<PAGE> 1
MAS 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
International Equity Portfolio........... 12
Mid Cap Growth Portfolio................. 16
Mid Cap Value Portfolio.................. 19
Fixed Income Portfolio................... 22
Domestic Fixed Income Portfolio.......... 30
High Yield Portfolio..................... 35
Cash Reserves Portfolio.................. 40
Fixed Income Portfolio II................ 42
Mortgage-Backed Securities Portfolio..... 48
Limited Duration Portfolio............... 52
Special Purpose Fixed Income Portfolio... 57
Municipal Portfolio...................... 64
PA Municipal Portfolio................... 69
Global Fixed Income Portfolio............ 73
International Fixed Income Portfolio..... 76
Intermediate Duration Portfolio.......... 79
Balanced Portfolio....................... 85
Multi-Asset-Class Portfolio.............. 95
Statement of Operations..................... 106
Statement of Changes in Net Assets.......... 111
Financial Highlights........................ 118
Notes to Financial Statements............... 135
</TABLE>
THIS SEMI-ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. 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 ratio. This portfolio is not currently open to new investors.
<TABLE>
<S> <C> <C> <C> <C>
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AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS
----------------------------------------
INSTITUTIONAL(a) INVESTMENT(b) ADVISER(c) INDEX
------------------------------------------------------------
SIX MONTHS 13.9% 13.7% 13.7% 11.2%
ONE YEAR 21.2 21.0 21.0 19.8
FIVE YEARS 19.5 19.5 19.5 16.4
TEN YEARS 14.5 14.5 14.5 13.4
- --------------------------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
5/6/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
(c) Represents an investment in the Adviser Class which commenced operations
7/17/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12(b)-1
Fee applicable to the Adviser Class.
* All returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods of less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (84.2%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BANKS (8.8%)
Banc One Corp. 155,500 $ 6,181
Bank of New York Co. 601,600 22,109
Capital One Financial Corp. 608,912 22,682
Chase Manhattan Corp. 294,716 27,593
Citicorp 248,550 26,906
Crestar Financial Corp. 255,082 8,832
First Chicago NBD Corp. 341,665 18,493
First Union Corp. 258,482 20,969
Mellon Bank Corp. 255,700 18,602
Republic New York Corp. 237,800 20,956
Signet Banking Corp. 600,341 17,710
Standard Federal Bancorp. 269,100 15,608
- -----------------------------------------------------
GROUP TOTAL 226,641
- -----------------------------------------------------
BASIC RESOURCES (5.5%)
Cabot Oil & Gas Corp., Class
A 604,481 14,507
Cyprus Amax Minerals Co. 362,500 8,609
Dow Chemical Co. 205,100 16,408
E.I. DuPont de Nemours & Co. 274,100 29,055
Great Lakes Chemical Corp. 857,200 39,431
Rohm & Haas Co. 325,100 24,342
Westvaco Corp. 389,000 9,774
- -----------------------------------------------------
GROUP TOTAL 142,126
- -----------------------------------------------------
CONSUMER DURABLES (7.0%)
Ford Motor Co. 2,072,100 65,012
General Motors Corp. 757,400 41,941
Goodyear Tire & Rubber Co. 1,000,820 52,293
Premark International, Inc. 356,600 7,088
Tupperware Corp. 453,700 15,199
- -----------------------------------------------------
GROUP TOTAL 181,533
- -----------------------------------------------------
CONSUMER SERVICES (0.3%)
Standard Register Co. 242,900 7,955
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (2.1%)
Federal Home Loan Mortgage
Corp. 267,900 7,300
Federal National Mortgage
Association 424,800 15,346
Great Western Financial 457,773 18,482
Salomon, Inc. 282,900 14,110
- -----------------------------------------------------
GROUP TOTAL 55,238
- -----------------------------------------------------
ENERGY (9.0%)
Amoco Corp. 338,500 29,323
Atlantic Richfield Co. 208,400 28,134
British Petroleum plc ADR 214,800 29,481
El Paso Natural Gas Co. 359,965 20,383
MAPCO, Inc. 716,400 22,208
PanEnergy Corp. 284,400 12,265
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
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<TABLE>
<CAPTION>
VALUE
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Phillips Petroleum Co. 515,600 $ 21,075
Repsol SA ADR 648,400 26,422
Ultramar Diamond Shamrock
Corp. 513,500 16,304
YPF SA ADR 982,900 26,047
- -----------------------------------------------------
GROUP TOTAL 231,642
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (5.0%)
Archer Daniels Midland Co. 982,358 17,560
IBP, Inc. 804,900 19,821
Philip Morris Co., Inc. 440,450 50,266
RJR Nabisco Holdings Corp. 606,360 19,555
Universal Foods Corp. 630,900 20,977
- -----------------------------------------------------
GROUP TOTAL 128,179
- -----------------------------------------------------
HEALTH CARE (5.1%)
Beckman Instruments, Inc. 824,400 34,625
Bergen Brunswig Corp., Class
A 768,100 22,851
* Foundation Health Corp. 613,000 22,375
Mallinckrodt, Inc. 633,300 26,044
* Maxicare Health Plans,
Inc. 413,700 10,394
* Nellcor, Inc. 903,100 15,917
- -----------------------------------------------------
GROUP TOTAL 132,206
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (19.3%)
* AMR Corp. 236,727 19,530
Burlington Northern Santa
Fe, Inc. 275,340 20,375
Case Corp. 849,200 43,097
Caterpillar, Inc. 218,100 17,503
CSX Corp. 250,430 11,645
++ ++ Cummins Engine Co., Inc. 1,101,800 56,467
Deere & Co. 414,800 18,044
Eaton Corp. 302,100 21,411
* FMC Corp. 466,020 28,544
Harnischfeger Industries,
Inc. 862,800 40,120
Kennametal, Inc. 718,509 26,046
Olsten Corp. 644,200 10,388
Parker Hannifin Corp. 524,500 22,422
Raytheon Corp. 282,700 12,757
Tecumseh Products Co., Class
A 684,300 39,005
Textron, Inc. 243,710 25,590
Trinova Corp. 1,388,000 46,498
TRW, Inc. 362,600 18,764
* UAL Corp. 319,600 20,694
- -----------------------------------------------------
GROUP TOTAL 498,900
- -----------------------------------------------------
INSURANCE (7.1%)
Allstate Corp. 420,265 24,953
American General Corp. 382,600 15,591
Chubb Corp. 246,700 13,291
Everest Reinsurance
Holdings, Inc. 843,500 24,778
ITT Hartford Group, Inc. 234,200 16,892
Old Republic International
Corp. 735,700 18,852
PMI Group, Inc. 72,400 3,629
Providian Corp. 432,300 23,128
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
ReliaStar Financial Corp. 337,700 $ 19,967
Transatlantic Holdings, Inc. 268,100 22,520
- -----------------------------------------------------
GROUP TOTAL 183,601
- -----------------------------------------------------
RETAIL (4.0%)
Dillard Department Stores,
Inc., Class A 665,200 20,954
Springs Industries, Inc.,
Class A 426,500 19,086
Talbots, Inc. 378,400 11,967
* Toys R Us, Inc. 844,900 23,657
V.F. Corp. 405,240 27,100
- -----------------------------------------------------
GROUP TOTAL 102,764
- -----------------------------------------------------
TECHNOLOGY (8.0%)
* Compaq Computer Corp. 360,150 27,596
International Business
Machines Corp. 412,200 56,626
* Seagate Technology 1,063,300 47,716
* Stratus Computer, Inc. 962,900 29,850
Tektronix, Inc. 575,900 29,083
* Western Digital Corp. 280,300 15,872
- -----------------------------------------------------
GROUP TOTAL 206,743
- -----------------------------------------------------
UTILITIES (3.0%)
Central Maine Power Co. 525,700 5,585
Cinergy Corp. 243,800 8,320
DTE Energy Co. 507,200 13,631
Entergy Corp. 555,464 13,609
GPU, Inc. 462,960 14,873
MCI Communications Corp. 268,200 9,555
PECO Energy Co. 513,500 10,462
Sprint Corp. 14,400 655
- -----------------------------------------------------
GROUP TOTAL 76,690
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,795,128) 2,174,218
- -----------------------------------------------------
CASH EQUIVALENTS (19.5%)
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
----------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (3.1%) $ 79,385 79,385
- -----------------------------------------------------
COMMERCIAL PAPER (10.4%)
Asset Backed Corp.
5.34%, 4/1/97 30,000 30,000
Asset Securitization Corp.
5.26%, 4/14/97 30,000 29,943
Bell Atlantic Financial
Services 5.36%, 4/25/97 32,500 32,384
Canadian Imperial Bank Corp.
5.51%, 5/23/97 30,000 29,761
Commerzbanc
5.43%, 5/20/97 30,000 29,778
</TABLE>
The accompanying notes are an integral part of the financial statements.
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2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- -----------------------------------------------------
<S> <C> <C>
Greenwich Funding 5.34%,
4/1/97 $ 27,000 $ 27,000
International Business
Machines
Credit Corp. 5.35%,
4/21/97 30,000 29,911
Prudential Funding Corp.
5.36%, 5/5/97 30,000 29,848
Toronto Dominion 5.47%,
4/21/97 30,000 29,909
- -----------------------------------------------------
GROUP TOTAL 268,534
- -----------------------------------------------------
REPURCHASE AGREEMENT (6.0%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $154,125,
collateralized by various
U.S. Government
Obligations, due 4/10/97-
1/29/99, valued at
$155,640 154,099 154,099
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $502,018) 502,018
- -----------------------------------------------------
TOTAL INVESTMENTS (103.7%) (Cost
$2,297,146) 2,676,236
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.7%)
Dividends Receivable 3,284
Interest Receivable 27
Receivable for Investments Sold 9,612
Receivable for Fund Shares Sold 13,120
Other Assets 38
Payable for Investments Purchased (30,724)
Payable for Fund Shares Redeemed (6,325)
Payable for Investment Advisory Fees (3,157)
Payable for Administrative Fees (187)
Payable for Shareholder Servicing
Fee-Investment Class (2)
Payable for Distribution
Fee-Adviser Class (14)
Payable for Trustees' Deferred
Compensation Plan-Note F (37)
Payable for Daily Variation on
Futures Contracts (1,321)
Collateral on Securities Loaned, at Value (79,385)
Other Liabilities (103)
----------
(95,174)
- -----------------------------------------------------
NET ASSETS (100%) $2,581,062
- -----------------------------------------------------
<CAPTION>
VALUE
(000)++
- -----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 150,628,254 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $2,493,861
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.56
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 965,284 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 15,979
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.55
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 4,305,421 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $ 71,222
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.54
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $2,028,129
Undistributed Net Investment Income
(Loss) 13,129
Undistributed Realized Net Gain (Loss) 163,392
Unrealized Appreciation (Depreciation)
on:
Investment Securities 379,090
Futures (2,678)
- -----------------------------------------------------
NET ASSETS $2,581,062
- -----------------------------------------------------
++ 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 core-strategy common stock
fund, investing mostly in stocks of large companies. MAS employs strategic
economic and market analyses and disciplined valuation methodologies to identify
the best individual stocks. Strategic over- and under-weightings are managed to
maintain a portfolio that is well diversified among industry sectors.
<TABLE>
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS
------------------------------
INSTITUTIONAL(a) INVESTMENT(b) INDEX
-------------------------------------------
SIX MONTHS 11.2% 11.0% 11.2%
ONE YEAR 16.3 16.1 19.8
FIVE YEARS 14.4 14.3 16.4
TEN YEARS 13.1 13.0 13.4
- ----------------------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
4/10/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
* All returns 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 (94.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BANKS (3.6%)
Chase Manhattan Corp. 67,000 $ 6,273
Citicorp 59,400 6,430
First Union Corp. 182,903 14,838
Mellon Bank Corp. 94,400 6,867
Wells Fargo & Co. 40,700 11,564
- -----------------------------------------------------
GROUP TOTAL 45,972
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BASIC RESOURCES (4.9%)
Bowater, Inc. 159,400 $ 6,197
Champion International Corp. 390,300 17,759
E.I. DuPont de Nemours & Co. 252,000 26,712
Great Lakes Chemical Corp. 138,700 6,380
Willamette Industries, Inc. 77,200 4,825
- -----------------------------------------------------
GROUP TOTAL 61,873
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.2%)
Kimberly-Clark Corp. 37,554 3,732
Procter & Gamble Co. 96,000 11,040
- -----------------------------------------------------
GROUP TOTAL 14,772
- -----------------------------------------------------
CONSUMER DURABLES (4.6%)
Chrysler Corp. 440,700 13,221
Ford Motor Co. 465,200 14,596
General Motors Corp. 373,117 20,661
Goodyear Tire & Rubber Co. 181,400 9,478
- -----------------------------------------------------
GROUP TOTAL 57,956
- -----------------------------------------------------
CONSUMER SERVICES (6.9%)
Carnival Corp., Class A 113,700 4,207
* Clear Channel
Communications, Inc. 186,800 8,009
* GTECH Holdings Corp. 350,900 10,571
* HFS, Inc. 465,900 27,430
@ Homestead Village, Inc 1 --
International Game Technology 298,700 4,816
News Corp. Limited ADR 384,800 5,724
Service Corp. International 512,600 15,250
* Tele-Communications, Inc.,
Class A 492,900 5,915
Tele-Communications Liberty
Media Group, Class A 281,342 5,609
- -----------------------------------------------------
GROUP TOTAL 87,531
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (3.2%)
American Express Co. 58,300 3,491
Bear Stearns Co., Inc. 210,000 5,512
CMAC Investment Corp. 99,100 3,307
Franklin Resources, Inc. 52,450 2,675
Lehman Brothers Holdings, Inc. 142,200 4,142
Transamerica Corp. 230,834 20,660
- -----------------------------------------------------
GROUP TOTAL 39,787
- -----------------------------------------------------
ENERGY (5.8%)
British Petroleum plc ADR 139,217 19,107
Coastal Corp. 162,800 7,814
Columbia Gas System, Inc. 102,200 5,915
Mobil Corp. 51,175 6,685
Phillips Petroleum Co. 343,900 14,057
Repsol SA ADR 184,600 7,522
Royal Dutch Petroleum Co. ADR 30,490 5,336
Texaco, Inc. 58,900 6,450
- -----------------------------------------------------
GROUP TOTAL 72,886
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
FOOD, TOBACCO & OTHER (6.0%)
Campbell Soup Co. 267,800 $ 12,419
Philip Morris Cos., Inc. 372,390 42,499
RJR Nabisco Holdings Corp. 359,580 11,597
Unilever N.V. ADR 48,200 8,977
- -----------------------------------------------------
GROUP TOTAL 75,492
- -----------------------------------------------------
HEALTH CARE (7.4%)
Aetna, Inc. 287,700 24,706
Baxter International, Inc. 152,700 6,585
Becton, Dickinson & Co. 219,100 9,860
Bristol-Myers Squibb Co. 230,172 13,580
Columbia/HCA Healthcare Corp. 460,105 15,471
Health Management Associates,
Class A 268,300 6,372
Merck & Co., Inc. 100,200 8,442
SmithKline Beecham plc ADR 116,000 8,120
- -----------------------------------------------------
GROUP TOTAL 93,136
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (11.3%)
Allied Signal, Inc. 75,400 5,372
* AMR Corp. 79,900 6,592
CASE Corp. 246,500 12,510
Cummins Engine Co., Inc. 473,300 24,257
Delta Air Lines, Inc. 56,600 4,761
Eaton Corp. 96,900 6,868
* FMC Corp. 216,100 13,236
General Electric Co. 80,605 8,000
Hillenbrand Industries, Inc. 24,800 989
McDonnell Douglas Corp. 86,300 5,264
@ PML, Inc. 125 --
Tenneco, Inc. 102,300 3,990
Textron, Inc. 62,800 6,594
Trinova Corp. 197,800 6,626
Union Pacific Corp. 206,250 11,705
United Technologies Corp. 171,300 12,890
WMX Technologies, Inc. 420,300 12,872
- -----------------------------------------------------
GROUP TOTAL 142,526
- -----------------------------------------------------
INSURANCE (5.5%)
Ace, Ltd. 128,700 8,237
Allstate Corp. 226,800 13,466
CIGNA Corp. 69,200 10,112
Exel Ltd. 240,400 10,157
ITT Hartford Group, Inc. 220,850 15,929
Loews Corp. 135,300 12,024
- -----------------------------------------------------
GROUP TOTAL 69,925
- -----------------------------------------------------
MID CAP GROWTH (3.8%)
Advanced Fibre Communications,
Inc. 14,400 464
* Altera Corp. 13,100 563
* Ascend Communications, Inc. 5,600 228
* Ascent Entertainment Group,
Inc. 2,200 23
* BioChem Pharmaceutical, Inc. 7,800 335
* Biogen, Inc. 8,900 333
* BMC Software, Inc. 25,200 1,162
VALUE
SHARES (000)++
- -----------------------------------------------------
* Borders Group, Inc. 48,200 $ 910
* Boston Chicken, Inc. 22,100 674
Cardinal Health, Inc. 12,650 688
CIENA Corp. 11,200 319
* Centocor, Inc. 11,700 357
Charles Schwab Corp. 15,100 481
* Cinar Films, Inc., Class B 23,800 583
Cintas Corp. 20,100 1,060
CKE Restaurants, Inc. 34,350 760
Comcast Corp., Class A Special 44,500 751
* CompUSA, Inc. 30,200 476
CVS Corp. 23,500 1,084
Danaher Corp. 25,000 1,041
* Eagle Hardware & Garden,
Inc. 37,400 673
* Electronics for Imaging,
Inc. 12,400 495
Estee Lauder Cos., Class A 21,800 1,055
* Fiserv, Inc. 22,750 848
* Global Marine, Inc. 28,100 604
* Globalstar
Telecommunications Ltd. 25,200 1,348
Gucci Group N.V. (New York
Shares) 21,300 1,536
HBO & Co. 15,400 732
* Health Management
Associates, Class A 76,395 1,814
* Heftel Broadcasting Corp.,
Class A 10,000 465
* Hutchinson Technology, Inc. 19,300 550
* Imax Corp. 20,400 694
Jones Medical Industries, Inc. 23,100 554
* Kulicke & Soffa Industries,
Inc. 15,700 332
* Lincare Holdings, Inc. 31,800 1,312
Loral Space & Communications 49,700 702
* Macrovision Corp. 16,700 144
* McAfee Associates, Inc. 13,625 603
Metro Networks, Inc. 24,400 561
* Millicom International
Cellular SA 19,800 819
Money Store (The), Inc. 13,700 288
* Orthodontic Centers of
America, Inc. 35,300 477
* PairGain Technologies, Inc. 14,800 438
* PathoGenesis Corp. 12,600 315
Paychex, Inc. 12,075 497
* Pediatrix Medical Group,
Inc. 10,000 329
* Peoplesoft, Inc. 14,600 584
Premier Parks, Inc. 13,900 360
Qualcomm, Inc. 6,900 389
sec.* Republic Industries,
Inc. (acquired
12/20/96-02/07/97, cost
$964) 27,600 957
* Rexall Sundown, Inc. 26,000 666
* Robert Mondavi Corp., Class
A 18,300 663
Saks Holdings, Inc. 19,400 558
* Samsonite Corp. 10,600 458
Sapient Corp. 12,100 387
* Scopus Technology, Inc. 8,100 243
SeaChange International, Inc. 15,600 277
* Sealed Air Corp. 14,100 580
Security Capital Industrial
Trust 26,108 545
Sirrom Capital Corp. 18,700 678
Southern Pacific Funding Corp. 25,700 446
* TCI Satellite Entertainment,
Inc., Class A 69,430 538
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
* Tele-Communications Liberty
Media Group, Class A 75,258 $ 1,500
* Tellabs, Inc. 18,600 672
The North Face, Inc. 20,200 336
Ticketmaster Group, Inc. 23,600 301
Tidewater, Inc. 14,100 649
* Tommy Hilfiger Corp. 8,400 439
* U.S. Filter Corp. 16,100 497
U.S. Robotics Corp. 23,300 1,290
* USA Waste Services, Inc. 13,300 472
* Uniphase Corp. 22,600 836
Univision Communications,
Inc., Class A 21,100 689
Vail Resorts, Inc. 22,300 435
* Visio Corp. 11,900 464
* WorldCom, Inc. 41,150 905
- -----------------------------------------------------
GROUP TOTAL 48,291
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUST (0.1%)
Colonial Properties Trust 29,200 847
- -----------------------------------------------------
RETAIL (7.1%)
Boston Chicken, Inc. 488,600 14,902
CompUSA, Inc. 357,400 5,629
Cracker Barrel Old Country
Store, Inc. 123,900 3,237
CVS Corp. 160,900 7,421
Einstein/Noah Bagel Corp. 113,300 2,847
* Federated Department Stores,
Inc. 199,500 6,559
Gucci Group N.V. (New York
Shares) 121,000 8,727
Home Depot, Inc. 329,059 17,605
* PETsMART, Inc. 150,000 3,037
Saks Holdings, Inc. 246,900 7,098
Sears, Roebuck & Co. 243,000 12,211
- -----------------------------------------------------
GROUP TOTAL 89,273
- -----------------------------------------------------
TECHNOLOGY (10.0%)
BMC Software, Inc. 240,000 11,070
* Cisco Systems, Inc. 357,700 17,214
* Compaq Computer Corp. 65,800 5,042
Hewlett Packard Co. 300 16
International Business Machines
Corp. 13,100 1,800
Intel Corp. 185,150 25,759
* Microsoft Corp. 312,900 28,689
* Oracle Corp. 220,705 8,511
* Qualcomm, Inc. 140,300 7,909
* Sabre Group Holdings, Inc. 144,900 3,659
Seagate Technology 110,100 4,941
U.S. Robotics Corp. 206,400 11,429
- -----------------------------------------------------
GROUP TOTAL 126,039
- -----------------------------------------------------
UTILITIES (4.0%)
GTE Corp. 240,100 11,195
SBC Communications, Inc. 224,600 11,819
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Sprint Corp. 430,300 $ 19,579
WorldCom, Inc. 364,089 8,010
- -----------------------------------------------------
GROUP TOTAL 50,603
- -----------------------------------------------------
VALUE (9.3%)
Allstate Corp. 20,181 1,198
American General Corp. 25,000 1,019
Amoco Corp. 13,700 1,187
AMR Corp. 11,200 924
Archer Daniels Midland Co. 68,062 1,217
Atlantic Richfield Co. 9,900 1,337
Banc One Corp. 6,700 266
Bank of New York Co. 32,400 1,191
Beckman Instruments, Inc. 35,300 1,483
Bergen Brunswig Corp., Class A 48,200 1,434
British Petroleum plc ADR 18,683 2,564
Burlington Northern Santa Fe,
Inc. 17,800 1,317
Cabot Oil & Gas Corp., Class A 33,100 794
Capital One Financial Corp. 45,453 1,693
Case Corp. 26,600 1,350
Caterpillar, Inc. 13,000 1,043
Central Maine Power Co. 43,700 464
Chase Manhattan Corp. 20,900 1,957
Chubb Corp. 17,800 959
Citicorp 17,100 1,851
Compaq Computer Corp. 37,200 2,850
Crestar Financial Corp. 66,978 2,319
CSX Corp. 32,500 1,511
Cummins Engine Co., Inc. 52,600 2,696
Cyprus Amax Minerals Co. 45,400 1,078
Deere & Co. 24,200 1,053
Dillard Department Stores,
Inc., Class A 25,800 813
Dow Chemical Co. 8,900 712
Eaton Corp. 25,700 1,821
E.I. DuPont de Nemours & Co. 22,000 2,332
Entergy Corp. 36,867 903
Federal Home Loan Mortgage
Corp. 39,200 1,068
Federal National Mortgage
Association 20,500 741
First Chicago NBD Corp. 21,100 1,142
First Union Corp. 8,300 673
* FMC Corp. 20,000 1,225
Ford Motor Co. 92,300 2,896
* Foundation Health Corp. 40,700 1,486
General Motors Corp. 39,632 2,195
Goodyear Tire & Rubber Co. 45,800 2,393
GPU, Inc. 40,300 1,295
Great Lakes Chemical Corp. 20,100 925
Great Western Financial 35,576 1,436
Harnischfeger Industries, Inc. 40,900 1,902
IBP, Inc. 48,600 1,197
International Business Machines
Corp. 19,800 2,720
ITT Hartford Group, Inc. 16,200 1,168
Kennametal, Inc. 18,490 670
Mallinckrodt, Inc. 33,600 1,382
MAPCO, Inc. 41,600 1,290
* Maxicare Health Plans, Inc. 40,700 1,023
MCI Communications Corp. 16,800 598
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Mellon Bank Corp. 13,900 $ 1,011
Old Republic International
Corp. 34,700 889
Olsten Corp. 34,000 548
PanEnergy Corp. 19,400 837
Parker Hannifin Corp. 23,700 1,013
PECO Energy Co. 49,500 1,009
Philip Morris Co., Inc. 20,900 2,385
Phillips Petroleum Co. 24,800 1,014
Premark International, Inc. 32,600 648
Providian Corp. 43,700 2,338
Raytheon Corp. 24,700 1,115
ReliaStar Financial Corp. 15,000 887
Repsol SA ADR 30,800 1,255
Republic New York Corp. 13,000 1,146
RJR Nabisco Holdings Corp. 35,200 1,135
Rohm & Haas Co. 23,700 1,775
Salomon, Inc. 12,200 608
* Seagate Technology, Inc. 44,900 2,015
Signet Banking Corp. 49,327 1,455
Springs Industries, Inc.,
Class A 30,500 1,365
Sprint Corp. 11,300 514
Standard Register Co. 22,400 734
Stratus Computer, Inc. 41,200 1,277
Tecumseh Products Co., Class A 50,900 2,901
Tektronix, Inc. 31,300 1,581
Textron, Inc. 14,600 1,533
* Toys R Us, Inc. 42,300 1,184
Transatlantic Holdings, Inc. 11,300 949
Trinova Corp. 63,600 2,131
TRW, Inc. 25,200 1,304
Tupperware Corp. 16,300 546
* UAL Corp. 16,300 1,055
Ultramar Corp. 35,500 1,127
V.F. Corp. 26,700 1,785
* Western Digital Corp. 13,100 742
YPF SA ADR 46,800 1,240
- -----------------------------------------------------
GROUP TOTAL 117,812
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,021,947) 1,194,721
- -----------------------------------------------------
RIGHTS (0.0%)
- -----------------------------------------------------
* Globalstar
Telecommunications Ltd.,
expiring 04/30/97 (Cost $0) 2,851 84
- -----------------------------------------------------
WARRANTS (0.0%)
- -----------------------------------------------------
*@ Homestead Village, Inc.,
expiring 10/29/97 (Cost $0) 1 --
- -----------------------------------------------------
CASH EQUIVALENTS (11.3%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
Short-term Investments Held as
Collateral for
Loaned Securities (3.9%) $ 49,345 49,345
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- -----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (7.4%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$92,676, collateralized by
various U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$93,587 $ 92,661 $ 92,661
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $142,006) 142,006
- -----------------------------------------------------
TOTAL INVESTMENTS (106.0%) (Cost
$1,163,953) 1,336,811
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.0%)
Dividends Receivable 2,325
Interest Receivable 16
Receivable for Investments Sold 267
Receivable for Fund Shares Sold 3,966
Other Assets 76
Payable for Investments Purchased (20,782)
Payable for Fund Shares Redeemed (10,084)
Payable for Investment Advisory Fees (1,712)
Payable for Administrative Fees (93)
Payable for Trustees' Deferred
Compensation Plan-Note F (30)
Collateral on Securities Loaned, at Value (49,345)
Other Liabilities (185)
----------
(75,581)
- -----------------------------------------------------
NET ASSETS (100%) $1,261,230
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 52,914,774 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,258,774
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.79
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 103,338 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 2,456
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.77
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 895,301
Undistributed Net Investment Income
(Loss) 4,207
Undistributed Realized Net Gain (Loss) 188,860
Unrealized Appreciation (Depreciation) on
Investment Securities 172,862
- -----------------------------------------------------
NET ASSETS $1,261,230
- -----------------------------------------------------
sec. Restricted Security--Total market value of restricted
securities owned at March 31, 1997 was $957 or 0.1%
of net assets.
++ See Note A1 to Financial Statements.
* Non-income producing security.
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (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>
<S> <C> <C>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS INDEX
--------------------------
SIX MONTHS 8.5% (0.2)%
ONE YEAR 25.8 5.1
FIVE YEARS 18.1 12.8
TEN YEARS 12.8 9.5
- ---------------------------------------------------------
</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.
* All returns 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 (92.8%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BANKS (6.0%)
Astoria Financial Corp. 4,900 $ 176
Banco Latinoamericano de
Exportaciones SA ADR 44,000 2,079
Bank United Corp., Class A 77,400 2,283
Banknorth Group, Inc. 20,400 826
* Coast Savings Financial, Inc. 31,300 1,240
Cullen/Frost Bankers, Inc. 62,100 2,212
Deposit Guaranty Corp. 55,200 1,656
Eagle Financial Corp. 112,000 3,164
First Essex Bancorp, Inc. 35,400 522
First Hawaiian, Inc. 100,900 3,141
Magna Group, Inc. 44,700 1,274
ML Bancorp, Inc. 58,500 900
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
PFF Bancorp, Inc. 117,200 $ 1,685
* Redfed Bancorp, Inc. 110,000 1,554
Reliance Bancorp, Inc. 151,100 3,570
* Southwest Bancorporation of
Texas, Inc. 18,400 354
St. Paul Bancorp., Inc. 151,625 4,151
Trustco Bank Corp. 42,895 890
Union Planters Corp. 83,637 3,398
Whitney Holding Corp. 71,400 2,780
- -----------------------------------------------------
GROUP TOTAL 37,855
- -----------------------------------------------------
BASIC RESOURCES (3.9%)
* ACX Technologies, Inc. 154,300 2,970
Caraustar Industries, Inc. 24,300 604
Chesapeake Corp. 62,100 1,708
* Gibraltar Steel Corp. 126,100 2,522
Harsco Corp. 57,400 2,088
Longview Fibre Co. 134,500 2,018
Oregon Steel Mills, Inc. 134,600 2,339
P.H. Glatfelter Co. 72,200 1,191
Pope & Talbot, Inc. 33,400 459
* RMI Titanium Co. 63,500 1,310
* Special Metals Corp. 54,000 945
Steel Dynamics, Inc. 100,000 1,750
* Tetra Technologies, Inc. 119,900 2,638
Titanium Metals Corp. 80,000 2,030
- -----------------------------------------------------
GROUP TOTAL 24,572
- -----------------------------------------------------
CONSUMER DURABLES (5.1%)
Arvin Industries, Inc. 226,700 5,299
* Brewer (C) Homes, Inc., Class
A 121,300 303
Centex Corp. 57,100 2,013
Excel Industries, Inc. 207,700 4,232
Interface, Inc. 14,000 351
Lone Star Industries 28,300 1,097
Pulte Corp. 40,500 1,185
* Radiant Systems, Inc. 38,700 348
Schult Homes Corp. 76,160 1,285
Simpson Industries, Inc. 206,100 2,035
Smith (A.O.) Corp., Class B 195,300 6,811
Southdown, Inc. 63,500 2,175
Stant Corp. 228,300 3,339
Watts Industries, Inc., Class A 65,000 1,511
- -----------------------------------------------------
GROUP TOTAL 31,984
- -----------------------------------------------------
CONSUMER SERVICES (0.9%)
Central Newspapers, Inc., Class
A 16,100 807
* John Q. Hammons Hotels, Inc. 129,600 1,166
* National Education Corp. 86,900 1,097
TMP Worldwide, Inc. 125,000 2,625
- -----------------------------------------------------
GROUP TOTAL 5,695
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (8.0%)
Alex Brown, Inc. 130,300 5,538
Donaldson, Lufkin & Jenrette,
Inc. 29,800 1,091
Eaton Vance Corp. 38,100 1,686
EVEREN Capital Corp. 195,000 3,949
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
First Merchants Acceptance Corp. 50,000 $ 387
Franklin Resources, Inc. 31,500 1,607
Hambrecht & Quist Group 191,000 3,199
Interra Financial, Inc. 20,000 695
Legg Mason, Inc. 67,300 2,843
* Nationwide Financial Services,
Inc., Class A 44,500 1,146
North American Mortgage Co. 154,300 3,144
Raymond James Financial, Inc. 61,500 1,945
* Renters Choice, Inc. 60,000 862
Southern Pacific Funding Corp. 72,800 1,265
United Asset Management Corp. 833,600 21,361
- -----------------------------------------------------
GROUP TOTAL 50,718
- -----------------------------------------------------
ENERGY (7.6%)
Aquila Gas Pipeline Corp. 111,000 1,582
* Dawson Production Services,
Inc. 227,600 2,788
Eastern Enterprises 93,400 2,884
Energen Corp. 129,100 3,857
* Global Industries Ltd. 158,900 3,396
* HS Resources, Inc. 277,301 3,189
* Input/Output, Inc. 35,000 507
KN Energy, Inc. 140,000 5,530
* Marine Drilling Co., Inc. 196,400 3,486
* Maverick Tube Corp. 71,600 1,271
* Nabors Industries, Inc. 46,900 915
National Fuel Gas Co. 66,000 2,822
* Noble Drilling Corp. 107,900 1,861
Parker & Parsley Petroleum Co. 153,600 4,531
* Pride Petroleum Services, Inc. 76,200 1,581
Production Operators Corp. 35,000 1,982
* Reading & Bates Corp. 40,000 905
Southwestern Energy Co. 83,500 1,117
Stewart & Stevenson Services,
Inc. 60,000 1,200
* Tejas Gas Corp. 36,500 1,583
Vintage Petroleum, Inc. 17,900 537
Wicor, Inc. 7,100 241
- -----------------------------------------------------
GROUP TOTAL 47,765
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (3.2%)
Consolidated Cigar Holdings,
Inc. 100,000 2,362
Dean Foods Co. 40,400 1,399
Dimon, Inc. 493,700 11,355
General Cigar Holdings, Inc. 19,800 441
Schweitzer-Mauduit International,
Inc. 80,200 2,426
* Stokely USA, Inc. 561,300 737
Universal Foods Corp. 53,900 1,556
- -----------------------------------------------------
GROUP TOTAL 20,276
- -----------------------------------------------------
HEALTH CARE (9.9%)
Alpharma, Inc. 78,200 1,075
Angelica Corp. 338,600 6,222
* ARV Assisted Living, Inc. 350,700 3,419
Beckman Instruments, Inc. 140,900 5,918
* Beverly Enterprises 143,700 2,048
Bindley Western Industries, Inc. 63,300 1,187
* Coherent, Inc. 187,500 8,965
VALUE
SHARES (000)++
- -----------------------------------------------------
* Datascope Corp. 210,700 $ 3,845
* Genesis Health Ventures, Inc. 79,600 2,487
* HealthCare Compare Corp. 62,000 2,519
* Inphynet Medical Management, Inc. 30,000 840
* Marquette Medical Systems,
Inc., Class A 92,100 1,854
* Maxicare Health Plans, Inc. 147,200 3,698
* Merit Medical Systems, Inc. 10,000 79
* Mid Atlantic Medical Services 267,700 3,614
* Multicare Cos., Inc. 34,950 660
* Patterson Dental Co. 91,400 3,108
* Personnel Group of America,
Inc. 91,200 1,790
* Physicians' Specialty Corp. 153,100 1,129
* ProMedCo Management Co. 110,500 994
* RightCHOICE Managed Care,
Inc., Class A 121,000 1,588
* Rotech Medical Corp. 45,000 821
* Sterile Recoveries, Inc. 67,000 1,173
* Universal Health Services,
Inc., Class B 115,300 3,790
- -----------------------------------------------------
GROUP TOTAL 62,823
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (19.5%)
AAR Corp. 98,200 2,946
* AccuStaff, Inc. 74,900 1,255
Airborne Freight Corp. 246,300 7,389
Air Express International Corp. 45,000 1,429
Arnold Industries, Inc. 120,000 1,695
Aviall, Inc. 287,000 3,265
Aviation Sales Co. 105,000 2,638
* BE Aerospace, Inc. 160,000 3,920
* Catalina Lighting, Inc. 44,500 161
* CDI Corp. 307,300 11,409
Columbus McKinnon Corp. 61,200 1,086
Crane Co. 547,950 17,192
Data Processing Resources Corp. 71,100 1,333
Duriron Co., Inc. 208,900 4,596
* Giant Cement Holdings, Inc. 609,300 9,444
Greenbrier Companies, Inc. 140,800 1,267
Greenwich Air Services, Inc.,
Class A 29,700 846
Halter Marine Group, Inc. 50,000 794
Hvide Marine, Inc., Class A 132,600 3,017
* Insurance Auto Auctions, Inc. 201,500 1,335
JLG Industries, Inc. 21,000 412
Kaydon Corp. 87,000 3,643
* Knightsbridge Tankers Ltd. 112,200 2,721
Lason Holdings, Inc. 10,000 200
* Midwest Express Holdings 30,000 1,136
Miller (Herman), Inc. 26,200 1,788
* Offshore Logistics, Inc. 240,500 3,848
* OMI Corp. 629,500 6,138
Precision Castparts Corp. 125,200 6,385
* PST Vans, Inc. 80,800 253
* Seacor Holdings, Inc. 66,400 3,561
ServiceMaster, L.P. 50,000 1,363
* SPS Technologies, Inc. 3,000 202
Teekay Shipping Corp. 71,000 2,041
</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 (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Tranz Rail Holdings Ltd. ADR 161,500 $ 2,927
Trico Marine Services, Inc. 21,200 1,007
Triumph Group, Inc. 225,600 5,668
Werner Enterprises, Inc. 150,400 2,820
- -----------------------------------------------------
GROUP TOTAL 123,130
- -----------------------------------------------------
INSURANCE (3.0%)
Allied Life Financial Corp. 183,400 3,141
American Bankers Insurance
Group, Inc. 21,800 1,063
AmerUs Life Holdings, Inc.,
Class A 100,000 2,225
Everest Reinsurance Holdings,
Inc. 120,000 3,525
FBL Financial Group, Inc., Class
A 52,100 1,355
Fremont General Corp. 156,300 4,396
Presidential Life Corp. 100,700 1,485
Pxre Corp. 83,619 2,143
- -----------------------------------------------------
GROUP TOTAL 19,333
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (7.6%)
Associated Estates Realty Corp. 94,300 2,110
Avalon Properties, Inc. 51,000 1,403
Cali Realty Corp. 60,000 1,920
CarrAmerica Realty Corp. 55,000 1,691
Chateau Properties, Inc. 153,908 3,982
Duke Realty Investments, Inc. 49,500 2,011
Excel Realty Trust, Inc. 100,000 2,525
Healthcare Realty Trust, Inc. 102,200 2,798
Health and Retirement Property
Trust 95,000 1,710
Health Care REIT, Inc. 95,500 2,268
Home Properties of N.Y., Inc. 349,900 8,266
* Kilroy Realty Corp. 107,700 2,868
Post Properties, Inc. 55,900 2,131
Smith (Charles E.) Residential
Realty, Inc. 231,500 6,279
Spieker Properties, Inc. 56,500 2,204
United Dominion Realty Trust,
Inc. 206,900 3,026
Walden Residential Properties,
Inc. 47,200 1,139
- -----------------------------------------------------
GROUP TOTAL 48,331
- -----------------------------------------------------
RETAIL (5.0%)
Borders Group, Inc. 99,400 1,876
Brylane, Inc. 183,200 4,351
Cato Corp., Class A 250,800 1,442
Culp, Inc. 145,400 2,508
Designer Holdings Ltd. 86,400 680
Family Dollar Stores, Inc. 191,400 4,474
* Galey & Lord, Inc. 84,100 1,335
Hughes Supply, Inc. 69,200 2,258
* Max & Erma's Restaurants, Inc. 30,900 174
Pier 1 Imports, Inc. 259,300 4,570
Rare Hospitality International,
Inc. 91,600 1,191
Russ Berrie & Co., Inc. 16,500 386
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
* The Wet Seal, Inc., Class A 16,000 $ 384
* Zale Corp. 315,000 5,788
- -----------------------------------------------------
GROUP TOTAL 31,417
- -----------------------------------------------------
TECHNOLOGY (12.2%)
* Align-Rite International, Inc. 206,200 2,500
* Applied Magnetics Corp. 81,300 2,297
ATL Products, Inc., Class A 38,200 329
Belden, Inc. 120,300 4,286
* Checkfree Corp. 75,600 917
* Ciprico, Inc. 64,000 728
* Cirrus Logic, Inc. 213,600 2,590
* Cohr, Inc. 44,000 1,012
Compuserve Corp. 102,300 1,009
* Computer Products, Inc. 120,600 1,764
* Compuware Corp. 27,700 1,738
* Comverse Technology, Inc. 40,000 1,580
* Credence Systems Corp. 100,000 1,950
* Dionex Corp. 123,500 5,619
* ESS Technology, Inc. 69,500 1,685
FactSet Research Systems, Inc. 25,300 490
* Fiserv, Inc. 46,400 1,728
* HMT Technology Corp. 237,900 2,914
* Ingram Micro, Inc., Class A 229,400 4,789
* Integrated Device Technology,
Inc. 180,000 1,800
* INTERSOLV 95,600 801
* Intevac, Inc. 312,900 4,381
Investors Financial Services
Corp. 15,000 459
* IPC Information Systems, Inc. 93,300 898
* LTX Corp. 93,500 462
* Micro Linear Corp. 84,600 1,047
* Norstan, Inc. 12,000 186
* Oak Technology, Inc. 42,000 425
ONTRACK Data International, Inc. 44,800 672
* P-COM, Inc. 100,000 2,600
Penn Engineering & Manufacturing
Corp. 265,000 5,134
* Quantum Corp. 20,900 807
* Sanmina Corp. 14,000 627
* SCI Systems, Inc. 100,300 5,078
* Spectran Corp. 81,400 1,058
* SPS Transaction Services 40,000 640
*@ Sterling Software, Inc.
(Escrow) 6,951 --
Summit Design, Inc. 85,000 680
Technology Modeling Association,
Inc. 155,500 1,613
Tektronix, Inc. 36,700 1,853
* Transcrypt International, Inc. 177,500 1,287
* Trident Microsystems, Inc. 89,200 1,204
* Unit Instruments, Inc. 166,500 1,374
USCS International, Inc. 72,500 1,341
Wyle Electronics 5,000 168
* Xircom, Inc. 40,000 605
- -----------------------------------------------------
GROUP TOTAL 77,125
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
UTILITIES (0.9%)
Commonwealth Energy Systems 216,200 $ 4,513
Rochester Gas & Electric Corp. 43,700 830
* U.S. Long Distance Corp. 54,600 635
- -----------------------------------------------------
GROUP TOTAL 5,978
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $548,030) 587,002
- -----------------------------------------------------
CASH EQUIVALENTS (6.4%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
REPURCHASE AGREEMENT (6.4%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97, to
be repurchased at $40,314,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at
$40,710 (Cost $40,307) $ 40,307 40,307
- -----------------------------------------------------
TOTAL INVESTMENTS (99.2%) (Cost $588,337) 627,309
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.8%)
Dividends Receivable 612
Interest Receivable 7
Receivable for Investments Sold 15,862
Receivable for Fund Shares Sold 188
Other Assets 11
Payable for Investments Purchased (8,155)
<CAPTION>
VALUE
(000)++
- -----------------------------------------------------
<S> <C> <C>
Payable for Fund Shares Redeemed $(2,269)
Payable for Investment Advisory Fees (1,211)
Payable for Administrative Fees (44)
Payable for Trustees' Deferred Compensation
Plan-Note F (11)
Other Liabilities (78)
--------
4,912
- -----------------------------------------------------
NET ASSETS (100%) $632,221
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 34,947,207 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $632,221
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.09
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $559,943
Undistributed Net Investment Income (Loss) 467
Undistributed Realized Net Gain (Loss) 32,840
Unrealized Appreciation (Depreciation) on
Investment Securities 38,971
- -----------------------------------------------------
NET ASSETS $632,221
- -----------------------------------------------------
++ See Note A1 to Financial Statements.
* Non-income producing security.
@ Value is less than $500.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
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 20 countries. MAS focuses on absolute and relative measures of value,
trends in business dynamics and risk control through diversification. MAS
analyzes both short- and long-term economic trends 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>
<S> <C> <C> <C>
- --------------------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS
-----------------------------------------
INSTITUTIONAL(a) INVESTMENT(b) INDEX
-----------------------------------------
SIX MONTHS 6.5% 6.3% 0.4%
ONE YEAR 9.1 8.8 2.1
FIVE YEARS 8.7 8.7 10.5
SINCE INCEPTION 8.2 8.2 4.1
---------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
4/10/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
* The International Equity Portfolio commenced operations on 11/25/88. All
returns are compared to the Morgan Stanley Capital International World Ex-U.S.
Index, an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (92.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
ARGENTINA (0.7%)
YPF SA ADR 158,500 $ 4,200
- -----------------------------------------------------
VALUE
SHARES (000)+
- -----------------------------------------------------
<S> <C> <C>
<CAPTION>
AUSTRALIA (1.0%)
Reinsurance Australia Corp.,
Ltd. 1,040,200 $ 3,495
Woolworth's Ltd. 995,000 2,659
- -----------------------------------------------------
GROUP TOTAL 6,154
- -----------------------------------------------------
AUSTRIA (1.8%)
Boehler-Uddeholm AG 11,145 771
OMV AG 89,159 10,556
- -----------------------------------------------------
GROUP TOTAL 11,327
- -----------------------------------------------------
BRAZIL (1.2%)
Telebras SA 76,958,400 7,761
- -----------------------------------------------------
CANADA (4.6%)
* Asia Pacific Resources
Ltd. 1,131,000 5,152
++ ++ Finning Ltd. 149,200 3,307
National Bank of Canada 585,000 6,239
Quebecor, Inc., Class B 397,100 7,135
TransCanada Pipelines Ltd. 379,100 6,894
- -----------------------------------------------------
GROUP TOTAL 28,727
- -----------------------------------------------------
CHINA (0.3%)
++ ++ New World Development
Co., Ltd. 324,000 1,748
- -----------------------------------------------------
FRANCE (8.3%)
Cie Generale des Eaux 75,170 10,244
Credit Local de France 92,819 10,037
Elf Aquitaine 122,140 12,555
Scor 264,300 10,805
++ ++ Usinor Sacilor 491,800 8,060
- -----------------------------------------------------
GROUP TOTAL 51,701
- -----------------------------------------------------
GERMANY (5.9%)
Deutsche Bank AG 120,170 6,810
Henkel KGaA 143,900 7,922
Springer (Axel) Verlag AG 9,526 7,083
* Veba AG 28,800 1,654
Volkswagen AG 24,260 13,384
- -----------------------------------------------------
GROUP TOTAL 36,853
- -----------------------------------------------------
GREECE (0.2%)
Nikas SA 91,600 970
- -----------------------------------------------------
HONG KONG (3.5%)
Great Eagle Holdings Ltd. 1,676,600 5,540
HSBC Holdings plc 329,486 7,654
* Jardine Strategic Holdings
Ltd. 753,500 2,607
Semi-Tech (Global) Ltd. 2,213,500 2,343
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Varitronix International
Ltd. 949,400 $ 1,446
Wheelock & Co., Ltd. 1,093,000 2,391
- -----------------------------------------------------
GROUP TOTAL 21,981
- -----------------------------------------------------
INDIA (0.9%)
Hindustan Lever Ltd. 50,100 1,313
Housing Development Finance
Corp., Ltd. 279 21
ITC Ltd. 9,374 94
Jardine Fleming India Fund,
Inc. 157,100 1,178
Mahanagar Telephone Nigam
Ltd. 250,000 1,682
Tata Power Supply Co., Ltd. 11,990 41
Videsh Sanchar Nigam Ltd. 45,000 1,224
- -----------------------------------------------------
GROUP TOTAL 5,553
- -----------------------------------------------------
IRELAND (1.3%)
Irish Life plc 1,592,000 8,286
- -----------------------------------------------------
ITALY (3.2%)
ENI S.p.A. 1,460,500 7,425
Telecom Italia S.p.A. 5,781,300 12,329
- -----------------------------------------------------
GROUP TOTAL 19,754
- -----------------------------------------------------
JAPAN (20.5%)
Bridgestone Corp. 573,000 10,754
Canon, Inc. 590,000 12,649
Chiyoda Fire & Marine
Insurance Co., Ltd. 1,011,150 3,787
Daiwa House Industry 172,000 2,004
Fuji Photo Film Ltd. 194,000 6,388
Honda Motor Co., Ltd. 319,000 9,523
Kirin Brewery Co., Ltd. 553,000 4,563
Mitsubishi Heavy Industries
Ltd. 805,000 5,242
Mitsui Fudosan Co., Ltd. 639,000 6,617
NEC Corp. 945,000 10,703
Nichido Fire & Marine
Insurance Co. 794,000 4,291
Nintendo Corp., Ltd. 99,000 7,112
Sankyo Co., Ltd. 178,000 4,910
Sony Corp. 80,000 5,598
Sumitomo Electric Industries 402,000 5,464
Sumitomo Marine & Fire
Insurance Co. 891,000 5,406
Takeda Chemical Industries 353,000 7,397
Tokio Marine & Fire
Insurance 543,000 5,535
UNY Co., Ltd. 332,000 5,184
Yasuda Fire & Marine
Insurance 1,042,000 5,142
- -----------------------------------------------------
GROUP TOTAL 128,269
- -----------------------------------------------------
KOREA (0.2%)
Samsung Electronics 16,172 1,085
- -----------------------------------------------------
VALUE
SHARES (000)++
- -----------------------------------------------------
MEXICO (0.6%)
ALFA, SA de C.V., Class A 362,000 $ 2,035
Cemex SA de C.V., Class B 470,300 1,896
*@ Grupo Financiero Capital
SA 761,325 --
- -----------------------------------------------------
GROUP TOTAL 3,931
- -----------------------------------------------------
NETHERLANDS (5.3%)
ING Groep N.V. 267,032 10,523
Philips Electronics N.V. 201,100 9,384
Vendex International N.V. 277,941 13,162
- -----------------------------------------------------
GROUP TOTAL 33,069
- -----------------------------------------------------
NORWAY (1.6%)
Christiania Bank OG
Kreditkasse 2,733,700 10,072
- -----------------------------------------------------
PHILIPPINES (0.7%)
(+) Benpres Holdings Corp.
GDR 220,000 1,661
Philippine Commercial
International Bank 169,400 2,508
- -----------------------------------------------------
GROUP TOTAL 4,169
- -----------------------------------------------------
SINGAPORE (1.5%)
DBS Land Ltd. 175,000 599
Oversea-Chinese Banking
Corp., Ltd. 298,100 3,552
Overseas Union Bank Ltd. 763,000 5,259
- -----------------------------------------------------
GROUP TOTAL 9,410
- -----------------------------------------------------
SOUTH AFRICA (1.3%)
De Beers Centenary AG 220,700 8,043
- -----------------------------------------------------
SPAIN (2.3%)
Telefonica de Espana ADR 201,800 14,479
- -----------------------------------------------------
SWEDEN (4.2%)
Nordbanken AB 273,800 9,458
SKF AB, Class B 290,900 7,652
Sparbanken Sverige AB, Class
A 484,100 9,004
- -----------------------------------------------------
GROUP TOTAL 26,114
- -----------------------------------------------------
SWITZERLAND (3.2%)
* Novartis AG (Bearer) 8,544 10,607
* Swissair AG (Registered) 10,635 9,491
- -----------------------------------------------------
GROUP TOTAL 20,098
- -----------------------------------------------------
THAILAND (0.4%)
Bangkok Bank Public Co.,
Ltd. 398,000 2,810
- -----------------------------------------------------
UNITED KINGDOM (17.9%)
Abbey National plc 1,075,900 13,181
Bank of Scotland 1,354,400 7,138
B.A.T. Industries plc 1,540,800 13,138
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BOC Group plc 681,900 $ 10,720
Burmah Castrol plc 662,000 11,077
++ ++ Cable & Wireless plc 1,213,921 9,852
* Imperial Tobacco Group plc 1,180,200 8,103
Railtrack Group plc PP 1,260,700 9,381
Sun Alliance Insurance Group
plc 1,882,080 13,835
Tate & Lyle plc 1,293,200 9,230
Tomkins plc 1,362,000 6,103
- -----------------------------------------------------
GROUP TOTAL 111,758
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $510,372) 578,322
- -----------------------------------------------------
PREFERRED STOCK (0.5%)
- -----------------------------------------------------
BRAZIL (0.5%)
Multicanal Participacoes SA
ADR (Cost $3,383) 238,000 3,302
- -----------------------------------------------------
WARRANT (0.5%)
- -----------------------------------------------------
GERMANY (0.5%)
* Veba AG, expiring 4/6/98
(Cost $1,797) 9,229 3,286
- -----------------------------------------------------
PURCHASED OPTIONS (1.4%)
- -----------------------------------------------------
NO. OF
CONTRACTS
----------
KOREA (1.4%)
Kookman Bank Call Option
expiring 9/4/99, strike
price $0.01 20,500 280
Kookmin Bank Call Option
expiring 9/30/99, strike
price $0.01 130,000 1,732
Korea Mobile Telecom Call
Option expiring 9/4/99,
strike price $0.01 1,761 969
Korea Mobile Telecom Call
Option expiring 9/30/99,
strike price $0.01 3,965 2,128
Pohang Iron & Steel Call
Option expiring 9/30/99,
strike price $0.01 43,000 2,008
Shinhan Bank Call Option
expiring 9/30/99, strike
price $0.01 130,000 1,507
- -----------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $11,892) 8,624
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITY (0.3%)
- ------------------------------------------------------
GERMANY (0.3%)
+ Bundersobligationen
8.00%, 9/22/97
(Cost $2,235) Aaa DEM 3,285 $ 2,012
- ------------------------------------------------------
FOREIGN CURRENCY (0.5%)
- ------------------------------------------------------
Austrian
Schilling ATS 9,450 801
British Pound GBP 576 947
Greek Drachma GRD 3,756 14
@ Indian Rupee INR 1 --
Italian Lira ITL 674 1
Japanese Yen JPY 148,164 1,199
@ Korean Won KRW 38 --
@ Norwegian Krone NOK 1 --
Spanish Peseta ESP 2,476 18
Taiwan Dollar TWD 33 1
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $2,961) 2,981
- ------------------------------------------------------
CASH EQUIVALENTS (18.5%)
- ------------------------------------------------------
Short-term Investments held
as Collateral for Loaned
Securities (13.6%) $ 85,097 85,097
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.9%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $30,752, collateralized
by various U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$31,054 30,747 30,747
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $115,844) 115,844
- ------------------------------------------------------
TOTAL INVESTMENTS (114.3%) (Cost $648,484) 714,371
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-14.3%)
Cash $ 1
Dividends Receivable 2,488
Interest Receivable 88
Receivable for Withholding Tax Reclaim 355
Receivable for Daily Variation on Futures
Contracts 802
Receivable for Investments Sold 215
Receivable for Fund Shares Sold 228
Unrealized Gain on Forward Foreign Currency
Contracts 24
Other Assets 13
Accrued Foreign Capital Gain Taxes (151)
Payable for Investments Purchased (6,831)
Payable for Fund Shares Redeemed (966)
Payable for Investment Advisory Fees (779)
Payable for Administrative Fees (45)
Payable for Trustees' Deferred Compensation
Plan-Note F (13)
Collateral on Securities Loaned, at Value (85,097)
Other Liabilities (98)
---------
(89,766)
- ------------------------------------------------------
NET ASSETS (100%) $ 624,605
- ------------------------------------------------------
VALUE
(000)++
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 46,082,702 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 624,266
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.55
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 25,040 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 339
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.53
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 547,951
Undistributed Net Investment Income (Loss) 3,993
Undistributed Realized Net Gain (Loss) 7,017
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign
Capital Gain Taxes of $151) 65,716
Foreign Currency Transactions 44
Futures (116)
- ------------------------------------------------------
NET ASSETS $ 624,605
- ------------------------------------------------------
++ See Note A1 to Financial Statements.
++ ++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
* Non-income producing security.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(+) 144A security. Certain conditions for public sale may
exist.
@ Value is less than $500.
ADR American Depositary Receipt
GDR Global Depositary Receipt
PP Partially Paid
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Growth Portfolio invests in the common stocks of small- and
medium-sized companies with superior long-term earnings-growth potential and
rising earnings estimates. MAS's four-part process combines quantitative,
fundamental, and valuation analysis with a strict sell discipline. A
quantitative screen sorts the stocks in each sector based on estimate revision.
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
earnings-estimate-revisions deteriorate, when our fundamental research uncovers
unfavorable trends, or when their valuations exceed the level that we believe is
reasonable given their growth prospects.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS
------------------------------
INSTITUTIONAL(a) ADVISER(b) INDEX
----------------------------------------
<S> <C> <C> <C>
SIX MONTHS (11.9)% (11.9)% 4.5%
ONE YEAR (3.4) (3.4) 10.7
FIVE YEARS 12.5 12.5 13.7
SINCE INCEPTION 16.7 16.7 15.7
- ---------------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Adviser Class which commenced operations
1/31/97. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12(b)-1
Fee applicable to the Adviser Class. It is expected that, over time,
returns for the Adviser Class will be lower than for the other classes due
to the higher expenses charged.
* The Mid Cap Growth Portfolio commenced operations on 3/30/90. All returns are
compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (95.8%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BASIC RESOURCES (1.1%)
* Sealed Air Corp. 92,300 $ 3,796
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.9%)
Estee Lauder Cos., Class A 160,900 7,784
* Robert Mondavi Corp., Class A 145,800 5,285
- -----------------------------------------------------
GROUP TOTAL 13,069
- -----------------------------------------------------
CONSUMER DURABLES (3.0%)
Danaher Corp. 159,950 6,658
* Marker International 200,000 900
* Samsonite Corp. 56,300 2,435
- -----------------------------------------------------
GROUP TOTAL 9,993
- -----------------------------------------------------
CONSUMER SERVICES (13.5%)
* Cinar Films, Inc., Class B 160,000 3,920
Comcast Corp., Class A Special 295,297 4,983
* Heftel Broadcasting Corp.,
Class A 82,500 3,836
* Imax Corp. 123,800 4,209
* Macrovision Corp. 113,300 977
Metro Networks, Inc. 160,600 3,694
Premier Parks, Inc. 85,400 2,210
* TCI Satellite Entertainment,
Inc., Class A 424,379 3,289
* Tele-Communications Liberty
Media Group, Class A 513,744 10,243
* Ticketmaster Group, Inc. 160,000 2,040
* Univision Communications,
Inc., Class A 114,500 3,735
* Vail Resorts, Inc. 120,400 2,348
- -----------------------------------------------------
GROUP TOTAL 45,484
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (4.3%)
Charles Schwab Corp. 96,000 3,060
Money Store (The), Inc. 137,000 2,877
Sirrom Capital Corp. 143,300 5,194
* Southern Pacific Funding Corp. 184,500 3,206
- -----------------------------------------------------
GROUP TOTAL 14,337
- -----------------------------------------------------
ENERGY (1.2%)
* Global Marine, Inc. 186,700 4,014
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (1.1%)
* Rexall Sundown, Inc. 148,800 3,813
- -----------------------------------------------------
HEALTH CARE (13.9%)
* BioChem Pharmaceutical, Inc. 52,100 2,240
* Biogen, Inc. 61,100 2,284
Cardinal Health, Inc. 87,200 4,741
* Centocor, Inc. 81,400 2,483
HBO & Co. 105,600 5,016
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
* Health Management Associates,
Class A 487,100 $ 11,569
Jones Medical Industries, Inc. 146,700 3,521
Lincare Holdings, Inc. 206,200 8,506
Orthodontic Centers of America,
Inc. 219,600 2,965
* PathoGenesis Corp. 63,700 1,592
* Pediatrix Medical Group, Inc. 57,900 1,903
- -----------------------------------------------------
GROUP TOTAL 46,820
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.3%)
Cintas Corp. 128,050 6,755
* Loral Space & Communications 333,100 4,705
Paychex, Inc. 64,625 2,658
sec.* Republic Industries, Inc.
(acquired 11/8/96-1/20/97,
cost $5,880) 173,900 6,032
Tidewater, Inc. 86,800 3,993
* U.S. Filter Corp. 113,300 3,498
* USA Waste Services, Inc. 93,200 3,308
- -----------------------------------------------------
GROUP TOTAL 30,949
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.9%)
Security Capital Industrial
Trust 173,309 3,618
* Security Capital US Realty 196,500 2,751
- -----------------------------------------------------
GROUP TOTAL 6,369
- -----------------------------------------------------
RETAIL (14.4%)
* Borders Group, Inc. 332,200 6,270
* Boston Chicken, Inc. 156,250 4,766
* Burlington Coat Factory
Warehouse 35,500 639
CKE Restaurants, Inc. 236,100 5,224
* CompUSA, Inc. 192,500 3,032
CVS Corp. 141,800 6,540
* Eagle Hardware & Garden, Inc. 237,100 4,268
Gucci Group N.V. (New York
Shares) 124,000 8,943
Saks Holdings, Inc. 137,500 3,953
The North Face, Inc. 112,700 1,874
* Tommy Hilfiger Corp. 53,450 2,793
- -----------------------------------------------------
GROUP TOTAL 48,302
- -----------------------------------------------------
TECHNOLOGY (22.2%)
* Advanced Fibre Communications,
Inc. 92,400 2,980
* Altera Corp. 85,700 3,685
* Ascend Communications, Inc. 42,500 1,732
* BMC Software, Inc. 164,600 7,592
* CIENA Corp. 59,300 1,686
* Electronics for Imaging, Inc. 82,100 3,274
* Fiserv, Inc. 147,650 5,500
* Hutchinson Technology, Inc. 102,100 2,910
VALUE
SHARES (000)++
- -----------------------------------------------------
* Kulicke & Soffa Industries,
Inc. 109,400 $ 2,311
* McAfee Associates, Inc. 94,962 4,202
* PairGain Technologies, Inc. 93,900 2,782
* Peoplesoft, Inc. 101,400 4,056
* Qualcomm, Inc. 43,200 2,435
* Sapient Corp. 78,700 2,518
* Scopus Technology, Inc. 109,700 3,291
* SeaChange International, Inc. 100,600 1,786
* Tellabs, Inc. 123,100 4,447
U.S. Robotics Corp. 159,300 8,821
Uniphase Corp. 140,000 5,180
* Visio Corp. 82,500 3,218
- -----------------------------------------------------
GROUP TOTAL 74,406
- -----------------------------------------------------
UTILITIES (6.0%)
* Globalstar Telecommunications
Ltd. 158,700 8,491
* Millicom International
Cellular SA 131,800 5,453
* WorldCom, Inc. 277,474 6,104
- -----------------------------------------------------
GROUP TOTAL 20,048
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $288,359) 321,400
- -----------------------------------------------------
RIGHTS (0.1%)
- -----------------------------------------------------
* Global Star Telecommunications
Rights, expiring 4/30/97 (Cost
$0) 17,951 529
- -----------------------------------------------------
WARRANTS (0.0%)
- -----------------------------------------------------
sec.* Nexus Telecommunication
Systems Ltd., expiring
11/28/97 (acquired 11/21/95,
cost $0) 225,000 155
- -----------------------------------------------------
CASH EQUIVALENTS (19.8%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
Short-term Investments
Held as Collateral for
Loaned Securities (15.2%) $ 50,994 50,994
- -----------------------------------------------------
REPURCHASE AGREEMENT (4.6%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97, to
be repurchased at $15,222,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at
$15,371 15,219 15,219
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $66,213) 66,213
- -----------------------------------------------------
TOTAL INVESTMENTS (115.7%) (Cost $354,572) 388,297
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) (000)++
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-15.7%)
Dividends Receivable $ 54
Interest Receivable 3
Receivable for Investments Sold 555
Receivable for Fund Shares Sold 674
Other Assets 8
Payable for Investments Purchased (628)
Payable for Fund Shares Redeemed (1,708)
Payable for Investment Advisory Fees (493)
Payable for Administrative Fees (25)
Payable for Trustees' Deferred Compensation
Plan-Note F (8)
Collateral on Securities Loaned, at Value (50,994)
Other Liabilities (96)
--------
(52,658)
- -----------------------------------------------------
NET ASSETS (100%) $335,639
- -----------------------------------------------------
<CAPTION>
VALUE
(000)++
- -----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 22,323,698 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $335,557
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.03
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 5,424 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 82
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.03
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $290,384
Undistributed Net Investment Income (Loss) (6)
Undistributed Realized Net Gain (Loss) 11,528
Unrealized Appreciation (Depreciation) on
Investment Securities 33,733
- -----------------------------------------------------
NET ASSETS $335,639
- -----------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1997 was $6,187 or 1.8%
of net assets.
++ See Note A1 to Financial Statements.
* Non-income producing security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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 MidCap 400 Index, with strategic over- and under-weightings
assigned to different economic sectors and industries.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<S> <C> <C> <C>
MAS
-----------------------------
INSTITUTIONAL(a) INVESTMENT(b) INDEX
------------------------------------------
SIX MONTHS 13.9% 13.7% 4.5%
ONE YEAR 29.5 29.3 10.7
SINCE INCEPTION 32.2 32.1 21.1
- --------------------------------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
5/10/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating
expenses for Institutional Class shares of the Mid Cap Value Portfolio from
exceeding 0.88% of average daily net assets. The Adviser also waived a
portion of its advisory fees for Investment Class shares of the Portfolio.
Returns presented include the effects of these waivers and reimbursements.
If such waivers and reimbursements had not been made, the actual returns
would have been lower.
* The Mid Cap Value Portfolio commenced operations on 12/30/94. All returns are
compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (91.4%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
BANKS (8.6%)
Anchor Bancorp Wisconsin, Inc. 21,300 $ 942
Astoria Financial Corp. 39,300 1,415
Collective Bancorp, Inc. 9,600 371
Comerica, Inc. 16,900 953
Community First Bankshares, Inc. 29,000 899
Cullen/Frost Bankers, Inc. 25,000 891
First of America Bank Corp. 8,900 532
FirstBank Puerto Rico 28,800 731
MAF Bancorp, Inc. 5,000 195
Mercantile Bankshares Corp. 81 3
North Fork Bancorp, Inc. 15,400 556
Northern Trust Corp. 12,000 450
Southtrust Corp. 21,200 766
Union Planters Corp. 20,000 812
Wilmington Trust Corp. 4,000 170
- -----------------------------------------------------
GROUP TOTAL 9,686
- -----------------------------------------------------
BASIC RESOURCES (2.6%)
H. B. Fuller Co. 12,000 585
Oregon Steel Mills, Inc. 7,500 130
* Owens-Illinois, Inc. 19,300 475
P.H. Glatfelter Co. 37,100 612
Rohm & Haas Co. 7,000 524
* Sinter Metals, Inc., Class A 21,360 588
- -----------------------------------------------------
GROUP TOTAL 2,914
- -----------------------------------------------------
CONSUMER DURABLES (3.4%)
Armstrong World Industries, Inc. 4,200 272
* Champion Enterprises, Inc. 19,000 283
Chrysler Corp. 18,000 540
Ethan Allen Interiors, Inc. 8,700 378
Harley-Davidson, Inc. 17,700 600
PACCAR, Inc. 7,000 467
Premark International, Inc. 22,900 455
Southdown, Inc. 15,000 514
* USG Corp. 10,000 314
- -----------------------------------------------------
GROUP TOTAL 3,823
- -----------------------------------------------------
CONSUMER SERVICES (1.3%)
* MGM Grand, Inc. 17,300 627
McClatchy Newspapers, Inc.,
Class A 15,875 379
Washington Post Co., Class B 1,200 413
- -----------------------------------------------------
GROUP TOTAL 1,419
- -----------------------------------------------------
CREDIT & FINANCE (1.7%)
AMBAC, Inc. 7,400 477
CMAC Investment Corp. 23,300 778
Student Loan Marketing
Association 6,500 619
- -----------------------------------------------------
GROUP TOTAL 1,874
- -----------------------------------------------------
ENERGY (6.7%)
Apache Corp. 10,500 352
* BJ Services Co. 25,300 1,211
Columbia Gas System, Inc. 17,500 1,013
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP VALUE
PORTFOLIO (UNAUDITED) VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
El Paso Natural Gas Co. 6,200 $ 351
* Global Marine, Inc. 50,000 1,075
* HS Resources, Inc. 6,300 72
National Fuel Gas Co. 14,400 616
NICOR, Inc. 13,500 432
* Noble Drilling Corp. 36,300 626
ONEOK, Inc. 14,500 377
Pacific Enterprises 8,900 269
Parker & Parsley Petroleum Co. 500 15
* Reading & Bates Corp. 20,600 466
Union Texas Petro Holdings, Inc. 24,800 456
Vastar Resources, Inc. 7,900 227
- -----------------------------------------------------
GROUP TOTAL 7,558
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (3.1%)
Dean Foods Co. 8,200 284
Lancaster Colony Corp. 9,300 428
Schweitzer-Mauduit
International, Inc. 37,200 1,125
Tyson Foods, Inc., Class A 25,500 494
Universal Corp. 33,600 970
Universal Foods Corp. 4,800 160
- -----------------------------------------------------
GROUP TOTAL 3,461
- -----------------------------------------------------
HEALTH CARE (7.1%)
* ARV Assisted Living, Inc. 50,000 487
* Biogen, Inc. 17,000 635
* Healthdyne Technologies, Inc. 82,800 1,166
* Living Centers of America,
Inc. 29,000 1,001
* Marquette Medical Systems,
Class A 16,100 324
* Merit Medical Systems, Inc. 64,000 504
* Nellcor, Inc. 22,800 402
* Personnel Group of America,
Inc. 19,300 379
Sullivan Dental Products, Inc. 108,600 1,588
* Universal Health Services,
Inc., Class B 16,800 552
* Watson Pharmaceuticals, Inc. 7,000 250
Wellpoint Health Networks, Inc. 8,500 353
Xomed Surgical Products, Inc. 20,000 330
- -----------------------------------------------------
GROUP TOTAL 7,971
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (18.0%)
* AccuStaff, Inc. 60,000 1,005
Air Express International Corp. 115,700 3,673
Arnold Industries, Inc. 54,600 771
Aviation Sales Co. 30,000 754
* Catalina Lighting, Inc. 86,200 312
* CDI Corp. 27,200 1,010
* Coltec Industries, Inc. 9,700 180
Crane Co. 64,950 2,038
DONCASTERS plc ADR 41,000 794
Expeditors International of
Washington, Inc. 24,700 593
Halter Marine Group, Inc. 13,700 217
Hvide Marine, Inc., Class A 21,800 496
Ingersoll Rand Co. 3,100 135
* Interim Services, Inc. 17,900 696
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
JLG Industries, Inc. 50,300 $ 987
Kaydon Corp. 13,700 574
@ Lockheed Martin Corp. 1 --
* Midwest Express Holdings 17,400 659
Miller (Herman), Inc. 8,700 594
* Offshore Logistics, Inc. 23,500 376
* OMI Corp. 72,000 702
Omnicom Group, Inc. 300 15
Precision Castparts Corp. 25,100 1,280
* SPS Technologies, Inc. 13,300 898
Triumph Group, Inc. 19,000 477
* UNC, Inc. 33,200 473
Wallace Computer Services, Inc. 10,600 351
York International Corp. 4,600 193
- -----------------------------------------------------
GROUP TOTAL 20,253
- -----------------------------------------------------
INSURANCE (3.5%)
Allied Life Financial Corp. 29,200 500
Chartwell Re Corp. 4,500 123
Everest Reinsurance Holdings,
Inc. 19,400 570
Mercury General Corp. 15,500 946
* Nationwide Financial Services,
Inc., Class A 44,200 1,138
Progressive Corp. 10,900 696
- -----------------------------------------------------
GROUP TOTAL 3,973
- -----------------------------------------------------
INVESTMENT COMPANIES (5.0%)
Bear Stearns Co., Inc. 19,320 507
Franklin Resources, Inc. 63,850 3,256
Hambrecht & Quist Group 49,600 831
United Asset Management Corp. 42,700 1,094
- -----------------------------------------------------
GROUP TOTAL 5,688
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (2.5%)
CarrAmerica Realty Corp. 75,000 2,306
* Kilroy Realty Corp. 16,900 450
- -----------------------------------------------------
GROUP TOTAL 2,756
- -----------------------------------------------------
RETAIL (9.2%)
American Stores Co. 9,000 400
Brylane, Inc. 14,600 347
* Costco Companies, Inc. 15,000 414
CVS Corp. 43,700 2,016
Designer Holdings Ltd. 51,900 409
Duty Free International, Inc. 49,300 721
Family Dollar Stores, Inc. 25,000 584
* Fruit of the Loom, Inc., Class
A 16,500 685
Hughes Supply, Inc. 35,000 1,142
ProSource, Inc. 69,500 782
Ross Stores, Inc. 13,400 340
Saks Holdings, Inc. 17,400 500
V.F. Corp. 30,000 2,006
- -----------------------------------------------------
GROUP TOTAL 10,346
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
TECHNOLOGY (15.9%)
* ADC Telecommunications, Inc. 17,000 $ 457
* Applied Magnetics Corp. 15,700 444
* Cadence Design Systems, Inc. 21,300 732
* Ceridian Corp. 18,000 646
* Computer Products, Inc. 42,100 616
FactSet Research Systems, Inc. 17,200 333
* Fiserv, Inc. 32,900 1,226
* Gateway 2000, Inc. 24,000 1,230
HMT Technology Corp. 30,700 376
Inacom Corp. 20,600 469
* Ingram Micro, Inc., Class A 7,000 146
* Intevac, Inc. 26,300 368
* Meridian Data, Inc. 30,000 124
Overland Data, Inc. 60,400 302
* Parametric Technology Corp. 34,000 1,534
Penn Engineering & Manufacturing
Corp. 41,200 798
* Quantum Corp. 8,000 309
* Sanmina Corp. 5,000 224
* SCI Systems, Inc. 22,200 1,124
* Solectron Corp. 10,800 541
* Tech Data Corp. 49,300 1,189
Technology Modeling Association,
Inc. 28,000 291
Tektronix, Inc. 14,800 747
* Teradyne, Inc. 29,800 860
USCS International, Inc. 30,000 555
* Western Digital Corp. 40,100 2,271
- -----------------------------------------------------
GROUP TOTAL 17,912
- -----------------------------------------------------
UTILITIES (2.8%)
Black Hills Corp. 18,700 491
GPU, Inc. 300 10
IPALCO Enterprises, Inc. 27,800 844
LG&E Energy Corp. 30,800 743
Nevada Power Co. 17,500 348
Pinnacle West Capital Corp. 9,800 295
Puget Sound Power & Light Co. 3,200 81
St. Joseph Light & Power Co. 24,200 372
- -----------------------------------------------------
GROUP TOTAL 3,184
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $103,022) 102,818
- -----------------------------------------------------
CASH EQUIVALENTS (5.4%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
REPURCHASE AGREEMENT (5.4%)
Chase Securities Inc. 6.20%,
dated 3/31/97, due 4/1/97, to
be repurchased at $6,081,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at
$6,141 (Cost $6,080) $ 6,080 6,080
- -----------------------------------------------------
TOTAL INVESTMENTS (96.8%) (Cost $109,102) 108,898
- -----------------------------------------------------
<CAPTION>
VALUE
(000)++
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (3.2%)
Dividends Receivable $ 95
Receivable for Investments Sold 4,996
Receivable for Fund Shares Sold 52
Other Assets 2
Payable for Investments Purchased (1,262)
Payable for Fund Shares Redeemed (67)
Payable for Investment Advisory Fees (192)
Payable for Administrative Fees (11)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (25)
--------
3,587
- -----------------------------------------------------
NET ASSETS (100%) $112,485
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 7,284,378 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $112,017
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.38
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 30,461 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 468
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.36
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $104,421
Undistributed Net Investment Income (Loss) 168
Undistributed Realized Net Gain (Loss) 8,100
Unrealized Appreciation (Depreciation) on
Investment Securities (204)
- -----------------------------------------------------
NET ASSETS $112,485
- -----------------------------------------------------
++ 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.
- --------------------------------------------------------------------------------
21
<PAGE> 24
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>
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS
------------------------------------------------------
INSTITUTIONAL(a) INVESTMENT(b) ADVISER(c) INDEX
------------------------------------------------------
SIX MONTHS 3.8% 3.7% 3.6% 2.5%
ONE YEAR 7.5 7.5 7.4 4.9
FIVE YEARS 8.8 8.8 8.7 7.3
TEN YEARS 9.0 9.0 8.9 8.3
- ----------------------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
10/15/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
(c) Represents an investment in the Adviser Class which commenced operations
11/7/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12(b)-1
Fee applicable to the Adviser Class.
* All returns 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 (89.1%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (3.9%)
## Government National
Mortgage Association
Various Pools:
6.00%, 9/20/26 Agy $ 39,790 $ 39,895
6.50%, 7/20/26-9/20/26 Agy 56,456 57,076
- --------------------------------------------------------
GROUP TOTAL 96,971
- --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (22.7%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
9.50%, 10/1/16 Agy 1,975 2,122
10.00%, 11/1/20 Agy 12,273 13,261
10.50%, 4/1/11-10/1/20 Agy 4,445 4,886
11.00%, 9/1/15-5/1/20 Agy 3,387 3,751
11.25%, 10/1/11-12/1/15 Agy 1,951 2,166
11.50%, 1/1/11-12/1/15 Agy 199 224
11.75%, 4/1/19 Agy 215 241
12.50%, 8/1/13 Agy 19 22
13.00%, 6/1/19 Agy 65 74
14.75%, 3/1/10 Agy 39 44
Gold Pools:
7.00%, 9/1/23-12/1/24 Agy 38,392 36,894
9.50%, 10/1/17-1/1/21 Agy 9,388 10,135
10.00%, 10/1/20 Agy 4,608 5,020
10.50%, 8/1/19-4/1/21 Agy 2,148 2,360
March TBA
7.50%, 6/15/27 Agy 12,850 12,637
April TBA
7.50%, 8/15/26-12/15/26 Agy 223,975 220,265
8.00%, 6/15/26 Agy 63,750 64,138
May TBA
7.50%, 6/15/26 Agy 70,000 68,688
Federal National Mortgage
Association
Conventional Pools:
9.50%, 7/1/16 Agy 3,247 3,504
10.00%, 8/1/21-2/1/25 Agy 7,794 8,460
10.50%, 6/1/10-11/1/19 Agy 7,976 8,806
10.75%, 2/1/11 Agy 46 51
11.00%, 1/1/16-11/1/20 Agy 3,430 3,822
11.50%, 7/1/13-11/1/15 Agy 435 494
12.00%, 4/1/15 Agy 111 128
12.50%, 5/1/12 Agy 1,180 1,362
Government National
Mortgage Association
Various Pools:
7.125%, 7/20/25 Agy 17,636 17,933
10.00%,
11/15/09-3/15/27 Agy 45,454 49,739
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
10.50%, 2/15/13-2/15/25 Agy $ 12,629 $ 14,019
11.00%,
12/15/09-5/15/26 Agy 10,808 12,190
11.50%, 7/20/15-9/20/19 Agy 572 630
12.00%, 4/15/12-3/15/16 Agy 1,845 2,111
- --------------------------------------------------------
GROUP TOTAL 570,177
- --------------------------------------------------------
ASSET BACKED CORPORATES (1.6%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 63 63
## Airplanes Pass Through
Trust, Series 1 B
6.538%, 3/15/19 A 5,837 5,855
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 5,800 5,887
94-1 C2 CMO
9.35%, 9/15/04 BBB 4,776 4,868
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 5,593 5,591
NAL Auto Trust Series 96-4
A
6.90%, 12/15/00 N/R 5,354 5,295
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 4,850 4,830
Security Pacific Home
Equity Trust, Series
91-AB
10.50%, 3/10/06 A+ 4,299 4,307
(+) Team Fleet Financing
Corporation., Series
96-1A
6.65%, 12/15/02 A- 4,300 4,198
- --------------------------------------------------------
GROUP TOTAL 40,894
- --------------------------------------------------------
ASSET BACKED MORTGAGES (1.3%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 8,940 9,036
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 6,800 6,839
Cityscape Home Equity Loan
Trust,
Series:
sec. 96-3 YMA
10/25/26 (acquired
12/24/96, cost $224) N/R 165,603 224
96-3 A IO
5.267%, 10/25/26 N/R 165,603 4,141
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 163,293 4,424
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
96-4 A12 YMA
1/15/28 AAA $ 56,415 $ 83
sec. 96-4 A12 YMA
1/15/28
(acquired 12/24/96,
cost $252) AAA 169,152 252
96-4 A12 IO
1.05%, 1/15/28 AAA 55,096 1,481
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 6,717 6,787
- --------------------------------------------------------
GROUP TOTAL 33,267
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.6%)
Federal Home Loan Mortgage
Corporation,
Series:
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 3,341 1,369
1476-S Inv Fl IO REMIC
PAC
4.408%, 2/15/08 Agy 31,588 3,317
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 31,357 2,374
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 62,834 2,846
1709 H PO REMIC, 1/15/24 Agy 801 292
1750 C PD PO REMIC,
3/15/24 Agy 1,245 728
1813 K PO, 2/15/24 Agy 795 481
1844 PC PO, 3/15/24 Agy 1,460 738
1897 I PO, 10/15/22 Agy 860 478
92-1398 I Inv Fl REMIC
9.828%, 10/15/07 Agy 2,471 2,371
93-149 O PO REMIC,
8/25/23 Agy 1,787 872
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
28.777%, 9/25/20 Agy 1,459 2,071
92-33 S Inv Fl REMIC
11.46%, 3/25/22 Agy 2,350 2,329
92-186 S Inv Fl IO CMO
3.429%, 10/25/07 Agy 59,700 4,579
96-14 PC PO REMIC,
12/25/23 Agy 1,385 621
96-37 H PO REMIC,
8/25/23 Agy 8,961 5,486
96-46 PB PO REMIC,
9/25/23 Agy 1,425 758
96-54 PO REMIC, 7/25/23 Agy 1,034 635
96-54 O PO REMIC,
11/25/23 Agy 1,155 580
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO (UNAUDITED)
RATINGS
RATINGS
(STANDARD FACE
& POOR'S) AMOUNT VALUE
(CONT'D) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
96-68 SC Inv Fl IO REMIC
2.694%, 1/25/24 Agy $ 11,500 $ 1,167
97-7 E PO REMIC, 2/15/23 Agy 5,300 3,380
97-22 SG Inv Fl IO REMIC
3.694%, 11/25/22 Agy 5,300 829
97-22 SD Inv Fl IO
3.913%, 11/25/22 Agy 10,025 563
G92-53 S Inv Fl IO REMIC
32.344%, 9/25/22 Agy 2,828 2,141
- --------------------------------------------------------
GROUP TOTAL 41,005
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (5.3%)
American Housing Trust
Series V 1G
9.125%, 4/25/21 AAA 6,500 6,538
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 5,822 5,218
(+) DLJ Mortgage
Acceptance Corp., Series
96-CF2 AIB
7.29%, 7/15/06 AAA 2,300 2,278
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-12/9/93, cost
$4,036) A 4,253 4,115
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 7,861 7,066
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.528%, 5/28/22
(acquired
8/5/92-12/9/93, cost
$3,814) N/R 3,803 3,744
Mid-State Trust II, Series
88-A4
9.625%, 4/1/03 AAA 1,800 1,933
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 1,114 1,114
+(+) 92A-B2 4
7.90%, 4/28/22 A1 11,188 10,034
sec.+ 93-17 B1
6.50%, 3/1/23 (acquired
4/14/93-10/13/94, cost
$6,353) A2 6,643 6,401
(+) 93-B B1
7.835%, 4/28/23 AA 8,450 8,358
(+)# 94-A 3B3
6.803%, 4/28/24 N/R 11,339 10,403
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Residential Accredit
Loans, Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA $ 5,500 $ 5,499
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 10,381 10,195
+ 97-QS3
7.75%, 3/25/15 Aaa 11,900 11,747
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 51 52
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) N/R 7,821 7,224
sec. 94-S1 A19
6.75%, 1/25/24
(acquired
5/22/95-12/19/95, cost
$10,917) AAA 11,564 10,730
Rural Housing Trust,
Series 87-1M
3.33%, 10/1/28 A- 6,500 6,082
Ryland Mortgage Securities
Corp., Series 94-7B 4A2
7.50%, 8/25/25 AAA 7,500 7,071
- --------------------------------------------------------
GROUP TOTAL 132,557
- --------------------------------------------------------
COMMERCIAL MORTGAGES (6.5%)
+ American Southwest
Financial Securities
Corp., Series 95-C1 A1B
7.40%, 11/17/04 Aaa 8,075 8,098
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 9,812 9,695
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 8,000 7,967
96-MD6 A1C
7.04%, 11/13/26 AAA 8,150 7,923
(+) Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 6,200 6,014
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 7,450 7,282
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 5,653 5,935
(+) Crystal Run
Properties, Series A
7.393%, 8/15/11 AA 8,500 8,395
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage
Acceptance Corp.,
Series:
95-CF2 A1B
6.85%, 12/17/27 AAA $ 15,200 $ 15,055
95-CF2 A3
7.05%, 12/17/05 A 3,300 3,167
95-CF2 S2 IO
1.645%, 12/17/27 BBB 48,300 4,465
96-CF1 A1B
7.58%, 3/13/28 AAA 5,350 5,404
## 96-CF2 S IO
1.641%, 11/12/21 N/R 13,625 1,204
+ GMAC Commercial Mortgage
Securities, Inc., Series
96-C1 X2 IO
1.926%, 3/15/21 Aaa 37,902 3,363
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 7,000 6,756
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 9,950 9,931
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 11,500 11,534
96-C2 A2
6.82%, 11/21/28 AAA 3,825 3,733
96-C2 IO
1.529%, 11/21/28 N/R 40,190 3,576
+ Midland Realty
Acceptance Corp., Series
96-C2 A2
7.233%, 1/25/29 Aaa 6,800 6,728
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 10,750 10,882
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 200 203
94-MD1 A3
8.026%, 3/15/18 N/R 4,249 4,414
(+) Prime Property
Funding, Series 1 A
6.633%, 7/23/03 AA 7,000 6,786
Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.61%, 2/25/28 N/R 71,772 2,154
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
96-CFL X1 IO
1.331%, 2/25/28 N/R $ 70,243 $ 3,620
96-CFL X2 IO
1.267%, 2/25/28 N/R 16,760 492
- --------------------------------------------------------
GROUP TOTAL 164,776
- --------------------------------------------------------
ENERGY (0.6%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 7,025 6,666
Mobile Energy Services
8.665%, 1/1/17 BBB- 7,110 7,136
- --------------------------------------------------------
GROUP TOTAL 13,802
- --------------------------------------------------------
FINANCE (11.6%)
Anthem Insurance, Series A
9.00%, 4/1/27 BBB+ 10,000 9,857
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 9,000 8,752
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 13,750 13,041
## Caterpillar Financial
Services
5.70%, 6/20/97 A 11,000 11,002
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 10,100 9,669
(+) Equitable Life
Assurance of the U.S.,
Series 1 A
6.95%, 12/1/05 A 7,937 7,598
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 5,845 5,787
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 14,200 13,518
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 9,975 9,646
(+)+ Home Ownership
Funding,
13.331% (Preferred
Stock) Aaa (1)63,625 61,049
John Hancock Surplus Note
7.375%, 2/15/24 AA- 10,475 9,604
(+) Lazara Properties,
13.547% (Preferred
Stock) A (1)10,625 10,359
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 5,800 5,518
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 12,500 11,183
# Mutual Life Insurance
Co. of New York
0.00%, 8/15/24 BBB 4,425 4,470
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 11,060 9,939
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 15,330 13,973
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO (UNAUDITED)
RATINGS
(STANDARD FACE
& POOR'S) AMOUNT VALUE
(CONT'D) (000) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ $ 13,100 $ 12,470
(+) Principal Mutual
Life Insurance Co.,
Series 95-2 A6
7.875%, 3/1/24 AA- 6,675 6,276
(+) Staircase
Properties, Inc.,
13.74% (Preferred
Stock) A (1)9,700 9,506
(+) State Street
Institutional
Capital, Series A
7.94%, 12/30/26 A 6,100 5,845
## United Savings of
Texas
8.05%, 5/15/98 BB+ 6,100 6,207
(+) Wells Fargo
Capital, Series A
8.125%, 12/1/26 BBB 12,550 12,133
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 8,923 8,560
96 WFP-D
6.95%, 9/1/13 AA- 16,625 15,908
- ------------------------------------------------------
GROUP TOTAL 291,870
- ------------------------------------------------------
FOREIGN GOVERNMENTS (2.8%)
Government of Canada
9.75%, 6/1/21 AA+ CAD 25,700 23,652
Swedish Government
6.00%, 2/9/05 AAA SEK 200,400 25,050
10.25%, 5/5/03 AA+ 130,000 20,421
- ------------------------------------------------------
GROUP TOTAL 69,123
- ------------------------------------------------------
INDUSTRIALS (3.8%)
## Blue Bell Funding
11.85%, 5/1/99 BB- $ 4,350 4,459
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 8,275 8,077
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 5,837 4,986
93-K1 A2
7.43%, 8/15/18 BB- 110 87
94-K1 A1
7.60%, 8/15/07 BB- 7,309 6,783
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 3,680 3,514
(+) Entertainment
Properties,
14.253% (Preferred
Stock) BBB- (1)10,200 9,975
Kmart Corp.
7.75%, 10/1/12 B+ 60 52
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
Kmart Funding Corp.
8.80%, 7/1/10,
Series F BB- $ 3,500 $ 3,352
(+) Oxymar
7.50%, 2/15/16 BBB 5,520 5,166
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 13,172 12,141
Philip Morris Cos.,
Inc.
6.375%, 2/1/06 A 160 147
Rhone-Poulenc Rorer,
Inc., Series 92-A3
8.62%, 1/5/21 BBB+ 7,675 7,922
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 10,540 10,519
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 6,838 6,848
Southland Corp.
5.00%, 12/15/03 BB+ 8,227 6,746
Tele-Communications,
Inc.
8.75%, 2/15/23 BBB- 200 185
(+) Tier One
Properties,
11.095% (Preferred
Stock) A (1)4,650 4,548
- ------------------------------------------------------
GROUP TOTAL 95,507
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank,
Series 85-1
7.94%, 5/1/02
(acquired 6/22/94,
cost $308) N/R 326 322
sec.## Magnolia
Federal Bank, Series
84-2
9.214%, 10/1/07
(acquired 5/1/87,
cost $881) N/R 937 951
- ------------------------------------------------------
GROUP TOTAL 1,273
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 19 19
## Resolution Trust
Corp., Series 92-5 C
8.63%, 1/25/26 AA 4,978 5,049
Ryland Acceptance
Corp. IV, Series
79-A
6.65%, 7/1/11 AA 5,019 4,721
+ Town & Country
Funding Corp.,
Series A
5.85%, 8/15/98 Aa2 550 545
- ------------------------------------------------------
GROUP TOTAL 10,334
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.3%)
Federal National
Mortgage
Association,
Series:
249 1 PO, 10/25/23 Agy $ 30,875 $ 18,371
254 1 PO, 1/1/24 Agy 4,952 3,130
260 1 PO, 4/1/24 Agy 6,602 4,129
93-146 G PO REMIC,
5/25/23 Agy 5,308 2,708
93-205 G PO REMIC,
9/25/23 Agy 4,283 2,253
93-235 H PO REMIC,
9/25/23 Agy 1,786 1,166
93-243 C PO REMIC,
11/25/23 Agy 1,170 726
- ------------------------------------------------------
GROUP TOTAL 32,483
- ------------------------------------------------------
TELEPHONES (1.4%)
Comcast Cellular
Corp.,
Series:
A,
Zero Coupon, 3/5/00 BB- 8,475 6,229
B,
Zero Coupon, 3/5/00 BB- 2,735 2,010
Rogers Cablesystems
10.00%, 3/15/05 BB+ 6,455 6,810
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 14,870 14,290
9.875%, 6/15/22 BBB- 6,355 6,700
- ------------------------------------------------------
GROUP TOTAL 36,039
- ------------------------------------------------------
TRANSPORTATION (0.4%)
(+) Jet Equipment
Trust,
Series:
95-A A11
10.00%, 6/15/12 A 275 321
95-5A C
10.69%, 5/1/15 BBB- 8,025 9,553
- ------------------------------------------------------
GROUP TOTAL 9,874
- ------------------------------------------------------
U.S. TREASURY SECURITIES (18.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 19,960 23,331
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 27,325 27,611
++ ++ 7.125%, 9/30/99Tsy 234,525 237,639
7.50%, 2/15/05 Tsy 178,990 185,170
- ------------------------------------------------------
GROUP TOTAL 473,751
- ------------------------------------------------------
UTILITIES (0.3%)
(+) Edison Mission
Energy Funding,
Series B
7.33%, 9/15/08 BBB 7,025 6,875
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ------------------------------------------------------
YANKEE (4.6%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB $ 13,130 $ 12,735
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 11,275 10,886
National Power Corp.
7.875%, 12/15/06 BB+ 6,490 6,171
8.40%, 12/15/16 BB+ 6,700 6,317
(+) Paiton Energy
Funding
9.34%, 2/15/14 BBB- 7,870 8,303
(+) Ras Laffan
Liquefied Natural
Gas
8.294%, 3/15/14 BBB+ 18,175 18,178
## Republic of
Argentina
5.25%, 3/31/23 BB- 28,410 17,650
Republic of Colombia
8.70%, 2/15/16 BBB- 11,890 11,577
+ Republic of
Venezuela, Series A
6.75%, 3/31/20 B 10,275 7,257
United Mexican States
6.25%, 12/31/19 BB 24,000 16,800
- ------------------------------------------------------
GROUP TOTAL 115,874
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$2,267,778) 2,236,452
- ------------------------------------------------------
RIGHTS (0.0%)
- ------------------------------------------------------
SHARES
------
*@ United Mexican States Recovery Rights,
expiring 6/30/03 (1)31,400,000 --
*@ Republic of Venezuela Value Recovery
Rights, expiring 3/31/20 (1)51,375 --
- ------------------------------------------------------
TOTAL RIGHTS (COST $0) --
- ------------------------------------------------------
STRUCTURED INVESTMENT (0.2%)-SEE NOTE A7
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
----------
<S> <C> <C> <C>
## Morgan Guaranty Trust
Company, 11/20/05; monthly
payments equal to 1% per
annum of the outstanding
notional balance, indexed
to GNMA ARM pools
(Cost $6,430) N/R $ 173,156 5,411
- ------------------------------------------------------
CASH EQUIVALENTS (25.7%)
- ------------------------------------------------------
Short-term Investments Held
as Collateral for Loaned
Securities (1.8%) 44,355 44,355
- ------------------------------------------------------
COMMERCIAL PAPER (19.1%)
American Express
Credit Corp.
5.25%, 4/10/97 30,000 29,961
5.30%, 4/15/97 30,000 29,938
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO (UNAUDITED)
FACE
AMOUNT VALUE
(CONT'D) (000) (000)++
- ------------------------------------------------------
<S> <C> <C>
Asset Securitization
Corp.
5.30%, 4/17/97 $ 30,000 $ 29,929
Banc One Corp.
5.55%, 4/29/97 30,000 29,870
Beneficial Corp.
5.39%, 5/5/97 30,000 29,847
Caterpillar Finance
Corp.
5.30%, 4/28/97 30,000 29,881
Commercial Credit Co.
5.24%, 4/3/97 30,000 29,991
Delaware Funding Corp.
5.27%, 4/21/97 30,000 29,912
Ford Motor Credit
Corp.
5.55%, 5/21/97 30,000 29,769
Gannett Co.
5.27%, 4/4/97 30,000 29,987
General Electric
Credit Corp.
5.55%, 5/15/97 30,000 29,797
Greenwich Funding
Corp.
5.30%, 4/2/97 30,000 29,996
John Deere Corp.
5.55%, 5/12/97 30,000 29,810
Philip Morris Corp.
5.53%, 5/9/97 30,000 29,825
Prudential Funding
Corp.
5.30%, 4/11/97 30,000 29,956
Xerox Corp.
5.25%, 4/8/97 30,000 29,969
- ------------------------------------------------------
GROUP TOTAL 478,438
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.8%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $122,016,
collateralized by various
U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$123,215 121,995 121,995
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $644,788) 644,788
- ------------------------------------------------------
TOTAL INVESTMENTS (115.0%) (Cost
$2,918,996) 2,886,651
- ------------------------------------------------------
<CAPTION>
VALUE
(000)++
- ------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-15.0%)
Cash $ 1
Dividends Receivable 304
Interest Receivable 30,509
Receivable for Investments Sold 22,516
Receivable for Fund Shares Sold 16,555
Unrealized Gain on Forward Foreign
Currency Contracts 1,286
Receivable for Daily Variation on Futures
Contracts 106
Other Assets 37
Payable for Investments Purchased (394,587)
Payable for Fund Shares Redeemed (7,150)
Payable for Investment Advisory Fees (2,122)
Payable for Administrative Fees (167)
Payable for Shareholder Servicing
Fee-Investment Class (1)
Payable for Distribution Fee-Adviser
Class (6)
Payable for Trustees' Deferred
Compensation Plan-Note F (35)
Collateral on Securities Loaned, at Value (44,355)
Other Liabilities (155)
----------
(377,264)
- ------------------------------------------------------
NET ASSETS (100%) $2,509,387
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 210,503,940 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $2,471,176
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.74
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 745,905 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 8,751
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.73
- ------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,510,935 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 29,460
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.73
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- ------------------------------------------------------
<S> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $2,473,528
Undistributed Net Investment Income
(Loss) 45,251
Undistributed Realized Net Gain (Loss) 21,043
Unrealized Appreciation (Depreciation)
on: Investment Securities (32,343)
Foreign Currency 1,081
Futures 827
- ------------------------------------------------------
NET ASSETS $2,509,387
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$33,963 or 1.4% of net assets.
++ See Note A1 to Financial Statements.
* Non-Income Producing Security.
(+) 144A security. Certain conditions for public sale
may exist.
++ ++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
CAD Canadian Dollar
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, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
SEK Swedish Krona
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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 3/31/97*
MAS INDEX
----------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 3.0% 2.5%
ONE YEAR 5.5 4.9
FIVE YEARS 8.5 7.3
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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Domestic Fixed Income Portfolio from exceeding 0.50% of average daily
net assets. Returns for the period from to 3/31/97 would have been lower if such
waivers and reimbursements had not been made.
* 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 May 1, 1997, the Portfolio's investment policies were changed to allow
limited investments in fixed-income securities of domestic issuers rated BBB at
the time of purchase. Therefore, it is reasonable to expect that the Portfolio's
performance pattern may be somewhat altered. All returns 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 (86.9%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (4.9%)
## Government National
Mortgage Association
Various Pools:
6.00%, 11/20/26-12/20/26 Agy $ 2,112 $ 2,109
6.50%, 7/20/26 Agy 2,808 2,839
- -------------------------------------------------------
GROUP TOTAL 4,948
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (21.7%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
10.00%, 9/1/17-11/1/20 Agy 856 925
10.50%, 4/1/26 Agy 521 573
11.00%, 5/1/20 Agy 250 277
Gold Pools:
7.00%, 4/1/24-12/1/24 Agy 1,990 1,912
12.00%, 11/1/19 Agy 95 107
April TBA
7.50%, 12/15/26-6/15/26 Agy 9,800 9,638
8.00%, 6/15/26 Agy 2,800 2,817
May TBA
7.50%, 6/15/26 Agy 2,200 2,159
Federal National Mortgage
Association Conventional
Pools:
9.00%, 11/1/08-12/1/08 Agy 433 458
9.50%, 2/1/20-8/1/21 Agy 1,062 1,143
10.00%, 5/1/22 Agy 156 170
10.50%, 12/1/17 Agy 470 519
11.50%, 9/1/25 Agy 205 230
Government National
Mortgage Association
Various Pools:
10.00%, 9/15/18-12/25/26 Agy 300 328
10.50%, 5/15/19-2/15/25 Agy 641 712
11.00%, 12/15/09-1/15/10 Agy 31 35
12.00%, 12/15/12-3/15/15 Agy 148 169
- -------------------------------------------------------
GROUP TOTAL 22,172
- -------------------------------------------------------
ASSET BACKED CORPORATES (2.5%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 343 344
## Airplanes Pass Through
Trust, Series 1 B
6.538%, 3/15/19 A 154 154
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 375 381
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 540 538
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R $ 375 $ 373
(+) Team Fleet Financing
Corp., Series 96-1 A
6.65%, 12/15/02 A- 250 244
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 556 553
- -------------------------------------------------------
GROUP TOTAL 2,587
- -------------------------------------------------------
ASSET BACKED MORTGAGES (2.7%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 500 478
Cityscape Home Equity Loan,
Series:
sec. 96-3 YMA 10/25/26
(acquired 12/24/96, cost
$11) N/R 8,350 11
96-3 A8
7.65%, 8/25/26 AAA 450 440
96-3 A IO
1.00%, 10/25/26 N/R 8,306 208
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 400 404
96-4 A11 IO
1.10%, 1/15/28 AAA 7,047 191
sec. 96-4 A12 YMA 1/15/28
(acquired 12/16/96, cost
$4) AAA 2,435 4
sec. 96-4 A12 YMA 1/15/28
(acquired 12/16/96, cost
$11) AAA 7,300 11
96-4 A12 IO
1.05%, 1/15/28 AAA 2,378 64
Delta Funding Home Equity
Loan Trust, Series 96-2
A5
8.01%, 10/25/27 AAA 434 436
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 450 455
- -------------------------------------------------------
GROUP TOTAL 2,702
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.7%)
## Collateralized Mortgage
Obligation Trust, Series
16-Q Inv Fl
12.375%, 3/20/18 AAA 141 145
Federal Home Loan Mortgage
Corporation,
Series:
1632 SA
## 5.657%, 11/15/23 Agy 300 214
1699-SD Inv Fl IO REMIC
2.50%, 3/15/24 Agy 1,915 123
Federal National
Mortgage Association,
Series:
G92-25 SB
Inv Fl IO REMIC
450.00%, 5/25/22 Agy 81 885
96-37 H PO
8/25/23 Agy 443 271
97-3 E PO
12/25/23 Agy 275 147
- -------------------------------------------------------
GROUP TOTAL 1,785
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (6.0%)
Bear Stearns Mortgage
Securities Inc.,
Series 96-9 AI11
8.00%, 12/25/27 AAA 250 249
Citicorp Mortgage
Securities, Inc.,
Series:
94-7 A5
6.25%, 4/25/24 AAA 550 457
(+) 95-2 B1 REMIC
7.50%, 4/25/25 N/R 418 404
Countrywide Mortgage Backed
Securities, Inc., Series
93-C A11
6.50%, 1/25/24 AAA 241 217
(+) DLJ Mortgage Acceptance
Corp., Series 95-CF2 A1B
6.85%, 12/17/27 AAA 575 569
sec. First Boston Mortgage
Securities Corp., Series
93-5 B1
7.30%, 7/25/23 (acquired
7/19/95, cost $228) N/R 240 229
GE Capital Mortgage
Services, Inc.,
Series:
92-10A F
7.50%, 8/25/22 AAA 250 238
94-24 A4
7.00%, 7/25/24 AAA 218 196
94-27 A6
6.50%, 7/25/24 AAA 250 214
sec.+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24
(acquired 11/9/95, cost
$244) A2 244 235
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 100 107
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA $ 150 $ 141
sec. 96-1 B1
7.50%, 6/25/26 (acquired
4/15/96, cost $432) AA 446 432
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 38 38
sec. 95-2 M
8.50%, 6/25/25 (acquired
4/28/95, cost $271) AA 273 278
+ Residential Accredit
Loans Inc., Series 97-QS1
A11
7.50%, 2/25/27 Aaa 500 491
Residential Asset
Securitization Trust,
Series 96-A11 A9
7.75%, 2/25/27 AAA 350 348
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
sec.93-MZ3 A2
6.97%, 8/28/23 (acquired
7/17/95-4/22/96,
cost $507) N/R 550 508
sec. 93-S27 M2
7.50%, 6/25/23 (acquired
7/21/95, cost $231) A 240 230
95-S17 A8
7.50%, 12/25/25 AAA 272 266
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 323 302
- -------------------------------------------------------
GROUP TOTAL 6,149
- -------------------------------------------------------
COMMERCIAL MORTGAGES (8.1%)
American Southwest
Financial Securities
Corp.,
Series:
##93-2 S1 IO
1.056%, 1/18/09 N/R 6,604 342
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 225 226
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 220 223
95-MD4 A1
7.10%, 8/13/29 AAA 270 267
## 95-MD4 ACS2 IO
1.867%, 8/13/29 AAA 1,734 306
(+) 96-D3 A1C
7.40%, 10/13/26 AAA 375 373
96-MD6 A1C
7.04%, 11/13/26 AAA 400 389
(+)+ Carousel Center
Finance, Inc., Series 1 B
7.188%, 10/15/07 A 325 318
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 250 244
Chase Commercial Mortgage
Securities Corp.,
Series 96-2 B
6.90%, 10/19/06 AA 500 476
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 244 256
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 436 432
(+) DLJ Mortgage Acceptance
Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 400 384
96-CF1 A1B
7.58%, 3/13/28 AAA 375 379
## 96-CF2 S IO
1.641%, 11/12/21 N/R 3,927 347
96-CF2 A1B
7.29%, 11/12/21 AAA 385 381
+ GMAC Commercial Mortgage
Securities, Inc., Series
96-C1 X2 IO
1.926%, 3/15/21 Aaa 2,498 222
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 473 472
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 275 265
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 275 276
96-C2 A2
6.82%, 11/21/28 AAA 200 195
96-C2 IO
1.529%, 11/21/28 N/R 2,024 180
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/27 Aaa 325 322
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 225 228
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 100 101
## 94-MD1 A2
7.669%, 3/15/18 N/R 125 127
(+) Prime Property Funding
6.633%, 7/23/03 AA 250 242
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32
<PAGE> 35
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
Structured Asset Securities
Corp.,
Series:
96-CFL X1 IO
1.331%, 2/25/28 N/R $ 3,639 $ 188
96-CFL X1A IO
1.61%, 2/25/28 N/R 3,737 112
96-CFL X2 IO
1.267%, 2/25/28 N/R 931 27
- -------------------------------------------------------
GROUP TOTAL 8,300
- -------------------------------------------------------
ENERGY (0.4%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 450 427
- -------------------------------------------------------
FINANCE (13.1%)
(+) BankAmerica
Institutional, Class A
8.07%, 12/31/26 A- 525 511
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 450 427
## Caterpillar Financial
Services
5.70%, 6/20/97 A 325 325
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 425 407
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 600 574
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 571 539
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 550 524
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 325 314
(+)+ Home Ownership
Funding,
13.331% (Preferred
Stock) Aaa (1)2,375 2,279
## Household Finance Corp.
5.67%, 8/11/97 A 75 75
## International Lease
Finance
6.00%, 10/15/97 A+ 500 501
John Hancock Surplus Note
7.375%, 2/15/24 AA- 500 458
(+) Lazara Properties,
13.547% (Preferred
Stock) A (1)450 439
## Marshall & Ilsley Bank
5.723%, 5/26/97 A+ 525 525
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 550 523
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 625 559
## NationsBank Texas
5.66%, 6/18/97 A+ 250 250
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 600 539
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 570 520
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 500 476
(+) Principal Mutual Life
Insurance Co.,
Series 95-2 A6
7.875%, 3/1/24 AA- 250 235
(+) Staircase Properties,
Inc.,
13.74% (Preferred Stock) A (1)450 441
(+) State Street
Institutional Capital
7.94%, 12/30/26 A 400 383
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 500 483
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 897 861
96 WFP-D
6.95%, 9/1/13 AA- 250 239
- -------------------------------------------------------
GROUP TOTAL 13,407
- -------------------------------------------------------
INDUSTRIALS (0.5%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 360 330
(+) Tier One Properties,
11.095% (Preferred
Stock) A (1)200 195
- -------------------------------------------------------
GROUP TOTAL 525
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec.## Gemsco Mortgage Pass
thru Certificate, Series
83-TX A
8.701%, 11/25/10
(acquired 9/9/88, cost
$286) AA 311 311
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 49 50
- -------------------------------------------------------
GROUP TOTAL 361
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.6%)
Federal Home Loan Mortgage
Corporation, Series
1911-C PO
11/15/23 Agy 700 274
Federal National
Mortgage Association,
Series:
96-34 C PO
3/25/23 Agy 525 217
249 1 PO
10/25/23 Agy 1,352 804
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
(UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
254 1 PO
1/1/24 Agy $ 230 $ 145
260 1 PO
4/1/24 Agy 308 193
- -------------------------------------------------------
GROUP TOTAL 1,633
- -------------------------------------------------------
TRANSPORTATION (0.3%)
(+) Jet Equipment Trust,
Series 95-A A11
10.00%, 6/15/12 A 295 344
- -------------------------------------------------------
U.S. TREASURY SECURITIES (23.0%)
++++ U.S. Treasury Bond
8.75%, 8/15/20 Tsy 4,640 5,424
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 2,950 2,981
7.125%, 9/30/99 Tsy 9,200 9,322
7.50%, 2/15/05 Tsy 5,590 5,783
- -------------------------------------------------------
GROUP TOTAL 23,510
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $90,346) 88,850
- -------------------------------------------------------
CASH EQUIVALENTS (26.0%)
- -------------------------------------------------------
COMMERCIAL PAPER (23.4%)
American General Finance Corp.
5.32%, 5/9/97 3,000 2,983
Bell Atlantic
5.34%, 4/24/97 3,000 2,990
CIT Group Holdings, Inc.
5.34%, 4/21/97 3,000 2,991
Commercial Credit Co.
5.24%, 4/3/97 3,000 2,999
Ford Motor Credit Corp.
5.27%, 4/4/97 3,000 2,999
Greenwich Funding Corp.
5.27%, 4/11/97 3,000 2,995
Metlife Funding, Inc.
5.55%, 5/2/97 3,000 2,986
Xerox Corp.
5.25%, 4/8/97 3,000 2,997
- -------------------------------------------------------
GROUP TOTAL 23,940
- -------------------------------------------------------
REPURCHASE AGREEMENT (2.6%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97, to be
repurchased at $2,615,
collateralized by various
Government Obligations, due
4/10/97-1/29/99, valued at
$2,641 (Cost $2,615) 2,615 2,615
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $26,555) 26,555
- -------------------------------------------------------
TOTAL INVESTMENTS (112.9%) (Cost $116,901) 115,405
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-12.9%)
Cash $ 531
Interest Receivable 1,097
Receivable for Investments Sold 2,261
Receivable for Fund Shares Sold 59
Receivable for Daily Variation on Futures
Contracts 2
Other Assets 2
Payable for Investments Purchased (17,050)
Payable for Investment Advisory Fees (98)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other Liabilities (8)
--------
(13,213)
- -------------------------------------------------------
NET ASSETS (100%) $102,192
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 9,385,170 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $102,192
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.89
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $101,914
Undistributed Net Investment Income (Loss) 1,773
Undistributed Realized Net Gain (Loss) 41
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,496)
Futures (40)
- -------------------------------------------------------
NET ASSETS $102,192
- -------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997
was $2,249 or 2.2% of net assets.
++ See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public
sale may exist.
++++ A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of March 31, 1997.
(1) Amount represents shares held by the 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, 1997.
CMO Collateralized Mortgage Obligation.
IO Interest Only.
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only.
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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's 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 3/31/97*
MAS
---------------------------------
INSTITUTIONAL(a) INVESTMENT(b) ADVISER(c) INDEX
----------------------------------------
<S> <C> <C> <C> <C> <C>
SIX MONTHS 5.8% 5.7% 5.8% 5.4%
ONE YEAR 13.3 13.1 13.3 11.1
FIVE YEARS 13.3 13.2 13.3 11.4
SINCE INCEPTION 11.5 11.4 11.5 11.5
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
5/21/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
(c) Represents an investment in the Adviser Class which commenced operations
1/31/97. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12(b)-1
Fee applicable to the Adviser Class. It is expected that, over time, returns
for the Adviser Class will be lower than for the other classes due to the
higher expenses charged.
For the period from 10/1/91 to 8/28/96, the Adviser voluntarily agreed to
waive its advisory fees and reimburse certain expenses to the extent
necessary to keep total annual operating expenses for Institutional Class
shares of the High Yield Portfolio from exceeding 0.525% of average daily
net assets. Returns for time periods where total annual operating expenses
of the Portfolio would have exceeded 0.525%, were it not for these waivers
and reimbursements, would have been lower.
* The High Yield Portfolio commenced operations on 2/28/89. All returns are
compared to the Salomon High Yield Index, an unmanaged market index. Returns
for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (98.5%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (2.4%)
(+) ALPS, Series 96-1D
12.75%, 6/15/06 BB- $ 6,395 $ 6,779
(+) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust, Series 96-B
A1
7.929%, 11/1/18 N/R 3,336 2,770
- -------------------------------------------------------
GROUP TOTAL 9,549
- -------------------------------------------------------
CABLE (9.2%)
Cablevision Systems
Corp.
9.875%, 5/15/06 B 6,240 6,177
Comcast Corp.
(Convertible)
1.125%, 4/15/07 BB- 5,750 3,019
Comcast Corp.
9.375%, 5/15/05 BB- 1,765 1,807
# Marcus Cable Co.
0.00%, 12/15/05 B 4,690 3,283
Rogers Cablesystems
10.00%, 3/15/05 BB+ 6,630 6,995
TCI Pacific
Communications,
5.00% (Convertible
Preferred Stock) BB- (1)66,085 6,030
Time Warner, Inc.,
Series M, 10.25%
(Preferred Stock) BB+ (1)9,263 10,004
- -------------------------------------------------------
GROUP TOTAL 37,315
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (3.9%)
sec.## CBA Mortgage
Corp., Series 93-C1 E
7.961%, 12/25/03
(acquired 8/18/95,
cost $1,349) BB 1,675 1,569
+ Citicorp Mortgage Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 Ba1 1,702 970
sec. Countrywide
Funding Corp.,
Series 95-4 B3
7.50%, 9/25/25
(acquired 1/19/96,
cost $1,161) N/R 1,460 1,063
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
sec. DLJ Mortgage
Acceptance Corp.,
Series 94-3 B3
6.50%, 4/25/24
(acquired 5/8/95,
cost $927) N/R $ 1,388 $ 792
+ First Boston
Mortgage Securities
Corp., Series 92-4R 2
8.025%, 10/25/22 Ba3 5 5
(+) GE Capital
Mortgage Services,
Inc., Series 94-28 B3
8.00%, 8/25/24 N/R 1,390 1,040
Prudential Home
Mortgage Securities
Co., Inc.,
Series:
(+)+ 92-A 3B2
7.90%, 4/28/22 B3 3,900 2,340
sec.+ 96-A B1
7.963%, 4/15/25
(acquired 4/18/96,
cost $2,137) Ba2 3,200 2,281
(+) 96-5 B3
7.25%, 4/25/26 N/R 1,468 1,215
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
sec. 95-S10 B1
7.50%, 7/25/25
(acquired 8/25/95,
cost $467) BB 615 487
sec. 95-S11 B1
7.50%, 9/25/25
(acquired 8/25/95,
cost $971) BB 1,280 1,012
sec. 95-S16 B3
7.50%, 11/25/25
(acquired 9/20/95,
cost $955) N/R 1,237 966
## Ryland Mortgage
Securities Corp.,
Series 92-A C1
8.285%, 3/29/30 BB 700 524
Saxon Mortgage
Securities Corp.,
Series:
sec. 93-8A B3
7.30%, 9/25/23
(acquired 2/9/94,
cost $735) BB 859 598
(+) 94-2 B3
6.75%, 1/25/24 BB 1,591 1,009
- -------------------------------------------------------
GROUP TOTAL 15,871
- -------------------------------------------------------
COMMERCIAL MORTGAGES (1.0%)
(+)## DLJ Mortgage
Acceptance Corp.,
Series 96-CF2 S IO
1.641%, 11/12/21 N/R 8,450 747
+ GMAC Commercial
Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.926%, 3/15/21 Aaa 15,984 1,418
Structured Asset Securities Corp.,
Series:
96-CFL X1 IO
1.331%, 2/25/28 N/R 23,035 1,187
96-CFL X1A IO
1.61%, 2/25/28 N/R 23,074 692
96-CFL X2 IO
1.267%, 2/25/28 N/R 5,473 161
- -------------------------------------------------------
GROUP TOTAL 4,205
- -------------------------------------------------------
CONSUMER SERVICES/PRODUCTS (2.6%)
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 6,105 6,093
TLC Beatrice
International
Holdings, Inc.
11.50%, 10/1/05 BB- 4,150 4,461
- -------------------------------------------------------
GROUP TOTAL 10,554
- -------------------------------------------------------
ENERGY (2.4%)
Midland Funding II,
Series A
11.75%, 7/23/05 B- 2,300 2,596
Nuevo Energy Co.
9.50%, 4/15/06 B 3,005 3,088
Vintage Petroleum
8.625%, 2/1/09 B+ 4,160 3,962
- -------------------------------------------------------
GROUP TOTAL 9,646
- -------------------------------------------------------
FINANCE (5.3%)
Amresco, Inc., Series
97-A
10.00%, 3/15/04 B 3,700 3,663
Anthem Insurance,
Series A
9.00%, 4/1/27 BBB+ 4,250 4,189
First Nationwide
Holdings, Inc.
9.125%, 1/15/03 B 1,625 1,658
(+) 10.625%, 10/1/03 B 2,710 2,900
Homeside, Inc.
11.25%, 5/15/03 B+ 1,007 1,133
</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)++
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Riggs Capital
Trust II
8.875%, 3/15/27 BB- $ 4,310 $ 4,305
## United Savings of
Texas
8.05%, 5/15/98 BB+ 3,505 3,566
- -------------------------------------------------------
GROUP TOTAL 21,414
- -------------------------------------------------------
INDUSTRIALS (30.5%)
Advanced Micro
Devices
11.00%, 8/1/03 BB- 5,655 6,220
(+) Borg-Warner
Security Corp.
9.625%, 3/15/07 B- 4,155 4,098
Boyd Gaming Corp.
9.25%, 10/1/03 BB 5,015 4,739
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 3,500 3,531
*(+)@ Consolidated
Hydro, Inc.
(Warrants, expiring
12/31/03) (1)2,700 --
* Consolidated Hydro,
Inc., 13.50%
(Preferred Stock) N/R (1)1,500 208
Courtyard by
Marriott, Series B
10.75%, 2/1/08 B- 4,310 4,547
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 2,080 2,030
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 2,272 1,941
93-K1 A2
7.43%, 8/15/18 BB- 2,565 2,024
94-K1 A1
7.60%, 8/15/07 BB- 3,821 3,546
94-K1 A2
8.375%, 8/15/15 BB- 1,525 1,338
DR Structured
Finance, Series
94-K2
9.35%, 8/15/19 BB- 850 812
Gaylord Container
Corp.
11.50%, 5/15/01 B 4,500 4,736
# 12.75%, 5/15/05 B- 5,125 5,631
Grand Casinos, Inc.
10.125%, 12/1/03 BB 6,275 6,236
HMC Acquisition
Properties
9.00%, 12/15/07 BB- 3,585 3,621
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,175 5,259
(+) ISP Holdings,
Inc.
9.00%, 10/15/03 B+ 8,020 8,090
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- 4,850 4,645
# Norcal Waste
Systems, Inc.
13.00%, 11/15/05 BB- 5,985 6,643
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 1,100 1,215
SD Warren Co.
12.00%, 12/15/04 B+ 4,300 4,773
(+) Sinclair Capital,
11.625% (Preferred
Stock) B (1)41,500 4,129
(+) Stone Container
Corp.
11.50%, 8/15/06 B+ 1,500 1,478
(+) Sun International
Hotels
9.00%, 3/15/07 B+ 2,490 2,390
(+) TCI Satellite
Entertainment, Inc.
12.25%, 2/15/07 B- 13,115 6,033
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 8,575 8,241
Tenet Healthcare
Corp.
8.625%, 1/15/07 B+ 3,880 3,827
Viacom, Inc.
8.00%, 7/7/06 BB- 12,625 11,868
- -------------------------------------------------------
GROUP TOTAL 123,849
- -------------------------------------------------------
SUPERMARKETS (1.1%)
Southland Corp.
5.00%, 12/15/03 BB+ 5,649 4,632
- -------------------------------------------------------
TECHNOLOGY (0.6%)
## Blue Bell Funding
11.854%, 5/1/99 BB- 2,215 2,270
- -------------------------------------------------------
TELEPHONES (15.9%)
# Brooks Fiber
Properties, Inc.
0.00%, 3/1/06 N/R 8,420 5,326
(+) 0.00%, 11/1/06 N/R 5,035 3,034
Comcast Cellular
Corp.,
Series:
A, Zero Coupon,
3/5/00 BB- 125 92
B, Zero Coupon,
3/5/00 BB- 6,415 4,715
*@ Dial Call
Communications,
Inc. (Warrants,
expiring 4/25/99) (1)4,800 --
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC- 4,800 3,588
+ 0.00%, 12/15/05 B3 1,900 1,332
# EchoStar Satellite
Broadcast
0.00%, 3/15/04 B- 8,855 7,051
(+) Globalstar LP
11.375%, 2/15/04 B 6,890 6,735
+ IXC Communications
Inc., Series B
12.50%, 10/1/05 B3 3,715 4,124
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
# Nextel
Communications,
Inc.
0.00%, 8/15/04 CCC- $ 14,860 $ 10,253
Paging Network, Inc.
10.125%, 8/1/07 B 900 839
10.00%, 10/15/08 B 3,370 3,109
(+) Qwest
Communications
International, Inc.
10.875%, 4/1/07 B+ 3,575 3,553
Rogers
Communications,
Inc.
9.125%, 1/15/06 BB- 2,060 2,039
# Teleport
Communications
Group, Inc.
0.00%, 7/1/07 B 12,740 8,631
- -------------------------------------------------------
GROUP TOTAL 64,421
- -------------------------------------------------------
TRANSPORTATION (1.9%)
sec. Jet Equipment
Trust
Series 95-A
11.79%, 6/15/13
(acquired 4/26/96,
cost $3,912) BB+ 3,450 4,131
(+) Series 95-D C
11.44%, 11/1/14 BB+ 2,350 2,772
USAir Inc., Series F:
10.55%, 4/1/05 B+ 625 600
10.70%, 1/15/06 B+ 296 285
- -------------------------------------------------------
GROUP TOTAL 7,788
- -------------------------------------------------------
UTILITIES (1.7%)
Cleveland Electric
Illuminating Co.
Series B
8.375%, 12/1/11 BB 600 584
8.375%, 8/1/12 BB 2,025 1,974
Midland Cogeneration
Ltd. Venture LP,
Series:
C-91
10.33%, 7/23/02 BB- 684 727
C-94
10.33%, 7/23/02 BB- 3,296 3,506
- -------------------------------------------------------
GROUP TOTAL 6,791
- -------------------------------------------------------
YANKEE (20.0%)
(+) APP International
Finance II
Mauritius Ltd.
12.00%, 12/29/49 B+ 3,585 3,468
## Central Bank of
Argentina Bocon PIK
Pre 4
5.375%, 9/1/02 N/R 3,810 4,222
(+) Globo
Communicacoes
10.50%, 12/20/06 B+ 3,050 3,092
(+) Multicanal SA
10.50%, 2/1/07 BB- 2,960 2,990
Net Sat Servicos Ltd.
12.75%, 8/5/04 B 3,210 3,342
# Occidente y Caribe
Celular
0.00%, 3/15/04 B 6,980 4,607
## Republic of
Argentina
5.25%, 3/31/23 BB- 19,400 12,052
+## Republic of
Brazil Front Loaded
Interest Reduction
Bond
4.50%, 4/15/09 BB 8,565 6,295
Republic of Colombia
8.70%, 2/15/16 BBB- 7,975 7,765
(+) Republic of
Panama
7.875%, 2/13/02 BB+ 4,315 4,186
Republic of
Venezuela, Series A
6.75%, 3/31/20 B 11,225 7,928
*@ Republic of
Venezuela Recovery
Rights, expiring
3/31/20 (1)56,125 --
Russian Interest
Arrears Note
6.75%, 6/30/17 BB- 6,375 4,287
(+) Transgas de
Occidente S.A.
9.79%, 11/1/10 BBB- 2,800 2,933
(+) TV Azteca SA de CV
10.50%, 2/15/07 B 4,830 4,757
United Mexican States
6.25%, 12/31/19 BB 13,375 9,363
*@ United Mexican
States Recovery
Rights, expiring
6/30/03 (1)13,375,000 --
- -------------------------------------------------------
GROUP TOTAL 81,287
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $397,718) 399,592
- -------------------------------------------------------
CASH EQUIVALENT (2.2%)
- -------------------------------------------------------
REPURCHASE AGREEMENT (2.2%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $9,099, collateralized
by various U.S. Government
Obligations due
4/1/97-1/29/99, valued at
$9,188 (Cost $9,097) 9,097 9,097
- -------------------------------------------------------
TOTAL INVESTMENTS (100.7%) (Cost $406,815) 408,689
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- -------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.7%)
Cash $ 627
Interest Receivable 8,430
Receivable for Investments Sold 6,879
Receivable for Fund Shares Sold 191
Other Assets 8
Payable for Investments Purchased (11,167)
Payable for Fund Shares Redeemed (7,452)
Payable for Investment Advisory Fees (366)
Payable for Administrative Fees (32)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Other Liabilities (21)
--------
(2,910)
- -------------------------------------------------------
NET ASSETS (100%) $405,779
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 42,283,550 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $394,929
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.34
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,028,737 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 9,603
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.33
- -------------------------------------------------------
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 133,527 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,247
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.34
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $393,218
Undistributed Net Investment Income (Loss) 9,011
Undistributed Realized Net Gain (Loss) 1,676
Unrealized Appreciation (Depreciation) on
Investment Securities 1,874
- -------------------------------------------------------
NET ASSETS $405,779
- -------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$12,899 or 3.2% of net assets.
+ See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PIK Paid-In-Kind Security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
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 U.S. Treasury Bills.
<TABLE>
<S> <C> <C>
- -------------------------------------------------------
SEC 7-DAY YIELDS AT 3/31/97
AVERAGE YIELD 5.19%
EFFECTIVE YIELD 5.33
- -------------------------------------------------------
</TABLE>
MAS Funds returns are net of all fees. Returns represent past performance and
are not indicative of future results.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain other expenses to the extent necessary to keep total annual operating
expenses for the Cash Reserves Portfolio from exceeding 0.32% of average daily
net assets. Returns for the period from 10/1/90 to 3/31/97 would have been lower
if such waivers and reimbursements had not been made.
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 (92.5%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
FACE
AMOUNT VALUE
MARCH 31, 1997 (000) (000)++
- -----------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (22.9%)
American Express Credit Corp.
5.30%, 4/25/97 $ 2,300 $ 2,292
Canadian Imperial Bank of
Commerce
5.35%, 5/19/97 2,300 2,284
CIT Group Holdings, Inc.
5.51%, 4/24/97 2,300 2,291
Citation Capital Corp.
5.41%, 5/12/97 2,000 1,988
Commerzbank U.S. Finance, Inc.
5.40%, 5/19/97 2,300 2,283
Elger Capital Corp.
5.55%, 4/25/97 2,300 2,291
ING Finance Corp.
5.35%, 4/14/97 2,300 2,296
Toronto-Dominion Bank
5.47%, 4/21/97 $ 2,300 $ 2,293
- -----------------------------------------------------
GROUP TOTAL 18,018
- -----------------------------------------------------
FINANCIAL LEASING & SERVICES (14.1%)
Asset Backed Capital Ltd.
5.67%, 4/25/97 2,300 2,291
Asset Securitization Corp.
5.33%, 5/6/97 2,300 2,288
Delaware Funding Corp.
5.27%, 4/21/97 2,300 2,293
International Lease Finance
Corp.
5.37%, 5/23/97 2,300 2,282
Panasonic Finance, Inc.
5.33%, 5/13/97 2,000 1,988
- -----------------------------------------------------
GROUP TOTAL 11,142
- -----------------------------------------------------
INDUSTRIALS (17.8%)
Electronic Data Systems Corp.
5.29%, 4/4/97 2,300 2,299
General Electric Capital Corp.
5.32%, 5/2/97 2,300 2,289
IBM Credit Corp.
5.35%, 5/19/97 2,300 2,284
McGraw-Hill, Inc.
5.52%, 5/27/97 2,360 2,340
Monsanto Co.
5.31%, 4/2/97 2,500 2,500
Pitney Bowes Credit Corp.
5.37%, 4/17/97 2,300 2,294
- -----------------------------------------------------
GROUP TOTAL 14,006
- -----------------------------------------------------
MANUFACTURING AND RETAIL TRADE (2.9%)
Xerox Corp.
5.32%, 5/1/97 2,300 2,290
- -----------------------------------------------------
PERSONAL BANKING & CREDIT (20.3%)
American General Finance Corp.
5.34%, 5/14/97 2,300 2,285
Ford Motor Credit Corp.
5.29%, 4/14/97 2,300 2,296
Household Finance Corp.
5.51%, 4/30/97 2,300 2,290
Metlife Funding, Inc.
5.25%, 4/11/97 2,238 2,235
Prudential Funding Corp.
5.36%, 5/16/97 2,300 2,285
Transamerica Corp.
5.26%, 4/11/97 2,300 2,297
Weyerhaeuser Mortgage Corp.
5.37%, 5/13/97 2,300 2,286
- -----------------------------------------------------
GROUP TOTAL 15,974
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- -----------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS (5.8%)
Bell Atlantic Corp.
5.31%, 4/4/97 $ 2,300 $ 2,299
Dow Jones & Co., Inc.
5.52%, 5/5/97 2,300 2,288
- -----------------------------------------------------
GROUP TOTAL 4,587
- -----------------------------------------------------
TRANSPORTATION (2.9%)
Daimler-Benz AG
5.32%, 5/2/97 2,300 2,289
- -----------------------------------------------------
UTILITIES (5.8%)
Pacific Gas & Electric Co.
5.34%, 4/18/97 2,300 2,294
Southern California Edison Co.
5.54%, 5/8/97 2,300 2,286
- -----------------------------------------------------
GROUP TOTAL 4,580
- -----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $72,886) 72,886
- -----------------------------------------------------
REPURCHASE AGREEMENT (7.2%)
- -----------------------------------------------------
Chase Securities, Inc. 6.20%,
dated 03/31/97, due 4/1/97, to
be repurchased at $5,678,
collateralized by U.S.
Treasury Notes, due 5/15/99,
valued at $5,801 (Cost $5,677) 5,677 5,677
- -----------------------------------------------------
TOTAL INVESTMENTS (99.7%) (Cost $78,563) 78,563
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.3%)
Receivable for Fund Shares Sold $ 285
Other Assets 2
Payable for Fund Shares Redeemed (22)
Dividends Payable (8)
Payable for Investment Advisory Fees (33)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (18)
--------
200
- -----------------------------------------------------
NET ASSETS (100%) $ 78,763
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 78,763,687 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 78,763
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 78,763
- -----------------------------------------------------
NET ASSETS $ 78,763
- -----------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
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>
<S> <C> <C>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS INDEX
------------------------------
SIX MONTHS 3.2% 2.5%
ONE YEAR 6.4 4.9
FIVE YEARS 8.0 7.3
SINCE INCEPTION 9.7 8.6
- ---------------------------------------------------------
</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.
* The Fixed Income Portfolio II commenced operations on 8/31/90. Pursuant to a
vote of the Portfolio's shareholders on May 12, 1997, the Portfolio's
investment policies were changed to allow investments in fixed-income
securities of domestic issuers rated BBB or higher at time of purchase.
Therefore, it is reasonable to expect that the Portfolio's performance pattern
may be somewhat altered. All returns 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 (92.6%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (5.4%)
## Government National
Mortgage Association
Various Pools:
6.00%, 11/20/26-12/20/26 Agy $ 5,329 $ 5,323
6.50%, 7/20/26 Agy $ 5,035 $ 5,091
- --------------------------------------------------------
GROUP TOTAL 10,414
- --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (13.2%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
8.25%, 10/1/06 Agy 108 111
10.00%, 9/1/17-11/1/20 Agy 1,504 1,625
10.25%, 7/1/09 Agy 286 311
11.00%, 1/1/16 Agy 385 426
11.25%, 9/1/10-12/1/14 Agy 384 427
11.50%, 2/1/00 Agy 1 1
Gold Pools:
7.00%, 9/1/23-6/1/25 Agy 5,093 4,896
10.00%, 1/1/21 Agy 1,003 1,092
March TBA
7.50%, 6/15/27 Agy 3,000 2,950
April TBA
7.50%, 12/15/26 Agy 2,425 2,385
May TBA
7.50%, 6/15/26 Agy 4,100 4,023
Federal National Mortgage
Association
Conventional Pools:
10.00%, 5/1/22 Agy 939 1,019
10.50%, 11/1/17-12/1/17 Agy 837 924
10.75%, 8/1/13 Agy 104 115
11.25%, 11/1/00-8/1/13 Agy 226 252
11.50%, 9/1/25 Agy 819 921
Government National
Mortgage Association
Various Pools:
10.00%, 11/15/09-5/15/18 Agy 1,945 2,130
10.50%, 12/15/00-5/15/19 Agy 122 136
11.00%, 2/15/10-2/15/19 Agy 1,576 1,775
11.50%, 8/20/14-1/20/18 Agy 32 35
- --------------------------------------------------------
GROUP TOTAL 25,554
- --------------------------------------------------------
ASSET BACKED CORPORATES (3.9%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 1,017 1,021
## Airplanes Pass Through
Trust, Series 1 B
6.538%, 3/15/19 A 510 511
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 800 812
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 1,493 1,488
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 1,125 1,120
Security Pacific Home
Equity Trust, Series
91-AB
10.50%, 3/10/06 A+ 595 596
</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)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Team Fleet Financing
Corporation, Series 96-1A
6.65%, 12/15/02 A- $ 475 $ 464
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 1,520 1,511
- --------------------------------------------------------
GROUP TOTAL 7,523
- --------------------------------------------------------
ASSET BACKED MORTGAGES (1.0%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 1,000 956
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
5.267%, 10/25/26 N/R 16,651 416
sec. 96-3 YMA
10/25/26 (acquired
12/24/96, cost $22) N/R 16,740 22
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 14,094 382
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost $7) AAA 4,870 7
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost $22) AAA 14,600 22
96-4 A12 IO
1.05%, 1/15/28 AAA 4,756 128
- --------------------------------------------------------
GROUP TOTAL 1,933
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.5%)
Federal Home Loan Mortgage
Corporation,
Series:
89-47 F PAC CMO
10.00%, 6/15/20 Agy 400 432
93-149 O PO REMIC,
8/25/23 Agy 134 66
96-14 PC PO REMIC
12/25/23 Agy 105 47
96-37 H PO REMIC 8/25/23 Agy 800 490
96-46 PB PO REMIC 9/25/23 Agy 110 59
96-54 N PO REMIC 7/25/23 Agy 80 49
96-54 O PO REMIC 11/25/23 Agy 90 45
1632 SA Inv Fl REMIC
5.657%, 11/15/23 Agy 884 629
1699-SD Inv Fl IO REMIC
2.50%, 3/15/24 Agy 9,720 624
1709 H PO REMIC, 1/15/24 Agy 62 22
1750-C PD PO REMIC,
3/15/24 Agy 94 55
1813 K PO REMIC, 2/15/24 Agy 60 36
1844 PC PO REMIC, 3/15/24 Agy 110 56
1887 I PO REMIC, 10/15/22 Agy 65 36
Federal National Mortgage
Association, Series 92-33
S Inv Fl
11.46%, 3/25/22 Agy 305 302
- --------------------------------------------------------
GROUP TOTAL 2,948
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (11.3%)
## Bear Stearns Mortgage
Securities Inc., Series
96-4 AI 10
8.125%, 9/25/27 AAA 1,100 1,104
+ Chase Mortgage Finance
Corp.,
Series:
93-N A8
6.75%, 11/25/24 Aaa 1,287 1,129
94-H A7
7.25%, 6/25/25 Aaa 1,600 1,478
Chemical Mortgage
Securities, Inc., Series
96-1 A9
7.25%, 1/25/26 AAA 1 1
(+) Citicorp Mortgage
Securities, Inc., Series
95-2 B1, REMIC,
7.50%, 4/25/25 N/R 780 754
First Boston Mortgage
Corp.,
Series:
sec. 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93, cost
$321) A 334 323
sec. 93-5 B1
7.30%, 7/25/23 (acquired
7/19/95, cost $1,355) N/R 1,425 1,358
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 582 523
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.528%, 5/28/22
(acquired 8/5/92, cost
$281) N/R 281 277
Mid-State Trust II, Series
88-A4
9.625%, 4/1/03 AAA 1,050 1,128
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 2,117 1,986
sec. 96-1 B1
7.50%, 6/25/26 (acquired
4/15/96, cost $1,128) AA 1,166 1,128
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO II
(UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Prudential Home Mortgage
Securities Co., Inc,
Series:
sec.+ 92-33 B1
7.50%, 8/15/22 (acquired
9/14/92, cost $526) Aa3 $ 553 $ 512
(+)+ 92A-B2 4,
7.90%, 4/28/22 A1 1,000 897
sec.+ 93-17 B1
6.50%, 3/1/23 (acquired
4/14/93, cost $577) Aa2 600 582
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 1,450 1,330
Residential Accredit Loans
Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 525 525
+ 97-Q54 A9
7.75%, 6/15/27 Aaa 875 866
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
93-MZ1 A2
7.47%, 3/2/23 AA 1,000 967
sec. 93-MZ2 A2
7.47%, 5/30/23 (acquired
5/12/93, cost $651) AA 650 627
sec. 93-MZ3 A2
6.97%, 8/28/23 (acquired
6/2/95, cost $658) N/R 700 646
sec. 93-S27 M2
7.50%, 6/25/23 (acquired
7/21/95, cost $770) A 800 764
sec. 94-S1 A19
6.75%, 1/25/24 (acquired
5/22/95, cost $703) AAA 771 716
95-R20 A5
7.50%, 12/25/25 AAA 1 1
Rural Housing Trust, Series
87-1M
3.33%, 10/1/28 A- 1,160 1,086
## Ryland Mortgage
Securities Corp., Series
92-A 1A
8.285%, 3/29/30 A- 563 553
sec.+ Salomon Brothers
Mortgage Securities,
Series 93-3 B1
7.20%, 8/25/23 (acquired
7/26/95, cost $598) Aa2 625 588
- --------------------------------------------------------
GROUP TOTAL 21,849
- --------------------------------------------------------
COMMERCIAL MORTGAGES (12.4%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 1,108 1,088
## 93-2 S1 IO
1.056%, 1/18/09 N/R 11,373 590
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 1,050 1,053
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 1,270 1,286
95-MD4 A1
7.10%, 8/13/29 AAA 1,177 1,163
## 95-MD4 ACS2 IO
1.867%, 8/13/29 N/R 2,050 362
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 850 846
96-MD6 A1C
7.04%, 11/13/26 AAA 825 802
Beverly Finance Corp.
8.36%, 7/15/04 AA- 675 701
(+) Carousel Center
Finance, Inc., Series 1 B
7.188%, 10/15/07 A 1,400 1,371
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 950 929
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 731 768
(+) Crystal Run Properties,
Series A
7.393%, 8/15/06 AA 1,100 1,086
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 582 577
+ DLJ Mortgage Acceptance
Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 1,100 1,056
96-CF1 A1B
7.58%, 3/13/28 AAA 1,100 1,111
96-CF2 AIB
7.29%, 7/15/06 AAA 260 258
## 96-CF2 S IO
1.641%, 11/12/21 N/R 1,535 136
(+) FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA 672 673
+ GMAC Commercial Mortgage
Securities, Inc., Series
96-C1 X2 IO
1.926%, 3/15/21 Aaa 3,890 345
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 900 869
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 1,043 1,041
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 1,100 1,103
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
96-C2 A2
6.82%, 11/21/28 AAA $ 400 $ 390
96-C2 IO
1.529%, 11/21/28 N/R 4,193 373
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 700 693
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,316
## Nomura Asset Securities
Corp., Series 94-MD1 A2
7.669%, 3/15/18 AA 750 763
(+) Prime Property Funding,
Series 1A
6.633%, 7/23/03 AA 1,150 1,115
- --------------------------------------------------------
GROUP TOTAL 23,864
- --------------------------------------------------------
ENERGY (0.6%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 1,275 1,210
- --------------------------------------------------------
FINANCE (14.1%)
(+)+ BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 A3 850 806
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 900 875
## Caterpillar Financial
Services
5.70%, 6/20/97 A 1,350 1,350
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 400 383
Countrywide Funding Corp.,
Series A
6.55%, 4/14/00 A 1,000 988
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 950 909
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,169 1,103
First Chicago NBD Corp.,
Series:
+ A,
7.95%, 12/1/26 A- 1,025 976
## F,
5.718%, 10/3/97 A 1,525 1,525
+ First Union Institutional
Capital, Series I
8.04%, 12/1/26 A2 825 798
(+)+ Home Ownership
Funding, 13.331%
(Preferred Stock) Aaa (1)4,350 4,174
## Household Finance Corp.
5.67%, 8/11/97 A 1,350 1,351
John Hancock Surplus Note
7.375%, 2/15/24 AA- 950 871
(+) Lazara Properties,
13.547% (Preferred
Stock) A (1)900 877
(+) Massachusetts Mutual
Life Insurance Co.
7.625%, 11/15/23 AA- 900 856
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 1,200 1,074
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 1,250 1,123
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 1,250 1,139
(+)+ PNC Institutional
Capital, Series A
7.95%, 12/15/26 A2 1,050 1,000
(+) Principal Mutual Life
Insurance Co., Series
95-2 A6
7.875%, 3/1/24 AA- 825 776
(+) Staircase Properties,
Inc.,
13.74% (Preferred Stock) A (1)875 857
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 825 790
(+)+ Wells Fargo Capital,
Series A
8.125%, 12/1/26 A2 1,000 967
(+) World Financial
Properties
Series:
96 WFP-B
6.91%, 9/1/13 AA- 1,346 1,291
96 WFP-D
6.95%, 9/1/13 AA- 450 431
- --------------------------------------------------------
GROUP TOTAL 27,290
- --------------------------------------------------------
FOREIGN GOVERNMENTS (3.0%)
Government of Canada
9.75%, 6/1/21 AA+ CAD2,165 1,992
Swedish Government
6.00%, 2/9/05 AAA SEK15,600 1,950
10.25%, 5/5/03 AA+ 11,000 1,728
- --------------------------------------------------------
GROUP TOTAL 5,670
- --------------------------------------------------------
INDUSTRIALS (0.7%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A $ 1,025 939
(+) Tier One Properties,
11.095% (Preferred
Stock) A (1)425 416
- --------------------------------------------------------
GROUP TOTAL 1,355
- --------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
Bank of America, Series A
8.375%, 5/1/07 AAA 135 135
California Federal Savings
& Loan, Series 86-1A
8.80%, 1/1/14 AA 83 83
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 53 53
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
(UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
## Resolution Trust Corp.,
Series 92-5 C
8.63%, 1/25/26 AA $ 521 $ 529
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 835 786
- --------------------------------------------------------
GROUP TOTAL 1,586
- --------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.5%)
Federal National Mortgage
Association
Series:
93-146 G PO REMIC 5/25/23 Agy 583 297
93-205 G PO REMIC 9/25/23 Agy 474 249
93-235 H PO REMIC 9/25/23 Agy 194 127
93-243 C PO REMIC
11/25/23 Agy 128 79
249 1 PO 10/25/23 Agy 2,030 1,208
254 1 PO 1/1/24 Agy 670 423
260 1 PO 4/1/24 Agy 896 561
- --------------------------------------------------------
GROUP TOTAL 2,944
- --------------------------------------------------------
TRANSPORTATION (0.6%)
(+) Jet Equipment Trust,
Series 95-A A11
10.00%, 6/15/12 A 950 1,108
- --------------------------------------------------------
U.S. TREASURY SECURITIES (22.6%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 4,445 5,196
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 3,500 3,498
7.00%, 4/15/99 Tsy 3,200 3,234
++ 7.125%, 9/30/99 Tsy 17,000 17,226
7.50%, 2/15/05 Tsy 14,080 14,566
- --------------------------------------------------------
GROUP TOTAL 43,720
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $181,572) 178,968
- --------------------------------------------------------
CASH EQUIVALENTS (12.6%)
- --------------------------------------------------------
Short-term Investments Held
as Collateral for Loaned
Securities (1.9%) 3,649 3,649
- --------------------------------------------------------
COMMERCIAL PAPER (6.2%)
American Express Credit
Corp.
5.30%, 4/15/97 6,000 5,988
CIT Group Holdings, Inc.
5.34%, 4/21/97 6,000 5,982
- --------------------------------------------------------
GROUP TOTAL 11,970
- --------------------------------------------------------
REPURCHASE AGREEMENT (4.5%)
Chase Securities, Inc.
6.20%, dated 3/31/97,
due 4/1/97, to be
repurchased at $8,773,
collateralized by
various U.S. Government
Obligations, due
4/10/97-1/29/99, valued
at $8,859 8,771 8,771
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $24,390) 24,390
- --------------------------------------------------------
TOTAL INVESTMENTS (105.2%) (Cost $205,962) 203,358
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.2%)
Dividends Receivable 23
Interest Receivable 2,385
Receivable for Investments Sold 14,691
Receivable for Fund Shares Sold 579
Receivable for Daily Variation on Futures
Contracts 2
Unrealized Gain on Forward Foreign Currency
Contracts 127
Other Assets 4
Payable for Investments Purchased (24,018)
Payable for Investment Advisory Fees (187)
Payable for Administrative Fees (13)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Payable to Custodian (2)
Collateral on Securities Loaned, at Value (3,649)
Other Liabilities (33)
---------
(10,095)
- --------------------------------------------------------
NET ASSETS (100%) $ 193,263
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 17,427,434 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 193,263
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.09
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- --------------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 190,491
Undistributed Net Investment Income (Loss) 4,049
Undistributed Realized Net Gain (Loss) 1,204
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,602)
Foreign Currency 105
Futures 16
- --------------------------------------------------------
NET ASSETS $ 193,263
- --------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$7,572 or 3.9% of net assets.
++ See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale
may exist.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
CAD Canadian Dollar
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, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
SEK Swedish Krona
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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>
<S> <C> <C>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS INDEX
------------------------------
SIX MONTHS 3.9% 3.0%
ONE YEAR 7.2 6.0
FIVE YEARS 7.1 6.9
SINCE INCEPTION 6.9 6.8
- ---------------------------------------------------------
</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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Mortgage-Backed Portfolio from exceeding 0.50% of average daily net
assets. Returns presented include the effects of these waivers and
reimbursements. If such waivers and reimbursements had not been made, the actual
returns would have been lower.
* The Mortgage-Backed Securities Portfolio commenced operations on 1/31/92. All
returns are compared to the Lehman Brothers Mortgage Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.7%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (54.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 2/1/18 Agy $ 381 $ 411
Gold Pools:
7.00%, 1/1/24-12/1/24 Agy 1,135 1,091
March TBA
7.50%, 6/15/27 Agy 6,925 6,810
April TBA
7.50%,
6/15/26-12/15/26 Agy 16,700 16,424
8.00%, 6/15/26 Agy 1,500 1,509
Federal National
Mortgage Association
Conventional Pools:
11.50%, 2/1/15-12/1/15 Agy 189 213
12.50%, 9/1/13 Agy 29 34
Government National
Mortgage Association
Various Pools:
10.00%, 12/25/26 Agy 164 180
10.50%, 12/15/17 Agy 311 346
12.00%, 12/15/12-
11/15/15 Agy 1,255 1,438
- -------------------------------------------------------
GROUP TOTAL 28,456
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.7%)
Security Pacific Home
Equity Trust, Series
91-A B
10.50%, 3/10/06 A+ 366 366
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (8.1%)
Federal Home Loan
Mortgage Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy 265 280
90-1007 F Inv Fl
22.61%, 1/15/20 Agy 8 9
209 S Inv Fl IO REMIC
3.55%, 12/15/18 Agy 1,594 184
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 225 92
1476-S Inv Fl IO REMIC
PAC
4.408%, 2/15/08 Agy 1,785 187
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 3,270 248
1600-SA Inv Fl IO REMIC
2.50%, 10/15/08 Agy 4,906 222
1950 Inv Fl IO REMIC
2.562%, 4/15/22 Agy 5,000 414
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
28.777%, 9/25/20 Agy 67 95
92-33 S Inv Fl
11.46%, 3/25/22 Agy 325 322
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
sec. 92-52 SQ Inv FI IO
REMIC
7105.856%, 9/25/22
(acquired 7/11/96,
cost $240) Agy $ 1 $ 242
92-186 S Inv Fl IO CMO
3.429%, 10/25/07 Agy 3,582 275
96-68 SC Inv Fl IO
REMIC
2.694%, 1/25/24 Agy 627 64
97-30 SI Inv Fl IO
REMIC
2.562%, 5/25/27 Agy 1,500 124
Government National
Mortgage Association
Series:
96-12 S Inv FI IO REMIC
3.063%, 6/16/26 Agy 7,334 450
96-13 S Inv Fl IO REMIC
3.65%, 7/16/11 Agy 2,900 216
96-17 S Inv Fl IO REMIC
3.113%, 8/16/26 Agy 3,621 229
Kidder Peabody Mortgage
Assets Trust,
Series:
+ 87-B IO
9.50%, 4/22/18 Aaa 307 97
+ 87-B PO 4/22/18 Aaa 316 231
Morgan Stanley Mortgage
Trust, Series 88-28 8
PAC
9.40%, 10/1/18 AAA 244 254
- -------------------------------------------------------
GROUP TOTAL 4,235
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (20.0%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 560 563
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1 REMIC
7.00%, 3/25/20 AAA 258 258
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 365 327
Countrywide Funding
Corp., Series 94-12 A10
7.00%, 5/25/24 AAA 1,645 1,473
sec. First Boston
Mortgage Corp.,
Series:
92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-
10/27/93, Cost $149) A 147 142
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 502 451
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.528%, 5/28/22
(acquired 8/5/92-
10/27/93, cost $176) N/R 173 170
Mid-State Trust II,
Series 88-A4
9.625%, 4/1/03 AAA 855 918
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 57 55
sec. PNC Mortgage
Securities Corp.,
Series 96-1 B1
7.50%, 6/25/26
(acquired 4/15/96,
cost $432) AA 446 432
Prudential Home Mortgage
Securities Co. Inc.,
Series:
sec.+ 92-33 B1
7.50%, 11/15/22
(acquired 11/30/92,
cost $331) Aa3 385 356
(+) 94-A 3B3
6.803%, 4/28/24 N/R 1,320 1,211
Residential Accredit
Loans, Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 125 125
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 275 270
+ 97-QS3
7.75%, 3/25/15 Aaa 250 247
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 51 51
93-MZ1 A2
7.47%, 3/2/23 AA 500 484
94-S1 A19
6.75%, 1/25/24 AAA 443 411
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 734 687
+ Ryland Mortgage
Securities Corp.,
Series 93-4 A9
7.50%, 8/25/24 Aaa 1,285 1,213
Saxon Mortgage Securities
Corp., Series 93-8A A6
7.375%, 9/25/23 AAA 752 701
- -------------------------------------------------------
GROUP TOTAL 10,545
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO
(UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (8.2%)
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA $ 319 $ 315
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 200 199
96-MD6 A1C
7.04%, 11/13/26 AAA 200 194
Beverly Finance Corp.
8.36%, 7/15/04 AA- 410 425
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 225 220
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 65 64
## 96-CF2 S IO
1.641%, 11/12/21 N/R 374 33
(+) Lakeside Finance
Corp.
6.47%, 12/15/00 AA 460 449
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 249 248
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 100 98
96-C2 IO
1.529%, 11/21/28 N/R 1,079 96
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 175 173
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 265 268
## 94-MD1 A2
7.669%, 3/15/18 AA 215 219
(+) Prime Property
Funding, Series 1 A
6.633%, 7/23/03 AA 375 364
Sawgrass Financial,
Series 93-A1
6.45%, 1/20/06 AAA 495 484
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 495 473
- -------------------------------------------------------
GROUP TOTAL 4,322
- -------------------------------------------------------
FINANCE (1.9%)
(+)+ Home Ownership
Funding, 13.331%
(Preferred Stock) Aaa (1)1,050 1,007
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.9%)
DLJ Mortgage Acceptance
Corp., Series 93-MF7 A1
7.40%, 6/18/03 AAA 358 358
## Resolution Trust
Corp., Series 92-5 C
8.627%, 1/25/26 AA 505 512
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 108 102
- -------------------------------------------------------
GROUP TOTAL 972
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL
SERIES (2.8%)
Federal National Mortgage
Association,
Series:
249 1 PO, 10/25/23 Agy 166 99
254 1 PO, 1/1/24 Agy 149 94
260 1 PO, 4/1/24 Agy 199 124
## 93-M2 B IO REMIC
2.575%, 7/25/03 Agy 808 53
93-146 G PO REMIC,
5/25/23 Agy 336 172
93-205 G PO REMIC,
9/25/23 Agy 261 137
93-235 H PO REMIC,
9/25/23 Agy 110 72
93-243 C PO REMIC,
11/25/23 Agy 66 41
96-27 A PO REMIC,
10/25/23 Agy 500 157
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 241 75
Government National
Mortgage Association,
Series 96-10 S Inv Fl
IO REMIC
3.063%, 6/16/26 Agy 7,099 440
- -------------------------------------------------------
GROUP TOTAL 1,464
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $51,769) 51,367
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.3%)-SEE NOTE A7
- -------------------------------------------------------
## Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum of the
outstanding notional
balance, indexed to
GNMA ARM pools. (Cost
$194) N/R 5,256 164
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (50.9%)
- -------------------------------------------------------
U.S. TREASURY SECURITY (1.4%)
++++ U.S. Treasury Bill
Zero Coupon, 5/1/97 Tsy $ 750 $ 747
- -------------------------------------------------------
COMMERCIAL PAPER (45.5%)
American Express Credit
Corp.
5.32%, 4/28/97 1,500 1,494
Asset Securitization
Corp.
5.40%, 4/30/97 1,500 1,493
Atlantic Asset Corp.
5.34%, 4/11/97 1,500 1,498
Banc One Corp.
5.55%, 4/29/97 1,500 1,494
Bell Atlantic Financial
Corp.
5.34%, 4/24/97 1,500 1,495
Beneficial Corp.
5.39%, 5/5/97 1,500 1,492
Delaware Funding Corp.
5.32%, 4/15/97 1,500 1,497
General Electric Credit
Corp.
5.34%, 5/13/97 1,500 1,491
Greenwich Funding Corp.
5.34%, 4/7/97 1,500 1,499
Household Finance Corp.
5.32%, 4/17/97 1,500 1,496
IBM Credit Corp.
5.48%, 5/7/97 1,500 1,492
ING Finance Corp.
5.31%, 4/14/97 1,500 1,497
John Deere Corp.
5.30%, 4/15/97 1,500 1,497
Metlife Funding Inc.
5.55%, 5/2/97 1,500 1,493
Prudential Funding Corp.
5.31%, 4/2/97 1,500 1,500
Xerox Corp.
5.25%, 4/8/97 1,500 1,498
- -------------------------------------------------------
GROUP TOTAL 23,926
- -------------------------------------------------------
REPURCHASE AGREEMENT (4.0%)
Chase Securities, Inc.
6.20%, dated 3/31/97,
due 4/1/97, to be
repurchased at $2,098,
collateralized by
various U.S. Government
and Agency Obligations
due 4/10/97-1/29/99,
valued at $2,118 2,097 2,097
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $26,770) 26,770
- -------------------------------------------------------
TOTAL INVESTMENTS (148.9%) (Cost $78,733) 78,301
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-48.9%)
Interest Receivable $ 254
Receivable for Investments Sold 10
Receivable for Daily Variation on Futures
Contracts 1
Other Assets 1
Payable for Investments Purchased (25,908)
Payable for Investment Advisory Fees (43)
Payable for Administrative Fees (3)
Payable for Trustees' Deferred
Compensation Plan-Note F (1)
Other Liabilities (20)
----------
(25,709)
- -------------------------------------------------------
NET ASSETS (100%) $ 52,592
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 5,036,913 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 52,592
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.44
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 54,891
Undistributed Net Investment Income (Loss) 1,061
Undistributed Realized Net Gain (Loss) (3,393)
Unrealized Appreciation (Depreciation) on:
Investment Securities (432)
Futures 465
- -------------------------------------------------------
NET ASSETS $ 52,592
- -------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997
was $1,342 or 2.6% of net assets.
++ See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public
sale may exist.
++++ A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate securities-rate
disclosed is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
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, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Services, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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 invests in U.S. Treasury and agency
securities, investment-grade corporate bonds, mortgage-backed securities and
money market instruments, including floating-rate notes.
<TABLE>
<S> <C> <C>
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
MAS INDEX
------------------------------
SIX MONTHS 2.8% 2.6%
ONE YEAR 5.5 5.4
SINCE INCEPTION 5.8 5.7
- ---------------------------------------------------------
</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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Limited Duration Portfolio from exceeding 0.42% of average daily net
assets. Returns for time periods where total annual operating expenses of the
Portfolio would have exceeded 0.42%, were it not for these waivers and
reimbursements, would have been lower.
* The Limited Duration Portfolio commenced operations on 3/31/92. All returns
are compared to the Salomon 1-3 Year Treasury Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.8%)
(UNLESS OTHERWISE NOTED)
- --------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.9%)
## Government National
Mortgage Association
Various Pools:
6.50%, 10/20/26-11/20/26 Agy $ 12,241 $ 12,331
- --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (9.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 4/1/10-8/1/16 Agy 484 523
10.50%, 12/1/14 Agy 400 440
11.00%, 8/1/15-5/1/20 Agy 308 342
11.50%, 12/1/08-6/1/16 Agy 1,234 1,382
12.00%, 12/1/14 Agy 61 69
13.00%, 9/1/14 Agy 2 2
Gold Pools:
10.00%, 2/1/21-10/1/21 Agy 334 364
10.50%, 1/1/19-12/1/20 Agy 1,064 1,171
11.50%, 8/1/10 Agy 199 222
12.00%, 6/1/15-9/1/15 Agy 605 681
Federal National
Mortgage Association
Conventional Pools:
10.00%, 12/1/15-9/1/16 Agy 701 761
10.50%, 4/1/15 Agy 113 125
12.00%, 5/1/14-8/1/20 Agy 357 405
12.50%, 2/1/15 Agy 179 206
Government National
Mortgage Association
Various Pools:
10.00%,
11/15/09-12/25/26 Agy 2,179 2,387
10.50%, 5/15/16-5/15/26 Agy 826 918
11.00%, 1/15/10-12/15/17 Agy 839 946
11.50%, 2/15/13-9/15/14 Agy 301 343
- --------------------------------------------------------
GROUP TOTAL 11,287
- --------------------------------------------------------
ASSET BACKED CORPORATES (23.2%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 619 621
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 280 278
96-B A
6.60%, 4/15/01 A 450 450
ALPS,
Series 94-1 A2 CMO
7.15%, 11/15/97 AA 838 844
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA $ 881 $ 879
Associates Manufactured
Housing Pass Through
Certificates, Series 97-1
A3
6.60%, 6/15/28 AAA 845 840
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 189 190
95-A B
7.65%, 3/15/02 A 247 249
Champion Home Equity Loan
Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 550 547
96-4 A2
6.66%, 11/25/11 AAA 825 813
Cityscape Home Equity
Loan Trust,
Series:
96-1 A1
6.45%, 1/25/11 AAA 574 572
96-3 A2
6.65%, 6/25/11 AAA 600 598
97-1 A3
6.63%, 3/25/18 AAA 975 963
Contimortgage Home Equity
Loan Trust,
Series:
96-1 A1
5.70%, 10/15/09 AAA 265 264
96-3 A2
6.97%, 7/15/11 AAA 600 600
CPS Auto Grantor Trust,
Series 96-3 A
6.30%, 8/15/02 AAA 605 600
Crown Home Equity
Loan Trust,
Series 96-1 A2
6.51%, 6/25/11 AAA 850 838
CS First Boston Mortgage
Securities Corp.,
Series:
96-2 A2
6.32%, 3/25/05 AAA 875 864
97-1 A3
6.91%, 5/1/07 AAA 850 847
Delta Funding Home Equity
Loan Trust,
Series 96-3 A2
6.525%, 10/25/11 AAA 875 860
First Merchants Auto
Receivables Corp., Series
96-C A2
6.15%, 7/15/01 AAA 875 856
First Plus Home Loan Trust,
Series:
96-3 A2
6.85%, 6/20/07 AAA 775 774
96-4 A3
6.28%, 3/10/09 AAA 650 645
97-1 A3
6.45%, 6/10/09 AAA 975 959
First Union Residential
Securitization Trust,
Series 96-2 A2
6.46%, 9/25/11 AAA 850 836
Fleet Finance, Inc.,
Series 93-1 A
5.45%, 3/20/23 AAA 289 288
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 620 621
Ford Credit Auto Owner
Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA 1,700 1,703
96-B
6.55%, 2/15/02 A 400 395
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA 741 747
General Electric Home
Equity Loan, Series 91-1 B
8.70%, 9/15/11 AAA 850 871
General Motors Acceptance
Corp., Grantor Trust,
Series 93-A A
4.15%, 3/16/98 AAA 7 7
Green Tree Financial Corp.,
Series 94-5 A1
6.60%, 11/15/19 AA 44 44
Greenwich Capital
Acceptance, Inc., Series
95-BA1 A1
6.00%, 8/10/20 AAA 392 388
## IBM Credit Receivables
Lease Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA 213 211
IMC Home Equity Loan Trust,
Series 96-4 A3
6.81%, 7/25/11 AAA 500 496
Money Store (The) Home
Equity Trust, Series
95-CA1
6.20%, 1/15/09 AAA 365 365
(+) NAL Auto Trust, Series
96-3 A
7.30%, 12/15/00 A 353 351
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R $ 600 $ 598
Navistar Financial Corp.,
Series 94-B A
6.40%, 1/15/00 AAA 585 586
Oakwood Mortgage Investors
Inc., Series 95-B A1
6.25%, 1/15/21 AAA 502 500
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 253 251
94-B B
6.95%, 6/15/01 AAA 322 323
Onyx Acceptance Trust,
Series 94-1 A
6.90%, 1/17/00 AAA 190 191
Orix Credit Alliance Owner
Trust, Series 94-A A
6.05%, 6/15/99 AAA 168 168
Premier Auto Trust,
Series:
94-3 B
6.80%, 12/2/99 AA 167 168
95-A A4
6.00%, 5/6/00 AAA 775 773
Southern Pacific Secured
Assets Corp.,
Series 96-1 A2
6.09%, 3/25/27 AAA 591 588
(+)Team Fleet Financing
Corp., Series 96-1 A
6.65%, 12/15/02 A- 350 342
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 890 884
## Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 47 46
93-3 A1
4.25%, 12/1/98 AAA 71 70
94-1 A1
5.10%, 6/1/99 AAA 144 142
## Western Financial,
Series 93-A1
4.45%, 7/1/98 AAA 65 65
- --------------------------------------------------------
GROUP TOTAL 28,969
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.6%)
Federal Home Loan
Mortgage Corporation,
Series:
1560 PE PAC-1 (11)
6.00%, 11/15/16 Agy 1,250 1,234
1576 PD PAC (11)
5.50%, 9/15/02 Agy 1,075 1,065
1680 PB PAC-1 (11)
5.70%, 6/15/12 Agy 1,057 1,052
- --------------------------------------------------------
GROUP TOTAL 3,351
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.6%)
Citicorp Mortgage
Securities, Inc., Series
93-9 A1 REMIC
7.00%, 3/25/20 AAA 145 145
GE Capital Mortgage
Services, Inc., Series
93-14 A2 REMIC
5.75%, 4/25/11 AAA 773 768
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 118 114
Residential Funding
Mortgage Securities Co.,
Inc.,
Series 93-MZ1 A1
7.47%, 3/2/23 AA 252 251
Security Pacific Home Loan
Equity, Series 91-1 B
8.85%, 5/15/98 AAA 750 762
- --------------------------------------------------------
GROUP TOTAL 2,040
- --------------------------------------------------------
COMMERCIAL MORTGAGES (1.6%)
(+)+ Asset Securitization
Corp., Series 96-D3 A1A
7.01%, 10/13/26 Aaa 593 594
+ Carolina First Bank,
Series 96
6.50%, 12/18/99 Aa2 342 339
CBM Funding Corp.,
Series 96-1B A1
7.55%, 2/1/13 AA 422 427
+ Midland Realty Acceptance
Corp., Series 96-C2 A1
7.02%, 1/25/29 Aaa 618 614
- --------------------------------------------------------
GROUP TOTAL 1,974
- --------------------------------------------------------
FINANCE (10.5%)
Allstate Corp.
5.875%, 6/15/98 A 1,125 1,118
Associates Corp., N.A.
8.25%, 12/1/99 AA- 800 827
Bankers Trust-New York
Corp.
6.625%, 7/30/99 A 635 632
Barclays American Corp.
7.875%, 8/15/98 AA 450 458
</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)++
- --------------------------------------------------------
<S> <C> <C> <C>
Beneficial Corp.
6.45%, 6/19/00 A $ 670 $ 660
Chrysler Financial Corp.
6.09%, 7/18/97 A- 625 625
6.375%, 1/28/00 A- 775 764
Countrywide Funding Corp.,
Series A
7.32%, 8/15/00 A 650 655
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 BBB- 700 723
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 675 684
8.375%, 1/15/00 A+ 400 414
General Motors Acceptance Corp.
6.00%, 12/30/98 A- 600 594
7.125%, 7/1/97 A- 100 100
7.25%, 6/22/99 A- 285 288
Heller Financial, Inc.
7.875%, 11/1/99 BBB+ 525 537
9.375%, 3/15/98 BBB+ 375 386
(+)+ Home Ownership
Funding,
13.331% (Preferred
Stock) Aaa (1)1,800 1,727
Household International
6.00%, 3/15/99 A 575 567
International Lease Finance
8.28%, 2/3/00 A+ 550 569
Lehman Brothers Holding Inc.,
6.625%, 11/15/00 A 725 712
- --------------------------------------------------------
GROUP TOTAL 13,040
- --------------------------------------------------------
FLOATING RATE NOTES (1.3%)
## Airplanes Pass Through
Trust, Series 1 A5
5.834%, 3/15/19 AA 563 563
## Student Loan Marketing
Association,
Series:
95-1 A1
5.812%, 4/26/04 AAA 557 557
96-1 A1
5.682%, 7/26/04 AAA 455 456
- --------------------------------------------------------
GROUP TOTAL 1,576
- --------------------------------------------------------
INDUSTRIALS (1.5%)
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 706 699
Philip Morris Cos. Inc.
8.75%, 6/1/01 A 520 547
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 575 580
- --------------------------------------------------------
GROUP TOTAL 1,826
- --------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
+ Town & Country Funding
Corp., Series A
5.85%, 8/15/98 Aa2 1,000 991
- --------------------------------------------------------
TELEPHONES (0.4%)
Tele-Communications Inc.
8.25%, 1/15/03 BBB- 550 549
- --------------------------------------------------------
U.S. TREASURY SECURITIES (29.7%)
U.S. Treasury Bond
6.125%, 8/31/98 Tsy 1,500 1,497
U.S. Treasury Notes
4.75%, 8/31/98 Tsy 10,350 10,138
5.00%, 2/15/99 Tsy 3,950 3,852
6.375%, 5/15/99 Tsy 4,025 4,016
6.75%, 5/31/99 Tsy 1,000 1,005
6.875%, 8/31/99 Tsy 13,700 13,801
7.00%, 4/15/99 Tsy 275 278
++ 7.50%, 10/31/99 Tsy 2,425 2,477
- --------------------------------------------------------
GROUP TOTAL 37,064
- --------------------------------------------------------
UTILITIES (0.6%)
(+) Edison Mission Energy
Funding
6.77%, 9/15/03 BBB 711 700
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $116,393) 115,698
- --------------------------------------------------------
CASH EQUIVALENT (6.3%)
- --------------------------------------------------------
REPURCHASE AGREEMENT (6.3%)
Chase Securities, Inc. 6.20%, dated
3/31/97, due 4/1/97, to be
repurchased at $7,818, collateralized
by various U.S. Government and
Agency Obligations, due
4/10/97-1/29/99, valued at $7,895
(Cost $7,817) 7,817 7,817
- --------------------------------------------------------
TOTAL INVESTMENTS (99.1%) (Cost $124,210) 123,515
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.9%)
Interest Receivable 1,011
Receivable for Investments Sold 38
Receivable for Fund Shares Sold 221
Receivable for Daily Variation on
Futures Contracts 5
Other Assets 2
Payable for Fund Shares Redeemed (10)
Payable for Investment Advisory Fees (90)
Payable for Administrative Fees (8)
Payable for Trustees Deferred Compensation
Plan-Note F (2)
Other Liabilities (6)
--------
1,161
- --------------------------------------------------------
NET ASSETS (100%) $124,676
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) (000)++
- --------------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 12,024,665 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $124,676
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.37
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $127,930
Undistributed Net Investment Income (Loss) 1,765
Undistributed Realized Net (Gain) Loss (4,348)
Unrealized Appreciation (Depreciation) on:
Investment Securities (695)
Futures 24
- --------------------------------------------------------
NET ASSETS $124,676
- --------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
++ See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
CMO Collateralized Mortgage Obligation
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
REMIC Real Estate Mortgage Investment Conduit.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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.
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS
----------------------------------------
INSTITUTIONAL(a) INVESTMENT(b) INDEX
----------------------------------------
<S> <C> <C> <C>
SIX MONTHS 3.9% 3.9% 2.5%
ONE YEAR 7.8 7.6 4.9
SINCE INCEPTION 9.3 9.2 7.3
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
4/10/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
* The Special Purpose Fixed Income Portfolio commenced operations on 3/31/92.
All returns 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 (91.1%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (5.1%)
## Government
National Mortgage
Association Various
Pools:
6.00%, 9/20/26-
11/20/26 Agy $ 24,469 $ 24,481
- --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (20.3%)
Federal Home Loan
Mortgage
Corporation
Conventional Pools:
10.50%, 10/1/20-
3/1/27 Agy 4,068 4,475
11.00%, 5/1/20-
12/1/10 Agy 2,748 3,047
11.75%, 12/1/17 Agy 131 147
Gold Pools:
7.00%, 9/1/23-
12/1/24 Agy 9,898 9,512
10.50%, 11/1/15-
4/1/21 Agy 890 978
March TBA
7.50%, 6/15/27 Agy 14,700 14,457
April TBA:
7.50%, 6/15/26-
12/15/26 Agy 28,175 27,708
8.00%, 6/15/26 Agy 12,850 12,928
Federal National
Mortgage
Association
Conventional Pools:
9.00%,
6/1/16-8/1/16 Agy 1,992 2,109
10.50%, 8/1/15-
4/1/22 Agy 5,584 6,163
Government National
Mortgage Association Various
Pools:
7.125%, 7/20/25 Agy 3,255 3,309
10.00%, 12/25/26 Agy 1,879 2,056
10.50%, 10/15/15-
4/15/25 Agy 4,074 4,522
11.00%, 1/15/10-
5/15/26 Agy 6,449 7,178
12.00%, 4/15/14 Agy 42 47
- --------------------------------------------------------
GROUP TOTAL 98,636
- --------------------------------------------------------
ASSET BACKED CORPORATES (2.1%)
## Airplanes Pass
Through Trust,
Series 1 B
6.538%, 3/15/19 A 1,250 1,254
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 1,450 1,472
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
(UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
94-1 C2 CMO
9.35%, 9/15/04 BBB $ 1,816 $ 1,851
(+) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B A1
7.629%, 11/15/18 A 1,331 1,330
NAL Auto Trust,
Series 96-4 A
6.90%, 12/15/00 N/R 1,312 1,298
(+) National Car
Rental Financing
Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,175 1,170
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 736 737
(+) Team Fleet
Financing Corp.,
Series 96-1A
6.65%, 12/15/02 A- 1,125 1,098
- --------------------------------------------------------
GROUP TOTAL 10,210
- --------------------------------------------------------
ASSET BACKED MORTGAGES (1.8%)
Champion Home Equity
Loan Trust, Series
96-2 A4
8.00%, 9/25/28 AAA 2,105 2,117
Cityscape Home Equity
Loan Trust,
Series:
96-3 A8
7.65%, 8/25/26 AAA 2,200 2,152
96-3 A IO
5.267%, 10/25/26 N/R 38,981 975
sec. 96-3 YMA,
10/25/26
(acquired
12/24/96, cost
$53) N/R 38,981 53
Contimortgage Home
Equity Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 2,150 2,174
96-4 A11 IO
1.10%, 1/15/28 AAA 34,077 923
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost
$17) AAA 11,765 17
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost
$53) AAA 35,300 53
96-4 A12 IO
1.05%, 1/15/28 AAA 11,490 309
- --------------------------------------------------------
GROUP TOTAL 8,773
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.9%)
Federal Home Loan
Mortgage
Corporation,
Series:
1415-S Inv Fl IO
19.75%, 11/15/07 Agy 1,099 451
1476-S Inv Fl IO
REMIC PAC
4.408%, 2/15/08 Agy 10,176 1,068
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 10,165 770
1600-SA Inv Fl IO
REMIC
2.50%, 10/15/08 Agy 20,716 938
1709 H PO, 1/15/24 Agy 237 87
1750-C PD PO,
3/15/24 Agy 373 218
1813 K PO, 2/15/24 Agy 240 145
1844 PC PO, 3/15/24 Agy 435 220
1887 I PO, 10/15/22 Agy 255 142
88-22C PAC (11)
9.50%, 4/15/20 Agy 41 45
93-149 O PO,
8/25/23 Agy 357 175
Federal National
Mortgage
Association
Series:
92-33 S Inv Fl IO
11.46%, 3/25/22 Agy 1,300 1,288
92-186 S Inv Fl IO
3.429%, 10/25/07 Agy 19,282 1,479
96-14 PC PO,
12/25/23 Agy 415 186
96-46 PB PO,
9/25/23 Agy 425 226
96-54 N PO, 7/25/23 Agy 308 189
96-54 O PO,
11/25/23 Agy 345 173
96-68 SC Inv Fl IO
REMIC
2.694%, 1/25/24 Agy 4,050 411
97-7 E PO REMIC
2/15/23 Agy 1,171 747
- --------------------------------------------------------
GROUP TOTAL 8,958
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (8.6%)
American Housing
Trust,
Series:
IV 2
9.553%, 9/25/20 A $ 336 $ 343
V 1G
9.125%, 4/25/21 AAA 1,650 1,660
+ Chase Mortgage
Finance Corp.,
Series 93-N A8
6.75%, 11/25/24 Aaa 2,800 2,456
Chemical Mortgage
Securities, Inc.,
Series 93-1M
7.45%, 2/25/23 AA 226 218
CMC Securities Corp.
IV, Series 94-G A4
7.00%, 9/25/24 AAA 1,800 1,613
sec. First Boston
Mortgage Corp.,
Series 92-4 B1
8.125%, 10/25/22
(acquired 1/26/93,
cost $1,080) A 1,131 1,094
GE Capital Mortgage
Services, Inc.
Series:
(+) 94-13 B1
6.50%, 4/25/24 N/R 5,327 4,777
94-24 A4
7.00%, 7/25/24 AAA 1,681 1,511
sec.+ Independent
National Mortgage
Corp., Series 94-O B1
7.875%, 9/25/24
(acquired 11/9/95,
cost $2,535) A2 2,541 2,450
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.528%, 5/28/22
(acquired 8/5/92,
cost $758) N/R 757 745
Mid-State Trust II,
Series 88-A4
9.625%, 4/1/03 AAA 725 779
Prudential Home
Mortgage Securities
Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 256 256
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 2,598 2,330
(+)## 93-B B1
7.835%, 4/28/23 AA 3,046 3,013
(+)# 94-A 3B3
6.803%, 4/28/24 N/R 3,163 2,902
Residential Accredit
Loans, Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 1,200 1,200
+ 97-Q54 A9
7.75%, 6/15/27 Aaa 2,200 2,179
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 2,600 2,553
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 34 34
93-MZ1 A2
7.47%, 3/2/23 AA 2,800 2,708
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93,
cost $2,153) AA 2,150 2,075
Rural Housing Trust,
Series 87-1M
3.33%, 10/1/28 A- 584 546
Ryland Mortgage
Securities Corp.,
Series:
## 92-A 1A
8.285%, 3/29/30 A- 1,876 1,845
94-7B 4A2
7.50%, 8/25/25 AAA 2,700 2,546
- --------------------------------------------------------
GROUP TOTAL 41,833
- --------------------------------------------------------
COMMERCIAL MORTGAGES (7.5%)
+ American Southwest
Financial
Securities Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 2,150 2,156
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 2,600 2,569
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 1,850 1,842
96-MD6 A1C
7.04%, 11/13/26 AAA 1,950 1,895
Beverly Finance Corp.
8.36%, 7/15/04 AA- 2,300 2,387
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 1,650 1,600
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 1,800 1,759
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
(UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA $ 1,706 $ 1,791
(+) Crystal Run
Properties,
Series A
7.393%, 8/15/11 AA 2,250 2,222
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 575 570
## 96-CF2 S IO
1.641%, 11/12/21 N/R 3,394 300
(+) FSA Finance,
Inc., Series 95-1A
7.42%, 6/1/07 AA 1,728 1,732
+ GMAC Commercial
Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.926%, 3/15/21 Aaa 9,491 842
(+) Lakewood Mall
Finance Co., Series
95-C1 A
7.00%, 8/13/10 AA 1,900 1,834
+ LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.416%, 10/25/26 Aaa 2,313 2,309
Merrill Lynch
Mortgage Investors,
Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 950 927
96-C2 IO
1.529%, 11/21/28 N/R 10,031 893
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 1,625 1,608
Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 A 1,200 1,247
(+) Prime Property
Funding, Series 1 A
6.633%, 7/23/03 AA 2,200 2,133
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 2,300 2,195
Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.61%, 2/25/28 N/R 18,012 540
96-CFL X1 IO
1.331%, 2/25/28 N/R 17,774 916
96-CFL X2 IO
1.267%, 2/25/28 N/R 4,190 123
- --------------------------------------------------------
GROUP TOTAL 36,390
- --------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.7%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- $ 1,825 $ 1,732
Mobile Energy
Services
8.665%, 1/1/17 BBB- 1,812 1,818
- --------------------------------------------------------
GROUP TOTAL 3,550
- --------------------------------------------------------
FINANCE (13.1%)
Anthem Insurance,
Series A
9.00%, 4/1/27 BBB+ 1,825 1,799
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 1,650 1,604
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 1,950 1,849
## Caterpillar
Financial Services
5.70%, 6/20/97 A 3,450 3,451
(+) Corestates
Capital Corp.
8.00%, 12/15/26 A- 900 862
(+) Equitable Life
Assurance Society
of the U.S.,
Series 1 A
6.95%, 12/1/05 A 1,600 1,532
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 1,100 1,089
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 2,375 2,261
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 1,900 1,837
## Ford Motor Credit
Corp.
5.7625%, 11/3/97 A+ 4,050 4,054
(+)+ Home Ownership
Funding,
13.331%
(Preferred Stock) Aaa (1)11,000 10,555
John Hancock Surplus
Note
7.375%, 2/15/24 AA- 1,950 1,788
(+) Lazara
Properties, 13.547%
(Preferred Stock) A (1)1,925 1,877
## Marshall & Ilsley
Bank
5.723%, 5/26/97 A+ 3,500 3,500
(+) Massachusetts
Mutual Life
Insurance Co.
7.625%, 11/15/23 AA- 1,500 1,427
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 2,250 2,013
# Mutual Life
Insurance Co. of
New York
0.00%, 8/15/24 BBB 1,350 1,364
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE> 63
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ $ 2,475 $ 2,224
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 2,750 2,506
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 2,450 2,332
(+) Principal Mutual
Life Insurance Co.,
Series 95-2 A6
7.875%, 3/1/24 AA- 2,525 2,374
(+) Staircase
Properties, Inc.,
13.74% (Preferred
Stock) A (1)2,050 2,009
(+) State Street
Institutional
Capital, Series A
7.94%, 12/30/26 A 1,250 1,198
## United Savings of
Texas
8.05%, 5/15/98 BB+ 1,100 1,119
(+) Wells Fargo
Capital, Series A
8.125%, 12/1/26 BBB 2,300 2,224
(+) World Financial
Properties
Series:
96 WFP-B
6.91%, 9/1/13 AA- 3,091 2,965
96 WFP-D
6.95%, 9/1/13 AA- 1,800 1,722
- --------------------------------------------------------
GROUP TOTAL 63,535
- --------------------------------------------------------
FOREIGN GOVERNMENTS (2.8%)
Government of Canada
9.75%, 6/1/21 AA+ CAD 4,675 4,302
Swedish Government
6.00%, 2/9/05 AAA SEK 39,700 4,963
10.25%, 5/5/03 AA+ 26,000 4,084
- --------------------------------------------------------
GROUP TOTAL 13,349
- --------------------------------------------------------
INDUSTRIALS (3.9%)
## Blue Bell Funding
11.85%, 5/1/99 BB- $ 378 387
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 1,595 1,557
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 493 421
94-K1 A2
8.375%, 8/15/15 BB- 1,035 908
DR Structured
Finance,
Series 94-K2
9.35%, 8/15/19 BB- 1,280 1,222
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Entertainment
Properties,
14.253% (Preferred
Stock) BBB- (1)2,100 $ 2,054
(+) Oxymar
7.50%, 2/15/16 BBB $ 1,590 1,488
Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 3,135 2,890
Rhone-Poulenc Rorer,
Inc., Series 92-A3
8.62%, 1/5/21 BBB+ 2,175 2,245
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 1,615 1,612
Scotia Pacific
Holding Co.
7.95%, 7/20/15 BBB 1,654 1,657
Southland Corp.
5.00%, 12/15/03 BB+ 1,722 1,412
(+) Tier One
Properties,
11.095% (Preferred
Stock) A (1)975 953
Time Warner, Inc.,
Series K,
10.25% (Preferred
Stock) BB+ (1)203 219
- --------------------------------------------------------
GROUP TOTAL 19,025
- --------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.7%)
First Federal Savings
& Loan Association,
Series 92-C
8.75%, 6/1/06 AA 62 62
## Resolution Trust
Corp.,
Series 92-5 C
8.63%, 1/25/26 AA 1,466 1,488
Ryland Acceptance
Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,653 1,555
sec. Shearson
American Express,
Series A
9.625%, 12/1/12
(acquired 8/24/92-
5/25/93,
cost $297) AA 285 290
- --------------------------------------------------------
GROUP TOTAL 3,395
- --------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (1.5%)
Federal National
Mortgage
Association,
Series:
249 1 PO,
10/25/23 Agy 6,469 3,849
254 1 PO,
1/1/24 Agy 1,274 805
260 1 PO,
4/1/24 Agy 1,715 1,073
93-146 G PO REMIC,
5/25/23 Agy 1,079 550
</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
(UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
93-205 G PO REMIC,
9/25/23 Agy $ 853 $ 449
93-235 H PO REMIC,
9/25/23 Agy 353 230
93-243 C PO REMIC,
11/25/23 Agy 238 148
- --------------------------------------------------------
GROUP TOTAL 7,104
- --------------------------------------------------------
TELEPHONES (1.5%)
Comcast Cellular
Corp.,
Series:
A, Zero Coupon,
3/5/00 BB- 2,000 1,470
B, Zero Coupon,
3/5/00 BB- 530 389
Rogers Cablesystems
10.00%, 3/15/05 BB+ 1,375 1,451
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 4,335 4,166
- --------------------------------------------------------
GROUP TOTAL 7,476
- --------------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment
Trust,
Series 95-5A C
10.69%, 5/1/15 BBB- 2,200 2,619
- --------------------------------------------------------
U.S. TREASURY SECURITIES (14.3%)
U.S. Treasury Notes
++++ 7.125%,
9/30/99 Tsy 40,700 41,241
7.50%, 2/15/05 Tsy 26,925 27,855
- --------------------------------------------------------
GROUP TOTAL 69,096
- --------------------------------------------------------
UTILITIES (0.3%)
(+) Edison Mission
Energy Funding,
Series B
7.33%, 9/15/08 BBB 1,225 1,199
- --------------------------------------------------------
YANKEE (4.5%)
(+) Alcoa Aluminio
SA, Series 96-1
7.50%, 12/16/08 BBB 2,250 2,182
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 2,150 2,076
National Power Corp.
7.875%, 12/15/06 BB+ 1,525 1,450
8.40%, 12/15/16 BB+ 1,315 1,240
(+) Paiton Energy
Funding
9.34%, 2/15/14 BBB- 1,900 2,004
(+) Ras Laffan
Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 3,450 3,451
## Republic of
Argentina
5.25%, 3/31/23 BB- 5,020 3,119
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Republic of Colombia
8.70%, 2/15/16 BBB- $ 1,960 $ 1,908
## Republic of
Venezuela, Series A
6.75%, 3/31/20 B 2,000 1,413
@* Republic of
Venezuela Recovery
Rights, expiring
3/31/20 (1)10,000 --
United Mexican States
6.25%, 12/31/19 BB 4,550 3,185
@* United Mexican
States Recovery
Rights, expiring
6/30/03 (1)4,000,000 --
- --------------------------------------------------------
GROUP TOTAL 22,028
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$445,584) 441,657
- --------------------------------------------------------
STRUCTURED INVESTMENT (0.3%) -- SEE NOTE A7
- --------------------------------------------------------
## Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum
of the outstanding
notional balance, indexed
to GNMA ARM
pools (Cost $1,656) N/R 44,812 1,400
- --------------------------------------------------------
CASH EQUIVALENTS (19.8%)
- --------------------------------------------------------
COMMERCIAL PAPER (14.4%)
American Express Credit
Corp.
5.30%, 4/15/97 14,000 13,971
Delaware Funding Corp.
5.54%, 5/15/97 14,000 13,905
Greenwich Funding Corp.
5.42%, 4/11/97 14,000 13,979
Prudential Funding Corp.
5.25%, 4/7/97 14,000 13,988
Xerox Credit Corp.
5.34%, 4/28/97 14,000 13,944
- --------------------------------------------------------
GROUP TOTAL 69,787
- --------------------------------------------------------
REPURCHASE AGREEMENT (5.4%)
Chase Securities Inc. 6.20%,
dated 3/31/97, due 4/1/97
to be repurchased at
$26,004, collateralized by
various U.S. Government
and Agency Obligations,
due 4/10/97-1/29/99,
valued at $26,260 26,000 26,000
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $95,787) 95,787
- --------------------------------------------------------
TOTAL INVESTMENTS (111.2%) (Cost $543,027) 538,844
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- --------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-11.2%)
Cash $ 1
Interest Receivable 4,393
Receivable for Investments Sold 2,288
Receivable for Fund Shares Sold 597
Unrealized Gain on Forward Foreign Currency
Contracts 265
Dividends Receivable 55
Receivable for Daily Variation on Futures
Contracts 14
Other Assets 9
Payable for Investments Purchased (59,872)
Payable for Fund Shares Redeemed (1,266)
Payable for Investment Advisory Fees (442)
Payable for Administrative Fees (36)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Other Liabilities (63)
----------
(54,066)
- --------------------------------------------------------
NET ASSETS (100%) $ 484,778
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 39,988,188 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 483,586
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.09
- --------------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 98,685 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,192
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.08
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 473,812
Undistributed Net Investment Income (Loss) 9,520
Undistributed Realized Net Gain (Loss) 5,065
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,183)
Foreign Currency Transactions $ 216
Futures 348
- --------------------------------------------------------
NET ASSETS $ 484,778
- --------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$6,777 or 1.4% of net assets.
++ See Note A1 to Financial Statements.
* Non-income Producing Security.
(+) 144A security. Certain conditions for public sale
may exist.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
CAD Canadian Dollar
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, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
SEK Swedish Krona
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
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.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
LEHMAN LEHMAN
MAS 5 YEAR 10 YEAR
---------------------------
<S> <C> <C> <C>
SIX MONTHS 2.3% 2.0% 2.8%
ONE YEAR 6.4 4.2 5.2
SINCE INCEPTION 7.5 5.4 6.7
- ---------------------------------------------------------
</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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Municipal Portfolio from exceeding 0.50% of average daily net assets.
Returns presented include the effects of these waivers and reimbursements. If
such waivers and reimbursements had not been made, the actual returns would have
been lower.
Pursuant to a vote of the Portfolio's shareholders on April 15, 1996, the
Portfolio's investment policies were changed to emphasize fixed-income
securities of shorter duration. Therefore, it is reasonable to expect that the
Portfolio's performance pattern will be altered.
* The Municipal Portfolio commenced operations on 10/1/92. All returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (91.8%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (87.4%)
Adelanto, CA School District
(FGIC)
Zero Coupon, 9/1/18 AAA $ 4,350 $ 1,224
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 442
Allegheny County, PA
Sanitation Authority,
Series B (MBIA)
Zero Coupon, 6/1/10 AAA 1,500 715
Benicia, CA School District
(MBIA)
Zero Coupon, 8/1/11 AAA 3,480 1,562
Brazos River Authority Texas
Pollution Control Revenue
Bonds, Series A
8.25%, 1/1/19 BBB+ 250 267
California Housing & Finance
Agency Revenue Bonds
(MBIA)
5.30%, 8/1/14 AAA 215 214
California Pollution Control
Financing Authority
Pollution Control Revenue
Bonds, Series B
8.875%, 1/1/10 A 2,800 2,923
California School Finance
Authority Lease Revenue
Bonds, Series A (MBIA)
6.70%, 7/1/02 AAA 1,305 1,382
California State
Zero Coupon, 3/1/04 A+ 375 268
Center Township, PA Sewer
Authority, Series A (MBIA)
Zero Coupon, 4/15/19 AAA 855 230
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 125 125
## Chelsea, MA Lease Revenue
Bonds, Series A
3.74%, 6/6/23 AAA 1,000 1,000
Colorado Health Facilities
Revenue Bonds, Series A
Zero Coupon, 7/15/20 AAA 1,000 195
## Connecticut State Health
& Educational Facilities
Authority Revenue Bonds
3.49%, 6/10/30 AAA 1,000 1,000
Elizabeth Forward, PA School
District (AMBAC)
Zero Coupon,
9/1/08 AAA 425 231
9/1/11 AAA 850 378
</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)++
- --------------------------------------------------------
<S> <C> <C> <C>
Fort Bend, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA $ 1,250 $ 737
Fort Worth, TX Independent
School District (PSFG)
Zero Coupon, 2/15/08 AAA 940 520
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 200 202
Grand Prairie, TX
Independent School
District (PSFG)
Zero Coupon, 8/15/07 AAA 750 430
Hamilton Southeastern, IN
(AMBAC)
Zero Coupon, 1/1/15 AAA 1,000 353
Harris County, TX Toll Road,
Series A (MBIA)
Zero Coupon, 8/15/07 AA+ 475 272
Houston, TX Housing Finance
Corp., Single Family
Mortgage Revenue Bonds,
Series B-1
8.00%, 6/1/14 A 325 349
Houston, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 AAA 550 228
Hurst Euless Bedford, TX
Independent School
District (PSFG)
Zero Coupon,
8/15/17 AAA 965 289
8/15/18 AAA 1,100 310
+ Idaho Housing & Finance
Association,
Series F
5.70%, 7/1/27 Aaa 275 275
Series H-2
5.40%, 7/1/27 Aaa 500 493
Illinois Development Finance
Authority Revenue Bonds
(FGIC)
Zero Coupon, 12/1/09 AAA 2,000 984
## Illinois Health
Facilities Authority
Revenue Bonds (AMBAC)
3.60%, 8/15/24 AAA 1,000 1,000
+ Indiana State Housing
Finance Authority Revenue
Bonds, Series A2 (AMBAC)
5.55%, 1/1/21 Aaa 500 503
Indiana Transportation
Finance Authority Highway
Revenue Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 524
Indianapolis Airport
Authority Revenue Bonds
7.10%, 1/15/17 BBB 375 401
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Intermountain Power Agency,
UT, Series A
Zero Coupon 7/1/17 A+ $ 1,750 $ 528
Series B
6.50%, 7/1/09 (MBIA) AAA 875 969
Jacksonville, FL Electric
Authority Revenue Bonds
Zero Coupon, 10/1/11 AA 325 144
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 525 258
Kansas City, KA Utility
Systems Revenue Bonds
(AMBAC)
Zero Coupon,
3/1/06 AAA 130 82
3/1/06 AAA 95 60
+ Keller, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 Aaa 800 332
Kentucky State Turnpike
Authority (FGIC)
Zero Coupon, 1/1/10 AAA 450 221
La Joya, TX Independent
School District (PSFG)
Zero Coupon, 8/1/12 AAA 645 268
Little Rock, AK Airport
Passenger Facility Revenue
Bonds (AMBAC)
5.65%, 5/1/16 AAA 250 250
Maricopa County, AZ Unified
School District-Chandler
(FGIC)
Zero Coupon, 7/1/07 AAA 250 146
Maryland Transportation
Authority (FGIC)
Zero Coupon, 7/1/08 AAA 250 137
Mercer County, NJ Revenue
Bonds (County Guaranteed)
Zero Coupon, 4/1/06 AA- 350 221
## Metropolitan Pier &
Exposition Authority, IL
Dedicated State Tax
Revenue Bonds
3.88%, 6/15/27 N/R 750 750
Michigan State Housing
Development Authority,
Series B
5.50%, 12/1/06 AA+ 500 502
Michigan State Trunk Line
(AMBAC)
Zero Coupon,
10/1/05 AAA 750 483
10/1/12 AAA 1,500 618
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 457
Millcreek Township, PA
(FGIC)
Zero Coupon, 8/15/05 AAA 325 211
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Mississippi Housing Finance
Corp.
Zero Coupon, 9/15/16 AA- $ 5,250 $ 1,668
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- 180 189
## Montana State Health
Facilities Authority
Revenue Bonds, Deaconess
Medical Center, Series C
(AMBAC)
3.70%, 2/15/17 AAA 900 900
Nebraska Investment Finance
Authority Revenue Bonds,
Series B
5.60%, 3/1/20 AAA 495 499
Series D
5.80%, 3/1/20 AAA 500 503
Nebraska Public Power
District Revenue Bonds
5.40%, 1/1/03 A+ 200 204
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 500 503
+ Nevada Housing Division
Senior, Series A-2
5.50%, 10/1/27 Aaa 350 350
New Jersey Building
Authority State Building
Revenue Bonds
7.20%, 6/15/13 AA- 1,150 1,204
New Jersey Economic
Development Authority
Zero Coupon, 3/15/09 A+ 275 141
New Jersey State
Zero Coupon, 2/15/06 AA+ 500 316
New Mexico Mortgage Finance
Authority, Series H
5.35%, 7/1/15 AAA 500 501
## New York City, NY General
Obligation Inverse Bonds
19.91%, 10/1/03 BBB+ 250 375
New York City, NY Industrial
Development Agency Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 1,575 1,579
New York State Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 250
Noblesville, IN High School
Building Corp. (AMBAC)
Zero Coupon,
2/15/17 AAA 900 277
2/15/19 AAA 1,850 503
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Norris, CA School District
(MBIA)
Zero Coupon,
5/1/15 AAA $ 785 $ 274
5/1/16 AAA 400 130
North Carolina Eastern
Municipal Power Agency,
Series B
6.125%, 1/1/09 BBB 350 355
Series C
5.125%, 1/1/03 BBB 450 442
North Carolina Housing
Finance Agency, Series FF
5.50%, 9/1/22 AA 500 501
Series JJ
5.75%, 3/1/23 AA 600 605
North Slope Borough, AK
General Obligation, Series
B (CGIC)
Zero Coupon, 6/30/04 AAA 575 396
Northern Illinois University
Revenue Bonds (FGIC)
Zero Coupon, 4/1/15 AAA 675 232
Okemos, MI Public School
District (MBIA)
Zero Coupon, 5/1/15 AAA 900 312
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 390
Penn Hills Township, PA Zero
Coupon, 6/1/12 N/R 1,025 370
## Pennsylvania Housing and
Finance Agency
3.51%, 10/3/23 AA+ 1,000 1,000
# Pennsylvania State General
Obligation (AMBAC)
0.00%, 4/15/03 AAA 775 852
Philadelphia, PA Authority
For Industrial Development
Revenue Bonds, Series A
6.50%, 10/1/27 N/R 220 215
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 350 357
Philadelphia, PA General
Obligation, Series A
(FGIC)
5.40%, 11/15/03 AAA 600 613
Philadelphia, PA Hospitals &
Higher Education
Facilities Authority
Revenue Bonds
6.15%, 7/1/05 BBB+ 125 127
Philadelphia, PA Municipal
Authority (FGIC)
4.90%, 4/1/03 AAA 500 497
Port Authority, NY & NJ
Special Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 450 483
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
## Richland County, SC
Hospital Facilities
Revenue Bonds, Richland
Memorial Hospital,
Series C (MBIA)
3.60%, 7/5/13 AAA $ 1,000 $ 1,000
+ Saline County, KS
Zero Coupon, 12/1/15 Aaa 750 252
San Antonio, TX Electric &
Gas Revenue Bonds (AMBAC)
Zero Coupon, 2/1/05 AAA 200 133
San Antonio, TX General
Obligation
6.00%, 8/1/06 AA 250 254
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 1,150 1,118
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 100 104
Schuylkill County, PA
Redevelopment Authority
(FGIC)
7.125%, 6/1/13 AAA 750 818
Skokie, IL Park District,
Series B (AMBAC)
Zero Coupon, 12/1/12 AAA 1,750 708
Steel Valley, PA
Allegheny County
Zero Coupon, 11/1/17 A 650 192
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 740 323
## University of California
Revenue Bonds
3.55%, 9/1/16 AAA 900 900
Utah State Housing Finance
Agency, Series A-2
5.50%, 7/1/27 AAA 480 481
Washington State Public
Power Supply (MBIA)
Zero Coupon, 7/1/10 AAA 475 222
7.00%, 7/1/07 AA- 375 418
## Wichita, KS Hospital
Revenue Bonds (MBIA)
Series III-A
3.50%, 10/20/17 AAA 900 900
Series III-B
3.502%, 10/21/22 AAA 1,000 1,000
## York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.85%, 7/1/21 AAA 900 900
- --------------------------------------------------------
GROUP TOTAL 54,499
- --------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
(+) ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 350 371
- --------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (1.8%)
Comcast Corp.
9.375%, 5/15/05 BB- $ 225 $ 230
Grand Casinos, Inc.
10.125%, 12/1/03 BB 250 248
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 175 178
Revlon Worldwide Corp.
Zero Coupon, 3/15/98 B- 235 221
Viacom, Inc.
8.00%, 7/7/06 BB- 250 235
- --------------------------------------------------------
GROUP TOTAL 1,112
- --------------------------------------------------------
TELEPHONES (0.2%)
Rogers Cablesystems
10.00%, 3/15/05 BB+ 125 132
- --------------------------------------------------------
TRANSPORTATION (0.2%)
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB- 100 119
- --------------------------------------------------------
U.S. TREASURY SECURITIES (1.1%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 575 672
- --------------------------------------------------------
YANKEE (0.5%)
(+) Republic of Panama
7.875%, 2/13/02 BB+ 310 301
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $55,049) 57,206
- --------------------------------------------------------
CASH EQUIVALENTS (6.9%)
- --------------------------------------------------------
SHARES
------
MONEY MARKET INSTRUMENTS (6.2%)
Dreyfus Basic Municipal Money Mar-
ket Fund 1,935,728 1,936
Vanguard Municipal Fund Money
Market Portfolio 1,929,771 1,930
- --------------------------------------------------------
GROUP TOTAL 3,866
- --------------------------------------------------------
FACE
AMOUNT
(000)
--------
U.S. TREASURY SECURITY (0.4%)
++++ U.S. Treasury Bill
Zero Coupon, 5/1/97 Tsy $ 250 249
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO (UNAUDITED)
FACE
AMOUNT VALUE
(CONT'D) (000) 000)++
- --------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.3%)
Chase Securities, Inc. 6.20%, dated
3/31/97, due 4/1/97, to be
repurchased at $200,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at $201 $ 199 $ 199
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,314) 4,314
- --------------------------------------------------------
TOTAL INVESTMENTS (98.7%) (Cost $59,363) 61,520
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.3%)
Interest Receivable 508
Unrealized Gain on Swap Agreements 777
Other Assets 2
Dividends Payable (64)
Payable for Investments Purchased (357)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (49)
Payable for Administrative Fees (4)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Payable for Daily Variation of Futures
Contracts (3)
Other Liabilities (23)
--------
785
- --------------------------------------------------------
NET ASSETS (100%) $ 62,305
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 5,545,785 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 62,305
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.23
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 59,916
Undistributed Net Investment Income (Loss) 6
Undistributed Realized Net Gain (Loss) (209)
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,157
Futures and Swaps 435
- --------------------------------------------------------
NET ASSETS $ 62,305
- --------------------------------------------------------
- --------------------------------------------------------
++ See Note A1 to Financial Statements.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1997.
(+) 144A Security. Certain conditions for public sale
may exist.
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Financial Guaranty Insurance Corporation
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
PSFG Permanent School Fund Guarantee
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
68
<PAGE> 71
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The PA Municipal Portfolio invests in municipal debt securities exempt from
Pennsylvania personal 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.
- ----------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
LEHMAN LEHMAN
MAS 5 YEAR 10 YEAR
--------------------------
<S> <C> <C> <C>
SIX MONTHS 2.3% 2.0% 2.8%
ONE YEAR 6.1 4.2 5.2
SINCE INCEPTION 7.9 5.4 6.7
- -----------------------------------------------------------
</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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the PA Municipal Portfolio from exceeding 0.50% of average daily net assets.
Returns presented include the effects of these waivers and reimbursements. If
such waivers and reimbursements had not been made, the actual returns would have
been lower.
Pursuant to a vote of the Portfolio's shareholders on April 15, 1996, the
Portfolio's investment policies were changed to emphasize fixed-income
securities of shorter duration. Therefore, it is reasonable to expect that the
Portfolio's performance pattern will be altered.
* The PA Municipal Portfolio commenced operations on 10/1/92. All returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.9%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (92.7%)
Aliquippa School District, PA
Zero Coupon, 6/1/12 A $ 685 $ 283
Allegheny County, PA (AMBAC)
Zero Coupon, 5/1/03 AAA 325 241
Berks County, PA (FGIC)
Zero Coupon, 5/15/19 AAA 1,250 339
11/15/20 AAA 1,000 246
Brazos River Authority Texas
Pollution Control Revenue
Bonds, Series A
8.25%, 1/1/19 BBB+ 125 133
## Bucks County, PA
Industrial Development
Authority Revenue Bonds,
Grandview Hospital Project,
Series B
3.74%, 7/3/12 AAA 500 500
Bucks County, PA Water &
Sewer Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/05 AAA 375 239
+ 5.50%, 2/1/08 Aaa 225 226
California Pollution Control
Financing Authority,
Pollution Control Revenue
Bonds, Series B
8.875%, 1/1/10 A 1,300 1,357
Center Township, PA Sewer
Authority (MBIA)
Zero Coupon, 4/15/17 AAA 615 188
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 100 100
Chartiers Valley, PA (FGIC)
Zero Coupon, 2/1/06 AAA 425 268
Clinton County, PA Industrial
Development Authority
6.25%, 11/15/06 BB- 150 145
Conrad Weiser Area School
District, PA, Series A
(MBIA)
3.70%, 7/1/97 AAA 200 200
Elizabeth Forward, PA School
District (AMBAC)
Zero Coupon, 9/1/11 AAA 400 178
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 120 121
Girard Area, PA School
District (FGIC)
Zero Coupon,
10/1/18 AAA 700 200
10/1/19 AAA 250 67
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Houston TX Housing Finance
Corp., Single Family
Mortgage Revenue Bonds,
Series B-1
8.00%, 6/1/14 A $ 175 $ 188
Huron, MI School District
(AMBAC)
Zero Coupon, 5/1/18 AAA 1,500 440
+ Idaho Housing & Finance
Association Single Family
Mortgage Revenue Bonds,
Series H-2
5.40%, 7/1/27 Aaa 250 247
Intermountain Power Agency,
UT (MBIA)
6.50%, 7/1/09 AAA 300 332
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 200 98
Lehigh County, PA General
Purpose Authority Revenue
Bonds, Horizons Health
Systems, Inc., Series B
8.25%, 7/1/13 N/R 250 255
Millcreek Township, PA (FGIC)
Zero Coupon, 8/15/05 AAA 375 244
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- 80 84
Montour, PA School District
(MBIA)
Zero Coupon, 1/1/13 AAA 300 122
Nebraska Investment Finance
Authority Revenue Bonds,
Series D
5.80%, 3/1/20 AAA 275 277
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 250 252
New Jersey Building Authority
State Building Revenue
Bonds
7.20%, 6/15/13 AA- 550 576
New York City Industrial
Development Agency Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 775 777
## New York City, NY General
Obligation Inverse Bonds
19.91%, 10/1/03 BBB+ 100 150
North Carolina Eastern
Municipal Power Agency
Revenue Bonds, Series C
5.125%, 1/1/03 BBB 150 147
North Carolina Housing
Finance Agency, Series JJ
5.75%, 3/1/23 AA 325 327
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
North Slope Borough, AK
General Obligation,
Series B (CGIC)
Zero Coupon, 6/30/04 AAA $ 285 $ 196
Northwestern, PA School
District (AMBAC)
Zero Coupon, 1/15/09 AAA 450 237
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 390
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 450 162
Penn Hills Township, PA,
Series B
Zero Coupon, 12/1/13 N/R 500 162
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB- 250 259
6.70%, 9/1/16 (FGIC) AAA 500 570
Pennsylvania Housing Finance
Authority, Series 47
5.20%, 4/1/27 AA+ 375 371
Series 48
5.375%, 10/1/16 AA+ 300 299
Series 50A
5.35%, 10/1/08 AA+ 250 251
Series 51
5.65%, 4/1/20 AA+ 250 251
Series 52B
5.55%, 10/1/12 AA+ 500 500
Pennsylvania Infrastructure
Investment Authority
Revenue Bonds (MBIA)
6.00%, 9/1/04 AAA 5,000 5,285
Pennsylvania State General
Obligation (AMBAC)
#0.00%, 4/15/03 AAA 300 330
Zero Coupon, 7/1/05 AAA 375 246
## Pennsylvania State Higher
Education Assistance
Agency, Student Loan
Revenue Bonds (AMBAC)
3.83%, 9/1/26 AAA 550 550
## Philadelphia, PA
Authority For Industrial
Development Revenue Bonds,
Series A
6.50%, 10/1/27 N/R 100 98
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 200 204
Philadelphia, PA General
Obligation, Series A
(FGIC)
5.125%, 5/15/03 AAA 100 101
+ Philadelphia, PA Hospitals
10.875%, 7/1/08 Aaa 145 188
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA Hospitals &
Higher Education Facilities
Authority Revenue Bonds
(FGIC)
## 3.54%, 3/6/12 AAA $ 500 $ 500
6.15%, 7/1/05 BBB+ 50 51
Philadelphia, PA Municipal
Authority Revenue Bonds
7.875%, 7/15/17 AAA 300 309
Philadelphia, PA School
District (MBIA)
5.20%, 7/1/03 AAA 200 202
Philadelphia, PA Water &
Wastewater Revenue Bonds
(FGIC)
5.20%, 6/15/05 AAA 500 503
Pittsburgh, PA General
Obligation (AMBAC)
Zero Coupon, 9/1/04 AAA 350 241
6.50%, 4/1/11 AAA 285 304
Pittsburgh, PA Water & Sewer
(FGIC)
Zero Coupon, 9/1/05 AAA 375 244
Port Authority, NY & NJ
Special Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 250 268
Robinson Township, PA
6.90%, 5/15/18 AAA 115 132
San Antonio, TX General
Obligation
6.00%, 8/1/06 AA 125 127
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 450 437
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 40 42
Scranton, PA Health & Welfare
Authority
6.625%, 7/1/09 AAA 125 134
Southeastern Area Schools,
PA, Series A
Zero Coupon, 10/1/06 A 200 121
Series B
Zero Coupon, 10/1/06 A 390 236
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 188
Stroud Township, PA Sewer
Authority (CGIC)
Zero Coupon, 11/15/05 AAA 375 242
Upper Darby Township, PA
(AMBAC)
Zero Coupon, 7/15/11 AAA 525 235
Washington County, West PA
Power Co.
4.95%, 3/1/03 A 150 150
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Westmoreland County, PA
(AMBAC)
Zero Coupon, 8/1/14 AAA $ 1,475 $ 540
## York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.85%, 7/1/21 AAA 550 550
Yough, PA School District
(MBIA)
Zero Coupon, 10/1/13 AAA 1,445 562
- ---------------------------------------------------------
GROUP TOTAL 26,515
- ---------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
(+) ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 150 158
- ---------------------------------------------------------
INDUSTRIALS (0.5%)
Comcast Corp.
9.375%, 5/15/05 BB- 75 77
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 75 76
- ---------------------------------------------------------
GROUP TOTAL 153
- ---------------------------------------------------------
TELEPHONES (0.2%)
Rogers Cablesystems
10.00%, 3/15/05 BB+ 50 53
- ---------------------------------------------------------
TRANSPORTATION (0.4%)
(+)Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB- 100 119
- ---------------------------------------------------------
YANKEE (0.5%)
(+)Republic of Panama
7.875%, 2/13/02 BB+ 145 141
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $26,119) 27,139
- ---------------------------------------------------------
CASH EQUIVALENTS (3.6%)
- ---------------------------------------------------------
SHARES
------
MONEY MARKET INSTRUMENTS (2.5%)
Dreyfus PA Municipal Money
Market Fund 363,550 363
Vanguard PA Tax-Free Money
Market Fund 368,443 368
- ---------------------------------------------------------
GROUP TOTAL 731
- ---------------------------------------------------------
FACE
AMOUNT
(000)
--------
U.S. TREASURY SECURITY (0.4%)
++++ U.S. Treasury Bill
Zero Coupon, 11/13/97 Tsy $ 125 121
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
FACE
AMOUNT VALUE
(CONT'D) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.7%)
Chase Securities, Inc. 6.20%, dated
3/31/97, due 4/1/97, to be
repurchased at $195,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at $197 $ 195 $ 195
- ----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,047) 1,047
- ----------------------------------------------------------
TOTAL INVESTMENTS (98.5%) (Cost $27,166) 28,186
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.5%)
Cash 1
Interest Receivable 276
Unrealized Gain on Swap Agreements 351
Dividends Payable (33)
Payable for Investments Purchased (131)
Payable for Investment Advisory Fees (19)
Payable for Administrative Fees (2)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Payable for Daily Variation Margin on Futures
Contracts (1)
Other Liabilities (18)
---------
423
- ----------------------------------------------------------
NET ASSETS (100%) $ 28,609
- ----------------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 2,517,420 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 28,609
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.36
- ----------------------------------------------------------
<CAPTION>
VALUE
(000)++
- ----------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid In Capital $ 27,464
Undistributed Net Investment Income (Loss) 12
Undistributed Realized Net Gain (Loss) (84)
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,020
Futures and Swaps 197
- ----------------------------------------------------------
NET ASSETS $ 28,609
- ----------------------------------------------------------
++ See Note A1 to Financial Statements.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or Floating rate security-rate disclosed
is as of March 31, 1997.
(+) 144A Security. Certain conditions for public sale
may exist.
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Financial Guaranty Insurance Corporation
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS INDEX
----------------------
<S> <C> <C>
SIX MONTHS (1.0)% (1.9)%
ONE YEAR 3.0 1.2
SINCE INCEPTION 7.1 6.4
- ---------------------------------------------------------
</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.
For the period from inception to 8/28/96, the Adviser voluntarily agreed to
waive its advisory fees and reimburse certain expenses to the extent necessary
to keep total annual operating expenses for the Global Fixed Income Portfolio
from exceeding 0.58% of average daily net assets. Returns for time periods where
total annual operating expenses of the Portfolio would have exceeded 0.58%, were
it not for these waivers and reimbursements, would have been lower.
* The Global Fixed Income Portfolio commenced operations on 4/30/93. All returns
are compared to the Salomon World Government Bond Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (80.6%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.4%)
Commonwealth of Australia
7.50%, 7/15/05 AAA AUD 1,455 $ 1,111
- -------------------------------------------------------
BRITISH POUND (8.5%)
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA GBP 1,550 2,613
8.50%, 7/16/07 AAA 2,245 3,905
- -------------------------------------------------------
GROUP TOTAL 6,518
- -------------------------------------------------------
CANADIAN DOLLAR (3.0%)
(+) Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1)6 14
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1)6 10
Government of Canada
7.50%, 3/1/01 AAA CAD 2,165 1,654
9.75%, 6/1/21 A 640 589
- -------------------------------------------------------
GROUP TOTAL 2,267
- -------------------------------------------------------
DANISH KRONE (1.5%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 6,765 1,171
- -------------------------------------------------------
GERMAN MARK (13.7%)
Government of Germany
6.25%, 1/4/24 AAA DEM 1,000 566
7.125%, 1/29/03 AAA 5,225 3,428
7.375%, 1/3/05 AAA 2,680 1,776
7.50%, 9/9/04 AAA 1,710 1,142
8.375%, 5/21/01 AAA 5,270 3,593
- -------------------------------------------------------
GROUP TOTAL 10,505
- -------------------------------------------------------
IRISH PUNT (1.5%)
Irish Government
6.25%, 4/1/99 AA IEP 740 1,176
- -------------------------------------------------------
ITALIAN LIRA (5.1%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 945,000 621
10.00%, 8/1/03 AAA 1,160,000 771
10.50%, 7/15/00 AA 3,870,000 2,523
- -------------------------------------------------------
GROUP TOTAL 3,915
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
JAPANESE YEN (3.9%)
Credit Locale de
France
6.00%, 10/31/01 AAA JPY 75,000 $ 722
European Investment
Bank
6.625%, 3/15/00 AAA 60,000 563
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 130,000 1,092
++++ International Bank
for Reconstruction &
Development
6.75%, 6/18/01 AAA 64,000 629
- -------------------------------------------------------
GROUP TOTAL 3,006
- -------------------------------------------------------
SWEDISH KRONA (7.2%)
Government of Sweden
6.00%, 2/9/05 AAA SEK 19,900 2,487
13.00%, 6/15/01 AA+ 18,175 3,034
- -------------------------------------------------------
GROUP TOTAL 5,521
- -------------------------------------------------------
UNITED STATES DOLLAR (34.8%)
AGENCY FIXED RATE MORTGAGE (4.9%)
Federal Home Loan Mortgage
Corporation Gold
April TBA
7.50%, 8/15/26 Agy $ 3,850 3,786
- -------------------------------------------------------
CORPORATE (7.4%)
Anthem Insurance,
Series A
9.00%, 4/1/27 BBB+ 275 271
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 250 243
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 325 308
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 125 120
(+) Edison Mission
Energy Funding
7.33%, 9/15/08 BBB 225 220
(+) Entertainment
Properties
14.253%, (Preferred
Stock) BBB- (1)300 293
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 400 381
(+)+ Home Ownership
Funding
13.331%, (Preferred
Stock) Aaa (1)1,575 1,511
(+) Lazara Properties
13.547%, (Preferred
Stock) A (1)300 293
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ $ 425 $ 405
(+) Staircase
Properties, Inc.
13.74%,
(Preferred Stock) A (1)350 343
(+) Tier One
Properties
11.095%, (Preferred
Stock) A (1)150 147
(+) Wells Fargo
Capital, Series A
8.125%, 12/1/26 BBB 350 338
(+) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 775 742
- -------------------------------------------------------
GROUP TOTAL 5,615
- -------------------------------------------------------
U.S. TREASURY SECURITIES (20.5%)
++++ U.S. Treasury Bond
8.75%, 8/15/20 Tsy 1,910 2,233
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 3,875 3,873
6.25%, 2/15/03 Tsy 1,100 1,070
6.75%, 5/31/99 Tsy 7,550 7,588
7.50%, 2/15/05 Tsy 900 931
- -------------------------------------------------------
GROUP TOTAL 15,695
- -------------------------------------------------------
YANKEE (2.0%)
(+) Alcoa Aluminio SA
7.50%, 12/16/08 BBB 400 388
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 300 290
(+) Ras Laffan
Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 550 550
Republic of Colombia
8.70%, 2/15/16 BBB- 300 292
- -------------------------------------------------------
GROUP TOTAL 1,520
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $63,943) 61,806
- -------------------------------------------------------
CASH EQUIVALENTS (22.1%)
- -------------------------------------------------------
COMMERCIAL PAPER (12.0%)
American Express Credit Corp.
5.55%, 4/2/97 2,300 2,300
Beneficial Corp.
5.55%, 4/16/97 2,300 2,295
Ford Motor Credit Corp.
5.55%, 4/11/97 2,300 2,296
General Electric Capital
Corp.
5.55%, 4/10/97 2,300 2,297
- -------------------------------------------------------
GROUP TOTAL 9,188
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (10.1%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$2,571, collateralized by
various U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$2,597 $ 2,571 $ 2,571
Goldman, Sachs & Co. 6.00%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$2,569, collateralized by
U.S. Treasury Bonds,
9.125%, due 5/15/09, valued
at $2,632 2,569 2,569
Merrill Lynch & Co., Inc.
6.25%, dated 3/31/97, due
4/1/97, to be repurchased
at $2,569, collateralized
by U.S. Treasury Bonds,
7.125%, due 10/15/98,
valued at $2,623 2,569 2,569
- -------------------------------------------------------
GROUP TOTAL 7,709
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $16,897) 16,897
- -------------------------------------------------------
FOREIGN CURRENCY (0.3%)
- -------------------------------------------------------
Canadian Dollar CAD 143 104
Italian Lira ITL 36,699 22
Japanese Yen JPY 3,975 33
Swedish Krona SEK 631 84
- -------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $246) 243
- -------------------------------------------------------
TOTAL INVESTMENTS (103.0%) (Cost $81,086) 78,946
- -------------------------------------------------------
<CAPTION>
VALUE
(000)++
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-3.0%)
Cash $ 381
Interest Receivable 1,456
Receivable for Investments Sold 6,714
Receivable for Daily Variation Margin on
Futures Contracts 150
Other Assets 1
Payable for Investments Purchased (10,570)
Payable for Fund Shares Redeemed (22)
Payable for Investment Advisory Fees (71)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan- Note F (1)
Unrealized Loss on Forward Foreign Currency
Contracts (302)
Other Liabilities (19)
-------
(2,288)
- -------------------------------------------------------
NET ASSETS (100%) $76,658
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 7,466,013 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $76,658
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.27
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $78,122
Undistributed Net Investment Income (Loss) 1,119
Undistributed Realized Net (Gain) Loss (92)
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,136)
Foreign Currency Transactions (386)
Futures 31
- -------------------------------------------------------
NET ASSETS $76,658
- -------------------------------------------------------
++ See Note A1 to Financial Statements.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale may
exist.
(1) Amount represents shares 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.
- --------------------------------------------------------------------------------
75
<PAGE> 78
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.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
<S> <C> <C>
MAS INDEX
-------------------------
SIX MONTHS (2.8)% (3.8)%
ONE YEAR 1.3 (0.2)
SINCE INCEPTION 6.8 6.8
- ---------------------------------------------------------
</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.
For the period from inception to 8/28/96, the Adviser voluntarily agreed to
waive its advisory fees and reimburse certain expenses to the extent necessary
to keep total annual operating expenses for the International Fixed Income
Portfolio from exceeding 0.60% of average daily net assets. Returns for time
periods where total annual operating expenses of the Portfolio would have
exceeded 0.60%, were it not for these waivers and reimbursements, would have
been lower.
* The International Fixed Income Portfolio commenced operations on 4/29/94. All
returns 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 (69.7%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.8%)
Commonwealth of Australia
7.50%, 7/15/05 AAA AUD 3,625 $ 2,768
- -------------------------------------------------------
BRITISH POUND (12.5%)
United Kingdom Treasury
Bills
7.00%, 11/6/01 AAA GBP 3,600 5,835
8.00%, 6/10/03 AAA 1,755 2,959
8.50%, 7/16/07 AAA 5,750 10,003
- -------------------------------------------------------
GROUP TOTAL 18,797
- -------------------------------------------------------
CANADIAN DOLLAR (3.3%)
(+) Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1) 14 34
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1) 14 23
Government of Canada
7.50%, 3/1/01 AAA CAD 2,575 1,967
9.75%, 6/1/21 A 3,250 2,991
- -------------------------------------------------------
GROUP TOTAL 5,015
- -------------------------------------------------------
DANISH KRONE (2.1%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 18,360 3,178
- -------------------------------------------------------
FINNISH MARKKA (1.0%)
Government of Finland
9.50%, 3/15/04 AA- FIM 6,000 1,456
- -------------------------------------------------------
FRENCH FRANC (0.9%)
++++ Government of France
O.A.T.
8.50%, 3/28/00 AAA FRF 6,400 1,277
- -------------------------------------------------------
GERMAN MARK (15.6%)
European Economic Community
6.50%, 3/10/00 AAA DEM 5,650 3,594
Government of Germany
++++ 6.25%, 1/4/24 AAA 2,350 1,331
7.375%, 1/3/05 AAA 9,375 6,214
7.50%, 9/9/04 AAA 5,725 3,822
8.375%, 5/21/01 AAA 7,990 5,447
International Bank
for Reconstruction
& Development
7.125%, 4/12/05 AAA 4,550 2,966
- -------------------------------------------------------
GROUP TOTAL 23,374
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
76
<PAGE> 79
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
IRISH PUNT (1.8%)
Irish Government
6.25%, 4/1/99 AA IEP 1,735 $ 2,757
- -------------------------------------------------------
ITALIAN LIRA (8.6%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 2,015,000 1,325
10.00%, 8/1/03 AA 3,815,000 2,535
10.50%, 7/15/00 AA 13,920,000 9,073
- -------------------------------------------------------
GROUP TOTAL 12,933
- -------------------------------------------------------
JAPANESE YEN (11.5%)
++++ Credit Locale
de France
6.00%, 10/31/01 AAA JPY 351,000 3,379
European Investment
Bank
6.625%, 3/15/00 AAA 205,000 1,925
Export-Import Bank
of Japan
2.875%, 7/28/05 AAA 540,000 4,537
Inter-American
Development Bank
6.00%, 10/30/01 AAA 535,000 5,168
++++ International Bank
for Reconstruction
& Development
6.75%, 6/18/01 AAA 235,000 2,309
- -------------------------------------------------------
GROUP TOTAL 17,318
- -------------------------------------------------------
NETHERLANDS GUILDER (1.8%)
Netherlands Government
8.25%, 2/15/07 AAA NLG 4,225 2,663
- -------------------------------------------------------
SPANISH PESETA (1.3%)
Spanish Government
10.10%, 2/28/01 AAA ESP 240,000 1,921
- -------------------------------------------------------
SWEDISH KRONA (7.5%)
Swedish Government
6.00%, 2/9/05 AAA SEK 45,700 5,712
13.00%, 6/15/01 AA+ 33,125 5,530
- -------------------------------------------------------
GROUP TOTAL 11,242
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $110,129) 104,699
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (29.0%)
- -------------------------------------------------------
COMMERCIAL PAPER (17.9%)
American Express Credit
Corp.
5.55%, 4/2/97 $ 4,500 $ 4,499
Beneficial Corp.
5.55%, 4/16/97 4,500 4,490
Ford Motor Credit Corp.
5.55%, 4/11/97 4,500 4,493
General Electric Capital
Corp.
5.55%, 4/10/97 4,500 4,494
Household Finance Corp.
5.55%, 4/3/97 4,500 4,499
National Rural Utilities
Cooperative Finance Corp.
5.56%, 6/17/97 4,500 4,446
- -------------------------------------------------------
GROUP TOTAL 26,921
- -------------------------------------------------------
REPURCHASE AGREEMENTS (11.1%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $5,589, collateralized
by various U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$5,644 5,588 5,588
Goldman, Sachs & Co. 6.00%,
dated 3/31/97, due 4/1/97,
to be repurchased at
$5,589, collateralized by
U.S. Treasury Bonds, due
5/15/09, valued at $5,725 5,588 5,588
Merrill Lynch & Co., Inc.
6.25%, dated 3/31/97, due
4/1/97, to be repurchased
at $5,589, collateralized
by U.S. Treasury Bonds,
due 10/15/98, valued at
$5,706 5,588 5,588
- -------------------------------------------------------
GROUP TOTAL 16,764
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $43,685) 43,685
- -------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- -------------------------------------------------------
British Pound GBP 60 98
Canadian Dollar CAD 62 45
French Franc FRF 204 37
Italian Lira ITL 3,412 2
@ Spanish Peseta ESP 12 --
@ Japanese Yen JPY 2 --
- -------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $180) 182
- -------------------------------------------------------
TOTAL INVESTMENTS (98.8%) (Cost $153,994) 148,566
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME PORTFOLIO
(UNAUDITED)
VALUE
(CONT'D) (000)++
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (1.2%)
Interest Receivable $ 2,934
Receivable for Daily Variation on Futures
Contracts 228
Other Assets 3
Payable for Fund Shares Redeemed (12)
Payable for Investment Advisory Fees (143)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Payable to Custodian (710)
Unrealized Loss on Forward Foreign Currency
Contracts (554)
Other Liabilities (28)
--------
1,705
- -------------------------------------------------------
NET ASSETS (100%) $150,271
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 15,245,295 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $150,271
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.86
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $156,684
Undistributed Net Investment Income (Loss) 2,877
Undistributed Realized Gain (Loss) (2,992)
Unrealized Appreciation (Depreciation) on:
Investment Securities (5,431)
Foreign Currency Transactions (703)
Futures (164)
- -------------------------------------------------------
NET ASSETS $150,271
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
++ See Note A1 to Financial Statements.
++++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale may
exist.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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 utilizes a value-based investment philosophy to
actively manage the duration and yield curve structure of the Portfolio by
understanding long-term trends in real 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.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
<S> <C> <C>
MAS INDEX
------------------------
SIX MONTHS 3.0 % 2.3%
ONE YEAR 5.9 4.8
SINCE INCEPTION 8.3 7.5
- ---------------------------------------------------------
</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.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for the Intermediate Duration Portfolio from exceeding 0.52% of average daily
net assets. Returns presented include the effects of these waivers and
reimbursements. If such waivers and reimbursements had not been made, the actual
returns would have been lower.
* The Intermediate Duration Portfolio commenced operations on 10/3/94. All
returns are compared to the Lehman Brothers Intermediate Government/Corporate
Bond Index, an unmanaged market index. Returns for periods less than one year
are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.7%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (6.1%)
## Government National Mortgage
Association
6.50%, 11/20/26 Tsy $ 2,058 $ 2,072
- ------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (22.1%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
11.00%, 7/1/13 Agy 116 128
11.50%, 3/1/13 Agy 183 206
Gold Pools:
7.00%, 1/1/24-4/1/24 Agy 241 231
March TBA
7.50%, 6/15/27 Agy 1,500 1,475
April TBA
7.50%,
6/15/26-12/15/26 Agy 3,525 3,467
May TBA
7.50%, 6/15/26 Agy 325 319
Federal National Mortgage
Association Conventional
Pools:
10.00%, 5/1/22-1/1/27 Agy 354 384
10.50%, 12/1/10 Agy 141 156
Government National Mortgage
Association Conventional
Pools:
10.00%, 7/15/19-
12/25/26 Agy 480 525
10.50%,
8/15/13-1/15/18 Agy 190 213
11.00%,
7/15/10-8/15/10 Agy 356 399
- ------------------------------------------------------
GROUP TOTAL 7,503
- ------------------------------------------------------
ASSET BACKED CORPORATES (8.3%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 110 111
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 24 24
96-B A
6.60%, 4/15/01 A 60 60
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 60 61
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 126 126
Associates Manufactured Housing,
Series 97-1 A3
6.60%, 6/15/28 AAA 235 234
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA $ 19 $ 19
95-A B
7.65%, 3/15/02 A 31 31
Cityscape Home Equity Loan
Trust, Series 96-1 A1
6.45%, 3/1/09 AAA 65 65
Contimortgage Home Equity Loan
Trust,
Series:
96-1 A1
5.70%, 10/15/09 AAA 25 25
96-3 A2
6.97%, 7/15/11 AAA 75 75
CPS Auto Grantor Trust,
Series 96-3 A
6.30%, 8/15/02 AAA 121 120
(+)Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 99 99
First Merchants Auto
Receivables Corp.,
Series 96-C A2
6.15%, 7/15/01 AAA 175 171
First Plus Home Loan
Trust, Series 96-4 A3
6.28%, 3/10/09 AAA 250 248
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 98 98
Ford Credit Auto Owner
Trust, Series:
96-A A3
6.50%, 11/15/99 AAA 200 200
sec. 96-B
6.55%, 2/15/02
(acquired 10/9/96,
cost $100) A 100 99
Ford Credit Grantor
Trust, Series 94-B A
7.30%, 10/15/99 AAA 98 99
General Electric Home
Equity Loan Asset-
Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 175 179
General Motors
Acceptance Corp. Grantor
Trust, Series 93-A A
4.15%, 3/15/98 AAA 6 6
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 33 32
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
IBM Credit Receivables
Lease Asset Master
Trust, Series 93-1 A
4.55%, 11/15/00 AAA $ 20 $ 20
Money Store (The) Home
Equity Trust,
Series 95-C A1
6.20%, 1/15/09 AAA 32 32
(+)NAL Auto Trust,
Series 96 3A
7.30%, 12/15/00 N/R 83 82
Navistar Financial Corp.
Owner Trust,
Series 94-B A
6.40%, 1/15/00 AAA 37 37
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA 86 86
94-B B
6.95%, 6/15/01 AAA 43 43
Onyx Acceptance Trust,
Series 94-1 A
6.90%, 1/17/00 AAA 39 40
Orix Credit Alliance
Owner Trust,
Series 94-A A
6.05%, 6/15/99 AAA 16 16
Premier Auto Trust,
Series 95-4 A4
6.00%, 5/6/00 AAA 100 100
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 130 129
Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 17 17
94-1 A1
5.10%, 6/1/99 AAA 30 29
- ------------------------------------------------------
GROUP TOTAL 2,813
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.1%)
Federal Home Loan Mortgage
Corporation,
Series:
93-149 O PO
8/25/23 Agy 36 18
## 1632 SA
5.657%, 11/15/23 Agy 65 46
1709 H PO
1/15/24 Agy 14 5
1750-C PD PO
3/15/24 Agy 22 13
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80
<PAGE> 83
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
1813 K PO
2/15/24 Agy $ 15 $ 9
1844 PC PO
3/15/24 Agy 30 15
1887 I PO
10/15/22 Agy 15 8
Federal National Mortgage
Association,
Series:
96-14 PC PO
12/25/23 Agy 25 11
96-46 PB PO
9/25/23 Agy 30 16
96-54 N PO 7/25/23 Agy 20 12
96-54 O PO
11/25/23 Agy 20 10
97-3 E PO
12/25/23 Agy 75 40
97-7 EB PO
2/25/23 Agy 249 155
- ------------------------------------------------------
GROUP TOTAL 358
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGTIONS-
NON-AGENCY COLLATERAL SERIES (2.8%)
Bear Stearns Mortgage
Securities, Inc.,
Series:
96-4 AI10
8.125%, 9/26/97 AAA 50 50
96-9 AI11
8.00%, 6/15/26 AAA 50 50
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1
7.00%, 3/25/20 AAA 86 86
DLJ Mortgage Acceptance
Corp., Series 95-CF2 A1B
6.85%, 12/17/27 AAA 175 173
sec.+ Independent National
Mortgage Corp.,
Series 94-O B1
7.875%, 9/25/24
(acquired 11/9/95,
cost $98) A2 98 94
Old Stone Credit Corp.,
Series 92-3 B1
6.35%, 9/25/07 AAA 75 73
Residential Accredit
Loans, Inc.,
Series:
97 Q52 A8 NAS
7.75%, 3/25/27 AAA 75 75
97 QS3 NAS
7.75%, 3/25/15 AAA 150 148
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
Residential Asset
Securitization Trust,
Series 96-A11 A9
7.75%, 2/25/27 AAA $ 50 $ 50
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
95-S17 A8
7.50%, 12/25/25 AAA 148 145
- ------------------------------------------------------
GROUP TOTAL 944
- ------------------------------------------------------
COMMERCIAL MORTGAGES (5.2%)
+ American Southwest
Financial Securities Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 50 50
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 147 148
95-MD4 A1
7.10%, 8/13/29 AAA 123 121
(+)+ 96-D3 A1B
7.21%, 10/13/26 Aaa 100 100
96-MD6 A1C
7.04%, 11/13/26 AAA 100 97
(+) Carousel Center
Finance, Inc.,
Series 1 C
7.527%, 10/15/07 BBB+ 87 87
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 100 97
Chase Commercial Mortgage
Securities Corp.,
Series 96-2 B
6.90%, 10/19/06 AA 100 95
(+)DLJ Mortgage Acceptance
Corp.,
Series:
96-CF2 AIB
7.29%, 7/15/06 AAA 85 84
96-CF2 S IO
1.641%, 11/12/21 N/R 638 56
(+)## Hospitality
Properties Mortgage
Acceptance Corp.,
Series 96-C1 A
6.025%, 12/6/04 A 200 200
(+) Lakewood Mall
Finance Co.,
Series 95-C1 A
7.00%, 8/13/10 AA 100 97
+ LB Commercial Conduit
Mortgage Trust,
Series 96-C2 A
7.416%, 10/25/26 Aaa 99 99
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA $ 100 $ 100
96-C2 A2
6.82%, 11/21/28 AAA 45 44
96-C2 IO
1.529%, 10/25/26 N/R 448 40
Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/27 AAA 100 99
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 150 152
- ------------------------------------------------------
GROUP TOTAL 1,766
- ------------------------------------------------------
ENERGY (0.3%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 95
- ------------------------------------------------------
FINANCE (9.2%)
Allstate Corp.
5.875%, 6/15/98 A 125 124
Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 125 123
Association Corp., N.A.,
Series H
6.73%, 3/27/03 AA- 175 170
(+)BankAmerica
Institutional, Class A
8.07%, 12/31/26 A- 100 97
Bankers Trust New
York Corp.
6.625%, 7/30/99 A 150 149
Barclays American Corp.
7.875%, 8/15/98 AA 125 127
Beneficial Corp., Series H
6.575%, 12/16/02 A 175 169
(+)BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 100 95
Chrysler Financial Corp.
6.375%, 1/28/00 A- 200 197
Countrywide Funding Corp.
6.05%, 3/1/01 A 75 72
6.55%, 4/14/00 A 100 99
(+)First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 100 95
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ $ 75 76
8.375%, 1/15/00 A+ 25 26
General Motors
Acceptance Corp.
6.65%, 5/24/00 A- 100 99
6.75%, 6/10/02 A- 100 98
(+)+ Home Ownership
Funding, 13.331%
(Preferred Stock) Aaa (1)650 624
Household Finance Corp.
6.08%, 3/8/06 A 71 $ 69
Lehman Brothers
Holding Corp.
6.625%, 11/15/00 A 100 99
(+)PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 100 95
(+)State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 100 96
(+)Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 100 97
(+)World Financial
Properties
Series 96 WFP-B
6.91%, 9/1/13 AA- 249 239
- ------------------------------------------------------
GROUP TOTAL 3,135
- ------------------------------------------------------
FLOATING RATE NOTES (0.3%)
## Student Loan Marketing
Association,
Series:
95-1 A1
5.812%, 4/26/04 AAA 48 47
96-1 A1
5.682%, 7/26/04 AAA 40 40
- ------------------------------------------------------
GROUP TOTAL 87
- ------------------------------------------------------
FOREIGN GOVERNMENTS (4.8%)
Government of Canada
7.75%, 9/1/99 AAA CAD 1,300 993
Swedish Government
13.00%, 6/15/01 AA+ SEK 3,900 651
- ------------------------------------------------------
GROUP TOTAL 1,644
- ------------------------------------------------------
INDUSTRIALS (0.8%)
Philip Morris Cos., Inc.
6.375%, 2/1/06 A $ 55 50
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 50 50
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB $ 85 $ 85
Sears Roebuck
Acceptance Corp.
6.86%, 8/6/01 A- 70 70
- ------------------------------------------------------
GROUP TOTAL 255
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.3%)
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 98 99
- ------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.2%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 229 136
254 1 PO
1/1/24 Agy 46 29
260 1 PO
4/1/24 Agy 61 38
263 1 PO
5/25/24 Agy 65 38
93-M2 B IO
2.575%, 07/25/03 Agy 808 53
93-146 G PO
5/25/23 Agy 12 6
93-205 G PO REMIC
9/25/23 Agy 14 8
93-235 H PO REMIC
9/25/23 Agy 4 3
93-243 C PO REMIC
11/25/23 Agy 4 3
96-20 E PO
11/25/22 Agy 250 93
- ------------------------------------------------------
GROUP TOTAL 407
- ------------------------------------------------------
TELEPHONES (0.3%)
Tele-Communications, Inc.
9.875%, 6/15/22 BBB- 100 106
- ------------------------------------------------------
U.S. TREASURY SECURITIES (28.4%)
U.S. Treasury Notes
++++ 7.125%, 9/30/99 Tsy 4,875 4,940
7.50%, 2/15/05 Tsy 4,550 4,707
- ------------------------------------------------------
GROUP TOTAL 9,647
- ------------------------------------------------------
UTILITIES (0.3%)
(+)Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 98
- ------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
YANKEE (1.2%)
(+)Alcoa Aluminio SA
7.50%, 12/16/08 BBB $ 125 $ 121
(+)Israel Electric
Corp., Ltd
7.25%, 12/15/06 A- 100 97
(+)Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 190 190
- ------------------------------------------------------
GROUP TOTAL 408
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $31,939) 31,437
- ------------------------------------------------------
CASH EQUIVALENTS (22.6%)
- ------------------------------------------------------
COMMERCIAL PAPER (11.1%)
Asset Securitization Corp.
5.57%, 5/13/97 950 944
Ford Motor Credit Corp.
5.54%, 5/13/97 950 944
General Electric Credit Corp.
5.54%, 5/13/97 950 944
IBM Credit Corp.
5.53%, 5/13/97 950 944
- ------------------------------------------------------
GROUP TOTAL 3,776
- ------------------------------------------------------
REPURCHASE AGREEMENTS (11.5%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97, to
be repurchased at $1,297,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at
$1,310 1,297 1,297
Goldman Sachs & Co. 6.00%, dated
3/31/97, due 4/1/97, to be
repurchased at $1,295,
collateralized by U.S.
Treasury Bills, due 5/15/09,
valued at $1,327 1,295 1,295
Merrill Lynch & Co., Inc. 6.25%,
dated 3/31/97, due 4/1/97, to
be repurchased at $1,295,
collateralized by U.S.
Treasury Bills, due 10/15/98,
valued at $1,322 1,295 1,295
- ------------------------------------------------------
GROUP TOTAL 3,887
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $7,663) 7,663
- ------------------------------------------------------
TOTAL INVESTMENTS (115.3%) (Cost $39,602) 39,100
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) (000)++
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-15.3%)
Cash $ 1
Interest Receivable 413
Receivable for Investments Sold 10
Unrealized Gain on Foreign Forward Currency
Contracts 43
Receivable for Daily Variation on Futures
Contracts 3
Other Assets 1
Payable for Investments Purchased (5,607)
Payable for Investment Advisory Fees (26)
Payable for Administrative Fees (2)
Other Liabilities (9)
-------
(5,173)
- ------------------------------------------------------
NET ASSETS (100%) $33,927
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 3,347,025 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $33,927
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.14
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $33,770
Undistributed Net Investment Income (Loss) 439
Undistributed Realized Net Gain (Loss) 89
Unrealized Appreciation (Depreciation) on:
Investment Securities (503)
Foreign Currency Transactions 44
Futures 88
- ------------------------------------------------------
NET ASSETS $33,927
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$193 or 0.6% of net assets.
(+) 144A Security. Certain conditions for public sale
may exist.
++ See Note A1 to Financial Statements.
++++ 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, 1997.
(1) Amount represents shares held by the Portfolio.
CMO Collateralized Mortgage Obligation
CAD Canadian Dollar
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
SEK Swedish Krona
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.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Balanced Portfolio provides ongoing asset allocation management with Miller
Anderson & Sherrerd's core equity and fixed-income management strategies. The
Portfolio considers a 60% equity/40% fixed-income mix as a neutral, or
starting-point investment. As expected future returns increase in one asset
class versus the other, the mix between asset classes will change.
- ---------------------------------------------------------
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS
---------------------------- S&P SALOMON
INSTITUTIONAL(a) ADVISER(b) 500 BROAD
--------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 7.9% 7.9% 11.2% 2.5%
ONE YEAR 12.7 12.7 19.8 4.9
SINCE
INCEPTION 11.9 11.9 16.9 6.5
- ---------------------------------------------------------
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Adviser Class which commenced operations
11/1/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12(b)-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
* The Balanced Portfolio commenced operations on 12/31/92. All returns 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 (36.5%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1997 & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (2.2%)
## Government National
Mortgage Association
6.00%, 11/20/26 Agy $ 6,889 $ 6,881
- --------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (7.8%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 9/1/17 Agy $ 719 $ 777
11.00%, 5/1/20-
9/1/20 Agy 1,080 1,197
12.00%, 3/1/15 Agy 423 483
Gold Pools:
7.00%, 1/1/24-
6/1/25 Agy 3,186 3,063
March TBA
7.50%, 6/15/27 Agy 2,600 2,557
April TBA
7.50%, 6/15/26-
12/15/26 Agy 11,725 11,531
Federal National
Mortgage Association
Conventional Pools:
10.00%, 7/1/17-
12/25/26 Agy 2,007 2,188
10.50%, 12/1/16-
4/1/22 Agy 1,685 1,861
11.00%, 5/15/26 Agy 1,220 1,340
- --------------------------------------------------------
GROUP TOTAL 24,997
- --------------------------------------------------------
ASSET BACKED CORPORATES (1.3%)
## Airplanes Pass
Through Trust,
Series 1 B
6.538%, 3/15/19 A 332 333
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 375 380
94-1 C2 CMO
9.35%, 9/15/04 BBB 622 634
(+) 96-1 D
12.75%, 6/15/06 BB- 1,099 1,165
(+) Federal Mortgage
Acceptance Corp.,
Series 96-B A1
7.629%, 11/1/18 A 394 394
NAL Auto Trust,
Series 96-4 A
6.90%, 12/15/00 N/R 414 410
(+) National Car
Rental Financing
Ltd., Series 96-1 A4
7.35%, 10/20/03 N/R 425 423
Security Pacific Home
Equity Trust,
Series 91-AB
10.50%, 3/10/06 A+ 114 115
(+) Team Fleet
Financing Corp.,
Series 96-1A
6.65%, 12/15/02 A- 300 293
- --------------------------------------------------------
GROUP TOTAL 4,147
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.6%)
Cityscape Home Equity
Loan Trust,
Series:
96-2 A5
8.10%, 8/25/26 AAA $ 700 $ 706
sec. 96-3 YMA
10/25/26 (acquired
12/24/96, cost $15) N/R 11,004 15
96-3 A IO
1.00%, 10/25/26 N/R 10,946 274
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 9,401 255
sec. 96-4 A12 IO
1.05%, 1/15/28
(acquired 12/16/96,
cost $5) AAA 3,246 5
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost $15) AAA 9,738 14
96-4 A12 YMA
1/15/28 AAA 3,170 85
First Union
Residential
Securitization
Trust, 96-2 A5
7.21%, 11/25/28 AAA 675 640
- --------------------------------------------------------
GROUP TOTAL 1,994
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.0%)
Federal Home Loan
Mortgage
Corporation,
Series:
1415-S Inv Fl IO CMO
19.75%, 11/15/07 Agy 409 168
1476-S Inv Fl IO
REMIC PAC
4.408%, 2/15/08 Agy 3,680 386
1485-S Inv Fl IO
REMIC
4.163%, 3/15/08 Agy 3,828 290
1600-SA Inv Fl IO
REMIC
2.50%, 10/15/08 Agy 6,421 291
1709 H PO 1/15/24 Agy 52 19
1750 C PD PO 3/15/24 Agy 81 47
1813 K PO 2/15/24 Agy 50 30
1844 PC PO 3/15/24 Agy 95 48
1887 I PO 10/15/22 Agy 55 31
93-149 O PO 8/25/23 Agy 116 57
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage
Association,
Series:
90-106 J PAC CMO
8.50%, 9/25/20 Agy $ 611 $ 628
92-33 S Inv Fl IO
CMO
11.46%, 3/25/22 Agy 330 327
92-186 S Inv Fl IO
CMO
3.429%, 10/25/07 Agy 7,030 539
96-14 PC PO 12/25/23 Agy 90 40
96-46 PB PO 9/25/23 Agy 95 51
96-54 N PO 7/25/23 Agy 70 43
96-54 O PO 11/25/23 Agy 75 37
96-68 SC Inv Fl IO
2.694%, 1/25/24 Agy 1,250 127
- --------------------------------------------------------
GROUP TOTAL 3,159
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY
COLLATERAL SERIES (3.5%)
American Housing
Trust, Series V 1G
9.125%, 4/25/21 AAA 305 307
Chemical Mortgage
Securities, Inc.,
Series 93-1 M
7.45%, 2/25/23 AA 447 432
Citicorp Mortgage
Securities, Inc.,
Series 94-7 A5
6.25%, 4/25/24 AAA 825 685
CMC Securities Corp.
IV, Series 94-G A4
7.00%, 9/25/24 AAA 675 605
sec. First Boston
Mortgage Corp.,
Series 92-4 B1
8.125%, 10/25/22
(acquired 1/25/993-
2/26/93, cost $245) A 249 241
GE Capital Mortgage
Services, Inc.,
Series 94-24 A4
7.00%, 7/25/24 AAA 858 771
sec. Independent
National Mortgage
Corp., Series 95-V
A3
7.12%, 2/25/26
(acquired 10/24/95,
cost $927) AAA 940 897
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.528%, 5/28/22
(acquired 2/26/93,
cost $109) N/R 108 106
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
Prudential Home
Mortgage Securities
Co., Inc.
Series:
90-5 A3
9.50%, 5/25/05 AAA $ 141 $ 141
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 370 332
(+)+ 92-A 3B2
7.90%, 4/28/22 B3 1,000 600
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 1,129 1,036
Residential Accredit
Loans, Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 325 325
97-Q54 A9
7.75%, 6/15/27 AAA 600 594
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
93-MZ1 A2
7.47%, 3/2/23 AA 1,700 1,644
sec. 93-MZ2 A2
7.47%, 5/30/23
(acquired 5/12/93,
cost $651) AA 650 627
Rural Housing Trust,
Series 87-1M
3.33%, 10/1/28 A- 767 718
Ryland Mortgage
Securities Corp.,
Series:
## 92-A 1A
8.285%, 3/29/30 A- 488 480
94-7B 4A2
7.50%, 8/25/25 AAA 850 801
- --------------------------------------------------------
GROUP TOTAL 11,342
- --------------------------------------------------------
COMMERCIAL MORTGAGES (3.2%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 AA 1,263 1,241
95-C1 A1B
7.40%, 11/17/04 AAA 650 652
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 834 824
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) 96-D3 A1C
7.40%, 10/13/26 AAA $ 525 $ 523
96-MD6 A1C
7.04%, 11/13/26 AAA 575 559
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 10/15/07 AA 525 509
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 600 587
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 560 588
(+) DLJ Mortgage
Acceptance Corp.,
Series:
## 96-CF2 S IO
1.641%, 11/12/21 N/R 972 86
96-CF2 AIB
7.29%, 7/15/06 AAA 165 163
(+) FSA Finance, Inc.,
Series 95-1A
7.42%, 6/1/07 AA 624 625
GMAC Commercial
Mortgage Securities,
Inc., Series 96-C1
X2 IO
1.926%, 3/15/21 AAA 2,498 222
LB Commercial Conduit
Mortgage Trust,
Series 96-C2 A
7.416%, 10/25/26 AAA 646 645
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 270 263
96-C2 IO
1.529%, 10/25/26 N/R 2,810 250
Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/27 AAA 475 470
Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 A 525 545
(+) Prime Property
Funding
Series 1A
6.633%, 7/23/03 AA 700 679
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 764
- --------------------------------------------------------
GROUP TOTAL 10,195
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.3%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- $ 550 $ 522
Mobile Energy Services
8.665%, 1/1/17 BBB- 501 502
- --------------------------------------------------------
GROUP TOTAL 1,024
- --------------------------------------------------------
FINANCE (4.8%)
Anthem Insurance
9.00%, 4/1/27 BBB+ 475 468
(+) BankAmerica
Institutional,
Class A
8.07%, 12/31/26 A- 400 389
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 625 593
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 275 263
(+) Equitable Life
Assurance Society of
the U.S., Series 1 A
6.95%, 12/1/05 A 450 431
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 475 470
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 700 666
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 575 556
(+)+ Home Ownership
Funding, 13.331%
(Preferred Stock) Aaa (1) 3,025 2,903
John Hancock Surplus
Note
7.375%, 2/15/24 AA- 625 573
(+) Lazara Properties,
13.547% (Preferred
Stock) A (1) 525 512
(+) Massachusetts
Mutual Life
Insurance Co.
7.625%, 11/15/23 AA- 350 333
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 600 537
# Mutual Life
Insurance Co. of New
York
0.00%, 8/15/24 BBB 450 455
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 925 831
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 700 638
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 725 690
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Principal Mutual
Life Insurance Co.,
Series 95-2 A6
7.875%, 3/1/24 AA- $ 775 $ 729
(+) Staircase
Properties, Inc.,
13.74% (Preferred
Stock) A (1) 575 564
(+) State Street
Institutional
Capital, Series A
7.94%, 12/30/26 A 350 335
## United Savings of
Texas
8.05%, 5/15/98 BB+ 275 280
(+) Wells Fargo
Capital, Series A
8.125%, 12/1/26 BBB 700 677
(+) World Financial
Properties, Series:
96 WFP-B
6.91%, 9/1/13 AA- 847 813
96 WFP-D
6.95%, 9/1/13 AA- 525 502
- --------------------------------------------------------
GROUP TOTAL 15,208
- --------------------------------------------------------
FOREIGN GOVERNMENTS (1.2%)
Government of Canada
9.75%, 6/1/21 A CAD 1,300 1,196
Swedish Government
6.00%, 2/9/05 AAA SEK 10,900 1,362
10.25%, 5/5/03 AA+ 7,300 1,147
- --------------------------------------------------------
GROUP TOTAL 3,705
- --------------------------------------------------------
INDUSTRIALS (2.3%)
Blue Bell Funding
11.85%, 5/1/99 BB- $ 85 87
Digital Equipment
Corp.
8.625%, 11/1/12 BB+ 600 586
DR Securitized Lease
Trust, Series 93-K1
A1
6.66%, 8/15/10 BB- 138 118
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 375 358
(+) Entertainment
Properties, 14.253%
(Preferred Stock) BBB- (1) 575 562
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 650 661
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- 300 287
(+) Oxymar
7.50%, 2/15/16 BBB 470 440
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 860 793
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
<S> <C> <C> <C>
Rhone-Poulenc Rorer,
Inc., Series 92-A3
8.62%, 1/5/21 BBB+ $ 400 $ 413
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 400 399
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 621 622
Southland Corp.
5.00%, 12/15/03 BB+ 485 398
Tele-Communications,
Inc.
8.75%, 2/15/23 BBB- 675 623
(+) Tier One
Properties, 11.095%
(Preferred Stock) A (1) 250 244
Time Warner, Inc.,
Series K 10.25%
(Preferred Stock) BB+ (1) 730 788
- --------------------------------------------------------
GROUP TOTAL 7,379
- --------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
First Federal Savings
& Loan Association,
Series 92-C
8.75%, 6/1/06 AA 1 1
## Resolution Trust
Corp., Series 92-5 C
8.62%, 1/25/26 AA 358 364
Ryland Acceptance
Corp., Series 79-A
6.65%, 7/1/11 AA 89 84
- --------------------------------------------------------
GROUP TOTAL 449
- --------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-AGENCY COLLATERAL
SERIES (0.7%)
Federal National
Mortgage
Association,
Series:
249 1 PO 10/25/23 Agy 1,830 1,089
254 1 PO 1/1/24 Agy 459 290
260 1 PO 4/1/24 Agy 612 383
93-146 G PO 5/25/23 Agy 382 195
93-205 G PO REMIC
9/25/23 Agy 308 162
93-235 H PO REMIC
9/25/23 Agy 128 84
93-243 C PO REMIC
11/25/23 Agy 84 52
- --------------------------------------------------------
GROUP TOTAL 2,255
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- --------------------------------------------------------
TELEPHONES (0.6%)
Comcast Cellular
Corp., Series A Zero
Coupon, 3/5/00 BB- $ 1,000 $ 735
Rogers Cablesystems
10.00%, 3/15/05 BB+ 400 422
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 700 673
- --------------------------------------------------------
GROUP TOTAL 1,830
- --------------------------------------------------------
TRANSPORTATION (0.3%)
(+) Jet Equipment
Trust, Series 95-5A
C
10.69%, 5/1/15 BBB- 675 804
- --------------------------------------------------------
U.S. TREASURY SECURITIES (4.6%)
U.S. Treasury Notes
7.125%, 9/30/99 Tsy 3,050 3,090
7.50%, 2/15/05 Tsy 11,240 11,628
- --------------------------------------------------------
GROUP TOTAL 14,718
- --------------------------------------------------------
UTILITIES (0.1%)
(+) Edison Mission
Energy Funding,
Series B
7.33%, 9/15/08 BBB 375 367
- --------------------------------------------------------
YANKEE (1.9%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 710 689
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 525 507
National Power Corp.
7.875%, 12/15/06 BB+ 450 428
8.40%, 12/15/16 BB+ 350 330
(+) Paiton Energy
Funding
9.34%, 2/15/14 BBB- 545 575
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 1,000 1,000
## Republic of
Argentina
5.25%, 3/31/23 BB- 1,500 932
Republic of Colombia
8.70%, 2/15/16 BBB- 480 467
+ Republic of
Venezuela, Series A
6.75%, 3/31/20 Ba3 550 388
United Mexican States
6.25%, 12/31/19 BB 1,150 805
- --------------------------------------------------------
GROUP TOTAL 6,121
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$117,764) 116,575
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (56.7%)
- --------------------------------------------------------
BANKS (2.3%)
Chase Manhattan Corp. 10,270 $ 961
Citicorp 10,300 1,115
First Union Corp. 30,704 2,491
Mellon Bank Corp. 13,300 968
Wells Fargo & Co. 6,000 1,705
- --------------------------------------------------------
GROUP TOTAL 7,240
- --------------------------------------------------------
BASIC RESOURCES (2.7%)
Bowater, Inc. 26,900 1,046
Champion International Corp. 52,900 2,407
E.I. DuPont de Nemours & Co. 37,800 4,007
Great Lakes Chemical Corp. 20,700 952
Willamette Industries, Inc. 3,400 212
- --------------------------------------------------------
GROUP TOTAL 8,624
- --------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.8%)
Kimberly-Clark Corp. 5,562 553
Procter & Gamble Co. 15,800 1,817
- --------------------------------------------------------
GROUP TOTAL 2,370
- --------------------------------------------------------
CONSUMER DURABLES (2.8%)
Chrysler Corp. 67,300 2,019
Ford Motor Co. 70,100 2,199
General Motors Corp. 58,402 3,234
Goodyear Tire & Rubber Co. 28,600 1,495
- --------------------------------------------------------
GROUP TOTAL 8,947
- --------------------------------------------------------
CONSUMER SERVICES (4.1%)
Carnival Corp., Class A 16,700 618
* Clear Channel
Communications, Inc. 28,400 1,218
* GTECH Holdings Corp. 51,800 1,560
* HFS, Inc. 69,300 4,080
International Game
Technology 46,400 748
News Corp. Limited ADR 59,000 878
Service Corp. International 79,800 2,374
Tele-Communications Liberty
Media Group, Class A 40,225 802
Tele-Communications, Inc.,
Class A 70,500 846
- --------------------------------------------------------
GROUP TOTAL 13,124
- --------------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.7%)
American Express Co. 8,600 515
Bear Stearns Co., Inc. 30,785 808
CMAC Investment Corp. 14,800 494
Franklin Resources, Inc. 6,800 347
Lehman Brothers Holdings,
Inc. 19,600 571
Transamerica Corp. 30,619 2,740
- --------------------------------------------------------
GROUP TOTAL 5,475
- --------------------------------------------------------
ENERGY (3.5%)
British Petroleum plc ADR 22,200 3,047
Coastal Corp. 24,000 1,152
Columbia Gas System, Inc. 15,800 914
Mobil Corp. 7,750 1,012
Phillips Petroleum Co. 50,600 2,068
Repsol SA ADR 27,200 1,108
Royal Dutch Petroleum Co.
ADR 4,500 788
Texaco, Inc. 8,900 975
@ Unocal Corp. 2 --
- --------------------------------------------------------
GROUP TOTAL 11,064
- --------------------------------------------------------
FOOD, TOBACCO & OTHER (3.6%)
Campbell Soup Co. 42,200 1,957
Philip Morris Co., Inc. 54,600 6,231
RJR Nabisco Holdings Corp. 57,220 1,846
Unilever N.V. ADR 8,500 1,583
- --------------------------------------------------------
GROUP TOTAL 11,617
- --------------------------------------------------------
HEALTH CARE (4.1%)
Aetna, Inc. 44,300 3,804
Baxter International, Inc. 23,500 1,014
Becton, Dickinson & Co. 36,000 1,620
Bristol-Myers Squibb Co. 39,800 2,348
Columbia/HCA Healthcare
Corp. 40,160 1,350
* Health Management
Associates, Class A 43,400 1,031
Merck & Co., Inc. 15,100 1,272
SmithKline Beecham plc ADR 10,900 763
- --------------------------------------------------------
GROUP TOTAL 13,202
- --------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (6.8%)
Allied Signal, Inc. 10,600 755
AMR Corp. 12,200 1,007
Case Corp. 38,500 1,954
Cummins Engine Co., Inc. 69,900 3,582
Delta Air Lines, Inc. 8,300 698
Eaton Corp. 15,300 1,084
FMC Corp. 31,900 1,954
General Electric Co. 11,900 1,181
Hillenbrand Industries, Inc. 3,700 148
Ingersoll Rand Co. 300 13
McDonnell Douglas Corp. 14,100 860
Tenneco, Inc. 15,600 609
Textron, Inc. 9,300 977
Trinova Corp. 29,700 995
Union Pacific Corp. 34,400 1,952
United Technologies Corp. 25,800 1,941
WMX Technologies, Inc. 62,600 1,917
- --------------------------------------------------------
GROUP TOTAL 21,627
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- --------------------------------------------------------
<S> <C> <C>
INSURANCE (3.3%)
Ace, Ltd. 19,200 $ 1,229
Allstate Corp. 34,400 2,043
CIGNA Corp. 10,200 1,490
Exel Ltd. 37,100 1,567
ITT Hartford Group, Inc. 34,600 2,496
Loews Corp. 20,600 1,831
- --------------------------------------------------------
GROUP TOTAL 10,656
- --------------------------------------------------------
MID CAP GROWTH (2.1%)
Advanced Fibre
Communications, Inc. 2,000 64
* Altera Corp. 1,800 77
* Ascend Communications,
Inc. 800 33
* BioChem Pharma, Inc. 1,100 47
* Biogen, Inc. 1,300 49
* BMC Software, Inc. 3,400 157
* Borders Group, Inc. 6,400 121
* Boston Chicken, Inc. 2,500 76
Cardinal Health, Inc. 1,900 103
* Centocor, Inc. 1,700 52
Charles Schwab Corp. 2,100 67
* CIENA Corp. 1,400 40
* Cinar Films, Inc., Class B 3,300 81
Cintas Corp. 2,800 148
CKE Restaurants, Inc. 4,050 90
Comcast Corp., Class A
Special 6,200 105
* CompUSA, Inc. 4,100 65
CVS Corp. 3,100 143
Danaher Corp. 3,400 142
* Eagle Hardware & Garden,
Inc. 5,000 90
* Electronics for Imaging,
Inc. 1,800 72
Estee Lauder Cos., Class A 2,800 135
* Fiserv, Inc. 3,100 115
* Global Marine, Inc. 4,000 86
* Globalstar
Telecommunications Ltd. 3,500 187
Gucci Group N.V. (New York
Shares) 2,400 173
HBO & Co. 2,100 100
Health Management
Associates, Class A 10,375 246
* Heftel Broadcasting Corp.,
Class A 1,400 65
* Hutchinson Technology,
Inc. 2,700 77
* Imax Corp. 2,700 92
Jones Medical Industries,
Inc. 3,100 74
* Kulicke & Soffa
Industries, Inc. 3,100 65
* Lincare Holdings, Inc. 4,300 177
* Loral Space &
Communications 7,000 99
* Macrovision Corp. 2,500 22
* McAfee Associates, Inc. 2,012 89
Metro Networks, Inc. 3,500 81
* Millicom International
Cellular SA 3,100 128
Money Store (The), Inc. 2,800 59
* Orthodontic Centers of
America, Inc. 4,800 65
* PairGain Technologies,
Inc. 2,100 62
PathoGenesis Corp. 1,900 48
Paychex, Inc. 1,400 58
* Pediatrix Medical Group,
Inc. 1,300 43
* Peoplesoft, Inc. 2,100 84
* Premier Parks, Inc. 1,900 49
* Qualcomm, Inc. 1,000 56
sec.* Republic Industries,
Inc. (acquired
12/20/96-4/14/97, cost
$130) 3,700 128
* Rexall Sundown, Inc. 3,400 87
* Robert Mondavi Corp.,
Class A 3,300 120
Saks Holdings, Inc. 2,600 75
* Samsonite Corp. 1,400 61
* Sapient Corp. 1,900 61
* Scopus Technology, Inc. 2,850 85
* SeaChange International,
Inc. 2,800 50
* Sealed Air Corp. 2,000 82
Security Capital Industrial
Trust 4,550 95
Sirrom Capital Corp. 2,700 98
* Southern Pacific Funding
Corp. 3,600 62
* TCI Satellite
Entertainment, Inc., Class
A 10,300 80
* Tele-Communications
Liberty Media Group, Class
A 10,815 215
* Tellabs, Inc. 2,800 101
* The North Face, Inc. 2,700 45
* Ticketmaster Group, Inc. 3,000 38
Tidewater, Inc. 2,000 92
* Tommy Hilfiger Corp. 900 47
* U.S. Filter Corp. 2,400 74
U.S. Robotics Corp. 3,500 194
* USA Waste Services, Inc. 2,000 71
* Uniphase Corp. 3,000 111
* Univision Communications,
Inc., Class A 2,500 81
* Vail Resorts, Inc. 3,000 58
* Visio Corp. 1,700 66
* WorldCom, Inc. 6,040 133
- --------------------------------------------------------
GROUP TOTAL 6,767
- --------------------------------------------------------
RETAIL (4.3%)
Boston Chicken, Inc. 71,200 2,172
* CompUSA, Inc. 52,700 830
Cracker Barrel Old Country
Store, Inc. 18,100 473
CVS Corp. 23,600 1,088
* Einstein/Noah Bagel Corp. 16,700 420
* Federated Department
Stores, Inc. 30,800 1,012
Gucci Group N.V. (New York
Shares) 18,400 1,327
Home Depot, Inc. 48,500 2,595
* PETsMART, Inc. 22,700 460
Saks Holdings, Inc. 46,000 1,322
Sears, Roebuck & Co. 38,000 1,910
- --------------------------------------------------------
GROUP TOTAL 13,609
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- --------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (6.3%)
* BMC Software, Inc. 35,800 $ 1,651
* Cisco Systems, Inc. 55,700 2,681
* Compaq Computer Corp. 9,600 736
Intel Corp. 28,300 3,937
International Business
Machines Corp. 2,000 275
* Microsoft Corp. 48,300 4,428
* Oracle System Corp. 34,375 1,326
Qualcomm, Inc. 22,100 1,246
Sabre Group Holdings, Inc. 24,100 608
* Seagate Technology, Inc. 33,500 1,503
U.S. Robotics Corp. 31,100 1,722
- --------------------------------------------------------
GROUP TOTAL 20,113
- --------------------------------------------------------
UTILITIES (2.5%)
GTE Corp. 46,400 2,163
SBC Communications, Inc. 35,300 1,858
Sprint Corp. 63,600 2,894
* WorldCom, Inc. 52,394 1,153
- --------------------------------------------------------
GROUP TOTAL 8,068
- --------------------------------------------------------
VALUE (5.8%)
Allstate Corp. 3,427 203
American General Corp. 6,200 253
Amoco Corp. 2,200 191
* AMR Corp. 2,000 165
Archer Daniels Midland Co. 11,119 199
Atlantic Richfield Co. 1,500 202
Banc One Corp. 1,000 40
Bank of New York Co. 5,600 206
Beckman Instruments, Inc. 5,800 244
Bergen Brunswig Corp., Class
A 8,500 253
British Petroleum plc ADR 2,100 288
Burlington Northern Santa
Fe, Inc. 2,900 215
Cabot Oil & Gas Corp., Class
A 4,900 118
Capital One Financial Corp. 6,232 232
Caterpillar, Inc. 2,100 169
Central Maine Power Co. 9,200 98
Chase Manhattan Corp. 3,300 309
Chubb Corp. 2,400 129
Citicorp 1,300 141
* Compaq Computer Corp. 6,400 490
Crestar Financial Corp. 6,934 240
CSX Corp. 2,100 98
Cummins Engine Co., Inc. 8,700 446
Cyprus Amax Minerals Co. 5,900 140
Deere & Co. 4,800 209
Dillard Department Stores,
Inc., Class A 4,500 142
Dow Chemical Co. 1,400 112
Eaton Corp. 4,400 312
E.I. DuPont de Nemours & Co. 3,800 403
Entergy Corp. 6,900 169
Federal Home Loan Mortgage
Corp. 5,200 142
Federal National Mortgage
Association 3,400 123
First Chicago NBD Corp. 3,600 195
First Union Corp. 1,400 114
* FMC Corp. 3,300 202
Ford Motor Co. 13,700 430
* Foundation Health Corp. 6,200 226
General Motors Corp. 5,696 315
Goodyear Tire & Rubber Co. 6,900 361
GPU, Inc. 8,500 273
Great Lakes Chemical Corp. 3,000 138
Great Western Financial 5,620 227
Harnischfeger Industries,
Inc. 5,500 256
IBP, Inc. 8,300 204
International Business
Machines Corp. 3,400 467
ITT Hartford Group, Inc. 2,700 195
Kennametal, Inc. 2,912 106
Mallinckrodt, Inc. 6,200 255
MAPCO, Inc. 5,400 167
* Maxicare Health Plans,
Inc. 7,200 181
MCI Communications Corp. 2,500 89
Mellon Bank Corp. 2,200 160
Old Republic International
Corp. 6,050 155
Olsten Corp. 5,200 84
PanEnergy Corp. 2,600 112
Parker Hannifin Corp. 4,000 171
PECO Energy Co. 7,700 157
Philip Morris Co., Inc. 4,600 525
Phillips Petroleum Co. 3,600 147
Premark International, Inc. 5,100 101
Providian Corp. 4,200 225
Raytheon Corp. 4,400 198
ReliaStar Financial Corp. 2,700 160
Repsol SA ADR 4,500 183
Republic New York Corp. 2,200 194
RJR Nabisco Holdings Corp. 8,100 261
Rohm & Haas Co. 3,800 284
Salomon, Inc. 2,000 100
* Seagate Technology, Inc. 7,400 332
Signet Banking Corp. 6,271 185
Springs Industries, Inc.,
Class A 3,800 170
Sprint Corp. 1,700 77
Standard Register Co. 6,100 200
* Stratus Computer, Inc. 6,600 204
Tecumseh Products Co., Class
A 8,400 479
Tektronix, Inc. 4,900 247
Textron, Inc. 2,600 273
*@ 360 Communications Co. 1 --
* Toys R Us, Inc. 6,200 174
Transatlantic Holdings, Inc. 2,000 168
Trinova Corp. 10,800 362
TRW, Inc. 3,800 197
Tupperware Corp. 2,400 80
* UAL Corp. 2,400 155
Ultramar Diamond Shamrock
Corp. 6,500 206
Universal Foods Corp. 400 11
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- ------------------------------------------------------------------
<S> <C> <C>
V.F. Corp. 3,700 $ 247
* Western Digital Corp. 1,900 107
YPF SA ADR 6,900 183
- ------------------------------------------------------------------
GROUP TOTAL 18,356
- ------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $156,807) 180,859
- ------------------------------------------------------------------
RIGHTS (0.0%)
- ------------------------------------------------------------------
* Globalstar
Telecommunications Ltd.,
expiring 4/30/97 396 12
*@ United Mexican States
Recovery Rights, expiring
6/30/03 1,150,000 --
*@ Republic of Venezuela
Recovery Rights, expiring
3/31/20 2,750 --
- ------------------------------------------------------------------
TOTAL RIGHTS (Cost $0) 12
- ------------------------------------------------------------------
WARRANTS (0.0%)
- ------------------------------------------------------------------
*@ Homestead Village, Inc.
expiring 10/29/97 (Cost
$0) 1 --
- ------------------------------------------------------------------
STRUCTURED INVESTMENT (0.1%) -- SEE NOTE A7
- ------------------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- ----------
<S> <C> <C>
## Morgan Guaranty
Trust Co., 11/20/05;
monthly payments
equal to 1% per
annum of the
outstanding notional
balance indexed to
GNMA ARM pools (Cost
$531) N/R $ 14,380 449
- ------------------------------------------------------------------
CASH EQUIVALENTS (13.8%)
- ------------------------------------------------------------------
Short-term Investments
Held as Collateral
for Loaned
Securities (1.9%) 5,948 5,948
- ------------------------------------------------------------------
COMMERCIAL PAPER (7.5%)
Beneficial Corp. 5.39%,
5/5/97 4,000 3,979
Commercial Credit Co. 5.24%,
4/3/97 4,000 3,999
Delaware Funding Corp.
5.54%, 5/15/97 4,000 3,973
Greenwich Funding Corp.
5.27%, 4/11/97 4,000 3,994
IBM Credit Corp. 5.48%,
5/7/97 4,000 3,978
John Deere Capital Corp.
5.30%, 4/15/97 4,000 3,992
- ------------------------------------------------------------------
GROUP TOTAL 23,915
- ------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)++
- ------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (4.4%)
Chase Securities, Inc.
6.20%, dated 3/31/97, due
4/1/97, to be repurchased
at $13,894, collateralized
by various U.S. Government
Obligations, due
4/10/97-1/29/99, valued at
$14,031 $ 13,892 $ 13,892
- ------------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $43,755) 43,755
- ------------------------------------------------------------------
TOTAL INVESTMENTS (107.1%) (Cost $318,857) 341,650
- ------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.1%)
Cash 1
Dividends Receivable 370
Interest Receivable 1,376
Receivable for Investments Sold 1,204
Receivable for Fund Shares Sold 133
Receivable for Daily Variation on Futures
Contracts 7
Unrealized Gain on Forward Foreign Currency
Contracts 78
Other Assets 7
Payable for Investments Purchased (17,678)
Payable for Fund Shares Redeemed (1,639)
Payable for Investment Advisory Fees (364)
Payable for Administrative Fees (22)
Payable for Distribution Fee-Adviser Class (3)
Payable for Deferred Trustees' Compensation
Plan-Note F (6)
Collateral on Securities Loaned, at Value (5,948)
Other Liabilities (71)
---------
(22,555)
- ------------------------------------------------------------------
NET ASSETS (100%) $ 319,095
- ------------------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------------------
NET ASSETS
Applicable to 23,234,754 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 305,494
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.15
- ------------------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------------------
NET ASSETS
Applicable to 1,033,530 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 13,601
- ------------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.16
- ------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO (UNAUDITED)
VALUE
(CONT'D) (000)++
- --------------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 275,205
Undistributed Net Investment Income (Loss) 3,000
Undistributed Realized Net Gain (Loss) 17,880
Unrealized Appreciation (Depreciation) on:
Investment Securities 22,793
Foreign Currency Transactions 69
Futures 148
- --------------------------------------------------------
NET ASSETS $ 319,095
- --------------------------------------------------------
</TABLE>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1997 was
$2,033 or 0.6% of net assets.
++ See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
(1) Amount represents shares held by the Portfolio.
+ A portion of these securities was pledged to cover
margin requirements for futures contracts.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of March 31, 1997.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1997.
++ ++ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
@ Amount is less than $500.
ADR American Depositary Receipt
CAD Canadian Dollar
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, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
SEK Swedish Krona
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
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
and steepest yield curves.
AVERAGE ANNUAL RETURNS ENDED 3/31/97*
<TABLE>
<CAPTION>
MAS MSCI
------------------------------- S&P SALOMON EAFE-
INSTITUTIONAL(a) INVESTMENT(b) 500 BROAD GDP
-----------------------------------------------------
<S> <C> <C> <C> <C> <C>
SIX MONTHS 7.6% 7.5% 11.2% 2.5% 3.1%
ONE YEAR 12.7 12.5 19.8 4.9 5.4
SINCE INCEPTION 14.7 14.6 23.7 7.4 6.1
</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.
(a) Represents an investment in the Institutional Class.
(b) Represents an investment in the Investment Class which commenced operations
6/10/96. Returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
The Adviser has voluntarily agreed to waive its advisory fees and reimburse
certain expenses to the extent necessary to keep total annual operating expenses
for Institutional Class shares of the Multi-Asset-Class Portfolio from exceeding
0.78% of average daily net assets. The Adviser also waived a portion of its
advisory fees for Investment Class shares of the Portfolio. Returns presented
include the effects of these waivers and reimbursements. If such waivers and
reimbursements had not been made, the actual returns would have been lower.
* The Multi-Asset-Class Portfolio commenced operations on 7/29/94. All returns
are compared to the S&P 500 Index, the Salomon Broad Investment Grade Index and
the Morgan Stanley Capital International EAFE-GDP Weighted Index, all unmanaged
market indices. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
EQUITY (42.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1997 SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (42.9%)
- -----------------------------------------------------
BANKS (1.6%)
Chase Manhattan Corp. 3,269 $ 306
Citicorp 3,500 379
First Union Corp. 9,774 793
Mellon Bank Corp. 4,500 327
Wells Fargo & Co. 1,900 540
- -----------------------------------------------------
GROUP TOTAL 2,345
- -----------------------------------------------------
BASIC RESOURCES (2.1%)
Bowater, Inc. 7,800 303
Champion International Corp. 16,900 769
++ ++ E.I. DuPont de Nemours & Co. 12,975 1,375
Great Lakes Chemical Corp. 6,900 318
Willamette Industries, Inc. 5,700 356
- -----------------------------------------------------
GROUP TOTAL 3,121
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.5%)
Kimberly-Clark Corp. 1,976 196
Procter & Gamble Co. 4,600 529
- -----------------------------------------------------
GROUP TOTAL 725
- -----------------------------------------------------
CONSUMER DURABLES (2.1%)
Chrysler Corp. 22,300 669
Ford Motor Co. 24,200 760
General Motors Corp. 19,488 1,079
Goodyear Tire & Rubber Co. 9,400 491
- -----------------------------------------------------
GROUP TOTAL 2,999
- -----------------------------------------------------
CONSUMER SERVICES (3.1%)
Carnival Corp., Class A 5,600 207
* Clear Channel Communications,
Inc. 9,800 420
* GTECH Holdings Corp. 18,400 554
* HFS, Inc. 24,400 1,437
International Game Technology 11,200 181
News Corp. Limited ADR 19,700 293
Service Corp. International 27,600 821
* TCI Satellite Entertainment,
Inc., Class A 100 1
* Tele-Communications, Inc., Class
A 22,900 275
* Tele-Communications Liberty
Media Group, Class A 14,963 298
- -----------------------------------------------------
GROUP TOTAL 4,487
- -----------------------------------------------------
CREDIT & FINANCE/INVESTMENT COMPANIES (1.4%)
American Express Co. 3,000 180
Bear Stearns Co., Inc. 9,855 259
CMAC Investment Corp. 5,300 177
Franklin Resources, Inc. 2,200 112
</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 (UNAUDITED)
VALUE
(CONT'D) SHARES (000)++
- -----------------------------------------------------
<S> <C> <C>
Lehman Brothers Holdings, Inc. 6,700 $ 195
Transamerica Corp. 11,600 1,038
- -----------------------------------------------------
GROUP TOTAL 1,961
- -----------------------------------------------------
ENERGY (2.5%)
British Petroleum plc ADR 7,000 961
Coastal Corp. 8,500 408
Columbia Gas System, Inc. 5,200 301
Mobil Corp. 2,400 313
Phillips Petroleum Co. 17,900 732
Repsol SA ADR 9,000 367
Royal Dutch Petroleum Co. ADR 1,600 280
Texaco, Inc. 3,000 328
- -----------------------------------------------------
GROUP TOTAL 3,690
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.7%)
Campbell Soup Co. 14,200 658
Philip Morris Cos., Inc. 19,400 2,214
RJR Nabisco Holdings Corp. 19,940 643
Unilever N.V. ADR 2,500 466
- -----------------------------------------------------
GROUP TOTAL 3,981
- -----------------------------------------------------
HEALTH CARE (3.2%)
Aetna, Inc. 15,200 1,305
Baxter International, Inc. 8,200 354
Becton, Dickinson & Co. 11,300 508
Bristol-Myers Squibb Co. 11,500 679
Columbia/HCA Healthcare Corp. 24,143 812
* Health Management Associates,
Class A 14,700 349
Merck & Co., Inc. 5,000 421
SmithKline Beecham plc ADR 3,900 273
- -----------------------------------------------------
GROUP TOTAL 4,701
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.2%)
Allied Signal, Inc. 3,500 249
* AMR Corp. 4,100 338
Case Corp. 12,900 655
Cummins Engine Co., Inc. 23,200 1,189
Delta Air Lines, Inc. 2,800 236
Eaton Corp. 5,000 354
* FMC Corp. 11,300 692
General Electric Co. 3,900 387
Hillenbrand Industries, Inc. 1,300 52
McDonnell Douglas Corp. 5,200 317
Tenneco, Inc. 5,100 199
Textron, Inc. 3,400 357
Trinova Corp. 10,200 342
Union Pacific Corp. 12,900 732
United Technologies Corp. 8,800 662
WMX Technologies, Inc. 22,600 692
- -----------------------------------------------------
GROUP TOTAL 7,453
- -----------------------------------------------------
INSURANCE (2.5%)
Ace, Ltd. 6,600 422
Allstate Corp. 11,200 665
CIGNA Corp. 3,600 526
Exel Ltd. 12,000 507
ITT Hartford Group, Inc. 12,000 866
Loews Corp. 7,000 622
- -----------------------------------------------------
GROUP TOTAL 3,608
- -----------------------------------------------------
MID CAP GROWTH (2.0%)
Cardinal Health, Inc. 6,450 351
Ceridian Corp. 5,500 197
Danaher Corp. 7,300 304
Estee Lauder Cos., Class A 7,500 363
* Globalstar Telecommunications
Ltd. 5,500 294
* Globalstar Telecommunications
Ltd. Rights, expiring 4/30/97 (1)1 18
Health Management Associates,
Inc., Class A 12,525 298
* Loral Space & Communications 19,200 271
* Tommy Hilfiger Corp. 5,500 287
U.S. Robotics Corp. 3,100 172
* U.S.A. Waste Services, Inc. 9,400 334
- -----------------------------------------------------
GROUP TOTAL 2,889
- -----------------------------------------------------
RETAIL (3.2%)
* Boston Chicken, Inc. 25,200 769
* CompUSA, Inc. 18,600 293
Cracker Barrel Old Country Store,
Inc. 5,900 154
CVS Corp. 7,700 355
Einstein/Noah Bagel Corp. 4,300 108
* Federated Department Stores,
Inc. 10,600 349
Gucci Group N.V. (New York Shares) 6,300 454
Home Depot, Inc. 17,100 915
* PETsMART, Inc. 7,300 148
Saks Holdings, Inc. 13,300 382
Sears, Roebuck & Co. 12,700 638
- -----------------------------------------------------
GROUP TOTAL 4,565
- -----------------------------------------------------
TECHNOLOGY (4.5%)
BMC Software, Inc. 12,400 572
* Cisco Systems, Inc. 19,300 929
Compaq Computer Corp. 3,200 245
Intel Corp. 9,400 1,308
International Business Machines
Corp. 700 96
* Microsoft Corp. 16,100 1,476
* Oracle System Corp. 11,875 458
* Qualcomm, Inc. 7,100 400
Sabre Group Holdings, Inc. 5,900 149
* Seagate Technology 5,100 229
U.S. Robotics Corp. 10,700 593
- -----------------------------------------------------
GROUP TOTAL 6,455
- -----------------------------------------------------
UTILITIES (1.8%)
GTE Corp. 13,000 606
SBC Communications, Inc. 11,400 600
Sprint Corp. 22,200 1,010
* WorldCom, Inc. 18,120 399
- -----------------------------------------------------
GROUP TOTAL 2,615
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)++
- ------------------------------------------------------------------
<S> <C> <C>
VALUE (4.5%)
Baxter International, Inc. 17,800 $ 768
Chrysler Corp. 33,000 990
Citicorp 9,400 1,017
Dillard Department Stores, Inc.,
Class A 15,800 498
MAPCO, Inc. 35,800 1,110
Sprint Corp. 14,800 673
Texas Instruments, Inc. 8,200 614
Textron, Inc. 7,400 777
- ------------------------------------------------------------------
GROUP TOTAL 6,447
- ------------------------------------------------------------------
TOTAL U.S. COMMON STOCK
(Cost $54,640) 62,042
- ------------------------------------------------------------------
U.S. FIXED INCOME (20.5%)
- ------------------------------------------------------------------
FIXED INCOME SECURITIES (20.5%)
(Unless otherwise noted)
- ------------------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
- ------------------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (1.2%)
## Government National Mortgage
Association Various Pools:
6.00%, 11/20/26-
12/20/26 Agy $ 1,709 1,706
- ------------------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (4.0%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
11.00%, 9/1/16 Agy 122 135
11.50%, 7/1/15 Agy 108 121
Gold Pools:
7.00%, 1/1/24-4/1/24 Agy 886 850
9.50%, 12/1/16 Agy 270 292
April TBA
7.50%, 6/15/26-8/15/26 Agy 1,250 1,230
8.00%, 6/15/26 Agy 1,625 1,635
Federal National Mortgage
Association Conventional
Pools:
9.00%, 10/1/16-11/1/16 Agy 198 210
11.00%, 11/1/20 Agy 162 181
Government National Mortgage
Association Various Pools:
10.50%,
2/15/19-8/15/26 Agy 619 688
11.00%, 7/15/10-
12/15/17 Agy 340 381
11.50%,
1/15/13-2/15/13 Agy 94 105
- ------------------------------------------------------------------
GROUP TOTAL 5,828
- ------------------------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ------------------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.3%)
## Airplanes Pass Through Trust,
Series 1 B
6.538%, 3/15/19 A $ 96 $ 96
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 100 102
94-1 C2 CMO
9.35%, 9/15/04 BBB 99 101
NAL Auto Trust 96-4 A
6.90%, 12/15/00 N/R 138 137
- ------------------------------------------------------------------
GROUP TOTAL 436
- ------------------------------------------------------------------
ASSET BACKED MORTGAGES (0.3%)
Advanta Mortgage Loan Trust,
Series 96-2 A5
8.08%, 6/25/27 AAA 150 152
Delta Funding Home Equity Loan
Trust, Series 96-1 A7
7.95%, 6/25/27 AAA 150 150
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 175 177
- ------------------------------------------------------------------
GROUP TOTAL 479
- ------------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.2%)
Federal Home Loan Mortgage
Corporation,
Series:
1632 SA Inv Fl REMIC
5.657%, 11/15/23 Agy 75 53
1709 H PO REMIC,
1/15/24 Agy 9 3
1750 C H PO REMIC,
3/15/24 Agy 13 8
1813 K PO REMIC,
2/15/24 Agy 10 6
1844 PC PO REMIC,
3/15/24 Agy 15 8
1887 I PO REMIC,
10/15/22 Agy 10 6
93-149 O PO REMIC,
8/25/23 Agy 22 11
Federal National Mortgage
Association,
Series:
92-33 S Inv Fl REMIC
11.46%, 3/25/22 Agy 50 50
92-89 SQ Inv Fl IO PAC
(11) REMIC
3353.20%, 6/25/22 Agy (2) -- 36
96-14 PC PO REMIC,
12/25/23 Agy 15 7
96-46 PB PO REMIC,
9/25/23 Agy 15 8
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ----------------------------------------------------------------
<S> <C> <C> <C>
96-54 PO REMIC,
7/25/23 Agy $ 10 $ 6
96-54 O PO REMIC,
11/25/23 Agy 15 7
97-7 ST Inv Fl
3743.75%, 2/25/23 Agy (2) -- 55
- ----------------------------------------------------------------
GROUP TOTAL 264
- ----------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS NON-AGENCY
COLLATERAL SERIES (1.0%)
American Housing Trust, Series V
1G
9.125%, 4/25/21 AAA 170 171
Countrywide Mortgage Backed
Securities, Inc., Series 93-C
A11
6.50%, 1/25/24 AAA 144 130
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 220 198
## Kidder Peabody Funding
Corp., Series 96-9 AI
11
8.00%, 6/15/26 AAA 150 150
Mid-State Trust II, Series 88-2
A4
9.625%, 4/1/03 AAA 188 202
Residential Asset Securitization
Trust, Series 96-A11 A9
7.75%, 2/25/27 AAA 175 174
sec. Residential Funding
Mortgage Securities
Co., Inc.,
Series:
93-MZ3 A2
6.97%, 8/28/23
(acquired 7/17/95,
cost $93) N/R 100 92
94-S1 A19
6.75%, 1/25/24
(acquired 5/22/95,
cost $176) AAA 193 179
Rural Housing Trust, Series
87-1M
3.33%, 10/1/28 A- 102 96
sec.## Securitized Asset Sales,
Inc., Series 95-B M
7.41%, 9/25/24
(acquired 5/16/95,
cost $93) N/R 100 93
- ----------------------------------------------------------------
GROUP TOTAL 1,485
- ----------------------------------------------------------------
COMMERCIAL MORTGAGES (1.6%)
American Southwest Financial
Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 AA 133 131
## 93-2 S1 IO
1.056%, 1/18/09 AA 1,170 61
95-C1 A1B
7.40%, 11/17/04 AAA 150 150
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 122 124
95-MD4 A1
7.10%, 8/13/29 AAA 123 121
## 95-MD4 ACS2 IO
1.867%, 8/13/29 AAA 705 124
(+) 96-D3 A1C
7.40%, 10/13/26 AAA 150 149
96-MD6 A1C
7.04%, 11/13/26 AAA 125 121
Beverly Finance Corp.
8.36%, 7/15/04 AA- 100 104
(+) Carousel Center Finance,
Inc., Series 1 A1
6.828%, 11/15/07 AA 100 97
CBM Funding Corp., Series 96-1
A3PI
7.08%, 2/1/13 AA 100 98
Chase Commercial Mortgage
Securities Corp., Series 96-2
B
6.90%, 10/19/06 AA 175 167
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF1 A1B
7.58%, 3/13/28 AAA 150 151
96-CF2 AIB
7.29%, 7/15/06 AAA 135 134
## 96-CF2 S IO
1.641%, 11/12/21 N/R 1,015 90
LB Commercial Conduit Mortgage
Trust, Series 96-C2 A
7.416%, 10/25/26 AAA 174 174
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 65 63
96-C2 IO
1.529%, 11/21/28 N/R 710 63
Midland Realty Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 AAA 100 99
Mortgage Capital Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 125 127
- ----------------------------------------------------------------
GROUP TOTAL 2,348
- ----------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ----------------------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.2%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- $ 200 $ 190
Mobile Energy Services
8.665%, 1/1/17 BBB- 96 97
- ----------------------------------------------------------------------
GROUP TOTAL 287
- ----------------------------------------------------------------------
FINANCE (2.1%)
Anthem Insurance, Series A
9.00%, 4/1/27 N/R 100 98
(+) BankAmerica Institutional,
Series A
8.07%, 12/31/26 A- 100 97
(+) BT Institutional Capital
Trust, Series A
8.09%, 12/1/26 BBB+ 125 118
(+) Corestates Capital Corp.
8.00%, 12/15/26 A- 100 96
(+) Equitable Life Assurance
Society of the U.S., Series 1
A
6.95%, 12/1/05 A 100 96
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 125 119
First Union Institutional
Capital, Series I
8.04%, 12/1/26 N/R 125 121
(+)+ Home Ownership
Funding, 13.331%,
(Preferred Stock) Aaa (1) 600 576
John Hancock Surplus Note
7.375%, 2/15/24 AA- 250 229
(+) Lazara Properties,
13.547% (Preferred
Stock) A (1) 100 97
(+) Metropolitan Life Insurance
Co.
7.45%, 11/1/23 AA 250 224
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 250 225
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA 250 228
(+) PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 150 143
(+) Staircase Properties, Inc.,
13.74% (Preferred
Stock) A (1) 125 122
(+) State Street Institutional
Capital,
Series A
7.94%, 12/30/26 A 125 120
## United Savings of Texas
8.05%, 5/15/98 BB+ 50 51
(+) Wells Fargo Capital, Series
A
8.125%, 12/1/26 BBB 100 97
(+) World Financial Properties,
Series 96 WFP-B
6.91%, 9/1/13 AA- 249 239
- ----------------------------------------------------------------------
GROUP TOTAL 3,096
- ----------------------------------------------------------------------
INDUSTRIALS (1.2%)
Digital Equipment Corp.
8.625%, 11/1/12 BB+ 110 107
DR Securitized Lease Trust,
Series:
93-K1 A2
7.43%, 8/15/18 BB- 180 142
94-K1 A1
7.60%, 8/15/07 BB- 87 81
DR Structured Finance, Series 94
K2
9.35%, 8/15/19 BB- 30 29
(+) Entertainment Properties,
14.253%, (Preferred
Stock) BBB- (1) 150 147
(+) Oxymar
7.50%, 2/15/16 BBB 100 94
Paramount Communications, Inc.
8.25%, 8/1/22 BB+ 255 235
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB+ 100 103
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 110 110
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 106 107
Southland Corp.
5.00%, 12/15/03 BB+ 100 82
Tele-Communications, Inc.
8.75%, 2/15/23 BBB- 200 184
(+) Tier One Properties,
11.095% (Preferred
Stock) A (1) 100 98
Time Warner, Inc., Series M,
10.25% (Preferred
Stock) BB+ (1) 167 180
- ----------------------------------------------------------------------
GROUP TOTAL 1,699
- ----------------------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.4%)
Federal Home Loan Mortgage
Corporation, Series 1911-C PO
11/15/23 Agy 100 39
Federal National Mortgage
Association,
Series:
249 1 PO,
10/25/23 Agy 499 297
254 1 PO,
1/1/24 Agy 88 56
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
- ----------------------------------------------------------------------
<S> <C> <C> <C>
260 1 PO,
4/1/24 Agy $ 118 $ 73
96-34 C PO,
3/25/23 Agy 225 93
- ----------------------------------------------------------------------
GROUP TOTAL 558
- ----------------------------------------------------------------------
TELEPHONES (0.3%)
Comcast Cellular Corp.,
Series:
A, Zero Coupon, 3/5/00 BB- 75 55
B, Zero Coupon, 3/5/00 BB- 125 92
Rogers Cablesystems
10.00%, 3/15/05 BB+ 80 84
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 155 149
- ----------------------------------------------------------------------
GROUP TOTAL 380
- ----------------------------------------------------------------------
TRANSPORTATION (0.3%)
(+) Jet Equipment Trust,
Series:
94-A11
10.00%, 6/15/12 A 125 146
95-5A C
10.69%, 5/1/15 BBB- 200 238
- ----------------------------------------------------------------------
GROUP TOTAL 384
- ----------------------------------------------------------------------
U.S. TREASURY SECURITIES (4.8%)
U.S. Treasury Notes
++ ++ 7.125%, 9/30/99 Tsy 2,750 2,786
7.50%, 2/15/05 Tsy 4,100 4,242
- ----------------------------------------------------------------------
GROUP TOTAL 7,028
- ----------------------------------------------------------------------
UTILITIES (0.1%)
(+) Edison Mission Energy
Funding, Series B
7.33%, 9/15/08 BBB 100 98
- ----------------------------------------------------------------------
YANKEE (2.5%)
(+) Alcoa Aluminio SA, Series
96-1
7.50%, 12/16/08 BBB 165 160
+# Brazil Par Series Z-L
5.00%, 4/15/24 B1 725 450
(+) Israel Electric Corp., Ltd.
7.25%, 12/15/06 A- 125 121
National Power Corp.
7.875%, 12/15/06 BB+ 105 100
8.40%, 12/15/16 BB+ 90 85
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 100 105
(+) Ras Laffan Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 215 215
## Republic of Argentina
5.25%, 3/31/23 BB- 1,870 1,162
Republic of Colombia
8.70%, 2/15/16 BBB- 120 117
+ Republic of Venezuela, Series
A
6.75%, 3/31/20 Ba3 250 176
United Mexican States
6.25%, 12/31/19 BB 1,300 910
- ----------------------------------------------------------------------
GROUP TOTAL 3,601
- ----------------------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $29,820) 29,677
- ----------------------------------------------------------------------
INTERNATIONAL FIXED INCOME (4.4%)
- ----------------------------------------------------------------------
FIXED INCOME SECURITIES (4.4%)
- ----------------------------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Commonwealth of Australia
7.50%, 7/15/05 AAA AUD 190 145
- ----------------------------------------------------------------------
BRITISH POUND (0.6%)
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA GBP 160 270
+ 8.50%, 7/16/07 Aaa 315 548
- ----------------------------------------------------------------------
GROUP TOTAL 818
- ----------------------------------------------------------------------
CANADIAN DOLLAR (0.2%)
Government of Canada
7.50%, 3/1/01 AAA CAD 310 237
9.75%, 6/1/21 A 100 92
- ----------------------------------------------------------------------
GROUP TOTAL 329
- ----------------------------------------------------------------------
DANISH KRONE (0.1%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 450 78
8.00%, 3/15/06 AA+ 475 81
- ----------------------------------------------------------------------
GROUP TOTAL 159
- ----------------------------------------------------------------------
GERMAN MARK (1.4%)
Government of Germany
6.25%, 1/4/24 AAA DEM 150 85
7.125%, 1/29/03 AAA 1,370 899
7.375%, 1/3/05 AAA 320 212
7.50%, 9/9/04 AAA 310 207
8.375%, 5/21/01 AAA 695 474
International Bank for
Reconstruction & Development
7.125%, 4/12/05 N/R 175 114
- ----------------------------------------------------------------------
GROUP TOTAL 1,991
- ----------------------------------------------------------------------
IRISH PUNT (0.1%)
Irish Government
6.25%, 4/1/99 N/R IEP 115 183
- ----------------------------------------------------------------------
</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)++
- ----------------------------------------------------------------
<S> <C> <C> <C>
ITALIAN LIRA (0.4%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 135,000 $ 89
10.00%, 8/1/03 AAA 110,000 73
10.50%, 7/15/00 AA 705,000 459
- ----------------------------------------------------------------
GROUP TOTAL 621
- ----------------------------------------------------------------
JAPANESE YEN (1.0%)
Export-Import Bank of Japan
2.875%, 7/28/05 AAA JPY 80,000 672
International Bank for
Reconstruction & Development
6.75%, 6/18/01 AAA 80,000 786
- ----------------------------------------------------------------
GROUP TOTAL 1,458
- ----------------------------------------------------------------
SPANISH PESETA (0.1%)
Spanish Government
10.10%, 2/28/01 AAA ESP 7,000 56
- ----------------------------------------------------------------
SWEDISH KRONA (0.4%)
Swedish Government
6.00%, 2/9/05 AAA SEK 2,100 262
13.00%, 6/15/01 AA+ 2,000 334
- ----------------------------------------------------------------
GROUP TOTAL 596
- ----------------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME
(Cost $6,733) 6,356
- ----------------------------------------------------------------
INTERNATIONAL EQUITY (14.8%)
- ----------------------------------------------------------------
COMMON STOCKS (14.8%)
- ----------------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)++
- ----------------------------------------------------------------
<S> <C> <C>
ARGENTINA (0.4%)
Banco Frances del Rio de la
Plata SA ADR 9,642 289
YPF SA ADR 9,500 252
- ----------------------------------------------------------------
GROUP TOTAL 541
- ----------------------------------------------------------------
AUSTRIA (0.3%)
OMV AG 4,150 491
- ----------------------------------------------------------------
BRAZIL (0.4%)
* Multicanal Participacoes SA
ADR 18,000 250
Telebras SA ADR 2,800 287
- ----------------------------------------------------------------
GROUP TOTAL 537
- ----------------------------------------------------------------
CANADA (0.4%)
Quebecor, Inc., Class B 16,500 296
TransCanada Pipelines Ltd. 15,900 289
- ----------------------------------------------------------------
GROUP TOTAL 585
- ----------------------------------------------------------------
FRANCE (1.7%)
Cie Generale des Eaux 3,720 507
Credit Local de France 4,400 476
Elf Aquitaine 5,260 541
Scor 11,360 464
++ ++ Usinor Sacilor 30,639 502
- ----------------------------------------------------------------
GROUP TOTAL 2,490
- ----------------------------------------------------------------
GERMANY (1.6%)
++ ++ Deutsche Bank AG 9,450 536
Henkel KGaA 6,900 380
Springer (Axel) Verlag AG 600 446
Veba AG 5,100 293
Volkswagen AG 1,060 585
- ----------------------------------------------------------------
GROUP TOTAL 2,240
- ----------------------------------------------------------------
HONG KONG (0.7%)
Great Eagle Holdings Ltd. 136,000 449
HSBC Holdings plc 6,800 158
New World Development Co., Ltd. 27,000 146
* Wheelock & Co., Ltd. 86,000 188
- ----------------------------------------------------------------
GROUP TOTAL 941
- ----------------------------------------------------------------
ITALY (1.1%)
ENI S.p.A. 147,300 749
Telecom Italia S.p.A. 401,800 857
- ----------------------------------------------------------------
GROUP TOTAL 1,606
- ----------------------------------------------------------------
JAPAN (2.4%)
++ ++ Canon, Inc. 16,000 343
Daiwa House Industry 16,000 186
Fuji Photo Film Ltd. 9,000 296
Honda Motor Co. 11,000 328
Kirin Brewery Co., Ltd. 14,000 116
Mitsubishi Heavy Industries Ltd. 33,000 215
Mitsui Fudosan Co., Ltd. 26,000 269
NEC Corp. 25,000 283
Nintendo Corp., Ltd. 4,000 287
Sankyo Co., Ltd. 7,000 193
Sumitomo Electric Industries 12,000 163
Takeda Chemical Industries 17,000 356
UNY Co., Ltd. 14,000 219
Yasuda Fire & Marine Insurance 46,000 227
- ----------------------------------------------------------------
GROUP TOTAL 3,481
- ----------------------------------------------------------------
KOREA (0.1%)
Samsung Electronics 1,772 119
- ----------------------------------------------------------------
MEXICO (0.2%)
* Grupo Posadas SA, Series A 537,000 271
- ----------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
VALUE
SHARES (000)++
- ----------------------------------------------------------------
<S> <C> <C>
NETHERLANDS (0.9%)
ING Groep N.V. 10,407 $ 410
Philips Electronics N.V. 9,000 420
Vendex International N.V. 9,274 439
- ----------------------------------------------------------------
GROUP TOTAL 1,269
- ----------------------------------------------------------------
NORWAY (0.5%)
Christiania Bank OG Kreditkasse 198,600 732
- ----------------------------------------------------------------
PHILIPPINES (0.1%)
Philippine Commercial
International Bank 12,000 178
- ----------------------------------------------------------------
SPAIN (0.4%)
Telefonica Nacional de Espana
ADR 8,200 588
- ----------------------------------------------------------------
SWEDEN (0.9%)
Nordbanken AB 14,400 497
SKF AB, Class B 9,900 260
Sparbanken Sverige AB, Class A 27,885 519
- ----------------------------------------------------------------
GROUP TOTAL 1,276
- ----------------------------------------------------------------
SWITZERLAND (0.7%)
Novartis AG (Bearer) 406 504
* Swissair AG (Registered) 551 492
- ----------------------------------------------------------------
GROUP TOTAL 996
- ----------------------------------------------------------------
THAILAND (0.0%)
Thai Farmers Bank PCL (Foreign) 10,000 65
- ----------------------------------------------------------------
UNITED KINGDOM (1.8%)
Abbey National plc 11,800 145
B.A.T. Industries plc 53,400 455
Bank of Scotland 54,400 287
BOC Group plc 7,200 113
Burmah Castrol plc 29,000 485
++ ++ Cable & Wireless plc 40,162 326
* Imperial Tobacco Group plc 50,800 349
Royal & Sun Alliance Insurance
Group plc 16,579 122
Tate & Lyle plc 14,000 100
Tomkins plc 53,700 241
- ----------------------------------------------------------------
GROUP TOTAL 2,623
- ----------------------------------------------------------------
UNITED STATES (0.2%)
* Jardine Fleming India Fund 17,300 130
The India Fund, Inc. 25,100 185
- ----------------------------------------------------------------
GROUP TOTAL 315
- ----------------------------------------------------------------
TOTAL INTERNATIONAL EQUITY
(Cost $18,691) 21,344
- ----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)++
<S> <C> <C> <C>
- ----------------------------------------------------------------
HIGH YIELD (8.9%)
- ----------------------------------------------------------------
FIXED INCOME SECURITIES
(8.9%)(Unless otherwise noted)
- ----------------------------------------------------------------
CABLE (0.9%)
Cablevision Systems Corp.
9.875%, 5/15/06 B $ 200 $ 198
Comcast Corp. (Convertible)
1.125%, 4/15/07 BB- 190 100
# Marcus Cable Co.
0.00%, 12/15/05 B 125 88
Rogers Cablesystems
9.125%, 1/15/06 BB- 50 49
10.00%, 3/15/05 BB+ 100 105
TCI Pacific Communications,
5.00% (Convertible
Preferred Stock) BB- (1)2,225 203
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 110 106
Time Warner, Inc., Series M,
10.25% (Preferred
Stock) BB+ (1)377 407
- ----------------------------------------------------------------
GROUP TOTAL 1,256
- ----------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.5%)
+ Citicorp Mortgage Securities,
Inc., Series 90-8 A7
9.50%, 6/25/05 Ba1 44 25
sec. Countrywide Funding Corp.,
Series 95-4 B3
7.50%, 9/25/25
(acquired 1/19/96,
cost $314) N/R 395 287
(+) FMAC Loan Receivables Trust,
Series 96-B C
7.929%, 11/1/18 N/R 100 83
(+) Prudential Home Mortgage
Securities Co., Inc., Series
96-5 B3
7.25%, 4/25/26 N/R 397 329
- ----------------------------------------------------------------
GROUP TOTAL 724
- ----------------------------------------------------------------
COMMERCIAL MORTGAGES (0.1%)
CBM Funding Corp., Series 96-1 C
7.86%, 2/1/13 BBB 125 128
- ----------------------------------------------------------------
CONSUMER SERVICES (0.2%)
RJR Nabisco, Inc.
8.75%, 4/15/04 BBB- 125 125
TLC Beatrice International
Holdings, Inc.,
11.50%, 10/1/05 BB- 180 193
- ----------------------------------------------------------------
GROUP TOTAL 318
- ----------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
102
<PAGE> 105
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ------------------------------------------------------------------
<S> <C> <C>
ENERGY (0.2%)
Nuevo Energy Co.
9.50%, 4/15/06 B $ 145 $ 149
Vintage Petroleum
8.625%, 2/1/09 B+ 170 162
- ------------------------------------------------------------------
GROUP TOTAL 311
- ------------------------------------------------------------------
FINANCE (0.4%)
Amresco, Inc.
10.00%, 3/15/04 B 120 119
Anthem Insurance, Series A
9.00%, 4/1/27 N/R 125 123
First Nationwide
9.125%, 1/15/03 B 50 51
(+) 10.625%, 10/1/03 B 110 118
Homeside, Inc.
11.25%, 5/15/03 B+ 42 47
(+) Riggs Capital Trust
8.875%, 3/15/27 N/R 130 130
- ------------------------------------------------------------------
GROUP TOTAL 588
- ------------------------------------------------------------------
INDUSTRIALS (2.3%)
(+) Borg-Warner Security Corp.
9.625%, 3/15/07 N/R 130 128
Boyd Gaming Corp.
9.25%, 10/1/03 BB 120 114
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 250 252
Courtyard by Marriott, Series B
10.75%, 2/1/08 B- 100 106
DR Securitized Lease Trust,
Series 94-K1 A1
7.60%, 8/15/07 BB- 248 230
Gaylord Container Corp.
11.50%, 5/15/01 B 190 200
# 12.75%, 5/15/05 B- 90 99
Grand Casinos, Inc.
10.125%, 12/1/03 BB 160 159
HMC Acquisition Properties
9.00%, 12/15/07 N/R 135 136
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 100 101
(+) ISP Holdings, Inc., Series AI
9.00%, 10/15/03 B+ 205 207
Kmart Corp.
7.75%, 10/1/12 B+ 60 52
Kmart Funding Corp., Series F
8.80%, 7/1/10 BB- 175 168
# Norcal Waste Systems
12.75%, 11/15/05 BB- 200 222
Owens-Illinois, Inc.
11.00%, 12/1/03 BB 75 83
(+) Sinclair Capital,
11.625% (Preferred
Stock) N/R (1) 1,300 129
Southland Corp.
5.00%, 12/15/03 BB+ 190 156
SD Warren Co.
12.00%, 12/15/04 B+ 130 144
(+)# Stone Container Corp.
11.50%, 8/15/06 B 55 54
(+) Sun International Hotels
9.00%, 3/15/07 N/R 65 63
(+)# TCI Satellite
Entertainment, Inc.
0.00%, 2/15/07 B- 235 108
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 120 118
Viacom Inc., Sub Debenture
Exchangeable
8.00%, 7/7/06 BB- 255 240
- ------------------------------------------------------------------
GROUP TOTAL 3,269
- ------------------------------------------------------------------
TECHNOLOGY (0.2%)
Advanced Micro Devices
11.00%, 8/1/03 BB- 145 159
## Blue Bell Funding
11.854%, 5/1/99 BB- 25 26
Paging Network
10.00%, 10/15/08 B 110 101
- ------------------------------------------------------------------
GROUP TOTAL 286
- ------------------------------------------------------------------
TELEPHONES (1.2%)
# Brooks Fiber Properties, Inc.
0.00%, 3/1/06 N/R 250 158
(+) 0.00%, 11/1/06 N/R 190 114
Comcast Cellular Corp., Series A,
Zero Coupon, 3/5/00 BB- 50 37
# Dial Call Communications, Inc.
0.00%, 4/15/04 CCC- 75 56
+ 0.00%, 12/15/05 B3 90 63
# EchoStar Satellite Broadcast
0.00%, 3/15/04 B- 260 207
(+) Globalstar LP
11.375%, 2/15/04 B 200 196
+ IXC Communications Inc.,
Series B
12.50%, 10/1/05 B3 80 89
# Nextel Communications, Inc.
0.00%, 8/15/04 CCC- 510 352
Paging Network, Inc.
10.125%, 8/1/07 B 60 56
(+) Qwest Communications
International, Inc.
10.875%, 4/1/07 N/R 115 114
# Teleport Communications
0.00%, 7/1/07 B 385 261
- ------------------------------------------------------------------
GROUP TOTAL 1,703
- ------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)++
- ----------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (0.3%)
(+) ALPS, Series, 96-1 D
12.75%, 6/15/06 BB- $ 275 $ 291
sec. Jet Equipment Trust, Series
95-A
11.79%, 6/15/13
(acquired 4/26/96,
cost $170) BB+ 150 180
- ----------------------------------------------------------------
GROUP TOTAL 471
- ----------------------------------------------------------------
UTILITIES (0.2%)
Cleveland Electric Illuminating
Co.
8.375%, 12/1/11 BB 130 126
8.375%, 8/1/12 BB 30 29
Midland Cogeneration Venture LP,
Series:
C-91,
10.33%, 7/23/02 BB- 24 26
C-94,
10.33%, 7/23/02 BB- 92 98
Midland Funding II, Series A
11.75%, 7/23/05 B- 75 85
- ----------------------------------------------------------------
GROUP TOTAL 364
- ----------------------------------------------------------------
YANKEE (2.4%)
(+)# APP Finance II Mauritius
Ltd.
12.00%, 12/29/49 B+ 120 116
+ Brazil Par Series Z-L
5.00%, 4/15/24 B1 760 472
## Central Bank of Argentina
Bocon PIK Pre 4
5.375%, 9/1/02 N/R 160 177
(+) Globo Communicacoes
10.50%, 12/20/06 B+ 120 122
(+) Multicanal SA
10.50%, 2/1/07 BB- 100 101
Net Sat Servicos Ltd.
12.75%, 8/5/04 N/R 130 135
# Occidente Y Caribe Celular
0.00%, 3/15/04 B 185 122
## Republic of Argentina
5.25%, 3/31/23 BB- 600 373
(+) Republic of Panama
7.875%, 2/13/02 BB+ 120 116
+ Republic of Venezuela, Series
A
6.75%, 3/31/20 Ba3 1,025 724
*@ Republic of Venezuela Value
Recovery Rights, expiring
3/31/20 (1) 6,375 --
Russian Interest Arrears Note
6.75%, 6/30/17 BB- 200 135
(+) Transgas de Occidente S.A.
9.79%, 11/1/10 BBB- 250 262
(+) TV Azteca SA de CV
10.50%, 2/15/07 N/R 150 148
United Mexican States
6.25%, 12/31/19 BB 625 437
*@ United Mexican States
Recovery Rights, expiring
6/30/03 (1) 1,675,000 --
- ----------------------------------------------------------------
GROUP TOTAL 3,440
- ----------------------------------------------------------------
TOTAL HIGH YIELD (Cost $12,693) 12,858
- ----------------------------------------------------------------
CASH EQUIVALENTS (10.6%)
- ----------------------------------------------------------------
U.S. TREASURY SECURITY (0.3%)
++ ++ U.S. Treasury Bill
8/21/97 Tsy 500 490
- ----------------------------------------------------------------
COMMERCIAL PAPER (1.2%)
Ford Motor Credit Corp.
5.54%, 5/13/97 850 845
General Electric Capital Corp.
5.54%, 5/13/97 850 845
- ----------------------------------------------------------------
GROUP TOTAL 1,690
- ----------------------------------------------------------------
REPURCHASE AGREEMENT (9.1%)
Chase Securities, Inc. 6.20%,
dated 3/31/97, due 4/1/97, to
be repurchased at $13,084,
collateralized by various U.S.
Government Obligations, due
4/10/97-1/29/99, valued at
$13,212 13,081 13,081
- ----------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $15,261) 15,261
- ----------------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- ----------------------------------------------------------------
French Franc FRF 47 8
Hong Kong Dollar HKD 227 29
Italian Lira ITL 18,424 11
Japanese Yen JPY 212 2
Korean Won KRW 4,598 5
@ Phillipine Peso PHP 2 --
Spanish Peseta ESP 242 2
Swiss Franc CHF 1 1
- ----------------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $59) 58
- ----------------------------------------------------------------
TOTAL INVESTMENTS (102.1%) (Cost $137,897) 147,596
- ----------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.1%)
Cash 303
Dividends Receivable 204
Interest Receivable 936
Receivable for Witholding
Tax Reclaim 12
Receivable for Investments Sold 203
Receivable for Fund Shares Sold 28
Receivable for Daily Variation
on Futures Contracts 389
Other Assets 3
Payable for Investments Purchased (4,822)
Payable for Fund Shares Redeemed (25)
Payable for Investment Advisory
Fees (201)
Payable for Administrative Fees (13)
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)++
- --------------------------------------------------------
<S> <C>
Payable for Shareholder Servicing
Fees-Investment Class $ (1)
Payable for Closed Foreign Currency Contracts (1)
Unrealized Loss on Forward Foreign Currency
Contracts (22)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Other Liabilities (58)
--------
(3,068)
- --------------------------------------------------------
NET ASSETS (100%) $144,528
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 11,911,569 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $140,539
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.80
- --------------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 338,406 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 3,989
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.79
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $128,208
Undistributed Net Investment Income (Loss) 1,963
Undistributed Realized Net Gain (Loss) 4,760
Unrealized Appreciation (Depreciation) on:
Investment Securities 9,700
Foreign Currency Transactions (51)
Futures (52)
- --------------------------------------------------------
NET ASSETS $144,528
- --------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1997 was $831 or 0.6% of net assets.
++ See Note A1 to Financial Statements.
* Non-Income Producing Security.
(+) 144A security. Certain conditions for public sale may
exist.
++ ++ A portion of these securities was pledged to cover margin
requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1997. Maturity date
disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed is as of
March 31, 1997.
(1) Amount represents shares held by the Portfolio.
(2) Face Amount is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
Inv Fl Inverse Floating Rate-Interest rate fluctuates with an
inverse relationship to an associated interest rate. Indicated rate is
the effective rate at March 31, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc., Standard &
Poor's Corporation or Fitch.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit.
TBA Security is subject to delayed delivery. See Note A8 to
Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL INTER-
CAP NATIONAL MID CAP
VALUE EQUITY VALUE EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 22,482 $ 12,727 $ 4,426 $ 4,768 $ 607
Interest 8,050 1,390 394 1,757 589
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 30,532 14,117 4,820 6,525 1,196
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 5,895 3,581 2,365 1,603 999
Administrative Fee--Note C 964 590 252 273 160
Custodian Fee--Note E 156 76 41 212 47
Audit Fee 13 15 6 27 6
Shareholder Servicing Fee--Investment
Class shares--Note D 11 1 -- -- --
Distribution Fees--Adviser Class
shares--Note D 38 -- -- -- --
Other Expenses 178 108 51 58 37
Reimbursement of Expenses (13) (16) -- (16) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 7,242 4,355 2,715 2,157 1,249
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (156) (76) (9) (77) (47)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 7,086 4,279 2,706 2,080 1,202
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 23,446 9,838 2,114 4,445 (6)
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 175,113 223,167 50,852 6,496 17,301
Foreign Currency Transactions -- -- -- (1,435) --
Futures 145 -- -- 2,099 --
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 175,258 223,167 50,852 7,160 17,301
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities* 79,286 (71,002) (2,942) 30,226 (65,662)
Foreign Currency Transactions -- -- -- 59 --
Futures (2,678) -- -- (1,473) --
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 76,608 (71,002) (2,942) 28,812 (65,662)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 251,866 152,165 47,910 35,972 (48,361)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $275,312 $162,003 $50,024 $40,417 $(48,367)
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $652 withholding tax for International Equity Portfolio.
* Net of foreign capital gain taxes of $8 on unrealized gains for International
Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC
MID CAP FIXED FIXED HIGH
VALUE INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 507 $ 304 $ 12 $ 315
Interest 75 73,521 3,320 17,750
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 582 73,825 3,332 18,065
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $324 3,956 191 692
Less: Waived Fees (11) 313 -- -- --
Administrative Fee--Note C 48 844 41 160
Custodian Fee--Note E 25 158 4 30
Audit Fee 7 20 7 9
Shareholder Servicing Fee--Investment Class shares--Note D -- 5 -- 5
Distribution Fees--Adviser Class shares--Note D -- 11 -- --
Other Expenses 15 147 11 34
Reimbursement of Expenses (13) -- -- (10)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 395 5,141 254 920
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (14) (136) (3) (18)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 381 5,005 251 902
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 201 68,820 3,081 17,163
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 10,597 36,670 1,233 4,220
Foreign Currency Transactions -- 6,469 -- --
Futures and Written Floors -- (1,696) 126 --
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 10,597 41,443 1,359 4,220
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note G2
Investment Securities (3,510) (45,280) (1,575) (2,209)
Foreign Currency Transactions -- (357) -- --
Futures and Written Floors -- 877 (110) --
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (3,510) (44,760) (1,685) (2,209)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 7,087 (3,317) (326) 2,011
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 7,288 $65,503 $ 2,755 $19,174
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
MORTGAGE- PURPOSE
CASH FIXED BACKED LIMITED FIXED
RESERVES INCOME SECURITIES DURATION INCOME
PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ 23 $ -- $ -- $ 59
Interest 2,291 6,677 2,004 3,852 16,833
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 2,291 6,700 2,004 3,852 16,892
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $106 380 $98 183 902
Less: Waived Fees (29) 77 -- (12) 86 -- --
Administrative Fee--Note C 34 81 21 49 209
Custodian Fee--Note E 7 23 8 4 35
Audit Fees 5 6 8 6 13
Shareholder Servicing
Fee--Investment Class shares--Note D -- -- -- -- 1
Other Expenses 14 18 8 14 38
Reimbursement of Expenses -- -- -- -- (16)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 137 508 131 256 1,182
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (1) (13) -- (3) (7)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 136 495 131 253 1,175
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 2,155 6,205 1,873 3,599 15,717
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities -- 2,630 882 311 10,325
Foreign Currency Transactions -- 727 -- -- 1,661
Futures and Written Floors -- 256 (132) 9 (302)
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) -- 3,613 750 320 11,684
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities -- (2,976) (1,127) (579) (9,413)
Foreign Currency Transactions -- (104) -- -- (202)
Futures and Written Floors -- (229) 458 24 581
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) -- (3,309) (669) (555) (9,034)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) -- 304 81 (235) 2,650
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $2,155 $ 6,509 $ 1,954 $ 3,364 $18,367
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
GLOBAL NATIONAL
PA FIXED FIXED INTERMEDIATE
MUNICIPAL MUNICIPAL INCOME INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ -- $ 9 $ -- $ --
Interest + 1,516 739 2,334 4,616 815
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 1,516 739 2,343 4,616 815
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $111 $ 54 144 287 $51
Less: Waived Fees (14) 97 (13) 41 -- -- (9) 42
Administrative Fee--Note C 24 12 31 61 11
Custodian Fee--Note E 4 1 14 24 9
Audit Fee 9 9 19 19 6
Other Expenses 16 9 11 19 5
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 150 72 219 410 73
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (2) -- (2) (1) (3)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 148 72 217 409 70
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,368 667 2,126 4,207 745
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 30 12 467 (123) 66
Foreign Currency Transactions -- -- (712) (4,217) 121
Futures and Swaps 245 141 237 1,365 18
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 275 153 (8) (2,975) 205
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)--Note G2
Investment Securities (94) (83) (2,881) (5,848) (513)
Foreign Currency Transactions -- -- (146) 457 34
Futures and Swaps (226) (84) (19) (474) 89
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (320) (167) (3,046) (5,865) (390)
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (45) (14) (3,054) (8,840) (185)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $1,323 $ 653 $ (928) $(4,633) $ 560
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $29 and $59 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-
BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO
-------------------------------
Six Months Ended March 31, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME +
Dividends $ 1,714 $ 730
Interest 4,943 1,999
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 6,657 2,729
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 728 $ 400
Less: Waived Fees -- (52) 348
Administrative Fee--Note C 129 67
Custodian Fee--Note E 35 42
Audit Fee 11 23
Shareholder Servicing Fee--Investment Class shares--Note D -- 3
Distribution Fees--Adviser Class shares--Note D 11 --
Other Expenses 36 25
Reimbursement of Expenses -- (9)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 950 499
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (20) (3)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 930 496
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 5,727 2,233
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 23,654 6,454
Foreign Currency Transactions 489 (154)
Futures and Written Floors (196) 310
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 23,947 6,610
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)--Note G2
Investment Securities (6,043) 1,022
Foreign Currency Transactions (60) 10
Futures and Written Floors 244 (177)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (5,859) 855
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 18,088 7,465
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $23,815 $9,698
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $26 withholding tax for the Multi-Asset-Class Portfolio.
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, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 32,015 $ 23,446 $ 30,500 $ 9,838 $ 4,607 $ 2,114
Realized Net Gain (Loss) 138,640 175,258 237,632 223,167 80,888 50,852
Change in Unrealized
Appreciation
(Depreciation)--Note G2 97,514 76,608 (24,506) (71,002) 20,530 (2,942)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 268,169 275,312 243,626 162,003 106,025 50,024
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (30,765) (19,139) (31,471) (13,160) (4,652) (3,283)
Realized Net Gain (130,677) (135,541) (132,351) (234,966) (52,103) (92,539)
INVESTMENT CLASS +:
Net Investment Income (12) (94) (1) (7) -- --
Realized Net Gain -- (851) -- (298) -- --
ADVISER CLASS ++:
Net Investment Income -- (148) -- -- -- --
Realized Net Gain -- (1,156) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (161,454) (156,929) (163,823) (248,431) (56,755) (95,822)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 930,274 812,620 186,997 64,704 128,125 58,390
In Lieu of Cash
Distributions 143,059 137,445 157,127 243,080 55,347 94,545
Redeemed (606,431) (419,184) (579,292) (405,106) (77,653) (60,373)
INVESTMENT CLASS +:
Issued 8,889 7,776 117 2,337 -- --
In Lieu of Cash
Distributions 12 934 1 306 -- --
Redeemed (49) (2,522) (11) (37) -- --
ADVISER CLASS ++:
Issued 15,433 60,220 -- -- -- --
In Lieu of Cash
Distributions -- 1,304 -- -- -- --
Redeemed (11) (5,391) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 491,176 593,202 (235,061) (94,716) 105,819 92,562
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 597,891 711,585 (155,258) (181,144) 155,089 46,764
NET ASSETS:
Beginning of Period 1,271,586 1,869,477 1,597,632 1,442,374 430,368 585,457
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,869,477 $2,581,062 $1,442,374 $1,261,230 $585,457 $632,221
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss)
included in end of period
net assets $ 9,064 $ 13,129 $ 7,536 $ 4,207 $ 1,636 $ 467
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 63,277 48,930 7,686 2,587 7,158 3,043
In Lieu of Cash
Distributions 10,269 8,495 6,676 10,399 3,496 5,252
Shares Redeemed (40,739) (24,995) (23,580) (16,250) (4,377) (3,163)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding 32,807 32,430 (9,218) (3,264) 6,277 5,132
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued 595 465 5 87 -- --
In Lieu of Cash
Distributions 1 58 -- 13 -- --
Shares Redeemed (3) (150) (1) (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding 593 373 4 99 -- --
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued 994 3,558 -- -- -- --
In Lieu of Cash
Distributions -- 81 -- -- -- --
Shares Redeemed (1) (326) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Adviser Class Shares
Outstanding 993 3,313 -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Value and the Equity Portfolio began offering Investment Class Shares on
May 6, 1996 and April 10, 1996, respectively.
++ The Value Portfolio began offering Adviser Class Shares on July 17, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
INTER-
NATIONAL MID CAP MID CAP
EQUITY GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 13,039 $ 4,445 $ 173 $ (6) $ 405 $ 201
Realized Net Gain (Loss) 101,007 7,160 71,168 17,301 1,658 10,597
Change in Unrealized
Appreciation
(Depreciation)--Note G2 (57,241) 28,812 27,593 (65,662) 3,145 (3,510)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 56,805 40,417 98,934 (48,367) 5,208 7,288
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (16,536) (12,515) (580) -- (214) (404)
Realized Net Gain (3,421) (12,996) (53,149) (67,632) (405) (4,075)
INVESTMENT CLASS +:
Net Investment Income -- (4) -- -- -- (1)
Realized Net Gain -- (5) -- -- -- (9)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (19,957) (25,520) (53,729) (67,632) (619) (4,489)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 145,686 40,451 58,508 51,189 41,529 71,202
In Lieu of Cash
Distributions 14,783 21,690 52,044 65,823 611 4,424
Redeemed (722,596) (88,471) (126,023) (68,748) (782) (16,852)
INVESTMENT CLASS +:
Issued 268 94 -- -- 122 326
In Lieu of Cash
Distributions -- 9 -- -- -- 10
Redeemed (34) (6) -- -- -- --
ADVISER CLASS ++:
Issued -- -- -- 96 -- --
Redeemed -- -- -- (3) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (561,893) (26,233) (15,471) 48,357 41,480 59,110
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (525,045) (11,336) 29,734 (67,642) 46,069 61,909
NET ASSETS:
Beginning of Period 1,160,986 635,941 373,547 403,281 4,507 50,576
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 635,941 $624,605 $403,281 $335,639 $50,576 $112,485
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets $ 12,067 $ 3,993 $ -- $ (6) $ 372 $ 168
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 11,400 3,054 3,094 2,983 3,154 4,578
In Lieu of Cash
Distributions 1,211 1,662 3,126 3,909 52 290
Shares Redeemed (57,391) (6,655) (6,657) (4,216) (59) (1,066)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding (44,780) (1,939) (437) 2,676 3,147 3,802
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued 21 7 -- -- 9 21
In Lieu of Cash
Distributions -- 1 -- -- -- 1
Shares Redeemed (3) (1) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding 18 7 -- -- 9 22
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued -- -- -- 6 -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Adviser Class Shares
Outstanding -- -- -- 6 -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The International Equity Portfolio and the Mid Cap Value Portfolio began
offering Investment Class shares on April 10, 1996 and May 10, 1996,
respectively.
++ The Mid Cap Growth Portfolio began offering Adviser Class shares on January
31, 1997.
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, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 107,138 $ 68,820 $ 3,944 $ 3,081 $ 28,826 $ 17,163
Realized Net Gain (Loss) 21,756 41,443 (937) 1,359 3,717 4,220
Change in Unrealized
Appreciation
(Depreciation)--Note G2 (11,844) (44,760) (474) (1,685) 4,627 (2,209)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 117,050 65,503 2,533 2,755 37,170 19,174
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (103,292) (65,886) (3,127) (2,656) (27,729) (16,529)
Realized Net Gain (7,817) (20,590) -- (179) -- (1,171)
In Excess of Realized Net
Gain -- -- (185) -- -- --
INVESTMENT CLASS +:
Net Investment Income -- (95) -- -- (49) (280)
Realized Net Gain -- (47) -- -- -- (20)
ADVISER CLASS ++:
Net Investment Income -- (117) -- -- -- --
Realized Net Gain -- (61) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (111,109) (86,796) (3,312) (2,835) (27,778) (18,000)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 440,801 770,581 62,619 21,894 157,380 141,086
In Lieu of Cash
Distributions 88,188 73,463 3,009 2,459 16,060 11,021
Redeemed (232,193) (142,204) (5,634) (17,443) (113,632) (48,187)
INVESTMENT CLASS +:
Issued -- 9,139 -- -- 4,915 5,377
In Lieu of Cash
Distributions -- 142 -- -- 49 274
Redeemed -- (475) -- -- -- (1,192)
ADVISER CLASS ++:
Issued -- 31,282 -- -- -- 1,477
In Lieu of Cash
Distributions -- 177 -- -- -- --
Redeemed -- (1,571) -- -- -- (200)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 296,796 740,534 59,994 6,910 64,772 109,656
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 302,737 719,241 59,215 6,830 74,164 110,830
NET ASSETS:
Beginning of Period 1,487,409 1,790,146 36,147 95,362 220,785 294,949
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,790,146 $2,509,387 $95,362 $102,192 $294,949 $405,779
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets $ 42,529 $ 45,251 $ 1,348 $ 1,773 $ 8,657 $ 9,011
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 37,653 65,017 5,724 1,981 17,602 15,130
In Lieu of Cash
Distributions 7,612 6,258 279 226 1,830 1,207
Shares Redeemed (19,803) (12,067) (520) (1,581) (12,631) (5,158)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Shares
Outstanding 25,462 59,208 5,483 626 6,801 11,179
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 774 -- -- 546 573
In Lieu of Cash
Distributions -- 12 -- -- 6 30
Shares Redeemed -- (40) -- -- -- (126)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding -- 746 -- -- 552 477
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Issued -- 2,628 -- -- -- 155
In Lieu of Cash
Distributions -- 15 -- -- -- --
Redeemed -- (132) -- -- -- (21)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding -- 2,511 -- -- -- 134
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Fixed Income Portfolio and the High Yield Portfolio began offering
Investment Class shares on October 15, 1996 and May 21, 1996, respectively.
++ The Fixed Income Portfolio and the High Yield Portfolio began offering
Adviser Class shares on November 7, 1996 and January 31, 1997, respectively.
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, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
MORTGAGE-
CASH FIXED BACKED
RESERVES INCOME SECURITIES
PORTFOLIO PORTFOLIO II PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 2,882 $ 2,155 $ 12,542 $ 6,205 $ 3,059 $ 1,873
Realized Net Gain (Loss) -- -- 1,754 3,613 (663) 750
Change in Unrealized
Appreciation
(Depreciation)--Note G2 -- -- (2,268) (3,309) 502 (669)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 2,882 2,155 12,028 6,509 2,898 1,954
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (2,882) (2,155) (11,608) (6,816) (3,033) (1,868)
Realized Net Gain -- -- (1,360) (1,963) -- --
In Excess of Realized Net
Gain -- -- (446) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,882) (2,155) (13,414) (8,779) (3,033) (1,868)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 143,726 147,587 49,696 30,501 5,648 340
In Lieu of Cash
Distributions 2,738 1,926 8,664 6,618 2,036 1,335
Redeemed (112,591) (149,247) (42,179) (33,326) (6,390) (94)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 33,873 266 16,181 3,793 1,294 1,581
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 33,873 266 14,795 1,523 1,159 1,667
NET ASSETS:
Beginning of Period 44,624 78,497 176,945 191,740 49,766 50,925
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 78,497 $ 78,763 $191,740 $193,263 $50,925 $52,592
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets $ -- $ -- $ 4,660 $ 4,049 $ 1,056 $ 1,061
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 143,726 147,587 4,438 2,725 552 32
In Lieu of Cash
Distributions 2,738 1,926 781 595 199 129
Shares Redeemed (112,591) (149,247) (3,763) (2,961) (608) (9)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding 33,873 266 1,456 359 143 152
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
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, 1997 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
SPECIAL
LIMITED PURPOSE
DURATION FIXED INCOME MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 6,630 $ 3,599 $ 27,370 $ 15,717 $ 2,081 $ 1,368
Realized Net Gain (Loss) (47) 320 6,698 11,684 (42) 275
Change in Unrealized
Appreciation
(Depreciation)--Note G2 (428) (555) (3,052) (9,034) 1,780 (320)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 6,155 3,364 31,016 18,367 3,819 1,323
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (6,274) (3,544) (27,847) (17,460) (2,096) (1,373)
Realized Net Gain -- -- (9,325) (6,885) -- --
INVESTMENT CLASS +:
Net Investment Income -- -- (8) (29) -- --
Realized Net Gain -- -- -- (11) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,274) (3,544) (37,180) (24,385) (2,096) (1,373)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 99,082 17,154 103,802 54,156 17,213 9,007
In Lieu of Cash
Distributions 4,921 3,102 34,094 21,800 1,443 1,011
Redeemed (80,843) (18,627) (74,328) (34,011) (1,883) (2,199)
INVESTMENT CLASS+:
Issued -- -- 758 413 -- --
In Lieu of Cash
Distributions -- -- 8 40 -- --
Redeemed -- -- -- (30) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 23,160 1,629 64,334 42,368 16,773 7,819
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 23,041 1,449 58,170 36,350 18,496 7,769
NET ASSETS:
Beginning of Period 100,186 123,227 390,258 448,428 36,040 54,536
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $123,227 $124,676 $448,428 $484,778 $54,536 $62,305
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets. $ 1,710 $ 1,765 $ 11,292 $ 9,520 $ 11 $ 6
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 9,585 1,656 8,626 4,414 1,542 793
In Lieu of Cash
Distributions 480 302 2,827 1,803 130 89
Shares Redeemed (7,817) (1,801) (6,091) (2,746) (169) (193)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding 2,248 157 5,362 3,471 1,503 689
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- 63 34 -- --
In Lieu of Cash
Distributions -- -- 1 3 -- --
Shares Redeemed -- -- -- (2) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding -- -- 64 35 -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Special Purpose Fixed Income Portfolio began offering Investment Class
shares on April 10, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
INTER-
PA GLOBAL NATIONAL
MUNICIPAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 944 $ 667 $ 2,888 $ 2,126 $ 8,012 $ 4,207
Realized Net Gain (Loss) 555 153 2,936 (8) 4,561 (2,975)
Change in Unrealized
Appreciation
(Depreciation)--Note G2 208 (167) (2,051) (3,046) (4,920) (5,865)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 1,707 653 3,773 (928) 7,653 (4,633)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
Net Investment Income (934) (677) (3,105) (3,365) (10,889) (5,327)
Realized Net Gain -- -- (186) (1,137) (1,028) (3,700)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (934) (677) (3,291) (4,502) (11,917) (9,027)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued 13,003 691 27,692 12,409 70,949 18,476
In Lieu of Cash
Distributions 838 522 3,129 4,059 11,131 8,576
Redeemed (1,860) (1,068) (19,168) (1,662) (62,561) (6,258)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 11,981 145 11,653 14,806 19,519 20,794
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 12,754 121 12,135 9,376 15,255 7,134
NET ASSETS:
Beginning of Period 15,734 28,488 55,147 67,282 127,882 143,137
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $28,488 $28,609 $ 67,282 $76,658 $143,137 $150,271
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets $ 22 $ 12 $ 2,358 $ 1,119 $ 3,997 $ 2,877
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
Shares Issued 1,154 60 2,557 1,128 6,561 1,765
In Lieu of Cash
Distributions 74 46 291 378 1,054 817
Shares Redeemed (165) (93) (1,725) (153) (5,940) (622)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Shares Outstanding 1,063 13 1,123 1,353 1,675 1,960
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
116
<PAGE> 119
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
INTERMEDIATE MULTI-ASSET-
DURATION BALANCED CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income $ 862 $ 745 $ 13,041 $ 5,727 $ 5,405 $ 2,233
Realized Net Gain (Loss) 489 205 30,074 23,947 12,244 6,610
Change in Unrealized
Appreciation
(Depreciation)--Note G2 (424) (390) (2,265) (5,859) 1,249 855
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 927 560 40,850 23,815 18,898 9,698
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (1,050) (601) (12,942) (7,274) (4,740) (3,239)
Realized Net Gain (697) (349) (11,250) (30,896) (1,968) (11,866)
INVESTMENT CLASS +:
Net Investment Income -- -- -- -- (27) (73)
Realized Net Gain -- -- -- -- -- (275)
ADVISER CLASS ++:
Net Investment Income -- -- -- (160) -- --
Realized Net Gain -- -- -- (1,237) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (1,747) (950) (24,192) (39,567) (6,735) (15,453)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 21,694 21,957 40,647 25,248 76,136 24,249
In Lieu of Cash
Distributions 1,746 348 24,119 38,109 6,226 14,221
Redeemed (29,840) (5) (115,186) (44,341) (61,779) (21,854)
INVESTMENT CLASS +:
Issued -- -- -- -- 3,020 687
In Lieu of Cash
Distributions -- -- -- -- 27 348
ADVISER CLASS ++:
Issued -- -- -- 14,235 -- --
In Lieu of Cash
Distributions -- -- -- 1,397 -- --
Redeemed -- -- -- (669) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (6,400) 22,300 (50,420) 33,979 23,630 17,651
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (7,220) 21,910 (33,762) 18,227 35,793 11,896
NET ASSETS:
Beginning of Period 19,237 12,017 334,630 300,868 96,839 132,632
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $12,017 $33,927 $ 300,868 $319,095 $132,632 $144,528
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in
end of period net assets $ 295 $ 439 $ 4,707 $ 3,000 $ 3,042 $ 1,963
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 2,133 2,144 3,040 1,836 6,609 2,019
In Lieu of Cash
Distributions 171 34 1,858 2,921 541 1,218
Shares Redeemed (2,936) -- (8,744) (3,303) (5,135) (1,877)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding (632) 2,178 (3,846) 1,454 2,015 1,360
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- -- -- 248 58
In Lieu of Cash
Distributions -- -- -- -- 2 30
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding -- -- -- -- 250 88
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued -- -- -- 975 -- --
In Lieu of Cash
Distributions -- -- -- 107 -- --
Shares Redeemed -- -- -- (49) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Investment Class
Shares Outstanding -- -- -- 1,033 -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Multi-Asset-Class Portfolio began offering Investment Class shares on
June 10, 1996.
++ The Balanced Portfolio began offering Adviser Class shares on November 1,
1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
Six Months
Ended
Year Ended September 30, March 31,
VALUE PORTFOLIO ---------------------------------------------------- 1997
1993 1994 1995 1996
1992
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.92 $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.35 0.30 0.30 0.31 0.30 0.16
Net Realized and Unrealized Gain (Loss) on
Investments 1.05 1.92 0.59 3.34 2.20 1.97
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.40 2.22 0.89 3.65 2.50 2.13
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.38) (0.31) (0.29) (0.31) (0.32) (0.15)
Realized Net Gain (1.27) (1.82) (0.73) (1.08) (1.46) (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.65) (2.13) (1.02) (1.39) (1.78) (1.18)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 16.56
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 12.83% 19.67% 7.45% 32.58% 18.41% 13.86%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $448,329 $762,175 $981,337 $1,271,586 $1,844,740 $2,493,861
Ratio of Expenses to Average Net Assets (1) 0.60% 0.59% 0.61% 0.60% 0.61% 0.61%*
Ratio of Net Investment Income to Average
Net Assets 2.87% 2.48% 2.40% 2.43% 2.07% 1.99%*
Portfolio Turnover Rate 55% 43% 54% 56% 53% 27%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0572 $ 0.0579
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.60% 0.60% 0.60%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
-------------------------------- --------------------------------
May 6, Six Months July 17, Six Months
1996** to Ended 1996*** to Ended
September 30, March 31, September 30, March 31,
1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.97 $ 15.60 $ 14.11 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.15 0.01 0.16
Net Realized and Unrealized Gain
(Loss) on Investments 0.59 1.96 1.49 1.94
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 2.11 1.50 2.10
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.13) -- (0.14)
Realized Net Gain -- (1.03) -- (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.16) -- (1.17)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 16.55 $ 15.61 $ 16.54
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 13.73% 10.63% 13.65%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $9,244 $15,979 $15,493 $71,222
Ratio of Expenses to Average Net
Assets (2) 0.76%* 0.81%* 0.86%* 0.91%*
Ratio of Net Investment Income to
Average Net Assets 2.05%* 1.78%* 1.66%* 1.75%*
Portfolio Turnover Rate 53% 0.27% 53% 0.27%
Average Commission Rate ### $0.0572 $0.0579 $0.0572 $0.0579
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO
OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.15%* N/A 0.01%*
Ratio Including Expense Offsets 0.75%* 0.79%* 0.85%* 0.88%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
+ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions were charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 121
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
Institutional Class
-----------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
EQUITY PORTFOLIO ------------------------------------------------------------ March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.78 $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 25.67
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.43 0.41 0.44 0.52 0.50 0.19
Net Realized and Unrealized Gain (Loss)
on Investments 1.86 1.95 0.41 4.55 3.26 2.57
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.29 2.36 0.85 5.07 3.76 2.76
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.42) (0.43) (0.41) (0.52) (0.50) (0.24)
Realized Net Gain (0.61) (1.15) (2.21) (1.17) (2.02) (4.40)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.03) (1.58) (2.62) (1.69) (2.52) (4.64)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 23.79
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.55% 11.05% 4.11% 26.15% 16.48% 11.16%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $918,989 $1,098,003 $1,193,017 $1,597,632 $1,442,261 $1,258,774
Ratio of Expenses to Average Net Assets (1) 0.59% 0.59% 0.60% 0.61% 0.60% 0.61%*
Ratio of Net Investment Income to
Average Net Assets 2.03% 1.86% 2.10% 2.39% 1.95% 1.37%*
Portfolio Turnover Rate 21% 51% 41% 67% 67% 50%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0557 $ 0.0561
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO
OF EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.60% 0.60% 0.60%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Investment Class
------------------------------------------
April 10, Six Months
1996** to Ended
September 30, March 31,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31 $ 25.66
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.13
Net Realized and Unrealized Gain (Loss) on Investments 1.24 2.60
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 2.73
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.22)
Net Realized and Unrealized Gain (Loss) on Investments -- (4.40)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.62)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 23.77
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 11.04%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113 $ 2,456
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.81%*
Ratio of Net Investment Income to Average Net Assets 1.83%* 1.21%*
Portfolio Turnover Rate 67% 50%
Average Commission Rate ### $0.0557 $0.0561
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 2.09%*
Ratio Including Expense Offsets 0.75%* 0.79%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
- --------------------------------------------------------------------------------
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 122
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------
Institutional Class
---------------------------------------------------------------------
Six
Months
Year Ended September 30, Ended
SMALL CAP VALUE PORTFOLIO ---------------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.45 $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 19.64
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.18 0.16 0.19 0.18 0.07
Net Realized and Unrealized Gain (Loss) on
Investments 1.48 4.64 1.14 2.49 3.62 1.59
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.58 4.82 1.30 2.68 3.80 1.66
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.11) (0.24) (0.14) (0.20) (0.11)
Realized Net Gain -- -- (0.94) (1.93) (2.24) (3.10)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (0.11) (1.18) (2.07) (2.44) (3.21)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 18.09
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.12% 37.72% 8.04% 18.39% 24.00% 8.53%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $105,886 $175,029 $308,156 $430,368 $585,457 $632,221
Ratio of Expenses to Average Net Assets (1) 0.86% 0.88% 0.88% 0.87% 0.86% 0.86%*
Ratio of Net Investment Income to Average Net
Assets 1.06% 1.33% 0.91% 1.20% 0.99% 0.67%*
Portfolio Turnover Rate 50% 93% 162% 119% 145% 0.70%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0498 $ 0.0478
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.87% 0.86% 0.86%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
Institutional Class
-------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
INTERNATIONAL EQUITY PORTFOLIO ---------------------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.56 $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 13.24
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.36 0.21 0.12 0.19 0.31 0.10
Net Realized and Unrealized Gain (Loss) on
Investments (0.33) 2.14 1.63 (0.75) 0.77 0.74
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.03 2.35 1.75 (0.56) 1.08 0.84
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.56) (0.20) (0.16) -- (0.29) (0.26)
Realized Net Gain -- -- (0.25) (1.35) (0.06) (0.27)
In Excess of Realized Net Gain -- -- -- (0.10) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.56) (0.20) (0.41) (1.45) (0.35) (0.53)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 13.24 $ 13.55
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.37% 21.64% 13.33% (3.36%) 8.87% 6.50%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $512,127 $891,675 $1,132,867 $1,160,986 $635,706 $624,266
Ratio of Expenses to Average Net Assets (1) 0.70% 0.66% 0.64% 0.70% 0.69% 0.67%*
Ratio of Net Investment Income to Average
Net Assets 1.41% 1.23% 0.89% 1.90% 1.88% 1.39%*
Portfolio Turnover Rate 42% 43% 69% 112% 78% 38%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0093 $ 0.0060
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.66% 0.65% 0.65%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Investment Class
------------------------------------------
April 10, Six Months
1996** to Ended
September 30, March 31,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.02 $ 13.23
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.10
Net Realized and Unrealized Gain (Loss) on Investments 0.12 0.72
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 0.82
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.25)
Realized Net Gain -- (0.27)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.23 $ 13.53
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.61% 6.35%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 235 $ 339
Ratio of Expenses to Average Net Assets (2) 0.81%* 0.91%*
Ratio of Net Investment Income to Average Net Assets 1.81%* 1.29%*
Portfolio Turnover Rate 78% 38%
Average Commission Rate ### $0.0093 $0.0060
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 12.16%*
Ratio Including Expense Offsets 0.77%* 0.88%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
- --------------------------------------------------------------------------------
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------
Institutional Class
--------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
MID CAP GROWTH PORTFOLIO --------------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.92 $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 20.53
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.01 0.02 0.03 0.01 --
Net Realized and Unrealized Gain (Loss) on
Investments 0.44 4.80 (0.58) 4.21 4.70 (2.07)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.45 4.81 (0.56) 4.24 4.71 (2.07)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) -- (0.01) (0.03) (0.03) --
Realized Net Gain (0.83) (0.76) (1.70) (1.90) (2.75) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.86) (0.76) (1.71) (1.93) (2.78) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 15.03
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.87% 33.92% (3.28%) 30.56% 28.81% (11.88%)
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $192,817 $309,459 $302,995 $373,547 $403,281 $335,557
Ratio of Expenses to Average Net Assets (1) 0.60% 0.59% 0.60% 0.61% 0.60% 0.63%*
Ratio of Net Investment Income to Average Net
Assets 0.05% 0.07% 0.12% 0.21% 0.04% 0.00%*
Portfolio Turnover Rate 39% 69% 55% 129% 141% 68%
Average Commission Rate ### N/A N/A N/A N/A $ 0.0491 $ 0.0510
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.60% 0.60% 0.60%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------
Adviser Class
---------------
January 31,
1997** to
March 31,
1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (0.01)
Net Realized and Unrealized Loss on Investments (2.00)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (2.01)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.03
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (11.88%)
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 82
Ratio of Expenses to Average Net Assets (2) 0.89%*
Ratio of Net Investment Income to Average Net Assets (0.23%)*
Portfolio Turnover Rate 68%
Average Commission Rate ### $ 0.0510
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.80%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Adviser Class shares
- --------------------------------------------------------------------------------
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 125
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------
Institutional Class
----------------------------------------------------------------
December 30, Six Months
1994** to Year Ended Ended
September 30, September 30, March 31,
MID CAP VALUE PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45 $ 14.49
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55(D) 0.11 0.02
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 2.52 1.98
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 2.00
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55) (0.10)
Realized Net Gain -- (1.04) (1.01)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59) (1.11)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 14.49 $ 15.38
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 13.87%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $112,017
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.91%*
Ratio of Net Investment Income to Average Net
Assets 10.13%*(D) 1.61% 0.47%*
Portfolio Turnover Rate 639%(D) 377% 148%
Average Commission Rate ### N/A $0.0462 $ 0.0443
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 2.13%* 0.18% 0.02%*
Ratio Including Expense Offsets 0.88%* 0.88% 0.88%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
(D) Net Investment Income, the Ratio of Net Investment Income to Average Net
Assets and the Portfolio Turnover Rate reflect activity relating to a
nonrecurring initiative to invest in higher-paying dividend income
producing securities.
<TABLE>
<CAPTION>
------------------------------------------
Investment Class
------------------------------------------
May 10, Six Months
1996*** to Ended
September 30, March 31,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77 $ 14.48
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.04
Net Realized and Unrealized Gain (Loss) on Investments 0.67 1.94
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 1.98
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.09)
Net Realized Gain -- (1.01)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.10)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48 $ 15.36
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 13.73%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 127 $ 468
Ratio of Expenses to Average Net Assets (2) 1.03%* 1.13%*
Ratio of Net Investment Income to Average Net Assets 0.86%* 0.24%*
Portfolio Turnover Rate 377% 148%
Average Commission Rate ### $0.0462 $0.0443
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.14%* 9.19%*
Ratio Including Expense Offsets 1.03%* 1.09%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Investment Class shares
- --------------------------------------------------------------------------------
* Annualized
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 126
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO
---------------------------------------------
Institutional Class
---------------------------------------------
Year Ended September 30,
---------------------------------------------
1992 1993 1994 1995
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.20 $ 12.67 $ 12.86 $ 10.93
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.90 0.88 0.77 0.80
Net Realized and Unrealized Gain (Loss) on Investments 0.74 0.75 (1.28) 0.69
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.64 1.63 (0.51) 1.49
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.02) (0.83) (0.82) (0.60)
Realized Net Gain (0.15) (0.61) (0.47) --
In Excess of Realized Net Gain -- -- (0.13) --
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.17) (1.44) (1.42) (0.60)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.67 $ 12.86 $ 10.93 $ 11.82
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.35% 14.26% (4.43%) 14.19%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $859,712 $909,738 $1,194,957 $1,487,409
Ratio of Expenses to Average Net Assets (1) 0.47% 0.47% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 7.50% 7.06% 6.79% 7.28%
Portfolio Turnover Rate 137% 144% 100% 140%
- ---------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.48%
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FIXED INCOME PORTFOLIO
---------------------------
Institutional Class
---------------------------
Six Months
Year Ended Ended
September 30, March 31,
1996 1997
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.82 $ 11.83
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.78 0.34
Net Realized and Unrealized Gain (Loss) on Investments 0.08 0.11
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.86 0.45
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.79) (0.41)
Realized Net Gain (0.06) (0.13)
In Excess of Realized Net Gain -- --
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.85) (0.54)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.83 $ 11.74
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.63% 3.80%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,790,146 $2,471,176
Ratio of Expenses to Average Net Assets (1) 0.48% 0.49%*
Ratio of Net Investment Income to Average Net Assets 6.77% 6.52%*
Portfolio Turnover Rate 162% 110%
- ---------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Ratio Including Expense Offsets 0.48% 0.47%*
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
------------------ -------------------
Investment Class Adviser Class
------------------ -------------------
October 15, 1996** November 7, 1996***
to March 31, 1997 to March 31, 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.04
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.40 0.30
Net Realized and Unrealized Gain (Loss) on Investments (0.09) (0.24)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.31 0.06
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.25) (0.24)
Realized Net Gain (0.13) (0.13)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.38) (0.37)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.73 $ 11.73
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.72% 3.63%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 8,751 $29,460
Ratio of Expenses to Average Net Assets (2) 0.64%* 0.76%*
Ratio of Net Investment Income to Average Net Assets 6.36%* 6.26%*
Portfolio Turnover Rate 110% 110%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Ratio Including Expense Offsets 0.62%* 0.72%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- --------------------------------------------------------------------------------
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
* Annualized
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, 1997 are unaudited)
<TABLE>
<CAPTION>
DOMESTIC FIXED INCOME PORTFOLIO
----------------------------------------------------------------
Institutional Class
----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
----------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.34 $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.87 0.84 0.94 0.52 0.56 0.34
Net Realized and Unrealized Gain (Loss) on
Investments 0.76 0.66 (1.23) 0.87 (0.09) (0.02)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 1.50 (0.29) 1.39 0.47 0.32
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (1.00) (0.78) (0.95) (0.23) (0.57) (0.30)
Realized Net Gain (0.17) (0.53) (0.73) -- -- (0.02)
In Excess of Realized Net Gain -- -- (0.15) -- (0.04) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.17) (1.31) (1.83) (0.23) (0.61) (0.32)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 10.89
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.41% 14.08% (2.87%) 14.33% 4.41% 2.96%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $98,130 $90,350 $36,521 $36,147 $95,362 $102,192
Ratio of Expenses to Average Net Assets (1) 0.47% 0.50% 0.50% 0.51% 0.52% 0.50%*
Ratio of Net Investment Income to Average Net Assets 7.67% 7.15% 7.65% 6.80% 5.73% 6.04%*
Portfolio Turnover Rate 136% 96% 78% 313% 168% 110%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A N/A 0.03% 0.09% 0.01% N/A
Ratio Including Expense Offsets N/A N/A N/A 0.50% 0.50% 0.49%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 128
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-------------------------------------------------------------------
Institutional Class
-------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
-------------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.80 $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.32
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.74 0.73 0.75 0.90 0.88 0.40
Net Realized and Unrealized Gain (Loss) on
Investments 0.89 0.90 (0.42) 0.19 0.28 0.12
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 1.63 0.33 1.09 1.16 0.52
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.85) (0.72) (0.69) (0.85) (0.92) (0.47)
Realized Net Gain -- -- (0.16) (0.08) -- (0.03)
In Excess of Realized Net Gain -- -- -- (0.05) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.85) (0.72) (0.85) (0.98) (0.92) (0.50)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 9.34
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 22.49% 20.12% 3.57% 13.58% 13.83% 5.78%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $20,491 $50,396 $182,969 $220,785 $289,810 $394,929
Ratio of Expenses to Average Net Assets (1) 0.53% 0.53% 0.50% 0.50% 0.49% 0.49%*
Ratio of Net Investment Income to Average Net
Assets 9.74% 8.94% 9.01% 10.68% 10.04% 9.30%*
Portfolio Turnover Rate 148% 99% 112% 96% 115% 50%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.22% 0.09% N/A N/A N/A N/A
Ratio Including Expense Offsets N/A N/A N/A 0.49% 0.48% 0.48%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------- -----------------
Investment Class Adviser Class
---------------------------- -----------------
May 21, Six Months January 31,
1996** to Ended 1997*** to
September 30, March 31, March 31,
1996 1997 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.06 $ 9.31 $ 9.39
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.46 0.07
Net Realized and Unrealized Gain (Loss) on Investments 0.16 0.05 (0.12)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 0.51 (0.05)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.46) --
Realized Net Gain -- (0.03) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.49) --
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 9.33 $ 9.34
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 5.67% 5.78%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 5,139 $9,603 $ 1,247
Ratio of Expenses to Average Net Assets (2) 0.62%* 0.70%* 0.79%*
Ratio of Net Investment Income to Average Net Assets 11.06%* 9.11%* 9.44%*
Portfolio Turnover Rate 115% 50% 50%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 0.30%* N/A
Ratio Including Expense Offsets 0.61%* 0.69%* 0.74%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------
** Initial offering of Investment Class shares.
*** Initial offering of Adviser Class Shares.
- --------------------------------------------------------------------------------
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 129
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
----------------------------------------------------------------
Institutional Class
----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------ March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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 0.038 0.028 0.034 0.055 0.052 0.025
Net Realized and Unrealized Gain (Loss) on
Investments -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.038 0.028 0.034 0.055 0.052 0.025
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.038) (0.028) (0.034) (0.055) (0.052) (0.025)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.89% 2.81% 3.40% 5.57% 5.35% 2.56%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $12,935 $10,717 $37,933 $44,624 $78,497 $78,763
Ratio of Expenses to Average Net Assets (1) 0.32% 0.32% 0.32% 0.33% 0.33% 0.32%*
Ratio of Net Investment Income to Average Net Assets 3.95% 2.78% 3.70% 5.45% 5.19% 5.08%*
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.08% 0.24% 0.14% 0.11% 0.09% 0.07%*
Ratio Including Expense Offsets N/A N/A N/A 0.32% 0.32% 0.32%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO II
------------------------------------------------------------------
Institutional Class
------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------- March 31,
1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.34 $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.23
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.77 0.69 0.63 0.71 0.70 0.35
Net Realized and Unrealized Gain (Loss) on
Investments 0.61 0.77 (1.16) 0.71 (0.03) 0.01
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.38 1.46 (0.53) 1.42 0.67 0.36
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.81) (0.61) (0.67) (0.51) (0.66) (0.39)
Realized Net Gain (0.24) (0.55) (0.21) -- (0.08) (0.11)
In Excess of Realized Net Gain -- -- (0.14) -- (0.03) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.05) (1.16) (1.02) (0.51) (0.77) (0.50)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.09
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.02% 13.53% (4.76%) 14.13% 6.12% 3.24%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $78,302 $94,836 $129,902 $176,945 $191,740 $193,263
Ratio of Expenses to Average Net Assets (1) 0.49% 0.51% 0.51% 0.51% 0.50% 0.50%*
Ratio of Net Investment Income to Average Net
Assets 7.05% 6.17% 6.07% 6.75% 6.06% 6.12%*
Portfolio Turnover Rate 182% 101% 137% 153% 165% 88%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.49% 0.49% 0.49%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
Institutional Class
-----------------------------------------------------------------------
January 31, Six Months
1992** to Year Ended September 30, Ended
September 30, -------------------------------------- March 31,
MORTGAGE-BACKED SECURITIES PORTFOLIO 1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.42
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.29 0.63 0.52 0.72 0.68 0.37
Net Realized and Unrealized Gain (Loss) on
Investments 0.28 0.48 (0.83) 0.47 (0.07) 0.03
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.57 1.11 (0.31) 1.19 0.61 0.40
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.60) (0.45) (0.65) (0.68) (0.38)
Realized Net Gain -- -- (0.21) -- -- --
In Excess of Realized Net Gain -- -- (0.03) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.60) (0.69) (0.65) (0.68) (0.38)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.44
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.75% 11.03% (2.95%) 12.52% 6.10% 3.90%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,601 $50,249 $119,518 $49,766 $50,925 $52,592
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.50% 0.50% 0.50%*
Ratio of Net Investment Income to Average Net
Assets 8.11%* 6.92% 5.30% 6.35% 6.46% 7.19%*
Portfolio Turnover Rate 133% 93% 220% 107% 116% 105%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.30%* 0.06% 0.01% 0.01% 0.04% 0.05%*
Ratio Including Expense Offsets N/A N/A N/A 0.50% 0.50% 0.50%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
Institutional Class
-------------------------------------------------------------------------
March 31, Six Months
1992** to Year Ended September 30, Ended
September 30, --------------------------------------- March 31,
LIMITED DURATION PORTFOLIO 1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.38
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.32 0.56 0.56 0.58 0.30
Net Realized and Unrealized Gain (Loss) on
Investments 0.49 0.22 (0.52) 0.22 (0.03) (0.01)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.68 0.54 0.04 0.78 0.55 0.29
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.10) (0.32) (0.51) (0.55) (0.58) (0.30)
Realized Net Gain -- (0.08) (0.04) -- -- --
In Excess of Realized Net Gain -- -- (0.02) (0.01) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.10) (0.40) (0.57) (0.56) (0.58) (0.30)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.37
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.90% 5.33% 0.40% 7.95% 5.47% 2.84%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,065 $128,991 $62,775 $100,186 $123,227 $124,676
Ratio of Expenses to Average Net Assets (1) 0.49%* 0.42% 0.41% 0.43% 0.43% 0.42%*
Ratio of Net Investment Income to Average
Net Assets 4.99%* 3.92% 4.16% 5.96% 5.65% 5.91%*
Portfolio Turnover Rate 159% 217% 192% 119% 174% 43%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.03% N/A 0.02% N/A N/A
Ratio Including Expense Offsets N/A N/A N/A 0.42% 0.42% 0.42%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 131
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Institutional Class
--------------------------------------------------------------------------
March 31, Six Months
1992** to Year Ended September 30, Ended
September 30, -------------------------------------- March 31,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO 1992 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.26
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.88 0.80 0.91 0.83 0.39
Net Realized and Unrealized Gain (Loss) on
Investments 0.72 0.92 (1.28) 0.75 0.08 0.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 1.80 (0.48) 1.66 0.91 0.47
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.19) (0.82) (0.78) (0.65) (0.88) (0.46)
Realized Net Gain -- (0.30) (0.53) -- (0.30) (0.18)
In Excess of Realized Net Gain -- -- (0.09) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.19) (1.12) (1.40) (0.65) (1.18) (0.64)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.09
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 9.47% 15.19% (4.00%) 14.97% 7.74% 3.89%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $274,195 $300,185 $384,731 $390,258 $447,646 $483,586
Ratio of Expenses to Average Net Assets (1) 0.53%* 0.48% 0.50% 0.49% 0.49% 0.49%*
Ratio of Net Investment Income to Average
Net Assets 6.94%* 6.84% 6.66% 7.33% 6.75% 6.53%*
Portfolio Turnover Rate 138% 124% 100% 143% 151% 111%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A N/A 0.48% 0.49% 0.49%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
<TABLE>
<CAPTION>
------------------------------------
Investment Class
------------------------------------
April 10, Six Months
1996*** to Ended
September 30, March 31,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.89 $12.24
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.27 0.41
Net Realized and Unrealized Gain (Loss) on Investments 0.23 0.06
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.50 0.47
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.15) (0.45)
Realized Net Gain -- (0.18)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.15) (0.63)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.24 $12.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.25% 3.89%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 782 $1,192
Ratio of Expenses to Average Net Assets (2) 0.63%* 0.68%*
Ratio of Net Investment Income to Average Net Assets 6.32%* 6.33%*
Portfolio Turnover Rate 151% 111%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 3.48%*
Ratio Including Expense Offsets 0.63%* 0.67%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial Offering of Investment Class Shares.
- --------------------------------------------------------------------------------
* Annualized.
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 132
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------
Institutional Class
------------------------------------------------------------
October 1, Six Months
1992** to Year Ended September 30, Ended
September 30, ------------------------- March 31,
MUNICIPAL PORTFOLIO 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.15 $ 10.04 $ 10.75 $ 11.23
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.37 0.51 0.59 0.51 0.26
Net Realized and Unrealized Gain (Loss) on Investments 1.04 (1.01) 0.71 0.49 --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 1.00 0.26
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26) (0.54) (0.59) (0.52) (0.26)
In Excess of Net Investment Income -- (0.07) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26) (0.61) (0.59) (0.52) (0.26)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.23
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 9.46% 2.32%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $26,914 $38,549 $36,040 $54,536 $62,305
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51% 0.51%*
Ratio of Net Investment Income to Average Net Assets 4.65%* 4.98% 5.64% 4.66% 4.64%*
Portfolio Turnover Rate 66% 34% 58% 78% 29%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.20%* 0.06% 0.09% 0.09% 0.05%*
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
<TABLE>
<CAPTION>
------------------------------------------------------------
Institutional Class
------------------------------------------------------------
October 1, Six Months
1992** to Year Ended September 30, Ended
September 30, ------------------------- March 31,
PA MUNICIPAL PORTFOLIO 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.26 $ 10.13 $ 10.91 $ 11.37
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.56 0.58 0.51 0.27
Net Realized and Unrealized Gain (Loss) on Investments 1.17 (1.00) 0.77 0.46 (0.01)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.56 (0.44) 1.35 0.97 0.26
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.30) (0.64) (0.57) (0.51) (0.27)
In Excess of Realized Net Gain -- (0.05) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.30) (0.69) (0.57) (0.51) (0.27)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.37 $ 11.36
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.81% (4.08%) 13.74% 9.03% 2.29%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $15,633 $23,515 $15,734 $28,488 $28,609
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51% 0.50%*
Ratio of Net Investment Income to Average Net Assets 4.74%* 5.39% 5.56% 4.58% 4.65%*
Portfolio Turnover Rate 94% 69% 57% 51% 12%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.25%* 0.09% 0.19% 0.15% 0.09%*
Ratio Including Expense Offsets N/A N/A N/A 0.50% 0.50%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
++ Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130
<PAGE> 133
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
Institutional Class
--------------------------------------------------------------------------------------
April 3, Year Ended Six Months
1993** to September 30, Ended
September 30, --------------------------------------- March 31,
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 10.00 $ 10.67 $ 10.20 $ 11.05 $ 11.01
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.13 0.58 0.71 0.63 0.25
Net Realized and
Unrealized Gain (Loss)
on Investments 0.61 (0.61) 0.81 0.09 (0.34)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 0.74 (0.03) 1.52 0.72 (0.09)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.71) (0.49)
Realized Net Gain -- (0.03) -- (0.05) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.76) (0.65)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.27
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 6.83% (1.02%)
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $53,164 $43,066 $55,147 $67,282 $76,658
Ratio of Expenses to
Average Net Assets (1) 0.58%* 0.57% 0.58% 0.60% 0.57%*
Ratio of Net Investment
Income to Average Net
Assets 5.08%* 5.48% 6.34% 5.25% 5.53%*
Portfolio Turnover Rate 30% 117% 118% 133% 82%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION
ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Reduction in Ratio due
to Expense
Reimbursement/Waiver 0.18%* N/A N/A N/A N/A
Ratio Including Expense
Offsets N/A N/A 0.56% 0.58% 0.56%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME PORTFOLIO
----------------------------------------------------------------------
Institutional Class
----------------------------------------------------------------------
April 29, Year Ended Six Months
1994** to September 30, Ended
September 30, ------------------------ March 31,
1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.05 $ 11.01 $ 10.77
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.67 0.52 0.27
Net Realized and Unrealized Gain (Loss) on
Investments (0.11) 0.92 0.12 (0.54)
- ------------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 0.10 1.59 0.64 (0.27)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.05) (0.63) (0.80) (0.38)
Realized Net Gain -- -- (0.08) (0.26)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.05) (0.63) (0.88) (0.64)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.05 $ 11.01 $ 10.77 $ 9.86
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13% (2.81%)
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137 $150,271
Ratio of Expenses to Average Net Assets (1) 0.60%* 0.54% 0.53% 0.54%*
Ratio of Net Investment Income to Average
Net Assets 5.83%* 6.35% 5.39% 5.50%*
Portfolio Turnover Rate 31% 140% 124% 47%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.11%* N/A N/A N/A
Ratio Including Expense Offsets N/A 0.54% 0.53% 0.54%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------
Institutional Class
----------------------------------------------------------
October 3, Year Six Months
1994** to Ended Ended
September 30, September 30, March 31
INTERMEDIATE DURATION PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.68 $ 10.28
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.60 0.17
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.03 0.13
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.30
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.29)
Realized Net Gain -- (0.38) (0.15)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.44)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.14
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 2.95%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $33,927
Ratio of Expenses to Average Net Assets (1) 0.52%* 0.56% 0.54%*
Ratio of Net Investment Income to Average Net Assets 6.56%* 6.17% 5.52%*
Portfolio Turnover Rate 168% 251% 112%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.13% 0.06%*
Ratio Including Expense Offsets 0.52%* 0.52% 0.52%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 135
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period ++
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
--------------------------------------------------------------------------------------
Institutional Class
--------------------------------------------------------------------------------------
December 31, Year Ended Six Months
1992** to September 30, Ended
September 30, --------------------------------------- March 31,
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 11.06 $ 11.84 $ 11.28 $ 13.06 $ 13.81
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.25 0.47 0.54 0.53 0.24
Net Realized and
Unrealized Gain (Loss)
on Investments 0.66 (0.45) 1.78 1.15 0.82
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 0.91 0.02 2.32 1.68 1.06
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.43) (0.47) (0.50) (0.33)
Realized Net Gain - (0.15) (0.07) (0.43) (1.39)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.58) (0.54) (0.93) (1.72)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 13.15
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.31% 0.19% 21.37% 13.47% 7.89%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $291,762 $309,596 $334,630 $300,868 $305,494
Ratio of Expenses to
Average Net Assets (1) 0.58%* 0.58% 0.58% 0.57% 0.58%*
Ratio of Net Investment
Income to Average Net
Assets 3.99%* 4.06% 4.55% 3.85% 3.55%*
Portfolio Turnover Rate 62% 75% 95% 110% 81%
Average Commission Rate
### N/A N/A N/A $ 0.0521 $ 0.0573
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION
ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Ratio Including Expense
Offsets N/A N/A 0.57% 0.57% 0.57%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
<TABLE>
<CAPTION>
-----------------
Adviser Class
-----------------
November 1,
1996*** to
March 31,
1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.05
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.16
Net Realized and Unrealized Gain (Loss) on Investments 0.52
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.68
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.18)
Realized Net Gain (1.39)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.57)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.16
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.88%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $13,601
Ratio of Expenses to Average Net Assets (2) 0.82%*
Ratio of Net Investment Income to Average Net Assets 3.21%*
Portfolio Turnover Rate 81%
Average Commission Rate ### $0.0573
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.81%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Adviser Class shares.
- --------------------------------------------------------------------------------
* Annualized.
++ Reflects a 2.5 for 1 split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1997 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------
Institutional Class
---------------------------------------------------------------------
July 29, Year Ended Six Months
1994** to September 30, Ended
September 30, ----------------------- March 31,
MULTI-ASSET-CLASS PORTFOLIO 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.97 $ 11.34 $ 12.28
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.44 0.46 0.18
Net Realized and Unrealized Gain (Loss) on
Investments (0.10) 1.33 1.05 0.72
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51 0.90
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42) (0.30)
Realized Net Gain -- -- (0.15) (1.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57) (1.38)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 11.80
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75% 7.56%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $129,558 $140,539
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.58% 0.70%*
Ratio of Net Investment Income to Average Net
Assets 4.39%* 4.56% 3.82% 3.17%*
Portfolio Turnover Rate 20% 112% 122% 67%
Average Commission Rate ### N/A N/A $ 0.0225 $ 0.0249
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.26%* 0.14% 0.08% 0.07%*
Ratio Including Expense Offsets N/A 0.58% 0.58% 0.70%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
<TABLE>
<CAPTION>
---------------------------------------
Investment Class
---------------------------------------
Six Months
June 10, 1996*** Ended
to September 30, March 31,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.17 $ 12.27
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.19
Net Realized and Unrealized Gain (Loss) on Investments 0.08 0.70
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 0.89
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.29)
Realized Net Gain -- (1.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.37)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.27 $ 11.79
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 7.48%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,074 $ 3,989
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.93%*
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.95%*
Portfolio Turnover Rate 122% 67%
Average Commission Rate ### $0.0225 $0.0249
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.58%*
Ratio Including Expense Offsets 0.73%* 0.93%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*** Initial offering of Investment Class shares.
- --------------------------------------------------------------------------------
* Annualized
### For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose the average commission rate per share it paid for
security transactions on which commissions were charged.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 137
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, 1997, the Fund was comprised of
twenty-four active portfolios (each referred to as a "Portfolio"). Effective
January 30, 1996, the Board of Trustees of the Funds approved the offering of
three different classes of shares for certain Portfolios -- Institutional Class
shares, Investment Class shares and Adviser Class shares.
On October 15, 1996, the Fixed Income Portfolio began offering Investment Class
shares. The Fixed Income and Balanced Portfolios began offering Adviser Class
shares on November 7, 1996 and November 1, 1996, respectively, and the Mid Cap
Growth and High Yield Portfolios each began offering Adviser Class shares on
January 31, 1997. Each class of shares has identical voting rights (except
shareholders of a Class have exclusive voting rights regarding any matter
relating solely to that Class of shares), dividend, liquidation and other
rights, except each class bears different distribution fees as described in
Note D. The financial statements for the Advisory Foreign Fixed Income,
Advisory Mortgage, and Emerging Markets Portfolios are presented separately.
A. SIGNIFICANT ACCOUNTING POLICIES. The following significant accounting
policies are in conformity with generally accepted accounting principles for
investment companies. Such policies are consistently followed by the Fund in
the preparation of its financial statements. Generally accepted accounting
principles may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual
results may differ from those estimates.
1. SECURITY VALUATION: Market values for equity securities listed on the New
York Stock Exchange ("NYSE") or other U.S. exchanges or NASDAQ are based on
the latest quoted sales prices as of the close of the NYSE (normally 4:00
p.m. Eastern Time) on the valuation date; securities not traded on the
valuation date are valued at the mean of the most recent quoted bid and
asked prices. Equity securities not listed are valued at the mean of the
most recent bid and asked prices. Securities listed on foreign exchanges
are valued at the latest quoted sales prices. Bonds, including municipal
bonds, and other fixed income securities are valued using brokers'
quotations or on the basis of prices, provided by a pricing service, which
are based primarily on institutional size trading in similar groups of
securities. Mortgage-backed securities issued by certain government-related
organizations are valued using brokers' quotations which are based on a
matrix system which considers such factors as other security prices, yields
and maturities. Securities in the Cash Reserves Portfolio, and other
Portfolios' short term securities, are valued using the amortized cost
method of valuation, which in the opinion of the Board of Trustees reflects
fair value. Securities for which no quotations are readily available
(including restricted securities) are valued at their fair value as
determined in good faith using methods approved by the Board of Trustees.
2. FEDERAL INCOME TAXES: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
and tax-exempt income. Accordingly, no provision for Federal income taxes is
required in the financial statements.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of the
repurchase agreements. Provisions of the agreements ensure that the market
value of the collateral is at least equal to the repurchase value in the
event of a 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
- --------------------------------------------------------------------------------
135
<PAGE> 138
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
cash balances into a joint trading account with other Portfolios of the
Fund which invests in one or more repurchase agreements. This joint
repurchase agreement is covered by the same collateral requirements as
discussed above.
4. FUTURES: Futures contracts (secured by securities deposited with brokers
as "initial margin") are valued based upon their quoted daily settlement
prices; changes in initial settlement value (represented by cash paid to
or received from brokers as "variation margin") are accounted for as
unrealized appreciation (depreciation). When futures contracts are closed,
the difference between the opening value at the date of purchase and the
value at closing is recorded as realized gains or losses in the Statement
of Operations.
Futures contracts may be used by each Portfolio, except the Cash Reserves
Portfolio, in order to hedge against unfavorable changes in the value of
securities or to attempt to realize profits from the value of the
underlying securities. Futures contracts involve market risk in excess of
the amounts recognized in the Statement of Net Assets. Risks arise from
the possible movements in security values underlying these instruments.
The change in value of futures contracts primarily corresponds with the
value of their underlying instruments, which may not correlate with the
change in value of the hedged investments. In addition, there is the risk
that a Portfolio may not be able to enter into a closing transaction
because of an illiquid secondary market.
5. SWAP AGREEMENTS: Each Portfolio, except the Cash Reserves Portfolio, can
enter into swap agreements to exchange the return generated by one
instrument for the return generated by another instrument. The following
summarizes swaps entered into by the Portfolios:
Interest Rate Swaps: Interest rate swaps involve the exchange of
commitments to pay and receive interest based on a notional principal
amount. Net periodic interest payments to be received or paid are accrued
daily and are recorded in the Statement of Operations as an adjustment to
interest income. Interest rate swaps are marked-to-market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Total Return Swaps: Total return swaps involve commitments to pay interest
in exchange for a market-linked return based on a notional amount. To the
extent the total return of the security or index underlying the
transaction exceeds or falls short of the offsetting interest rate
obligation, the Portfolio will receive a payment from or make a payment to
the counterparty, respectively. Total return swaps are marked-to-market
daily based upon quotations from market makers and the change, if any, is
recorded as unrealized gains or losses in the Statement of Operations.
Periodic payments received or made at the end of each measurement period,
but prior to termination, are recorded as realized gains or losses 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 generally limited to the amount of net interest payments to
be
- --------------------------------------------------------------------------------
136
<PAGE> 139
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
received and/or favorable movements in the value of the underlying
security, if any, at the date of the default.
6. WRITTEN INTEREST RATE FLOOR AGREEMENTS: A Portfolio will utilize written
interest rate floors to protect itself against fluctuations in interest
rates. When a Portfolio writes an interest rate floor, it agrees to make
periodic interest payments based on a notional principal amount to the
extent that a specified interest index falls below a specified interest
rate in exchange for the premium received. When a Portfolio writes an
interest rate floor the premium received by the Portfolio is recorded as a
liability and is amortized to interest income over the term of the
agreement. Interest rate floors are marked-to-market daily based on
quotations from market makers and the change, if any, is recorded as
unrealized appreciation or depreciation in the Statement of Operations.
Periodic payments of interest, if any, are reported as reductions to
interest income in the Statement of Operations. Realized gains or losses
from these agreements are disclosed in the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would
be realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount
recognized in the Statement of Net Assets. Such risks involve the
possibility that there may be no liquid market for these agreements and
that there may be adverse changes in the interest rates or the index
underlying these transactions.
7. STRUCTURED INVESTMENTS: Certain Portfolios may invest in structured
investments whose values are linked either directly or inversely to
changes in foreign currencies, interest rates, commodities, indices, or
other underlying instruments. A Portfolio uses these securities to
increase or decrease its exposure to different underlying instruments and
to gain exposure to markets that might be difficult to invest in through
conventional securities. Structured investments may be more volatile than
their underlying instruments, but any loss is limited to the amount of the
original investment.
8. DELAYED DELIVERY COMMITMENTS: Each Portfolio, except the Cash Reserves
Portfolio, may purchase or sell securities on a when-issued or forward
commitment basis. Payment and delivery may take place a month or more
after the date of the transaction. The price of the underlying securities
and the date when the securities will be delivered and paid for are fixed
at the time the transaction is negotiated. Collateral consisting of liquid
securities or cash is maintained in an amount at least equal to these
commitments.
9. PURCHASED OPTIONS: Certain Portfolios may purchase call and put options on
their portfolio securities. A call option, upon payment of a premium,
gives the purchaser of the option the right to buy, and the seller the
obligation to sell, the underlying instrument at the exercise price. The
purchase of a call option might be intended to protect the Portfolio
against an increase in the price of the underlying instrument that it
intends to purchase in the future by fixing the price at which it may
purchase the instrument. A put option gives the purchaser of the option,
upon payment of a premium, the right to sell, and the writer the
obligation to buy, the instrument at the exercise price. A Portfolio may
purchase a put option to protect its holdings in the underlying
instrument, or a similar instrument, against a substantial decline in the
market value of such instrument by giving the Portfolio the right to sell
the instrument at the option exercise price. Possible losses from
purchased options cannot exceed the total amount invested.
- --------------------------------------------------------------------------------
137
<PAGE> 140
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
10. FOREIGN EXCHANGE AND FORWARD CURRENCY CONTRACTS: The books and records of
the Fund are maintained in U.S. dollars. Foreign currency amounts are
translated into U.S. dollars at the bid prices of such currencies against
U.S. dollars quoted by a bank. Net realized gains (losses) on foreign
currency transactions represent net foreign exchange gains (losses) from
forward foreign currency contracts, disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates
on securities transactions, and the difference between the amount of
investment income and foreign withholding taxes recorded on the
Portfolio's books and the U.S. dollar equivalent amounts actually received
or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio
(except the Domestic Fixed Income, Cash Reserves, Mortgage-Backed
Securities, and Limited Duration Portfolios) may enter into forward
foreign currency contracts to protect securities and related receivables
and payables against future changes in foreign exchange rates.
Fluctuations in the value of such contracts are recorded as unrealized
appreciation or depreciation; realized gains or losses, which are
disclosed in the Statement of Operations, include net gains or losses on
contracts which have been terminated by settlements. Risks may arise upon
entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and are generally
limited to the amount of unrealized gain on the contract (if any) at the
date of default. Risks may also arise from unanticipated movements in the
value of the foreign currency relative to the U.S. dollar.
11. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Municipal
and PA Municipal Portfolios which are declared and paid monthly, Small Cap
Value, International Equity, Mid Cap Growth and Mid Cap Value 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 and
permanent differences such as gain (loss) on in-kind redemptions (Note I),
foreign currency transactions and gains on certain equity securities
designated as issued by "passive foreign investment companies".
Permanent book and tax differences relating to shareholder distributions
may result in reclassifications to undistributed net investment income
(loss), undistributed realized net gain (loss) and paid in capital.
12. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities
sold.
Dividend income and distributions to shareholder are recorded on the
ex-dividend date. Interest income is recognized on the accrual basis.
Discounts and premiums on securities purchased are amortized over their
respective lives. Securities classified as Value and Mid Cap Growth in the
Equity, Balanced and Multi-Asset-Class Portfolios are those acquired on
the basis of measures of value and growth, respectively, deemed
appropriate by the Investment Adviser. Most expenses of the Fund can be
directly attributed to a particular Portfolio. Expenses which cannot be
directly attrib-
- --------------------------------------------------------------------------------
138
<PAGE> 141
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
uted are apportioned among the Portfolios on the basis of their relative
net assets. Income, expenses (other than class specific expenses) and
realized and unrealized gains or losses are allocated to each class of
shares based upon their relative net assets.
Permanent book-tax differences, if any, are not included in ending
undistributed net investment income (loss) for the purpose of calculating
net investment income (loss) per share in the Financial Highlights.
B. INVESTMENT ADVISORY FEE. Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP ("MAS" or the
"Adviser"), wholly owned by indirect subsidiaries of Morgan Stanley Group,
Inc., 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, 1997 the investment advisory fees of each of the Portfolios were:
<TABLE>
<CAPTION>
Annual
Investment Advisory
Portfolio Fee
- ---------------------------- -------------------
<S> <C>
Value 0.500%
Equity 0.500
Small Cap Value 0.750
International Equity 0.500
Mid Cap Growth 0.500
Mid Cap Value 0.750
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 0.650
</TABLE>
The Adviser has voluntarily agreed to reduce the fees payable to it and, if
necessary, reimburse the following Portfolios if annual operating expenses of
the Institutional Class shares exceed the following percentages of average
daily net assets:
<TABLE>
<CAPTION>
Annual
Portfolio Operating Expenses
- ----------------------------- ------------------
<S> <C>
Mid Cap Value 0.88%
Domestic Fixed Income 0.50
Cash Reserves 0.32
Mortgage-Backed Securities 0.50
Limited Duration 0.42
Municipal 0.50
PA Municipal 0.50
Intermediate Duration 0.52
Multi-Asset-Class 0.78
</TABLE>
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 ("CGFSC") serves as
Transfer Agent to the Fund and provides fund accounting and other services
pursuant to a sub-administration agreement with MAS and receives compensation
from MAS for these services. CGFSC also receives additional class specific
administration fees for the Investment Class shares and Adviser Class shares.
For the period ended March 31, 1997, CGFSC earned, net of reimbursement, $7,000
and $5,000 in class specific administration fees for the Investment Class
shares and Adviser Class shares, respectively.
D. DISTRIBUTOR. MAS Funds Distribution, Inc. ("MASDI" or the "Distributor"), a
wholly owned subsidiary of Morgan Stanley Asset Management Holdings, Inc., is
the distributor for the Fund. MASDI is a limited-purpose broker/dealer whose
only function is to distribute open-end mutual fund shares. The Distributor
provides all classes of shares in each Portfolio with distribution services
pursuant to separate Distribution Plans (the "Plans") in accordance with Rule
12b-1 under the Investment Act of 1940.
Under the Plans, the Distributor is entitled to distribution fees and
shareholder servicing fees for Adviser Class and Investment Class shares,
respectively. The distribution fee is an asset-based fee to support
distribution efforts and/or servicing accounts. The Adviser Class of shares
will pay service and distribution fees of 0.25% for such services under the
12b-1 plan adopted
- --------------------------------------------------------------------------------
139
<PAGE> 142
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
by the Fund. The Investment Class of shares will pay a shareholder servicing
fee of 0.15%. The shareholder servicing fee, also an asset-based fee, is not a
distribution fee and is used to support the expenses associated with servicing
and maintaining accounts. Both fees are paid directly to MASDI. The
distribution fee may be retained by MASDI if an Adviser Class shareholder
invests directly through MASDI. Usually the fees are paid by MASDI to external
organizations such as 401(k) alliance sponsors, discount brokers and bank trust
departments who distribute MAS Funds to the public.
E. CUSTODY. Morgan Stanley Trust Company (NY) ("MSTC"), an affiliate of the
Funds, serves as custodian for the Fund's assets held outside of the United
States in accordance with a custodian agreement. MSTC is a wholly owned
subsidiary of Morgan Stanley Group, Inc.
For the six months ended March 31, 1997, the following Portfolios incurred
custody fees and had amounts payable to MSTC at March 31, 1997:
<TABLE>
<CAPTION>
MSTC Custody
Custody Fees Fees Payable
Incurred to MSTC
(000) (000)
------------ ------------
<S> <C> <C>
International Equity $100 $ 49
Global Fixed Income 12 2
International Fixed
Income 19 7
Multi-Asset-Class 12 45
</TABLE>
For the six months ended March 31, 1997, the following Portfolio paid brokerage
commissions to Morgan Stanley & Co., an affiliated broker/dealer:
<TABLE>
<CAPTION>
Brokerage
Commission
(000)
----------
<S> <C>
Mid Cap Growth $3
</TABLE>
F. TRUSTEES FEES. The Fund pays each Trustee, who is not also an officer or
affiliated person, an annual fee plus travel and other expenses incurred in
attending Board meetings. Trustees who are also officers or affiliated persons
receive no remuneration for their service as Trustees.
Each eligible Trustee of the Fund who is not an officer or affiliated person,
as defined under the Investment Company Act of 1940, as amended, participates
in the Trustees' Deferred Compensation Plan. Under the Trustees' Deferred
Compensation Plan, such Trustees must defer at least 25% of their fees and may
elect to defer payment up to 100% of their total fees earned as a Trustee of
the Fund. These deferred amounts are credited to an account that will be
treated as if they had been invested in the Portfolios selected by the Trustee.
The deferred fees payable, and the corresponding value of shares owned by the
Portfolios to hedge the potential change in value of the deferred fees, at
March 31, 1997, totaled $175,000. The value of shares owned by the Portfolios
is included in Other Assets in each Portfolio's Statement of Net Assets.
Expenses for the period ended March 31, 1997 include legal fees paid to Morgan,
Lewis & Bockius, LLP. A partner of that firm is secretary of the Fund.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the period ended March 31, 1997,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- ----------------------- ----------- -----------
<S> <C> <C>
Value $ 807,983 $ 553,260
Equity 674,803 995,231
Small Cap Value 425,527 470,622
International Equity 218,972 220,088
Mid Cap Growth 255,573 269,571
Mid Cap Value 170,481 124,914
Fixed Income 2,728,339 2,242,302
Domestic Fixed Income 103,225 107,166
High Yield 283,385 171,730
Cash Reserves -- --
Fixed Income II 174,976 188,684
Mortgage-Backed
Securities 55,699 54,892
Limited Duration 50,523 55,698
Special Purpose
Fixed Income 527,380 543,537
Municipal 24,530 17,037
PA Municipal 4,750 3,171
Global Fixed Income 60,935 52,867
International Fixed
Income 54,279 56,153
Intermediate Duration 49,755 27,708
Balanced 250,242 261,556
Multi-Asset-Class 86,955 91,233
</TABLE>
- --------------------------------------------------------------------------------
140
<PAGE> 143
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At March
31, 1997, 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 $2,297,146 $410,023 $(30,933) $379,090
Equity 1,163,953 197,459 (24,601) 172,858
Small Cap Value 588,337 73,265 (34,293) 38,972
International
Equity 645,523 96,202 (30,335) 65,867
Mid Cap Growth 354,572 54,105 (20,380) 33,725
Mid Cap Value 109,102 5,476 (5,680) (204)
Fixed Income 2,918,996 14,065 (46,410) (32,345)
Domestic Fixed
Income 116,901 271 (1,767) (1,496)
High Yield 406,815 9,414 (7,540) 1,874
Cash Reserves 78,563 -- -- --
Fixed Income II 205,962 1,023 (3,627) (2,604)
Mortgage-Backed
Securities 78,733 707 (1,139) (432)
Limited Duration 124,210 120 (815) (695)
Special Purpose
Fixed Income 543,027 4,388 (8,571) (4,183)
Municipal 59,363 2,347 (190) 2,157
PA Municipal 27,166 1,137 (117) 1,020
Global Fixed
Income 80,840 232 (2,369) (2,137)
International
Fixed Income 153,814 1,018 (6,448) (5,430)
Intermediate
Duration 39,602 50 (552) (502)
Balanced 318,857 29,266 (6,473) 22,793
Multi-Asset-Class 137,838 12,724 (3,024) 9,700
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at March 31, 1997, each Portfolio is obligated to
deliver or receive currency in exchange for U.S. dollars as indicated in the
following table:
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- --------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
Purchases
US$ 763 AUD 975 4/1/97 US$ 764 US$ 1
598 GBP 368 4/1/97 605 7
186 NLG 354 4/1/97 189 3
947 AUD 1,211 4/2/97 949 2
1,295 GBP 796 4/2/97 1,309 14
-----------
US$ 27
-----------
Sales
JPY 136,963 US$ 1,107 4/1/97 US$ 1,108 US$ (1)
ATS 8,293 701 4/2/97 703 (2)
-----------
US$ (3)
-----------
US$ 24
-----------
<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$ 41,104 DEM 66,500 4/21/97 US$39,936 US$ (1,168)
954 CAD 1,315 5/27/97 955 1
392 SEK 2,945 5/28/97 392 --
-----------
US$ (1,167)
-----------
Sales
DEM 66,500 US$ 42,115 4/21/97 US$39,936 US$ 2,179
CAD 34,830 25,726 5/27/97 25,285 441
SEK 358,930 47,644 5/28/97 47,811 (167)
-----------
US$ 2,453
-----------
US$ 1,286
-----------
FIXED INCOME II
Purchases
US$ 3,733 DEM 6,040 4/21/97 US$ 3,627 US$ (106)
73 CAD 100 5/27/97 73 --
25 SEK 255 5/28/97 34 9
-----------
US$ (97)
-----------
Sales
DEM 6,040 US$ 3,825 4/21/97 US$ 3,627 US$ 198
CAD 2,935 2,168 5/27/97 2,131 37
CAD 34 25 5/28/97 25 --
SEK 29,090 3,864 5/28/97 3,875 (11)
-----------
US$ 224
-----------
US$ 127
-----------
SPECIAL PURPOSE FIXED INCOME
Purchases
US$ 8,814 DEM 14,260 4/21/97 US$ 8,564 US$ (250)
152 CAD 210 5/27/97 152 --
74 SEK 555 5/28/97 74 --
-----------
US$ (250)
-----------
Sales
DEM 14,260 US$ 9,031 4/21/97 US$ 8,564 US$ 467
CAD 6,335 4,679 5/27/97 4,599 80
SEK 71,395 9,478 5/28/97 9,510 (32)
-----------
US$ 515
-----------
US$ 265
-----------
</TABLE>
- --------------------------------------------------------------------------------
141
<PAGE> 144
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>
GLOBAL FIXED INCOME
Purchases
US$ 6,822 DEM 11,115 4/23/97 US$ 6,676 US$ (146)
418 ESP 56,750 4/23/97 402 (16)
344 ITL 555,000 4/23/97 333 (11)
278 ITL 450,000 5/5/97 269 (9)
2,709 ESP 375,000 5/6/97 2,654 (55)
784 GBP 485 5/6/97 797 13
7,323 JPY 881,000 5/6/97 7,165 (158)
1,552 ITL 2,635,000 5/21/97 1,577 25
4,232 JPY 520,250 5/21/97 4,241 9
1,850 CAD 2,500 5/27/97 1,815 (35)
1,155 ESP 164,000 5/27/97 1,161 6
-----------
US$ (377)
-----------
Sales
DEM 880 US$ 546 4/23/97 US$ 529 US$ 17
DEM 4,190 2,495 4/23/97 2,516 (21)
ITL 555,000 351 4/23/97 333 18
DEM 2,530 1,553 5/5/97 1,521 32
DEM 3,125 1,904 5/12/97 1,880 24
SEK 12,740 1,730 5/13/97 1,696 34
SEK 13,205 1,777 5/20/97 1,758 19
AUD 805 621 5/27/97 631 (10)
CAD 1,050 773 5/27/97 762 11
GBP 1,625 2,650 5/27/97 2,670 (20)
CAD 1,070 787 5/30/97 776 11
DKK 2,695 422 5/30/97 426 (4)
FRF 3,130 543 6/10/97 560 (17)
CHF 1,605 1,108 6/30/97 1,127 (19)
-----------
US$ 75
-----------
US$ (302)
-----------
INTERNATIONAL FIXED INCOME
Purchases
US$ 7,714 DEM 12,705 4/14/97 US$ 7,626 US$ (88)
1,588 DEM 2,665 4/17/97 1,600 12
1,546 ESP 210,000 4/23/97 1,486 (60)
1,541 DEM 2,620 4/23/97 1,574 33
9,420 DEM 15,265 4/23/97 9,168 (252)
11,388 FRF 62,030 4/23/97 11,068 (320)
1,521 DEM 2,570 5/5/97 1,545 24
1,524 ITL 2,465,000 5/5/97 1,476 (48)
1,527 GBP 945 5/6/97 1,553 26
10,064 JPY 1,212,000 5/6/97 9,857 (207)
2,962 ITL 4,825,000 5/7/97 2,890 (72)
3,178 ITL 5,395,000 5/21/97 3,229 51
8,646 JPY 1,063,000 5/21/97 8,664 18
4,219 CAD 5,700 5/27/97 4,138 (81)
9,095 ESP 1,291,000 5/27/97 9,138 43
6,265 JPY 752,000 6/10/97 6,148 (117)
-----------
US$ (1,038)
-----------
Sales
ITL 4,144 US$ 2 4/1/97 US$ 2 US$ --
DEM 2,665 1,565 4/17/97 1,600 (35)
DEM 11,460 7,109 4/23/97 6,883 226
DEM 8,975 5,321 4/23/97 5,391 (70)
FRF 33,790 6,148 4/23/97 6,029 119
ITL 7,085,000 4,479 4/23/97 4,246 233
NLG 4,910 2,660 4/30/97 2,624 36
DEM 4,680 2,873 5/5/97 2,813 60
GBP 945 1,508 5/6/97 1,553 (45)
JPY 113,000 927 5/6/97 919 8
SEK 5,130 697 5/13/97 683 14
SEK 43,105 5,750 5/20/97 5,740 10
AUD 1,375 1,060 5/27/97 1,077 (17)
CAD 2,085 1,535 5/27/97 1,513 22
GBP 3,145 5,130 5/27/97 5,168 (38)
CHF 3,255 2,247 6/30/97 2,286 (39)
-----------
US$ 484
-----------
US$ (554)
-----------
INTERMEDIATE DURATION
Purchases
US$ 624 DEM 1,010 4/21/97 US$ 606 US$ (18)
596 SEK 4,575 5/28/97 610 14
291 DEM 495 5/30/97 298 7
7 CAD 10 6/16/97 7 --
-----------
US$ 3
-----------
Sales
DEM 1,010 US$ 640 4/21/97 US$ 607 US$ 33
DEM 9,830 1,305 5/28/97 1,309 (4)
DEM 495 294 5/30/97 298 (4)
CAD 1,395 1,029 6/16/97 1,014 15
-----------
US$ 40
-----------
US$ 43
-----------
BALANCED
Purchases
US$ 2,624 DEM 4,245 4/21/97 US$ 2,549 US$ (75)
-----------
US$ (75)
-----------
Sales
DEM 4,245 US$ 2,688 4/21/97 US$ 2,549 US$ 139
CAD 1,760 1,300 5/27/97 1,278 22
SEK 19,815 2,631 5/28/97 2,639 (8)
-----------
US$ 153
-----------
US$ 78
-----------
MULTI-ASSET-CLASS
Purchases
US$ 62 GBP 38 4/1/97 US$ 62 US$ --
100 DKK 595 4/14/97 94 (6)
703 FRF 3,830 4/23/97 683 (20)
609 DEM 990 4/23/97 596 (13)
46 DEM 75 4/23/97 45 (1)
184 ESP 25,000 4/23/97 177 (7)
134 DEM 220 5/5/97 132 (2)
384 JPY 46,500 5/6/97 378 (6)
51 ITL 87,000 5/21/97 52 1
108 ITL 180,000 5/21/97 108 --
248 CAD 335 5/27/97 243 (5)
387 ESP 55,000 5/27/97 389 2
408 JPY 49,000 6/10/97 401 (7)
-----------
US$ (64)
-----------
Sales
FRF 1,600 US$ 291 4/23/97 US$ 285 US$ 6
DEM 1,560 968 4/23/97 937 31
DEM 600 359 4/23/97 360 (1)
DEM 220 135 5/5/97 132 3
JPY 25,000 205 5/6/97 203 2
SEK 2,035 276 5/13/97 271 5
SEK 580 76 5/20/97 77 (1)
AUD 50 38 5/27/97 39 (1)
CAD 290 213 5/27/97 210 3
GBP 105 171 5/27/97 172 (1)
CHF 310 214 6/30/97 218 (4)
-----------
US$ 42
-----------
US$ (22)
-----------
</TABLE>
ATS -- Austrian Schilling
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
DKK -- Danish Krone
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
SEK -- Swedish Krona
US$ -- U.S. Dollar
- --------------------------------------------------------------------------------
142
<PAGE> 145
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
4. FUTURES CONTRACTS: At March 31, 1997, 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
FTSE 100 Index 40 GBP 4,313 Jun-97 US$ (116)
FIXED INCOME
U.S. Treasury 2
yr. Note 1,307 US$ 267,445 Jun-97 (2,419)
DOMESTIC FIXED
INCOME
U.S. Treasury 2
yr. Note 46 US$ 9,413 Jun-97 (83)
U.S. Treasury
10 yr. Note 11 US$ 1,161 Jun-97 (23)
FIXED INCOME II
U.S. Treasury 2
yr. Note 68 US$ 13,915 Jun-97 (115)
U.S. Treasury
Long Bond 14 US$ 1,477 Jun-97 (29)
LIMITED DURATION
U.S. Treasury 2
yr. Note 56 US$ 11,459 Jun-97 (112)
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 2
yr. Note 252 US$ 51,566 Jun-97 (456)
U.S. Treasury
Long Bond 74 US$ 7,934 Jun-97 (241)
MUNICIPAL
U.S. Treasury 5
yr. Note 185 US$ 19,295 Jun-97 (413)
U.S. Treasury
10 yr. Note 20 US$ 2,110 Jun-97 (70)
PA MUNICIPAL
U.S. Treasury 5
yr. Note 76 US$ 7,927 Jun-97 (179)
U.S. Treasury
10 yr. Note 24 US$ 2,532 Jun-97 (67)
GLOBAL FIXED
INCOME
Japanese 10 yr.
Government
Bond 4 JPY 4,147 Jun-97 31
INTERNATIONAL
FIXED INCOME
German 10 yr.
Government
Bond 56 DEM 8,168 Jun-97 (224)
Japanese 10 yr.
Government
Bond 16 JPY 16,500 Jun-97 60
INTERMEDIATE
DURATION
U.S. Treasury 2
yr. Note 18 US$ 3,683 Jun-97 (32)
U.S. Treasury
Long Bond 10 US$ 1,072 Jun-97 45
BALANCED
U.S. Treasury 2
yr. Note 74 US$ 15,142 Jun-97 US$ (136)
MULTI-ASSET-CLASS
CAC 40 Index 8 FRF 4,253 Apr-97 21
DAX Index 10 DEM 3,424 Jun-97 58
FTSE 100 Index 3 GBP 323 Jun-97 (9)
IBEX 35 Index 7 ESP 37,923 Apr-97 (2)
MIB 30 Index 9 ITL 1,574,730 Jun-97 12
Nikkei 225
Index 5 JPY 44,688 Jun-97 (3)
OMX Index 10 SEK 2,169 Apr-97 12
S&P 500 Index 7 US$ 2,653 Jun-97 (217)
U.S. Treasury 2
yr. Note 20 US$ 4,093 Jun-97 (37)
Sales:
FIXED INCOME
90 day
Eurodollar 180 US$ 41,935 Jun-97-
Mar-01 342
U.S. Treasury 5
yr. Note 1,237 US$ 129,015 Jun-97 2,904
DOMESTIC FIXED
INCOME
U.S. Treasury 5
yr. Note 28 US$ 2,920 Jun-97 66
FIXED INCOME II
U.S. Treasury 5
yr. Note 68 US$ 7,092 Jun-97 160
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 2
yr. Note 124 US$ 25,374 Jun-97 191
U.S. Treasury 5
yr. Note 15 US$ 1,564 Jun-97 36
U.S. Treasury
10 yr. Note 70 US$ 7,385 Jun-97 189
U.S. Treasury
Long Bond 10 US$ 1,072 Jun-97 49
LIMITED DURATION
U.S. Treasury
10 yr. Note 40 US$ 4,220 Jun-97 136
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 5
yr. Note 445 US$ 46,412 Jun-97 1,045
MUNICIPAL
U.S. Treasury
Long Bond 29 US$ 3,109 Jun-97 141
PA MUNICIPAL
U.S. Treasury
Long Bond 19 US$ 2,037 Jun-97 92
INTERMEDIATE
DURATION
U.S. Treasury 5
yr. Note 32 US$ 3,338 Jun-97 75
BALANCED
U.S. Treasury 5
yr. Note 121 US$ 12,620 Jun-97 284
MULTI-ASSET-CLASS
U.S. Treasury 5
yr. Note 6 US$ 626 Jun-97 US$ 14
U.S. Treasury
Long Bond 27 US$ 2,895 Jun-97 99
</TABLE>
DEM -- German Mark
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
ITL -- Italian Lira
JPY -- Japanese Yen
SEK -- Swedish Krona
US$ -- U.S. Dollar
- --------------------------------------------------------------------------------
143
<PAGE> 146
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
5. SWAP AGREEMENTS: At March 31, 1997, the following Portfolios had open
Interest Rate Swap Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
--------------------------------------------------------
<C> <S> <C>
MUNICIPAL
$10,300 Agreement with Bankers Trust
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly.
$777
---------
PA MUNICIPAL
$4,650 Agreement with Bankers Trust
Company terminating January 9,
2006 to pay fixed rate at 6.05%
semiannually and to receive 3
month LIBOR quarterly.
$351
---------
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At March 31, 1997, the following Portfolios had
available for Federal income tax purposes unused capital losses, all of which
will expire on the indicated dates:
<TABLE>
<CAPTION>
Expiration Date
September 30,
(000)
-----------------------
Portfolio 2002 2003 2004
- -------------------- ---- ----- ----
<S> <C> <C> <C>
High Yield $ -- $ 141 $851
Mortgage-Backed
Securities -- 3,206 --
Limited Duration -- 4,395 172
Municipal 120 153 134
PA Municipal -- 216 --
</TABLE>
I. IN-KIND TRANSACTIONS. For the period ended March 31, 1997, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
- -------------------------------------- -------
<S> <C>
Value $54,205
Mid Cap Growth 7,054
</TABLE>
J. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the period ended March 31,
1997, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Value $ 71
Equity 119
International Equity 74
Mid Cap Growth 110
Fixed Income 37
Fixed Income II 2
Special Purpose Fixed Income 1
Balanced 13
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at March 31,
1997, was as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- --------------------------- ---------- ----------
<S> <C> <C>
Value $ 67,951 $ 79,385
Equity 48,732 49,345
International Equity 80,935 85,097
Mid Cap Growth 47,210 50,994
Fixed Income 42,515 44,355
Fixed Income II 3,498 3,649
Balanced 5,517 5,948
</TABLE>
Custodian fees appearing in the Statement of Operations have been adjusted to
include expense offsets for custodian balance credits and security lending fees
totaling $329,000 and $262,000 respectively, for the period ended March 31,
1997.
K. OTHER. At March 31, 1997, the net assets of certain Portfolios were
substantially comprised of foreign denominated securities and currency. The net
assets of the Portfolio are presented at the foreign exchange rates and market
values at the close of the period. The Portfolio does not isolate that portion
of the results of operations arising as a result of changes in the foreign
exchange rates from the fluctuations arising from changes in the market prices
of the securities held at period end. Similarly, the Portfolio does not isolate
the effect of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities sold during the
- --------------------------------------------------------------------------------
144
<PAGE> 147
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
period. Accordingly, realized and unrealized foreign currency gains (losses)
are included in the reported net realized and unrealized gains (losses) on
investment transactions and balances. Changes in currency exchange rates will
affect the value of and investment income from such securities and currency.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, the possibly lower level of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
At March 31, 1997, 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, 1997, approximately 50.1% and 58.3% 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>
PA
Municipal Municipal
--------- ---------
<S> <C> <C>
AMBAC 15.1% 16.0%
FGIC -- 13.3
MBIA 17.2 25.6
</TABLE>
At March 31, 1997, certain employees of Miller Anderson & Sherrerd, LLP were
record owners of approximately 25.76% of the PA Municipal Portfolio. In
addition, the Fund had Portfolios with otherwise unaffiliated record owners of
10% or greater. Investment activities of these shareholders could have a
material impact on these Portfolios. These Portfolios and the aggregate
percentage of such owners was as follows:
<TABLE>
<CAPTION>
Percentage
of Ownership
------------------------------------
Institutional Investment Adviser
Portfolios Class Class Class
- ---------------------- ------------- ---------- -------
<S> <C> <C> <C>
Value 13.0% 53.8% 96.5%
Equity -- 94.7 --
Small Cap Value 11.0 -- --
International Equity 10.0 84.8 --
Mid Cap Growth 20.5 -- 100.0
Mid Cap Value 52.1 88.2 --
FIxed Income -- 93.2 96.2
Domestic Fixed Income 32.5 -- --
High Yield -- 96.6 --
Cash Reserves 40.6 -- --
Fixed Income II 24.0 -- --
Mortgage-Backed
Securities 92.3 -- --
Limited Duration 25.2 -- --
Special Purpose Fixed
Income -- 91.5 --
Municipal 49.7 -- --
PA Municipal 59.9 -- --
Global Fixed Income 49.4 -- --
International Fixed
Income 66.5 -- --
Intermediate Duration 84.5 -- --
Balanced 29.9 -- --
Multi-Asset-Class 19.3 100.0 99.2
</TABLE>
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145
<PAGE> 148
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SHAREHOLDER MEETING:
At a special shareholder meeting held on December 17, 1996, shareholders of the
Multi-Asset-Class Portfolio voted on the following proposal.
1. To approve an amendment to the investment advisory agreement between the Fund
and Miller Anderson & Sherred, LLP with respect to the Multi-Asset-Class
Portfolio which would increase the investment advisory fee payable to Miller
Anderson & Sherred, LLP.
<TABLE>
<CAPTION>
Voted Voted
For Against Abstentions Total Shares
- ---------- -------- ----------- ------------
<S> <C> <C> <C>
6,094,467 654,120 123,712 6,872,299
========= ======= ======== =========
</TABLE>
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146
<PAGE> 149
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; Managing Director, Morgan Stanley; Portfolio
Manager and member of the Executive Committee, Miller Anderson & Sherrerd, LLP;
Director, MAS Fund Distribution, Inc.; Director, Morgan Stanley Universal Funds,
Inc.
THOMAS P. GERRITY
Trustee; Dean and Reliance Professor of Management and Private Enterprise,
Wharton School of Business, University of Pennsylvania; Director, Digital
Equipment Corporation; Director, Sun Company, Inc.; Director, Federal National
Mortgage Association; Director, Reliance Group Holdings; Director, Melville
Corporation.
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; Director,
Electro Rent Corporation; Trustee, Southern California Edison Nuclear
Decommissioning Trust; Director, The Ford Family Foundation.
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, MAS Funds; Principal, Morgan Stanley; Head of Mutual Funds, Miller
Anderson & Sherrerd, LLP; Director, MAS Fund Distribution, Inc.; Chairman of the
Board of Directors, The Minerva Fund, Inc.; formerly Vice President, The Chase
Manhattan Bank.
LORRAINE TRUTEN, CFA
Vice-President, MAS Funds; Principal Morgan Stanley; Head of Mutual Fund
Services, Miller Anderson & Sherrerd, LLP; President, MAS Fund Distribution,
Inc.
DOUGLAS W. KUGLER, CFA
Treasurer, MAS Funds; Vice-President, Morgan Stanley; Head of Mutual Fund
Administration, Miller Anderson & Sherrerd, LLP; formerly Vice President
Provident Financial Processing Corporation.
JOHN H. GRADY, JR.
Secretary, MAS Funds; Partner, Morgan, Lewis & Bockius, LLP; formerly Attorney,
Ropes & Gray.
*Trustee Bennett is deemed to be an "interested person" of the Fund as that term
is defined in the Investment Company Act of 1940, as amended.
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<PAGE> 150
[MAS FUNDS LOGO]
[MAS FUNDS ADDRESS]
