --
- ---------------------------------------------------------
CASH EQUIVALENT (6.4%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (6.4%)
The Chase Manhattan Bank,
N.A. 5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $1,696,
collateralized by various
U.S. Government Obligations,
due 5/31/96-5/31/97,
valued at $1,713
(Cost $1,695) $1,695 1,695
- ---------------------------------------------------------
TOTAL INVESTMENTS (108.6%) (Cost $28,476) 28,675
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-8.6%)
Dividends Receivable $ 45
Interest Receivable 1
Receivable for Fund Shares Sold 6
Receivable for Investments Sold 510
Payable for Fund Shares Redeemed (5)
Payable for Investments Purchased (2,799)
Payable for Investment Advisory Fees (16)
Payable for Administrative Fees (1)
Other Liabilities (10)
-------
(2,269)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 2,072,294 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $26,406
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.74
- ---------------------------------------------------------
dag. 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.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Emerging Markets Portfolio invests primarily in common stocks of emerging
markets issuers throughout the world, investing in more than 60 stocks from more
than 12 countries. Miller Anderson & Sherrerd evaluates both short-term and
long-term international economic trends and relative attractiveness of emerging
markets and individual emerging market securities to achieve the Portfolio's
objective of long-term capital growth. Valuation techniques are emphasized,
supplemented by liquidity measures in determining country allocation and stock
selection. Foreign currency exposure is actively managed, but is not often
hedged due to the high cost of hedging transactions.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
------------------------------
<S> <C> <C>
SIX MONTHS 1.7 % 3.9 %
ONE YEAR 12.0 12.8
SINCE INCEPTION 16.7 12.1
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Emerging Markets Portfolio from
exceeding 1.18% of average daily net assets.
* Returns since inception on 2/28/95 to 3/31/96 for the Emerging Markets
Portfolio are compared to MSCI Emerging Markets Free Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (75.5%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
ARGENTINA (5.9%)
Central Puerto SA, Class B 140,800 $ 450
* CIADEA SA 103,646 477
* Comercial del Plata SA 127,000 343
Nobleza Piccardo SA 56,569 188
Telecom Argentina SA ADR 7,000 290
YPF SA ADR 30,000 604
- ---------------------------------------------------------
GROUP TOTAL 2,352
- ---------------------------------------------------------
BRAZIL (2.9%)
Eletrobras 2,290,000 598
Telebras SA 13,466,000 533
- ---------------------------------------------------------
GROUP TOTAL 1,131
- ---------------------------------------------------------
CHILE (2.7%)
Chilgener SA ADR 18,900 439
Cia Telecom de Chile SA
ADR 7,300 619
- ---------------------------------------------------------
GROUP TOTAL 1,058
- ---------------------------------------------------------
CHINA (1.0%)
AES China Generating Co.,
Class A 47,500 398
- ---------------------------------------------------------
COLOMBIA (2.5%)
Banco Ganadero SA ADR 36,600 540
(+) Cementos Diamante SA
ADR 29,100 451
- ---------------------------------------------------------
GROUP TOTAL 991
- ---------------------------------------------------------
GREECE (1.4%)
Nikas SA 35,100 554
- ---------------------------------------------------------
HONG KONG (7.7%)
Jardine Strategic Holdings
Ltd. 353,000 1,115
Orient Overseas
International Ltd. 747,000 589
Semi-Tech (Global) Ltd. 690,700 1,040
South China Morning Post
(Holdings) Ltd. 450,000 294
- ---------------------------------------------------------
GROUP TOTAL 3,038
- ---------------------------------------------------------
HUNGARY (0.5%)
(+) Bordsodchem GDR 13,000 192
- ---------------------------------------------------------
INDIA (10.0%)
Century Textiles &
Industries Ltd. GDR 3,300 617
Garden Silk Mills Ltd. 100,000 362
Indian Aluminum Co. Ltd. 85,000 512
Indian Petrochemicals
Corp. Ltd. 65,000 297
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
ITC Ltd. 130,000 $ 871
Mahanagar Telephone Nigam
Ltd. 170,000 893
Ranbaxy Laboratories Ltd. 5,000 97
Reliance Industries Ltd. 50,000 307
- ---------------------------------------------------------
GROUP TOTAL 3,956
- ---------------------------------------------------------
INDONESIA (5.2%)
Enseval PuTera Mega 433,000 306
Ever Shine Textile
Industry 952,000 417
Roda Vivatex 316,500 203
Sinar Mas Multiartha
(Foreign) 610,000 679
Unilever Indonesia
(Foreign) 29,000 472
- ---------------------------------------------------------
GROUP TOTAL 2,077
- ---------------------------------------------------------
KOREA (8.5%)
Cheil Foods & Chemicals,
Inc. 32,460 934
* Cheil Foods & Chemicals,
Inc. RFD 649 19
* Chosun Brewery Co. 18,751 635
* Chosun Brewery Co. RFD 562 19
* Doosan Beverages Co. 8,480 347
* Jinro Ltd. 8,810 186
* Jinro Ltd. RFD 5,070 95
* LG International Corp. 55,399 758
Samsung Electronics 2,140 252
* Samsung Electronics RFD 1,070 125
- ---------------------------------------------------------
GROUP TOTAL 3,370
- ---------------------------------------------------------
MALAYSIA (2.9%)
Boustead Holdings Bhd. 368,000 800
Renong Bhd. 225,000 367
- ---------------------------------------------------------
GROUP TOTAL 1,167
- ---------------------------------------------------------
MEXICO (4.1%)
* Bufete Industrial SA ADR 22,700 378
* Grupo Financiero Bancomer
SA, Class B 1,531,000 616
* Tubos de Acero de Mexico
SA 80,000 635
- ---------------------------------------------------------
GROUP TOTAL 1,629
- ---------------------------------------------------------
PHILIPPINES (1.0%)
Universal Robina Corp. 790,000 385
- ---------------------------------------------------------
PORTUGAL (1.9%)
(+) Portucel Industrial SA 75,600 456
Sonae Industrial e
Investment 12,800 306
- ---------------------------------------------------------
GROUP TOTAL 762
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
SOUTH AFRICA (3.5%)
DeBeers Consolidated
Mines, Ltd. ADR 22,400 $ 705
Lonrho plc 116,000 380
Rembrandt Group Ltd. 32,900 300
- ---------------------------------------------------------
GROUP TOTAL 1,385
- ---------------------------------------------------------
RUSSIA (0.8%)
LUKoil Oil Co. ADR 16,471 305
- ---------------------------------------------------------
TAIWAN (1.0%)
China Steel Corp. 508,000 393
- ---------------------------------------------------------
THAILAND (10.8%)
* Orient Telecom &
Technology Holding Ltd. 2,998,800 969
Ruam Pattana Fund II
(Foreign) 830,600 535
Siam Commercial Bank Co.,
Ltd. 52,400 594
Sinpinyo Fund 5 (Foreign) 1,099,900 795
Sub-Thawee Fund 785,400 1,186
Thai Orchid Fund 593,200 214
- ---------------------------------------------------------
GROUP TOTAL 4,293
- ---------------------------------------------------------
TURKEY (1.2%)
Netas-Northern Elektrik
Telekomukasyon AS 776,000 240
Tat Konserve Sanayii A.S. 388,000 237
- ---------------------------------------------------------
GROUP TOTAL 477
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $32,076) 29,913
- ---------------------------------------------------------
PREFERRED STOCKS (9.7%)
- ---------------------------------------------------------
BRAZIL (9.7%)
Acesita 88,725,000 440
Banco Itau SA 1,109,000 394
Brasmotor SA 2,955,000 763
CESP 14,950,000 507
Ceval Alimentos SA 45,100,000 571
* Cia Energetica de Minas
Gerais 15,000,000 421
Cia Vale Do Rio Doce 2,500,000 392
* Iochpe Maxion SA 3,243,909 361
- ---------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,279) 3,849
- ---------------------------------------------------------
RIGHTS (0.0%)
- ---------------------------------------------------------
MALAYSIA (0.0%)
@* Renong Bhd., expiring
4/18/96 (Cost $0) 45,000 --
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS
PORTFOLIO
VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
WARRANTS (0.0%)
- ---------------------------------------------------------
MALAYSIA (0.0%)
@* Renong Bhd., expiring
2/18/97 (Cost $0) 28,125 $ --
- ---------------------------------------------------------
FIXED INCOME SECURITIES (7.0%)
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- ------
<S> <C> <C> <C>
ARGENTINA (2.5%)
# Republic of Argentina
5.00%, 3/31/23 BB- $1,900 988
- ---------------------------------------------------------
BRAZIL (2.5%)
#+ Brazil Par Series Z-L
4.25%, 4/15/24 B1 1,950 995
- ---------------------------------------------------------
MALAYSIA (2.0%)
(+) Aokam Perdana Bhd.
(Convertible)
3.50%, 6/13/04 N/R 430 344
United Engineers Bhd.
(Convertible)
2.00%, 3/1/04 N/R 380 456
- ---------------------------------------------------------
GROUP TOTAL 800
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$2,746) 2,783
- ---------------------------------------------------------
STRUCTURED INVESTMENT (5.0%)-SEE NOTE A7
- ---------------------------------------------------------
RUSSIA (5.0%)
## Credit Suisse Note,
10/20/97, 3.50% Floating
rate coupon indexed to
the Russian ruble
dividend amount of the
underlying Basket shares
consisting of four
Russian stocks. Principal
is composed of 70% of the
appreciation/
depreciation of the
Basket shares plus the
accreted value of a zero
coupon bond purchased at
26.68% which matures at
30% on the maturity date.
(Cost $3,000) N/R 3,000 1,995
- ---------------------------------------------------------
FOREIGN CURRENCY (0.6%)
- ---------------------------------------------------------
Czech Koruna
CZK 6,089 224
Hong Kong Dollar
HKD 28 4
Indian Rupee
INR 117 3
@ Korean Won
KRW 16 --
South African Rand
ZAR 12 3
Taiwan Dollar
TWD 14 1
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $235) 235
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (2.1%)
- ---------------------------------------------------------
REPURCHASE AGREEMENT (2.1%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96, due
4/1/96, to be repurchased at
$829, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$839 (Cost $829) $ 829 $ 829
- ---------------------------------------------------------
TOTAL INVESTMENTS (99.9%) (Cost $40,165) 39,604
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.1%)
Dividends Receivable 79
Interest Receivable 100
Receivable for Fund Shares Sold 1
Receivable for Investments Sold 32
Payable for Investment Advisory Fees (64)
Payable for Administrative Fees (3)
Payable for Custody Fees (49)
Payable to Custodian (32)
Other Liabilities (15)
-------
49
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 3,594,374 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $39,653
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.03
- ---------------------------------------------------------
dag. See Note A1 to Financial Statements.
* Non-income producing security.
+ 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 March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or Floating rate security -- rate
disclosed is as of March 31, 1996.
(+) 144A security. Certain conditions for public sale
may exist.
@ Value is less than $500.
ADR American Depositary Receipt.
GDR Global Depositary Receipt.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
RFD Ranked for Dividend.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio is Miller Anderson & Sherrerd's primary fixed-income
fund, investing in all sectors of the bond market. MAS constructs a diversified
fund with a maturity and duration structure reflecting long-term views on
interest rates and inflation. MAS selects investments in U.S. Treasuries,
agencies, corporate bonds, mortgages, foreign and other fixed-income securities
based upon relative value in the marketplace.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 3.9 % 2.5 %
ONE YEAR 13.2 10.9
FIVE YEARS 10.1 8.6
TEN YEARS 9.3 8.7
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns for the Fixed Income Portfolio are compared to the Salomon Broad
Investment Grade Index, an unmanaged market index. Returns for periods less than
one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (102.1%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (4.1%)
## Government National
Mortgage Association II
Various Pools:
5.50%,
4/20/24-5/20/24 Agy $ 3,316 $ 3,282
6.00%,
2/20/24-5/20/25 Agy 11,080 11,130
6.50%,
6/20/24-3/20/25 Agy 15,751 15,951
7.00%,
10/20/23-10/20/24 Agy 31,476 31,829
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
11.00%,
11/20/15-11/20/19 Agy $ 239 $ 262
11.50%,
7/20/15-4/20/19 Agy 569 625
- ---------------------------------------------------------
GROUP TOTAL 63,079
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (28.8%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.50%,
4/1/11-10/1/20 Agy 5,738 6,277
11.00%,
9/1/15-5/1/20 Agy 4,347 4,845
11.25%,
10/1/11-12/1/15 Agy 2,276 2,538
11.75%, 4/1/19 Agy 259 291
13.00%, 6/1/19 Agy 89 101
14.75%, 3/1/10 Agy 48 55
Gold Pools:
9.50%,
10/1/16-1/1/21 Agy 14,695 15,823
10.50%,
8/1/19-4/1/21 Agy 2,705 2,937
April TBA
7.00%,
8/15/23-8/15/25 Agy 56,375 54,983
Federal National
Mortgage Association
Conventional Pools:
10.50%,
6/1/10-11/1/20 Agy 8,156 9,066
10.75%, 2/1/11 Agy 49 55
11.00%,
1/1/16-11/1/20 Agy 4,798 5,357
11.50%,
7/1/13-11/1/15 Agy 629 713
12.00%, 4/1/15 Agy 113 129
April TBA
7.00%,
9/1/25-12/15/25 Agy 218,475 212,877
9.50%, 4/15/26 Agy 4,000 4,266
May TBA
7.00%, 10/1/23 Agy 61,350 59,682
Government National
Mortgage Association
Various Pools:
10.50%,
2/15/13-3/15/21 Agy 2,690 2,991
11.00%,
12/15/09-3/15/19 Agy 3,684 4,150
11.50%,
12/20/15-9/20/19 Agy 168 184
12.00%,
4/15/12-3/15/16 Agy 2,119 2,428
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
April TBA
7.00%, 11/15/24 Agy $20,300 $ 19,773
May TBA
7.50%,
2/15/26-3/15/26 Agy 31,850 31,750
- ---------------------------------------------------------
GROUP TOTAL 441,271
- ---------------------------------------------------------
ASSET BACKED CORPORATES (1.0%)
## Airplanes Pass Through
Trust Series 1 B
6.475%, 3/15/19 A 5,970 5,970
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 3,350 3,440
94-1 C CMO
9.35%, 3/15/00 BBB 4,378 4,496
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 729 728
- ---------------------------------------------------------
GROUP TOTAL 14,634
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.7%)
Security Pacific Home
Equity Trust Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 3,210 3,249
91-A B
10.50%, 3/10/06 A+ 7,585 7,849
- ---------------------------------------------------------
GROUP TOTAL 11,098
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.6%)
Federal Home Loan
Mortgage Corporation
Series 92-1398 I Inv Fl
11.312%, 10/15/07 Agy 2,471 2,417
Federal National
Mortgage Association
Series:
90-118 S Inv Fl
29.965%, 9/25/20 Agy 1,766 2,598
91-46 S Inv Fl
1266.656%, 5/25/21 Agy 22 660
91-90 S Inv Fl
553.856%, 7/25/21 Agy 67 894
92-33 S Inv Fl
12.24%, 3/25/22 Agy 2,230 2,262
- ---------------------------------------------------------
GROUP TOTAL 8,831
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (10.4%)
American Housing Trust
Series V 1G
9.125%, 4/25/21 AAA 6,500 6,614
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Citicorp Mortgage
Securities, Inc. Series
90-11 A5
9.50%, 7/25/20 AAA $ 1,997 $ 2,003
CMC Securities
Corp. IV Series
94-G A4
7.00%, 9/25/24 AAA 5,822 5,294
DR Securitized Lease
Trust Series 93-K1 A1
6.66%, 8/15/10 BB 2,182 1,715
sec. First Boston Mortgage
Securities Corp.
Series 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-
12/9/93, cost
$4,161) A 4,385 4,276
GE Capital Mortgage
Services, Inc. Series:
94-24 A4
7.00%, 7/25/24 AAA 7,861 7,224
95-11 A6
7.50%, 12/25/25 AAA 8,483 8,246
++##sec. Kidder Peabody
Funding Corp.
Series 92-4 B2
8.515%, 5/28/22
(acquired 8/5/92-
12/9/93, cost
$4,075) A 4,063 4,004
Mid-State Trust Series
88-2 A4
9.625%, 4/1/03 AAA 1,800 1,977
Prudential Home
Mortgage Securities
Co., Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 1,553 1,553
90-8 A5 PAC-1(11)
9.50%, 9/25/20 AAA 1,165 1,165
(+) 92-A 2B4
7.90%, 4/28/22 AA 11,188 10,245
sec. 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93-
10/13/94, cost
$6,366) A2 6,657 6,372
(+) 93-B B1
7.836%, 4/28/23 AA 8,462 8,386
(+) 93-B B2
7.836%, 4/28/23 A 787 770
(+)++ 94-A 3B3
6.803%, 4/28/24 A 11,451 10,425
Residential Funding
Mortgage Securities
Co., Inc. Series:
92-S2 M
8.00%, 1/25/22 AA 5,894 5,959
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
92-S15 A5
8.00%, 5/25/07 AAA $ 69 $ 69
93-MZ2 A2
7.47%, 5/30/23 AA 7,000 6,755
sec.++ 93-MZ3 A2
6.97%, 8/28/23
(acquired
7/17/95, cost
$7,274) AA 7,821 7,235
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95-12/19/95,
cost $11,066) AAA 11,722 10,923
95-R20 A5
7.50%, 12/25/25 AAA 8,481 8,336
95-S11 A16
7.50%, 9/25/25 AAA 8,755 8,727
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 9,582 9,346
87-1 M
3.33%, 4/1/26 A- 9,043 8,320
87-2 C
6.83%, 4/1/26 AAA 6,192 6,137
Ryland Mortgage
Securities Corp.
Series:
93-A 1A
7.45%, 1/28/23 AAA 273 261
94-7B 4A2
7.50%, 8/25/25 AAA 7,500 7,142
Saxon Mortgage
Securities Corp.
Series 93-4 1B
7.25%, 6/25/24 AAA 250 230
- ---------------------------------------------------------
GROUP TOTAL 159,709
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (6.8%)
+ American Southwest
Financial Securities
Corp. Series 95-C1 A1B
7.40%, 11/17/04 Aaa 10,000 10,214
Asset Securitization
Corp. Series
95-MD4 A1
7.10%, 8/13/29 AAA 9,947 10,000
(+) Carousel Center
Finance, Inc. Series 1 A1
6.828%, 10/15/07 AA 6,200 6,117
(+) CBM Funding Corp.
Series 96-1 A3PI
7.08%, 2/1/13 AA 7,450 7,401
(+) Creekwood Capital
Corp. Series 95-1A
8.47%, 3/16/15 AA 5,730 6,022
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
+(+) DeBartolo Capital
Corp. Series A2
7.48%, 5/1/04 Aaa $ 6,650 $ 6,851
(+) DLJ Mortgage
Acceptance Corp.
Series:
95-CF2 A1B
6.85%, 12/17/27 AAA 5,000 4,888
95-CF2 S2 IO
1.645%, 12/17/27 BBB 48,300 4,882
(+) Equitable Life
Assurance Society of
the U.S. Series 1A
6.633%, 7/23/03 AA 7,000 6,900
J.P. Morgan
Commercial Mortgage
Finance Corp. Series
95-C1 A1
7.268%, 7/25/10 AAA 7,057 7,128
(+) Lakewood Mall
Finance Co. Series
95-C1 A
7.00%, 8/13/10 AA 7,000 6,902
Merrill Lynch Mortgage
Investors, Inc. Series
96-C1 A3
7.42%, 3/25/26 AAA 11,500 11,611
Mortgage Capital
Funding, Inc. Series
95-MC1 A1B
7.60%, 5/25/27 AAA 10,750 11,012
++ Nomura Asset
Securities Corp. Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 200 206
94-MD1 A3
8.026%, 3/15/18 A 4,249 4,473
- ---------------------------------------------------------
GROUP TOTAL 104,607
- ---------------------------------------------------------
ENERGY (1.3%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 6,700 6,495
Maxus Energy Corp.
10.83%, 9/1/04 BB- 6,500 6,769
Mobile Energy Services
8.665%, 1/1/17 BBB- 7,050 7,276
- ---------------------------------------------------------
GROUP TOTAL 20,540
- ---------------------------------------------------------
FINANCE (9.8%)
## Bank of Hawaii,
Honolulu
5.343%, 11/25/96 A 6,000 6,000
## Caterpillar Financial
Services
5.513%, 6/20/97 A 11,000 11,002
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Conseco, Inc.
8.125%, 2/15/03 BB+ $ 9,110 $ 9,223
(+) Equitable Life Assurance
Society of the U.S.
7.70%, 12/1/15 A- 6,500 6,402
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 8,775 8,354
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 6,325 6,834
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 5,700 5,486
First National Bank
of Chicago
Series 93-A
8.08%, 1/5/18 A+ 8,825 9,127
First Union REIT
8.875%, 10/1/03 BB+ 3,325 3,129
Home Holdings, Inc.
8.625%, 12/15/03 B- 4,125 3,460
John Hancock
Surplus Note
7.375%, 2/15/24 AA 8,200 7,743
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 7,150 7,008
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 8,450 7,761
# Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 7,325 5,988
(+) Nationwide Mutual
Insurance Co.
7.50%, 2/15/24 AA- 9,350 8,541
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 8,775 8,315
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 5,950 5,720
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 4,450 4,508
Reliance Group
Holdings, Inc.
9.00%, 11/15/00 BB+ 6,005 6,080
(+)## United Savings of Texas
8.55%, 5/15/98 BB+ 6,100 6,105
## Wells Fargo & Co.
5.438%, 8/16/96 A- 13,575 13,573
- ---------------------------------------------------------
GROUP TOTAL 150,359
- ---------------------------------------------------------
FOREIGN GOVERNMENTS (15.2%)
Government of Canada
8.50%, 4/1/02 AA+
CAD 29,500 22,995
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Government of Germany
7.125%, 1/29/03 AAA DEM 85,505 $ 61,401
7.50%, 9/9/04 AAA 56,050 40,732
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 118,900 21,539
9.00%, 11/15/00 AAA 107,500 20,885
Netherlands Government
5.75%, 1/15/04 AAA NLG 45,300 26,692
8.50%, 3/15/01 AAA 21,650 14,803
Spanish Government
11.30%, 1/15/02 AA ESP 1,745,000 15,208
United Kingdom
9.125%, 2/21/01 AAA ECU 5,950 8,297
- ---------------------------------------------------------
GROUP TOTAL 232,552
- ---------------------------------------------------------
/ / HEDGED MORTGAGES (2.1%)
Federal Home Loan
Mortgage Corporation
Series:
1415-S Inv Fl IO
CMO
20.063%, 11/15/07 Agy $ 3,957 1,687
1476-S Inv Fl IO
REMIC PAC
4.217%, 2/15/08 Agy 39,401 3,869
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 40,370 3,165
1600-SA Inv Fl IO
REMIC
2.563%, 10/15/08 Agy 73,807 3,853
Federal National
Mortgage Association
Series:
92-186 S Inv Fl IO
3.217%, 10/25/07 Agy 70,167 5,312
94-33 S Inv Fl IO
2.631%, 3/25/09 Agy 104,638 5,410
G 92-53 S Inv Fl IO
REMIC
34.031%, 9/25/22 Agy 3,489 2,573
G 92-63 S Inv Fl IO
REMIC
3.881%, 11/25/22 Agy 18,734 1,620
G 94-2 S Inv Fl IO
REMIC
2.631%, 1/25/24 Agy 84,613 4,857
- ---------------------------------------------------------
GROUP TOTAL 32,346
- ---------------------------------------------------------
INDUSTRIALS (8.6%)
## Blue Bell Funding
11.85%, 5/1/99 BB- 593 583
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 7,750 7,750
Comcast Corp.
9.375%, 5/15/05 B+ 8,200 8,333
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Digital Equipment Corp.
8.625%, 11/1/12 BB+ $ 8,650 $ 8,821
DR Structured
Finance Series 94K2
9.35%, 8/15/19 BB 3,350 2,856
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 8,875 8,786
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 9,575 8,498
ITT Corp. (New)
7.75%, 11/15/25 BBB 5,750 5,499
Kmart Funding Corp.
Series F
8.80%, 7/1/10 BB 3,500 2,986
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 9,805 11,215
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 4,100 4,510
(+) Oxymar
7.50%, 2/15/16 BBB- 5,420 5,122
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 7,600 7,225
Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 BBB+ 6,100 6,596
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 10,260 10,096
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 6,804 6,884
Southland Corp.
5.00%, 12/15/03 BB+ 9,274 7,442
ddag. Time Warner, Inc.
9.15%, 2/1/23 BBB- 6,790 7,305
Unisys Corp.
10.625%, 10/1/99 B+ 6,650 6,583
Westpoint Stevens,
Inc.
8.75%, 12/15/01 BB- 5,145 5,145
- ---------------------------------------------------------
GROUP TOTAL 132,235
- ---------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank
Series 85-1
7.94%, 5/1/02
(acquired
6/22/94, cost
$381) N/R 403 403
##sec. Magnolia
Federal
Bank Series 84-2
9.129%, 10/1/07
(acquired 5/1/87,
cost $1,003) N/R 1,067 1,092
- ---------------------------------------------------------
GROUP TOTAL 1,495
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (1.2%)
Bank of America
Series A
8.375%, 5/1/07 AA $ 23 $ 23
Marine Midland Bank
NA Series 91-1 A7
8.50%, 4/25/22 AA 58 58
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 5,730 6,174
## Resolution Trust
Corp. Series 92-5 C
8.622%, 1/25/26 AA 6,110 6,256
Ryland Acceptance
Corp. IV Series 79-A
6.65%, 7/1/11 AA 5,745 5,505
+ Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 550 538
- ---------------------------------------------------------
GROUP TOTAL 18,554
- ---------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES--
AGENCY COLLATERAL SERIES (0.5%)
< Government National
Mortgage Association
Principal Strips,
11/20/05 Agy 252,730 8,269
- ---------------------------------------------------------
TELEPHONES (3.2%)
Continental
Cablevision, Inc.
(+) 8.30%, 5/15/06 BB 5,300 5,505
9.50%, 8/1/13 BB+ 3,200 3,560
Comcast Cellular Corp.
Series:
A Zero Coupon,
3/5/00 B+ 7,800 5,704
B Zero Coupon,
3/5/00 B+ 350 256
Lenfest
Communications, Inc.
8.375%, 11/1/05 BB+ 7,225 6,968
Rogers Cablesystems
10.00%, 3/15/05 BB+ 7,775 8,134
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 6,900 7,165
9.875%, 6/15/22 BBB- 4,350 5,004
360 Communications Co.
7.50%, 3/1/06 BBB- 6,395 6,253
- ---------------------------------------------------------
GROUP TOTAL 48,549
- ---------------------------------------------------------
TRANSPORTATION (1.1%)
Delta Airlines Trust
Series 93 B2
10.06%, 1/2/16 BB+ 6,900 8,080
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
RATINGS FACE
STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Jet Equipment
Trust Series:
94-AB1
10.91%, 6/15/06 BB+ $ 1,730 $ 1,988
95-5AC
10.69%, 5/1/15 BBB- 6,325 7,108
- ---------------------------------------------------------
GROUP TOTAL 17,176
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (4.0%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,175 2,651
U.S. Treasury Strips
Principal Only,
5/15/18 Tsy 73,000 15,547
2/15/19 Tsy 32,800 6,613
8/15/20 Tsy 202,250 36,755
- ---------------------------------------------------------
GROUP TOTAL 61,566
- ---------------------------------------------------------
YANKEE (2.6%)
#+ Brazil Par Series Z-L
4.25%, 4/15/24 B1 11,200 5,712
CFE Petacalco Topolobamp
8.125%, 12/15/03 BB 4,650 3,875
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 5,720 5,691
# Republic of Argentina
5.00%, 3/31/23 BB- 22,140 11,513
United Mexican States
6.25%, 12/31/19 BB 7,025 4,470
YPF SA
7.50%, 10/26/02 BBB 8,586 8,629
- ---------------------------------------------------------
GROUP TOTAL 39,890
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$1,565,071) 1,566,760
- ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
Unisys Corp.
Series A $3.75
(Cost $1,518) B- 44,850 1,312
- ---------------------------------------------------------
RIGHTS (0.0%)
- ---------------------------------------------------------
*@ Mexico Recovery Rights,
expiring 6/30/03 (Cost $0) 7,025,000 --
- ---------------------------------------------------------
CASH EQUIVALENTS (19.8%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Short-term Investments Held as
Collateral for Loaned
Securities (0.9%) $13,594 $ 13,594
- ---------------------------------------------------------
COMMERCIAL PAPER (13.6%)
Beneficial Corp.
5.36%, 5/2/96 30,000 29,862
CIT Group Holdings, Inc.
5.20%, 4/4/96 30,000 29,987
Ford Motor Credit Corp.
5.21%, 4/5/96 30,000 29,983
General Electric Capital Corp.
5.18%, 4/9/96 30,000 29,965
Household Finance Corp.
5.19%, 4/2/96 30,000 29,996
IBM Credit Corp.
5.37%, 4/15/96 30,000 29,937
Prudential Funding Corp.
5.34%, 4/30/96 30,000 29,871
- ---------------------------------------------------------
GROUP TOTAL 209,601
- ---------------------------------------------------------
REPURCHASE AGREEMENT (5.3%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96, due
4/1/96, to be repurchased at
$81,745, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$82,525 81,708 81,708
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $304,903) 304,903
- ---------------------------------------------------------
TOTAL INVESTMENTS (122.0%) (Cost
$1,871,492) 1,872,975
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.0%)
Dividends Receivable 42
Interest Receivable 18,585
Receivable for Fund Shares Sold 1,104
Receivable for Investments Sold 126,397
Unrealized Gain on Forward Foreign
Currency Contracts 1,464
Other Assets 1
Payable for Fund Shares Redeemed (374)
Payable for Investments Purchased (430,798)
Payable for Investment Advisory Fees (1,444)
Payable for Administrative Fees (104)
Payable for Daily Variation on Futures
Contracts (767)
Written Interest Rate Floors, at Value (38,124)
Collateral on Securities Loaned, at
Value (13,594)
Other Liabilities (607)
--------
(338,219)
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 130,550,812 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,534,756
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.76
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$34,305 or 2.2% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
ddag. 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.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity
date.
## Variable or floating rate security-rate disclosed
is as of March 31,1996.
< Structured Investments-Cash flows from this
security are paid monthly and are equal to 1% per
annum of the outstanding notional balance of
certain Government National Mortgage Association
Adjustable Rate Mortgage Pools. See Note A7 to
Financial Statements.
@ Value is less than $500.
/ / 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
March 31, 1996.
IO Interest Only.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
REIT Real Estate Investment Trust.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
CAD Canadian Dollar.
DEM German Mark.
DKK Danish Krone.
ECU European Currency Unit.
ESP Spanish Peseta.
NLG Netherlands Guilder.
</TABLE>
DOMESTIC FIXED
INCOME PORTFOLIO
(UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Domestic Fixed Income Portfolio invests in all sectors of the domestic bond
market without investing in securities rated below A at the time of purchase.
Miller Anderson & Sherrerd constructs a diversified fund with a maturity and
duration structure reflecting long-term views on interest rates and inflation.
MAS selects investments in U.S. Treasuries, agencies, corporate bonds, mortgages
and other fixed-income securities based upon relative value in the marketplace.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 1.9 % 2.5 %
ONE YEAR 10.5 10.9
FIVE YEARS 10.2 8.6
SINCE INCEPTION 10.3 9.8
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Domestic Fixed Income Portfolio from
exceeding 0.50% of average daily net assets.
* Inception date for the MAS Funds - Domestic Fixed Income Portfolio: 12/19/94;
Select Fixed Income: 9/30/87. Pursuant to a vote of the Portfolio's shareholders
on December 19, 1994, the Portfolio's investment policies were changed to
emphasize fixed-income securities of domestic issuers that have been rated A or
higher. Therefore, it is reasonable to expect that its performance pattern will
be somewhat altered.
Returns since inception on 9/30/87 to 3/31/96 for the Domestic Fixed Income
Portfolio are compared to the Salomon Broad Investment Grade Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (89.1%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.5%)
## Government National
Mortgage Association II:
Various Pools:
6.00%,
2/20/24-6/20/24 Agy $2,551 $ 2,553
6.50%,
3/20/22-1/1/26 Agy 3,627 3,645
7.00%, 11/20/24 Agy 588 594
- ---------------------------------------------------------
GROUP TOTAL 6,792
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (43.7%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
11.00%, 5/1/20 Agy 318 354
April TBA
10.00%, 4/15/16 Agy 575 630
Gold Pools:
12.00%, 11/1/19 Agy 139 157
April TBA
7.00%,
8/15/23-8/15/25 Agy 6,175 6,023
Federal National Mortgage
Association
Conventional Pools:
9.50%,
2/1/20-8/1/21 Agy 1,301 1,389
10.00%, 5/1/22 Agy 198 217
11.50%, 9/1/25 Agy 260 293
April TBA
7.00%,
11/15/25-12/15/25 Agy 8,450 8,233
May TBA
7.00%, 10/1/23 Agy 3,575 3,478
Government National Mortgage
Association
Various Pools:
10.00%
9/15/18-1/15/19 Agy 54 60
10.50%
5/15/19-7/15/21 Agy 176 197
11.00%
12/15/09-1/15/10 Agy 40 45
12.00%
12/15/12-7/15/15 Agy 176 203
April TBA
7.00%, 6/15/24 Agy 2,200 2,143
May TBA
7.50%,
2/15/26-3/15/26 Agy 7,850 7,825
- ---------------------------------------------------------
GROUP TOTAL 31,247
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.5%)
## Airplanes Pass Through
Trust Series 1 B
6.475%, 3/15/19 A $ 160 $ 160
ALPS Series 94-1
A4 CMO
7.80%, 9/15/04 AA 150 154
(+)# Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 28 28
- ---------------------------------------------------------
GROUP TOTAL 342
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
+ Security Pacific
Home Equity Trust
Series 91-A A2
8.90%, 3/10/06 Aaa 82 83
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.3%)
Collateralized
Mortgage Obligation
Trust Series
86-16 Q Inv Fl
12.00%, 3/20/18 AAA 181 193
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (8.8%)
Chemical Mortgage
Securities, Inc.
Series 96-1 A9
7.25%, 1/25/26 AAA 400 386
Citicorp Mortgage
Securities, Inc.
Series:
90-11 A5
9.50%, 7/25/20 AAA 84 84
94-7 A5
6.25%, 4/25/24 AAA 200 167
++(+) 95-2 B1
7.50%, 4/25/25 AA 199 194
sec. 95-3 A6
7.50%, 11/25/25
(acquired
10/10/95, cost
$192) AAA 349 346
Countrywide Mortgage
Backed Securities,
Inc.
Series 93-C A11
6.50%, 1/25/24 AAA 244 223
sec. First Boston
Mortgage Securities
Corp.
Series 93-5 B1
7.30%, 7/25/23
(acquired 7/19/95,
cost $231) A 243 230
GE Capital Mortgage
Services, Inc.
Series:
92-10A F
7.50%, 8/25/22 AAA 250 243
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
+ 94-19 M
7.50%, 8/25/24 A2 $ 197 $ 197
94-24 A4
7.00%, 7/25/24 AAA 218 201
94-27 A6
6.50%, 7/25/24 AAA 250 220
95-9 A6
7.50%, 11/25/25 AAA 299 295
+sec. Independent
National Mortgage
Corp.
Series 94-O B1
7.875%, 9/25/24
(acquired 11/9/95,
cost $246) A2 247 240
Mid-State Trust
Series 88-2 A4
9.625%, 4/1/03 AAA 100 110
PNC Mortgage
Securities Corp.
Series 94-3 A8
7.50%, 7/25/24 AAA 150 145
Prudential Home
Mortgage Securities
Co.,
Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 53 53
sec. 95-2 M
8.50%, 6/25/25
(acquired 4/28/95,
cost $273) AA 275 279
Residential Funding
Mortgage Securities
Co.,
Inc. Series:
sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired 7/17/95,
cost $140) N/R 150 139
sec. 93-S27 M2
7.50%, 6/25/23
(acquired 7/21/95,
cost $235) A 244 234
sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95,
cost $226) AAA 244 223
95-R20 A5
7.50%, 12/25/25 AAA 249 245
95-S11 A16
7.50%, 9/25/25 AAA 199 198
95-S16 A7
7.50%, 11/25/25 AAA 299 293
95-S17 A8
7.50%, 12/25/25 AAA 274 269
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA $ 589 $ 575
87-1 M
3.33%, 4/1/26 A- 449 413
87-2 C
6.83%, 4/1/26 AAA 86 86
- ---------------------------------------------------------
GROUP TOTAL 6,288
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (5.2%)
American Southwest
Financial Securities
Corp.
Series 95-C1 A1B
7.40%, 11/17/04 AAA 225 230
Asset Securitization
Corp.
Series:
95-D1 A1
7.59%, 8/11/27 AAA 223 230
95-MD4 A1
7.10%, 8/13/29 AAA 274 275
(+) Carousel Center
Finance, Inc.
Series 1 B
7.188%, 11/15/07 A 325 322
(+) CBM Funding Corp.
Series 96-1 A3PI
7.08%, 2/1/13 AA 250 248
(+) Creekwood Capital
Corp.
Series 95-1A
8.47%, 3/16/15 AA 247 260
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 441 437
+(+) DeBartolo Capital
Corp.
Series A2
7.48%, 5/1/04 Aaa 150 155
(+) DLJ Mortgage
Acceptance Corp.
Series 95-CF2 A3
7.05%, 12/17/27 A 300 290
(+) Equitable Life
Assurance
Society of the U.S.
Series 1A
6.633%, 7/23/03 AA 250 246
J.P. Morgan Commercial
Mortgage Finance
Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 153 154
(+) Lakewood Mall
Finance Co. Series
95-C1 A
7.00%, 8/13/10 AA 125 123
Merrill Lynch Mortgage
Investors, Inc.
Series 96-C1 A3
7.42%, 3/25/26 AAA 275 278
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Mortgage Capital
Funding, Inc.
Series 95-MC1 A1B
7.60%, 5/25/27 AAA $ 225 $ 230
++ Nomura Asset
Securities Corp.
Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 100 103
94-MD1 A2
7.676%, 3/15/18 AA 125 129
- ---------------------------------------------------------
GROUP TOTAL 3,710
- ---------------------------------------------------------
ENERGY (0.3%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 225 218
- ---------------------------------------------------------
FINANCE (9.1%)
## Caterpillar Financial
Services
5.513%, 6/20/97 A 250 250
+## Corestates Capital
5.29%, 10/16/96 A1 275 275
## Dean Witter
Discover & Co.
5.45%, 11/15/96 A 325 325
(+) Equitable Life Assurance
Society of the U.S.
7.70%, 12/1/15 A- 250 246
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 574 549
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 250 241
First National Bank
of Chicago Series 93-A
8.08%, 1/5/18 A+ 325 336
## General Electric
Capital Corp.
5.31%, 6/3/96 AAA 550 550
## International Lease
Finance
6.00%, 10/15/97 A+ 400 402
John Hancock
Surplus Note
7.375%, 2/15/24 AA 250 236
## Marshall & Ilsley Bank
5.465%, 5/26/97 A+ 325 325
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 250 245
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 375 344
## NationsBank Texas
5.50%, 6/18/97 A+ 250 250
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Nationwide Mutual
Insurance Co.
7.50%, 2/15/24 AA- $ 350 $ 320
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 320 303
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 250 240
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 225 228
## Toyota Motor Credit
5.29%, 6/3/96 AAA 550 550
## Wells Fargo & Co.
5.438%, 8/16/96 A- 325 325
- ---------------------------------------------------------
GROUP TOTAL 6,540
- ---------------------------------------------------------
/ / HEDGED MORTGAGES (0.2%)
Federal Home Loan
Mortgage Corporation
Series 1699-SD
Inv Fl IO
REMIC
2.563%, 3/15/24 Agy 2,084 140
- ---------------------------------------------------------
INDUSTRIALS (0.8%)
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 275 275
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 300 282
- ---------------------------------------------------------
GROUP TOTAL 557
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
##sec. Gemsco Mortgage
Pass thru Certificate
Series 83-TX A
8.635%, 11/25/10
(acquired 9/9/88,
cost $336) AA 365 369
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 153 165
## Resolution Trust Corp.
Series 92-5 C
8.622%, 1/25/26 AA 60 61
- ---------------------------------------------------------
GROUP TOTAL 595
- ---------------------------------------------------------
TELEPHONES (0.4%)
AT&T Corp.
8.35%, 1/15/25 AA 250 266
- ---------------------------------------------------------
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.4%)
(+) Jet Equipment Trust
Series 95-A A11
10.00%, 6/15/12 A $ 275 $ 312
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (9.0%)
ddag. U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,500 3,047
U.S. Treasury Note
5.125%, 11/30/98 Tsy 750 735
U.S. Treasury Strips
Principal Only
5/15/18 Tsy 3,500 745
2/15/19 Tsy 1,000 202
8/15/20 Tsy 9,425 1,713
- ---------------------------------------------------------
GROUP TOTAL 6,442
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $64,335) 63,725
- ---------------------------------------------------------
CASH EQUIVALENTS (49.4%)
- ---------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(0.5%) 412 412
- ---------------------------------------------------------
COMMERCIAL PAPER (35.2%)
Abbott Laboratories
5.33%, 4/26/96 1,400 1,395
American General Finance
Corp.
5.21%, 4/10/96 1,400 1,398
Amoco Co.
5.20%, 4/3/96 1,400 1,400
Anheuser-Busch Cos., Inc.
5.20%, 4/3/96 1,400 1,400
AT&T Capital Corp.
5.33%, 5/13/96 1,400 1,391
Beneficial Corp.
5.36%, 5/2/96 1,400 1,393
CIT Group Holdings, Inc.
5.20%, 4/4/96 1,400 1,399
Commercial Credit Corp.
5.21%, 4/12/96 1,400 1,398
Ford Motor Credit Corp.
5.21%, 4/5/96 1,400 1,399
General Electric Capital
Corp.
5.18%, 4/9/96 1,400 1,398
Household Finance Corp.
5.19%, 4/2/96 1,400 1,400
IBM Credit Corp.
5.19%, 4/11/96 1,400 1,398
John Deere Capital Corp.
5.20%, 4/12/96 1,400 1,398
Norwest Financial, Inc.
5.20%, 4/17/96 1,400 1,397
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
PepsiCo, Inc.
5.35%, 5/2/96 $1,400 $ 1,399
Philip Morris Cos., Inc.
5.20%, 4/4/96 1,400 1,399
Prudential Funding Corp.
5.34%, 4/30/96 1,400 1,394
Toyota Motor Credit Corp.
5.34%, 5/2/96 1,400 1,394
- ---------------------------------------------------------
GROUP TOTAL 25,150
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (13.7%)
The Chase Manhattan Bank,
N.A.
5.35%, dated 3/29/96, due
4/1/96, to be repurchased at
$3,265, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$3,294 3,263 3,263
Goldman Sachs & Co.
5.18%, dated 3/29/96, due
4/1/96, to be repurchased at
$3,263, collateralized by
U.S. Treasury Bond, 13.75%,
due 8/15/04, valued at
$3,348 3,262 3,262
Merrill Lynch & Co.
5.15%, dated 3/29/96, due
4/1/96, to be repurchased at
$3,263, collateralized by
U.S. Treasury Note, 4.375%,
due 8/15/96, valued at
$3,329 3,262 3,262
- ---------------------------------------------------------
GROUP TOTAL 9,787
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $35,349) 35,349
- ---------------------------------------------------------
TOTAL INVESTMENTS (138.5%) (Cost $99,684) 99,074
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-38.5%)
Interest Receivable 308
Receivable for Investments
Sold 8,706
Receivable for Daily Variation on
Futures Contracts 8
Payable for Investments Purchased (35,962)
Payable for Investment Advisory Fees (61)
Payable for Administrative
Fees (5)
Payable to Custodian (63)
Written Interest Rate Floor, at Value (92)
Collateral on Securities Loaned, at
Value (412)
Other Liabilities (10)
-------
(27,583)
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO
VALUE
(CONT'D) (000)dag.
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
<S> <C>
Applicable to 6,561,917 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $71,491
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.89
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$2,060 or 2.9% of net assets.
dag. See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
ddag. 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.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1996.
/ / Security 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
March 31, 1996.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc,
Standard & Poor's Corporation or Fitch.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
</TABLE>
HIGH YIELD
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The High Yield Portfolio applies Miller Anderson & Sherrerd's analytical
capabilities in a specialized fixed-income fund, investing primarily in below-
investment-grade corporate bonds selected through study of the credit-worthiness
of the underlying companies. MAS strategy uses equity and fixed-income valuation
techniques and analyses of economic and industry trends to determine the
Portfolio's structure. Individual securities are selected and monitored by
managers specializing in corporate bonds and using in-depth financial analysis
to uncover opportunities in undervalued issues.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 6.3 % 5.0 %
ONE YEAR 22.6 14.8
FIVE YEARS 15.2 14.6
SINCE INCEPTION 11.2 11.6
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the High Yield Portfolio from exceeding
0.525% of average daily net assets.
* Returns since inception on 2/28/89 to 3/31/96 for the High Yield Portfolio are
compared to the Salomon High Yield Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.3%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
---------------------------------------------------------
<S> <C> <C> <C>
CABLE (10.0%)
ddag. Comcast Corp.
(Convertible)
1.125%, 4/15/07 B+ $ 5,750 $ 2,861
# Comcast UK
Cable Partners
0.00%, 4/15/04 CCC- 4,800 2,970
0.00%, 11/15/07 B 2,200 1,287
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 8,100 7,812
# Marcus Cable Co.
0.00%, 12/15/05 B 8,275 5,358
Rogers Cablesystems
BB+
9.65%, 1/15/14 CAD 6,150 4,067
10.00%, 3/15/05 BB+ $ 2,550 2,668
# Telewest plc
0.00%, 10/1/07 BB 5,785 3,493
- ---------------------------------------------------------
GROUP TOTAL 30,516
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (9.6%)
sec. CBA Mortgage Corp.
Series 93-C1 E
7.154%, 12/25/03
(acquired
8/18/95,
cost $1,349) BB 1,675 1,375
+ Citicorp Mortgage
Securities, Inc.
Series 90-8 A7
9.50%, 6/25/05 Ba1 3,024 2,446
CMC Securities Corp.
III Series:
++sec. 94-C B3
6.75%, 3/25/24
(acquired
4/21/95,
cost $431) BB 651 456
(+) 94-E B3
6.50%, 3/25/24 BB 2,703 1,753
++(+) CMC Securities
Corp. IV
Series 94-G B3
7.00%, 9/25/24 BB 753 503
++sec. Countrywide
Funding Corp.
Series 95-4 B3
7.50%, 9/25/25
(acquired
1/19/96, cost
$1,171) BB 1,473 1,133
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Countrywide Mortgage
Securities Series:
(+) 93-E B4
6.50%, 1/25/24 BB $ 1,007 $ 673
94-G B3
6.50%, 2/15/24 N/R 2,195 1,529
++sec. DLJ Mortgage
Acceptance Corp.
Series 94-3 B3
6.50%, 4/25/24
(acquired 5/8/95,
cost $944) BB 1,406 964
+(+) First Boston Mortgage
Securities Corp.
Series 92-4R 2
8.025%, 10/25/22 Ba3 1,403 987
(+) GE Capital Mortgage
Services, Inc.
Series:
++ 94-8 B3
6.00%, 2/25/24 BB 395 267
++ 94-9 B3
6.50%, 2/25/24 BB 1,076 769
94-28 B3
8.00%, 8/25/24 N/R 1,400 1,091
Prudential Home
Mortgage Securities
Co., Inc. Series:
+(+) 92-A 3B2
7.90%, 4/28/22 Baa3 3,900 2,418
(+) 93-B 4B
7.836%, 4/28/23 BB 4,083 3,291
(+) 95-5 B3
7.25%, 9/25/25 BB 590 471
(+) 95-7 B3
7.00%, 11/25/25 BB 667 522
(+) 95-D B4
7.539%, 10/28/25 BB 1,677 1,384
sec. 95-F B2
6.625%, 12/25/23
(acquired
11/8/95,
cost $1,564) N/R 2,600 1,559
++(+) 96-5 B3
7.25%, 4/25/26 BB 1,478 1,119
Residential Funding
Mortgage Securities
Co., Inc. Series:
sec. 95-S10 B1
7.50%, 7/25/25
(acquired
8/25/95,
cost $470) BB 620 469
sec. 95-S11 B1
7.50%, 9/25/25
(acquired
8/25/95,
cost $982) BB 1,296 982
++sec. 95-S16 B3
7.50%, 8/15/24
(acquired
9/20/95,
cost $966) BB 1,251 954
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
## Ryland Mortgage
Securities Corp.
Series 92-A C1
8.301%, 3/29/30 BB $ 700 $ 566
Saxon Mortgage
Securities Corp.
Series:
sec. 93-8A B3
7.30%, 9/25/23
(acquired 2/9/94,
cost $748) BB 875 614
(+) 94-2 B3
6.75%, 1/25/24 BB 1,611 1,042
- ---------------------------------------------------------
GROUP TOTAL 29,337
- ---------------------------------------------------------
CONSUMER SERVICES/PRODUCTS (7.4%)
#(+) AMF Group, Inc.
0.00%, 3/15/06 B- 3,315 1,823
Beverly Enterprises,
Inc.
9.00%, 2/15/06 B+ 1,910 1,824
Coleman Holdings,
Inc.
Zero Coupon,
5/27/98 B 1,650 1,367
** Heileman
Acquisition Co.
9.625%, 1/31/04 D 2,510 973
Marvel Parent
Holdings, Inc.
Zero Coupon,
4/15/98 B- 4,010 2,997
RJR Nabisco, Inc.
8.75%, 8/15/05 BBB- 4,535 4,426
# Six Flags Theme
Park
0.00%, 6/15/05 B 4,350 3,643
TLC Beatrice
International
Holdings, Inc.
11.50%, 10/1/05 BB- 2,650 2,650
Westpoint Stevens,
Inc.
9.375%, 12/15/05 B+ 2,800 2,783
- ---------------------------------------------------------
GROUP TOTAL 22,486
- ---------------------------------------------------------
ENERGY (1.9%)
Maxus Energy Corp.
9.50%, 2/15/03 BB- 1,100 1,090
9.875%, 10/15/02 BB- 850 853
10.83%, 9/1/04 BB- 3,475 3,619
* TransAmerican
Refining Corp.
(Warrants,
expiring
2/15/02) (1)49,570 98
- ---------------------------------------------------------
GROUP TOTAL 5,660
- ---------------------------------------------------------
FINANCE (7.3%)
First Union REIT
8.875%, 10/1/03 BB+ 1,200 1,129
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Home Holdings, Inc.
8.625%, 12/15/03 B- $ 6,750 $ 5,661
MDC Holdings, Inc.
11.125%, 12/15/03 B 2,550 2,477
# Mutual Life
Insurance Co. of New
York
0.00%, 8/15/24 BBB 4,575 3,740
Reliance Group
Holdings, Inc.
9.00%, 11/15/00 BB+ 4,400 4,455
Riggs National Corp.
Series B
10.75% (Preferred
Stock) N/R (1)45,500 1,263
##(+) United Savings
of Texas
8.55%, 5/15/98 BB+ 3,505 3,508
- ---------------------------------------------------------
GROUP TOTAL 22,233
- ---------------------------------------------------------
INDUSTRIALS (19.8%)
AK Steel Corp.
10.75%, 4/1/04 B+ 3,000 3,308
Algoma Steel, Inc.
12.375%, 7/15/05 B 3,500 3,456
Consolidated Hydro,
Inc.
13.50% (Preferred
Stock) N/R (1)1,500 459
@*(+) Consolidated
Hydro, Inc.
(Warrants,
expiring
12/31/03) (1)2,700 --
(+) Courtyard by
Marriott
10.75%, 2/1/08 B- 3,460 3,396
Crown Paper Co.
11.00%, 9/1/05 B 3,185 2,958
DR Securitized Lease
Trust Series:
93-K1 A1
6.66%, 8/15/10 BB 2,373 1,865
93-K1 A2
7.43%, 8/15/18 BB 1,450 1,058
94-K1 A2
8.375%, 8/15/15 BB 525 412
DR Structured Finance
Series
94-K2
9.35%, 8/15/19 BB 600 512
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 2,100 2,079
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 5,300 4,704
G-I Holdings, Inc.
Zero Coupon,
10/1/98 B+ 3,280 2,620
(+) 10.00%,
2/15/06 B+ 3,124 3,167
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Harris Chemical
Group, Inc.
10.25%, 7/15/01 B+ $ 2,800 $ 2,772
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,050 4,949
Kmart Funding Corp.
Series F
8.80%, 7/1/10 BB 4,600 3,924
La Quinta Inns, Inc.
9.25%, 5/15/03 BB+ 1,955 2,045
(+)# Norcal Waste
Systems, Inc.
12.50%, 11/15/05 BB- 2,900 3,036
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 2,225 2,448
Revlon Worldwide
Corp.
Zero Coupon,
3/15/98 B- 3,970 3,116
Riverwood
International Corp.
10.25%, 4/1/06 B 1,655 1,669
SD Warren Co.
12.00%, 12/15/04 B+ 3,465 3,664
Stone Container Corp.
10.75%, 10/1/02 BB- 2,800 2,804
- ---------------------------------------------------------
GROUP TOTAL 60,421
- ---------------------------------------------------------
SUPERMARKETS (1.8%)
Big V Supermarkets,
Inc.
11.00%, 2/15/04 B- 2,320 2,065
Grand Union Co.
(Common Stock) (1)164,800 989
Ralph's Grocery Co.
10.45%, 6/15/04 B 2,400 2,307
- ---------------------------------------------------------
GROUP TOTAL 5,361
- ---------------------------------------------------------
TECHNOLOGY (2.0%)
## Blue Bell Funding
11.85%, 5/1/99 BB- 1,125 1,105
(+) Unisys Corp.
12.00%, 4/15/03 B+ 925 926
Unisys Corp. Series A
$3.75 (Convertible
Preferred Stock) B- (1)138,400 4,048
- ---------------------------------------------------------
GROUP TOTAL 6,079
- ---------------------------------------------------------
TELEPHONES (9.4%)
Continental
Cablevision, Inc.
(+) 8.30%, 5/15/06 BB 1,600 1,662
9.50%, 8/1/13 BB+ 4,200 4,673
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Comcast Cellular
Corp. Series:
A Zero Coupon,
3/5/00 B+ $ 2,800 $ 2,048
B Zero Coupon,
3/5/00 B+ 6,375 4,662
@* Dial Call
Communications, Inc.
(Warrants,
expiring 4/25/99) (1)4,800 --
(+)# EchoStar
Satellite Broadcast
0.00%, 3/15/04 B- 5,835 3,537
# MFS Communications,
Inc.
0.00%, 1/15/06 B 5,220 3,269
# Nextel
Communications
0.00%, 8/15/04 CCC- 15,225 8,926
- ---------------------------------------------------------
GROUP TOTAL 28,777
- ---------------------------------------------------------
TRANSPORTATION (4.2%)
Airplanes Pass
Through Trust Series
1D
10.875%, 3/15/19 BB 1,800 1,845
(+) Jet Equipment
Trust Series:
94-A B1
10.91%, 6/15/06 BB+ 1,348 1,549
95-A C
10.69%, 5/1/15 BBB 2,200 2,472
95-D C
11.44%, 11/1/14 BB+ 2,350 2,601
USAir, Inc. Series:
93-A3
10.375%, 3/1/13 B+ 3,275 3,263
F
10.55%, 4/1/05 B+ 625 622
10.70%, 1/15/06 B+ 296 296
- ---------------------------------------------------------
GROUP TOTAL 12,648
- ---------------------------------------------------------
UTILITIES (2.8%)
Cleveland Electric
Series:
B 9.50%, 5/15/05 BB 2,075 2,044
sec. Q $91.50
(Preferred Stock)
(acquired
5/10/95,
cost $2,397) N/R (1)2,700 2,430
First PV Funding
Corp.
10.15%, 1/15/16 B+ 3,800 3,985
- ---------------------------------------------------------
GROUP TOTAL 8,459
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
YANKEE (14.1%)
APP International
Finance
11.75%, 10/1/05 BB $ 5,110 $ 4,976
+# Brazil Par Series
Z-L
4.25%, 4/15/24 B1 23,950 12,215
(+) Cemex
8.50%, 8/31/00 N/R 1,400 1,283
## Central Bank of
Argentina
Bocon PIK Pre 4
5.3203%, 9/1/02 N/R 9,350 7,714
CFE Petacalco
Topolobamp
8.125%, 12/15/03 BB 2,975 2,479
*@ Mexico Recovery
Rights, expiring
6/30/03 (1)4,325,000 --
RAPP International
Finance
13.25%, 12/15/05 B+ 2,000 1,973
# Republic of
Argentina
5.00%, 3/31/23 BB- 13,300 6,916
(+) Transgas de
Occidente S.A.
9.79%, 11/1/10 BBB- 2,800 2,714
United Mexican States
6.25%, 12/31/19 BB 4,325 2,752
- ---------------------------------------------------------
GROUP TOTAL 43,022
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $280,658) 274,999
- ---------------------------------------------------------
CASH EQUIVALENTS (6.6%)
- ---------------------------------------------------------
COMMERCIAL PAPER (4.9%)
American Express Credit
Corp.
5.30%, 4/18/96 3,000 2,992
Ford Motor Credit Corp.
5.36%, 4/26/96 3,000 2,989
General Electric Capital
Corp.
5.23%, 4/11/96 3,000 2,995
IBM Credit Corp.
3.62%, 5/22/96 3,000 2,985
Transamerica Corp.
5.19%, 4/4/96 3,000 2,999
- ---------------------------------------------------------
GROUP TOTAL 14,960
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (1.7%)
The Chase Manhattan Bank,
N.A. 5.35%, dated
3/29/96, due 4/1/96, to
be repurchased at $5,199,
collateralized by various
U.S. Government
Obligations, due
5/31/96-5/31/97, valued
at $5,247 $ 5,197 $ 5,197
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $20,157) 20,157
- ---------------------------------------------------------
TOTAL INVESTMENTS (96.9%) (Cost $300,815) 295,156
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (3.1%)
Cash 1
Dividends Receivable 130
Interest Receivable 5,777
Receivable for Fund Shares Sold 38
Receivable for Investments Sold 9,251
Unrealized Gain on Swap Contracts 3
Payable for Fund Shares Redeemed (4)
Payable for Investments Purchased (5,422)
Payable for Investment Advisory Fees (272)
Payable for Administrative Fees (21)
Payable for Daily Variation on Futures
Contracts (74)
Other Liabilities (29)
--------
9,378
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 33,444,840 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $304,534
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.11
- ---------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1996 was $10,936 or
3.6% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
** Non-income producing. Defaulted security.
ddag. A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
@ Value is less than $500.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Fitch Rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 1996.
(1) Amount represents shares held by Portfolio.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at March
31, 1996.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PIK Payment-In-Kind Security.
REIT Real Estate Investment Trust.
CAD Canadian Dollar.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Cash Reserves Portfolio is a money market fund which invests in only the
highest quality short-term investment securities. The fund looks to maximize
current income while preserving capital and liquidity. The Portfolio purchases
cash equivalents of up to 13 months in maturity using high-grade (A1/P1)
commercial paper and other money market securities, such as repurchase
agreements and Treasury bills.
<TABLE>
<S> <C>
- ---------------------------------------------------------
SEC 7-DAY YIELDS AT 3/31/96
AVERAGE 5.06%
EFFECTIVE 5.19
- ---------------------------------------------------------
</TABLE>
The above MAS Funds Cash Reserves Portfolio yields are net of all fees. Yields
represent past performance and are not indicative of future results.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Cash Reserves Portfolio from exceeding
0.32% of average daily net assets.
An investment in the Cash Reserves Portfolio is neither insured nor guaranteed
by the U.S. Government. The Portfolio seeks to maintain, but does not guarantee,
a constant net asset value of $1.00 per share.
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (86.7%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
FACE
AMOUNT VALUE
MARCH 31, 1996 (000) (000)dag.
- --------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT AND LEISURE (2.3%)
Walt Disney Co.
5.23%, 4/17/96 $ 1,250 $ 1,247
- --------------------------------------------------------
FINANCE (43.6%)
American General Finance
Corp.
5.37%, 4/10/96 1,250 1,248
American Express Credit
Corp.
5.30%, 4/30/96 1,250 1,245
Aon Corp.
5.35%, 4/25/96 1,250 1,246
Associates Corp. of North
America
5.20%, 4/5/96 1,250 1,249
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- --------------------------------------------------------
<S> <C> <C>
Bank One
5.38%, 4/8/96 $ 1,250 $ 1,249
Beneficial Corp.
5.30%, 4/16/96 1,250 1,247
CIT Group Holdings, Inc.
5.20%, 4/5/96 1,250 1,249
Commercial Credit Co.
5.33%, 4/23/96 1,250 1,246
General Electric Capital
Corp.
5.35%, 4/29/96 1,250 1,245
Household Finance Corp.
5.28%, 5/1/96 1,250 1,244
IBM Credit Corp.
5.23%, 4/11/96 1,250 1,248
JC Penney Funding Corp.
5.18%, 4/2/96 1,250 1,250
Motorola Credit Corp.
5.30%, 4/22/96 1,250 1,246
Norwest Financial, Inc.
5.34%, 5/9/96 1,250 1,243
PHH Corp.
5.15%, 4/8/96 1,250 1,249
Prudential Funding Corp.
5.18%, 4/4/96 1,250 1,249
Suntrust Banks Inc.
5.40%, 4/16/96 1,250 1,247
Transamerica Corp.
5.19%, 4/3/96 1,250 1,250
Weyerhaeuser Mortgage Co.
5.30%, 5/3/96 1,250 1,244
- --------------------------------------------------------
GROUP TOTAL 23,694
- --------------------------------------------------------
INDUSTRIALS (16.0%)
E.I. DuPont de Nemours &
Co.
5.34%, 4/18/96 1,250 1,247
Gannett Co.
5.22%, 4/3/96 1,250 1,250
H.J. Heinz Co.
5.22%, 4/4/96 1,250 1,249
John Deere & Co.
5.22%, 4/9/96 1,250 1,249
Monsanto Co.
5.35%, 5/10/96 1,250 1,243
Pitney Bowes, Inc.
5.17%, 4/1/96 1,250 1,250
Siemens Corp.
5.25%, 4/26/96 1,250 1,245
- --------------------------------------------------------
GROUP TOTAL 8,733
- --------------------------------------------------------
MANUFACTURING AND RETAIL TRADE (9.2%)
Coca-Cola Co.
5.22%, 4/9/96 1,250 1,249
Colgate Palmolive Co.
5.25%, 4/15/96 1,250 1,247
Hershey Foods Corp.
5.30%, 4/22/96 1,250 1,246
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH RESERVES
PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)dag.
- --------------------------------------------------------
<S> <C> <C>
Philip Morris Cos., Inc.
5.25%, 4/18/96 $ 1,250 $ 1,247
- --------------------------------------------------------
GROUP TOTAL 4,989
- --------------------------------------------------------
TELECOMMUNICATIONS (13.3%)
Ameritech Corp.
5.15%, 4/8/96 1,250 1,249
AT&T Corp.
5.30%, 5/7/96 1,250 1,243
Bell Atlantic Corp.
5.34%, 4/10/96 1,027 1,026
BellSouth Telecommunications, Inc.
5.27%, 4/9/96 1,250 1,248
Southwestern Bell Telephone Co.
5.32%, 4/19/96 1,250 1,247
U.S. West Communications,
Inc.
5.43%, 4/8/96 1,250 1,249
- --------------------------------------------------------
GROUP TOTAL 7,262
- --------------------------------------------------------
UTILITIES (2.3%)
Pacific Gas & Electric Co.
5.32%, 4/29/96 1,250 1,245
- --------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $47,170) 47,170
- --------------------------------------------------------
VARIABLE RATE OBLIGATIONS (3.4%)
- --------------------------------------------------------
FINANCE (2.4%)
## Dean Witter Discover &
Co.
5.45%, 11/15/96 400 400
## First National Bank of
Chicago
5.438%, 5/10/96 400 400
## Wells Fargo & Co.
5.44%, 8/16/96 500 500
- --------------------------------------------------------
GROUP TOTAL 1,300
- --------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- --------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (1.0%)
## Toyota Motor Credit
Corp.
5.29%, 6/3/96 $ 525 $ 525
- --------------------------------------------------------
TOTAL VARIABLE RATE OBLIGATIONS (Cost $1,825) 1,825
- --------------------------------------------------------
REPURCHASE AGREEMENT (6.9%)
The Chase Manhattan Bank,
N.A. 5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $3,774,
collateralized by various
U.S. Government
Obligations, due 5/31/96-
2/15/15, valued at $3,854
(Cost $3,772) 3,772 3,772
- --------------------------------------------------------
TOTAL INVESTMENTS (97.0%) (Cost $52,767) 52,767
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (3.0%)
Interest Receivable 11
Receivable for Fund Shares
Sold 1,667
Payable for Fund Shares Redeemed (4)
Payable for Investment Advisory Fees (21)
Payable for Administrative
Fees (4)
Other Liabilities (36)
-------
1,613
- --------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------
Applicable to 54,379,561 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $54,380
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- --------------------------------------------------------
dag. See Note A1 to Financial Statements.
## Variable or floating rate security-rate disclosed is as
of March 31, 1996.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio II invests in all sectors of the bond market without
investing in fixed-income securities rated below A at the time of purchase.
Miller Anderson & Sherrerd constructs a diversified fund with a maturity and
duration structure reflecting long-term views on interest rates and inflation.
MAS selects investments in U.S. Treasuries, agencies, investment-grade corporate
bonds, mortgages, foreign and other fixed-income securities based upon relative
value in the marketplace.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C> <C>
SIX MONTHS 3.0 % 2.5 %
ONE YEAR 11.5 10.9
FIVE YEARS 9.3 8.6
SINCE INCEPTION 10.4 9.3
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 8/31/90 to 3/31/96 for the Fixed Income Portfolio
II are compared to the Salomon Broad Investment Grade Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (99.0%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (7.7%)
## Government National
Mortgage Association II
Various Pools:
6.00%,
1/20/24-4/20/25 Agy $ 6,239 $ 6,241
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
6.50%,
12/20/23-1/1/26 Agy $ 4,193 $ 4,215
7.00%, 10/20/23-
12/20/24 Agy 5,378 5,427
- ---------------------------------------------------------
GROUP TOTAL 15,883
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (33.2%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
8.25%, 10/1/06 Agy 130 133
10.00%, 1/1/20 Agy 488 532
10.25%, 7/1/09 Agy 354 386
11.00%, 1/1/16 Agy 509 568
11.25%,
9/1/10-12/1/14 Agy 760 848
11.50%, 2/1/00 Agy 4 5
April TBA
10.00%, 4/15/16 Agy 1,050 1,150
Gold Pools:
10.00%, 1/1/21 Agy 1,252 1,363
April TBA
7.00%, 8/15/23 Agy 17,425 16,995
Federal National
Mortgage
Association
Conventional
Pools:
10.00%, 5/1/22 Agy 1,191 1,304
10.50%, 11/1/17 Agy 189 210
10.75%, 8/1/13 Agy 107 119
11.25%,
11/1/00-8/1/13 Agy 347 386
11.50%, 9/1/25 Agy 1,041 1,172
April TBA
7.00%,
9/1/25-12/15/25 Agy 13,300 12,959
May TBA
7.00%, 10/1/23 Agy 8,325 8,099
Government National
Mortgage
Association
Various Pools:
10.00%,
1/15/14-3/15/18 Agy 333 370
10.50%, 12/15/00 Agy 18 20
11.00%,
2/15/10-2/15/19 Agy 1,337 1,504
11.50%,
8/20/14-1/20/18 Agy 43 48
May TBA
7.50%,
2/15/26-3/15/26 Agy 20,800 20,735
- ---------------------------------------------------------
GROUP TOTAL 68,906
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.7%)
## Airplanes Pass
Through Trust
Series 1 B
6.475%, 3/15/19 A $ 530 $ 530
ALPS Series 94-1 A4
CMO
7.80%, 7/15/99 AA 800 821
#(+) Equitable
Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 101 101
- ---------------------------------------------------------
GROUP TOTAL 1,452
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.6%)
Security Pacific
Home
Equity Trust
Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 91 91
91-A B
10.50%, 3/10/06 A+ 1,050 1,087
- ---------------------------------------------------------
GROUP TOTAL 1,178
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.4%)
Federal Home Loan
Mortgage
Corporation Series
89-47 F PAC-1 (11)
10.00%, 6/15/20 Agy 400 445
Federal National
Mortgage
Association
Series 92-33 S Inv Fl
12.24%, 3/25/22 Agy 305 309
- ---------------------------------------------------------
GROUP TOTAL 754
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (12.3%)
+ Chase Mortgage
Finance Corp.
Series:
93-N A8
6.75%, 11/25/24 Aaa 1,287 1,153
94-H A7
7.25%, 6/25/25 Aaa 1,600 1,493
Citicorp Mortgage
Securities, Inc.
Series:
90-11 A5
9.50%, 7/25/20 AAA 137 138
++(+) 95-2 B1
7.50%, 4/25/25 AA 791 771
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
First Boston
Mortgage
Securities Corp.
Series:
sec. 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93, cost
$331) A $ 344 $ 336
sec. 93-5 B1
7.30%, 7/25/23
(acquired
7/19/95, cost
$1,373) A 1,444 1,367
GE Capital Mortgage
Services, Inc.
Series:
94-24 A4
7.00%, 7/25/24 AAA 582 535
95-9 A6
7.50%, 11/25/25 AAA 1,322 1,303
95-11 A6
7.50%, 12/25/25 AAA 1,098 1,067
++##sec. Kidder
Peabody Funding
Corp.
Series 92-4 B2
8.515%, 5/28/22
(acquired
8/5/92, cost
$301) A 300 296
Mid-State Trust
Series 88-2 A4
9.625%, 4/1/03 AAA 1,050 1,153
PNC Mortgage
Securities Corp.
Series 94-3 A8
7.50%, 7/25/24 AAA 2,117 2,041
Prudential Home
Mortgage
Securities
Co., Inc. Series:
+sec. 92-33 B1
7.50%, 8/15/22
(acquired
9/14/92, cost
$532) AAA 560 536
(+) 92A-B2 4
7.90%, 4/28/22 AA 1,000 916
+sec. 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93, cost
$583) Aa2 606 587
++##(+) 94-A 3B3
6.803%, 4/28/24 A 1,450 1,315
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Residential Funding
Mortgage
Securities Co.,
Inc. Series:
92-S6 M
7.50%, 2/25/22 AA $ 1,352 $ 1,339
93-MZ1 A2
7.47%, 3/2/23 AA 1,000 985
93-MZ2 A2
7.47%, 5/30/23 AA 650 627
++ 93-MZ3 A2
6.97%, 8/28/23 AA 700 647
sec. 93-S27 M2
7.50%, 6/25/23
(acquired
7/21/95, cost
$779) A 810 777
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95, cost
$658) AAA 781 728
95-R20 A5
7.50%, 12/25/25 AAA 998 981
95-S11 A16
7.50%, 9/25/25 AAA 1,144 1,140
Rural Housing Trust
Series:
87-1 M
3.33%, 4/1/26 A- 1,614 1,485
87-2 C
6.83%, 4/1/26 AAA 600 595
## Ryland Mortgage
Securities Corp
Series 92-A 1A
8.301%, 3/29/30 A- 609 611
sec.+ Salomon
Brothers Mortgage
Securities
Series
93-3 B1
7.20%, 8/25/23
(acquired
7/26/95, cost
$605) Aa2 633 604
- ---------------------------------------------------------
GROUP TOTAL 25,526
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (8.5%)
American Southwest
Financial
Securities Corp.
Series:
++ 93-2 A1
7.30%, 1/18/09 AA 1,213 1,217
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 1,250 1,277
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Asset
Securitization
Corp. Series:
95-D1 A1
7.59%, 8/11/27 AAA $ 1,290 $ 1,330
95-MD4 A1
7.10%, 8/13/29 AAA 1,194 1,200
Beverly Finance
Corp.
8.36%, 7/15/04 AA- 675 706
(+) Carousel Center
Finance, Inc.
Series 1 B
7.188%, 10/15/07 A 1,400 1,387
(+) CBM Funding
Corp.
Series 96-1 A3PI
7.08%, 2/1/13 AA 950 944
(+) Creekwood
Capital Corp.
Series 95-1A
8.47%, 3/16/15 AA 741 779
(+) CVM Finance
Corp.
7.19%, 4/1/04 AA 589 584
+(+) DeBartolo
Capital Corp.
Series A2
7.48%, 5/1/04 Aaa 400 412
(+) DLJ Mortgage
Acceptance Corp.
Series 95-CF 2 A3
7.05%, 12/17/05 A 1,100 1,062
(+) Equitable Life
Assurance Society
of the U.S. Series
1A
6.633%, 7/23/03 AA 1,150 1,134
(+) FSA Finance,
Inc.
Series 95-1A
7.42%, 6/1/07 AA 688 700
J.P. Morgan
Commercial Mortgage
Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 851 860
(+) Lakewood Mall
Finance Co.
Series 95-C1 A
7.00%, 8/13/10 AA 900 888
Merrill Lynch
Mortgage
Investors, Inc.
Series 96-C1 A3
7.42%, 12/26/25 AAA 1,100 1,111
Mortgage Capital
Funding, Inc.
Series
95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,332
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
++# Nomura Asset
Securities Corp.
Series 94-MD1 A2
7.676%, 3/15/18 AA $ 750 $ 773
- ---------------------------------------------------------
GROUP TOTAL 17,696
- ---------------------------------------------------------
ENERGY (0.5%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 950 921
- ---------------------------------------------------------
FINANCE (8.0%)
## Bank of Hawaii,
Honolulu
5.343%, 11/25/96 A 750 750
## Caterpillar
Financial Services
5.513%, 6/20/97 A 1,350 1,350
Countrywide Funding
6.55%, 4/14/00 A 1,000 998
(+) Equitable Life
Assurance Society
of the U.S.
7.70%, 12/1/15 A- 825 813
## First Chicago
Corp.
5.558%, 10/3/97 A 1,525 1,526
(+) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 600 577
First National Bank
of Chicago
Series 93-A
8.08%, 1/5/18 A+ 1,100 1,138
## Household
Finance Corp.
5.475%, 8/11/97 A 1,350 1,350
John Hancock
Surplus Note
7.375%, 2/15/24 AA 900 850
(+) Massachusetts
Mutual Life
Insurance Co.
7.625%, 11/15/23 AA- 750 735
(+) Metropolitan
Life Insurance Co.
7.45%, 11/1/23 AA 950 872
(+) Nationwide
Mutual Insurance
Co.
7.50%, 2/15/24 AA- 1,250 1,142
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 1,325 1,256
(+) Principal
Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 825 793
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 725 734
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
## Wells Fargo &
Co.
5.438%, 8/16/96 A- $ 1,650 $ 1,650
- ---------------------------------------------------------
GROUP TOTAL 16,534
- ---------------------------------------------------------
FOREIGN GOVERNMENTS (14.6%)
Government of Canada
8.50%, 4/1/02 AA+ CAD 3,825 2,981
Government of Germany
7.125%, 1/29/03 AAA DEM 11,095 7,967
7.50%, 9/9/04 AAA 7,425 5,396
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 15,650 2,835
9.00%, 11/15/00 AAA 14,400 2,798
Netherlands Government
5.75%, 1/15/04 AAA NLG 5,975 3,521
8.50%, 3/15/01 AAA 2,825 1,932
Spanish Government
11.30%, 1/15/02 AA ESP 230,000 2,004
United Kingdom
9.125%, 2/21/01 AAA ECU 650 906
- ---------------------------------------------------------
GROUP TOTAL 30,340
- ---------------------------------------------------------
/ / HEDGED MORTGAGES (0.3%)
Federal Home Loan
Mortgage Corporation
Series 1699-SD
Inv Fl IO REMIC
2.563%, 3/15/24 Agy $10,576 711
- ---------------------------------------------------------
INDUSTRIALS (1.0%)
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 1,075 1,075
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 1,025 964
- ---------------------------------------------------------
GROUP TOTAL 2,039
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (2.3%)
Bank of America
Series A
8.375%, 5/1/07 AA 167 168
California Federal
Savings & Loan
Series 86-1A
8.80%, 1/1/14 AA 113 113
Chemical Mortgage
Securities, Inc.
Series 96-1 A9
7.25%, 1/25/26 AAA 999 965
(+) Fifty-Seventh
Street Associates
7.125%, 6/1/17 A 1,174 1,123
First Federal
Savings & Loan
Association
Series 92-C
8.75%, 6/1/06 AA 67 68
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Marine Midland Bank
NA Series 91-1A7
8.50%, 4/25/22 AA $ 4 $ 4
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 659 710
## Resolution Trust Corp.
Series 92-5 C
8.622%, 1/25/26 AA 640 655
Ryland Acceptance
Corp. IV Series
79-A
6.65%, 7/1/11 AA 956 916
Security Pacific
Home Equity Trust
Series 87-A1
8.00%, 1/25/02 AA 122 123
- ---------------------------------------------------------
GROUP TOTAL 4,845
- ---------------------------------------------------------
TELEPHONES (0.5%)
AT&T Corp.
8.35%, 1/15/25 AA 900 956
- ---------------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment
Trust
Series 95-A A11
10.00%, 6/15/12 A 950 1,079
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (7.9%)
U.S. Treasury Bonds
ddag. 7.875%,
2/15/21 Tsy 4,775 5,332
8.75%, 8/15/20 Tsy 25 30
U.S. Treasury
Strips
Principal Only
5/15/18 Tsy 10,000 2,130
2/15/19 Tsy 15,400 3,105
8/15/20 Tsy 31,900 5,797
- ---------------------------------------------------------
GROUP TOTAL 16,394
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $205,867)205,214
- ---------------------------------------------------------
CASH EQUIVALENTS (27.7%)
- ---------------------------------------------------------
Short-term Investments Held
as
Collateral for Loaned
Securities
(0.2%) 494 494
- ---------------------------------------------------------
COMMERCIAL PAPER (23.1%)
American General Finance
Corp.
5.35%, 4/16/96 4,000 3,991
Beneficial Corp.
5.36%, 5/2/96 4,000 3,982
CIT Group Holdings, Inc.
5.20%, 4/4/96 4,000 3,998
Commercial Credit Corp.
5.36%, 4/29/96 4,000 3,983
Ford Motor Credit Corp.
5.21%, 4/5/96 4,000 3,998
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
General Electric Capital
Corp
5.18%, 4/9/96 $ 4,000 $ 3,995
Household Finance Corp.
5.19%, 4/2/96 4,000 3,999
IBM Credit Corp
5.39%, 4/12/96 4,000 3,993
John Deere Capital Corp.
5.35%, 5/9/96 4,000 3,978
Norwest Financial, Inc.
5.34%, 5/7/96 4,000 3,979
Philip Morris Cos., Inc.
5.35%, 4/23/96 4,000 3,987
Prudential Funding Corp.
5.34%, 4/30/96 4,000 3,983
- ---------------------------------------------------------
GROUP TOTAL 47,866
- ---------------------------------------------------------
REPURCHASE AGREEMENT (4.4%)
The Chase Manhattan Bank,
N.A.
5.35%, dated 3/29/96, due
4/1/96, to be repurchased
at $9,209, collateralized
by various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$9,298 9,205 9,205
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $57,565) 57,565
- ---------------------------------------------------------
TOTAL INVESTMENTS (126.7%) (Cost $263,432) 262,779
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-26.7%)
Cash 1
Interest Receivable 1,600
Receivable for Fund Shares Sold 345
Receivable for Investments Sold 24,065
Unrealized Gain on Forward Foreign
Currency Contracts 190
Payable for Fund Shares Redeemed (28)
Payable for Investments Purchased (80,309)
Payable for Investment Advisory Fees (191)
Payable for Administrative Fees (14)
Payable for Daily Variation on
Futures Contracts (139)
Written Interest Rate Floors, at
Value (469)
Collateral on Securities Loaned, at
Value (494)
Other Liabilities (26)
--------
(55,469)
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
VALUE
(CONT'D) (000)dag.
- ---------------------------------------------------------
<S> <C>
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 18,530,195 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $207,310
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.19
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$5,231 or 2.5% of net assets.
dag. See Note A1 to Financial Statements.
ddag. A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 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
March 31, 1996.
IO Interest Only.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
CAD Canadian Dollar.
DEM German Mark.
DKK Danish Krone.
ECU European Currency Unit.
ESP Spanish Peseta.
NLG Netherlands Guilder.
</TABLE>
MORTGAGE-BACKED SECURITIES PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mortgage-Backed Securities Portfolio invests in a full range of mortgage
securities, collateralized mortgage obligations (CMOs), asset-backed securities,
U.S. Government, other fixed income securities and derivative instruments.
Miller Anderson & Sherrerd selects mortgages that appear most attractively
priced, while managing the Portfolio's prepayment risk, interest rate
sensitivity and yield curve sensitivity.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 2.8 % 2.9 %
ONE YEAR 10.3 10.5
SINCE INCEPTION 6.9 6.9
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Mortgage-Backed Securities Portfolio
from exceeding 0.50% of average daily net assets.
* Returns since inception on 1/31/92 to 3/31/96 for the Mortgage-Backed
Securities Portfolio are compared to the Lehman Mortgage Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (104.0%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.9%)
## Government National
Mortgage Association
II Various Pools:
6.50%,
3/20/22-2/20/24 Agy $ 4,879 $ 4,936
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (41.7%)
Federal Home Loan
Mortgage Corporation
Gold Pools:
April TBA
7.00%,
8/15/23-8/15/25 Agy 6,450 6,291
Federal National
Mortgage Association
Conventional Pools:
11.50%,
2/1/15-12/1/15 Agy 216 244
12.50%, 9/1/13 Agy 87 98
May TBA
7.00%, 10/15/25 Agy 1,500 1,459
Government National
Mortgage Association
Various Pools:
12.00%,
12/15/12-11/15/15 Agy 1,669 1,915
April TBA
7.00%, 11/15/24 Agy 2,450 2,387
May TBA
7.50%,
2/15/26-3/15/26 Agy 6,600 6,579
- ---------------------------------------------------------
GROUP TOTAL 18,973
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (1.5%)
Security Pacific Home
Equity Trust
Series 91-A B
10.50%, 3/10/06 A+ 645 667
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.9%)
Federal Home Loan
Mortgage Corporation
Series:
90-1007 F Inv Fl
22.882%, 1/15/20 Agy 15 17
90-129 H PAC
8.85%, 3/15/21 Agy 265 284
Federal National Mortgage
Association Series:
90-85 D
9.50%, 9/25/19 Agy 15 14
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
90-118 S Inv Fl
29.965%, 9/25/20 Agy $ 81 $ 120
91-G 20 S Inv Fl
21.066%, 6/25/21 Agy 100 125
92-33 S Inv Fl
12.24%, 3/25/22 Agy 265 269
93-5 M
7.00%, 1/25/08 Agy 282 281
Kidder Peabody Mortgage
Assets Trust Series:
87-B Principal Only
4/22/18 Agy 398 306
87-B IO
9.50%, 4/22/18 Agy 398 108
Morgan Stanley Mortgage
Trust Series
88-28 8 PAC
9.40%, 10/1/18 AAA 244 258
- ---------------------------------------------------------
GROUP TOTAL 1,782
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (27.2%)
American Housing
Trust Series V 1G
9.125%, 4/25/21 AAA 560 570
Citicorp Mortgage
Securities, Inc. Series
93-9 A1
7.00%, 3/25/20 AAA 409 410
CMC Securities Corp. IV
Series
94-G A4
7.00%, 9/25/24 AAA 365 332
Countrywide Funding
Corp. Series
94-12 A10
7.00%, 5/25/24 AAA 1,645 1,487
DLJ Mortgage Acceptance
Corp. Series
93-MF7 A1
7.40%, 6/18/03 AAA 365 372
sec. First Boston Mortgage
Securities Corp. Series
92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-10/27/93,
cost $153) A 151 147
GE Capital Mortgage
Services, Inc. Series
(+) 94-6 M
6.50%, 4/25/24 AA 513 466
94-24 A4
7.00%, 7/25/24 AAA 502 461
96-2 A8
7.00%, 2/25/26 AA 250 238
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
++##sec. Kidder Peabody
Funding
Corp. Series
92-4 B2
8.515%, 5/28/22
(acquired 8/5/92-
10/27/93,
cost $188) A $ 185 $ 182
Mid-State Trust Series
88-2 A4
9.625%, 4/1/03 AAA 855 939
Old Stone Credit
Corporation Series
92-3 B1
6.35%, 9/25/07 AAA 82 81
Prudential Home
Mortgage Securities
Co.,
Inc. Series:
90-8 A5 PAC-1 (11)
9.50%, 9/25/20 AAA 38 38
sec.+ 92-33 B1
7.50%, 11/15/22
(acquired
11/30/92, cost
$335) A2 389 373
++##(+) 94-A 3B3
6.803%, 4/28/24 A 1,320 1,197
Residential Funding
Mortgage Securities
Co.,
Inc. Series:
92-S15 A5
8.00%, 5/25/07 AAA 67 68
93-MZ1 A2
7.47%, 3/2/23 AA 500 492
sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95,
cost $541) AAA 585 535
94-S1 A19
6.75%, 1/25/24 AAA 449 418
Rural Housing Trust Series:
87-1 M
3.33%, 4/1/26 A- 1,022 940
87-2 C
6.83%, 4/1/26 AAA 713 707
Ryland Mortgage
Securities Corp.
Series
93-4 A9
7.50%, 8/25/24 AAA 1,285 1,225
Saxon Mortgage Securities
Corp. Series
93-8A A6
7.375%, 9/25/23 AAA 752 708
- ---------------------------------------------------------
GROUP TOTAL 12,386
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (9.4%)
Asset Securitization Corp.
Series 95-MD4 A1
7.10%, 8/13/29 AAA $ 323 $ 325
Beverly Finance Corp.
8.36%, 7/15/04 AA- 410 429
(+) CBM Funding Corp. Series
96-1 A3PI
7.08%, 2/1/13 AA 225 224
+(+) DeBartolo Capital Corp.
Series A2
7.48%, 5/1/04 Aaa 495 510
(+) Equitable Life Assurance
Society of the U.S.
Series 1 A
6.633%, 7/23/03 AA 375 370
(+) Lakeside Finance Corp.
6.47%, 12/15/00 AA 460 450
++ Nomura Asset Securities
Corp. Series:
94-MD1 A 1B
7.526%, 3/15/18 AAA 265 273
94-MD1 A2
7.676%, 3/15/18 AA 215 221
Oakdale Mall
7.95%, 4/27/01 AAA 525 540
Sawgrass Financial
93-A1
6.45%, 1/20/06 AAA 495 489
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 495 474
- ---------------------------------------------------------
GROUP TOTAL 4,305
- ---------------------------------------------------------
/ / HEDGED MORTGAGES (3.6%)
Federal Home Loan Mortgage
Corporation Series:
1415-S Inv Fl IO CMO
20.063%, 11/15/07 Agy 267 114
1476-S Inv Fl IO
REMIC PAC
4.217%, 2/15/08 Agy 2,227 219
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 4,210 330
1600-SA Inv Fl IO
REMIC
2.563%, 10/15/08 Agy 5,763 300
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association Series:
91-46 S Inv Fl REMIC
1266.656%, 5/25/21 Agy $ 2 $ 47
91-90 S Inv Fl REMIC
553.856%, 7/25/21 Agy 4 54
92-186 S Inv Fl IO
CMO
3.217%, 10/25/07 Agy 4,210 319
G 94-2 S Inv Fl IO
REMIC
2.631%, 1/25/24 Agy 4,604 264
- ---------------------------------------------------------
GROUP TOTAL 1,647
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (3.1%)
Bank of America
Series 79-3
9.50%, 11/1/08 AAA 90 93
Marine Midland Bank NA
Series 91-1A7
8.50%, 4/25/22 AA 2 2
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 501 540
## Resolution Trust Corp.
Series 92-5C
8.622%, 1/25/26 AA 620 635
Ryland Acceptance Corp.
IV Series 79-A
6.65%, 7/1/11 AA 123 118
- ---------------------------------------------------------
GROUP TOTAL 1,388
- ---------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
First Boston Mortgage Corp.
Series 87-B2 IO
8.985%, 4/25/17 AAA 289 74
< Government National
Mortgage Association
Principal Strip,
11/20/25 Agy 7,697 252
- ---------------------------------------------------------
GROUP TOTAL 326
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (2.0%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 750 914
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $46,928) 47,324
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (34.0%)
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (1.6%)
ddag. U.S. Treasury Bill
Zero Coupon,
5/2/96 Tsy $ 750 $ 747
- ----------------------------------------------------
COMMERCIAL PAPER (26.3%)
American General Finance Corp.
5.35%, 4/16/96 1,000 998
Beneficial Corp.
5.36%, 5/2/96 1,000 995
CIT Group Holdings, Inc.
5.19%, 4/4/96 1,000 1,000
Commercial Credit Corp.
5.36%, 4/29/96 1,000 996
Ford Motor Credit Corp.
5.21%, 4/5/96 1,000 999
General Electric Capital Corp.
5.18%, 4/9/96 1,000 999
Household Finance Corp.
5.19%, 4/2/96 1,000 999
IBM Credit Corp.
5.39%, 4/12/96 1,000 998
John Deere Capital Corp.
5.35%, 5/9/96 1,000 994
Norwest Financial, Inc.
5.34%, 5/7/96 1,000 995
Philip Morris Cos., Inc.
5.35%, 4/23/96 1,000 997
Prudential Funding Corp.
5.34%, 4/30/96 1,000 996
- ---------------------------------------------------------
GROUP TOTAL 11,966
- ---------------------------------------------------------
REPURCHASE AGREEMENT (6.1%)
The Chase Manhattan Bank N.A.
5.35%, dated March 29, 1996,
due 4/1/96, to be repurchased
at $2,776, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97 valued at
$2,803 2,775 2,775
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $15,488) 15,488
- ---------------------------------------------------------
TOTAL INVESTMENTS (138.0%) (Cost $62,416) 62,812
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-38.0%)
Interest Receivable 269
Receivable for Investments Sold 7,379
Receivable for Daily Variation on
Futures Contracts 19
Payable for Investments Purchased (22,833)
Payable for Investment Advisory Fees (39)
Payable for Administrative Fees (3)
Written Interest Rate Floors, at Value (2,055)
Other Liabilities (43)
-------
(17,306)
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
VALUE
(CONT'D) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 4,392,393 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $45,506
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.36
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$1,237 or 2.7% of net assets.
dag. See Note A1 to Financial Statements.
ddag. 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.
++ Fitch Rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
## Variable or floating rate security-rate disclosed
is as of March 31, 1996.
(+) 144A security. Certain conditions for public sale
may exist.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
< Structured Investments-Cash flows from this
security are paid monthly and are equal to 1% per
annum of the outstanding notional balance of
certain Government National Mortgage Association
Adjustable Rate Mortgage Pools. See Note A7 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
March 31, 1996.
IO Interest Only.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
</TABLE>
LIMITED DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Limited Duration Portfolio has a dual philosophy for achieving its
objective: earn positive real returns and minimize the possibility of a negative
return in a single quarter. Limiting average duration to between one and three
years helps control interest rate risk while allowing for a broad spectrum of
investment opportunities. The Portfolio is composed of U.S. Treasury and agency
securities, investment-grade corporate bonds, mortgage-backed securities, and
money market instruments, including floating-rate notes.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 2.8 % 2.9 %
ONE YEAR 7.5 7.7
SINCE INCEPTION 5.8 5.8
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Limited Duration Portfolio from
exceeding 0.42% of average daily net assets.
* Returns since inception on 3/31/92 to 3/31/96 for the Limited Duration
Portfolio are compared to the Salomon 1-3 Year Treasury/Government Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.7%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (15.7%)
## Government National
Mortgage Association II
Various Pools:
5.50%, 1/20/24 Agy $ 2,361 $ 2,384
6.00%,
2/20/24-5/20/25 Agy 2,596 2,607
6.50%,
2/20/23-2/20/25 Agy 7,525 7,593
7.00%,
10/20/23-10/20/24 Agy 5,650 5,713
- ---------------------------------------------------------
GROUP TOTAL 18,297
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (9.7%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%,
4/1/10-8/1/16 Agy 586 642
10.50%, 12/1/14 Agy 548 599
11.00%,
8/1/15-5/1/20 Agy 368 409
11.50%,
4/1/11-1/1/18 Agy 1,639 1,839
12.00%, 12/1/14 Agy 62 71
13.00%, 9/1/14 Agy 10 11
Gold Pools:
10.00%
2/1/21-10/1/21 Agy 434 473
10.50%,
1/1/19-12/1/20 Agy 1,299 1,413
11.50%, 8/1/10 Agy 260 293
12.00%,
6/1/15-9/1/15 Agy 826 935
Federal National
Mortgage Association
Conventional Pools:
10.00%,
12/1/15-9/1/16 Agy 804 880
10.50%, 4/1/15 Agy 248 276
12.00%,
5/1/14-8/1/20 Agy 522 588
12.50%, 2/1/15 Agy 223 251
Government National
Mortgage Association
Various Pools:
10.00%,
11/15/09-4/15/17 Agy 996 1,110
10.50%, 11/15/18 Agy 76 85
11.00%,
1/15/10-12/15/17 Agy 933 1,050
11.50%,
2/15/13-9/15/14 Agy 371 422
- ---------------------------------------------------------
GROUP TOTAL 11,347
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (12.3%)
Advanta Credit Card
Master Trust
Series 92-3 A1
5.95%, 8/31/99 AAA $1,200 $ 1,200
AFG Receivables Trust
Series 95-A A
6.15%, 9/15/00 A 507 506
## Airplanes Pass Through
Trust Series 1 A5
5.725%, 3/15/19 AA 900 900
ALPS Series 94-1 A2 CMO
7.15%, 11/15/97 AA 472 477
Case Equipment Loan
Trust Series:
95-A A
7.30%, 3/15/02 AAA 323 328
95-A B
7.65%, 3/15/02 A 351 359
## Discount Credit Master
Trust Series 93-1 A
5.645%, 10/16/01 AAA 500 501
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 119 119
Ford Credit Grantor
Trust Series 94-B A
7.30%, 10/15/99 AAA 1,381 1,403
General Motors
Acceptance
Corp. Series 93-A A
Grantor Trust
4.15%, 3/15/98 AAA 34 34
Green Tree Financial
Series:
94-5 A1
6.60%, 11/15/19 AA 330 332
94-8 A1
7.75%, 4/15/25 AAA 237 238
95-4 A1
6.05%, 7/15/25 AAA 691 692
Greenwich Capital
Acceptance, Inc.
Series 95-BA1 A1
6.00%, 8/10/20 AAA 562 557
IBM Credit Receivables
Lease Asset Master
Trust Series 93-1 A
4.55%, 11/15/00 AAA 515 509
John Deere Owner Trust
Series 93-B A2
4.10%, 10/15/00 AAA 422 420
Navistar Financial
Corp. Series:
93-A A2
4.475%, 10/15/98 AAA 272 272
94-B A
6.40%, 1/15/00 AAA 1,170 1,175
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Oakwood Mortgage
Investors Inc.,
Series 95-B A1
6.25%, 1/15/21 AAA $ 870 $ 870
Olympic Automobile
Receivables Trust
Series:
94-A1
5.65%, 1/15/01 AAA 453 452
94-B B
6.95%, 6/15/01 AAA 523 528
Onyx Acceptance Trust
Series 94-1 A
6.90%, 1/17/00 AAA 370 373
Orix Credit Alliance
Owner Trust Series
94-AA
6.05%, 6/15/99 AAA 502 502
Premier Auto Trust
Series:
92-3 B
6.25%, 11/15/97 A 206 206
94-3 B
6.80%, 12/2/99 AA 311 313
95-1 A2
7.35%, 5/4/97 AAA 231 231
Western Financial Auto
Grantor Trust Series
93-2 A2
4.70%, 10/1/98 AAA 117 116
93-3 A1
4.25%, 12/1/98 AAA 169 167
94-1 A1
5.10%, 6/1/99 AAA 311 308
Western Financial
Series
93-A1
4.45%, 7/1/98 AAA 187 186
- ---------------------------------------------------------
GROUP TOTAL 14,274
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (4.6%)
Cityscape Home Equity
Loan Series:
(+) 95-2 A1
7.29%, 2/25/09 AAA 416 417
96-1 A1
6.45%, 3/1/09 AAA 1,100 1,100
Contimortgage Home
Equity Loan Trust
Series 96-1 A1
5.70%, 10/15/09 AAA 1,026 1,014
Fleet Finance, Inc.
Series
93-1 A
5.45%, 3/20/23 AAA 1,081 1,077
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Money Store (The) Home
Equity Trust Series
95-C A1
6.20%, 1/15/09 AAA $ 800 $ 799
Southern Pacific
Secured Assets Corp.
96-1 A2
6.09%, 2/25/14 AAA 959 956
- ---------------------------------------------------------
GROUP TOTAL 5,363
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.2%)
## Student Loan
Marketing Association
Series:
95-1 A1
5.735%, 4/26/04 AAA 771 771
96-1 A1
5.58%, 7/26/04 AAA 575 575
- ---------------------------------------------------------
GROUP TOTAL 1,346
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (2.0%)
Citicorp Mortgage
Securities, Inc. REMIC
Series 93-9 A1
7.00%, 3/25/20 AAA 230 230
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 170 168
Residential Funding
Mortgage Securities
Co., Inc. Series
93-MZ1 A1
7.47%, 3/2/23 AA 265 265
Security Pacific Home
Loan Equity Trust
Series 91-1 B
8.85%, 5/15/98 AAA 750 768
- ---------------------------------------------------------
GROUP TOTAL 2,322
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (1.0%)
+ Carolina First Bank
Series 96
6.50%, 12/18/99 Aaa2 600 598
(+) CBM Funding Corp.
Series 96-1 A1
7.55%, 2/1/13 AA 587 598
- ---------------------------------------------------------
GROUP TOTAL 1,196
- ---------------------------------------------------------
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
FINANCE (17.7%)
Allstate Corp.
5.875%, 6/15/98 A $1,125 $ 1,118
Associates Corp., NA
8.25%, 12/1/99 AA- 600 635
Barclays American Corp.
7.875%, 8/15/98 AA 450 467
## Caterpillar Financial
Services
5.513%, 6/20/97 A 750 750
## Chrysler Financial Corp.
6.09%, 7/18/97 A- 625 626
##+ Corestates Capital Corp.
5.29%, 10/16/96 A1 250 250
Countrywide Funding
Corp.
7.32%, 8/15/00 A 650 666
Dean Witter Discover &
Co.
6.00%, 3/1/98 A 625 624
Equitable Cos., Inc.
7.30%, 12/1/03 A+ 560 571
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 BBB- 700 717
## First National Bank
of Chicago
5.32%, 5/10/96 A+ 1,600 1,600
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 675 695
General Motors
Acceptance Corp.
6.00%, 12/30/98 A- 600 595
7.125%, 7/1/97 A- 100 102
7.25%, 6/22/99 A- 285 292
Heller Financial, Inc.
7.875%, 11/1/99 BBB+ 525 547
8.85%, 4/15/96 BBB+ 225 225
9.375%, 3/15/98 BBB+ 375 396
## Household Finance
Corp. Series 89-2 A
5.66%, 12/20/04 AAA 15 15
Household International
6.00%, 3/15/99 A 575 570
International Lease
Finance
5.92%, 1/15/98 A+ 550 548
## 6.00%, 10/15/97 A+ 700 703
Lehman Brothers
Holding, Inc.
6.625%, 11/15/00 A 725 720
## Marshall & Ilsley Bank
5.465%, 5/26/97 A+ 725 725
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 AA 675 644
## NationsBank Texas
5.50%, 6/18/97 A+ 875 875
(+) Nationwide Mutual
Insurance Co.
6.50%, 2/15/04 AA- 675 650
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ------------------------------------------------------
<S> <C> <C> <C>
(+) New York Life
Insurance Co.
6.40%, 12/15/03 AA $ 675 $ 655
(+) Prudential Insurance Co.
6.875%, 4/15/03 A2 400 395
## Student Loan Marketing
Association
5.47%, 10/30/97 AAA 1,500 1,499
## Superior Wholesale
Inventory Financing 94-A
5.825%, 1/15/99 A 650 650
## Toyota Motor Credit
Corp.
5.29%, 6/3/96 AAA 900 900
## Wells Fargo & Co.
5.438%, 1/28/97 A- 175 175
- ---------------------------------------------------------
GROUP TOTAL 20,600
- ---------------------------------------------------------
INDUSTRIALS (3.5%)
Columbia/HCA Healthcare
Corp.
6.87%, 9/15/03 BBB+ 490 488
(+) Kern River Funding Corp.
6.42%, 3/31/01 A- 805 805
News America Holdings,
Inc.
8.625%, 2/1/03 BBB 500 540
Philip Morris Cos.,
Inc.
8.75%, 6/1/01 A 520 565
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 575 569
Tele-Communications,
Inc.
8.25%, 1/15/03 BBB- 500 523
Time Warner, Inc.
9.625%, 5/1/02 BBB- 550 616
- ---------------------------------------------------------
GROUP TOTAL 4,106
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
+ Town & Country
Funding Corp.
5.85%, 8/15/98 Aa2 1,000 979
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (26.2%)
U.S. Treasury Notes
4.375%, 11/15/96 Tsy 585 581
4.75%, 8/31/98 Tsy 2,500 2,438
4.75%, 9/30/98 Tsy 10,850 10,572
ddag. 5.125%, 6/30/98 Tsy 6,850 6,748
6.75%, 5/31/99 Tsy 4,225 4,316
7.75%, 12/31/99 Tsy 2,825 2,985
7.125%, 2/29/00 Tsy 1,275 1,322
8.75%, 10/15/97 Tsy 1,500 1,566
- ---------------------------------------------------------
GROUP TOTAL 30,528
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $110,586)110,358
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
VALUE
(CONT'D) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (1.5%)
- ---------------------------------------------------------
REPURCHASE AGREEMENT (1.5%)
The Chase Manhattan Bank N.A.
5.35%, dated March 29, 1996,
due 4/1/96, to be repurchased
at $1,697, collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$1,713 (Cost $1,697) $ 1,697
- ---------------------------------------------------------
TOTAL INVESTMENTS (96.2%) (Cost
$112,283) 112,055
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (3.8%)
Cash 1
Interest Receivable 1,263
Receivable for Fund Shares Sold 7,423
Receivable for Investments Sold 1,545
Receivable for Daily Variation on
Futures Contracts 2
Payable for Fund Shares Redeemed (3,979)
Payable for Investments Purchased (1,683)
Payable for Investment Advisory Fees (91)
Payable for Administrative Fees (8)
Other Liabilities (9)
--------
4,464
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 11,198,188 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $116,519
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.41
- ---------------------------------------------------------
dag. See Note A1 to Financial Statements.
ddag. 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 March 31, 1996.
Maturity date disclosed is ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1996.
(+) 144A security. Certain conditions for public sale
may exist.
CMO Collateralized Mortgage Obligation.
REMIC Real Estate Mortgage Investment Conduit.
</TABLE>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
(UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Special Purpose Fixed Income Portfolio is designed for use as part of a
balanced investment program. To attain the best mix of equity and fixed-income
investments, Miller Anderson & Sherrerd manages securities in the fixed-income
component of a balanced investment somewhat differently from those in a
fixed-income only portfolio. Portfolio maturity and duration are shortened or
extended on the basis of MAS's expectations for the economy, interest rates and
inflation, in a way that complements the equity portion of a balanced
investment. MAS alters the weighting in the corporate, mortgage, and other
sectors on the basis of values relative to both other fixed-income securities
and stocks.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 3.9 % 2.5 %
ONE YEAR 13.4 10.9
SINCE INCEPTION 9.7 7.9
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 3/31/92 to 3/31/96 for the Special Purpose Fixed
Income Portfolio are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE> 63
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (106.6%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (5.6%)
## Government National
Mortgage Association II
Various Pools:
6.00%,
2/20/24-6/20/25 Agy $ 7,779 $ 7,821
6.50%,
8/20/23-6/20/24 Agy 3,052 3,075
7.00%,
10/20/23-10/20/24 Agy 10,299 10,391
- ---------------------------------------------------------
GROUP TOTAL 21,287
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (25.4%)
Federal Home Loan
Mortgage
Corporation
Conventional
Pools:
10.50%,
8/1/15-10/1/20 Agy 639 699
11.00%,
12/1/10-9/1/20 Agy 3,475 3,868
11.75%, 12/1/17 Agy 188 211
Gold Pools:
10.50%,
11/1/15-4/1/21 Agy 1,134 1,232
April TBA
7.00%,
8/15/23-8/15/25 Agy 9,150 8,924
Federal National
Mortgage
Association
Conventional
Pools:
10.50%,
8/1/15-4/1/22 Agy 3,110 3,453
April TBA
7.00%,
9/1/25-12/15/25 Agy 47,000 45,797
May TBA
7.00%, 10/1/23 Agy 15,450 15,030
Government National
Mortgage
Association
Various Pools:
10.50%,
10/15/15-5/15/18 Agy 870 969
11.00%,
1/15/10-11/15/15 Agy 1,625 1,833
12.00%, 4/15/14 Agy 64 73
April TBA
7.00%, 11/15/24 Agy 5,300 5,163
May TBA
7.50%,
2/15/26-3/15/26 Agy 9,750 9,719
- ---------------------------------------------------------
GROUP TOTAL 96,971
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (1.1%)
## Airplanes Pass Through
Trust Series 1 B
6.475%, 3/15/19 A $ 1,200 $ 1,200
ALPS Series:
94-1 A4 CMO
7.80%, 7/15/99 AA 950 975
94-1 C CMO
9.35%, 3/15/00 BBB 1,617 1,661
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 229 229
- ---------------------------------------------------------
GROUP TOTAL 4,065
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.6%)
Security Pacific
Home Equity Trust
Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 1,007 1,019
91-A B
10.50%, 3/10/06 A+ 1,298 1,344
- ---------------------------------------------------------
GROUP TOTAL 2,363
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.2%)
Federal Home Loan
Mortgage
Corporation Series
88-22 C PAC 11
9.50%, 4/15/20 Agy 41 46
Federal National
Mortgage
Association Series
92-33 S Inv Fl
12.24%, 3/25/22 Agy 610 619
- ---------------------------------------------------------
GROUP TOTAL 665
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (12.4%)
American Housing
Trust Series:
IV 2
9.553%, 9/25/20 A 350 359
V 1G
9.125%, 4/25/21 AAA 1,650 1,679
+ Chase Mortgage
Finance Corp.
Series 93-N A8
6.75%, 11/25/24 Aaa 2,800 2,508
Chemical Mortgage
Securities, Inc.
Series 93-1M
7.45%, 2/25/23 AA 229 224
Citicorp Mortgage
Securities, Inc.
Series 90-11 A5
9.50%, 7/25/20 AAA 357 358
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
CMC Securities Corp.
IV Series 94-G A4
7.00%, 9/25/24 AAA $ 1,800 $ 1,637
DR Securitized Lease
Trust Series:
93-K1 A1
6.66%, 8/15/10 BB 515 405
94-K1 A2
8.375%, 8/15/15 BB 1,025 805
sec. First Boston Mortgage
Securities Corp.
Series 92-4 B1
8.125%, 10/25/22
(acquired
1/26/93, cost
$1,111) A 1,163 1,134
GE Capital Mortgage
Services, Inc.
Series:
(+) 94-13 B1
6.50%, 4/25/24 AA 5,392 4,815
94-24 A4
7.00%, 7/25/24 AAA 1,681 1,545
95-11 A 6
7.50%, 12/25/25 AAA 2,994 2,910
+sec. Independent National
Mortgage Corp.
Series 94-O B1
7.875%, 9/25/24
(acquired
11/9/95, cost
$2,561) A2 2,567 2,494
++##sec. Kidder Peabody
Funding Corp.
Series 92-4 B2
8.515%, 5/28/22
(acquired
8/5/92, cost
$810) A 808 797
Mid-State Trust
Series 88-2 A4
9.625%, 4/1/03 AAA 725 796
Prudential Home
Mortgage Securities
Co., Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 357 357
90-8 A5 PAC-1(11)
9.50%, 9/25/20 AAA 827 827
(+) 92-A 2B4
7.90%, 4/28/22 AA 2,598 2,379
(+) 93-B B1
7.836%, 4/28/23 AA 3,050 3,023
++(+) 94-A 3B3
6.803%, 4/28/24 A 3,195 2,908
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Residential Funding
Mortgage Securities
Co., Inc. Series:
92-S6 M
7.50%, 2/25/22 AA $ 180 $ 179
92-S15 A5
8.00%, 5/25/07 AAA 46 46
93-MZ1 A2
7.47%, 3/2/23 AA 2,800 2,757
93-MZ2 A2
7.47%, 5/30/23 AA 2,150 2,075
Rural Housing Trust
Series:
87-1 D
6.33%, 4/1/26 AAA 3,036 2,961
87-1 M
3.33%, 4/1/26 A- 812 747
87-2 C
6.83%, 4/1/26 AAA 1,951 1,934
Ryland Mortgage
Securities Corp.
Series:
## 92-A 1A
8.301%, 3/29/30 A- 2,028 2,037
94-7B 4A2
7.50%, 8/25/25 AAA 2,700 2,571
- ---------------------------------------------------------
GROUP TOTAL 47,267
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (6.6%)
+ American Southwest
Financial Securities
Corp.
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 3,000 3,064
Asset Securitization
Corp. Series 95-MD4 A1
7.10%, 8/13/29 AAA 2,636 2,650
Beverly Finance
8.36%, 7/15/04 AA- 2,300 2,407
(+) Carousel Center
Finance,
Inc. Series 1 A1
6.828%, 11/15/07 AA 1,650 1,628
(+) CBM Funding Corp.
Series 96-1 A3PI
7.08%, 2/1/13 AA 1,800 1,788
(+) Creekwood Capital
Corp.
Series 95-1A
8.47%, 3/16/15 AA 1,729 1,817
+(+) DeBartolo Capital
Corp.
Series A2
7.48%, 5/1/04 Aaa 2,600 2,680
(+) Equitable Life
Assurance Society of the
U.S.
Series 1A
6.633%, 7/23/03 AA 2,200 2,168
(+) FSA Finance, Inc.
Series 95-1A
7.42%, 6/1/07 AA 1,770 1,801
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Lakewood Mall
Finance Co.
Series 95-C1A
7.00%, 8/13/10 AA $ 1,900 $ 1,873
++ Nomura Asset
Securities Corp. Series
94-MD1 A3
8.026%, 3/15/18 A 1,200 1,263
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 2,300 2,202
- ---------------------------------------------------------
GROUP TOTAL 25,341
- ---------------------------------------------------------
ENERGY (1.8%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 1,725 1,672
Maxus Energy Corp.
10.83%, 9/1/04 BB- 2,375 2,473
Mobile Energy
Services
8.665%, 1/1/17 BBB- 1,710 1,765
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 1,145 1,139
- ---------------------------------------------------------
GROUP TOTAL 7,049
- ---------------------------------------------------------
FINANCE (12.5%)
## Bank of Hawaii,
Honolulu
5.343%, 11/25/96 A 2,000 2,000
## Caterpillar Financial
Services
5.513%, 6/20/97 A 3,450 3,451
Conseco, Inc.
8.125%, 2/15/03 BB+ 2,430 2,460
(+) Equitable Life
Assurance Society of the
U.S.
7.70%, 12/1/15 A- 1,600 1,576
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 2,200 2,095
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,825 1,756
First National Bank
of Chicago
Series 93-A
8.08%, 1/5/18 A+ 3,050 3,154
First Union REIT
8.875%, 10/1/03 BB+ 1,050 988
## Ford Motor Credit Corp.
5.513%, 11/3/97 A+ 4,050 4,053
Home Holdings, Inc.
8.625%, 12/15/03 B- 1,715 1,439
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
## Marshall & Ilsley Bank
5.465%, 5/26/97 A+ $ 3,500 $ 3,500
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 1,875 1,838
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 2,250 2,066
# Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 2,500 2,044
(+) Nationwide Mutual
Insurance Co.
7.50%, 2/15/24 AA- 2,925 2,672
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 2,950 2,795
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 2,450 2,355
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 950 962
Reliance Group
Holdings, Inc.
9.00%, 11/15/00 BB+ 1,175 1,190
##(+) United Savings of
Texas
8.55%, 5/15/98 BB+ 1,100 1,101
## Wells Fargo & Co.
5.438%, 8/16/96 A- 4,600 4,599
- ---------------------------------------------------------
GROUP TOTAL 48,094
- ---------------------------------------------------------
FOREIGN GOVERNMENTS (15.8%)
Government of Canada
8.50%, 4/1/02 AA+ CAD 9,050 7,054
Government of
Germany
7.125%, 1/29/03 AAA DEM 21,285 15,285
7.50%, 9/9/04 AAA 14,150 10,283
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 30,350 5,498
9.00%, 11/15/00 AAA 29,250 5,683
Netherlands
Government
5.75%, 1/15/04 AAA NLG 11,500 6,776
8.50%, 3/15/01 AAA 5,500 3,761
Spanish Government
11.30%, 1/15/02 AA ESP 45,000 3,878
United Kingdom
9.125%, 2/21/01 AAA ECU 1,625 2,266
- ---------------------------------------------------------
GROUP TOTAL 60,484
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
/ / HEDGED MORTGAGES (2.5%)
Federal Home Loan
Mortgage
Corporation Series:
1415-S Inv Fl IO
CMO
20.063%, 11/15/07 Agy $ 1,302 $ 555
1476-S Inv Fl IO
REMIC PAC
4.217%, 2/15/08 Agy 12,693 1,246
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 13,087 1,026
1600-SA Inv Fl IO
REMIC
2.563%, 10/15/08 Agy 24,334 1,270
Federal National
Mortgage
Association Series:
92-186 S Inv Fl IO
CMO
3.217%, 10/25/07 Agy 22,663 1,716
94-33 S Inv Fl IO
2.631%, 3/25/09 Agy 37,214 1,924
G 94-2 S Inv Fl IO
REMIC
2.631%, 1/25/24 Agy 29,742 1,707
- ---------------------------------------------------------
GROUP TOTAL 9,444
- ---------------------------------------------------------
INDUSTRIALS (10.1%)
## Blue Bell Funding
11.85%, 5/1/99 BB- 134 132
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 2,300 2,300
Comcast Corp.
9.375%, 5/15/05 B+ 2,500 2,541
DR Structured
Finance Series 94K2
9.35%, 8/15/19 BB 1,280 1,091
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 1,975 2,014
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 2,300 2,277
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 1,925 1,708
ITT Corp. (New)
7.75%, 11/15/25 BBB 1,575 1,506
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 3,312 3,788
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 1,175 1,293
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
(+) Oxymar
7.50%, 2/15/16 BBB- $ 1,490 $ 1,408
Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 2,350 2,234
Rhone-Poulenc Rorer,
Inc.
8.62%, 1/5/21 BBB+ 2,000 2,163
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 3,060 3,011
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 1,593 1,612
Southland Corp.
5.00%, 12/15/03 BB+ 2,947 2,365
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 2,450 2,544
ddag. Time Warner, Inc.
9.15%, 2/1/23 BBB- 1,825 1,963
Unisys Corp.
10.625%, 10/1/99 B+ 1,625 1,609
Westpoint Stevens,
Inc.
8.75%, 12/15/01 BB- 1,050 1,050
- ---------------------------------------------------------
GROUP TOTAL 38,609
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.7%)
First Federal
Savings & Loan
Association
Series 92-C
8.75%, 6/1/06 AA 77 78
Marine Midland Bank
NA
Series 91-1 A7
8.50%, 4/25/22 AA 12 12
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 2,149 2,315
## Resolution Trust Corp.
Series 92-5 C
8.622%, 1/25/26 AA 1,800 1,843
Ryland Acceptance
Corp. IV Series
79-A
6.65%, 7/1/11 AA 1,892 1,813
sec. Shearson American
Express Series A
9.625%, 12/1/12
(acquired
8/24/92-5/25/93,
cost $411) AA 394 404
- ---------------------------------------------------------
GROUP TOTAL 6,465
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.6%)
< Government National
Mortgage Association
Principal Strips,
11/20/05 Agy $ 65,461 $ 2,141
- ---------------------------------------------------------
TELEPHONES (2.7%)
AT&T Corp.
8.35%, 1/15/25 AA 1,100 1,169
Comcast Cellular
Corp Series A,
Zero Coupon,
3/5/00 B+ 2,000 1,463
Continental
Cablevision, Inc.
(+) 8.30%,
5/15/06 BB 1,325 1,376
9.50%, 8/1/13 BB+ 800 890
Lenfest
Communications,
Inc.
8.375%, 11/1/05 BB+ 1,950 1,881
Rogers Cablesystems
10.00%, 3/15/05 BB+ 1,975 2,066
360 Communications
Co.
7.50%, 3/1/06 BBB- 1,425 1,393
- ---------------------------------------------------------
GROUP TOTAL 10,238
- ---------------------------------------------------------
TRANSPORTATION (1.4%)
Delta Airlines PT
Trust Series 93 B2
10.06%, 1/2/16 BB+ 1,915 2,243
(+) Jet Equipment Trust
Series:
95-5 AC
10.69%, 5/1/15 BBB- 1,500 1,686
94-AB1
10.91%, 6/15/06 BB+ 599 688
95-B C
9.71%, 8/15/23 BBB 800 835
- ---------------------------------------------------------
GROUP TOTAL 5,452
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (3.5%)
U.S. Treasury Strips
Principal Only
5/15/18 Tsy 12,500 2,662
8/15/20 Tsy 59,150 10,750
- ---------------------------------------------------------
GROUP TOTAL 13,412
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
YANKEE (2.1%)
+# Brazil Par Series Z-L
4.25%, 4/15/24 B1 $ 2,650 $ 1,352
CFE Petacalco
Topolobamp
8.125%, 12/15/03 BB 825 688
# Republic of Argentina
5.00%, 3/31/23 BB- 5,545 2,883
United Mexican
States
6.25%, 12/31/19 BB 1,650 1,050
YPF SA
7.50%, 10/26/02 BBB 2,099 2,109
- ---------------------------------------------------------
GROUP TOTAL 8,082
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $403,997) 407,429
- ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- ---------------------------------------------------------
SHARES
------
Unisys Corp. Series
A
$3.75 (Cost $475) B- 14,025 410
- ---------------------------------------------------------
RIGHTS (0.0%)
- ---------------------------------------------------------
@* Mexico Recovery Rights,
expiring 6/30/03 (Cost
$0) 1,650,000 --
- ---------------------------------------------------------
CASH EQUIVALENTS (14.1%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (0.1%) $ 238 238
- ---------------------------------------------------------
COMMERCIAL PAPER (9.4%)
American General Finance
Corp.
5.35%, 4/16/96 4,000 3,991
CIT Group Holdings, Inc.
5.20%, 4/4/96 4,000 3,998
Commercial Credit Co.
5.36%, 4/29/96 4,000 3,983
Ford Motor Credit Corp.
5.21%, 4/5/96 4,000 3,998
General Electric Capital
Corp.
5.18%, 4/9/96 4,000 3,995
Household Finance Corp.
5.19%, 4/2/96 4,000 3,999
IBM Credit Corp.
5.39%, 4/12/96 4,000 3,994
Norwest Financial, Inc.
5.34%, 5/7/96 4,000 3,979
Philip Morris Cos., Inc.
5.35%, 4/23/96 4,000 3,987
- ---------------------------------------------------------
GROUP TOTAL 35,924
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (4.6%)
The Chase Manhattan Bank,
N.A. 5.35%, dated
3/29/96, due 4/1/96, to
be repurchased at
$17,829, collateralized
by various
U.S. Government
Obligations, due 5/31/96-
5/31/97, valued
at $17,997 $ 17,821 $ 17,821
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $53,983) 53,983
- ---------------------------------------------------------
TOTAL INVESTMENTS (120.8%) (Cost $458,455) 461,822
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-20.8%)
Dividends Receivable 13
Interest Receivable 4,882
Receivable for Fund Shares Sold 319
Receivable for Investments Sold 24,714
Unrealized Gain on Forward Foreign
Currency Contracts 338
Payable for Fund Shares Redeemed (826)
Payable for Investments Purchased (94,958)
Payable for Investment Advisory Fees (365)
Payable for Administrative Fees (26)
Payable for Daily Variation on Futures
Contracts (143)
Written Interest Rate Floors, at Value (12,886)
Collateral on Securities Loaned, at
Value (238)
Other Liabilities (208)
--------
(79,384)
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
<S> <C> <C>
Applicable to 31,429,461 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $382,438
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.17
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$4,829 or 1.3% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
ddag. A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1996.
@ Value is less than $500.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
< Structured Investments-Cash flows from this
security are paid monthly and are equal to 1% per
annum of the outstanding notional balance of
certain Government National Mortgage Association
Adjustable Rate Mortgage Pools. See Note A7 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
March 31, 1996.
IO Interest Only.
PAC Planned Amortization Class.
REMIC Real Estate Mortgage Investment Conduit.
REIT Real Estate Investment Trust.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
CAD Canadian Dollar.
DEM German Mark.
DKK Danish Krone.
ECU European Currency Unit.
ESP Spanish Peseta.
NLG Netherlands Guilder.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Municipal Portfolio invests in debt obligations issued by state and local
governments or their agencies and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio will be invested in municipal
securities. Taxable securities are included only in cases where MAS believes
they will improve the fund's risk/reward profile on an after-tax basis.
<TABLE>
- --------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 5.3% 3.9%
ONE YEAR 9.6 9.2
SINCE INCEPTION 7.8 7.4
- --------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Municipal Portfolio from exceeding 0.50%
of average daily net assets.
* Returns since inception on 10/1/92 to 3/31/96 for the Municipal Portfolio are
compared to the Lehman Long Municipal Index, an unmanaged market index. In
future reports, returns will be compared to the Lehman 5-Year Municipal Bond
Index and the Lehman 10-Year Municipal Bond Index, both unmanaged indices, as a
result of the change in objective and policy approved by shareholders on April
15, 1996. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (93.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (91.3%)
Adelanto, CA
School District
Zero Coupon,
9/1/18 AAA $ 4,350 $ 1,081
Aldine, TX Independent
School District
Zero Coupon,
2/15/07 AAA 750 415
Allegheny County, PA
Sanitation Authority
Series B
Zero Coupon,
6/1/10 AAA 1,500 670
## Bakersfield, CA
Hospital Revenue Bonds
3.748%, 1/1/19 AAA 750 750
Benicia, CA
School District
Zero Coupon,
8/1/11 AAA 3,480 1,397
California Housing &
Finance Agency
Revenue Bonds
Series A
5.30%, 8/1/14 AAA 225 221
## California State
Zero Coupon,
3/1/04 A 375 250
3.50%, 9/1/12 A 800 800
Center Township, PA
Sewer Authority
Series A
Zero Coupon,
4/15/19 AAA 855 213
Central Valley, CA
Finance Authority
5.70%, 7/1/03 BBB- 125 125
## Chelsea, MA Lease
Revenue Bonds
Series A
3.50%, 6/6/23 AAA 750 750
Chicago, IL
Metropolitan Water
5.25%, 12/1/04 AA 750 767
Colorado Health
Facilities
Zero Coupon,
7/15/20 AAA 1,000 187
Connecticut State
Health & Educational
Facilities Authority
3.50%, 6/10/30 AAA 100 100
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Delaware County, PA
Capital Appreciation
Zero Coupon,
11/15/10 AA $ 750 $ 326
Elizabeth Forward, PA
School District
Zero Coupon
9/1/08 AAA 425 215
9/1/11 AAA 850 351
Fort Bend, TX
Independent School
District
Zero Coupon,
2/15/07 AAA 1,250 691
Fort Worth, TX
Independent School
District
Zero Coupon,
2/15/08 AAA 940 487
Grand Prairie, TX
Independent School
District
Zero Coupon,
8/15/07 AAA 750 404
Hamilton
Southeastern, IN
Zero Coupon,
1/1/15 AAA 1,000 332
Harris County, TX
Toll Road Series A
Zero Coupon,
8/15/07 AA+ 475 256
Houston, TX
Independent School
District
Zero Coupon,
8/15/12 AAA 550 212
Hurst Euless
Bedford, TX
Independent School
District
Zero Coupon
8/15/17 AAA 965 271
8/15/18 AAA 1,100 286
Illinois
Development
Finance Authority
Revenue
Zero Coupon,
12/1/09 AAA 2,000 929
## Illinois Health
Facilities
Authority Revenue
Bonds
3.50%, 8/15/24 AAA 800 800
Indianapolis
Airport Authority
Revenue Bond
7.10%, 1/15/17 BBB 375 398
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Indiana Transportation
Finance Authority
Highway Revenue Bond
Zero Coupon,
12/1/16 AAA $ 1,695 $ 502
Intermountain Power
Agency, UT
Zero Coupon
7/1/17 AA- 1,750 474
6.50%, 7/1/09 AAA 875 972
Jacksonville, FL
Electric Authority
Revenue
Zero Coupon,
10/1/11 AA 325 134
Kane & De Kalb
Counties, IL Unit
School District
Zero Coupon,
12/1/09 AAA 525 241
Kansas City, KA
Utility Systems
Revenue Bonds
Zero Coupon,
3/1/06 AAA 225 133
Keller, TX
Independent School
District
Zero Coupon,
8/15/12 AAA 800 309
Kentucky State
Turnpike Authority
Zero Coupon,
1/1/10 AAA 450 208
La Joya, TX
Independent School
District
Zero Coupon,
8/1/12 AAA 645 249
## Los Angeles, CA
Wastewater Systems
Revenue Bond
3.60%, 11/1/09 AAA 800 800
Maricopa County, AZ
Unified School
District-Chandler
Zero Coupon,
7/1/07 AAA 250 136
Maryland
Transportation
Authority
Zero Coupon,
7/1/08 AAA 250 130
Mercer County, NJ
Revenue Bond
Zero Coupon,
4/1/06 AA 350 211
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
## Metropolitan
Pier & Exposition
Authority, IL
3.49%, 6/15/27 AAA $ 750 $ 750
Michigan State
Trunk Line
Zero Coupon
10/1/05 AAA 750 457
10/1/12 AAA 1,500 573
Midland, TX
Independent School
District
Zero Coupon,
8/15/06 AAA 750 433
Millcreek Township, PA
Zero Coupon,
8/15/05 AAA 325 200
Mississippi Housing
Finance Corp.
Zero Coupon,
9/15/16 AA- 5,250 1,544
Mobile, AL
Industrial
Development Board
Solid Waste
Disposal Revenue
Bond
6.95%, 1/1/20 BBB- 180 188
## Montana State
Health Facilities
Authority Revenue
Bond, Deaconess
Medical Center
Series C
3.495%, 2/15/17 AAA 900 900
Nebraska Public
Power District
Revenue Bond
5.40%, 1/1/03 A+ 200 206
+ Nevada Housing
Division Senior
Series A2
5.50%, 10/1/27 Aaa 350 349
New Jersey Economic
Development
Authority
Zero Coupon,
3/15/09 A+ 275 133
New Jersey State
Zero Coupon,
2/15/06 AA+ 500 300
## New York City,
NY General
Obligation Inverse
Bond
18.41%, 10/1/03 BBB+ 250 384
New York State
Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 252
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Noblesville, IN
High School
Building Corp.
Zero Coupon
2/15/17 AAA $ 900 $ 261
2/15/19 AAA 1,850 461
Norris, CA School
District
Zero Coupon
5/1/15 AAA 785 257
5/1/16 AAA 400 123
North Carolina
Eastern Municipal
Power Agency
5.125%, 1/1/03 BBB+ 450 441
6.125%, 1/1/09 BBB+ 350 362
North Carolina
Housing Finance
Agency Series FF
5.50%, 9/1/22 A+ 500 498
North Slope
Borough, AK
General Obligation
Series B
Zero Coupon,
6/30/04 AAA 575 374
Northern Illinois
University Revenue
Bond
Zero Coupon,
4/1/15 AAA 675 219
Okemos, MI Public
School District
Zero Coupon,
5/1/15 AAA 900 293
Oley Valley, PA
School District
Zero Coupon,
5/15/09 AAA 760 365
Orange County, CA
Revenue Bond
Series A
6.00%, 6/1/10 AAA 600 623
## Orange County,
FL Health
Facilities
Authority Revenue
Bond
3.55%, 10/29/21 AAA 800 800
Penn Hills
Township, PA
Zero Coupon,
6/1/12 N/R 1,025 342
# Pennsylvania
State General
Obligation
0.00%, 4/15/03 AAA 775 807
Philadelphia, PA
Gas Works
5.80%, 7/1/01 BBB 350 357
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA
General Obligation
Series A
5.125%, 5/15/03 AAA $ 250 $ 254
5.40%, 11/15/03 AAA 600 620
Philadelphia, PA
Municipal
Authority
4.90%, 4/1/03 AAA 500 499
## Richland County,
SC Hospital
Facilities Revenue
Bonds, Richland
Memorial Hospital
Series C
4.248%, 7/5/13 AAA 800 800
Rosemont, IL
Zero Coupon,
12/1/10 AAA 1,000 428
Round Rock, TX
School District
5.10%, 2/15/03 AAA 300 306
+ Saline County, KS
Zero Coupon,
12/1/15 Aaa 750 227
San Antonio, TX
Electric & Gas
Revenue Bond
Zero Coupon,
2/1/05 AAA 200 126
## San Bernardino
County, CA Series
A
7.40%, 7/1/16 AAA 1,150 1,114
Schuylkill County,
PA Redevelopment
Authority
7.125%, 6/1/13 AAA 750 830
Skokie, IL Park
District Series B
Zero Coupon,
12/1/12 AAA 1,750 656
## South Broward,
IL Hospital
District
3.493%, 5/13/21 AAA 800 800
Steel Valley, PA
School District
Zero Coupon
11/1/11 A 740 285
11/1/17 A 650 168
Utah State Housing
& Finance Agency
5.50%, 7/1/27 AAA 480 479
## University of
California Revenue
Bond
3.513%, 9/1/16 AAA 900 900
Washington State
Public Power
Supply
Zero Coupon,
7/1/10 AAA 475 207
7.00%, 7/1/07 AA 375 420
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
Westmoreland County, PA
Zero Coupon,
6/1/15 AAA $ 850 $ 278
## Wichita, KS
Hospital Revenue
Bond Series III-A
3.58%, 10/20/17 AAA 800 800
- ---------------------------------------------------------
GROUP TOTAL 41,632
- ---------------------------------------------------------
INDUSTRIALS (1.4%)
Comcast Corp.
9.375%, 5/15/05 B+ 225 229
G-I Holdings, Inc.
Zero Coupon,
10/1/98 B+ 137 109
(+) 10.00%,
2/15/06 B+ 129 131
Host Marriott
Travel Plaza
9.50%, 5/15/05 BB- 175 172
- ---------------------------------------------------------
GROUP TOTAL 641
- ---------------------------------------------------------
TELEPHONES (0.3%)
Rogers Cablesystems
10.00%, 3/15/05 BB+ 125 131
- ---------------------------------------------------------
TRANSPORTATION (0.2%)
(+) Jet Equipment Trust
Series 95-5A C
10.69%, 5/1/15 BBB 100 112
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $40,661) 42,516
- ---------------------------------------------------------
CASH EQUIVALENTS (10.8%)
- ---------------------------------------------------------
SHARES
---------
MONEY MARKET INSTRUMENTS (10.0%)
Dreyfus Basic Municipal
Money Market Fund 2,284,713 2,285
Vanguard Municipal Fund
Money Market Portfolio 2,283,398 2,283
- ---------------------------------------------------------
GROUP TOTAL 4,568
- ---------------------------------------------------------
FACE
AMOUNT
(000)
---------
U.S. TREASURY SECURITIES (0.5%)
ddag. U.S. Treasury Bill
Zero Coupon,
5/2/96 Tsy $ 250 249
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.3%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $121,
collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97, valued
at $123 $ 121 $ 121
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,938) 4,938
- ---------------------------------------------------------
TOTAL INVESTMENTS (104.0%) (Cost $45,599) 47,454
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.0%)
Interest Receivable 207
Unrealized Gain on Swap Agreements 666
Dividends Payable (49)
Payable for Fund Shares Redeemed (2)
Payable for Investments Purchased (2,560)
Payable for Investment Advisory Fees (33)
Payable for Administrative Fees (3)
Payable for Daily Variation on Futures
Contracts (36)
Other Liabilities (23)
--------
(1,833)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 4,130,460 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $45,621
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.04
- ---------------------------------------------------------
dag. See Note A1 to Financial Statements.
ddag.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 March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 1996.
(+) 144A security. Certain conditions for public sale may
exist.
N/R Not rated by Moody's Investor Service, Inc., Standard
& Poor's Corporation or Fitch.
</TABLE>
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The PA Municipal Portfolio invests in municipal debt securities exempt from
Pennsylvania income tax, and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio will be invested in municipal securities
with at least 65% invested in Pennsylvania municipal securities. Taxable
securities are included only in cases where MAS believes they will improve the
fund's risk/reward profile on an after-tax basis.
<TABLE>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 5.1 % 3.9%
ONE YEAR 10.5 9.2
SINCE INCEPTION 8.5 7.4
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the PA Municipal Portfolio from exceeding
0.50% of average daily net assets.
* Returns since inception on 10/1/92 to 3/31/96 for the PA Municipal Portfolio
are compared to the Lehman Long Municipal Index, an unmanaged market index. In
future reports, returns will be compared to the Lehman 5-Year Municipal Bond
Index and the Lehman 10-Year Municipal Bond Index, both unmanaged indices, as a
result of the change in objective and policy approved by shareholders on April
15, 1996. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.0%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (94.3%)
Aliquippa School
District, PA
Zero Coupon,
6/1/12 A $ 685 $ 269
Allegheny County, PA
Zero Coupon,
5/1/03 AAA 325 229
Berks County, PA
Zero Coupon
5/15/19 AAA 1,250 310
11/15/20 AAA 1,000 245
Bucks County, PA
Industrial
Development
Authority Revenue
Bond, Grandview
Hospital Project
Series B
## 3.50%, 7/3/12 AAA 350 350
7.20%, 7/1/12 AAA 250 252
Bucks County, PA
Water & Sewer
Authority Revenue
Bond
Zero Coupon,
12/1/05 AAA 375 228
+ 5.50%, 2/1/08 Aaa 265 265
Center Township, PA
Sewer Authority
Zero Coupon,
4/15/17 AAA 615 178
Central Valley, CA
Finance Authority
5.70%, 7/1/03 BBB- 100 100
Chartiers Valley, PA
Zero Coupon,
2/1/06 AAA 425 253
Clinton County, PA
Industrial
Development
Authority
6.25%, 11/15/06 BB 150 128
Conrad Weiser Area
School District, PA
Series A
3.70%, 7/1/97 AAA 200 200
Delaware County, PA
6.90%, 12/1/96 AA 245 249
## Delaware County,
PA Industrial
Development
Authority Revenue
Bond Series G
4.25%, 12/1/13 AAA 350 351
Elizabeth Forward, PA
School District
Zero Coupon,
9/1/11 AAA 400 165
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Girard Area, PA
School District Zero
Coupon
10/1/18 AAA $ 700 $ 181
10/1/19 AAA 250 61
Huron, MI School District
Zero Coupon,
5/1/18 AAA 1,500 398
Intermountain Power
Agency, Utah
6.50%, 7/1/09 AAA 300 333
Kane & De Kalb
Counties, IL Unit
School District
Zero Coupon,
12/1/09 AAA 200 92
Lehigh County, PA
General Purpose
Authority Revenue
Bond, Horizons
Health Systems, Inc.
Series B
8.25%, 7/1/13 N/R 250 265
Millcreek Township, PA
Zero Coupon,
8/15/05 AAA 375 231
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bond
6.95%, 1/1/20 BBB- 80 83
Montour, PA School
District
Zero Coupon,
1/1/13 AAA 300 114
## New York City, NY
General Obligation Inverse
Bond
18.41%, 10/1/03 BBB+ 100 154
North Carolina Eastern
Municipal Power Agency
5.125%, 1/1/03 BBB- 150 147
North Slope Borough,
AK General
Obligation Series B
Zero Coupon,
6/30/04 AAA 285 185
Northwestern PA
School District
Zero Coupon,
1/15/09 AAA 450 220
Oley Valley, PA
School District
Zero Coupon,
5/15/09 AAA 760 365
Penn Hills Township, PA
Zero Coupon,
6/1/12 N/R 450 150
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB- 250 258
6.70%, 9/1/16 AAA 500 572
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
Pennsylvania Housing
Finance Agency
## 3.53%, 10/3/23 AA+ $ 350 $ 350
Series 47 5.20%,
4/1/27 AA+ 375 368
Pennsylvania State
General Obligation
# 0.00%, 4/15/03 AAA 300 312
Zero Coupon,
7/1/05 AAA 375 235
Philadelphia, PA Gas
Works
5.80%, 7/1/01 BBB 200 204
Philadelphia, PA General
Obligation Series A:
5.125%, 5/15/03 AAA 100 101
7.625%, 8/1/16 BBB- 350 362
+ Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 150 195
## Philadelphia, PA
Hospitals & Higher
Education Facilities
Authority
3.587%, 3/6/12 AAA 350 350
Philadelphia, PA
Municipal Authority
Revenue Bond
7.875%, 7/15/17 AAA 300 322
Philadelphia, PA
School District
5.20%, 7/1/03 AAA 200 205
Phoenixville, PA Area
School District
6.60%, 3/1/05 AAA 350 355
Pittsburgh, PA
General Obligation
Zero Coupon,
9/1/04 AAA 350 229
6.50%, 4/1/11 AAA 300 310
Pittsburgh, PA
Water & Sewer
Zero Coupon,
9/1/05 AAA 375 233
Robinson Township, PA
6.90%, 5/15/18 AAA 115 133
San Bernardino
County, CA Series A
7.40%, 7/1/16 AAA 450 436
Scott Township, PA
3.80%, 3/1/97 AAA 200 200
Scranton, PA Health &
Welfare Authority
6.625%, 7/1/09 AAA 130 138
Southeastern Area
Schools, PA
Zero Coupon,
10/1/06 A 590 328
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Steel Valley, PA
School District
Zero Coupon,
11/1/11 A $ 430 $ 165
Stroud Township, PA
Sewer Authority
Zero Coupon,
11/15/05 AAA 375 227
Upper Darby
Township, PA
Zero Coupon,
7/15/11 AAA 525 218
Washington County,
West PA Power Co.
4.95%, 3/1/03 A 150 151
Westmoreland County, PA
Zero Coupon,
8/1/14 AAA 1,475 506
Yough, PA School District
Zero Coupon,
10/1/13 AAA 1,445 520
- ---------------------------------------------------------
GROUP TOTAL 14,734
- ---------------------------------------------------------
INDUSTRIALS (1.6%)
Comcast Corp.
9.375%, 5/15/05 B+ 75 76
G-I Holdings, Inc.
Zero Coupon,
10/1/98 B+ 57 46
(+) 10.00%,
2/15/06 B+ 54 55
Host Marriott
Travel Plaza
9.50%, 5/15/05 BB- 75 73
- ---------------------------------------------------------
GROUP TOTAL 250
- ---------------------------------------------------------
TELEPHONES (0.4%)
Rogers Cablesystems
10.00%, 3/15/05 BB+ 50 52
- ---------------------------------------------------------
TRANSPORTATION (0.7%)
(+) Jet Equipment Trust
Series 95-5A C
10.69%, 5/1/15 BBB- 100 112
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $14,204) 15,148
- ---------------------------------------------------------
CASH EQUIVALENTS (4.8%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MONEY MARKET INSTRUMENTS (3.4%)
Dreyfus PA Municipal
Money Market Fund A 268,772 269
Vanguard PA Money
Market Fund A 269,824 270
- ---------------------------------------------------------
GROUP TOTAL 539
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
U.S. TREASURY SECURITY (0.8%)
ddag. U.S. Treasury Bill
Zero Coupon, 8/22/96 Tsy $ 125 $ 122
- ---------------------------------------------------------
REPURCHASE AGREEMENT (0.6%)
The Chase Manhattan Bank,
N.A. 5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $94,
collateralized by various
U.S. Government
Obligations, due
5/31/96-5/31/97, valued
at $97 94 94
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $755) 755
- ---------------------------------------------------------
TOTAL INVESTMENTS (101.8%) (Cost $14,959) 15,903
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.8%)
Cash 1
Interest Receivable 105
Unrealized Gain on Swap Agreements 305
Payable for Investments Purchased (658)
Payable for Investment Advisory Fees (8)
Payable for Administrative Fees (1)
Payable for Daily Variation on Futures
Contracts (1)
Other Liabilities (24)
-------
(281)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 1,394,532 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $15,622
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.20
- ---------------------------------------------------------
dag. See Note A1 to Financial Statements.
ddag.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 March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 1996.
N/R Not rated by Moody's Investors Service, Inc., Standard
& Poor's Corporation or Fitch.
(+) 144A security. Certain conditions for public sale may
exist.
</TABLE>
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Global Fixed Income Portfolio invests in high-grade fixed-income securities
around the world, including the United States. Miller Anderson & Sherrerd
manages the duration, country, and currency exposure of the portfolio by
combining research on relative values with analyses of economic, interest rate,
and exchange rate trends. Particular attention is paid to prospective inflation
and real interest rates. The Portfolio will tend to invest in those countries
offering the highest real interest rates and steepest yield curves, after
adjusting for differences in the fiscal soundness of each country. Foreign
currency exposure is handled as a separate management decision and foreign
currencies which MAS judges to be significantly overvalued are hedged.
<TABLE>
- --------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 2.7% 1.0%
ONE YEAR 9.7 5.3
SINCE INCEPTION 8.6 8.2
- --------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Global Fixed Income Portfolio from
exceeding 0.58% of average daily net assets.
* Returns since inception on 4/30/93 to 3/31/96 for the Global Fixed Income
Portfolio are compared to the Salomon World Government Bond Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (86.6%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
AUSTRALIAN DOLLAR (1.1%)
Commonwealth of
Australia
9.75%, 3/15/02 AAA AUD 825 $ 675
- ---------------------------------------------------------
BRITISH POUND (5.1%)
United Kingdom
Treasury Bills
7.00%, 11/6/01 AAA GBP 1,230 1,817
8.50%, 7/16/07 AAA 840 1,303
- ---------------------------------------------------------
GROUP TOTAL 3,120
- ---------------------------------------------------------
CANADIAN DOLLAR (3.8%)
sec. Global Econ2 EI
Zero Coupon,
11/1/98
(acquired
5/18/94, cost
$302) AAA (1) 6 112
sec. Global Econ2 PIP
Zero Coupon,
11/1/98
(acquired
5/18/94, cost
$82) AAA (1) 6 36
Government of Canada
8.50%, 4/1/02 AA+ CAD 775 604
9.75%, 6/1/21 AA+ 1,775 1,528
- ---------------------------------------------------------
GROUP TOTAL 2,280
- ---------------------------------------------------------
DANISH KRONE (6.7%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 17,540 3,247
9.00%, 11/15/00 AAA 4,225 821
- ---------------------------------------------------------
GROUP TOTAL 4,068
- ---------------------------------------------------------
FRENCH FRANC (4.4%)
Government of
France O.A.T.
8.50%, 3/28/00 AAA FRF 12,150 2,669
- ---------------------------------------------------------
GERMAN MARK (16.2%)
Government of
Germany
7.125%, 1/29/03 AAA DEM 2,650 1,903
7.375%, 1/3/05 AAA 3,175 2,288
7.50%, 9/9/04 AAA 1,625 1,181
8.375%, 5/21/01 AAA 5,845 4,465
- ---------------------------------------------------------
GROUP TOTAL 9,837
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
ITALIAN LIRA (9.1%)
Republic of Italy BTPS
9.50%, 12/1/99 AA ITL 7,490,000 $ 4,689
10.00%, 8/1/03 AA 1,360,000 853
- ---------------------------------------------------------
GROUP TOTAL 5,542
- ---------------------------------------------------------
JAPANESE YEN (8.4%)
Asian Development
Bank
5.00%, 2/5/03 AAA JPY 161,000 1,702
Credit Locale de
France
6.00%, 10/31/01 AAA 92,000 1,011
Export-Import Bank
of Japan
2.875%, 7/28/05 AAA 120,000 1,093
International Bank for
Reconstruction &
Development
4.60%, 3/20/03 AAA 55,000 569
ddag. 6.75%,
6/18/01 AAA 64,000 725
- ---------------------------------------------------------
GROUP TOTAL 5,100
- ---------------------------------------------------------
NETHERLANDS GUILDER (3.5%)
Netherlands Government
8.50%, 3/15/01 AAA NLG 3,150 2,154
- ---------------------------------------------------------
SPANISH PESETA (4.9%)
Spanish Government
10.10%, 2/28/01 AA ESP 185,000 1,539
10.30%, 6/15/02 AA 170,000 1,421
- ---------------------------------------------------------
GROUP TOTAL 2,960
- ---------------------------------------------------------
SWEDISH KRONA (1.7%)
Government of Sweden
13.00%, 6/15/01 AAA SEK 5,575 1,006
- ---------------------------------------------------------
U.S. DOLLAR (21.7%)
AGENCY FIXED RATE MORTGAGES (3.4%)
Federal National Mortgage
Association
April TBA
7.00%,
9/1/25-12/15/25 Agy $ 2,100 2,046
- ---------------------------------------------------------
CORPORATES (0.5%)
## Ford Motor Credit Corp.
5.69%, 6/17/96 A 320 320
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (17.8%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,950 3,595
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Notes
6.25%, 2/15/03 Tsy $ 3,800 $ 3,789
6.75%, 5/31/99 Tsy 2,550 2,605
7.50%, 5/15/02 Tsy 775 826
- ---------------------------------------------------------
GROUP TOTAL 10,815
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $51,885) 52,592
- ---------------------------------------------------------
CASH EQUIVALENTS (14.2%)
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (14.2%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96, due 4/1/96,
to be repurchased at $2,864,
collateralized by various
U.S. Government Obligations,
due 5/31/96-5/31/97,
valued at $2,890 2,862 2,862
Goldman Sachs 5.18%, dated
3/29/96, due 4/1/96, to be
repurchased at $2,863,
collateralized by U.S.
Treasury Bonds 13.75%, due
8/15/04, valued at $2,938 2,862 2,862
Merrill Lynch 5.15%, dated
3/29/96, due 4/1/96, to be
repurchased at $2,863,
collateralized by U.S.
Treasury Notes 4.375%, due
8/15/96, valued at $2,921 2,862 2,862
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $8,586) 8,586
- ---------------------------------------------------------
FOREIGN CURRENCY (0.4%)
- ---------------------------------------------------------
Canadian Dollar CAD 14 10
French Franc FRF 1,033 205
@ Italian Lira ITL 133 --
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $215) 215
- ---------------------------------------------------------
TOTAL INVESTMENTS (101.2%) (Cost $60,686) 61,393
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-1.2%)
Cash $ 1
Interest Receivable 1,383
Receivable for Fund Shares Sold 35
Receivable for Investments Sold 672
Receivable for Daily Variation on
Futures Contracts 114
Payable for Investments Purchased (2,763)
Payable for Investment Advisory Fees (44)
Payable for Administrative Fees (4)
Payable for Custody Fees (6)
Unrealized Loss on Forward Foreign
Currency Contracts (78)
Other Liabilities (10)
-------
(700)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 5,664,685 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $60,693
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.71
- ---------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1996 was $148 or 0.2%
of net assets.
dag. See Note A1 to Financial Statements.
ddag. A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate security-rate disclosed is
as of March 31, 1996.
@ Value is less than $500.
(1) Amount represents units held by the Portfolio.
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.
- --------------------------------------------------------------------------------
76
<PAGE> 79
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
(UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Fixed Income Portfolio invests in high-grade foreign
fixed-income securities. Miller Anderson & Sherrerd manages the duration,
country, and currency exposure of the Portfolio by combining research on
relative values with analyses of economic, interest rate, and exchange rate
trends. Particular attention is paid to prospective inflation and real interest
rates. The Portfolio will tend to invest in those countries offering the highest
real interest rates and steepest yield curves, after adjusting for differences
in the fiscal soundness of each country. Foreign currency exposure is handled as
a separate management decision and foreign currencies which MAS judges to be
significantly overvalued are hedged.
<TABLE>
<CAPTION>
- --------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
------------------------------
<S> <C> <C>
SIX MONTHS 1.8% 0.3 %
ONE YEAR 6.6 2.7
SINCE INCEPTION 9.8 10.6
- --------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the International Fixed Income Portfolio
from exceeding 0.60% of average daily net assets.
* Returns since inception on 4/29/94 to 3/31/96 for the International Fixed
Income Portfolio are compared to the Salomon World Government Bond Ex-U.S.
Index, an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (78.6%)
<TABLE>
<CAPTION>
---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
---------------------------------------------------------
<S> <C> <C> <C> <C>
AUSTRALIAN DOLLAR (1.3%)
Commonwealth of
Australia
9.75%, 3/15/02 AAA AUD 2,650 $ 2,169
- ---------------------------------------------------------
BRITISH POUND (8.8%)
United Kingdom
Treasury Bills
7.00%, 11/6/01 AAA GBP 8,490 12,540
8.50%, 7/16/07 AAA 1,335 2,070
- ---------------------------------------------------------
GROUP TOTAL 14,610
- ---------------------------------------------------------
CANADIAN DOLLAR (3.1%)
sec. Global Econ2 EI
Zero Coupon,
11/1/98
(acquired
5/18/94-12/1/95,
cost $490) AAA (1) 14 261
sec. Global Econ2 PIP
Zero Coupon,
11/1/98
(acquired
5/18/94-12/1/95,
cost $143) AAA (1) 14 83
Government of Canada
6.50%, 6/1/04 AA+ CAD 1,100 757
8.50%, 4/1/02 AA+ 500 390
9.75%, 6/1/21 AA+ 4,300 3,701
- ---------------------------------------------------------
GROUP TOTAL 5,192
- ---------------------------------------------------------
DANISH KRONE (7.7%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 38,060 7,047
8.00%, 3/15/06 AAA 18,350 3,324
9.00%, 11/15/00 AAA 11,725 2,278
- ---------------------------------------------------------
GROUP TOTAL 12,649
- ---------------------------------------------------------
FRENCH FRANC (0.9%)
Government of France
O.A.T
8.50%, 3/28/00 AAA FRF 4,000 879
ddag. 9.50%,
1/25/01 AAA 2,900 666
- ---------------------------------------------------------
GROUP TOTAL 1,545
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
INTERNATIONAL FIXED
INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
GERMAN MARK (17.8%)
Government of
Germany
ddag. 7.125%,
1/29/03 AAA DEM 3,955 $ 2,840
7.375%, 1/3/05 AAA 7,800 5,622
7.50%, 9/9/04 AAA 5,525 4,015
8.375%, 5/21/01 AAA 16,040 12,253
European Economic
Community
6.50%, 3/10/00 AAA 2,250 1,596
International Bank
for Reconstruction
& Development
7.125%, 4/12/05 AAA 4,550 3,207
- ---------------------------------------------------------
GROUP TOTAL 29,533
- ---------------------------------------------------------
ITALIAN LIRA (9.6%)
Republic of Italy BTPS
8.50%, 8/1/99 AA ITL 2,450,000 1,494
9.00%, 10/1/03 AA 2,865,000 1,699
9.50%, 12/1/99 AA 10,620,000 6,648
9.50%, 1/1/05 AA 5,985,000 3,589
10.00%, 8/1/03 AA 3,915,000 2,457
- ---------------------------------------------------------
GROUP TOTAL 15,887
- ---------------------------------------------------------
JAPANESE YEN (14.9%)
Asian Development
Bank
5.00%, 2/5/03 AAA JPY 377,000 3,986
ddag. Credit Locale
de France
6.00%, 10/31/01 AAA 501,000 5,505
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 420,000 3,826
4.375%, 10/1/03 AAA 262,000 2,674
Inter-American
Development Bank
6.00%, 10/30/01 AAA 610,000 6,720
ddag. International Bank
for Reconstruction &
Development
6.75%, 6/18/01 AAA 178,000 2,016
- ---------------------------------------------------------
GROUP TOTAL 24,727
- ---------------------------------------------------------
NETHERLANDS GUILDER (4.9%)
Netherlands
Government
8.25%, 2/15/07 AAA NLG 4,825 3,294
8.50%, 3/15/01 AAA 6,950 4,752
- ---------------------------------------------------------
GROUP TOTAL 8,046
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
SPANISH PESETA (6.8%)
Spanish Government
10.10%, 2/28/01 AA ESP 650,000 $ 5,408
10.30%, 6/15/02 AA 695,000 5,809
- ---------------------------------------------------------
GROUP TOTAL 11,217
- ---------------------------------------------------------
SWEDISH KRONA (2.1%)
Government of Sweden
13.00%, 6/15/01 AAA SEK 18,825 3,396
- ---------------------------------------------------------
UNITED STATES DOLLAR (0.7%)
CORPORATES (0.7%)
## Bank of Hawaii,
Honolulu
5.34%, 11/25/96 A $ 500 500
##Ford Motor
Credit Corp.
5.69%, 6/17/96 A 680 680
- ---------------------------------------------------------
GROUP TOTAL 1,180
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$129,596) 130,151
- ---------------------------------------------------------
CASH EQUIVALENTS (13.1%)
- ---------------------------------------------------------
COMMERCIAL PAPER (10.9%)
## Abbott Laboratories
5.35%, 4/18/96 3,000 2,992
## Bell Atlantic
Network Funding Corp.
5.40%, 4/11/96 3,000 2,996
## Coca-Cola Co.
5.36%, 4/19/96 3,000 2,992
## Monsanto Corp.
5.36%, 5/1/96 3,000 2,987
## Philip Morris Cos.,
Inc.
5.35%, 4/9/96 3,000 2,996
## Transamerica Corp.
5.35%, 5/1/96 3,000 2,987
- ---------------------------------------------------------
GROUP TOTAL 17,950
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (2.2%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at
$1,230,
collateralized by
various U.S.
Government
Obligations, due
5/31/96-5/31/97,
valued at $1,243 1,229 1,229
Goldman Sachs 5.18%,
dated 3/29/96, due
4/1/96, to be
repurchased at
$1,230,
collateralized by
U.S. Treasury Bonds
13.75%, due 8/15/04,
valued at $1,262 1,229 1,229
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch 5.15%,
dated 3/29/96, due
4/1/96, to be
repurchased at
$1,230,
collateralized by
U.S. Treasury Notes
4.375%, due 8/15/96,
valued at $1,254 $ 1,229 $ 1,229
- ---------------------------------------------------------
GROUP TOTAL 3,687
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,637) 21,637
- ---------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- ---------------------------------------------------------
Canadian Dollar CAD 14 10
French Franc FRF 340 68
German Mark DEM 146 99
@ Italian Lira ITL 2 --
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $177) 177
- ---------------------------------------------------------
TOTAL INVESTMENTS (91.8%) (Cost $151,410) 151,965
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (8.2%)
Cash 1
Interest Receivable 4,147
Receivable for Fund Shares Sold 4
Receivable for Investments Sold 14,966
Receivable for Daily Variation on
Futures Contracts 569
Payable for Investments Purchased (5,510)
Payable for Investment Advisory Fees (159)
Payable for Administrative Fees (11)
Payable for Custody Fees (10)
Unrealized Loss on Forward Foreign
Currency Contracts (499)
Other Liabilities (3)
-------
13,495
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 15,682,959 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $165,460
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.55
- ---------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1996 was $344 or 0.2% of
net assets.
dag. See Note A1 to Financial Statements.
ddag. A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate security-rate disclosed is as
of March 31, 1996.
@ Value is less than $500.
(1) Amount represents units held by the Portfolio.
</TABLE>
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Intermediate Duration Portfolio invests in all sectors and maturities of the
bond market, while limiting average duration to between two and five years.
Miller Anderson & Sherrerd actively manages the maturity and duration structure
of the Portfolio in anticipation of long-term trends in interest rates and
inflation. MAS selects investments in agencies, investment-grade corporate
bonds, mortgages, foreign and other fixed-income securities based upon relative
value in the marketplace.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MAS INDEX
-------------------------------
<S> <C> <C>
SIX MONTHS 3.3 % 2.7%
ONE YEAR 10.3 9.6
SINCE INCEPTION 9.8 9.3
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Intermediate Duration Portfolio from
exceeding 0.52% of average daily net assets.
* Returns since inception on 10/3/94 to 3/31/96 for the Intermediate Duration
Portfolio are compared to the Lehman Intermediate Government/Corporate Bond
Index, an unmanaged market index. Returns for periods less than one year are
cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (99.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (4.6%)
## Government National
Mortgage Association II
Various Pools:
6.50%, 9/20/24 Agy $ 240 $ 240
7.00%, 10/20/23 Agy 254 255
- ---------------------------------------------------------
GROUP TOTAL 495
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (21.7%)
Federal Home Loan
Mortgage
Corporation
Conventional
Pools:
11.00%, 7/1/13 Agy 141 157
11.50%, 3/1/13 Agy 252 283
Gold Pools:
April TBA
7.00%,
8/15/23-8/15/25 Agy 650 634
Federal National
Mortgage
Association
Conventional
Pools:
10.00%, 5/1/22 Agy 139 152
10.50%, 12/1/10 Agy 203 226
May TBA
7.00%, 10/1/23 Agy 425 413
Government National
Mortgage
Association
May TBA
7.50%, 2/15/26 Agy 450 449
- ---------------------------------------------------------
GROUP TOTAL 2,314
- ---------------------------------------------------------
ASSET BACKED CORPORATES (8.8%)
AFG Receivables
Trust Series 95-A
A
6.15%, 9/15/00 A 43 43
ALPS Series 94-1 A4
CMO
7.80%, 9/15/04 AA 60 62
Case Equipment Loan
Trust Series:
95-A A
7.30%, 3/15/02 AAA 32 33
95-A B
7.65%, 3/15/02 A 44 45
## Discount Credit
Master Trust
Series
93-1 A
5.645%, 10/16/01 AAA 100 100
#(+) Equitable
Asset Trust Series
93-A
5.00%, 10/15/08 AAA 45 45
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Grantor
Trust Series 94-B
A
7.30%, 10/15/99 AAA $ 85 $ 86
General Motors
Acceptance Corp.
Grantor Trust
Series 93-A A
4.15%, 3/15/98 AAA 26 26
Greenwich Capital
Acceptance, Inc.
Series 95-BA1 A1
6.00%, 8/10/20 AAA 47 46
IBM Credit
Receivables Lease
Asset Master
Trust
Series 93-1 A
4.55%, 11/15/00 AAA 48 48
Navistar Financial
Corp. Owner Trust
Series 94-C A1
7.65%, 12/22/97 AAA 71 71
Olympic Automobile
Receivables Trust
Series:
94-B A2
6.85%, 6/15/01 AAA 35 35
94-B B
6.95%, 6/15/01 AAA 70 70
Onyx Acceptance
Trust Series 94-1
A
6.90%, 1/17/00 AAA 77 77
Orix Credit
Alliance Owner
Trust
Series 94-A A
6.05%, 6/15/99 AAA 47 47
Western Financial
Auto Grantor Trust
Series:
93-2 A2
4.70%, 10/1/98 AAA 43 43
94-1 A1
5.10%, 6/1/99 AAA 64 64
- ---------------------------------------------------------
GROUP TOTAL 941
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (3.7%)
Cityscape Home
Equity Loan
Series:
(+) 95-2 A1
7.29%, 2/25/09 AAA 99 99
96-1 A1
6.45%, 4/25/27 AAA 125 125
Contimortgage Home
Equity Loan
Series 96-1 A1
5.70%, 10/15/09 AAA 98 97
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Money Store (The)
Home Equity Trust
Series 95-C A1
6.20%, 1/15/09 AAA $ 71 $ 71
- ---------------------------------------------------------
GROUP TOTAL 392
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (12.4%)
Citicorp Mortgage
Securities, Inc.
Series:
93-9 A1
7.00%, 3/25/20 AAA 137 137
sec. 95-3 A6
7.50%, 11/25/25
(acquired
11/2/95, cost
$153) AAA 150 148
GE Capital Mortgage
Services, Inc.
Series 95-9 A6
7.50%, 11/25/25 AAA 150 147
sec.+ Independent
National Mortgage
Corp.
Series 94-O B1
7.875%, 9/25/24
(acquired
11/9/95, cost
$98) A2 99 96
Old Stone Credit
Corp.
Series 92-3 B1
6.35%, 9/25/07 AAA 108 107
Residential Funding
Mortgage
Securities
Co., Inc. Series:
92-S2 M
8.00%, 1/25/22 AA 92 93
95-R20 A5
7.50%, 12/25/25 AAA 150 147
95-S11 A 16
7.50%, 9/25/25 AAA 124 124
95-S17 A8
7.50%, 12/25/25 AAA 150 147
Rural Housing Trust
Series 87-1 D
6.33%, 4/1/26 AAA 181 177
- ---------------------------------------------------------
GROUP TOTAL 1,323
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (10.2%)
+ American
Southwest
Financial
Securities Corp.
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 150 153
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Asset
Securitization
Corp. Series:
95-D1 A1
7.59%, 8/11/27 AAA $ 149 $ 153
95-MD4 A1
7.10%, 8/13/29 AAA 124 125
(+) Carousel Center
Finance, Inc.
Series 1 C
7.527%, 10/15/07 BBB+ 96 96
(+) CBM Funding
Corp.
Series 96-1 A3PI
7.08%, 2/1/13 AA 100 99
J.P. Morgan
Commercial
Mortgage
Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 103 104
(+) Lakewood Mall
Finance Co.
Series 95-C1 A
7.00%, 8/13/10 AA 100 99
Merrill Lynch
Mortgage
Investors,
Inc.
Series 1996-C1 A3
7.42%, 3/25/26 AAA 100 101
Mortgage Capital
Funding, Inc.
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 150 154
- ---------------------------------------------------------
GROUP TOTAL 1,084
- ---------------------------------------------------------
ENERGY (0.9%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 97
- ---------------------------------------------------------
FEDERAL AGENCY (1.1%)
Student Loan
Marketing
Association
Series:
## 95-1 A1
5.70%, 4/26/04 Agy 66 66
## 96-1 A1
5.68%, 7/26/04 Agy 50 50
- ---------------------------------------------------------
GROUP TOTAL 116
- ---------------------------------------------------------
FINANCE (9.7%)
Allstate Corp.
5.875%, 6/15/98 A 125 124
Barclays American
Corp.
7.875%, 8/15/98 AA 125 130
Commercial Credit
Co.
6.50%, 6/1/05 A+ 100 97
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Countrywide Funding
Corp.
6.55%, 4/14/00 A $ 100 $ 100
Dean Witter
Discover & Co.
6.875%, 3/1/03 A 100 100
Ford Motor Credit
Corp.
7.47%, 7/29/99 A+ 75 77
General Motors
Acceptance Corp.
6.75%, 6/10/02 A- 100 100
Heller Financial,
Inc.
ddag. 6.45%,
2/15/97 BBB+ 49 49
8.85%, 4/15/96 BBB+ 125 125
## Household Finance
Corp.
Series 89-2 A
5.66%, 12/20/04 AAA 37 37
Lehman Brothers
Holding Corp.
6.625%, 11/15/00 A 100 99
- ---------------------------------------------------------
GROUP TOTAL 1,038
- ---------------------------------------------------------
FOREIGN GOVERNMENTS (14.3%)
Government of
Canada
8.50%, 4/1/02 AA+ CAD 150 117
Government of
Germany
7.125%, 1/29/03 AAA DEM 745 535
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 525 95
9.00%, 11/15/00 AAA 1,120 218
Netherlands
Government
8.50%, 3/15/01 AAA NLG 600 410
Spanish Government
11.30%, 1/15/02 AA ESP 12,000 104
United Kingdom
9.125%, 2/21/01 AAA ECU 35 49
- ---------------------------------------------------------
GROUP TOTAL 1,528
- ---------------------------------------------------------
INDUSTRIALS (4.1%)
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ $ 105 105
News America
Holdings, Inc.
10.125%,
10/15/12 BBB 50 57
Philip Morris Cos.,
Inc.
6.375%, 2/1/06 A 55 52
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 50 49
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB $ 89 $ 90
Time Warner, Inc.
8.375%, 3/15/23 BBB- 85 86
- ---------------------------------------------------------
GROUP TOTAL 439
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (2.1%)
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 91 98
## Resolution Trust Corp.
Series 92-5 C
8.622%, 1/25/26 AA 120 123
- ---------------------------------------------------------
GROUP TOTAL 221
- ---------------------------------------------------------
TELEPHONES (1.1%)
Tele-Communications,
Inc.
9.875%, 6/15/22 BBB- 100 115
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (3.6%)
U.S. Treasury Note
7.25%, 8/15/04 Tsy 175 184
U.S. Treasury
Strips
Principal Only
2/15/19 Tsy 400 81
8/15/20 Tsy 650 118
- ---------------------------------------------------------
GROUP TOTAL 383
- ---------------------------------------------------------
YANKEE (0.9%)
YPF SA
7.50%, 10/26/02 BBB 95 96
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $10,558) 10,582
- ---------------------------------------------------------
CASH EQUIVALENTS (12.3%)
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (12.3%)
The Chase Manhattan Bank, N.A.
5.35%, dated 3/29/96,
due
4/1/96, to be
repurchased at $440,
collateralized by
various U.S. Government
Obligations, due
5/31/96-5/31/97,
valued at $445 440 440
Goldman Sachs 5.18%,
dated 3/29/96, due
4/1/96, to be
repurchased at $437,
collateralized by
U.S. Treasury Bonds
13.75%, due 8/15/04,
valued at $449 437 437
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch 5.15%,
dated 3/29/96, due
4/1/96, to be
repurchased at $437,
collateralized by
U.S. Treasury Notes
4.375%, due 8/15/96,
valued at $446 $ 437 $ 437
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,314) 1,314
- ---------------------------------------------------------
TOTAL INVESTMENTS (111.5%) (Cost $11,872) 11,896
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-11.5%)
Cash 1
Interest Receivable 109
Unrealized Gain on Forward Foreign
Currency Contracts 11
Receivable for Investments Sold 674
Payable for Investments Purchased (2,000)
Payable for Investment Advisory Fees (4)
Payable for Administrative Fees (1)
Payable for Daily Variation on Futures
Contracts (5)
Other Liabilities (11)
-------
(1,226)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 1,043,073 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $10,670
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.23
- ---------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1996 was $244 or 2.3%
of net assets.
dag. See Note A1 to Financial Statements.
ddag. 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 March 31, 1996.
(+) 144A security. Certain conditions for public sale may
exist.
CMO Collateralized Mortgage Obligation.
TBA Security is subject to delayed delivery. See Note A8
to Financial Statements.
CAD Canadian Dollar.
DEM German Mark.
DKK Danish Krone.
ECU European Currency Unit.
ESP Spanish Peseta.
NLG Netherlands Guilder.
</TABLE>
BALANCED
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Balanced Portfolio provides ongoing asset allocation management with Miller
Anderson &
Sherrerd's primary equity and fixed-income management strategies. The Portfolio
considers a 60% equity/40% fixed-income mix as a neutral, or starting-point
investment. As market values increase in one market versus the other, the mix
between asset classes will change.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
S&P SALOMON
MAS 500 BROAD
------------------------------------
<S> <C> <C> <C>
SIX MONTHS 8.6% 11.7% 2.5%
ONE YEAR 23.7 32.1 10.9
SINCE INCEPTION 11.7 16.0 6.9
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
* Returns since inception on 12/31/92 to 3/31/96 for the Balanced Portfolio are
compared to the S&P 500 Index and the Salomon Broad Investment Grade Index, both
unmanaged market indices. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (39.3%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1996 & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (2.0%)
## Government National
Mortgage Corporation II
Various Pools:
6.00%,
2/20/24-5/20/24 Agy $ 3,811 $ 3,816
6.50%,
12/20/23-1/20/25.. Agy 3,182 3,188
- ---------------------------------------------------------
GROUP TOTAL 7,004
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (9.5%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
11.00%,
5/1/20-9/1/20 Agy $ 1,389 $ 1,548
12.00%, 3/1/15 Agy 555 628
April TBA
10.00%, 4/15/16 Agy 925 1,013
Gold Pools:
April TBA
7.00%,
8/15/23-8/15/25 Agy 4,225 4,121
Federal National
Mortgage Association
Conventional Pools:
10.50%,
12/1/16-4/1/22 Agy 2,225 2,471
April TBA
7.00%,
9/1/25-11/15/25 Agy 9,400 9,159
May TBA
7.00%, 10/1/23 Agy 5,475 5,326
Government National
Mortgage Association
April TBA
7.00%, 11/15/24 Agy 1,650 1,607
May TBA
7.50%, 2/15/26 Agy 6,750 6,729
- ---------------------------------------------------------
GROUP TOTAL 32,602
- ---------------------------------------------------------
ASSET BACKED CORPORATES (0.4%)
## Airplanes Pass Through
Trust Series 1 B
6.475%, 3/15/19 A 345 345
ALPS Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 375 385
94-1 C CMO
9.35%, 3/15/00 BBB 622 639
#(+) Equitable Asset Trust
Series 93-A
5.00%, 10/15/08 AAA 90 89
- ---------------------------------------------------------
GROUP TOTAL 1,458
- ---------------------------------------------------------
ASSET BACKED MORTGAGES (0.2%)
Security Pacific Home
Equity Trust Series:
+ 91-A A2
8.90%, 3/10/06 Aaa 359 364
91-A B
10.50%, 3/10/06 A+ 202 209
- ---------------------------------------------------------
GROUP TOTAL 573
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.3%)
Federal National Mortgage
Association Series:
90-106 J PAC
8.50%, 9/25/20 Agy $ 745 $ 773
92-33 S Inv Fl IO
12.24%, 3/25/22 Agy 330 335
- ---------------------------------------------------------
GROUP TOTAL 1,108
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (4.1%)
American Housing Trust
Series V IG
9.125%, 4/25/21 AAA 305 310
Chemical Mortgage
Securities, Inc.
Series 93-1M
7.45%, 2/25/23 AA 452 443
Citicorp Mortgage
Securities, Inc. Series:
90-11 A5
9.50%, 7/25/20 AAA 174 174
94-7 A5
6.25%, 4/25/24 AAA 825 690
CMC Securities Corp. IV
Series 94-G A4
7.00%, 9/25/24 AAA 675 614
sec. First Boston Mortgage
Securities Corp.
Series 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-
2/26/93,
cost $252) A 257 251
GE Capital Mortgage
Services, Inc. Series:
(+) 94-6 M
6.50%, 4/25/24 AA 1,447 1,313
94-24 A4 7.00%,
7/25/24 AAA 858 789
sec. Independent National
Mortgage Corp.
Series 95-V A3
7.12%, 2/25/26
(acquired
10/24/95, cost
$935) AAA 948 912
++##sec. Kidder Peabody
Funding Corp.
Series 92-4 B2
8.515%, 5/28/22
(acquired
2/26/93, cost
$117) A 115 114
Prudential Home
Mortgage Securities Co.,
Inc. Series:
90-5 A3
9.50%, 5/25/05 AAA 196 196
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
90-8 A5 PAC-1(11)
9.50%, 9/25/20 AAA $ 170 $ 170
(+)92-A 2B4
7.90%, 4/28/22 AA 370 339
+(+) 92-A 3B2
7.90%, 4/28/22 Baa3 1,000 620
++(+) 94-A 3B3
6.803%, 4/28/24 A 1,129 1,024
Residential Funding
Mortgage Securities
Co., Inc. Series:
93-MZ1 A2
7.47%, 3/02/23 AA 1,700 1,674
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93
cost $651) AA 650 627
Rural Housing
Trust Series:
87-1 D
6.33%, 4/1/26 AAA 939 916
87-1 M
3.33%, 4/1/26 A- 1,068 982
87-2 C
6.83%, 4/1/26 AAA 525 521
Ryland Mortgage
Securities Corp Series:
92-A 1A
8.301%, 3/29/30 A- 527 530
94-7B 4A2
7.50%, 8/25/25 AAA 850 809
- ---------------------------------------------------------
GROUP TOTAL 14,018
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (2.5%)
American Southwest
Financial Securities
Corp. Series:
++ 93-2 A1
7.30%, 1/18/09 AA 1,382 1,387
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 900 919
Asset Securitization Corp.
Series 95-MD4 A1
7.10%, 8/13/29 AAA 845 850
(+) Carousel Center
Finance,
Inc. Series 1 A1
6.828%, 10/15/07 AA 525 518
(+) CBM Funding Corp.
Series 96-1 A3PI
7.08%, 11/1/07 AA 600 596
(+) Creekwood Capital Corp.
Series 95-1A
8.47%, 3/16/15 AA 568 597
+(+) DeBartolo Capital
Corp.
Series A2
7.48%, 5/1/04 Aaa 900 927
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Equitable Life
Assurance
Society of the U.S.
Series 1A
6.633%, 7/23/03 AA $ 700 $ 690
(+) FSA Finance, Inc.
Series 95-1A
7.42%, 6/1/07 AA 639 651
++ Nomura Asset Securities
Corp.
Series 94-MD1 A3
8.026%, 3/15/18 A 525 553
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 800 766
- ---------------------------------------------------------
GROUP TOTAL 8,454
- ---------------------------------------------------------
ENERGY (0.5%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 550 533
Maxus Energy Corp.
10.83%, 9/1/04 BB- 750 781
Mobile Energy Services
8.665%, 1/1/17 BBB- 520 537
- ---------------------------------------------------------
GROUP TOTAL 1,851
- ---------------------------------------------------------
FINANCE (3.2%)
## Bank of Hawaii,
Honolulu
5.343%, 11/25/96 A 750 750
Conseco, Inc.
8.125%, 2/15/03 BB+ 870 881
(+) Equitable Life
Assurance
Society of the U.S.
7.70%, 12/1/15 A- 525 517
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 725 690
Fireman's Fund
Mortgage Corp.
8.875%, 10/15/01 BBB+ 500 540
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 600 578
First National Bank
of Chicago Series 93-A
8.08%, 1/5/18 A+ 1,075 1,112
First Union REIT
8.875%, 10/1/03 BB+ 450 423
Home Holdings, Inc.
8.625%, 12/15/03 B- 294 247
John Hancock
Surplus Note
7.375%, 2/15/24 AA 625 590
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 600 588
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA $ 600 $ 551
# Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 700 572
(+) Nationwide Mutual
Insurance Co.
7.50%, 2/15/24 AA- 925 845
(+) Principal Mutual Life
Insurance Co.
7.875%, 3/1/24 AA- 775 745
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 475 481
Reliance Group
Holdings, Inc.
9.00%, 11/15/00 BB+ 750 760
##(+) United Savings of
Texas
8.55%, 5/15/98 BB+ 275 275
- ---------------------------------------------------------
GROUP TOTAL 11,145
- ---------------------------------------------------------
FOREIGN GOVERNMENTS (5.8%)
Government of Canada
8.50%, 4/1/02 AA+ CAD 2,700 2,104
Government of Germany
7.125%, 1/29/03 AAA DEM 7,025 5,045
7.50%, 9/9/04 AAA 4,800 3,488
Kingdom of Denmark
8.00%, 3/15/06 AAA DKK 9,850 1,784
9.00%, 11/15/00 AAA 10,165 1,975
Netherlands Government
5.75%, 1/15/04 AAA NLG 3,800 2,239
8.50%, 3/15/01 AAA 1,775 1,214
Spanish Government
11.30%, 1/15/02 AA ESP 145,000 1,264
United Kingdom
9.125%, 2/21/01 AAA ECU 500 697
- ---------------------------------------------------------
GROUP TOTAL 19,810
- ---------------------------------------------------------
/ / HEDGED MORTGAGES (0.9%)
Federal Home Loan
Mortgage Corporation
Series:
1415-S Inv Fl IO
CMO
20.063%, 11/15/07 Agy $ 485 207
1476-S Inv Fl IO
REMIC PAC
4.217%, 2/15/08 Agy 4,563 448
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 4,928 386
1600-SA Inv Fl IO
REMIC
2.563%, 10/15/08 Agy 7,542 394
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage Association
Series:
92-186 S Inv Fl IO
CMO
3.217%, 10/25/07 Agy $ 8,263 $ 625
94-33 S Inv Fl IO
2.631%, 3/25/09 Agy 12,316 637
G94-2 S Inv Fl IO
REMIC
2.631%, 1/25/24 Agy 9,293 533
- ---------------------------------------------------------
GROUP TOTAL 3,230
- ---------------------------------------------------------
INDUSTRIALS (4.0%)
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 750 750
Comcast Corp.
9.375%, 5/15/05 B+ 775 788
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 600 612
DR Securitized Lease
Trust Series 93-K1 A1
6.66%, 8/15/10 BB 147 116
DR Structured Finance
Series 94K2
9.35%, 8/15/19 BB 375 320
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 750 743
ddag. Fleming Cos., Inc.
10.625%, 12/15/01 BB- 750 666
G-I Holdings, Inc.
Zero Coupon,
10/1/98 B+ 387 309
(+) 10.00%,
2/15/06 B+ 368 373
Host Marriot Travel Plaza
9.50%, 5/15/05 BB- 650 637
ITT Corp. (New)
7.75%, 11/15/25 BBB 500 478
Kmart Funding Corp.
Series F
8.80%, 7/1/10 BB 300 256
Marvel Parent
Holdings, Inc.
Zero Coupon,
4/15/98 B- 1,160 867
News America
Holdings, Inc.
10.125%, 10/15/12 BBB 890 1,018
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 400 440
(+) Oxymar
7.50%, 2/15/16 BBB- 470 444
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 700 665
</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)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Rhone-Poulenc
Rorer, Inc.
8.62%, 1/5/21 BBB+ $ 400 $ 432
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 975 959
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 648 656
Southland Corp.
5.00%, 12/15/03 BB+ 835 670
Time Warner, Inc.
9.15%, 2/1/23 BBB- 560 602
Unisys Corp.
10.625%, 10/1/99 B+ 575 569
Westpoint Stevens, Inc.
8.75%, 12/15/01 BB- 375 375
- ---------------------------------------------------------
GROUP TOTAL 13,745
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.1%)
First Federal Savings &
Loan Association
Series 92-C
8.75%, 6/1/06 AA 2 2
Marine Midland
Bank NA,
Series 91-1A7
8.50%, 4/25/22 AA 2 2
Mid-State Trust
Series 95-4 A
8.33%, 4/1/30 AAA 645 695
(+) Prudential Home
Mortgage Securities Co.,
Inc.
Series:
93-B B2
7.836%, 4/28/23 A 1,771 1,733
## Resolution Trust Corp.
Series 92-5 C
8.622%, 1/25/26 AA 440 451
Ryland Acceptance Corp.
Series 79-A
6.65%, 7/1/11 AA 102 97
Ryland Mortgage
Securities Corp.
Series 93-A1 A
7.45%, 1/28/23 AAA 1,000 956
- ---------------------------------------------------------
GROUP TOTAL 3,936
- ---------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.2%)
<Government National
Mortgage Association
Principal Strips,
11/20/05 Agy 20,996 687
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (1.1%)
Comcast Cellular Corp.
Series A
Zero Coupon,
3/5/00 B+ $ 1,000 $ 731
Continental
Cablevision, Inc.
(+) 8.30%, 5/15/06 BB 425 441
9.50%, 8/1/13 BB+ 200 223
Lenfest
Communications, Inc.
8.375%, 11/1/05 BB+ 600 579
Rogers Cablesystems
10.00%, 3/15/05 BB+ 600 628
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 700 727
360 Communications Co.
7.50%, 3/1/06 BBB- 470 460
- ---------------------------------------------------------
GROUP TOTAL 3,789
- ---------------------------------------------------------
TRANSPORTATION (0.5%)
Delta Airlines Trust
Series 93 B2
10.06%, 1/2/16 BB+ 500 586
(+) Jet Equipment Trust
Series:
94-AB1
10.91%, 6/15/06 BB+ 200 229
95-5A C
10.69%, 5/1/15 BBB 500 562
95-B C
9.71%, 8/15/23 BBB 225 235
- ---------------------------------------------------------
GROUP TOTAL 1,612
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (2.2%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,950 3,595
U.S. Treasury Strips
Principal Only
5/15/18 Tsy 3,175 676
8/15/20 Tsy 18,525 3,367
- ---------------------------------------------------------
GROUP TOTAL 7,638
- ---------------------------------------------------------
YANKEE (0.8%)
+# Brazil Par Series Z-L
4.25%, 4/15/24 B1 855 436
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 410 408
# Republic of Argentina
5.00%, 3/31/23 BB- 1,720 895
United Mexican States
6.25%, 12/31/19 BB 500 318
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
YPF SA
7.50%, 10/26/02 BBB $ 668 $ 671
- ---------------------------------------------------------
GROUP TOTAL 2,728
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $135,199) 135,388
- ---------------------------------------------------------
COMMON STOCKS (60.6%)
- ---------------------------------------------------------
<CAPTION>
SHARES
-------
<S> <C> <C> <C>
BANKS (3.7%)
Chase Manhattan Corp. 46,400 3,271
Citicorp 31,300 2,504
First Chicago NBD Corp. 40,165 1,667
First Union Corp. 39,204 2,372
NationsBank Corp. 38,094 3,052
- ---------------------------------------------------------
GROUP TOTAL 12,866
- ---------------------------------------------------------
BASIC RESOURCES (2.8%)
Bowater, Inc. 24,300 905
Champion International
Corp. 27,700 1,253
E.I. DuPont de Nemours &
Co. 59,500 4,939
Temple-Inland, Inc. 4,500 211
W.R. Grace & Co. 27,900 2,183
- ---------------------------------------------------------
GROUP TOTAL 9,491
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.2%)
Avon Products, Inc. 23,500 2,015
Kimberly-Clark Corp. 30,162 2,247
PepsiCo, Inc. 75,000 4,744
Procter & Gamble Co. 23,800 2,017
- ---------------------------------------------------------
GROUP TOTAL 11,023
- ---------------------------------------------------------
CONSUMER DURABLES (2.7%)
Chrysler Corp. 46,600 2,901
Eastman Kodak Co. 16,400 1,164
General Motors Corp. 63,909 3,403
Goodyear Tire & Rubber Co. 36,700 1,872
- ---------------------------------------------------------
GROUP TOTAL 9,340
- ---------------------------------------------------------
CONSUMER SERVICES (2.5%)
Harcourt General, Inc. 5,000 227
ITT Corp. (New) 18,500 1,110
News Corp. Limited ADR 62,800 1,272
Service Corp. International 32,700 1,594
Tele-Communications, Inc.,
Class A 66,100 1,227
Telecommunications Liberty
Media Group, Class A 36,250 956
Time Warner, Inc. 33,154 1,355
U.S. West Media Group 44,800 924
- ---------------------------------------------------------
GROUP TOTAL 8,665
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
CREDIT & FINANCE/INVESTMENT COMPANIES (0.7%)
Federal Home Loan Mortgage
Corp. 13,600 $ 1,160
Transamerica Corp. 18,619 1,394
- ---------------------------------------------------------
GROUP TOTAL 2,554
- ---------------------------------------------------------
ENERGY (3.4%)
Atlantic Richfield Co. 13,100 1,559
British Petroleum plc ADR 32,000 3,400
Coastal Corp. 40,600 1,604
El Paso Natural Gas Co. 15,700 581
Mobil Corp. 19,050 2,207
Royal Dutch Petroleum Co.
ADR 16,100 2,274
- ---------------------------------------------------------
GROUP TOTAL 11,625
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (4.2%)
ConAgra, Inc. 37,400 1,519
Philip Morris Cos., Inc. 78,000 6,845
Ralston Purina Group 9,300 622
RJR Nabisco Holdings Corp. 66,320 2,006
Unilever N.V. ADR 10,100 1,371
UST, Inc. 61,500 1,960
- ---------------------------------------------------------
GROUP TOTAL 14,323
- ---------------------------------------------------------
HEALTH CARE (6.4%)
Abbott Laboratories 36,300 1,479
Allergan, Inc. 41,800 1,541
American Home Products
Corp. 17,900 1,940
Baxter International, Inc. 30,100 1,362
Becton, Dickinson & Co. 25,300 2,072
Bristol-Myers Squibb Co. 42,300 3,622
Columbia/HCA Healthcare
Corp. 28,540 1,648
* Humana, Inc. 63,000 1,583
Johnson & Johnson 15,750 1,453
Mallinckrodt Group, Inc. 24,500 922
Schering-Plough Corp. 26,900 1,564
U.S. Healthcare, Inc. 23,800 1,092
Warner Lambert Co. 15,200 1,569
- ---------------------------------------------------------
GROUP TOTAL 21,847
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (6.4%)
* AMR Corp. 39,000 3,491
Burlington Northern, Inc. 24,905 2,045
Cummins Engine Co., Inc. 28,800 1,163
Eaton Corp. 19,500 1,175
General Electric Co. 43,300 3,372
Hanson plc ADR 80,500 1,208
Minnesota Mining &
Manufacturing Co. 17,300 1,122
Tenneco, Inc. 19,800 1,106
Textron, Inc. 15,500 1,240
Trinova Corp. 36,400 1,160
Union Pacific Corp. 43,900 3,013
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
United Technologies Corp. 12,300 $ 1,381
WMX Technologies, Inc. 17,885 568
- ---------------------------------------------------------
GROUP TOTAL 22,044
- ---------------------------------------------------------
INSURANCE (3.6%)
Ace, Ltd. 33,700 1,504
Aetna Life & Casualty Co. 38,600 2,914
AFLAC, Inc. 41,100 1,284
Allstate Corp. 20,100 847
Exel Ltd. 36,100 2,491
ITT Hartford Group, Inc. 67,600 3,312
- ---------------------------------------------------------
GROUP TOTAL 12,352
- ---------------------------------------------------------
MID CAP GROWTH (2.8%)
* Airgas, Inc. 3,100 123
American List Corp. 1,400 44
* American Mobile Satellite
Corp. 8,500 145
* Apollo Group, Inc., Class A 3,800 148
Ascent Entertainment Group,
Inc. 3,700 55
Boise Cascade Office
Products Corp. 1,000 65
* Borland International, Inc. 6,900 124
* Boston Chicken, Inc. 2,700 92
Cardinal Health, Inc. 3,000 193
* Ceridian Corp. 2,300 99
Charter Power Systems, Inc. 3,800 103
Cintas Corp. 3,000 150
Comcast Corp., Class A
Special 11,800 209
* Comcast UK Cable Partners 8,100 102
Danaher Corp. 5,400 200
Delta & Pine Land Co. 1,300 72
DSP Communications, Inc. 4,600 115
EchoStar Communications
Corp., Class A 1,900 64
* Eckerd Corp. 2,200 106
* EmCare Holdings, Inc. 2,300 62
Estee Lauder Cos., Class A 5,100 182
* FIserv, Inc. 2,800 78
Frontier Corp 6,100 192
* Gartner Group, Inc. Class A 1,500 92
* Gilat Satellite Networks,
Ltd. 3,600 87
* Glenayre Technologies, Inc. 3,825 146
Globalstar
Telecommunications Ltd. 6,600 350
Gucci Group N.V.
(New York Shares) 2,100 101
Guidant Corp. 2,500 135
* Health Management
Associates, Inc., Class A 11,250 394
* HealthCare COMPARE Corp. 2,000 101
* Infinity Broadcasting
Corp., Class A 2,500 108
* International Cabletel,
Inc. 4,100 124
* Kemet Corp. 4,900 111
* Kent Electronics Corp. 3,000 106
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Lin Television Corp. 1,800 $ 64
* Lincare Holdings, Inc. 2,500 81
Livent, Inc. 3,000 24
Loral Corp. 5,300 260
* McAfee Associates, Inc. 2,650 145
* MFS Communications Co.,
Inc. 1,600 100
* Millicom International
Cellular SA 3,400 147
Money Store (The), Inc. 6,200 173
* Newbridge Networks Corp. 2,500 141
Oak Technology, Inc. 3,000 65
Orange plc ADR 2,600 45
* Orthodontic Centers of
America, Inc. 2,800 84
* Paging Network, Inc. 4,300 108
* Palmer Wireless, Inc. 4,300 82
PanAmSat Corp. 3,200 98
* Papa John's International,
Inc. 2,200 98
Paychex, Inc. 2,200 129
Pediatrix Medical Group,
Inc. 1,300 46
Pete's Brewing Co. 800 15
PhyMatrix Corp. 3,800 86
PMI Group, Inc. 1,700 74
Post Properties, Inc. 2,000 65
* Robert Mondavi Corp., Class
A 4,200 108
* Scholastic Corp. 2,300 158
Security Capital Industrial
Trust 4,600 81
Security Capital Pacific
Trust 3,700 81
Sinclair Broadcast Group,
Inc. 3,600 95
Sirrom Capital Corp. 5,400 124
Spacehab, Inc. 6,500 93
* Staples, Inc. 6,000 122
Stewart Enterprises, Inc.,
Class A 3,350 143
Stolt-Nielsen SA ADR 5,100 91
* Tele-Communications, Inc.,
Class A 6,800 126
Tele-Communications
International, Inc., Class
A 5,400 115
Telecommunications Liberty
Media Group, Class A 8,243 217
@ Telephone & Data Systems,
Inc. 5 --
Tellabs, Inc. 3,700 179
* Tommy Hilfiger Corp. 2,600 119
Total Renal Care Holdings,
Inc. 3,300 103
* Transaction Systems
Architect, Inc., Class A 2,300 94
* United International
Holdings, Inc., Class A 4,800 77
* United Video Satellite
Group 10,000 210
* U.S. Robotics Corp. 1,000 129
USA Detergents, Inc. 4,200 137
UUNET Technologies, Inc. 3,500 89
* Viking Office Products,
Inc. 2,500 139
Wolverine World Wide, Inc. 3,600 101
- ---------------------------------------------------------
GROUP TOTAL 9,639
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
RETAIL (3.4%)
Circuit City Stores, Inc. 30,100 $ 899
* Federated Department
Stores, Inc. 67,700 2,183
Home Depot, Inc. 40,000 1,915
* Kroger Co. 34,800 1,409
* Office Depot, Inc. 23,200 455
OfficeMax, Inc. 29,550 717
Sears, Roebuck & Co. 61,600 3,003
Wendy's International, Inc. 63,500 1,151
- ---------------------------------------------------------
GROUP TOTAL 11,732
- ---------------------------------------------------------
TECHNOLOGY (3.5%)
* Cisco Systems, Inc. 53,400 2,476
Intel Corp. 35,100 1,996
International Business
Machines Corp. 19,800 2,200
Motorola, Inc. 16,600 880
* Oracle System Corp. 21,450 1,011
* Seagate Technology, Inc. 30,700 1,681
* U.S. Robotics Corp. 13,500 1,745
- ---------------------------------------------------------
GROUP TOTAL 11,989
- ---------------------------------------------------------
UTILITIES (4.4%)
DTE Energy Co. 19,600 659
Entergy Corp. 37,200 1,042
Frontier Corp. 60,600 1,909
GTE Corp. 54,500 2,391
NYNEX Corp. 46,200 2,305
Ohio Edison Co. 44,200 1,000
PECO Energy Co. 25,200 671
360 Communications Co. 21,867 522
Sprint Corp. 65,600 2,493
Unicom Corp. 39,400 1,064
U.S. West, Inc. 34,400 1,113
- ---------------------------------------------------------
GROUP TOTAL 15,169
- ---------------------------------------------------------
VALUE (6.9%)
Allstate Corp. 4,227 178
American General Corp. 7,700 266
American Re Corp. 4,200 168
Amoco Corp. 2,500 181
* AMR Corp. 2,400 215
Anheuser-Busch Cos., Inc. 2,000 135
Archer Daniels Midland Co. 13,090 241
Atlantic Richfield Co. 1,900 226
Bank of Boston Corp. 5,866 291
Beckman Instruments, Inc. 9,800 382
Bergen Brunswig Corp.,
Class A 10,400 272
Bob Evans Farms, Inc. 6,300 102
Boise Cascade Corp. 11,200 470
Bristol-Myers Squibb Co. 1,700 146
British Petroleum plc ADR 3,700 393
Burlington Northern, Inc. 4,699 386
Cabot Corp. 4,600 140
Capital One Financial Corp. 7,713 212
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Caterpillar, Inc. 2,700 $ 184
Central Maine Power Co. 11,300 164
Chase Manhattan Corp. 4,100 289
Citicorp 1,700 136
* Compaq Computer Corp. 4,600 178
Crestar Financial Corp. 4,143 238
CSX Corp. 2,700 123
Cummins Engine Co., Inc. 6,800 275
Cyprus Amax Minerals Co. 7,200 203
Dean Witter Discover & Co. 3,200 183
Deere & Co. 8,400 351
Dexter Corp. 6,000 159
Dillard Department Stores,
Inc., Class A 8,500 294
Earthgrains Co. 80 2
Eaton Corp. 5,500 331
E.I. DuPont de Nemours &
Co. 4,800 398
El Paso Natural Gas Co. 6,300 233
* EMC Corp. 6,500 142
Entergy Corp. 8,400 235
Federal Home Loan Mortgage
Corp. 1,700 145
Federal National Mortgage
Association 6,800 217
First Chicago NBD Corp. 4,400 183
First of America Bank Corp. 4,046 188
First Union Corp. 1,800 109
Fleet Financial Group 3,793 154
* FMC Corp. 2,300 173
* Foundation Health Corp. 6,000 229
General Motors Corp. 7,052 375
General Public Utilities
Corp. 10,400 343
Goodyear Tire & Rubber Co. 7,700 393
Great Western Financial
Corp. 6,743 163
Hanson ADR plc 11,100 166
IBP, Inc. 10,200 261
IMC Global, Inc. 6,080 222
Inland Steel Industries,
Inc. 6,400 158
International Business
Machines Corp. 4,200 467
* Lam Research Corp. 5,800 203
Mallinckrodt Group, Inc. 7,700 290
MAPCO, Inc. 5,200 291
* National Semiconductor
Corp. 30,200 419
Northern Trust Corp. 1,100 59
Olin Corp. 3,700 322
Parker Hannifin Corp. 5,000 188
PECO Energy Co. 9,400 250
PHH Corp. 5,100 284
Philip Morris Cos., Inc. 5,700 500
Premark International, Inc. 6,200 332
Providian Corp. 7,600 339
Raytheon Corp. 5,400 277
Reebok International Ltd. 4,500 124
Reynolds Metals Co. 4,500 266
* Rhone-Poulenc SA ADR 7,300 190
RJR Nabisco Holdings Corp. 10,000 302
Ryder Systems, Inc. 6,900 188
SAFECO Corp. 2,000 67
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
* Seagate Technology, Inc. 5,200 $ 285
Signet Banking Corp. 7,657 190
Spring Industries, Inc.,
Class A 4,800 221
Sprint Corp. 5,700 217
St. Paul Cos., Inc. 4,200 233
Standard Register Co. 11,400 271
Tandy Corp. 6,700 310
TCF Financial Corp. 4,300 156
Tecumseh Products Co.,
Class A 9,200 542
Tektronix, Inc. 3,600 117
* Tenet Healthcare Corp. 11,300 237
Tenneco, Inc. 7,200 402
Texas Instruments, Inc. 7,400 376
Textron, Inc. 3,200 256
Torchmark Corp. 3,800 171
* Toys R Us, Inc. 10,300 278
Trinova Corp. 13,300 424
TRW, Inc. 2,300 205
Ultramar Corp. 8,000 231
Universal Foods Corp. 400 10
* Varity Corp. 6,300 272
V.F. Corp. 4,700 260
Wellman, Inc. 6,600 155
* Western Digital Corp. 13,100 252
YPF SA ADR 6,400 129
- ---------------------------------------------------------
GROUP TOTAL 23,559
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $167,456) 208,218
- ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- ---------------------------------------------------------
<CAPTION>
RATINGS
(STANDARD
& POOR'S)
- ---------------------------------------------------------
<S> <C> <C> <C>
Unisys Corp. Series A
$3.75 (Cost $191) B- 5,650 165
- ---------------------------------------------------------
RIGHTS (0.0%)
- ---------------------------------------------------------
@* Mexico Recovery Rights,
expiring 6/30/03 (Cost $0) 500,000 --
- ---------------------------------------------------------
CASH EQUIVALENTS (8.4%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- ---------------------------------------------------------
<S> <C> <C> <C>
Short-term Investments Held
as Collateral for Loaned
Securities (1.0%) $ 3,387 3,387
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (0.0%)
- ---------------------------------------------------------
ddag. U.S. Treasury Bill
Zero Coupon,
10/17/96 Tsy 150 146
- ---------------------------------------------------------
COMMERCIAL PAPER (5.2%)
American General Finance Corp.
5.35%, 4/16/96 1,400 1,397
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Beneficial Corp.
5.36%, 5/2/96 $1,400 $ 1,394
CIT Group Holdings, Inc.
5.20%, 4/4/96 1,300 1,299
Commercial Credit Co.
5.36%, 4/29/96 1,400 1,394
Ford Motor Credit Corp.
5.21%, 4/5/96 1,300 1,299
General Electric Capital Corp.
5.18%, 4/9/96 1,300 1,299
Household Finance Corp.
5.19%, 4/2/96 1,300 1,300
IBM Credit Corp.
5.39%, 4/12/96 1,400 1,398
John Deere Capital Corp.
5.35%, 5/9/96 1,400 1,392
Norwest Financial, Inc.
5.34%, 5/7/96 1,400 1,393
PepsiCo, Inc.
5.35%, 5/2/96 1,400 1,393
Philip Morris Cos., Inc.
5.35%, 4/23/96 1,400 1,395
Prudential Funding Corp.
5.34%, 4/30/96 1,400 1,394
- ---------------------------------------------------------
GROUP TOTAL 17,747
- ---------------------------------------------------------
REPURCHASE AGREEMENT (2.2%)
The Chase Manhattan Bank,
N.A. 5.35%, dated 3/29/96,
due 4/1/96, to be
repurchased at $7,692,
collateralized by various
U.S. Government
Obligations, due
5/31/96-5/31/97, valued at
$7,763 7,688 7,688
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $28,968) 28,968
- ---------------------------------------------------------
TOTAL INVESTMENTS (108.4%) (Cost $331,814) 372,739
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-8.4%)
Cash 1
Dividends Receivable 466
Interest Receivable 1,605
Receivable for Investments Sold 6,162
Unrealized Gain on Forward Foreign
Currency Contracts 117
Payable for Investments Purchased (28,980)
Payable for Fund Shares Redeemed (65)
Payable for Investment Advisory Fees (392)
Payable for Administrative Fees (24)
Payable for Daily Variation on Futures
Contracts (28)
Written Interest Rate Floors, at Value (4,390)
Collateral on Securities Loaned, at
Value (3,387)
Other Liabilities (90)
-------
(29,005)
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 25,567,082 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $343,734
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.44
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$1,904 or 0.6% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
ddag. 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.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1996.
< Structured Investments-Cash flows from this
security are paid monthly and are equal to 1% per
annum of the outstanding notional balance of
certain Government National Mortgage Association
Adjustable Rate Mortgage Pools. See Note A7 to
Financial Statements.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation.
ADR American Depositary Receipt.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1996.
IO Interest Only.
PAC Planned Amortization Class.
REIT Real Estate Investment Trust.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
CAD Canadian Dollar.
DEM German Mark.
DKK Danish Krone.
ECU European Currency Unit.
ESP Spanish Peseta.
NLG Netherlands Guilder.
</TABLE>
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Asset-Class Portfolio provides global asset allocation management with
a level of international diversification that is appropriate for U.S.-oriented
investors. Miller Anderson & Sherrerd manages investments in five asset classes,
and considers a benchmark consisting of 50% U.S. equities, 14% foreign equities,
24% U.S. fixed-income, 6% foreign fixed-income and 6% high yield to be a neutral
or starting-point investment. Allocations are based on a value-driven approach
which favors those equity markets offering the highest risk-adjusted expected
returns and those bond markets offering the highest real interest rates.
<TABLE>
<S> <C> <C> <C> <C>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/96*
MSCI
S&P SALOMON EAFE-
MAS 500 BROAD GDP
----------------------------------
SIX MONTHS 8.6% 11.7% 2.5% 6.3%
ONE YEAR 22.6 32.1 10.9 12.4
SINCE
INCEPTION 15.9 26.0 8.9 6.6
- ---------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
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.
Until further notice, the Advisor has voluntarily agreed to waive its advisory
fees and reimburse certain expenses to the extent necessary, if any, to keep
total annual operating expenses for the Multi-Asset-Class Portfolio from
exceeding 0.58% of average daily net assets.
* Returns since inception on 7/29/94 to 3/31/96 for the Multi-Asset-Class
Portfolio are compared to the S&P 500 Index, the Salomon Broad Investment Grade
Index and the MSCI EAFE-GDP Weighted Index, all unmanaged market indices.
Returns for periods less than one year are cumulative.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
EQUITY (46.7%)
<TABLE>
<CAPTION>
---------------------------------------------------------
VALUE
MARCH 31, 1996 SHARES (000)dag.
---------------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (46.7%)
- ---------------------------------------------------------
BANKS (2.9%)
Chase Manhattan Corp. 14,600 $ 1,029
Citicorp 9,700 776
First Chicago NBD Corp. 12,578 522
First Union Corp. 12,674 767
NationsBank Corp. 12,893 1,033
- ---------------------------------------------------------
GROUP TOTAL 4,127
- ---------------------------------------------------------
BASIC RESOURCES (2.0%)
Bowater, Inc. 7,800 290
Champion International
Corp. 6,600 299
E.I. DuPont de Nemours &
Co. 19,975 1,658
W.R. Grace & Co. 8,500 665
- ---------------------------------------------------------
GROUP TOTAL 2,912
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.5%)
Avon Products, Inc. 7,500 643
Kimberly-Clark Corp. 9,576 713
PepsiCo, Inc. 25,400 1,607
Procter & Gamble Co. 7,700 653
- ---------------------------------------------------------
GROUP TOTAL 3,616
- ---------------------------------------------------------
CONSUMER DURABLES (2.1%)
Chrysler Corp. 14,700 915
Eastman Kodak Co. 5,400 383
General Motors Corp. 20,216 1,077
Goodyear Tire & Rubber Co. 12,300 627
- ---------------------------------------------------------
GROUP TOTAL 3,002
- ---------------------------------------------------------
CONSUMER SERVICES (1.9%)
Harcourt General, Inc. 1,500 68
ITT Corp. (New) 5,900 354
News Corp. Limited ADR 20,900 423
Service Corp. International 9,200 448
* Tele-Communications,
Inc., Class A 22,100 410
Tele-Communications Liberty
Media Group, Class A 12,075 319
Time Warner, Inc. 11,121 455
U.S. West Media Group 15,300 316
- ---------------------------------------------------------
GROUP TOTAL 2,793
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (0.6%)
Federal Home Loan
Mortgage Corp. 4,200 358
Transamerica Corp. 6,000 449
- ---------------------------------------------------------
GROUP TOTAL 807
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
---------------------------------------------------------
<S> <C> <C>
ENERGY (2.5%)
Atlantic Richfield Co. 2,950 $ 351
British Petroleum plc ADR 9,700 1,031
Coastal Corp. 13,700 541
El Paso Natural Gas Co. 5,000 185
Mobil Corp. 6,400 742
Royal Dutch Petroleum Co. ADR 5,200 734
- ---------------------------------------------------------
GROUP TOTAL 3,584
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (3.2%)
ConAgra, Inc. 11,900 483
Philip Morris Cos., Inc. 23,800 2,089
Ralston Purina Group 3,000 201
RJR Nabisco Holdings Corp. 19,640 594
Unilever N.V. ADR 3,900 529
UST, Inc. 18,800 599
- ---------------------------------------------------------
GROUP TOTAL 4,495
- ---------------------------------------------------------
HEALTH CARE (5.1%)
Abbott Laboratories 11,800 481
Allergan, Inc. 13,200 487
American Home Products Corp. 6,250 677
Baxter International, Inc. 9,700 439
Becton, Dickinson & Co. 8,100 663
Bristol-Myers Squibb Co. 14,300 1,224
Columbia/HCA Healthcare Corp. 12,462 720
* Humana, Inc. 19,300 485
Johnson & Johnson 5,000 461
Mallinckrodt Group, Inc. 7,700 290
Schering-Plough Corp. 8,200 477
U.S. Healthcare, Inc. 7,300 335
Warner Lambert Co. 5,100 526
- ---------------------------------------------------------
GROUP TOTAL 7,265
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (4.9%)
* AMR Corp. 11,600 1,038
Burlington Northern, Inc. 7,642 628
Cummins Engine Co., Inc. 9,200 371
Eaton Corp. 5,900 355
General Electric Co. 13,300 1,036
Hanson plc ADR 25,600 384
Minnesota Mining & Manufacturing
Co. 5,300 344
Tenneco, Inc. 6,100 341
Textron, Inc. 5,100 408
Trinova Corp. 11,900 379
Union Pacific Corp. 14,900 1,023
United Technologies Corp. 3,800 427
WMX Technologies, Inc. 6,300 200
- ---------------------------------------------------------
GROUP TOTAL 6,934
- ---------------------------------------------------------
INSURANCE (2.7%)
Ace, Ltd. 11,100 495
Aetna Life & Casualty Co. 12,100 914
AFLAC, Inc. 9,600 300
Allstate Corp. 6,100 257
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C>
Exel Ltd. 12,300 $ 849
ITT Hartford Group, Inc. 20,600 1,009
- ---------------------------------------------------------
GROUP TOTAL 3,824
- ---------------------------------------------------------
MID CAP GROWTH (2.2%)
* FIserv, Inc. 9,600 269
Globalstar Telecommunications
Ltd. 6,700 355
* Health Management Associates,
Inc., Class A 8,950 313
* International Cabletel, Inc. 7,600 229
* Paging Network, Inc. 13,700 342
Paychex, Inc. 6,750 395
Security Capital Industrial
Trust 7,200 126
Sirrom Capital Corp. 13,900 318
Tellabs, Inc. 4,300 208
* Tommy Hilfiger Corp. 6,700 307
* Viking Office Products, Inc. 5,600 312
- ---------------------------------------------------------
GROUP TOTAL 3,174
- ---------------------------------------------------------
RETAIL (2.6%)
Circuit City Stores, Inc. 9,200 275
* Federated Department Stores,
Inc. 20,700 668
Home Depot, Inc. 12,600 603
* Kroger Co. 10,600 429
* Office Depot, Inc. 6,900 135
OfficeMax, Inc. 9,600 233
Sears, Roebuck & Co. 19,400 946
Wendy's International, Inc. 20,600 373
- ---------------------------------------------------------
GROUP TOTAL 3,662
- ---------------------------------------------------------
TECHNOLOGY (2.6%)
* Cisco Systems, Inc. 17,000 788
Intel Corp. 10,400 591
International Business Machines
Corp. 6,000 667
Motorola, Inc. 5,300 281
* Oracle System Corp. 6,850 323
* Seagate Technology, Inc. 9,400 515
* U.S. Robotics Corp. 3,700 478
- ---------------------------------------------------------
GROUP TOTAL 3,643
- ---------------------------------------------------------
UTILITIES (3.3%)
DTE Energy Co. 6,500 218
Entergy Corp. 12,500 350
Frontier Corp. 17,300 545
GTE Corp. 15,400 676
NYNEX Corp. 14,700 733
Ohio Edison Co. 13,700 310
PECO Energy Co. 8,600 229
Sprint Corp. 20,100 764
360 Communications Co. 6,700 160
<CAPTION>
VALUE
SHARES (000)dag.
---------------------------------------------------------
<S> <C> <C>
Unicom Corp. 13,100 $ 354
U.S. West, Inc. 10,500 340
- ---------------------------------------------------------
GROUP TOTAL 4,679
- ---------------------------------------------------------
VALUE (5.6%)
Baxter International, Inc. 18,500 837
Chrysler Corp. 24,600 1,531
Citicorp 15,600 1,248
Dillard Department Stores, Inc.,
Class A 21,400 741
First of America Bank Corp. 41 2
MAPCO, Inc. 18,500 1,034
SAFECO Corp. 12,200 409
Sprint Corp. 15,400 585
Texas Instruments, Inc. 17,800 906
Textron, Inc. 7,700 616
360 Communications Co. 5,133 122
- ---------------------------------------------------------
GROUP TOTAL 8,031
- ---------------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $56,506) 66,548
- ---------------------------------------------------------
U.S. FIXED INCOME (16.6%)
- ---------------------------------------------------------
FIXED INCOME SECURITIES (16.6%)
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
- ---------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (1.6%)
## Government National
Mortgage Association II
Various Pools:
6.00%,
4/20/24-12/20/24 Agy $ 1,220 1,216
6.50%, 3/20/22 Agy 596 602
7.00%, 10/20/23 Agy 477 480
- ---------------------------------------------------------
GROUP TOTAL 2,298
- ---------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (6.9%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
11.00%, 9/1/16 Agy 157 175
11.50%, 7/1/15 Agy 130 146
Gold Pools:
9.50%, 12/1/16 Agy 345 373
Federal National
Mortgage Association
April TBA
7.00%
11/15/24-12/15/25 Agy 3,150 3,070
May TBA
7.00%, 10/1/23 Agy 975 948
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association
Various Pools:
10.50%, 2/15/19 Agy $ 41 $ 46
11.00%,
7/15/10-7/15/19 Agy 162 183
April TBA
7.00%,
1/15/24-11/15/24 Agy 500 487
May TBA
7.50%,
2/15/26-3/15/26 Agy 4,450 4,436
- ---------------------------------------------------------
GROUP TOTAL 9,864
- ---------------------------------------------------------
ASSET BACKED CORPORATES (0.2%)
## Airplanes Pass Through
Trust Series 1 B
6.475%, 3/15/19 A 100 100
ALPS Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 100 103
94-1 C2 CMO
9.35%, 3/15/00 BBB 99 102
- ---------------------------------------------------------
GROUP TOTAL 305
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.0%)
Federal National Mortgage
Association Series 92-33 S
Inv Fl IO
12.24%, 3/25/22 Agy 50 51
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.5%)
American Housing
Trust Series V 1G
9.125%, 4/25/21 AAA 170 173
Chemical Mortgage
Securities, Inc.
Series 96-1 A9
7.25%, 1/25/26 AAA 125 121
sec. Citicorp Mortgage
Securities, Inc.
Series 95-3 A6
7.50%, 11/25/25
(acquired 11/2/95,
cost $102) AAA 100 99
Countrywide Mortgage
Backed Securities, Inc.
Series 93-C A11
6.50%, 1/25/24 AAA 146 133
GE Capital Mortgage
Services, Inc. Series:
94-24 A4
7.00%, 7/25/24 AAA 220 202
95-CE
7.50%, 11/25/25 AAA 125 123
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Mid-State Trust Series
88-2 A4
9.625%, 4/1/03 AAA $ 188 $ 207
Residential Funding Mortgage
Securities Co., Inc.
Series:
92-S2 M
8.00%, 1/25/22 AA 92 93
sec. 93-MZ3 A2
6.97%, 8/28/23
(acquired 7/17/95,
cost $93) AA 100 92
++sec. 93-S43 A10
6.50%, 11/25/23
(acquired 6/12/95,
cost $135) AAA 146 134
sec. 94-S1 A19
6.75%, 1/25/24
(acquired 5/22/95,
cost $178) AAA 195 182
95-S11
7.50%, 7/15/25 AAA 99 99
Rural Housing Trust Series:
87-1 D
6.33%, 4/1/26 AAA 151 147
87-1 M
3.33%, 4/1/26 A- 147 135
87-2 C
6.83%, 4/1/26 AAA 150 149
+sec. Securitized Asset Sales,
Inc.
Series 95-B M
7.41%, 9/25/24
(acquired 5/16/95,
cost $93) Aa3 100 93
- ---------------------------------------------------------
GROUP TOTAL 2,182
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (0.9%)
American Southwest Financial
Securities Corp. Series:
++ 93-2 A1
7.30%, 1/18/09 AA 146 146
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 150 153
Asset Securitization
Corp. Series:
95-D1 A1
7.59%, 8/11/27 AAA 124 128
95-MD4 A1
7.10%, 8/13/29 AAA 124 125
Beverly Finance Corp.
8.36%, 7/15/04 AA- 100 105
(+) Carousel Center
Finance, Inc.
Series 1 A1
6.828%, 10/15/07 AA 100 99
(+) CBM Funding Corp.
Series 96-1 A3PI
7.08%, 11/1/07 AA 100 99
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage Acceptance
Corp. Series 95-CF2 A1B
6.85%, 12/17/27 AAA $ 150 $ 147
J.P. Morgan Commercial
Mortgage Finance Corp.
Series 95-C1 A1
7.268%, 7/25/10 AAA 84 84
Mortgage Capital
Funding, Inc.
Series 95-MC1
A1B
7.60%, 5/25/27 AAA 125 128
- ---------------------------------------------------------
GROUP TOTAL 1,214
- ---------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 100 97
Maxus Energy Corp.
10.83%, 9/1/04 BB- 115 120
Mobile Energy Services
8.665%, 1/1/17 BBB- 100 103
- ---------------------------------------------------------
GROUP TOTAL 320
- ---------------------------------------------------------
FINANCE (0.9%)
Conseco, Inc.
8.125%, 2/15/03 BB+ 125 127
(+) Equitable Life Assurance
Society of the U.S.
7.70%, 12/1/15 A- 250 246
First National Bank
of Chicago
Series 93-A
8.08%, 1/5/18 A+ 100 103
First Union REIT
8.875%, 10/1/03 BB+ 100 94
Home Holdings, Inc.
8.625%, 12/15/03 B- 65 55
John Hancock Surplus Note
7.375%, 2/15/24 AA 250 236
(+) Nationwide Mutual
Insurance Co.
7.50%, 2/15/24 AA- 250 228
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 150 152
Reliance Group Holdings, Inc.
9.00%, 11/15/00 BB+ 50 51
##(+) United Savings of Texas
8.55%, 5/15/98 BB+ 50 50
- ---------------------------------------------------------
GROUP TOTAL 1,342
- ---------------------------------------------------------
INDUSTRIALS (1.4%)
Columbia/HCA
Healthcare Corp.
7.69%, 6/15/25 BBB+ 125 125
Comcast Corp.
9.375%, 5/15/05 B+ 140 142
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 100 102
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
DR Securitized Lease
Trust 93-K1 A2
7.43%, 8/15/18 BB $ 90 $ 66
DR Structured Finance
Series 94K2
9.35%, 8/15/19 BB 30 26
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 140 139
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 100 89
ITT Corp. (New)
7.75%, 11/15/25 BBB 105 100
News America Holdings, Inc.
10.125%, 10/15/12 BBB 125 143
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 65 71
(+) Oxymar
7.50%, 2/15/16 BBB- 100 94
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 145 138
Rhone-Poulenc Rorer, Inc.
8.62%, 1/5/21 BBB+ 100 108
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 185 182
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 111 112
Southland Corp.
5.00%, 12/15/03 BB+ 125 100
Time Warner, Inc.
9.15%, 2/1/23 BBB- 75 81
Unisys Corp.
10.625%, 10/1/99 B+ 125 124
Westpoint Stevens, Inc.
8.75%, 12/15/01 BB- 100 100
- ---------------------------------------------------------
GROUP TOTAL 2,042
- ---------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
Mid-State Trust Series
95-4 A
8.33%, 4/1/30 AAA 91 98
- ---------------------------------------------------------
TELEPHONES (0.5%)
AT&T Corp.
8.35%, 1/15/25 AA 55 59
Comcast Cellular Corp.
Series A
Zero Coupon, 3/5/00 B+ 75 55
(+) Continental Cablevision,
Inc.
8.30%, 5/15/06 BB 100 104
9.50%, 8/1/13 BB+ 100 111
Lenfest Communications, Inc.
8.375%, 11/1/05 BB+ 100 96
Rogers Cablesystems
10.00%, 3/15/05 BB+ 85 89
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 105 109
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
360 Communications Co.
7.50%, 3/1/06 BBB- $ 95 $ 93
- ---------------------------------------------------------
GROUP TOTAL 716
- ---------------------------------------------------------
TRANSPORTATION (0.3%)
Delta Airlines PT Trust
Series 93 B2
10.06%, 1/2/16 BB+ 75 88
(+) Jet Equipment Trust
Series:
94-A A11
10.00%, 6/15/12 A 125 142
94-A B1
10.91%, 6/15/06 BB+ 25 29
95-5A C
10.69%, 5/1/15 BBB- 100 112
- ---------------------------------------------------------
GROUP TOTAL 371
- ---------------------------------------------------------
U.S. TREASURY SECURITIES (1.6%)
ddag. U.S. Treasury Note
5.125%, 11/30/98 Tsy 1,250 1,226
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 250 305
U.S. Treasury Strips
Principal Only
5/15/18 Tsy 250 53
8/15/20 Tsy 3,425 622
- ---------------------------------------------------------
GROUP TOTAL 2,206
- ---------------------------------------------------------
YANKEE (0.5%)
+# Brazil Par Series Z-L
4.25%, 4/15/24 B1 175 89
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 100 99
# Republic of Argentina
5.00%, 3/31/23 BB- 395 205
United Mexican States
6.25%, 12/31/19 BB 125 80
YPF SA
7.50%, 10/26/02 BBB 191 192
- ---------------------------------------------------------
GROUP TOTAL 665
- ---------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $23,585) 23,674
- ---------------------------------------------------------
INTERNATIONAL FIXED INCOME (7.7%)
- ---------------------------------------------------------
FIXED INCOME SECURITIES (7.7%)
- ---------------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Commonwealth of Australia
9.75%, 3/15/02 AAA AUD 200 164
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
BRITISH POUND (0.9%)
United Kingdom Treasury
Bills
7.00%, 11/6/01 AAA GBP 780 $ 1,152
8.50%, 7/16/07 AAA 100 155
- ---------------------------------------------------------
GROUP TOTAL 1,307
- ---------------------------------------------------------
CANADIAN DOLLAR (0.6%)
Government of Canada
8.50%, 4/1/02 AA+ CAD 300 662
9.75%, 6/1/21 AA+ 225 194
- ---------------------------------------------------------
GROUP TOTAL 856
- ---------------------------------------------------------
DANISH KRONE (1.0%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 2,675 495
8.00%, 3/15/06 AAA 1,275 231
9.00%, 11/15/00 AAA 3,160 614
- ---------------------------------------------------------
GROUP TOTAL 1,340
- ---------------------------------------------------------
FRANCE (0.7%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA FRF 4,656 1,023
- ---------------------------------------------------------
GERMAN MARK (2.2%)
Government of
Germany
6.75%, 6/21/99 AAA DEM 625 449
7.125%, 1/29/03 AAA 1,390 998
7.50%, 9/9/04 AAA 375 273
8.375%, 5/21/01 AAA 1,720 1,314
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 175 123
- ---------------------------------------------------------
GROUP TOTAL 3,157
- ---------------------------------------------------------
ITALIAN LIRA (0.9%)
Republic of Italy BTPS
9.50%, 12/1/99 AA ITL 1,210,000 757
10.00%, 8/1/03 AA 795,000 499
- ---------------------------------------------------------
GROUP TOTAL 1,256
- ---------------------------------------------------------
NETHERLANDS GUILDER (0.6%)
Netherlands
Government
8.25%, 2/15/07 AAA NLG 325 222
8.50%, 3/15/01 AAA 800 547
- ---------------------------------------------------------
GROUP TOTAL 769
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
SPANISH PESETA (0.5%)
Spanish Government
10.10%, 2/28/01 AA ESP 35,000 $ 291
10.30%, 6/15/02 AA 45,000 376
- ---------------------------------------------------------
GROUP TOTAL 667
- ---------------------------------------------------------
SWEDISH KRONA (0.2%)
Government of Sweden
13.00%, 6/15/01 AAA SEK 1,800 325
- ---------------------------------------------------------
UNITED STATES (0.0%)
U.S. Treasury Strip
Principal Only
2/15/19 Tsy $ 225 45
- ---------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $10,756) 10,909
- ---------------------------------------------------------
INTERNATIONAL EQUITY (14.7%)
- ---------------------------------------------------------
COMMON STOCKS (13.0%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
ARGENTINA (0.9%)
Banco Frances del Rio de la
Plata SA ADR 18,285 501
* CIADEA SA 62,500 281
Quilmes Industrial SA ADR 47,500 511
- ---------------------------------------------------------
GROUP TOTAL 1,293
- ---------------------------------------------------------
AUSTRALIA (0.1%)
Western Mining Corp.
Holdings Ltd. 11,200 74
- ---------------------------------------------------------
AUSTRIA (0.2%)
Boehler-Uddeholm AG 3,084 240
- ---------------------------------------------------------
BRAZIL (0.3%)
Telebras SA ADR 7,100 353
- ---------------------------------------------------------
FRANCE (0.9%)
Accor SA 1,728 261
Credit Local de France 2,750 215
Elf Acquitaine 3,400 231
PSA Peugeot Citroen 1,670 255
ddag. Usinor Sacilor 20,909 342
- ---------------------------------------------------------
GROUP TOTAL 1,304
- ---------------------------------------------------------
GERMANY (0.9%)
ddag. Deutsche Bank AG 4,300 216
Hoechst AG 1,200 426
Munich Reinsurance AG 87 182
Siemens AG 430 236
Veba AG 5,100 248
- ---------------------------------------------------------
GROUP TOTAL 1,308
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
---------------------------------------------------------
<S> <C> <C> <C>
HONG KONG (0.1%)
Cheung Kong Holdings Ltd. 8,000 $ 56
Hong Kong Telecommunications
Ltd. 30,000 60
Jardine Strategic Holdings Ltd. 6,000 19
Johnson Electric Holdings Ltd. 7,000 14
- ---------------------------------------------------------
GROUP TOTAL 149
- ---------------------------------------------------------
INDONESIA (0.1%)
Bank Dagang Nasional (Foreign) 78,000 68
Indofood Sukses Makmur 14,000 65
- ---------------------------------------------------------
GROUP TOTAL 133
- ---------------------------------------------------------
ITALY (0.4%)
ENI S.p.A. 67,000 243
* Olivetti Group 489,000 251
- ---------------------------------------------------------
GROUP TOTAL 494
- ---------------------------------------------------------
JAPAN (4.4%)
Canon, Inc. 16,000 305
Canon Sales Co., Inc. 10,000 266
Daiwa House Industry 16,000 251
Fuji Photo Film Ltd. 9,000 258
ddag. Hitachi Ltd. 42,000 408
Ito-Yokado Co., Ltd. 6,000 356
Kao Corp. 27,000 336
Kirin Brewery Co., Ltd. 36,000 434
Matsushita Electric Industries
Ltd. 16,000 260
Mitsubishi Heavy Industries
Ltd. 33,000 285
Mitsui & Co. 38,000 344
NEC Corp. 25,000 290
Nippon Fire & Marine Insurance
Co. 39,000 241
Shiseido Co., Ltd. 27,000 318
Sumitomo Electric Industries 21,000 283
Sumitomo Marine & Fire
Insurance Co. 41,000 352
Takeda Chemical Industries 17,000 266
Tokio Marine & Fire Insurance 29,000 377
Yamanouchi Pharmaceutical Co. 16,000 356
Yasuda Fire & Marine Insurance 46,000 343
- ---------------------------------------------------------
GROUP TOTAL 6,329
- ---------------------------------------------------------
KOREA (0.1%)
* Cheil Foods & Chemicals, Inc.
RFD 95 3
* L.G. International Corp. 5,370 74
Samsung Electronics 573 67
- ---------------------------------------------------------
GROUP TOTAL 144
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
MEXICO (0.4%)
* Bufete Industrial SA ADR 10,800 $ 180
* Grupo Televisa SA GDS 8,100 201
* Tubos de Acero de Mexico SA 18,000 142
- ---------------------------------------------------------
GROUP TOTAL 523
- ---------------------------------------------------------
NETHERLANDS (0.6%)
Internationale Nederlanden
N.V. 4,600 334
Royal PTT Nederland N.V. 7,000 275
Vendex International N.V. 8,900 255
- ---------------------------------------------------------
GROUP TOTAL 864
- ---------------------------------------------------------
NEW ZEALAND (0.1%)
Fletcher Challenge Building 11,000 27
Fletcher Challenge Energy 11,000 24
Fletcher Challenge Paper 22,000 41
- ---------------------------------------------------------
GROUP TOTAL 92
- ---------------------------------------------------------
NORWAY (0.2%)
Christiania Bank OG
Kreditkasse 147,000 342
- ---------------------------------------------------------
PHILIPPINES (0.2%)
Ayala Land, Inc., Class B 52,000 85
* Philippine Commercial
International Bank 12,000 138
San Miguel Corp., Class B 18,800 63
- ---------------------------------------------------------
GROUP TOTAL 286
- ---------------------------------------------------------
SINGAPORE (0.1%)
Overseas Union Bank Ltd. 15,000 107
- ---------------------------------------------------------
SPAIN (0.6%)
Argentaria SA 8,100 343
Repsol SA 10,000 377
Telefonica Nacional de
Espana 11,000 175
- ---------------------------------------------------------
GROUP TOTAL 895
- ---------------------------------------------------------
SWEDEN (0.5%)
Nordbanken AB 14,400 238
SKF AB, Class B 9,900 218
Sparbanken Sverige AB, Class
A 19,985 224
- ---------------------------------------------------------
GROUP TOTAL 680
- ---------------------------------------------------------
SWITZERLAND (0.4%)
Ciba-Geigy AG (Registered) 220 273
* Swissair AG (Registered) 291 306
- ---------------------------------------------------------
GROUP TOTAL 579
- ---------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)dag.
---------------------------------------------------------
<S> <C> <C> <C>
UNITED KINGDOM (1.2%)
Abbey National plc 17,700 $ 152
British Gas plc 57,000 199
British Petroleum Co. plc 25,300 221
* Cordiant plc 126,700 245
Imperial Chemical Industries
plc 16,100 227
National Grid Group plc 66,100 196
Redland plc 33,500 193
Royal Insurance Holdings plc 22,200 120
Tate & Lyle plc 28,900 215
- ---------------------------------------------------------
GROUP TOTAL 1,768
- ---------------------------------------------------------
UNITED STATES (0.3%)
* The Taiwan Fund 30,000 311
* The India Fund, Inc. 16,000 162
- ---------------------------------------------------------
GROUP TOTAL 473
- ---------------------------------------------------------
FIXED INCOME SECURITIES (1.7%)
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
- ---------------------------------------------------------
<S> <C> <C> <C>
UNITED STATES (1.7%)
CORPORATE (1.4%)
## First American
Bank
5.24%, 8/26/96 A1 $ 500 500
## Ford Motor Credit
Corp.
5.55%, 6/17/96 A 500 500
## Heller Financial,
Inc.
5.45%, 12/1/96 BBB+ 500 501
## Wells Fargo & Co.
5.46%, 11/18/96 A- 500 500
- ---------------------------------------------------------
GROUP TOTAL 2,001
- ---------------------------------------------------------
YANKEE (0.3%)
##+ Central Bank of
Argentina Bocon
PIK Pre 4
5.3203%, 9/1/02 B2 325 268
Bank Of Vneshconom
Zero Coupon,
12/31/15 N/R 650 222
- ---------------------------------------------------------
GROUP TOTAL 490
- ---------------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $19,876) 20,921
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
HIGH YIELD (11.3%)
- ---------------------------------------------------------
FIXED INCOME SECURITIES (11.3%)
(Unless otherwise noted)
- ---------------------------------------------------------
CABLE (0.7%)
Comcast Corp.
(Convertible)
1.125%, 4/15/07 B+ $ 190 $ 95
Lenfest
Communications, Inc.
8.375%, 11/1/05 BB+ 335 323
# Marcus Cable Co.
0.00%, 12/15/05 B 325 210
Rogers Cablesystems
10.00%, 3/15/05 BB+ 250 262
# Telewest plc
0.00%, 10/1/07 BB 125 75
- ---------------------------------------------------------
GROUP TOTAL 965
- ---------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.1%)
+ Citicorp Mortgage
Securities, Inc.
Series 90-8 A7
9.50%, 6/25/05 Baa1 78 63
++sec.Countrywide
Funding Corp. Series
95-4 B3
7.50%, 9/25/25
(acquired
1/19/96, cost
$317) BB 399 306
Prudential Home
Mortgage Securities
Co., Inc. Series:
(+) 95-5 B3
7.25%, 9/25/25 BB 299 239
(+) 95-7 B3
7.00%, 11/25/25 BB 399 312
sec. 95-F B2
6.625%, 12/25/22
(acquired
11/8/95,
cost $60) N/R 100 60
(+) 96-1 B3
7.00%, 12/25/25 N/R 451 351
++(+) 96-5 B3
7.25%, 4/25/26 BB 400 303
- ---------------------------------------------------------
GROUP TOTAL 1,634
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (0.1%)
(+) CBM Funding Corp.
Series 96-1 D
8.645%, 2/1/08 AA 125 124
- ---------------------------------------------------------
CONSUMER SERVICES/PRODUCTS (1.1%)
(+)# AMF Group, Inc.
0.00%, 3/15/06 B- 150 83
Beverly Enterprises,
Inc.
9.00%, 2/15/06 B+ 110 105
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Coleman Holdings,
Inc.
Zero Coupon,
5/27/98 B $ 155 $ 128
** Heileman
Acquisition Co.
9.625%, 1/31/04 D 65 25
Host Marriot Travel
Plaza
9.50%, 5/15/05 BB- 205 201
Marvel Parent
Holdings, Inc.
Zero Coupon,
4/15/98 B- 190 142
RJR Nabisco, Inc.
8.75%, 8/15/05 BBB- 215 210
# Six Flags Theme
Parks, Inc.
0.00%, 6/15/05 B 275 230
TLC Beatrice
International
Holdings. Inc.
11.50%, 10/1/05 BB- 225 225
Westpoint Stevens,
Inc.
9.375%, 12/15/05 B+ 200 199
- ---------------------------------------------------------
GROUP TOTAL 1,548
- ---------------------------------------------------------
ENERGY (0.2%)
Maxus Energy Corp.
9.875%, 10/15/02 BB- 150 151
10.83%, 9/1/04 BB- 100 104
* TransAmerican
Refining Corp.
(Warrants, expiring
2/15/02) (1)1,110 2
- ---------------------------------------------------------
GROUP TOTAL 257
- ---------------------------------------------------------
FINANCE (0.6%)
First Union REIT
8.875%, 10/1/03 BB+ 75 71
Home Holdings, Inc.
8.625%, 12/15/03 B- 435 365
MDC Holdings, Inc.
11.125%, 12/15/03 B 75 73
# Mutual Life Insurance Co.
of New York
0.00%, 8/15/24 BBB 250 204
Reliance Group Holdings,
Inc.
9.00%, 11/15/00 BB+ 200 203
- ---------------------------------------------------------
GROUP TOTAL 916
- ---------------------------------------------------------
FOREIGN GOVERNMENT (0.0%)
@* Mexico Recovery Rights,
expiring 6/30/03 (1)975,000 --
- ---------------------------------------------------------
INDUSTRIALS (2.0%)
AK Steel Corp.
10.75%, 4/1/04 B+ 90 99
Algoma Steel, Inc.
12.375%, 7/15/05 B 200 198
(+) Courtyard by Marriott
10.75%, 2/1/08 B- 200 196
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
100
<PAGE> 103
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
Crown Paper Co.
11.00%, 9/1/05 B $ 105 $ 98
DR Securitized Lease Trust
Series:
93-K1 A1
6.66%, 8/15/10 BB 234 184
93-K1 A2
7.43%, 8/15/18 BB 90 66
Federated Department
Stores, Inc.
8.125%, 10/15/02 BB- 150 149
Fleming Cos., Inc.
10.625%, 12/15/01 BB- 205 182
G-I Holdings, Inc.
Zero Coupon,
10/1/98 B+ 189 151
(+) 10.00%,
2/15/06 B+ 178 180
Harris Chemical Group, Inc.
10.25%, 7/15/01 B+ 150 149
Kmart Funding Corp.
Series F
8.80%, 7/1/10 BB 175 149
La Quinta Inns, Inc.
9.25%, 5/15/03 BB+ 110 115
(+)# Norcal Waste Systems,
Inc.
12.50%, 11/15/05 BB- 200 209
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 150 165
Revlon Worldwide Corp.
Zero Coupon,
3/15/98 B- 175 137
Riverwood
International Corp.
10.25%, 4/1/06 B 80 81
SD Warren Co.
12.00%, 12/15/04 B+ 165 174
Stone Container Corp.
10.75%, 10/1/02 BB- 125 125
- ---------------------------------------------------------
GROUP TOTAL 2,807
- ---------------------------------------------------------
SUPERMARKETS (0.1%)
Big V Supermarkets, Inc.
11.00%, 2/15/04 B- 55 49
Ralph's Grocery Co.
10.45%, 6/15/04 B 60 58
- ---------------------------------------------------------
GROUP TOTAL 107
- ---------------------------------------------------------
TECHNOLOGY (0.2%)
## Blue Bell Funding
11.85%, 5/1/99 BB- 25 24
Unisys Corp.
Series A $3.75
(Convertible
Preferred Stock) B- (1)9,100 267
- ---------------------------------------------------------
GROUP TOTAL 291
- ---------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (1.1%)
Comcast Cellular Corp.
Series:
A Zero Coupon,
3/5/00 B+ $ 50 $ 36
B Zero Coupon,
3/5/00 B+ 125 91
(+) Continental
Cablevision, Inc.
9.50%, 8/1/13 BB+ 200 223
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC- 75 46
(+)# EchoStar Satellite
Broadcast
0.00%, 3/15/04 B- 285 173
# MFS Communications, Inc.
0.00%, 1/15/06 B 270 169
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC- 945 554
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 200 208
- ---------------------------------------------------------
GROUP TOTAL 1,500
- ---------------------------------------------------------
TRANSPORTATION (0.4%)
Delta Airlines Trust
Series 93 B2
10.06%, 1/2/16 BB+ 50 58
(+) Jet Equipment Trust
Series:
94-AB1
10.91%, 6/15/06 BB+ 25 29
95-D C
11.44%, 11/1/14 BB+ 300 332
95-5A C
10.69%, 5/1/15 BBB- 100 112
USAir, Inc. Series 93-A3
10.375%, 3/1/13 B+ 110 110
- ---------------------------------------------------------
GROUP TOTAL 641
- ---------------------------------------------------------
UTILITIES (0.2%)
Cleveland Electric Series:
B 9.50%, 5/15/05 BB 50 49
sec. Q $91.50
(Preferred Stock)
(acquired 5/10/95,
cost $53) N/R (1) 60 54
First PV Funding
Corp.
10.15%, 1/15/16 B+ 150 158
- ---------------------------------------------------------
GROUP TOTAL 261
- ---------------------------------------------------------
YANKEE (3.5%)
APP International
Finance
11.75%, 10/1/05 BB 240 234
Bank Of Vneshconom
Zero Coupon,
12/31/15 N/R 450 154
# Brazil Par Series
Z-L
4.25%, 4/15/24 B1 3,795 1,935
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)dag.
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Cemex
8.50%, 8/31/00 N/R $ 100 $ 92
##+ Central Bank of
Argentina Bocon PIK
Pre 4
5.3203%, 9/1/02 B2 810 668
RAPP International
Finance
13.25%, 12/15/05 B+ 125 123
# Republic of
Argentina
5.00%, 3/31/23 BB- 1,925 1,001
(+) Transgas de
Occidente S.A.
9.79%, 11/1/10 BBB- 250 242
United Mexican States
6.25%, 12/31/19 BB 850 541
- ---------------------------------------------------------
GROUP TOTAL 4,990
- ---------------------------------------------------------
TOTAL HIGH YIELD (Cost $15,851) 16,041
- ---------------------------------------------------------
FOREIGN CURRENCY (0.2%)
British Pound GBP 4 6
French Franc FRF 1,320 262
@ Italian Lira ITL 235 --
@ Japanese Yen JPY 1 --
@ Spanish Peseta ESP 4 --
Swedish Krona SEK 479 72
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $341) 340
- ---------------------------------------------------------
CASH EQUIVALENT (8.2%)
- ---------------------------------------------------------
REPURCHASE AGREEMENT (8.2%)
The Chase Manhattan
Bank, N.A. 5.35%,
dated 3/29/96, due
4/1/96, to be
repurchased at
$11,752,
collateralized by
various U.S.
Government
Obligations due
5/31/96-5/31/97,
valued at $11,865
(Cost $11,747) $ 11,747 11,747
- ---------------------------------------------------------
TOTAL INVESTMENTS (105.4%) (Cost
$138,662) 150,180
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)dag.
---------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-5.4%)
Cash $ 328
Dividends Receivable 238
Interest Receivable 1,073
Receivable for Withholding Tax
Reclaims 8
Receivable for Investments Sold 5,799
Receivable for Fund Shares Sold 16
Receivable for Daily Variation on
Futures Contracts 358
Unrealized Gain on Forward Foreign
Currency Contracts 23
Unrealized Gain on Swap Contracts 92
Other Assets 14
Payable for Investments Purchased (15,378)
Payable for Fund Shares Redeemed (22)
Payable for Investment Advisory Fees (142)
Payable for Administrative Fees (10)
Other Liabilities (89)
-------
(7,692)
- ---------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------
Applicable to 11,936,157 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $142,488
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.94
- ---------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1996 was
$1,020 or 0.7% of net assets.
dag. See Note A1 to Financial Statements.
* Non-income producing security.
** Non-income producing. Defaulted security.
ddag. 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.
++ Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investor Service,
Inc.
/ / Securities purchased with proceeds from written
floors. See Note A6 to Financial Statements.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31,1996.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1996.
(+) 144A security. Certain conditions for public sale
may exist.
@ Value is less than $500.
(1) Amount represents shares held by the Portfolio.
ADR American Depositary Receipt.
GDS Global Depositary Share.
CMO Collateralized Mortgage Obligation.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1996.
IO Interest Only.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
PIK Payment-in-Kind Security.
REIT Real Estate Investment Trust.
REMIC Real Estate Mortgage Investment Conduit.
RFD Ranked for Dividend.
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.
- --------------------------------------------------------------------------------
102
<PAGE> 105
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SMALL INTER-
CAP SELECT NATIONAL
VALUE EQUITY VALUE EQUITY EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------
Six Months Ended March 31, 1996
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME dag.
Dividends $ 15,514 $ 18,130 $ 4,147 $ 372 $ 4,547
Interest 3,896 2,625 196 78 2,429
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 19,410 20,755 4,343 450 6,976
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 3,533 4,097 1,604 $85 1,769
Less: Waived Fees -- -- -- (16) 69 --
Administrative Fee--Note C 565 655 171 14 283
Custodian Fee 122 65 21 9 397
Audit Fee 11 14 6 6 9
Other Expenses 81 97 33 9 50
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,312 4,928 1,835 107 2,508
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset (121 ) (65 ) (3) (3) (88 )
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,191 4,863 1,832 104 2,420
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 15,219 15,892 2,511 346 4,556
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 77,155 135,479 28,789 977 76,740
Foreign Currency Transactions -- -- -- -- 4,352
Futures -- -- -- -- 7,342
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 77,155 135,479 28,789 977 88,434
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note
E2
Investment Securities 61,574 25,691 (1,448) 2,196 (53,682 )
Foreign Currency Transactions -- -- -- -- (1,025 )
Futures -- -- -- -- 1,777
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 61,574 25,691 (1,448) 2,196 (52,930 )
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 138,729 161,170 27,341 3,173 35,504
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $153,948 $177,062 $29,852 $ 3,519 $ 40,060
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
dag. Net of $602 withholding tax for International Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DOMESTIC
MID CAP MID CAP EMERGING FIXED FIXED
GROWTH VALUE MARKETS INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
Six Months Ended March 31, 1996
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends dag. $ 731 $132 $ 372 $ 207 $ --
Interest 522 19 173 56,179 1,765
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 1,253 151 545 56,386 1,765
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 947 $35 $147 2,887 $106
Less: Waived Fees -- (18) 17 (12)135 -- (4)102
Administrative Fee--Note C 152 4 16 616 23
Custodian Fee 13 10 62 106 9
Audit Fee 6 6 13 28 7
Other Expenses 27 5 6 82 8
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,145 42 232 3,719 149
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset (13) (2 ) (1 ) (44) (7 )
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,132 40 231 3,675 142
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 121 111 314 52,711 1,623
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 39,148 518 1,026 27,828 88
Foreign Currency Transactions -- -- (8 ) 5,678 --
Futures -- 28 -- (3,577) (116 )
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 39,148 546 1,018 29,929 (28 )
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note E2
Investment Securities 23,047 38 (1,144 ) (35,377) (1,229 )
Foreign Currency Transactions -- -- 1 1,925 --
Futures and Written Floors -- -- -- 8,641 (21 )
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 23,047 38 (1,143 ) (24,811) (1,250 )
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 62,195 584 (125 ) 5,118 (1,278 )
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $62,316 $695 $ 189 $57,829 $ 345
- ------------------------------------------------------------------------------------------------------------------------------
dag. Net of $21 withholding tax for the Emerging Markets Portfolio.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FIXED MORTGAGE-
HIGH CASH INCOME BACKED LIMITED
YIELD RESERVES SECURITIES SECURITIES DURATION
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Six Months Ended March 31, 1996
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 504 $ -- $ -- $ -- $ --
Interest 13,641 1,355 6,555 1,606 3,521
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 14,145 1,355 6,555 1,606 3,521
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 501 $60 369 $87 174
Less: Waived Fees -- (23) 37 -- (8) 79 --
Administrative Fee--Note C 107 20 79 19 47
Custodian Fee 25 9 17 5 12
Audit Fees 5 5 6 5 7
Other Expenses 21 8 16 8 12
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 659 79 487 116 252
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset (12) (2) (6) -- (10)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 647 77 481 116 242
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 13,498 1,278 6,074 1,490 3,279
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 7,967 -- 1,690 104 386
Foreign Currency Transactions (380) -- 778 -- --
Futures and Swaps (146) -- (771) (95) --
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 7,441 -- 1,697 9 386
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note E2
Investment Securities (5,169) -- (3,749) (299) (540)
Foreign Currency Transactions -- -- 188 -- --
Futures, Written Floors and Swaps 598 -- 1,132 116 1
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (4,571) -- (2,429) (183) (539)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 2,870 -- (732) (174) (153)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $16,368 $1,278 $5,342 $1,316 $3,126
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED PA FIXED FIXED
INCOME MUNICIPAL MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Six Months Ended March 31, 1996
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 57 $ 4 $ 2 $ -- $ --
Interest dag. 14,492 1,038 427 1,369 4,561
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 14,549 1,042 429 1,369 4,561
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 735 $75 $31 92 285
Less: Waived Fees -- (16) 59 (14) 17 -- --
Administrative Fee--Note C 157 16 7 21 61
Custodian Fee 36 5 1 8 22
Audit Fee 12 9 9 13 13
Other Expenses 24 14 8 7 15
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 964 103 42 141 396
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset (1) (3) -- (1) (1)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 963 100 42 140 395
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 13,586 942 387 1,229 4,166
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 7,055 496 798 1,654 2,372
Foreign Currency Transactions 1,345 -- -- 262 (1,194)
Futures and Swaps (910) (1,272) (461 ) 219 931
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 7,490 (776) 337 2,135 2,109
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note E2
Investment Securities (8,774) 399 (363 ) (1,589) (4,122)
Foreign Currency Transactions 595 -- -- (250) 164
Futures, Written Floors and Swaps 2,057 1,348 455 (133) (471)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (6,122) 1,747 92 (1,972) (4,429)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 1,368 971 429 163 (2,320)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $14,954 $ 1,913 $ 816 $ 1,392 $ 1,846
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
dag. Net of $38 and $149 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------
<S> <C> <C> <C>
INTERMEDIATE MULTI-
DURATION BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------
(In Thousands) Six Months Ended March 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOMEdag.
Dividends $ -- $ 2,394 $ 874
Interest 490 5,252 2,077
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 490 7,646 2,951
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $27 779 $308
Less: Waived Fees (10) 17 -- (49) 259
Administrative Fee--Note C 6 139 55
Custodian Fee 4 27 53
Audit Fee 6 11 13
Other Expenses 4 29 21
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 37 985 401
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset -- (9) (4)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 37 976 397
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 453 6,670 2,554
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 467 12,509 3,854
Foreign Currency Transactions 61 456 227
Futures and Swaps (42) (121) 946
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 486 12,844 5,027
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note E2
Investment Securities (410) 8,602 4,051
Foreign Currency Transactions 11 171 (111)
Futures, Written Floors and Swaps 23 666 417
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (376) 9,439 4,357
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 110 22,283 9,384
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 563 $28,953 $11,938
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
dag. Net of $28 withholding tax for the Multi-Asset-Class Portfolio
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
VALUE EQUITY
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 24,635 $ 15,219 $ 32,809 $ 15,892
Realized Net Gain (Loss) 118,188 77,155 123,037 135,479
Change in Unrealized Appreciation
(Depreciation)--Note E2 145,262 61,574 173,454 25,691
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 288,085 153,948 329,300 177,062
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (23,680) (15,801) (31,719) (15,099)
Realized Net Gain (79,195) (130,677) (67,107) (132,351)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (102,875) (146,478) (98,826) (147,450)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 302,389 446,287 370,928 115,267
In Lieu of Cash Distributions 91,963 132,030 91,153 142,563
Redeemed (289,313) (266,723) (287,940) (328,547)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 105,039 311,594 174,141 (70,717)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 290,249 319,064 404,615 (41,105)
NET ASSETS:
Beginning of Period 981,337 1,271,586 1,193,017 1,597,632
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $1,271,586 $1,590,650 $1,597,632 $1,556,527
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 22,270 30,682 17,166 4,804
In Lieu of Cash Distributions 8,147 9,516 4,623 6,084
Shares Redeemed (22,729) (18,142) (13,063) (13,510)
- -----------------------------------------------------------------------------------------------------------------------
7,688 22,056 8,726 (2,622)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 943,751 $1,255,345 $1,207,235 $1,136,518
Undistributed (Overdistributed)
Net Investment Income 7,826 7,244 8,769 9,562
Undistributed (Overdistributed)
Realized Net Gain (Loss) 117,719 64,197 113,258 116,386
Unrealized Appreciation (Depreciation)
on Investment Securities 202,290 263,864 268,370 294,061
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $1,271,586 $1,590,650 $1,597,632 $1,556,527
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
SMALL
CAP
VALUE
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 4,277 $ 2,511
Realized Net Gain (Loss) 50,198 28,789
Change in Unrealized Appreciation
(Depreciation)--Note E2 10,603 (1,448)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 65,078 29,852
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (2,689) (4,652)
Realized Net Gain (37,063) (52,103)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (39,752) (56,755)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 109,087 27,402
In Lieu of Cash Distributions 38,342 55,347
Redeemed (50,543) (35,969)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 96,886 46,780
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 122,212 19,877
NET ASSETS:
Beginning of Period 308,156 430,368
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $430,368 $450,245
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 6,533 1,613
In Lieu of Cash Distributions 2,674 3,496
Shares Redeemed (3,105) (2,087)
- -----------------------------------------------------------------------------------------------------------------------
6,102 3,022
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $361,017 $407,797
Undistributed (Overdistributed)
Net Investment Income 2,767 626
Undistributed (Overdistributed)
Realized Net Gain (Loss) 45,201 21,887
Unrealized Appreciation (Depreciation)
on Investment Securities 21,383 19,935
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $430,368 $450,245
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
INTER-
SELECT NATIONAL
EQUITY EQUITY
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 579 $ 346 $ 20,687 $ 4,556
Realized Net Gain (Loss) 431 977 (51,270) 88,434
Change in Unrealized Appreciation
(Depreciation)--Note E2 4,466 2,196 (10,980) (52,930)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 5,476 3,519 (41,563) 40,060
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (575) (317) -- (16,536)
Realized Net Gain (9,116) (805) (104,076) (3,422)
In Excess of Net Realized Gain -- -- (8,055) --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (9,691) (1,122) (112,131) (19,958)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 4,847 5,565 315,862 97,840
In Lieu of Cash Distributions 9,691 1,122 111,406 14,784
Redeemed (9,897) (510) (245,455) (582,706)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 4,641 6,177 181,813 (470,082)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 426 8,574 28,119 (449,980)
NET ASSETS:
Beginning of Period 29,155 29,581 1,132,867 1,160,986
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $29,581 $38,155 $1,160,986 $ 711,006
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 411 459 25,439 7,756
In Lieu of Cash Distributions 1,026 94 9,346 1,211
Shares Redeemed (615) (43) (19,983) (46,766)
- -----------------------------------------------------------------------------------------------------------------------
822 510 14,802 (37,799)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $25,226 $31,403 $1,095,826 $ 625,744
Undistributed (Overdistributed)
Net Investment Income 161 190 11,109 (871)
Undistributed (Overdistributed)
Realized Net Gain (Loss) 613 785 (40,022) 44,990
Unrealized Appreciation (Depreciation) on:
Investment Securities 3,581 5,777 92,765 39,083
Foreign Currency Transactions -- -- 1,324 299
Futures, Written Floors and Swaps -- -- (16) 1,761
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $29,581 $38,155 $1,160,986 $ 711,006
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
MID CAP
GROWTH
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 636 $ 121
Realized Net Gain (Loss) 47,679 39,148
Change in Unrealized Appreciation
(Depreciation)--Note E2 33,071 23,047
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 81,386 62,316
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (541) (580)
Realized Net Gain (34,250) (53,149)
In Excess of Net Realized Gain -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (34,791) (53,729)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 78,991 21,155
In Lieu of Cash Distributions 33,984 52,044
Redeemed (89,018) (41,071)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 23,957 32,128
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 70,552 40,715
NET ASSETS:
Beginning of Period 302,995 373,547
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $373,547 $414,262
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 4,693 1,170
In Lieu of Cash Distributions 2,527 3,126
Shares Redeemed (5,734) (2,248)
- -----------------------------------------------------------------------------------------------------------------------
1,486 2,048
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $257,408 $289,536
Undistributed (Overdistributed)
Net Investment Income 427 (32)
Undistributed (Overdistributed)
Realized Net Gain (Loss) 43,910 29,909
Unrealized Appreciation (Depreciation) on:
Investment Securities 71,802 94,849
Foreign Currency Transactions -- --
Futures, Written Floors and Swaps -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $373,547 $414,262
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
MID CAP EMERGING
VALUE MARKETS
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
DECEMBER 30, SIX MONTHS FEBRUARY 28, SIX MONTHS
1994* TO ENDED 1995* TO ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 184 $ 111 $ 370 $ 314
Realized Net Gain (Loss) 331 546 2,104 1,018
Change in Unrealized Appreciation
(Depreciation)--Note E2 161 38 581 (1,143)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting
from Operations 676 695 3,055 189
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income -- (214) -- (641)
Realized Net Gain -- (405) -- (2,186)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions -- (619) -- (2,827)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 4,259 21,398 39,405 7,020
In Lieu of Cash Distributions -- 611 -- 2,439
Redeemed (428) (186) (1) (9,627)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 3,831 21,823 39,404 (168)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 4,507 21,899 42,459 (2,806)
NET ASSETS:
Beginning of Period -- 4,507 -- 42,459
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $4,507 $26,406 $42,459 $39,653
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 373 1,701 3,651 625
In Lieu of Cash Distributions -- 52 -- 235
Shares Redeemed (38) (16) (1) (916)
- -----------------------------------------------------------------------------------------------------------------------
335 1,737 3,650 (56)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $3,831 $25,654 $39,404 $39,236
Undistributed (Overdistributed)
Net Investment Income 184 81 301 (26)
Undistributed (Overdistributed)
Realized Net Gain (Loss) 331 472 2,173 1,005
Unrealized Appreciation (Depreciation) on:
Investment Securities 161 199 583 (561)
Foreign Currency Transactions -- -- (2) (1)
Futures and Written Floors -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $4,507 $26,406 $42,459 $39,653
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
FIXED
INCOME
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 95,041 $ 52,711
Realized Net Gain (Loss) 3,192 29,929
Change in Unrealized Appreciation
(Depreciation)--Note E2 79,473 (24,811)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting
from Operations 177,706 57,829
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (69,099) (57,957)
Realized Net Gain -- (7,817)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (69,099) (65,774)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 431,740 133,222
In Lieu of Cash Distributions 52,586 52,243
Redeemed (300,481) (130,173)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 183,845 55,292
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 292,452 47,347
NET ASSETS:
Beginning of Period 1,194,957 1,487,409
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $1,487,409 $1,534,756
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 38,850 11,259
In Lieu of Cash Distributions 4,797 4,476
Shares Redeemed (27,170) (11,019)
- -----------------------------------------------------------------------------------------------------------------------
16,477 4,716
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $1,436,198 $1,491,490
Undistributed (Overdistributed)
Net Investment Income 26,685 21,439
Undistributed (Overdistributed)
Realized Net Gain (Loss) (1,643) 20,469
Unrealized Appreciation (Depreciation) on:
Investment Securities 36,860 1,483
Foreign Currency Transactions (523) 1,402
Futures and Written Floors (10,168) (1,527)
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $1,487,409 $1,534,756
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
DOMESTIC
FIXED HIGH
INCOME YIELD
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 1,772 $ 1,623 $ 21,749 $ 13,498
Realized Net Gain (Loss) (67) (28) (3,020) 7,441
Change in Unrealized Appreciation
(Depreciation)--Note E2 1,704 (1,250) 9,551 (4,571)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 3,409 345 28,280 16,368
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (776) (1,325) (19,609) (13,732)
Realized Net Gain -- (185) (1,760) --
In Excess of Realized Net Gain -- -- (1,069) --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (776) (1,510) (22,438) (13,732)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 39,260 37,112 94,962 97,719
In Lieu of Cash Distributions 600 1,417 11,160 7,499
Redeemed (42,867) (2,020) (74,148) (24,105)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (3,007) 36,509 31,974 81,113
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (374) 35,344 37,816 83,749
NET ASSETS:
Beginning of Period 36,521 36,147 182,969 220,785
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $36,147 $71,491 $220,785 $304,534
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 3,820 3,340 11,056 10,966
In Lieu of Cash Distributions 60 129 1,334 856
Shares Redeemed (4,304) (184) (8,485) (2,681)
- -----------------------------------------------------------------------------------------------------------------------
(424) 3,285 3,905 9,141
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 35,012 $ 71,520 $ 218,863 $ 299,976
Undistributed (Overdistributed)
Net Investment Income 531 829 6,985 6,751
Undistributed (Overdistributed)
Realized Net Gain (Loss) (19) (231) (4,519) 2,922
Unrealized Appreciation (Depreciation) on:
Investment Securities 619 (610) (490) (5,659)
Foreign Currency Transactions -- -- 1 1
Futures, Written Floors and Swaps 4 (17) (55) 543
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $36,147 $71,491 $220,785 $304,534
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
CASH
RESERVES
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 1,970 $ 1,278
Realized Net Gain (Loss) -- --
Change in Unrealized Appreciation
(Depreciation)--Note E2 -- --
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,970 1,278
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (1,970) (1,278)
Realized Net Gain -- --
In Excess of Realized Net Gain -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (1,970) (1,278)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 95,030 50,518
In Lieu of Cash Distributions 1,868 1,189
Redeemed (90,207) (41,951)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 6,691 9,756
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 6,691 9,756
NET ASSETS:
Beginning of Period 37,933 44,624
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $44,624 $54,380
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 95,030 50,518
In Lieu of Cash Distributions 1,868 1,189
Shares Redeemed (90,207) (41,951)
- -----------------------------------------------------------------------------------------------------------------------
6,691 9,756
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 44,624 $ 54,380
Undistributed (Overdistributed)
Net Investment Income -- --
Undistributed (Overdistributed)
Realized Net Gain (Loss) -- --
Unrealized Appreciation (Depreciation) on:
Investment Securities -- --
Foreign Currency Transactions -- --
Futures, Written Floors and Swaps -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $44,624 $54,380
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
MORTGAGE-
FIXED BACKED
INCOME SECURITIES
PORTFOLIO II PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 10,203 $ 6,074 $ 5,984 $ 1,490
Realized Net Gain (Loss) 1,126 1,697 550 9
Change in Unrealized Appreciation
(Depreciation)--Note E2 9,124 (2,429) 4,008 (183)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 20,453 5,342 10,542 1,316
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (6,958) (6,095) (6,794) (1,847)
Realized Net Gain -- (1,806) -- --
In Excess of Realized Net Gain -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (6,958) (7,901) (6,794) (1,847)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 56,653 31,934 8,451 973
In Lieu of Cash Distributions 3,751 5,238 3,732 1,213
Redeemed (26,856) (4,248) (85,683) (5,915)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 33,548 32,924 (73,500) (3,729)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 47,043 30,365 (69,752) (4,260)
NET ASSETS:
Beginning of Period 129,902 176,945 119,518 49,766
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $176,945 $207,310 $49,766 $45,506
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 5,324 2,826 871 94
In Lieu of Cash Distributions 357 467 378 117
Shares Redeemed (2,538) (376) (8,515) (561)
- -----------------------------------------------------------------------------------------------------------------------
3,143 2,917 (7,266) (350)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 170,517 $ 203,441 $ 52,004 $ 48,275
Undistributed (Overdistributed)
Net Investment Income 2,756 2,735 1,071 714
Undistributed (Overdistributed)
Realized Net Gain (Loss) 576 467 (3,509) (3,500)
Unrealized Appreciation (Depreciation) on:
Investment Securities 3,096 (653) 695 396
Foreign Currency Transactions (5) 183 -- --
Futures and Written Floors 5 1,137 (495) (379)
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $176,945 $207,310 $49,766 $45,506
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
LIMITED
DURATION
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 4,313 $ 3,279
Realized Net Gain (Loss) (402) 386
Change in Unrealized Appreciation
(Depreciation)--Note E2 1,669 (539)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 5,580 3,126
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (3,757) (2,988)
Realized Net Gain -- --
In Excess of Realized Net Gain (62) --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (3,819) (2,988)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 60,552 49,809
In Lieu of Cash Distributions 2,459 2,237
Redeemed (27,361) (35,851)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 35,650 16,195
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 37,411 16,333
NET ASSETS:
Beginning of Period 62,775 100,186
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $100,186 $116,519
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 5,907 4,802
In Lieu of Cash Distributions 243 217
Shares Redeemed (2,691) (3,441)
- -----------------------------------------------------------------------------------------------------------------------
3,459 1,578
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 103,141 $ 119,336
Undistributed (Overdistributed)
Net Investment Income 1,354 1,645
Undistributed (Overdistributed)
Realized Net Gain (Loss) (4,621) (4,235)
Unrealized Appreciation (Depreciation) on:
Investment Securities 312 (228)
Foreign Currency Transactions -- --
Futures and Written Floors -- 1
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $100,186 $116,519
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
SPECIAL
PURPOSE
FIXED INCOME MUNICIPAL
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 30,784 $ 13,586 $ 2,211 $ 942
Realized Net Gain (Loss) 5,077 7,490 (578) (776)
Change in Unrealized Appreciation
(Depreciation)--Note E2 25,253 (6,122) 3,278 1,747
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 61,114 14,954 4,911 1,913
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (22,759) (16,489) (2,232) (1,013)
Realized Net Gain -- (9,325) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (22,759) (25,814) (2,232) (1,013)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 107,483 25,718 15,286 8,624
In Lieu of Cash Distributions 20,635 23,913 1,281 673
Redeemed (160,946) (46,591) (21,755) (616)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (32,828) 3,040 (5,188) 8,681
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 5,527 (7,820) (2,509) 9,581
NET ASSETS:
Beginning of Period 384,731 390,258 38,549 36,040
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $390,258 $382,438 $36,040 $45,621
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 9,436 2,094 1,556 771
In Lieu of Cash Distributions 1,768 1,969 125 61
Shares Redeemed (13,433) (3,788) (2,167) (55)
- -----------------------------------------------------------------------------------------------------------------------
(2,229) 275 (486) 777
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 367,111 $ 370,151 $ 35,324 $ 44,005
Undistributed (Overdistributed)
Net Investment Income 8,633 5,730 26 (45)
Undistributed (Overdistributed)
Realized Net Gain (Loss) 6,047 4,212 (442) (1,218)
Unrealized Appreciation (Depreciation) on:
Investment Securities 12,141 3,367 1,456 1,855
Foreign Currency Transactions (261) 334 -- --
Futures, Written Floors and Swaps (3,413) (1,356) (324) 1,024
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $390,258 $382,438 $36,040 $45,621
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
PA
MUNICIPAL
PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS
YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 934 $ 387
Realized Net Gain (Loss) (1,323) 337
Change in Unrealized Appreciation
(Depreciation)--Note E2 2,370 92
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,981 816
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (922) (391)
Realized Net Gain -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (922) (391)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 4,150 267
In Lieu of Cash Distributions 803 341
Redeemed (13,793) (1,145)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (8,840) (537)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (7,781) (112)
NET ASSETS:
Beginning of Period 23,515 15,734
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $15,734 $15,622
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 436 24
In Lieu of Cash Distributions 78 30
Shares Redeemed (1,392) (101)
- -----------------------------------------------------------------------------------------------------------------------
(878) (47)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 15,340 $ 14,803
Undistributed (Overdistributed)
Net Investment Income 12 8
Undistributed (Overdistributed)
Realized Net Gain (Loss) (794) (457)
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,307 944
Foreign Currency Transactions -- --
Futures, Written Floors and Swaps (131) 324
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $15,734 $15,622
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
-------------------------------------------------------------------
GLOBAL INTERNATIONAL
FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 3,481 $ 1,229 $ 6,989 $ 4,166
Realized Net Gain (Loss) 345 2,135 4,838 2,109
Change in Unrealized Appreciation
(Depreciation)--Note E2 3,689 (1,972) 4,647 (4,429)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 7,515 1,392 16,474 1,846
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (3,155) (2,374) (5,736) (7,592)
Realized Net Gain -- (186) -- (1,028)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (3,155) (2,560) (5,736) (8,620)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 14,273 21,342 77,909 52,716
In Lieu of Cash Distributions 2,953 2,426 5,364 8,042
Redeemed (9,505) (17,054) (33,008) (16,406)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 7,721 6,714 50,265 44,352
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 12,081 5,546 61,003 37,578
NET ASSETS:
Beginning of Period 43,066 55,147 66,879 127,882
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $55,147 $60,693 $127,882 $165,460
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 1,376 1,977 7,472 4,849
In Lieu of Cash Distributions 285 225 511 756
Shares Redeemed (893) (1,527) (3,026) (1,533)
- -----------------------------------------------------------------------------------------------------------------------
768 675 4,957 4,072
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 51,663 $ 58,377 $ 116,371 $ 160,723
Undistributed (Overdistributed)
Net Investment Income 1,100 (45) 6,077 2,651
Undistributed (Overdistributed)
Realized Net Gain (Loss) (222) 1,727 947 2,028
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,296 707 4,677 555
Foreign Currency Transactions 150 (100) (819) (655)
Futures and Swaps 160 27 629 158
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $55,147 $60,693 $127,882 $165,460
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
<S> <C> <C>
INTERMEDIATE
DURATION
PORTFOLIO
-------------------------------------------------------------------
OCTOBER 3, SIX MONTHS
1994* TO ENDED
SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996
- -----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 1,299 $ 453
Realized Net Gain (Loss) 456 486
Change in Unrealized Appreciation
(Depreciation)--Note E2 443 (376)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 2,198 563
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (832) (745)
Realized Net Gain -- (697)
- -----------------------------------------------------------------------------------------------------------------------
Total Distributions (832) (1,442)
- -----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 22,039 477
In Lieu of Cash Distributions 832 1,442
Redeemed (5,000) (9,607)
- -----------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 17,871 (7,688)
- -----------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 19,237 (8,567)
NET ASSETS:
Beginning of Period -- 19,237
- -----------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $19,237 $10,670
- -----------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 2,204 46
In Lieu of Cash Distributions 82 141
Shares Redeemed (485) (944)
- -----------------------------------------------------------------------------------------------------------------------
1,801 (757)
- -----------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 17,871 $ 10,183
Undistributed (Overdistributed)
Net Investment Income 371 79
Undistributed (Overdistributed)
Realized Net Gain (Loss) 552 341
Unrealized Appreciation (Depreciation) on:
Investment Securities 434 24
Foreign Currency Transactions (1) 10
Futures and Swaps 10 33
- -----------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $19,237 $10,670
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 117
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C>
--------------------------------------------------------------
MULTI-ASSET-
BALANCED CLASS
PORTFOLIO PORTFOLIO
--------------------------------------------------------------
SIX MONTHS SIX MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
(In Thousands) 1995 1996 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 13,991 $ 6,670 $ 3,244 $ 2,554
Realized Net Gain (Loss) 8,633 12,844 1,484 5,027
Change in Unrealized Appreciation (Depreciation)--Note
E2 37,054 9,439 8,060 4,357
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 59,678 28,953 12,788 11,938
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
Net Investment Income (12,305) (7,267) (2,649) (2,167)
Realized Net Gain (1,872) (11,250) -- (1,968)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (14,177) (18,517) (2,649) (4,135)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 50,017 21,346 52,541 58,270
In Lieu of Cash Distributions 14,014 18,473 2,405 3,895
Redeemed (84,498) (41,151) (20,123) (24,319)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (20,467) (1,332) 34,823 37,846
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 25,034 9,104 44,962 45,649
NET ASSETS:
Beginning of Period 309,596 334,630 51,877 96,839
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD (2) $334,630 $343,734 $96,839 $ 142,488
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 4,108 1,619 5,045 5,113
In Lieu of Cash Distributions 1,234 1,432 234 344
Shares Redeemed (7,168) (3,110) (1,944) (2,057)
- ------------------------------------------------------------------------------------------------------------------------------
(1,826) (59) 3,335 3,400
- ------------------------------------------------------------------------------------------------------------------------------
(2) Net Assets Consist of:
Paid in Capital $ 291,601 $ 290,269 $ 86,902 $ 124,748
Undistributed (Overdistributed) Net Investment Income 3,480 2,883 948 1,335
Undistributed (Overdistributed) Realized Net Gain
(Loss) 8,415 10,009 1,496 4,555
Unrealized Appreciation (Depreciation) on:
Investment Securities 32,323 40,925 7,468 11,519
Foreign Currency Transactions (61) 110 81 (30)
Futures, Written Floors and Swaps (1,128) (462) (56) 361
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $334,630 $343,734 $96,839 $ 142,488
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
VALUE
PORTFOLIO
----------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
---------------------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.29 $ 12.92 $ 12.67 $ 12.76 $ 12.63 $ 14.89
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.35 0.30 0.30 0.31 0.16
Net Realized and Unrealized Gain
(Loss) on Investments 3.79 1.05 1.92 0.59 3.34 1.39
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.23 1.40 2.22 0.89 3.65 1.55
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.44) (0.38) (0.31) (0.29) (0.31) (0.18)
Realized Net Gain (1.16) (1.27) (1.82) (0.73) (1.08) (1.46)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.60) (1.65) (2.13) (1.02) (1.39) (1.64)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.92 $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 14.80
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 45.54% 12.83% 19.67% 7.45% 32.58% 11.20%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $458,117 $448,329 $762,175 $981,337 $1,271,586 $1,590,650
Ratio of Expenses to Average Net
Assets ## 0.60% 0.60% 0.59% 0.61% 0.60% 0.61%*
Ratio of Net Investment Income to
Average Net Assets 3.67% 2.87% 2.48% 2.40% 2.43% 2.15%*
Portfolio Turnover Rate 64% 55% 43% 54% 56% 27%
Average Commission Rate ### N/A N/A N/A N/A N/A $ 0.0567
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Value Portfolio
excludes the effect of expense offsets. If expense offsets were included,
the Ratio of Expenses to Average Net Assets would be 0.60% and 0.59%*,
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.
<TABLE>
<CAPTION>
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY
PORTFOLIO
------------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
--------------------------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.86 $ 20.78 $ 22.04 $ 22.82 $ 21.05 $ 24.43
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.43 0.41 0.44 0.52 0.25
Net Realized and Unrealized Gain
(Loss) on Investments 5.64 1.86 1.95 0.41 4.55 2.37
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 6.08 2.29 2.36 0.85 5.07 2.62
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.44) (0.42) (0.43) (0.41) (0.52) (0.23)
Realized Net Gain (0.72) (0.61) (1.15) (2.21) (1.17) (2.02)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.16) (1.03) (1.58) (2.62) (1.69) (2.25)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.78 $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 24.80
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 40.18% 11.55% 11.05% 4.11% 26.15% 11.31%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $675,487 $918,989 $1,098,003 $1,193,017 $1,597,632 $1,556,527
Ratio of Expenses to Average Net
Assets ## 0.60% 0.59% 0.59% 0.60% 0.61% 0.60%*
Ratio of Net Investment Income
to Average Net Assets 2.36% 2.03% 1.86% 2.10% 2.39% 1.94%*
Portfolio Turnover Rate 33% 21% 51% 41% 67% 35%
Average Commission Rate ### N/A N/A N/A N/A N/A $ 0.0547
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Equity Portfolio
excludes the effect of expense offsets. If expense offsets were included,
the Ratio of Expenses to Average Net Assets would be 0.60% and 0.59%*,
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 dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------
SMALL
CAP
VALUE
PORTFOLIO
------------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
--------------------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.20 $ 11.45 $ 12.84 $ 17.55 $ 17.67 $ 18.28
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.23 0.10 0.18 0.16 0.19 0.11
Net Realized and Unrealized Gain (Loss)
on Investments 4.21 1.48 4.64 1.14 2.49 1.00
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.44 1.58 4.82 1.30 2.68 1.11
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.19) (0.11) (0.24) (0.14) (0.20)
Realized Net Gain -- -- -- (0.94) (1.93) (2.24)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (0.19) (0.11) (1.18) (2.07) (2.44)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.45 $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 16.95
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 63.07% 14.12% 37.72% 8.04% 18.39% 7.02%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $52,182 $105,886 $175,029 $308,156 $430,368 $450,245
Ratio of Expenses to Average Net Assets
## 0.88% 0.86% 0.88% 0.88% 0.87% 0.86%*
Ratio of Net Investment Income to
Average Net Assets 1.70% 1.06% 1.33% 0.91% 1.20% 1.17%*
Portfolio Turnover Rate 53% 50% 93% 162% 119% 64%
Average Commission Rate ### N/A N/A N/A N/A N/A $0.0492
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
<TABLE>
<CAPTION>
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SELECT
EQUITY
PORTFOLIO
----------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
----------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.86 $ 16.09 $ 17.65 $ 18.41 $ 17.29 $ 11.80
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.34 0.32 0.31 0.71 0.27 0.12
Net Realized and Unrealized Gain (Loss)
on Investments 4.26 1.76 1.49 0.06 2.07 1.13
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.60 2.08 1.80 0.77 2.34 1.25
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.33) (0.31) (0.32) (0.70) (0.30) (0.12)
Realized Net Gain (0.04) (0.21) (0.72) (1.19) (7.53) (0.29)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.37) (0.52) (1.04) (1.89) (7.83) (0.41)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.09 $ 17.65 $ 18.41 $ 17.29 $ 11.80 $ 12.64
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 39.48% 13.26% 10.46% 4.50% 26.22% 10.80%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $118,557 $205,264 $295,050 $29,155 $ 29,581 $38,155
Ratio of Expenses to Average Net Assets
## 0.60% 0.60% 0.60% 0.62%ddag. 0.62%ddag. 0.63%*ddag.
Ratio of Net Investment Income to Average
Net Assets 2.41% 1.89% 1.78% 1.75% 2.48% 2.02%*
Portfolio Turnover Rate 29% 19% 33% 27% 73% 29%
Average Commission Rate### N/A N/A N/A N/A N/A $0.0552
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. Select Equity Portfolio expense ratios are net of voluntarily waived
expenses of 0.01%, 0.13% and 0.09%* for the years ended September 30,
1994 and 1995 and the six months ended March 31, 1996, respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Select Equity
Portfolio excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would be 0.61% and
0.61%*, 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.
- --------------------------------------------------------------------------------
117
<PAGE> 120
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
----------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
--------------------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.83 $ 11.56 $ 11.03 $ 13.18 $ 14.52 $ 12.51
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.36 0.21 0.12 0.19 0.15
Net Realized and Unrealized Gain (Loss)
on Investments 1.83 (0.33) 2.14 1.63 (0.75) 0.62
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.05 0.03 2.35 1.75 (0.56) 0.77
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.23) (0.56) (0.20) (0.16) -- (0.29)
Realized Net Gain (0.09) -- -- (0.25) (1.35) (0.06)
In Excess of Realized Net Gain -- -- -- -- (0.10) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.32) (0.56) (0.20) (0.41) (1.45) (0.35)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.56 $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 12.93
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.22% 0.37% 21.64% 13.33% (3.36%) 6.32%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $274,295 $512,127 $891,675 $1,132,867 $1,160,986 $711,006
Ratio of Expenses to Average Net Assets
## 0.67% 0.70% 0.66% 0.64% 0.70% 0.71%*
Ratio of Net Investment Income to
Average Net Assets 2.08% 1.41% 1.23% 0.89% 1.90% 1.28%*
Portfolio Turnover Rate 51% 42% 43% 69% 112% 50%
Average Commission Rate ### N/A N/A N/A N/A N/A $0.0097
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the International
Equity Portfolio excludes the effect of expense offsets. If expense offsets
were included, the Ratio of Expenses to Average Net Assets would be 0.66%
and 0.68%*, 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.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
--------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30, MARCH 31,
----------------------------------------------------
1991 1992 1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.00 $ 14.92 $ 14.51 $ 18.56 $ 16.29 $ 18.60
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.01 0.02 0.03 0.01
Net Realized and Unrealized Gain (Loss) on
Investments 5.91 0.44 4.80 (0.58) 4.21 2.89
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 5.95 0.45 4.81 (0.56) 4.24 2.90
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) (0.03) -- (0.01) (0.03) (0.03)
Realized Net Gain -- (0.83) (0.76) (1.70) (1.90) (2.75)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.03) (0.86) (0.76) (1.71) (1.93) (2.78)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.92 $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 18.72
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 66.26% 2.87% 33.92% (3.28%) 30.56% 17.45%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $171,163 $192,817 $309,459 $302,995 $373,547 $414,262
Ratio of Expenses to Average Net Assets ## 0.60% 0.60% 0.59% 0.60% 0.61% 0.60%*
Ratio of Net Investment Income to Average
Net Assets 0.29% 0.05% 0.07% 0.12% 0.21% 0.06%*
Portfolio Turnover Rate 46% 39% 69% 55% 129% 76%
Average Commission Rate ### N/A N/A N/A N/A N/A $ 0.0493
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
- --------------------------------------------------------------------------------
118
<PAGE> 121
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------
MID CAP VALUE EMERGING MARKETS
PORTFOLIO PORTFOLIO
--------------------------------------------------------
DECEMBER 30, SIX MONTHS FEBRUARY 28, SIX MONTHS
1994** TO ENDED 1995** TO ENDED
SEPTEMBER SEPTEMBER
30, MARCH 31, 30, MARCH 31,
1995 1996 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45 $ 10.00 $ 11.63
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55>> 0.04 0.10 0.08
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 0.84 1.53 0.07
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 0.88 1.63 0.15
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55) -- (0.17)
Realized Net Gain -- (1.04) -- (0.58)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59) -- (0.75)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 12.74 $ 11.63 $ 11.03
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 7.53% 16.30% 1.69%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $26,406 $42,459 $39,653
Ratio of Expenses to Average Net Assets ## 0.93%*ddag. 0.93%*ddag. 1.18%*ddag. 1.18%*ddag.
Ratio of Net Investment Income to Average Net Assets 10.13%*>> 2.37%* 2.04%* 1.60%*
Portfolio Turnover Rate 639%>> 205% 63% 73%
Average Commission Rate ### N/A $0.0394 N/A $0.0021
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized. ** Commencement of Operations.
ddag. Mid Cap Value Portfolio expense ratio is net of voluntarily waived and
reimbursed expenses of 2.13%* and 0.38%* for the period ended September
30, 1995 and the six months ended March 31, 1996, respectively. Emerging
Markets Portfolio expense ratio is net of voluntarily waived expenses of
0.29%* and 0.06%* for the period ended September 30, 1995 and the six
months ended March 31, 1996, respectively.
## For the period ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Mid Cap Value
Portfolio excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would be 0.88%* and
0.88%*, respectively. For the period ended September 30, 1995 and the six
months ended March 31, 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.
>> 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>
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------
FIXED INCOME
PORTFOLIO
---------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30,
MARCH 31,
--------------------------------------------------------
1991 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.94 $ 12.20 $ 12.67 $ 12.86 $ 10.93 $ 11.82
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.94 0.90 0.88 0.77 0.80 0.40
Net Realized and Unrealized Gain (Loss)
on Investments 1.25 0.74 0.75 (1.28) 0.69 0.05
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.19 1.64 1.63 (0.51) 1.49 0.45
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.93) (1.02) (0.83) (0.82) (0.60) (0.45)
Realized Net Gain -- (0.15) (0.61) (0.47) -- (0.06)
In Excess of Realized Net Gain -- -- -- (0.13) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.93) (1.17) (1.44) (1.42) (0.60) (0.51)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.20 $ 12.67 $ 12.86 $ 10.93 $ 11.82 $ 11.76
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.12% 14.35% 14.26% (4.43%) 14.19% 3.89%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $831,547 $859,712 $909,738 $1,194,957 $1,487,409 $1,534,756
Ratio of Expenses to Average Net Assets
## 0.47% 0.47% 0.47% 0.49% 0.49% 0.48%*
Ratio of Net Investment Income to
Average Net Assets 8.25% 7.50% 7.06% 6.79% 7.28% 6.85%*
Portfolio Turnover Rate 143% 137% 144% 100% 140% 77%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
- --------------------------------------------------------------------------------
119
<PAGE> 122
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO
--------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30,
MARCH 31,
----------------------------------------------------
1991 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.26 $ 11.34 $ 11.80 $ 11.99 $ 9.87 $ 11.03
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.92 0.87 0.84 0.94 0.52 0.27
Net Realized and Unrealized Gain (Loss) on
Investments 1.10 0.76 0.66 (1.23) 0.87 (0.06)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.02 1.63 1.50 (0.29) 1.39 0.21
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.94) (1.00) (0.78) (0.95) (0.23) (0.31)
Realized Net Gain -- (0.17) (0.53) (0.73) -- (0.04)
In Excess of Realized Net Gain -- -- -- (0.15) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.94) (1.17) (1.31) (1.83) (0.23) (0.35)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 20.99% 15.41% 14.08% (2.87%) 14.33% 1.90%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $83,200 $98,130 $90,350 $36,521 $36,147 $71,491
Ratio of Expenses to Average Net Assets ## 0.48% 0.47% 0.50% 0.50%ddag. 0.51%ddag. 0.53%*ddag.
Ratio of Net Investment Income to Average
Net Assets 8.18% 7.67% 7.15% 7.65% 6.80% 5.74%*
Portfolio Turnover Rate 131% 136% 96% 78% 313% 91%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. Domestic Fixed Income Portfolio expense ratios are net of voluntarily
waived expenses of 0.03% and 0.09% and 0.01%* for the years ended
September 30, 1994 and 1995 and the six months ended March 31, 1996,
respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------
HIGH YIELD PORTFOLIO
------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30,
MARCH 31,
----------------------------------------------------
1991 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.07 $ 7.80 $ 8.58 $ 9.49 $ 8.97 $ 9.08
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 1.42 0.74 0.73 0.75 0.90 0.42
Net Realized and Unrealized Gain (Loss) on
Investments 0.82 0.89 0.90 (0.42) 0.19 0.12
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.24 1.63 1.63 0.33 1.09 0.54
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.51) (0.85) (0.72) (0.69) (0.85) (0.51)
Realized Net Gain -- -- -- (0.16) (0.08) --
In Excess of Realized Net Gain -- -- -- -- (0.05) --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.51) (0.85) (0.72) (0.85) (0.98) (0.51)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 7.80 $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.11
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 36.70% 22.49% 20.12% 3.57% 13.58% 6.25%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 6,453 $20,491 $50,396 $182,969 $220,785 $304,534
Ratio of Expenses to Average Net Assets ## 0.76% 0.53%ddag 0.53%ddag. 0.50% 0.50% 0.49%*
Ratio of Net Investment Income to Average Net
Assets 19.45% 9.74% 8.94% 9.01% 10.68% 10.09%*
Portfolio Turnover Rate 106% 148% 99% 112% 96% 51%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. High Yield Portfolio expense ratios are net of voluntarily waived expenses
of 0.22% and 0.09% for the years ended September 30, 1992 and 1993,
respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the High Yield
Portfolio excludes the effect of expense offsets. If expense offsets were
included, the Ratio of Expenses to Average Net Assets would be 0.49% and
0.48%*, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------
CASH RESERVES PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30,
MARCH 31,
------------------------------------------------------------
1991 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.064 0.038 0.028 0.034 0.055 0.027
Net Realized and Unrealized Gain
(Loss) on Investments -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.064 0.038 0.028 0.034 0.055 0.027
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.064) (0.038) (0.028) (0.034) (0.055) (0.027)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.63% 3.89% 2.81% 3.40% 5.57% 2.70%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $24,163 $12,935 $10,717 $37,933 $44,624 $54,380
Ratio of Expenses to Average Net
Assets ## 0.32%ddag. 0.32%ddag. 0.32%ddag. 0.32%ddag. 0.33%ddag. 0.33%*ddag.
Ratio of Net Investment Income to
Average Net Assets 6.57% 3.95% 2.78% 3.70% 5.45% 5.33%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
ddag. Cash Reserves Portfolio expense ratios are net of voluntarily waived and
reimbursed expenses of 0.05%, 0.08%, 0.24%, 0.14%, 0.11% and 0.09%* for
the years ended September 30, 1991, 1992, 1993, 1994, 1995 and the six
months ended March 31, 1996, respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
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>
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------
FIXED INCOME PORTFOLIO II
-----------------------------------------------------------------------
SIX MONTHS
ENDED
YEAR ENDED SEPTEMBER 30,
MARCH 31,
--------------------------------------------------------------
1991 1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.09 $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 11.33
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.81 0.77 0.69 0.63 0.71 0.35
Net Realized and Unrealized Gain
(Loss) on Investments 1.10 0.61 0.77 (1.16) 0.71 (0.01)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.91 1.38 1.46 (0.53) 1.42 0.34
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.66) (0.81) (0.61) (0.67) (0.51) (0.37)
Realized Net Gain -- (0.24) (0.55) (0.21) -- (0.11)
In Excess of Realized Net Gain -- -- -- (0.14) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.66) (1.05) (1.16) (1.02) (0.51) (0.48)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.19
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 19.59% 13.02% 13.53% (4.76%) 14.13% 2.99%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $42,881 $78,302 $94,836 $129,902 $176,945 $207,310
Ratio of Expenses to Average Net
Assets ## 0.49% 0.49% 0.51% 0.51% 0.51% 0.49%*
Ratio of Net Investment Income to
Average Net Assets 7.76% 7.05% 6.17% 6.07% 6.75% 6.16%*
Portfolio Turnover Rate 190% 182% 101% 137% 153% 71%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
- --------------------------------------------------------------------------------
121
<PAGE> 124
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
----------------------------------------------------------------
JANUARY 31, SIX MONTHS
1992** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
-------------- ----------------------------------------
1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.36
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 0.29
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.60) (0.45) (0.65) (0.42)
Realized Net Gain -- -- (0.21) -- --
In Excess of Realized Net Gain -- -- (0.03) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.60) (0.69) (0.65) (0.42)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.36
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.75% 11.03% (2.95%) 12.52% 2.82%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,601 $50,249 $119,518 $49,766 $45,506
Ratio of Expenses to Average Net Assets ## 0.50%*ddag. 0.50%ddag. 0.50%ddag. 0.50%ddag. 0.50%*ddag.
Ratio of Net Investment Income to Average
Net Assets 8.11%* 6.92% 5.30% 6.35% 6.45%*
Portfolio Turnover Rate 133% 93% 220% 107% 52%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. Mortgaged-Backed Securities Portfolio expense ratios are net of
voluntarily waived expenses of 0.30%*, 0.06%, 0.01%, 0.01% and 0.03%*
for the period ended September 30, 1992, the years ended September 30,
1993, 1994, 1995 and the six months ended March 31, 1996, respectively.
## For the year ended September 30, 1995 the Ratio of Expenses to Average Net
Assets for the Mortgage-Backed Securities Portfolio excludes the effect of
expense offsets. If expense offsets were included, the Ratio of Expenses
to Average Net Assets would not significantly differ.
<TABLE>
<CAPTION>
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LIMITED DURATION
PORTFOLIO
-----------------------------------------------------------------
MARCH 31, SIX MONTHS
1992** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
------------- -----------------------------------------
1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.30
Net Realized and Unrealized Gain (Loss)
on Investments 0.49 0.22 (0.52) 0.22 (0.01)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.68 0.54 0.04 0.78 0.29
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.10) (0.32) (0.51) (0.55) (0.29)
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) (0.29)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.41
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.90% 5.33% 0.40% 7.95% 2.83%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,065 $128,991 $62,775 $100,186 $116,519
Ratio of Expenses to Average Net Assets
## 0.49%* 0.42%ddag 0.41% 0.43%ddag. 0.43%*
Ratio of Net Investment Income to Average
Net Assets 4.99%* 3.92% 4.16% 5.96% 5.64%*
Portfolio Turnover Rate 159% 217% 192% 119% 55%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. 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 year ended September 30, 1995 and the six months ended March 31,
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.
- --------------------------------------------------------------------------------
122
<PAGE> 125
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SPECIAL PURPOSE
FIXED INCOME PORTFOLIO
----------------------------------------------------------
MARCH 31, SIX MONTHS
1992** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
-------------------------------------------------
1992 1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.44
Net Realized and Unrealized Gain (Loss) on
Investments 0.72 0.92 (1.28) 0.75 0.03
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 1.80 (0.48) 1.66 0.47
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.82) (0.78) (0.65) (0.53)
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) (0.83)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.17
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 9.47% 15.19% (4.00%) 14.97% 3.86%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 274,195 $300,185 $384,731 $390,258 $382,438
Ratio of Expenses to Average Net Assets ## 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% 6.93%*
Portfolio Turnover Rate 138% 124% 100% 143% 68%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Special Purpose
Fixed Income Portfolio excludes the effect of expense offsets. If expense
offsets were included, the Ratio of Expenses to Average Net Assets would be
0.48% and 0.49%*, respectively.
<TABLE>
<S> <C> <C> <C> <C>
-----------------------------------------------
MUNICIPAL PORTFOLIO
-----------------------------------------------
SIX
OCTOBER 1, MONTHS
1992** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
---------------
1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.26
Net Realized and Unrealized Gain (Loss) on Investments 1.04 (1.01) 0.71 0.31
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 0.57
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26 ) (0.54) (0.59) (0.28 )
In Excess of Net Investment Income -- (0.07) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26 ) (0.61) (0.59) (0.28 )
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.04
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 5.31%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 26,914 $38,549 $36,040 $ 45,621
Ratio of Expenses to Average Net Assets ## 0.50%*ddag. 0.50%ddag. 0.50%ddag. 0.51%*ddag
Ratio of Net Investment Income to Average Net Assets 4.65%* 4.98% 5.64% 4.72%*
Portfolio Turnover Rate 66% 34% 58% 49%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. Municipal Portfolio expense ratios are net of voluntarily waived expenses
of 0.20%*, 0.06%, 0.09% and 0.08%* for the years ended September 30, 1993,
1994, 1995 and the six months ended March 31, 1996, respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 126
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------
<S> <C> <C> <C> <C>
PA MUNICIPAL PORTFOLIO
-----------------------------------------------
SIX
OCTOBER 1, MONTHS
1992** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
---------------
1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.27
Net Realized and Unrealized Gain (Loss) on Investments 1.17 (1.00) 0.77 0.29
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.56 (0.44) 1.35 0.56
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.30 ) (0.64) (0.57) (0.27 )
In Excess of Realized Net Gain -- (0.05) -- --
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.30 ) (0.69) (0.57) (0.27 )
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.20
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.81% (4.08%) 13.74% 5.14%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 15,633 $23,515 $15,734 $ 15,622
Ratio of Expenses to Average Net Assets 0.50%*ddag. 0.50%ddag. 0.50%ddag. 0.50%*ddag.
Ratio of Net Investment Income to Average Net Assets 4.74% * 5.39% 5.56% 4.71% *
Portfolio Turnover Rate 94% 69% 57% 40%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
ddag. PA Municipal Portfolio expense ratios are net of voluntarily waived
expenses of 0.25%*, 0.09%, 0.19% and 0.17%* for the years ended September
30, 1993, 1994, 1995 and the six months ended March 31, 1996,
respectively.
<TABLE>
<CAPTION>
-----------------------------------------------
<S> <C> <C> <C> <C>
GLOBAL FIXED INCOME PORTFOLIO
-----------------------------------------------
SIX
APRIL 30, MONTHS
1993** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
---------------
1993 1994 1995 1996
- -------------------------------------------------------------------------------------------------------------------------
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 0.35
Net Realized and Unrealized Gain (Loss) on Investments 0.61 (0.61) 0.81 (0.06)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.74 (0.03) 1.52 0.29
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.58)
Realized Net Gain -- (0.03) -- (0.05)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.63)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 10.71
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 2.65%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $53,164 $43,066 $55,147 $60,693
Ratio of Expenses to Average Net Assets ## 0.58%*ddag. 0.57% 0.58% 0.57%*
Ratio of Net Investment Income to Average Net Assets 5.08%* 5.48% 6.34% 4.99%*
Portfolio Turnover Rate 30% 117% 118% 74%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
ddag. Global Fixed Income Portfolio expense ratio is net of voluntarily waived
expenses of 0.18%* for the period ended September 30, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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 0.57%*, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
124
<PAGE> 127
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL
FIXED INCOME
PORTFOLIO
---------------------------------------------
APRIL 29, SIX MONTHS
1994** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 31,
1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.05 $ 11.01
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.67 0.23
Net Realized and Unrealized Gain (Loss) on Investments (0.11) 0.92 (0.03)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.20
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.05) (0.63) (0.58)
Realized Net Gain -- -- (0.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.05) (0.63) (0.66)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.05 $ 11.01 $ 10.55
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 1.78%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $165,460
Ratio of Expenses to Average Net Assets ## 0.60%*ddag. 0.54% 0.52%*
Ratio of Net Investment Income to Average Net Assets 5.83%* 6.35% 5.47%*
Portfolio Turnover Rate 31% 140% 51%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
ddag. International Fixed Income Portfolio expense ratio is net of voluntarily
waived expenses of 0.11%* for the period ended September 30, 1994.
## For the year ended September 30, 1995 and the six months ended March 31,
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
be 0.54% and 0.52%*, respectively.
<TABLE>
<CAPTION>
------------------------------
<S> <C> <C>
INTERMEDIATE
DURATION
PORTFOLIO
------------------------------
OCTOBER 3, SIX MONTHS
1994** TO ENDED
SEPTEMBER 30, MARCH 31,
1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.68
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.28
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.06
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.34
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.41)
Realized Net Gain -- (0.38)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (0.79)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.23
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 3.26%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $10,670
Ratio of Expenses to Average Net Assets ## 0.52%*ddag. 0.52%*ddag.
Ratio of Net Investment Income to Average Net Assets 6.56%* 6.37%*
Portfolio Turnover Rate 168% 65%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
ddag. 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 six months ended March 31, 1996, respectively.
## For the period ended September 30, 1995 and the six months ended March 31,
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
not significantly differ.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 128
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period dag.
(Amounts for the six months ended March 31, 1996 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------
<S> <C> <C> <C> <C>
BALANCED PORTFOLIO
----------------------------------------------------
DECEMBER 31, YEAR ENDED SIX MONTHS
1992** TO SEPTEMBER 30, ENDED
SEPTEMBER 30, ------------------ MARCH 31,
1993 1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
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 0.26
Net Realized and Unrealized Gain (Loss) on Investments 0.66 (0.45) 1.78 0.83
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.91 0.02 2.32 1.09
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.43) (0.47) (0.28)
Realized Net Gain -- (0.15) (0.07) (0.43)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.58) (0.54) (0.71)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.44
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.31% 0.19% 21.37% 8.62%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $291,762 $309,596 $334,630 $343,734
Ratio of Expenses to Average Net Assets ## 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% 52%
Average Commission Rate ### N/A N/A N/A $ 0.0458
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
dag. Reflects a 2.5 for 1 share split effective August 13, 1993.
## For the year ended September 30, 1995 and the six months ended March 31,
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
0.56%*, 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.
<TABLE>
<CAPTION>
-----------------------------------------------
<S> <C> <C> <C>
MULTI-ASSET-CLASS PORTFOLIO
-----------------------------------------------
JULY 29, SIX MONTHS
1994** TO YEAR ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, MARCH 30,
1994 1995 1996
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.97 $ 11.34
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.44 0.20
Net Realized and Unrealized Gain (Loss) on Investments (0.10) 1.33 0.75
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 0.95
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.20)
Realized Net Gain -- -- (0.15)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.35)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 11.94
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 8.57%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $142,488
Ratio of Expenses to Average Net Assets ## 0.58%*ddag. 0.58%ddag. 0.59%*ddag.
Ratio of Net Investment Income to Average Net Assets 4.39%* 4.56% 3.73%*
Portfolio Turnover Rate 20% 112% 55%
Average Commission Rate ### N/A N/A $ 0.0229
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized. ** Commencement of Operations.
ddag. Multi-Asset-Class Portfolio expense ratios are net of voluntarily waived
expenses of 0.26%*, 0.14% and 0.07%* for the period ended September 30,
1994, the year ended September 30, 1995 and the six months ended March 31,
1996, respectively.
## For the year ended September 30, 1995 and the six months ended March 31,
1996, the Ratio of Expenses to Average Net Assets for the Multi-Asset-
Class Portfolio excludes the effect of expense offsets. If expense offsets
were included, the Ratio of Expenses to Average Net Assets would be 0.58%
and 0.58%*, 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.
- --------------------------------------------------------------------------------
126
<PAGE> 129
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At March 31, 1996, the Fund was comprised of
twenty-five active portfolios (each referred to as a "Portfolio"). The
financial statements for the Advisory Foreign Fixed Income Portfolio and the
Advisory Mortgage Portfolio are presented separately.
A. SIGNIFICANT ACCOUNTING POLICIES. The following significant accounting
policies are in conformity with generally accepted accounting principles for
investment companies. Such policies are consistently followed by the Fund in
the preparation of its financial statements. 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.
Paid in capital, undistributed (overdistributed) net investment income and
undistributed (overdistributed) realized net gain (loss) have been adjusted
for prior year permanent book-tax differences, if any, for the Portfolios.
Reclassifications between paid in capital and undistributed
(overdistributed) realized net gain (loss) arose principally from differing
book and tax treatments for gain (loss) on in-kind redemptions;
reclassifications between undistributed (overdistributed) net investment
income and undistributed (overdistributed) realized net gain (loss) arose
principally from differing book and tax treatments for foreign currency
transactions and, for the International Equity Portfolio, the
reclassification of gains on certain securities designated as "passive
foreign investment companies" for tax purposes.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of the
repurchase agreements. Provisions of the agreements ensure that the market
value of the collateral is at least equal to the repurchase value in the
event of default; however, in the event of default or bankruptcy by the
other party to the 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
- --------------------------------------------------------------------------------
127
<PAGE> 130
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
cash balances into a joint trading account which invests in one or more
repurchase agreements. This joint repurchase agreement is covered by the
same collateral requirements as discussed above.
4. FUTURES: Futures contracts (secured by securities deposited with brokers as
"initial margin") are valued based upon their quoted daily settlement
prices; changes in initial settlement value (represented by cash paid to or
received from brokers as "variation margin") are accounted for as
unrealized appreciation (depreciation). When futures contracts are closed,
the difference between the opening value at the date of purchase and the
value at closing is recorded as realized gains or losses in the Statement
of Operations.
Futures contracts may be used by each Portfolio, except the Cash Reserves
Portfolio, in order to hedge against unfavorable changes in value of
securities or to attempt to realize profits from the value of the
underlying securities. Futures contracts involve market risk in excess of
the amounts recognized in the statement of net assets. Risks arise from the
possible movements in security values underlying these instruments. The
change in value of futures contracts primarily corresponds with the value
of their underlying instruments, which may not correlate with the change in
value of the hedged investments. In addition, there is the risk that a
Portfolio may not be able to enter into a closing transaction because of an
illiquid secondary market.
5. SWAP AGREEMENTS: Each Portfolio, except the Cash Reserves Portfolio, can
enter into swap agreements to exchange the return generated by one
instrument for the return generated by another instrument. The following
summarizes swaps entered into by the Portfolios:
Interest Rate Swaps: Interest rate swaps involve the exchange of
commitments to pay and receive interest based on a notional principal
amount. Net periodic interest payments to be received or paid are accrued
daily and are recorded in the Statement of Operations as an adjustment to
interest income. Interest rate swaps are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Total Return Swaps: Total return swaps involve commitments to pay interest
in exchange for a market-linked return based on a notional amount. To the
extent the total return of the security or index underlying the transaction
exceeds or falls short of the offsetting interest rate obligation, the
Portfolio will receive a payment from or make a payment to the
counterparty, respectively. Total return swaps are marked-to-market daily
based upon quotations from market makers and the change, if any, is
recorded as unrealized gains or losses in the Statement of Operations.
Periodic payments received or made at the end of each measurement period,
but prior to termination, are recorded as realized gain (loss) in the
Statement of Operations.
Realized gains or losses on maturity or termination of interest rate and
total return swaps are presented in the Statement of Operations. Because
there is no organized market for these 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 any 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
- --------------------------------------------------------------------------------
128
<PAGE> 131
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
interest rate floor, it agrees to make periodic interest payments based on
a notional principal amount to the extent that a specified interest index
falls below a specified interest rate in exchange for the premium received.
When a Portfolio writes an interest rate floor the premium received by the
Portfolio is recorded as a liability and is amortized to interest income
over the term of the agreement. Interest rate floors are marked-to-market
daily based on quotations from market makers and the change, if any, is
recorded as unrealized appreciation or depreciation in the Statement of
Operations. Periodic payments of interest, if any, are reported as
reductions to interest income in the Statement of Operations. Realized
gains or losses from these agreements are disclosed in the Statement of
Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would be
realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount
recognized in the Statement of Net Assets. Such risks involve the
possibility that there is no liquid market for these agreements and that
there may be adverse changes in interest rates 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,
high-grade debt securities or cash is maintained in an amount at least
equal to these commitments.
9. FOREIGN EXCHANGE AND FORWARD FOREIGN CURRENCY CONTRACTS: The books and
records of the Fund are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars at the bid prices of such
currencies against U.S. dollars quoted by a bank. Net realized gains
(losses) on foreign currency transactions represent net foreign exchange
gains (losses) from forward foreign currency exchange contracts,
disposition of foreign currencies, currency gains or losses realized
between the trade and settlement dates on securities transactions, and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Portfolio's books and the U.S. dollar equivalent
amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio
(except the Domestic Fixed Income, Cash Reserves, Mortgage-Backed
Securities, and Limited Duration Portfolios) may enter into forward foreign
currency exchange 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.
- --------------------------------------------------------------------------------
129
<PAGE> 132
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and are
generally limited to the amount of unrealized gain on the contract (if any)
at the date of default. Risks may also arise from unanticipated movements
in the value of the foreign currency relative to the U.S. dollar.
10. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Municipal
and PA Municipal Portfolios which are declared and paid monthly, Small Cap
Value, International Equity, Mid Cap Growth, Mid Cap Value and Emerging
Markets Portfolios which are declared and paid annually, and Cash Reserves
Portfolio which are declared daily and paid monthly. Net realized capital
gains are distributed at least annually. The amount and character of income
and gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing book and tax treatments in
the timing of the recognition of gains or losses on securities, forwards
and futures, including "Post October Losses" (Note G), and permanent
differences as presented in Footnote A2.
11. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Interest income is recognized on the accrual basis.
Discounts and premiums on securities purchased are amortized over their
respective lives. Securities classified as Value and Mid Cap Growth in the
Equity, Select Equity, Balanced and Multi-Asset-Class Portfolios are those
acquired on the basis of measures of value and growth, respectively, deemed
appropriate by the Investment Adviser. Most expenses of the Fund can be
directly attributed to a particular Portfolio. Expenses which cannot be
directly attributed are apportioned among the Portfolios on the basis of
their relative net assets. "Other Expenses", as presented in the Statement
of Operations, are mainly comprised of registration fees.
B. INVESTMENT ADVISORY FEE. Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP (MAS) for
investment advisory services performed at a fee calculated by applying a
quarterly rate based on an annual percentage rate to each Portfolio's average
daily net assets for the quarter. For the six months ended March 31, 1996, the
investment advisory fees of each of the Portfolios were:
<TABLE>
<CAPTION>
Investment Advisory
Portfolio Fee
- ---------------------------- -------------------
<S> <C>
Value 0.500 %
Equity 0.500
Small Cap Value 0.750
Select Equity 0.500
International Equity 0.500
Mid Cap Growth 0.500
Mid Cap Value 0.750
Emerging Markets 0.750
Fixed Income 0.375
Domestic Fixed Income 0.375
High Yield 0.375
Cash Reserves 0.250
Fixed Income II 0.375
Mortgage-Backed Securities 0.375
Limited Duration 0.300
Special Purpose Fixed Income 0.375
Municipal 0.375
PA Municipal 0.375
Global Fixed Income 0.375
International Fixed Income 0.375
Intermediate Duration 0.375
Balanced 0.450
Multi-Asset-Class 0.450
</TABLE>
- --------------------------------------------------------------------------------
130
<PAGE> 133
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MAS has voluntarily agreed to reduce the fees payable to it and, if necessary,
reimburse the following Portfolios if annual operating expenses exceed the
following percentages of average daily net assets:
<TABLE>
<CAPTION>
Annual
Portfolio Operating Expenses
- ---------------------------- -------------------
<S> <C>
Select Equity 0.610 %
Mid Cap Value 0.880
Emerging Markets 1.180
Domestic Fixed Income 0.500
High Yield 0.525
Cash Reserves 0.320
Mortgage-Backed Securities 0.500
Limited Duration 0.420
Municipal 0.500
PA Municipal 0.500
Global Fixed Income 0.580
International Fixed Income 0.600
Intermediate Duration 0.520
Multi-Asset-Class 0.580
</TABLE>
On January 3, 1996, Morgan Stanley Group, Inc. acquired Miller Anderson &
Sherrerd, LLP (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 MAS 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. CUSTODY. Morgan Stanley Trust Company (NY) serves as custodian for the Fund's
assets held outside of the United States in accordance with a custodian
agreement. Morgan Stanley Trust Company is a wholly owned subsidiary of Morgan
Stanley Group, Inc.
E. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the six months ended March 31, 1996,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- ----------------------- ----------- -----------
<S> <C> <C>
Value $ 520,804 $ 345,333
Equity 530,173 698,470
Small Cap Value 294,715 273,054
Select Equity 14,221 9,011
International Equity 330,122 814,571
Mid Cap Growth 281,602 311,690
Mid Cap Value 43,083 20,868
Emerging Markets 27,151 29,596
Fixed Income 1,287,612 1,193,366
Domestic Fixed Income 72,423 42,663
High Yield 190,811 122,306
Cash Reserves -- --
Fixed Income II 166,600 136,181
Mortgage-Backed
Securities 25,183 29,831
Limited Duration 84,887 56,553
Special Purpose Fixed
Income 282,179 283,312
Municipal 28,281 19,975
PA Municipal 6,490 7,828
Global Fixed Income 38,422 29,696
International Fixed
Income 97,870 59,443
Intermediate Duration 9,087 15,772
Balanced 178,869 175,690
Multi-Asset-Class 110,882 66,188
</TABLE>
- --------------------------------------------------------------------------------
131
<PAGE> 134
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At March
31, 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 $1,369,726 $282,534 ($18,670) $263,864
Equity 1,295,292 302,126 (8,065) 294,061
Small Cap Value 429,386 54,437 (34,502) 19,935
Select Equity 32,255 6,041 (264) 5,777
International
Equity 737,329 58,471 (19,388) 39,083
Mid Cap Growth 348,331 103,423 (8,574) 94,849
Mid Cap Value 28,476 918 (719) 199
Emerging Markets 39,930 2,635 (3,196) (561)
Fixed Income 1,871,492 26,068 (24,585) 1,483
Domestic Fixed
Income 99,684 471 (1,081) (610)
High Yield 300,815 8,030 (13,689) (5,659)
Cash Reserves 52,767 -- -- --
Fixed Income II 263,432 2,004 (2,657) (653)
Mortgage-Backed
Securities 62,416 1,130 (734) 396
Limited Duration 112,283 322 (550) (228)
Special Purpose
Fixed Income 458,455 9,071 (5,704) 3,367
Municipal 45,599 2,008 (153) 1,855
PA Municipal 14,959 1,012 (68) 944
Global Fixed
Income 60,471 1,394 (687) 707
International
Fixed Income 151,233 2,523 (1,968) 555
Intermediate
Duration 11,872 114 (90) 24
Balanced 331,814 44,489 (3,564) 40,925
Multi-Asset-Class 138,321 12,891 (1,372) 11,519
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS. Under the terms of the forward foreign
currency contracts open at March 31,1996, each Portfolio is obligated to
deliver or receive currency in exchange for U.S. dollars as indicated in the
following table:
<TABLE>
<CAPTION>
(000)
-----------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- ----- --------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
Purchases
US$ 1,413 CAD 1,926 4/1/96 US$ 1,413 US$ --
595 HKD 4,599 4/1/96 595 --
437 HKD 3,384 4/1/96 437 --
473 TRL 33,644,612 4/1/96 472 (1)
-----------
US$ (1)
-----------
Sales
IDR 726,230 US$ 310 4/1/96 US$ 311 US$ (1)
JPY 1,360 13 4/1/96 13 --
JPY 1,740,406 17,000 7/8/96 16,567 433
JPY 616,950 6,000 8/20/96 5,911 89
-----------
US$ 521
-----------
NET US$ 520
===========
<CAPTION>
(000)
-----------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- ----- --------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
FIXED INCOME
Purchases
US$ 8,476 ECU 6,820 4/11/96 US$ 8,569 US$ 93
5,498 FRF 27,885 4/12/96 5,540 42
14,902 FRF 75,440 6/4/96 15,023 121
15,739 CAD 21,365 6/14/96 15,690 (49)
-----------
US$ 207
-----------
Sales
DKK 79,295 US$ 13,858 4/11/96 US$13,922 US$ (64)
DKK 38,330 6,886 4/11/96 6,730 156
ECU 6,820 8,792 4/11/96 8,569 223
FRF 27,885 5,668 4/12/96 5,543 125
DKK 89,985 15,924 4/19/96 15,804 120
DEM 63,925 43,709 4/19/96 43,357 352
DEM 14,595 9,904 4/19/96 9,899 5
DEM 4,200 2,911 4/19/96 2,849 62
DEM 3,755 2,556 4/24/96 2,548 8
DEM 6,290 4,279 4/24/96 4,268 11
NLG 26,730 16,240 4/25/96 16,209 31
NLG 44,200 27,242 4/25/96 26,804 438
NLG 25,315 15,622 4/25/96 15,352 270
DKK 46,645 8,148 4/25/96 8,163 (15)
DEM 45,685 30,853 5/6/96 31,018 (165)
DEM 28,315 19,202 5/6/96 19,225 (23)
FRF 75,440 14,998 6/4/96 15,023 (25)
CAD 52,925 38,616 6/14/96 38,868 (252)
-----------
US$ 1,257
-----------
NET US$ 1,464
===========
FIXED INCOME II
Purchases
US$ 926 ECU 745 4/11/96 US$ 936 US$ 10
2,112 FRF 10,560 4/12/96 2,099 (13)
1,792 FRF 9,075 6/4/96 1,807 15
683 FRF 3,455 6/4/96 688 5
2,062 CAD 2,800 6/14/96 2,056 (6)
-----------
US$ 11
-----------
Sales
DKK 6,350 US$ 1,141 4/11/96 US$ 1,115 US$ 26
DKK 9,515 1,663 4/11/96 1,671 (8)
ECU 745 961 4/11/96 937 24
FRF 10,560 2,146 4/12/96 2,099 47
DKK 11,795 2,087 4/19/96 2,071 16
DEM 4,575 3,128 4/19/96 3,103 25
DEM 2,145 1,456 4/19/96 1,455 1
DEM 5,070 3,450 4/24/96 3,440 10
DEM 680 462 4/24/96 461 1
DKK 6,115 1,072 4/25/96 1,074 (2)
NLG 3,490 2,120 4/25/96 2,116 4
NLG 3,340 2,061 4/25/96 2,025 36
NLG 5,830 3,593 4/25/96 3,535 58
DEM 5,465 3,691 5/6/96 3,711 (20)
DEM 3,775 2,560 5/6/96 2,563 (3)
FRF 9,075 1,804 6/4/96 1,807 (3)
FRF 3,455 687 6/4/96 688 (1)
CAD 6,740 4,918 6/14/96 4,950 (32)
-----------
US$ 179
-----------
NET US$ 190
===========
</TABLE>
- --------------------------------------------------------------------------------
132
<PAGE> 135
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
-----------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- ----- --------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
SPECIAL PURPOSE FIXED INCOME
Purchases
US$ 2,318 ECU 1,865 4/11/96 US$ 2,343 US$ 25
310 FRF 1,550 4/12/96 309 (1)
5,226 FRF 26,455 6/4/96 5,268 42
3,676 CAD 4,990 6/14/96 3,665 (11)
-----------
US$ 55
-----------
Sales
DKK 10,815 US$ 1,943 4/11/96 US$ 1,899 US$ 44
DKK 21,335 3,729 4/11/96 3,746 (17)
ECU 1,865 2,404 4/11/96 2,343 61
FRF 1,550 315 4/12/96 308 7
DKK 22,895 4,052 4/19/96 4,021 31
DEM 3,490 2,368 4/19/96 2,367 1
DEM 5,250 3,638 4/19/96 3,561 77
DEM 11,225 7,639 4/24/96 7,616 23
DEM 1,705 1,160 4/24/96 1,157 3
DKK 11,830 2,075 4/25/96 2,078 (3)
NLG 6,795 4,129 4/25/96 4,121 8
NLG 11,225 6,918 4/25/96 6,807 111
NLG 6,460 3,986 4/25/96 3,917 69
DEM 12,495 8,438 5/6/96 8,483 (45)
DEM 7,025 4,764 5/6/96 4,770 (6)
FRF 26,455 5,259 6/4/96 5,268 (9)
CAD 15,045 10,977 6/14/96 11,049 (72)
-----------
US$ 283
-----------
NET US$ 338
===========
GLOBAL FIXED INCOME
Purchases
US$ 674 AUD 871 4/1/96 US$ 680 US$ 6
328 JPY 34,000 4/11/96 319 (9)
205 ITL 320,000 5/6/96 203 (2)
312 DEM 450 5/8/96 306 (6)
2,097 JPY 220,000 5/8/96 2,069 (28)
603 JPY 63,000 5/8/96 592 (11)
3,769 JPY 392,000 5/21/96 3,693 (76)
830 FRF 4,200 6/28/96 838 8
-----------
US$ (118)
-----------
Sales
AUD 861 US$ 666 4/1/96 US$ 673 US$ (7)
FRF 1,033 205 4/2/96 205 --
DEM 1,805 1,223 4/24/96 1,225 (2)
FRF 495 98 4/25/96 98 --
DEM 2,165 1,466 4/25/96 1,469 (3)
NLG 2,065 1,244 4/30/96 1,253 (9)
NLG 1,275 773 4/30/96 774 (1)
NLG 405 245 4/30/96 245 --
DEM 2,405 1,640 5/8/96 1,633 7
DEM 885 601 5/8/96 601 --
JPY 270,000 2,589 5/8/96 2,539 50
JPY 21,630 208 5/8/96 203 5
DKK 4,515 806 5/28/96 794 12
CAD 1,700 299 5/28/96 299 --
JPY 1,465 1,068 6/4/96 1,076 (8)
JPY 14,000 134 6/21/96 132 2
CHF 1,450 1,225 6/26/96 1,231 (6)
-----------
US$ 40
-----------
NET US$ (78)
===========
<CAPTION>
(000)
-----------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- ----- --------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL FIXED INCOME
Purchases
US$ 6,193 JPY 641,000 4/11/96 US$ 6,005 US$ (188)
8,738 JPY 920,000 4/11/96 8,619 (119)
756 GBP 490 4/11/96 747 (9)
5,497 FRF 27,735 4/25/96 5,516 19
8,350 DEM 12,300 4/25/96 8,346 (4)
1,449 NLG 2,390 4/30/96 1,450 1
5,148 ITL 8,030,000 5/6/96 5,095 (53)
1,265 CAD 1,735 5/6/96 1,274 9
12,069 DEM 17,690 5/9/96 12,013 (56)
1,301 DEM 1,880 5/9/96 1,277 (24)
323 DKK 1,840 5/13/96 323 --
5,509 JPY 573,000 5/21/96 5,398 (111)
2,310 DKK 13,155 5/28/96 2,314 4
3,323 FRF 16,800 6/7/96 3,346 23
6,640 FRF 33,600 6/7/96 6,691 51
-----------
US$ (457)
-----------
Sales
GBP 1,060 US$ 1,613 4/9/96 US$ 1,617 US$ (4)
DEM 25,740 17,438 4/25/96 17,465 (27)
DEM 6,140 4,158 4/25/96 4,166 (8)
NLG 10,145 6,111 4/30/96 6,155 (44)
JPY 180,000 1,730 5/8/96 1,692 38
DKK 1,840 323 5/13/96 324 (1)
DKK 13,155 2,348 5/28/96 2,313 35
DKK 18,900 3,318 5/28/96 3,324 (6)
ESP 45,000 365 5/28/96 361 4
CHF 3,965 3,351 6/26/96 3,366 (15)
NLG 5,465 3,320 6/28/96 3,329 (9)
GBP 760 1,152 6/28/96 1,157 (5)
-----------
US$ (42)
-----------
NET US$ (499)
===========
INTERMEDIATE DURATION
Purchases
US$ 50 ECU 40 4/11/96 US$ 50 US$ --
47 DEM 70 4/24/96 47 --
117 FRF 595 6/4/96 118 1
99 CAD 135 6/14/96 99 --
-----------
NET US$ 1
-----------
Sales
DKK 295 US$ 53 4/11/96 US$ 52 US$ 1
DKK 350 61 4/11/96 61 --
DKK 370 65 4/11/96 65 --
ECU 40 51 4/11/96 50 1
DKK 600 106 4/19/96 105 1
DEM 300 205 4/19/96 203 2
DEM 555 378 4/24/96 377 1
DEM 35 24 4/24/96 24 --
DEM 55 37 4/24/96 37 --
NLG 370 224 4/25/96 224 --
NLG 175 108 4/25/96 106 2
NLG 360 222 4/25/96 218 4
FRF 595 118 6/4/96 118 --
CAD 305 222 6/14/96 224 (2)
-----------
US$ 10
-----------
NET US$ 11
===========
</TABLE>
- --------------------------------------------------------------------------------
133
<PAGE> 136
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
-----------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- ----- --------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
BALANCED
Purchases
US$ 715 ECU 575 4/11/96 US$ 723 US$ 8
737 FRF 3,685 4/12/96 733 (4)
1,635 FRF 8,275 6/4/96 1,647 12
1,293 CAD 1,755 6/14/96 1,289 (4)
-----------
US$ 12
-----------
Sales
DKK 3,765 US$ 676 4/11/96 US$ 661 US$ 15
DKK 7,410 1,295 4/11/96 1,301 (6)
ECU 575 741 4/11/96 722 19
FRF 3,685 749 4/12/96 733 16
DEM 545 373 4/19/96 370 3
DEM 1,230 834 4/19/96 834 --
DEM 1,400 970 4/19/96 949 21
DKK 7,440 1,317 4/19/96 1,307 10
DEM 3,615 2,460 4/24/96 2,453 7
DEM 525 357 4/24/96 356 1
DKK 3,830 672 4/25/96 673 (1)
NLG 2,195 1,334 4/25/96 1,331 3
NLG 2,105 1,299 4/25/96 1,277 22
NLG 3,710 2,287 4/25/96 2,250 37
DEM 3,930 2,654 5/6/96 2,668 (14)
DEM 2,500 1,695 5/6/96 1,697 (2)
FRF 8,275 1,645 6/4/96 1,648 (3)
CAD 4,755 3,469 6/14/96 3,492 (23)
-----------
US$ 105
-----------
NET US$ 117
===========
MULTI-ASSET-CLASS
Purchases
US$ 163 AUD 211 4/1/96 US$ 164 US$ 1
14 HKD 111 4/2/96 14 --
665 JPY 70,000 4/11/96 656 (9)
462 FRF 2,340 4/25/96 465 3
247 ITL 385,000 5/6/96 244 (3)
348 DEM 510 5/9/96 346 (2)
100 DEM 145 5/9/96 99 (1)
-----------
US$ (11)
-----------
Sales
GBP 55 US$ 84 4/9/96 US$ 84 US$ --
FRF 3,910 775 4/25/96 778 (3)
DEM 415 281 4/25/96 282 (1)
NLG 930 560 4/30/96 564 (4)
DKK 2,120 372 5/13/96 373 (1)
JPY 25,400 261 5/15/96 239 22
JPY 19,530 198 5/15/96 184 14
DKK 1,315 231 5/28/96 231 --
CAD 480 350 6/4/96 353 (3)
CHF 275 232 6/26/96 233 (1)
NLG 370 225 6/28/96 225 --
JPY 443,998 4,250 7/30/96 4,239 11
-----------
US$ 34
-----------
NET US$ 23
===========
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
DKK -- Danish Krone
ECU -- European Currency Unit
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
HKD -- Hong Kong Dollar
IDR -- Indonesian Rupiah
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
TRL -- Turkish Lira
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At March 31, 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 6,488 Jun-96 US$ 76
FTSE 100 Index 29 GBP 2,688 Jun-96 22
TOPIX Index 247 JPY 4,032,590 Jun-96 1,591
Toronto 35
Index 140 CAD 18,151 Jun-96 72
FIXED INCOME
Muni Bond 310 US$ 34,894 Jun-96 (1,031)
U.S. Treasury
Long Bond 129 US$ 14,379 Jun-96 (611)
DOMESTIC FIXED
INCOME
Muni Bond 4 US$ 450 Jun-96 (13)
U.S. Treasury
Long Bond 11 US$ 1,226 Jun-96 (45)
FIXED INCOME II
Muni Bond 35 US$ 3,940 Jun-96 (116)
U.S. Treasury
Long Bond 17 US$ 1,895 Jun-96 (81)
MORTGAGE-BACKED
SECURITIES
Muni Bond 12 US$ 1,351 Jun-96 (39)
U.S. Treasury
Long Bond 32 US$ 3,567 Jun-96 (111)
LIMITED DURATION
U.S. 2 yr.
Treasury Note 16 US$ 3,314 Jun-96 1
SPECIAL PURPOSE
FIXED INCOME
Muni Bond 95 US$ 10,693 Jun-96 (315)
U.S. Treasury
Long Bond 33 US$ 3,679 Jun-96 (156)
MUNICIPAL
U.S. Treasury
Long Bond 31 US$ 3,456 Jun-96 (102)
PA MUNICIPAL
U.S. Treasury
Long Bond 10 US$ 1,115 Jun-96 (46)
GLOBAL FIXED
INCOME
Japanese 10 yr.
Government
Bond 3 JPY 358,440 Jun-96 27
INTERNATIONAL
FIXED INCOME
French 10 yr.
Government
Bond 32 FRF 19,472 Jun-96 45
German 10 yr.
Government
Bond 31 DEM 7,455 Jun-96 (6)
Japanese 10 yr.
Government
Bond 13 JPY 1,553,240 Jun-96 119
INTERMEDIATE
DURATION
Muni Bond 3 US$ 338 Jun-96 (10)
BALANCED
Muni Bond 30 US$ 3,377 Jun-96 (100)
U.S. Treasury
Long Bond 11 US$ 1,226 Jun-96 (52)
</TABLE>
- --------------------------------------------------------------------------------
134
<PAGE> 137
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- ----------------- --------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
MULTI-ASSET-CLASS
CAC 40 Index 15 FRF 6,035 Jun-96 US$ 56
DAX Index 10 DEM 2,496 Jun-96 29
Muni Bond 4 US$ 450 Jun-96 (13)
TOPIX Index 11 JPY 181,070 Jun-96 71
U.S. Treasury
Long Bond 2 US$ 223 Jun-96 (9)
Sales:
FIXED INCOME
90 day
Eurodollar 273 US$ 63,993 Jun-96-
Mar-01 307
U.S. Treasury
5 yr. Note 2,176 US$ 232,730 Jun-96 5,407
U.S. Treasury
10 yr. Note 41 US$ 4,465 Jun-96 151
DOMESTIC FIXED
INCOME
U.S. Treasury
5 yr. Note 7 US$ 749 Jun-96 13
HIGH YIELD
U.S. Treasury
10 yr. Note 147 US$ 16,009 Jun-96 540
FIXED INCOME II
U.S. Treasury
5 yr. Note 361 US$ 38,610 Jun-96 1,042
U.S. Treasury
10 yr. Note 41 US$ 4,465 Jun-96 151
MORTGAGE-BACKED
SECURITIES
90 day
Eurodollar 8 US$ 1,881 Jun-96-
Mar-98 10
U.S. Treasury
5 yr. Note 35 US$ 3,743 Jun-96 25
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury
5 yr. Note 511 US$ 54,653 Jun-96 1,091
MUNICIPAL
U.S. Treasury
5 yr. Note 104 US$ 11,123 Jun-96 320
U.S. Treasury
10 yr. Note 38 US$ 4,139 Jun-96 140
PA MUNICIPAL
U.S. Treasury
5 yr. Note 21 US$ 2,246 Jun-96 65
INTERMEDIATE
DURATION
U.S. Treasury
5 yr. Note 11 US$ 1,176 Jun-96 33
U.S. Treasury
Long Bond 2 US$ 223 Jun-96 10
BALANCED
U.S. Treasury
5 yr. Note 134 US$ 14,332 Jun-96 350
MULTI-ASSET-CLASS
U.S. Treasury
5 yr. Note 39 US$ 4,171 Jun-96 102
U.S. Treasury
10 yr. Note 9 US$ 980 Jun-96 33
CAD -- Canadian Dollar
DEM -- German Mark
FRF -- French Franc
GBP -- British Pound
JPY -- Japanese Yen
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At March 31, 1996, the following Portfolios had open Swap
Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
HIGH YIELD
$6,711 Agreement with Bankers Trust $3
(1) Company terminating September ========
30, 1996, to pay quarterly 3
month LIBOR plus 75 basis
points times the market value
(expressed as a percentage of
par) of GPA plc's bank debt
(Corporate Credit and Deferred
Amortization Facilities)
multiplied by the notional
amount of $6,711 in exchange
for a pro-rata share of the
interest paid by GPA plc under
the terms of its bank debt
adjusted for certain fees and
payments. In addition,
appreciation/depreciation in
the market value of the loan is
either paid to or by the
Portfolio quarterly in an
amount equal to the rate of
appreciation/depreciation
during the quarter times the
notional amount.
MUNICIPAL
$10,300 Agreement with Bankers Trust $578
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly.
6,000 Agreement with Goldman Sachs 88
Capital Markets terminating
December 22, 2005, starting on
December 22, 2000, to pay PSA
Municipal Swap Index quarterly
and to receive 3 month LIBOR
times 87.25% quarterly.
---------
$666
=========
PA MUNICIPAL
$4,650 Agreement with Bankers Trust $261
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly.
3,000 Agreement with Goldman Sachs 44
Capital Markets terminating
December 22, 2005, starting on
December 22, 2000, to pay PSA
Municipal Swap Index quarterly
and to receive 3 month LIBOR
times 87.25% quarterly.
---------
$305
=========
</TABLE>
- --------------------------------------------------------------------------------
135
<PAGE> 138
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
MULTI-ASSET-CLASS
$126 Agreement with Bankers Trust $- @
(1) Company terminating September
30, 1996, to pay quarterly 3
month LIBOR plus 75 basis
points times the market value
(expressed as a percentage of
par) of GPA plc's bank debt
(Corporate Credit and Deferred
Amortization Facilities)
multiplied by the notional
amount of $126 in exchange for
a pro-rata share of the
interest paid by GPA plc under
the terms of its bank debt
adjusted for certain fees and
payments. In addition,
appreciation/depreciation in
the market value of the loan is
either paid to or by the
Portfolio quarterly in an
amount equal to the rate of
appreciation/depreciation
during the quarter times the
notional amount.
2,500 Agreement with Swiss Bank 92
(2) Corporation terminating on July
31, 1996 to pay quarterly 3
month LIBOR plus 45 basis
points times the notional
amount. In addition,
appreciation/depreciation in
the value of the MSCI EAFE
Index (with net dividends
reinvested) is either paid to
or by the Portfolio in an
amount equal to the rate of
appreciation/depreciation
during the quarter times the
notional amount.
---------
$92
=========
</TABLE>
(1) Notional amount is increased/(decreased) by each periodic payment received
or made.
(2) Notional amount is periodically increased/(decreased) by changes in the
value of the MSCI EAFE Index.
@ Value is less than $500.
6. INTEREST RATE FLOOR AGREEMENTS: At March 31, 1996, the following portfolios
had open Written Amortizing Interest Rate Floor Agreements:
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
FIXED INCOME PORTFOLIO
$41,137 Agreement with Barclays Bank plc $5,858
terminating on November 15, 2009,
to pay 9.60% minus 1 month LIBOR on
notional amount amortized monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $5,238)
19,391 Agreement with Bankers Trust 2,656
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$2,331)
34,468 Agreement with Bankers Trust 2,985
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortized
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$2,771)
58,676 Agreement with Bankers Trust 3,820
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortized
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$3,450)
104,295 Agreement with Bankers Trust 9,554
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$7,455)
86,007 Agreement with Bankers Trust 7,620
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$6,527)
67,032 Agreement with Morgan Guaranty 5,631
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $4,602)
---------
$38,124
=========
</TABLE>
- --------------------------------------------------------------------------------
136
<PAGE> 139
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO
$1,725 Agreement with Morgan Guaranty $92
Trust Company of New York ======
terminating on June 15, 2005 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $120)
FIXED INCOME PORTFOLIO II
$8,765 Agreement with Morgan Guaranty $469
Trust Company of New York ======
terminating on June 15, 2005 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $610)
MORTGAGE-BACKED SECURITIES
$4,254 Agreement with Barclays Bank plc $606
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortized monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $542)
1,338 Agreement with Bankers Trust 183
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortized
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$161)
2,085 Agreement with Bankers Trust 181
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$167)
3,551 Agreement with Bankers Trust 231
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$209)
4,674 Agreement with Bankers Trust 415
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$353)
<CAPTION>
Notional
Amount Value
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
$5,234 Agreement with Morgan Guaranty $439
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $359)
--------
$2,055
========
SPECIAL PURPOSE FIXED INCOME
$13,348 Agreement with Barclays Bank plc $1,901
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $1,700)
6,350 Agreement with Bankers Trust 870
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$763)
11,099 Agreement with Bankers Trust 961
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$893)
18,770 Agreement with Bankers Trust 1,222
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$1,104)
37,091 Agreement with Bankers Trust 3,397
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$2,651)
30,225 Agreement with Bankers Trust 2,678
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$2,282)
22,100 Agreement with Morgan Guaranty 1,857
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $1,517)
---------
$12,886
=========
</TABLE>
- --------------------------------------------------------------------------------
137
<PAGE> 140
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Notional
Amount Value
(000) Description (000)
<C> <S> <C>
--------------------------------------------------------
BALANCED
$4,996 Agreement with Barclays Bank plc $711
terminating November 15, 2009, to
pay 9.60% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
9.60%. (Amortized Premium $636)
2,411 Agreement with Bankers Trust 330
Company terminating on September
15, 2009 to pay 9.45% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 9.45%. (Amortized Premium
$290)
4,067 Agreement with Bankers Trust 352
Company terminating on November 1,
1999 to pay 9.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 9.25%. (Amortized Premium
$327)
7,041 Agreement with Bankers Trust 458
Company terminating on November 25,
1999 to pay 8.25% minus 1 month
COFI on notional amount amortizing
monthly as long as 1 month COFI is
below 8.25%. (Amortized Premium
$414)
12,278 Agreement with Bankers Trust 1,125
Company terminating on January 25,
2009 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$878)
9,458 Agreement with Bankers Trust 838
Company terminating on June 25,
2005 to pay 8.10% minus 1 month
LIBOR on notional amount amortizing
monthly as long as 1 month LIBOR is
below 8.10%. (Amortized Premium
$715)
6,850 Agreement with Morgan Guaranty 576
Trust Company of New York
terminating on May 15, 2008 to pay
8.00% minus 1 month LIBOR on
notional amount amortizing monthly
as long as 1 month LIBOR is below
8.00%. (Amortized Premium $470)
--------
$4,390
========
</TABLE>
F. CAPITAL LOSS CARRY FORWARD. At September 30, 1995, the following Portfolios
had available for Federal income tax purposes unused capital losses, all of
which will expire on the indicated dates:
<TABLE>
<CAPTION>
Expiration
Date
September 30,
(000)
--------------
2002 2003
---- -----
<S> <C> <C>
High Yield $ -- $ 141
Mortgage-Backed Securities -- 3,344
Limited Duration -- 4,395
Municipal 120 153
PA Municipal 2 260
</TABLE>
G. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1995, the following Portfolios may elect to defer losses
occurring between November 1, 1994 and September 30, 1995 in the following
amounts:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
International Equity $41,474
Emerging Markets 72
Fixed Income 2,629
Domestic Fixed Income 81
High Yield 2,847
Limited Duration 172
Special Purpose Fixed Income 230
Municipal 159
PA Municipal 463
Global Fixed Income 446
International Fixed Income 16
Intermediate Duration 13
</TABLE>
H. IN-KIND TRANSACTIONS. For the six months ended March 31, 1996, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Equity $11,405
International Equity 42,193
High Yield (72)
Multi-Asset-Class 27
</TABLE>
I. SECURITIES LENDING. The following Portfolios loaned securities to certain
brokers and received security lending fees. Security lending fees are included
as expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the
- --------------------------------------------------------------------------------
138
<PAGE> 141
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
six months ended March 31, 1996, the following Portfolios had security lending
fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- --------------------------------------- -----
<S> <C>
Value $ 43
Equity 51
Select Equity 1
International Equity 85
Mid Cap Growth 115
Fixed Income 9
@ Domestic Fixed Income --
@ Fixed Income II --
Special Purpose Fixed Income 1
Balanced 6
</TABLE>
@ Fee is less than $500.
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
At March 31, 1996, all outstanding collateral received was in cash, which was
subsequently invested in cash equivalents. The value of loaned securities and
related collateral outstanding at March 31, 1996 was as follows:
<TABLE>
<CAPTION>
Value
of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- ---------------------------- ------- -------
<S> <C> <C>
Value $44,409 $45,493
Equity 34,169 35,491
Select Equity 362 372
International Equity 74,422 81,547
Mid Cap Growth 29,252 29,532
Fixed Income 13,174 13,594
Domestic Fixed Income 406 412
Fixed Income II 480 494
Special Purpose Fixed Income 222 238
Balanced 3,239 3,387
</TABLE>
J. OTHER. At March 31, 1996, the net assets of certain Portfolios were
substantially comprised of foreign denominated securities and currency. Changes
in currency exchange rates will affect the value of and investment income from
such securities and currency.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, the possibly lower level of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
At March 31, 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 March 31, 1996, approximately 58.9% and 59.6% 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 13.3% 17.8%
MBIA 14.0 15.4
AMBAC 17.2 23.8
</TABLE>
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139
<PAGE> 142
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
At March 31, 1996, certain employees of Miller Anderson & Sherrerd, LLP were
record owners of approximately 12.7% 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
Portfolios of Ownership
- ---------------------------------- ------------
<S> <C>
Small Cap Value 12.4%
Select Equity 97.2
Mid Cap Growth 18.3
Emerging Markets 74.0
Domestic Fixed Income 40.4
High Yield 10.0
Cash Reserves 35.6
Fixed Income II 25.2
Mortgage-Backed Securities 93.3
Limited Duration 11.2
Municipal 25.7
PA Municipal 68.6
Global Fixed Income 45.1
International Fixed Income 67.9
Intermediate Duration 96.5
Balanced 32.6
Multi-Asset-Class 43.7
</TABLE>
Remuneration of Trustees and Officers. The Fund pays each Trustee, who is not
also an officer or affiliated person, an annual fee plus travel and other
expenses incurred in attending Board meetings. Trustees who are also officers
or affiliated persons receive no remuneration for their service as Trustees.
- --------------------------------------------------------------------------------
140
<PAGE> 143
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SHAREHOLDER MEETING: (UNAUDITED)
At a special shareholder meeting held on October 6, 1995, shareholders of the
MAS Funds (the "Fund") voted on the following proposals:
1. To approve a new investment advisory agreement between the Fund and MAS,
effective upon the acquisition of MAS by Morgan Stanley Asset Management
Holdings, Inc.
<TABLE>
<CAPTION>
VOTED VOTED TOTAL SHARES
PORTFOLIO FOR AGAINST ABSTENTIONS VOTED
- --------------------------------------------------------------- ---------- ---------- ----------- ------------
<S> <C> <C> <C> <C>
Value 56,877,764 12,763 821,800 57,712,327
Equity 39,252,920 151 166,045 39,419,116
Small Cap Value 13,663,486 508 50,822 13,714,816
Select Equity 2,130,629 -- -- 2,130,629
International Equity 66,448,738 1,951 235,315 66,686,004
Mid Cap Growth 13,681,316 -- -- 13,681,316
Mid Cap Value 202,430 -- -- 202,430
Emerging Markets 3,540,270 -- -- 3,540,270
Fixed Income 70,246,785 859 2,389,347 72,636,991
Domestic Fixed Income 1,621,986 -- -- 1,621,986
High Yield 17,328,909 13,256 109,776 17,451,941
Cash Reserves 29,871,771 -- 571,068 30,442,839
Fixed Income II 10,469,052 -- -- 10,469,052
Mortgage-Backed Securities 5,772,702 -- -- 5,772,702
Limited Duration 5,585,831 -- 337,530 5,923,361
Special Purpose Fixed Income 15,725,290 -- 130,146 15,855,436
Municipal 2,151,032 -- -- 2,151,032
PA Municipal 1,192,605 -- -- 1,192,605
Global Fixed Income 2,553,682 -- -- 2,553,682
International Fixed Income 11,248,467 -- 78,436 11,326,903
Intermediate Duration 1,987,960 -- -- 1,987,960
Balanced 12,691,784 1,289 759,716 13,452,789
Multi-Asset-Class 7,810,724 -- -- 7,810,724
</TABLE>
2. To elect the Fund's Trustees (voted on by the shareholders of the Fund as a
whole), as named below:
<TABLE>
<CAPTION>
VOTED WITHHOLD TOTAL SHARES
FOR AUTHORITY VOTED
----------- ---------- -------------
<S> <C> <C> <C>
Thomas L. Bennett 487,847,649 5,426,010 493,273,659
David P. Eastburn 487,847,649 5,426,010 493,273,659
Joseph P. Healey 487,847,649 5,426,010 493,273,659
Joseph J. Kearns 487,847,649 5,426,010 493,273,659
C. Oscar Morong, Jr. 487,847,649 5,426,010 493,273,659
</TABLE>
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141
<PAGE> 144
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:
THOMAS L. BENNETT, CFA*
Chairman of the Board of Trustees; Portfolio Manager, Miller Anderson &
Sherrerd, LLP; Director, MAS Fund Distribution, Inc.
JOSEPH P. HEALEY
Trustee; Headmaster, Haverford School; formerly: Dean, Hobart College; Associate
Dean, William & Mary College.
JOSEPH J. KEARNS
Trustee; Vice President and Treasurer, The J. Paul Getty Trust.
VINCENT R. MCLEAN
Trustee; Director, Alexander and Alexander Services, 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.
JAMES D. SCHMID
President; Head of Mutual Funds, Miller Anderson & Sherrerd, LLP; Director, MAS
Fund Distribution, Inc.; Chairman of the Board of Directors, The Minerva Fund,
Inc.
LORRAINE TRUTEN, CFA
Vice President; Head of Mutual Fund Administration, Miller Anderson & Sherrerd,
LLP; President, MAS Fund Distribution, Inc.
DOUGLAS W. KUGLER
Treasurer; Manager of Mutual Fund Administration, Miller Anderson & Sherrerd,
LLP.
JOHN H. GRADY, JR.
Secretary; Partner, Morgan, Lewis & Bockius.
*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.
- --------------------------------------------------------------------------------
142
<PAGE> 145
PRINTED IN U.S.A.
THIS REPORT HAS BEEN PREPARED FOR
SHAREHOLDERS AND MAY BE DISTRIBUTED TO
OTHERS ONLY IF PRECEDED OR ACCOMPANIED BY A
CURRENT PROSPECTUS.
MILLER ANDERSON & SHERRERD, LLP
INVESTMENT ADVISER (610) 940-5000
MAS FUNDS (800) 354-8185
ONE TOWER BRIDGE - WEST CONSHOHOCKEN, PA 19428-2899
