<PAGE> 1
[1997 ANNUAL REPORT/FINANCIAL STATEMENT LOGO]
[MAS FUNDS LOGO]
[MAS FUNDS LOGO]
<PAGE> 2
We are pleased to present the Annual Report for the Portfolios of MAS Funds
listed below. Please call your Miller Anderson & Sherrerd service contact at
800-354-8185 with any questions regarding these Financial Statements.
TABLE OF CONTENTS
Statement of Net Assets
<TABLE>
<S> <C>
Value Portfolio.......................... 1
Equity Portfolio......................... 4
Small Cap Value Portfolio................ 8
International Equity Portfolio........... 12
Mid Cap Growth Portfolio................. 15
Mid Cap Value Portfolio.................. 18
Emerging Markets Portfolio............... 21
Fixed Income Portfolio................... 23
Domestic Fixed Income Portfolio.......... 32
High Yield Portfolio..................... 38
Cash Reserves Portfolio.................. 43
Fixed Income Portfolio II................ 45
Mortgage-Backed Securities Portfolio..... 51
Limited Duration Portfolio............... 55
Special Purpose Fixed Income Portfolio... 60
Municipal Portfolio...................... 67
PA Municipal Portfolio................... 72
Global Fixed Income Portfolio............ 76
International Fixed Income Portfolio..... 79
Intermediate Duration Portfolio.......... 81
Balanced Portfolio....................... 88
Multi-Asset-Class Portfolio.............. 98
Statement of Operations..................... 110
Statement of Changes in Net Assets.......... 115
Financial Highlights........................ 122
Notes to Financial Statements............... 140
Report of Independent Accountants........... 152
</TABLE>
THIS 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
STATEMENT OF NET ASSETS
COMMON STOCKS (81.2%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
BANKS (7.6%)
Bank of New York Co. 684,085 $ 32,836
Chase Manhattan Corp. 581,817 68,654
Citicorp 290,480 38,906
Crestar Financial Corp. 329,268 15,434
First Union Corp. 625,682 31,323
Mellon Bank Corp. 606,696 33,217
Republic New York Corp. 271,601 30,861
Signet Banking Corp. 634,309 34,411
- ------------------------------------------------------
GROUP TOTAL 285,642
- ------------------------------------------------------
BASIC RESOURCES (5.7%)
Cabot Oil & Gas Corp., Class A 690,842 18,610
Dow Chemical Co. 370,275 33,579
E.I. DuPont de Nemours & Co. 466,068 28,692
IMC Global, Inc. 591,694 20,857
Great Lakes Chemical Corp. 947,218 46,710
Inland Steel Industries, Inc. 671,500 14,689
Rohm & Haas Co. 365,456 35,061
Westvaco Corp. 483,420 17,433
- ------------------------------------------------------
GROUP TOTAL 215,631
- ------------------------------------------------------
CONSUMER DURABLES (8.7%)
Dana Corp. 706,351 34,876
Ford Motor Co. 2,330,530 105,456
General Motors Corp. 872,309 58,390
Goodyear Tire & Rubber Co. 1,117,013 76,795
Owens Corning 937,341 34,213
Tupperware Corp. 686,576 19,310
- ------------------------------------------------------
GROUP TOTAL 329,040
- ------------------------------------------------------
CONSUMER SERVICES (0.3%)
Standard Register Co. 350,311 11,670
- ------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (1.4%)
Capital One Financial Corp. 764,680 34,984
Federal National Mortgage
Association 410,356 19,287
- ------------------------------------------------------
GROUP TOTAL 54,271
- ------------------------------------------------------
ENERGY (8.1%)
Amoco Corp. 398,136 38,370
Atlantic Richfield Co. 478,956 40,921
British Petroleum plc ADR 447,442 40,633
El Paso Natural Gas Co. 423,506 25,649
MAPCO, Inc. 841,108 27,704
Phillips Petroleum Co. 795,595 41,073
Repsol SA ADR 743,210 32,237
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
Ultramar Diamond Shamrock
Corp. 601,090 $ 19,423
YPF SA ADR 1,105,038 40,748
- ------------------------------------------------------
GROUP TOTAL 306,758
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (4.5%)
IBP, Inc. 896,903 21,189
Philip Morris Co., Inc. 1,706,405 70,923
RJR Nabisco Holdings Corp. 1,427,490 49,070
Universal Foods Corp. 722,247 29,070
- ------------------------------------------------------
GROUP TOTAL 170,252
- ------------------------------------------------------
HEALTH CARE (4.6%)
Beckman Instruments, Inc. 952,399 40,536
Bergen Brunswig Corp., Class A 533,908 21,557
Columbia/HCA Healthcare Corp. 1,172,161 33,700
* Foundation Health Corp. 1,092,185 34,950
Mallinckrodt, Inc. 748,851 26,959
* Maxicare Health Plans, Inc. 812,360 15,130
- ------------------------------------------------------
GROUP TOTAL 172,832
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (19.8%)
Aeroquip-Vickers, Inc. 1,416,976 69,432
* AMR Corp. 312,490 34,589
Burlington Northern Santa Fe,
Inc. 221,165 21,370
Case Corp. 1,146,226 76,367
Caterpillar, Inc. 436,094 23,522
CSX Corp. 390,196 22,826
(dd) Cummins Engine Co., Inc. 1,383,486 107,998
Deere & Co. 367,802 19,769
Delta Air Lines, Inc. 402,300 37,892
Eaton Corp. 461,902 42,668
* FMC Corp. 392,265 34,814
Harnischfeger Industries, Inc. 1,200,101 51,304
Kennametal, Inc. 786,512 38,146
Olsten Corp. 1,505,360 27,943
Parker Hannifin Corp. 831,937 37,437
Raytheon Corp. 278,994 16,496
Tecumseh Products Co., Class A 585,476 32,604
TRW, Inc. 566,318 31,077
* UAL Corp. 236,352 20,001
- ------------------------------------------------------
GROUP TOTAL 746,255
- ------------------------------------------------------
INSURANCE (7.5%)
Allstate Corp. 528,920 42,512
American General Corp. 529,055 27,445
Chubb Corp. 322,215 22,897
Everest Reinsurance Holdings,
Inc. 900,091 36,904
Hartford Financial Services
Group, Inc. 440,353 37,898
Old Republic International
Corp. 816,200 31,832
ReliaStar Financial Corp. 821,574 32,709
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
PORTFOLIO VALUE
(CONT'D) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
TIG Holdings, Inc. 615,982 $ 21,444
Transatlantic Holdings, Inc. 378,558 27,114
- ------------------------------------------------------
GROUP TOTAL 280,755
- ------------------------------------------------------
RETAIL (5.4%)
Dillard's, Inc., Class A 704,809 30,879
* Federated Department Stores,
Inc. 862,200 37,182
Russell Corp. 716,215 21,084
Springs Industries, Inc.,
Class A 661,418 34,725
* Toys 'R' Us, Inc. 965,551 34,277
V.F. Corp. 485,953 45,011
- ------------------------------------------------------
GROUP TOTAL 203,158
- ------------------------------------------------------
TECHNOLOGY (5.4%)
* Arrow Electronics, Inc. 257,500 14,935
International Business
Machines Corp. 858,744 90,973
* Seagate Technology, Inc. 900,552 32,533
Tektronix, Inc. 495,678 33,427
* Western Digital Corp. 826,752 33,122
- ------------------------------------------------------
GROUP TOTAL 204,990
- ------------------------------------------------------
UTILITIES (2.2%)
Cinergy Corp. 379,607 12,693
DTE Energy Co. 614,840 18,714
Duke Energy Corp. 314,623 15,554
Entergy Corp. 630,745 16,439
GPU, Inc. 538,004 19,301
OGE Energy Corp. 2,000 94
- ------------------------------------------------------
GROUP TOTAL 82,795
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $2,252,115) 3,064,049
- ------------------------------------------------------
CASH EQUIVALENTS (26.7%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
Short-term Investments Held as
Collateral for Loaned
Securities (7.8%) $ 295,614 295,614
- ------------------------------------------------------
COMMERCIAL PAPER (12.2%)
American Express Credit Corp.
5.50%, 10/17/97 35,000 34,914
Asset Securitization Corp.
5.55%, 11/6/97 40,000 39,778
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------
<S> <C> <C>
Associates Corp.
5.52%, 10/6/97 $ 50,000 $ 49,962
Atlantic Asset Securitization
Corp.
5.57%, 10/16/97 20,000 19,954
Barclays U.S. Funding Corp.
5.53%, 10/8/97 25,000 24,973
Canadian Imperial Holdings
5.54%, 10/30/97 40,000 39,822
Commercial Credit Corp.
5.50%, 10/2/97 25,000 24,996
5.50%, 10/27/97 25,000 24,901
Delaware Funding Corp.
5.53%, 10/14/97 50,000 49,900
Eiger Capital Corp.
5.55%, 11/5/97 43,375 43,141
sec. First Chicago Financial
Corp.
5.51%, 10/16/97 (acquired
9/16/97, cost $22,149) 22,200 22,149
Societe Generale
5.51%, 10/23/97 25,000 24,916
5.52%, 10/17/97 20,000 19,951
Sony Capital Corp.
5.55%, 10/29/97 40,000 39,827
- ------------------------------------------------------
GROUP TOTAL 459,184
- ------------------------------------------------------
DISCOUNT NOTE (3.0%)
Federal Home Loan Mortgage
Corporation
10/30/97 75,000 74,977
Federal National Mortgage Association
0.00%, 10/30/97 40,000 39,824
- ------------------------------------------------------
GROUP TOTAL 114,801
- ------------------------------------------------------
REPURCHASE AGREEMENT (3.7%)
Chase Securities, Inc.
5.90%, dated 9/30/97, due
10/1/97, to be repurchased
at $138,187, collateralized
by various U.S. Government
Obligations, due 10/1/97-
1/29/99, valued at $139,466 138,164 138,164
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,007,763) 1,007,763
- ------------------------------------------------------
TOTAL INVESTMENTS (107.9%) (Cost $3,259,878) 4,071,812
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-7.9%)
Cash $ 1
Dividends Receivable 4,171
Interest Receivable 23
Receivable for Fund Shares Sold 9,907
Other Assets 72
Payable for Investments Purchased (8,452)
Payable for Fund Shares Redeemed (1,270)
Payable for Investment Advisory Fees (4,491)
Payable for Administrative Fees (245)
Payable for Shareholder Servicing Fee-
Investment Class (4)
Payable for Distribution Fee-Adviser Class (39)
Payable for Trustees' Deferred
Compensation Plan-Note F (57)
Payable for Daily Variation on Futures
Contracts (1,450)
Collateral on Securities Loaned, at Value (295,614)
Other Liabilities (492)
----------
(297,940)
- ------------------------------------------------------
NET ASSETS (100%) $3,773,872
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 173,895,195 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $3,542,772
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.37
- ------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C>
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 1,465,899 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 29,847
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.36
- ------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 9,890,611 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 201,253
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.35
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $2,632,809
Undistributed Net Investment Income (Loss) 18,442
Undistributed Realized Net Gain (Loss) 306,739
Unrealized Appreciation (Depreciation) on:
Investment Securities 811,934
Futures 3,948
- ------------------------------------------------------
NET ASSETS $3,773,872
- ------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1997
was $22,149 or 0.6% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security.
(dd) A portion of these securities was pledged to cover
margin requirements for futures contracts.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (94.0%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
BANKS (3.6%)
BankBoston Corp. 203,200 $ 17,970
Citicorp 92,100 12,336
First Union Corp. 249,854 12,508
Wells Fargo & Co. 17,900 4,923
- ------------------------------------------------------
GROUP TOTAL 47,737
- ------------------------------------------------------
BASIC RESOURCES (5.0%)
Boise Cascade Corp. 98,400 4,139
Bowater, Inc. 147,200 7,507
Champion International Corp. 330,100 20,115
E.I. DuPont de Nemours & Co. 307,000 18,900
Weyerhaeuser Co. 89,400 5,308
W.R. Grace & Co. 135,900 10,006
- ------------------------------------------------------
GROUP TOTAL 65,975
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.6%)
Coca-Cola Enterprises, Inc. 275,600 7,424
- ------------------------------------------------------
CONSUMER DURABLES (6.2%)
Ford Motor Co. 690,000 31,222
General Motors Corp. 350,917 23,490
Goodyear Tire & Rubber Co. 155,100 10,663
Lucas Varity plc ADR 411,700 15,619
- ------------------------------------------------------
GROUP TOTAL 80,994
- ------------------------------------------------------
CONSUMER SERVICES (5.9%)
* Clear Channel Communications,
Inc. 234,700 15,226
* GTECH Holdings Corp. 154,100 5,269
* HFS, Inc. 298,600 22,227
News Corp. Ltd. ADR 354,900 6,366
Service Corp. International 321,500 10,348
Tele-Communications, Inc.,
Class A 524,400 10,750
* Tele-Communications Liberty
Media Group, Class A 257,142 7,698
- ------------------------------------------------------
GROUP TOTAL 77,884
- ------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.4%)
American Express Co. 77,200 6,321
Bear Stearns Co., Inc. 194,000 8,536
CMAC Investment Corp. 90,700 4,864
Lehman Brothers Holdings, Inc. 85,000 4,558
SLM Holding Corp. 131,700 20,347
- ------------------------------------------------------
GROUP TOTAL 44,626
- ------------------------------------------------------
ENERGY (6.2%)
Atlantic Richfield Co. 111,700 9,543
British Petroleum plc ADR 241,934 21,971
Coastal Corp. 150,200 9,200
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
Columbia Gas System, Inc. 116,100 $ 8,127
Phillips Petroleum Co. 370,800 19,143
Repsol SA ADR 162,500 7,048
Texaco, Inc. 108,800 6,684
- ------------------------------------------------------
GROUP TOTAL 81,716
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (4.8%)
Philip Morris Cos., Inc. 1,111,270 46,187
RJR Nabisco Holdings Corp. 501,980 17,256
- ------------------------------------------------------
GROUP TOTAL 63,443
- ------------------------------------------------------
HEALTH CARE (6.1%)
Aetna, Inc. 287,900 23,446
Baxter International, Inc. 140,800 7,357
Bristol-Myers Squibb Co. 166,072 13,743
Columbia/HCA Healthcare Corp. 214,205 6,158
* Health Management Associates,
Class A 241,100 7,625
* Lincare Holdings, Inc. 156,000 7,868
Merck & Co., Inc. 78,600 7,855
SmithKline Beecham plc ADR 128,600 6,285
- ------------------------------------------------------
GROUP TOTAL 80,337
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (17.2%)
Aeroquip-Vickers, Inc. 120,800 5,919
Allied Signal, Inc. 166,800 7,089
* AMR Corp. 70,400 7,792
* Berkshire Hathaway, Inc. 149 6,675
Boeing Co. 132,870 7,233
Case Corp. 311,500 20,754
Cummins Engine Co., Inc. 388,800 30,351
Delta Air Lines, Inc. 14,700 1,384
Eaton Corp. 84,500 7,806
* FMC Corp. 164,229 14,575
Harnischfeger Industries, Inc. 118,300 5,057
Lockheed Martin Corp. 214,200 22,839
*@ PML, Inc. 125 --
Textron, Inc. 177,100 11,511
Union Pacific Corp. 162,650 10,186
United Technologies Corp. 372,600 30,181
Waste Management, Inc. 766,500 26,780
York International Corp. 223,100 9,984
- ------------------------------------------------------
GROUP TOTAL 226,116
- ------------------------------------------------------
INSURANCE (5.4%)
Allstate Corp. 116,600 9,372
CIGNA Corp. 45,100 8,400
Exel Ltd. 197,900 11,787
Hartford Financial Services
Group (The), Inc. 200,350 17,243
Loews Corp. 207,300 23,412
- ------------------------------------------------------
GROUP TOTAL 70,214
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
MID CAP GROWTH (4.3%)
* Advanced Fibre
Communications, Inc. 15,800 $ 648
* Allied Waste Industries, Inc. 11,800 226
* ASE Test Ltd. 4,200 356
At Home Corp., Series A 21,000 486
Bell Canada International, Inc. 13,900 262
* BioChem Pharmaceutical, Inc. 19,700 621
* BMC Software, Inc. 13,400 868
* Borders Group, Inc. 31,700 872
* Brightpoint, Inc. 10,100 468
Brylane, Inc. 7,100 326
* Cellular Communications
International, Inc. 4,000 166
CIENA Corp. 12,500 619
* Cinar Films, Inc., Class B 19,400 740
Cintas Corp. 12,800 944
Coinstar, Inc. 22,100 287
Comcast Corp., Class A Special 34,800 896
Complete Business Solutions,
Inc. 14,500 413
* CompUSA, Inc. 16,000 560
* Computer Horizons Corp. 14,000 507
Cott Corp. 39,400 399
CVS Corp. 13,800 785
* Cyberonics, Inc. 20,900 337
Danaher Corp. 15,600 905
Diamond Offshore Drilling, Inc. 9,700 535
* Digital Microwave Corp. 11,700 524
* Electronics for Imaging, Inc. 11,100 566
Estee Lauder Cos., Class A 14,900 689
* Fiserv, Inc. 17,550 770
* Florida Panthers Holdings,
Inc. 3,900 92
Franklin Resources, Inc. 6,200 577
* Global Marine, Inc. 19,700 655
* Globalstar Telecommunications
Ltd. 37,800 1,984
HBO & Co. 21,800 823
* Health Management Associates,
Class A 49,195 1,556
Healthcare Recoveries, Inc. 20,900 470
* Heftel Broadcasting Corp.,
Class A 8,600 651
* Imax Corp. 25,500 666
* Inter-Tel, Inc. 12,000 636
Ionica Group plc ADR 15,000 280
* Jacor Communications, Inc. 12,000 530
J.D. Edwards & Co. 11,200 375
Jones Apparel Group, Inc. 11,400 616
J. Ray McDermott, S.A. 7,200 353
* Kemet Corp. 16,000 486
* Lincare Holdings, Inc. 31,600 1,594
* Loral Space & Communications 47,500 980
* MAPICS, Inc. 34,300 446
* McAfee Associates, Inc. 16,825 892
McDermott International, Inc. 8,600 314
* Metro Networks, Inc. 17,800 536
MicroFocus Group ADR 17,000 597
Money Store (The), Inc. 500 14
* Newbridge Networks Corp. 10,500 629
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
NEXTLINK Communications, Inc.,
Class A 9,200 $ 221
* Office Depot, Inc. 14,800 299
* Orbotech Ltd. 9,600 554
* Orthodontic Centers
of America, Inc. 29,000 580
* Outdoor Systems, Inc. 21,900 575
* PanAmSat Corp. 14,200 612
* Pediatrix Medical Group, Inc. 9,800 432
* Peoplesoft, Inc. 13,400 801
Positron Fiber Systems Corp. 17,900 185
* Premier Parks, Inc. 14,800 559
ProBusiness Services, Inc. 2,700 52
Qwest Communications
International, Inc. 14,600 673
* Republic Industries, Inc. 18,600 613
* Rexall Sundown, Inc. 16,000 730
* Robert Mondavi Corp., Class A 12,600 690
Santa Fe International Corp. 11,000 511
* Sapient Corp. 8,000 407
* Saville Systems Ireland plc
ADR 5,800 407
* Sealed Air Corp. 9,300 511
* Security Capital Group Inc.,
Class B 7,200 248
Security Capital Industrial
Trust 24,990 583
* Security Capital U.S. Realty 25,300 377
* Silicon Valley Group, Inc. 9,300 331
Sirrom Capital Corp. 23,600 1,224
* Stage Stores, Inc. 10,900 470
State Street Corp. 10,700 652
SunAmerica, Inc. 12,300 482
* Tele-Communications Liberty
Media Group, Class A 30,058 900
* Tele-Communications, Inc.,
Class A 44,000 902
* Tellabs, Inc. 11,000 566
* Tel-Save Holdings, Inc. 23,400 563
* 3Com Corp. 22,475 1,152
Tidewater, Inc. 11,500 681
* Tommy Hilfiger Corp. 8,900 444
* Total Renal Care Holdings,
Inc. 12,300 615
TV Azteca, SA de C.V. ADR 17,800 400
* U.S. Office Products Co. 12,100 427
* Uniphase Corp. 4,900 390
* Univision Communications,
Inc., Class A 10,400 564
* Valassis Communications, Inc. 19,400 618
* Visio Corp. 10,900 455
Wesley Jessen VisionCare, Inc. 18,800 531
* Wind River Systems 9,300 384
* WorldCom, Inc. 27,050 957
- ------------------------------------------------------
GROUP TOTAL 56,855
- ------------------------------------------------------
RETAIL (3.6%)
CVS Corp. 180,800 10,283
* Federated Department Stores,
Inc. 265,800 11,463
Home Depot, Inc. 181,988 9,486
McDonald's Corp. 58,100 2,767
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY
PORTFOLIO VALUE
(CONT'D) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
* Office Depot, Inc. 367,400 $ 7,417
Sears, Roebuck & Co. 111,800 6,366
- ------------------------------------------------------
GROUP TOTAL 47,782
- ------------------------------------------------------
TECHNOLOGY (8.7%)
* BMC Software, Inc. 220,100 14,252
* Cisco Systems, Inc. 197,500 14,430
Flextronics International Ltd. 5,500 258
Hewlett Packard Co. 300 21
Intel Corp. 99,400 9,176
* Microsoft Corp. 198,500 26,264
* Oracle Corp. 305,107 11,117
RSL Communications Ltd., Class
A 10,800 238
* Sabre Group Holdings, Inc. 113,800 4,075
* Seagate Technology, Inc. 326,000 11,777
* 3Com Corp. 300,475 15,399
Xerox Corp. 83,600 7,038
- ------------------------------------------------------
GROUP TOTAL 114,045
- ------------------------------------------------------
UTILITIES (3.7%)
* Airtouch Communications, Inc. 140,600 4,982
Duke Energy Corp. 13,368 661
GTE Corp. 192,100 8,717
SBC Communications, Inc. 177,600 10,900
Sprint Corp. 211,000 10,550
* WorldCom, Inc. 374,189 13,237
- ------------------------------------------------------
GROUP TOTAL 49,047
- ------------------------------------------------------
VALUE (9.3%)
Aeroquip-Vickers, Inc. 62,700 3,072
Allstate Corp. 19,981 1,606
American General Corp. 24,600 1,276
Amoco Corp. 13,600 1,311
* AMR Corp. 11,100 1,229
* Arrow Electronics Inc. 3,800 220
Atlantic Richfield Co. 19,600 1,675
Bank of New York Co. 32,000 1,536
Beckman Instruments, Inc. 34,800 1,481
Bergen Brunswig Corp., Class A 59,500 2,402
British Petroleum plc ADR 14,266 1,296
Burlington Northern Santa Fe,
Inc. 8,800 850
Cabot Oil & Gas Corp., Class A 32,700 881
Capital One Financial Corp. 44,853 2,052
Case Corp. 38,200 2,545
Caterpillar, Inc. 25,800 1,392
Chase Manhattan Corp. 21,000 2,478
Chubb Corp. 17,600 1,251
Citicorp 16,900 2,264
Columbia/HCA Healthcare Corp. 21,400 615
Crestar Financial Corp. 66,526 3,118
CSX Corp. 32,100 1,878
Cummins Engine Co., Inc. 51,800 4,044
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
Deere & Co. 21,200 $ 1,139
Dillard's, Inc., Class A 25,400 1,113
Dow Chemical Co. 11,600 1,052
E.I. DuPont de Nemours & Co. 24,000 1,477
Eaton Corp. 25,300 2,337
Entergy Corp. 36,367 948
Federal National Mortgage
Association 14,000 658
First Union Corp. 16,600 831
* FMC Corp. 19,671 1,746
Ford Motor Co. 90,900 4,113
* Foundation Health Corp. 52,110 1,667
General Motors Corp. 39,132 2,619
Goodyear Tire & Rubber Co. 45,200 3,107
GPU, Inc. 39,800 1,428
Great Lakes Chemical Corp. 19,900 981
Harnischfeger Industries, Inc. 40,400 1,727
Hartford Financial Group,
(The), Inc. 16,100 1,386
IBP, Inc. 48,000 1,134
International Business Machines
Corp. 39,200 4,153
Kennametal, Inc. 18,376 891
Mallinckrodt, Inc. 33,100 1,192
MAPCO, Inc. 41,100 1,354
* Maxicare Health Plans, Inc. 42,400 790
Mellon Bank Corp. 27,600 1,511
Old Republic International
Corp. 34,200 1,334
Olsten Corp. 43,200 802
Parker Hannifin Corp. 35,250 1,586
Philip Morris Cos., Inc. 61,800 2,569
Phillips Petroleum Co. 25,600 1,322
Raytheon Corp. 19,100 1,129
ReliaStar Financial Corp. 29,800 1,186
Repsol SA ADR 30,400 1,319
Republic New York Corp. 12,900 1,466
RJR Nabisco Holdings Corp. 52,300 1,798
Rohm & Haas Co. 23,500 2,255
Russell Corp. 30,300 892
* Seagate Technology, Inc. 34,200 1,235
Signet Banking Corp. 48,727 2,643
Springs Industries, Inc., Class
A 30,100 1,580
Standard Register Co. 22,200 740
Talbots, Inc. 33,200 948
Tecumseh Products Co., Class A 50,100 2,790
Tektronix, Inc. 30,900 2,084
TIG Holdings, Inc. 24,100 839
* Toys R Us, Inc. 41,700 1,480
Transatlantic Holdings, Inc. 16,800 1,203
TRW, Inc. 24,800 1,361
Tupperware Corp. 27,200 765
* UAL Corp. 14,600 1,235
Ultramar Diamond Shamrock Corp. 35,000 1,131
V.F. Corp. 26,300 2,436
</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>
* Western Digital Corp. 26,900 $ 1,078
YPF SA ADR 46,200 1,704
- ------------------------------------------------------
GROUP TOTAL 122,736
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $935,035) 1,236,931
- ------------------------------------------------------
CASH EQUIVALENTS (13.7%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
Short-Term Investments Held as
Collateral for Loaned
Securities (8.0%) $104,927 104,927
- ------------------------------------------------------
<S> <C> <C>
DISCOUNT NOTE (1.9%)
Federal Home Loan Mortgage
Corporation
10/3/97 25,000 24,992
- ------------------------------------------------------
REPURCHASE AGREEMENT (3.8%)
Chase Securities, Inc., 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at $49,571,
collateralized by various
U.S. Government Obligations,
due 10/1/97-1/29/99 valued at
$50,030 49,563 49,563
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $179,482) 179,482
- ------------------------------------------------------
TOTAL INVESTMENTS (107.7%) (Cost $1,114,517) 1,416,413
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.7%)
Cash 1
Dividends Receivable 1,988
Interest Receivable 8
Receivable for Investments Sold 12,698
Receivable for Fund Shares Sold 323
Other Assets 45
Payable for Investments Purchased (5,450)
Payable for Fund Shares Redeemed (4,266)
Payable for Investment Advisory Fees (1,690)
Payable for Administrative Fees (86)
Payable for Trustees' Deferred
Compensation Plan-Note F (41)
Collateral on Securities Loaned, at Value (104,927)
Other Liabilities (115)
----------
(101,512)
- ------------------------------------------------------
NET ASSETS (100%) $1,314,901
- ------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 44,576,212 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $1,312,547
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 29.45
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 80,011 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 2,354
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 29.42
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $ 670,052
Undistributed Net Investment Income (Loss) 4,070
Undistributed Realized Net Gain (Loss) 338,883
Unrealized Appreciation (Depreciation) on
Investment Securities 301,896
- ------------------------------------------------------
NET ASSETS $1,314,901
- ------------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security.
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (95.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (4.8%)
Bank United Corp., Class A 77,400 $ 3,425
Banknorth Group, Inc. 20,400 1,114
* Coast Savings Financial, Inc. 61,000 3,199
Colonial BancGroup, Inc. 33,800 972
Cullen/Frost Bankers, Inc. 62,100 2,942
Eagle Financial Corp. 113,900 4,556
First Financial Corp. of
Wisconsin 64,600 2,200
Long Island Bancorp, Inc. 68,100 3,201
Magna Group, Inc. 44,700 1,763
* Mechanics Savings Bank 76,600 2,011
ML Bancorp, Inc. 77,200 2,113
North Fork Bancorp., Inc. 80,700 2,340
* PFF Bancorp, Inc. 85,000 1,647
* Prime Bancshares, Inc. 17,600 334
* Redfed Bancorp, Inc. 110,000 1,932
Reliance Bancorp, Inc. 103,300 3,409
Trustco Bank Corp. 42,895 1,169
Union Planters Corp. 41,237 2,304
Whitney Holding Corp. 49,800 2,353
- -----------------------------------------------------
GROUP TOTAL 42,984
- -----------------------------------------------------
BASIC RESOURCES (5.7%)
* ACX Technologies, Inc. 154,300 4,108
Agnico-Eagle Mines Ltd. 219,000 2,204
* Alumax, Inc. 98,200 4,014
Caraustar Industries, Inc. 24,300 832
Chesapeake Corp. 62,100 2,251
Commonwealth Industries, Inc. 100,000 1,925
Crompton & Knowles Corp. 75,000 1,992
Gibraltar Steel Corp. 126,100 3,074
Harsco Corp. 57,400 2,605
Ivex Packaging Corp. 44,000 704
* Lone Star Technologies, Inc. 58,500 3,053
Longview Fibre Co. 134,500 2,673
Oregon Steel Mills, Inc. 134,600 3,651
P.H. Glatfelter Co. 72,200 1,602
Pope & Talbot, Inc. 33,400 708
* RMI Titanium Co. 107,800 2,695
Rouge Industries, Inc., Class A 5,000 78
Special Metals Corp. 54,000 1,013
Steel Dynamics, Inc. 170,000 3,995
* Tetra Technologies, Inc. 207,400 4,796
* Titanium Metals Corp. 88,600 3,300
- -----------------------------------------------------
GROUP TOTAL 51,273
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.5%)
* Blyth Industries, Inc. 160,050 4,481
- -----------------------------------------------------
CONSUMER DURABLES (4.5%)
Arvin Industries, Inc. 226,700 8,898
* Brewer (C) Homes, Inc., Class
A 121,300 258
Centex Corp. 38,300 2,236
Excel Industries, Inc. 207,700 4,141
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Furniture Brands
International, Inc. 121,300 $ 2,290
General Cable Corp. 94,200 3,344
* Giant Cement Holdings, Inc. 237,300 5,784
Interface, Inc. 16,400 478
* Lear Corp. 84,900 4,181
Lone Star Industries, Inc. 28,300 1,528
Simpson Industries, Inc. 206,100 2,383
Southdown, Inc. 44,700 2,442
* Tower Automotive, Inc. 56,800 2,556
- -----------------------------------------------------
GROUP TOTAL 40,519
- -----------------------------------------------------
CONSUMER SERVICES (3.0%)
Central Newspapers, Inc., Class
A 30,100 2,235
* John Q. Hammons Hotels, Inc. 129,600 1,134
Journal Register Co. 253,700 4,979
* Prime Hospitality Corp. 432,600 9,761
* Regal Cinemas, Inc. 52,700 1,416
Sotheby's Holdings, Inc., Class
A 105,600 2,145
TMP Worldwide, Inc. 200,000 4,825
Travel Services International,
Inc. 16,200 336
- -----------------------------------------------------
GROUP TOTAL 26,831
- -----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (5.3%)
Eaton Vance Corp. 76,200 2,724
EVEREN Capital Corp. 195,000 7,922
* First Alliance Corp. 87,900 2,769
* FIRSTPLUS Financial Group,
Inc. 72,200 4,052
* Hambrecht & Quist Group 182,100 6,419
Healthcare Financial Partners,
Inc. 30,100 929
* Imperial Credit Industries,
Inc. 181,500 4,810
Legg Mason, Inc. 89,733 4,733
Money Store (The), Inc. 203,600 5,803
North American Mortgage Co. 78,300 2,251
Raymond James Financial, Inc. 92,250 3,321
* Renters Choice, Inc. 60,000 1,363
* Southern Pacific Funding Corp. 67,800 953
- -----------------------------------------------------
GROUP TOTAL 48,049
- -----------------------------------------------------
ENERGY (9.6%)
Aquila Gas Pipeline Corp. 111,000 1,429
* Benton Oil & Gas Co. 101,900 1,904
* BJ Services Co. 59,600 4,425
Camco International, Inc. 45,500 3,174
* Carrizo Oil & Gas, Inc. 57,900 868
* Dawson Production Services,
Inc. 142,000 3,000
Eastern Enterprises 67,000 2,500
Energen Corp. 129,100 4,591
* Global Industries Ltd. 136,600 5,447
* HS Resources, Inc. 277,301 4,783
Input/Output, Inc. 35,000 1,037
KN Energy, Inc. 140,000 6,405
* Marine Drilling Co., Inc. 118,000 3,687
* Maverick Tube Corp. 109,600 4,521
* Nabors Industries, Inc. 46,900 1,826
National Fuel Gas Co. 66,000 2,904
</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>
* Noble Drilling Corp. 153,200 $ 4,941
* NS Group, Inc. 101,600 3,289
* Ocean Energy, Inc. 23,500 1,621
Pioneer Natural Resources Co. 153,600 6,432
* Pride International, Inc. 58,700 1,996
Power-One, Inc. 30,500 427
Reading & Bates Corp. 40,000 1,662
Santa Fe International Corp. 119,400 5,552
Southwestern Energy Co. 83,500 1,070
Stewart & Stevenson Services,
Inc. 60,000 1,444
* Tejas Gas Corp. 36,500 2,192
* Veritas DGC, Inc. 33,600 1,430
Vintage Petroleum, Inc. 17,900 882
Wicor, Inc. 7,100 307
- -----------------------------------------------------
GROUP TOTAL 85,746
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (4.4%)
* Consolidated Cigar Holdings,
Inc. 125,000 5,109
* CTB International Corp. 134,000 2,111
Dean Foods Co. 40,400 1,869
Dimon, Inc. 798,600 19,965
* Standard Commercial Corp. 227,250 3,835
* Stokely USA, Inc. 561,300 526
Swisher International Group,
Inc., Class A 104,400 1,886
Universal Corp. 114,600 4,154
- -----------------------------------------------------
GROUP TOTAL 39,455
- -----------------------------------------------------
HEALTH CARE (10.6%)
Alpharma, Inc. 139,600 3,124
Angelica Corp. 246,300 4,895
* ARV Assisted Living, Inc. 350,700 4,406
Beckman Instruments, Inc. 93,600 3,984
* Beverly Enterprises 143,700 2,497
* Coherent, Inc. 134,700 7,459
* Datascope Corp. 137,000 3,014
* FPA Medical Management, Inc. 310,500 10,673
* Genesis Health Ventures, Inc. 79,600 3,099
* HealthCare Compare Corp. 62,000 3,960
* Lincare Holdings, Inc. 83,600 4,217
* Marquette Medical Systems,
Inc., Class A 92,100 2,855
* Maxicare Health Plans, Inc. 147,200 2,742
* Medpartners, Inc. 35,400 759
* Mid Atlantic Medical Services,
Inc. 267,700 4,233
* Multicare Cos., Inc. 34,950 972
* NBTY, Inc. 105,400 2,227
* Personnel Group of America,
Inc. 91,200 3,124
Physicians' Specialty Corp. 153,100 1,531
* RightCHOICE Managed Care,
Inc., Class A 48,100 493
* Rotech Medical Corp. 161,300 3,105
* Sterile Recoveries, Inc. 67,000 963
* Total Renal Care Holdings,
Inc. 57,900 2,895
* Universal Health Services,
Inc., Class B 115,300 4,987
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Vivus, Inc. 194,400 $ 7,290
* Watson Pharmaceuticals, Inc. 100,500 6,005
- -----------------------------------------------------
GROUP TOTAL 95,509
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (14.8%)
AAR Corp. 98,200 3,277
* AccuStaff, Inc. 220,000 6,930
Air Express International Corp. 67,500 2,464
Airborne Freight Corp. 80,700 4,887
* Allied Waste Industries, Inc. 238,600 4,563
Arnold Industries, Inc. 229,700 5,369
* Atlas Air, Inc. 59,900 1,681
Aviall, Inc. 199,200 3,050
* Aviation Sales Co. 105,000 3,176
* BE Aerospace, Inc. 214,900 7,736
* Catalina Lighting, Inc. 44,500 259
* CDI Corp. 198,200 7,482
Cincinnati Milacron, Inc. 74,600 2,005
Columbus McKinnon Corp. 61,200 1,607
Crane Co. 233,050 9,584
Danka Business Systems plc ADR 43,500 1,936
* Data Processing Resources
Corp. 71,100 1,778
* Fiserv, Inc. 41,400 1,816
Flowserve Corp. 157,600 4,708
Greenbrier Cos., Inc. 140,800 2,358
* Hagler Bailly, Inc. 22,400 568
* Halter Marine Group, Inc. 50,000 2,419
Hanover Compressor Co. 27,000 662
* Hirsch International Corp.,
Class A 75,200 1,330
* Insurance Auto Auctions, Inc. 201,500 2,519
JLG Industries, Inc. 21,000 269
Kaydon Corp. 65,300 3,918
Knightsbridge Tankers Ltd. 112,200 3,177
* Lason Holdings, Inc. 10,000 276
* Midwest Express Holdings, Inc. 45,000 1,443
* OMI Corp. 629,500 7,869
Precision Castparts Corp. 98,700 6,416
* PST Vans, Inc. 80,800 313
* Seacor Holdings, Inc. 50,300 3,119
ServiceMaster, L.P. 25,000 714
* Staffmark, Inc. 66,200 2,524
* Swift Transportation Co., Inc. 47,000 1,486
Teekay Shipping Corp. 71,000 2,387
Tranz Rail Holdings Ltd. ADR 161,500 2,665
* Triumph Group, Inc. 225,600 7,544
Werner Enterprises, Inc. 184,400 4,472
- -----------------------------------------------------
GROUP TOTAL 132,756
- -----------------------------------------------------
INSURANCE (4.1%)
Allied Life Financial Corp. 120,100 2,882
AmerUs Life Holdings, Inc.,
Class A 100,000 3,281
American Bankers Insurance
Group, Inc. 43,600 1,591
Everest Reinsurance Holdings,
Inc. 120,000 4,920
FBL Financial Group, Inc., Class
A 52,100 1,928
Fremont General Corp. 144,100 6,881
Hartford Life, Inc., Class A 106,600 4,097
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE
PORTFOLIO VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
Nationwide Financial Services,
Inc., Class A 231,300 $ 6,447
Presidential Life Corp. 100,700 2,001
PXRE Corp. 83,619 2,639
- -----------------------------------------------------
GROUP TOTAL 36,667
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (7.6%)
Associated Estates Realty Corp. 94,300 2,263
Avalon Properties, Inc. 51,000 1,517
Cali Realty Corp. 60,000 2,498
+ Canadian Hotel Income
Properties 300,000 2,139
CarrAmerica Realty Corp. 55,000 1,760
Chateau Communities, Inc. 153,908 4,540
Crescent Real Estate Equities
Co. 86,500 3,471
Duke Realty Investments, Inc. 134,912 3,078
Equity Office Properties Trust 38,700 1,313
Excel Realty Trust, Inc. 187,400 5,880
Health Care REIT, Inc. 95,500 2,626
Health and Retirement Property
Trust 95,000 1,793
Healthcare Realty Trust, Inc. 102,200 2,906
Home Properties of N.Y., Inc. 306,667 7,973
Kilroy Realty Corp. 142,700 3,853
Post Properties, Inc. 61,900 2,461
* Security Capital Group Inc.,
Class B 109,600 3,768
Smith (Charles E.) Residential
Realty, Inc. 231,500 7,871
Spieker Properties, Inc. 81,400 3,302
United Dominion Realty Trust,
Inc. 206,900 3,104
- -----------------------------------------------------
GROUP TOTAL 68,116
- -----------------------------------------------------
RETAIL (6.6%)
Applebee's International, Inc. 217,200 5,430
* Borders Group, Inc. 99,400 2,734
Brylane, Inc. 119,000 5,459
Cato Corp., Class A 271,200 2,475
Culp, Inc. 250,300 5,194
800-JR CIGAR, Inc. 23,800 833
Family Dollar Stores, Inc. 85,500 1,950
* Galey & Lord, Inc. 84,100 1,587
Hughes Supply, Inc. 71,400 2,155
* Landry's Seafood Restaurants,
Inc. 83,000 2,438
* Max & Erma's Restaurants, Inc. 30,900 218
* Nautica Enterprises, Inc. 60,100 1,690
Novel Denim Holdings Ltd. 10,000 270
* Office Depot, Inc. 135,000 2,725
Pier 1 Imports, Inc. 217,250 3,897
* Proffitt's, Inc. 39,400 2,334
Rare Hospitality International,
Inc. 91,600 882
Russ Berrie & Co., Inc. 64,800 1,895
* Stage Stores, Inc. 81,800 3,528
* U.S. Office Products Co. 136,200 4,801
* Zale Corp. 254,200 6,593
- -----------------------------------------------------
GROUP TOTAL 59,088
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
TECHNOLOGY (13.5%)
* Ade Corp. 46,200 $ 1,854
* Align-Rite International, Inc. 131,700 3,144
* Altera Corp. 65,500 3,357
* Boston Technology, Inc. 90,800 3,076
Box Hill Systems Corp. 44,400 777
* Cadence Design Systems, Inc. 45,700 2,445
* Checkfree Corp. 102,400 2,163
* Cherry Corp., Class A 20,000 380
* CHS Electronics, Inc. 104,100 2,850
* Computer Products, Inc. 105,000 3,124
* Compuware Corp. 65,900 3,987
* Comverse Technology, Inc. 91,600 4,832
* Creative Technology Ltd. 100,000 2,556
* Credence Systems Corp. 74,000 3,608
* Davox Corp. 96,600 3,236
* Dionex Corp. 41,000 2,211
* Exar Corp. 34,800 922
* FactSet Research Systems, Inc. 25,300 753
* Globecomm Systems, Inc. 32,100 562
* HMT Technology Corp. 326,700 5,125
* ITI Technologies, Inc. 19,200 547
Ingram Micro, Inc., Class A 106,300 2,877
Innovex, Inc. 72,200 2,328
* Integrated Device Technology,
Inc. 87,800 1,059
* Intevac, Inc. 312,900 4,420
Investors Financial Services
Corp. 15,000 619
* KLA-Tencor Corp. 60,700 4,101
* Micro Linear Corp. 273,000 2,457
* MicroTouch Systems, Inc. 110,300 3,075
* Microage, Inc. 201,800 5,852
* PairGain Technologies, Inc. 39,600 1,129
* P-COM, Inc. 200,000 4,788
Penn Engineering & Manufacturing
Corp. 163,900 4,569
* Quantum Corp. 120,100 4,601
Salient 3 Communications, Inc.,
Class A 43,900 549
* Sanmina Corp. 14,000 1,212
* SCI Systems, Inc. 237,000 11,746
* Spectran Corp. 81,400 1,160
*@ Sterling Software, Inc.
(Escrow) 6,951 --
* Summit Design, Inc. 193,800 3,440
* Technology Modeling
Association, Inc. 155,500 2,381
Tower Semiconductor Ltd. 105,200 2,091
* USCS International, Inc. 72,500 1,622
* Unit Instruments, Inc. 166,500 2,019
* Wonderware Corp. 70,100 1,288
- -----------------------------------------------------
GROUP TOTAL 120,892
- -----------------------------------------------------
</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 System 216,200 $ 5,837
Rochester Gas & Electric Corp. 43,700 1,082
* U.S. Long Distance Corp. 54,600 1,095
- -----------------------------------------------------
GROUP TOTAL 8,014
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $643,540) 860,380
- -----------------------------------------------------
RIGHT (0.0%)
- -----------------------------------------------------
* Alpharma, Inc., expiring
11/25/97 (Cost $0) 23,267 131
- -----------------------------------------------------
WARRANT (0.2%)
- -----------------------------------------------------
sec.* Canadian Hotel Income
Properties REIT, expiring
6/25/98 (acquired 9/16/97,
Cost $1,929) 300,000 1,929
- -----------------------------------------------------
CASH EQUIVALENT (4.4%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
REPURCHASE AGREEMENT (4.4%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97, to
be repurchased at $39,113,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$39,476 (Cost $39,107) $ 39,107 39,107
- -----------------------------------------------------
TOTAL INVESTMENTS (100.5%) (Cost $684,576) 901,547
- -----------------------------------------------------
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.5%)
Cash $ 7
Dividends Receivable 836
Interest Receivable 6
Receivable for Investments Sold 1,325
Receivable for Fund Shares Sold 287
Other Assets 19
Payable for Investments Purchased (4,432)
Payable for Fund Shares Redeemed (513)
Payable for Investment Advisory Fees (1,530)
Payable for Administrative Fees (56)
Payable for Trustees' Deferred Compensation
Plan-Note F (16)
Other Liabilities (84)
--------
(4,151)
- -----------------------------------------------------
NET ASSETS (100%) $897,396
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 35,932,079 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $897,396
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 24.97
- -----------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $582,644
Undistributed Net Investment Income (Loss) 2,064
Undistributed Realized Net Gain (Loss) 95,717
Unrealized Appreciation (Depreciation) on
Investment Securities 216,971
- -----------------------------------------------------
NET ASSETS $897,396
- -----------------------------------------------------
sec. Restricted Security-Total market value of restricted
security owned at September 30, 1997 was $1,929 or
0.2% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale may
exist.
@ 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
STATEMENT OF NET ASSETS
COMMON STOCKS (96.1%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
ARGENTINA (0.8%)
YPF SA ADR 146,700 $ 5,409
- -----------------------------------------------------
AUSTRALIA (0.9%)
Reinsurance Australia Corp.,
Ltd. 2,057,071 5,609
- -----------------------------------------------------
AUSTRIA (2.0%)
OMV AG 89,159 13,306
- -----------------------------------------------------
BRAZIL (0.4%)
Votorantim Celulose e Papel
SA 99,600,000 2,773
- -----------------------------------------------------
CANADA (4.2%)
Canadian National Railway Co. 92,000 4,784
National Bank of Canada 585,000 8,192
Quebecor, Inc., Class B 397,100 7,098
TransCanada Pipelines Ltd. 379,100 7,339
- -----------------------------------------------------
GROUP TOTAL 27,413
- -----------------------------------------------------
CHINA (0.7%)
New World Development Co.,
Ltd. ADR 695,000 4,204
- -----------------------------------------------------
FRANCE (6.1%)
Cie Generale des Eaux 67,136 7,898
* Dexia France 76,999 7,294
Elf Aquitaine 109,630 14,634
Scor 229,200 9,901
- -----------------------------------------------------
GROUP TOTAL 39,727
- -----------------------------------------------------
GERMANY (3.5%)
Deutsche Bank AG 91,260 6,404
Henkel KGaA 143,900 8,103
Springer (Axel) Verlag AG 9,526 8,140
- -----------------------------------------------------
GROUP TOTAL 22,647
- -----------------------------------------------------
HONG KONG (3.9%)
China Southern Airlines Co.,
Ltd. 106,800 3,191
Great Eagle Holdings Ltd. 1,866,600 5,150
HSBC Holdings plc 94,000 3,146
Jardine Matheson Holdings
Ltd. 431,000 3,491
Jardine Strategic Holdings
Ltd. 1,418,500 5,561
Wheelock & Co., Ltd. 2,447,000 4,981
- -----------------------------------------------------
GROUP TOTAL 25,520
- -----------------------------------------------------
INDIA (0.7%)
Housing Development Finance
Corp., Ltd. 279 25
ITC Ltd. 9,374 153
* Jardine Fleming India Fund,
Inc. 374,600 3,371
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
Tata Power Supply Co., Ltd. 11,940 $ 42
Videsh Sanchar Nigam Ltd. 45,000 1,046
- -----------------------------------------------------
GROUP TOTAL 4,637
- -----------------------------------------------------
INDONESIA (1.0%)
* Gulf Indonesia Resources
Ltd. 94,100 2,094
Lippo Securities 24,939,000 3,707
Pabrik Kertas Tjiwi Kimia 1,357,500 755
- -----------------------------------------------------
GROUP TOTAL 6,556
- -----------------------------------------------------
IRELAND (1.3%)
Irish Life plc 1,592,000 8,294
- -----------------------------------------------------
ITALY (5.0%)
ENI S.p.A. 1,460,500 9,202
Pirelli S.p.A. 3,468,000 10,172
Telecom Italia S.p.A. 3,361,221 13,083
- -----------------------------------------------------
GROUP TOTAL 32,457
- -----------------------------------------------------
JAPAN (19.9%)
Bridgestone Corp. 573,000 13,767
Canon, Inc. 394,000 11,523
Chiyoda Fire & Marine
Insurance Co., Ltd. 1,011,000 3,870
Fuji Photo Film Ltd. 243,000 10,026
Hirose Electric Co., Ltd. 50,600 3,727
Mitsubishi Heavy Industries
Ltd. 805,000 4,408
Mitsui Fudosan Co., Ltd. 639,000 7,782
Nichido Fire & Marine
Insurance Co. 794,000 5,197
Nintendo Corp., Ltd. 99,000 9,268
Promise Co., Ltd. 66,000 3,445
Sankyo Co., Ltd. 178,000 6,164
Sony Corp. 80,000 7,556
Sumitomo Electric Industries 402,000 5,762
Sumitomo Marine & Fire
Insurance Co. 891,000 6,164
Takeda Chemical Industries 353,000 10,587
Takefuji Corp. 69,000 2,613
Tokio Marine & Fire Insurance 543,000 6,523
UNY Co., Ltd. 332,000 5,006
Yasuda Fire & Marine
Insurance 1,042,000 6,138
- -----------------------------------------------------
GROUP TOTAL 129,526
- -----------------------------------------------------
KOREA (0.3%)
Samsung Electronics GDR 16,440 1,573
- -----------------------------------------------------
MEXICO (2.3%)
ALFA, SA de C.V., Class A 789,000 7,418
Cemex SA de C.V., Series B 734,300 4,403
*@ Grupo Financiero Capital
SA 761,325 --
Grupo Mexico SA, Series B 806,000 3,260
- -----------------------------------------------------
GROUP TOTAL 15,081
- -----------------------------------------------------
</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>
NETHERLANDS (6.5%)
ING Groep N.V. 274,055 $ 12,586
Philips Electronics N.V. 205,800 17,414
Vendex International N.V. 202,365 11,998
- -----------------------------------------------------
GROUP TOTAL 41,998
- -----------------------------------------------------
NORWAY (1.4%)
Christiania Bank OG
Kreditkasse 2,733,700 9,427
- -----------------------------------------------------
RUSSIA (0.6%)
Lukoil Holding ADR 37,800 3,713
- -----------------------------------------------------
SINGAPORE (1.2%)
* Creative Technology Ltd. 299,100 7,646
- -----------------------------------------------------
SPAIN (2.2%)
Telefonica de Espana ADR 148,800 14,006
- -----------------------------------------------------
SWEDEN (4.5%)
Nordbanken AB 273,800 9,349
SKF AB, Class B 290,900 8,476
Sparbanken Sverige AB, Class
A 484,100 11,680
- -----------------------------------------------------
GROUP TOTAL 29,505
- -----------------------------------------------------
SWITZERLAND (2.4%)
* Swissair AG (Registered) 11,835 15,831
- -----------------------------------------------------
THAILAND (0.0%)
Hana Microelectronics Public
Co., Ltd. (Foreign) 71,400 245
- -----------------------------------------------------
UNITED KINGDOM (24.3%)
Abbey National plc 766,500 11,805
Bank of Scotland 1,354,400 11,207
Bass plc 721,200 9,725
B.A.T. Industries plc 1,546,904 13,549
BG plc 2,384,400 10,346
BOC Group plc 691,782 12,376
Burmah Castrol plc 662,000 11,810
Cable & Wireless plc 1,232,780 10,499
Imperial Tobacco Group plc 1,726,200 10,330
LucasVarity plc 2,457,000 9,274
Railtrack Group plc PP 522,454 7,576
Sun Alliance Insurance Group
plc 1,327,842 12,521
Sainsbury (J.) plc 1,481,500 11,088
Tomkins plc 2,831,255 15,756
- -----------------------------------------------------
GROUP TOTAL 157,862
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $506,388) 624,965
- -----------------------------------------------------
PREFERRED STOCK (0.6%)
- -----------------------------------------------------
BRAZIL (0.6%)
Multicanal Participacoes SA
ADR (Cost $4,642) 351,800 3,738
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
WARRANTS (0.5%)
- -----------------------------------------------------
FRANCE (0.0%)
* Cie Generale des Eaux,
expiring 5/2/01 75,170 $ 41
- -----------------------------------------------------
GERMANY (0.5%)
* Veba AG, expiring 4/6/98 9,229 3,421
- -----------------------------------------------------
TOTAL WARRANTS (Cost $1,798) 3,462
- -----------------------------------------------------
PURCHASED OPTIONS (1.2%)
- -----------------------------------------------------
<CAPTION>
NO. OF
CONTRACTS
---------
<S> <C> <C>
KOREA (1.2%)
Kookmin Bank Call Option
expiring 9/4/99, strike
price $0.01 22,577 252
Kookmin Bank Call Option
expiring 9/30/99, strike
price $0.01 143,173 1,546
Pohang Iron & Steel Co. Call
Option expiring 9/30/99,
strike price $0.01 43,000 2,562
Shinhan Bank Call Option
expiring 9/30/99, strike
price $0.01 80,140 652
SK Telecom Co., Ltd. Call
Option expiring 9/4/99,
strike price $0.01 1,761 829
SK Telecom Co., Ltd. Call
Option expiring 9/30/99,
strike price $0.01 3,965 1,808
- -----------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $11,120) 7,649
- -----------------------------------------------------
FIXED INCOME SECURITY (0.3%)
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
<S> <C> <C> <C>
GERMANY (0.3%)
+ Bundesobligationen
7.00%, 12/22/97 (Cost
$1,764) Aaa DEM 3,100 1,767
- -----------------------------------------------------
FOREIGN CURRENCY (0.3%)
- -----------------------------------------------------
Canadian Dollar CAD 15 11
French Franc FRF 116 20
Hong Kong Dollar HKD 787 102
Indian Rupee INR 61,910 1,713
Japanese Yen JPY 2,947 24
Philippines Peso PHP 6,599 194
- -----------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $2,062) 2,064
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (5.8%)
- -----------------------------------------------------
Short-Term Investments held
as Collateral for Loaned
Securities (5.2%) $33,926 $ 33,926
- -----------------------------------------------------
REPURCHASE AGREEMENT (0.6%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at
$4,326, collateralized by
various U.S. Government
Obligations, due
10/1/97-1/29/99, valued at
$4,366 (Cost $4,325) 4,325 4,325
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $38,251) 38,251
- -----------------------------------------------------
TOTAL INVESTMENTS (104.8%) (Cost $566,025) 681,896
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-4.8%)
Dividends Receivable 1,715
Interest Receivable 96
Receivable for Withholding Tax Reclaim 346
Receivable for Investments Sold 2,441
Receivable for Fund Shares Sold 153
Unrealized Gain on Forward Foreign Currency
Contracts 901
Other Assets 38
Payable for Investments Purchased (1,835)
Payable for Fund Shares Redeemed (481)
Payable for Investment Advisory Fees (819)
Payable for Administrative Fees (43)
Payable for Trustees' Deferred Compensation
Plan-Note F (18)
Payable to Custodian (1)
Collateral on Securities Loaned, at Value (33,926)
Other Liabilities (77)
--------
(31,510)
- -----------------------------------------------------
NET ASSETS (100%) $650,386
- -----------------------------------------------------
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 41,463,323 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $649,755
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.67
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 40,359 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 631
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.63
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $479,226
Undistributed Net Investment Income (Loss) 9,914
Undistributed Realized Net Gain (Loss) 44,500
Unrealized Appreciation (Depreciation) on:
Investment Securities 115,869
Foreign Currency Transactions 877
- -----------------------------------------------------
NET ASSETS $650,386
- -----------------------------------------------------
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-income producing security.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
@ Value is less than $500.
ADR American Depositary Receipt
GDR Global Depositary Receipt
PP Partially Paid
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (95.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (1.1%)
State Street Corp. 78,800 $ 4,802
- -----------------------------------------------------
BASIC RESOURCES (0.9%)
* Sealed Air Corp. 69,600 3,824
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.9%)
Cott Corp. 286,900 2,905
Estee Lauder Cos., Class A 110,000 5,087
* Robert Mondavi Corp., Class A 92,900 5,086
- -----------------------------------------------------
GROUP TOTAL 13,078
- -----------------------------------------------------
CONSUMER DURABLES (1.5%)
Danaher Corp. 115,150 6,679
- -----------------------------------------------------
CONSUMER SERVICES (16.5%)
At Home Corp., Series A 144,650 3,345
* Cinar Films, Inc., Class B 147,600 5,627
Coinstar, Inc. 113,500 1,476
Comcast Corp., Class A Special 257,297 6,625
Florida Panthers Holdings, Inc. 34,500 813
* Heftel Broadcasting Corp.,
Class A 63,200 4,787
* Imax Corp. 194,400 5,079
* Jacor Communications, Inc. 89,000 3,933
Metro Networks, Inc. 133,900 4,034
* Outdoor Systems, Inc. 162,050 4,254
PanAmSat Corp. 107,500 4,636
* Premier Parks, Inc. 112,100 4,232
* Tele-Communications, Inc.,
Class A 325,200 6,667
* Tele-Communications Liberty
Media Group, Class A 230,144 6,890
TV Azteca, SA de C.V. ADR 130,600 2,938
* Univision Communications,
Inc., Class A 78,300 4,248
* Valassis Communications, Inc. 143,600 4,577
- -----------------------------------------------------
GROUP TOTAL 74,161
- -----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.4%)
Franklin Resources, Inc. 47,600 4,433
Money Store (The), Inc. 12,400 353
* Security Capital Group, Inc.,
Class B 54,800 1,884
Sirrom Capital Corp. 165,800 8,601
- -----------------------------------------------------
GROUP TOTAL 15,271
- -----------------------------------------------------
ENERGY (4.0%)
Diamond Offshore Drilling, Inc. 73,500 4,056
* Global Marine, Inc. 148,200 4,927
* J. Ray McDermott, S.A. 55,100 2,700
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
McDermott International, Inc. 62,900 $ 2,296
Santa Fe International Corp. 81,500 3,790
- -----------------------------------------------------
GROUP TOTAL 17,769
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (1.2%)
* Rexall Sundown, Inc. 119,200 5,438
- -----------------------------------------------------
HEALTH CARE (11.7%)
* BioChem Pharmaceutical, Inc. 145,800 4,593
* Cyberonics, Inc. 159,400 2,570
HBO & Co. 161,200 6,085
* Health Management Associates,
Inc., Class A 368,500 11,654
* Lincare Holdings, Inc. 227,000 11,449
* Orthodontic Centers of
America, Inc. 219,600 4,392
* Pediatrix Medical Group, Inc. 72,700 3,208
* Total Renal Care Holdings,
Inc. 91,600 4,580
Wesley Jessen VisionCare, Inc. 142,200 4,017
- -----------------------------------------------------
GROUP TOTAL 52,548
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.0%)
* Allied Waste Industries, Inc. 90,000 1,721
Cintas Corp. 94,750 6,988
* Fiserv, Inc. 129,550 5,684
* Loral Space & Communications 351,200 7,243
ProBusiness Services, Inc. 20,600 394
sec.* Republic Industries, Inc.
(acquired 1/20/97-5/5/97, cost
$4,250) 133,700 4,404
Tidewater, Inc. 86,800 5,143
- -----------------------------------------------------
GROUP TOTAL 31,577
- -----------------------------------------------------
INSURANCE (1.6%)
Healthcare Recoveries, Inc. 158,400 3,564
SunAmerica, Inc. 90,900 3,562
- -----------------------------------------------------
GROUP TOTAL 7,126
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.7%)
Security Capital Industrial
Trust 189,064 4,408
(+) Security Capital U.S. Realty 196,500 2,928
- -----------------------------------------------------
GROUP TOTAL 7,336
- -----------------------------------------------------
RETAIL (8.2%)
* Borders Group, Inc. 234,200 6,440
Brylane, Inc. 52,300 2,399
* CompUSA, Inc. 130,700 4,575
CVS Corp. 113,200 6,438
* Jones Apparel Group, Inc. 86,000 4,644
* Office Depot, Inc. 96,900 1,956
Stage Stores, Inc. 83,800 3,614
* Tommy Hilfiger Corp. 65,600 3,276
* U.S. Office Products Co. 92,000 3,243
- -----------------------------------------------------
GROUP TOTAL 36,585
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP GROWTH
PORTFOLIO
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
TECHNOLOGY (26.7%)
* Advanced Fibre Communications,
Inc. 129,200 $ 5,297
* ASE Test Ltd. 32,300 2,738
Bell Canada International, Inc. 107,300 2,025
* BMC Software, Inc. 102,400 6,630
* Brightpoint, Inc. 75,600 3,506
* Cellular Communications
International, Inc. 27,800 1,154
CIENA Corp. 95,700 4,740
Complete Business Solutions,
Inc. 108,000 3,078
* Computer Horizons Corp. 92,700 3,360
* Digital Microwave Corp. 84,400 3,777
* Electronics for Imaging, Inc. 82,100 4,187
Flextronics International Ltd. 42,500 1,997
* Inter Tel, Inc. 89,300 4,733
J. D. Edwards & Co. 85,200 2,854
* Kemet Corp. 121,500 3,691
* MAPICS, Inc. 281,000 3,653
* McAfee Associates, Inc. 128,962 6,835
* MicroFocus Group ADR 123,200 4,327
* Newbridge Networks Corp. 79,600 4,766
NEXTLINK Communications, Inc.,
Class A 70,900 1,702
* Orbotech, Ltd. 69,100 3,991
* Peoplesoft, Inc. 109,500 6,543
Positron Fiber Systems Corp. 143,500 1,480
RSL Communications Ltd., Class A 83,200 1,830
* Sapient Corp. 61,200 3,114
* Saville Systems Ireland plc
ADR 44,100 3,098
* Silicon Valley Group, Inc. 71,200 2,532
* Tellabs, Inc. 83,800 4,316
* 3Com Corp. 171,975 8,814
* Uniphase Corp. 36,100 2,870
* Visio Corp. 80,800 3,373
* Wind River Systems 68,900 2,842
- -----------------------------------------------------
GROUP TOTAL 119,853
- -----------------------------------------------------
UTILITIES (7.2%)
* Globalstar Telecommunications
Ltd. 294,102 15,440
Ionica Group plc ADR 115,800 2,164
Qwest Communications
International, Inc. 76,000 3,506
* Tel-Save Holdings, Inc. 167,800 4,038
* WorldCom, Inc. 206,874 7,318
- -----------------------------------------------------
GROUP TOTAL 32,466
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $299,282) 428,513
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS (24.8%)
- -----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (24.0%) $ 107,435 $107,435
- -----------------------------------------------------
REPURCHASE AGREEMENT (0.8%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97, to
be repurchased at $3,427,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$3,458 3,426 3,426
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $110,861) 110,861
- -----------------------------------------------------
TOTAL INVESTMENTS (120.4%) (Cost $410,143) 539,374
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-20.4%)
Dividends Receivable 29
Interest Receivable 1
Receivable for Investments Sold 23,619
Receivable for Fund Shares Sold 485
Other Assets 12
Payable for Investments Purchased (7,142)
Payable for Fund Shares Redeemed (159)
Payable for Investment Advisory Fees (517)
Payable for Administrative Fees (28)
Payable for Trustees' Deferred Compensation
Plan-Note F (11)
Collateral on Securities Loaned, at Value (107,435)
Other Liabilities (65)
--------
(91,211)
- -----------------------------------------------------
NET ASSETS (100%) $448,163
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 20,465,497 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $446,963
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.84
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 55,013 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,200
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.81
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
NET ASSETS CONSIST OF:
Paid In Capital $265,123
Undistributed Realized Net Gain (Loss) 53,809
Unrealized Appreciation (Depreciation) on
Investment Securities 129,231
- -----------------------------------------------------
NET ASSETS $448,163
- -----------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1997
was $4,404 or 1.0% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (96.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (10.6%)
City National Corp. 32,200 $ 1,030
Colonial BancGroup, Inc. 20,100 578
Comerica, Inc. 28,400 2,242
Community First Bankshares, Inc. 29,000 1,407
Crestar Financial Corp. 41,500 1,945
Cullen/Frost Bankers, Inc. 25,000 1,184
First Financial Corp. of
Wisconsin 24,800 845
First of America Bank Corp. 30,713 1,649
Greenpoint Financial Corp. 8,500 539
Hubco, Inc. 11,700 371
Long Island Bancorp, Inc. 22,100 1,039
Mercantile Bankshares Corp. 122 4
National Commerce Bancorp. 25,400 692
North Fork Bancorp, Inc. 79,700 2,311
Northern Trust Corp. 19,800 1,171
Prime Bancshares, Inc. 4,300 82
Southtrust Corp. 30,200 1,487
Summit Bancorp. 35,838 1,593
Trans Financial, Inc. 34,800 1,109
UnionBanCal Corp. 12,700 1,099
Webster Financial Corp. 2,000 118
Wilmington Trust Corp. 16,300 890
- -----------------------------------------------------
GROUP TOTAL 23,385
- -----------------------------------------------------
BASIC RESOURCES (2.3%)
Bowater, Inc. 9,100 464
H. B. Fuller Co. 12,042 653
Lubrizol Corp. 14,900 626
* Owens-Illinois, Inc. 16,500 560
P.H. Glatfelter Co. 37,100 823
Rohm & Haas Co. 7,000 672
* Tetra Technologies, Inc. 60,300 1,394
- -----------------------------------------------------
GROUP TOTAL 5,192
- -----------------------------------------------------
CONSUMER DURABLES (5.8%)
Arvin Industries, Inc. 16,000 628
Callaway Golf Co. 19,000 663
* Champion Enterprises, Inc. 22,900 438
* Furniture Brands
International, Inc. 20,400 385
General Cable Corp. 47,400 1,683
Harley-Davidson, Inc. 35,400 1,033
Ivex Packaging Corp. 10,800 173
* Lear Corp. 25,200 1,241
Lone Star Industries, Inc. 25,500 1,377
Mascotech, Inc. 16,500 338
Premark International, Inc. 22,900 733
Southdown, Inc. 40,000 2,185
* Tower Automotive, Inc. 16,300 734
* USG Corp. 27,400 1,313
- -----------------------------------------------------
GROUP TOTAL 12,924
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
CONSUMER SERVICES (3.1%)
* Doubletree Corp. 11,000 $ 531
* Gibson Greetings, Inc. 31,800 823
Hertz Corp., Class A 11,000 414
Journal Register Co. 67,600 1,327
McClatchy Newspapers, Inc.,
Class A 26,175 900
* MGM Grand, Inc. 17,300 751
New York Times Co., Class A 7,000 368
Omnicom Group, Inc. 300 22
* Valassis Communications, Inc. 20,000 638
Washington Post Co., Class B 2,300 1,031
- -----------------------------------------------------
GROUP TOTAL 6,805
- -----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (4.6%)
AMBAC, Inc. 14,800 602
Bear Stearns Co., Inc. 28,620 1,259
Capital One Financial Corp. 21,500 984
CMAC Investment Corp. 23,300 1,249
Franklin Resources, Inc. 43,750 4,074
Healthcare Financial Partners,
Inc. 5,900 182
Lehman Brothers Holdings, Inc. 17,000 912
Money Store (The), Inc. 32,600 929
- -----------------------------------------------------
GROUP TOTAL 10,191
- -----------------------------------------------------
ENERGY (11.9%)
Apache Corp. 22,000 943
* BJ Services Co. 38,100 2,829
Columbia Gas System, Inc. 17,500 1,225
* Cooper Cameron Corp. 14,200 1,020
Diamond Offshore Drilling, Inc. 32,600 1,799
El Paso Natural Gas Co. 6,200 375
* EVI, Inc. 19,100 1,222
* Falcon Drilling Co., Inc. 80,600 2,846
* Forcenergy, Inc. 15,200 590
* Global Industries Ltd. 6,000 239
* Nabors Industries, Inc. 28,100 1,094
National Fuel Gas Co. 14,400 634
NICOR, Inc. 13,500 506
Noble Affiliates, Inc. 13,400 600
* Noble Drilling Corp. 24,100 777
* NS Group, Inc. 24,800 803
ONEOK, Inc. 14,647 478
Pacific Enterprises 8,900 301
Sun Co., Inc. 12,100 530
Transocean Offshore, Inc. 15,400 738
* Tuboscope Vetco International
Corp. 26,700 838
Union Texas Petro Holdings, Inc. 24,800 583
* United Meridian Corp. 20,300 746
* Varco International, Inc. 10,300 500
* Veritas DGC, Inc. 13,800 587
Vintage Petroleum, Inc. 12,800 630
* Weatherford Enterra, Inc. 38,800 2,069
* Western Atlas, Inc. 11,100 977
- -----------------------------------------------------
GROUP TOTAL 26,479
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
FOOD, TOBACCO & OTHER (5.4%)
* Consolidated Cigar Holdings,
Inc. 14,100 $ 576
* CTB International Corp. 32,100 506
Dean Foods Co. 18,600 860
Dimon, Inc. 68,400 1,710
Interstate Bakeries Corp. 16,800 1,152
Lancaster Colony Corp. 9,300 494
Schweitzer-Mauduit
International, Inc. 37,200 1,581
Tyson Foods, Inc., Class A 25,200 591
Universal Corp. 124,400 4,509
- -----------------------------------------------------
GROUP TOTAL 11,979
- -----------------------------------------------------
HEALTH CARE (7.6%)
* Biogen, Inc. 17,000 551
* Coherent, Inc. 8,600 476
* Datascope Corp. 40,000 880
* Dura Pharmaceuticals, Inc. 16,400 715
* FPA Medical Management, Inc. 53,300 1,832
* Health Care and Retirement
Corp. 11,800 439
* Healthdyne Technologies, Inc. 127,000 2,365
ICN Pharmaceuticals, Inc. 14,000 689
* Marquette Medical Systems,
Inc., Class A 30,100 933
* Personnel Group of America,
Inc. 19,300 661
* Rotech Medical Corp. 19,500 375
Sullivan Dental Products, Inc. 92,300 2,365
* Universal Health Services,
Inc., Class B 25,600 1,107
* Watson Pharmaceuticals, Inc. 10,400 621
* Wellpoint Health Networks,
Inc. 40,100 2,323
Xomed Surgical Products, Inc. 20,000 398
- -----------------------------------------------------
GROUP TOTAL 16,730
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (16.4%)
* AccuStaff, Inc. 87,600 2,759
Aeroquip-Vickers, Inc. 30,400 1,490
Agco Corp. 12,400 393
Air Express International Corp. 123,300 4,500
Airborne Freight Corp. 9,800 594
Arnold Industries, Inc. 54,600 1,276
* Aviation Sales Co. 24,100 729
* Banner Associates, Inc. 66,700 684
Case Corp. 16,900 1,126
* CDI Corp. 53,600 2,023
* Ceridian Corp. 18,000 666
CNF Transportation, Inc. 42,100 1,834
* Coltec Industries, Inc. 16,800 363
Crane Co. 12,950 533
Danka Business Systems plc ADR 43,200 1,922
DONCASTERS plc ADR 11,200 336
Expeditors International of
Washington, Inc. 24,700 1,034
* Fiserv, Inc. 28,600 1,255
* Halter Marine Group, Inc. 13,400 648
* Hirsch International Corp.,
Class A 14,800 262
Ingersoll Rand Co. 4,650 200
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Interim Services, Inc. 35,800 $ 1,007
Kaydon Corp. 13,700 822
@ Lockheed Martin Corp. 1 --
Miller (Herman), Inc. 50,600 2,707
PACCAR, Inc. 17,400 974
Parker Hannifin Corp. 3,600 162
Power-One, Inc. 7,500 105
Precision Castparts Corp. 25,600 1,664
* SPS Technologies, Inc. 20,800 978
Technitrol, Inc. 12,000 478
Trinity Industries, Inc. 14,300 690
Triumph Group, Inc. 19,000 635
* USA Waste Services, Inc. 30,700 1,224
York International Corp. 4,600 206
- -----------------------------------------------------
GROUP TOTAL 36,279
- -----------------------------------------------------
INSURANCE (3.7%)
Everest Reinsurance Holdings,
Inc. 24,600 1,009
Hartford Life, Inc., Class A 13,600 523
Mercury General Corp. 15,500 1,356
Nationwide Financial Services,
Inc., Class A 92,600 2,581
Old Republic International Corp. 8,500 332
Reliance Group Holdings, Inc. 33,800 458
Torchmark Corp. 20,800 816
Western National Corp. 37,400 1,073
- -----------------------------------------------------
GROUP TOTAL 8,148
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.9%)
Kilroy Realty Corp. 16,900 456
Security Capital Group, Inc.,
Class B 26,600 914
SL Green Realty Corp. 20,500 530
- -----------------------------------------------------
GROUP TOTAL 1,900
- -----------------------------------------------------
RETAIL (9.4%)
Arbor Drugs, Inc. 34,700 807
Applebee's International, Inc. 43,500 1,088
Brylane, Inc. 12,600 578
Culp, Inc. 23,200 481
CVS Corp. 37,700 2,144
* Fred Meyer, Inc. 8,700 463
Hughes Supply, Inc. 52,500 1,585
* Neiman Marcus Group (The),
Inc. 12,400 397
* Office Depot, Inc. 65,600 1,324
Pier 1 Imports, Inc. 53,250 955
ProSource, Inc. 54,800 356
Richfood Holdings, Inc. 28,800 747
Ross Stores, Inc. 51,800 1,768
Russ Berrie & Co., Inc. 37,600 1,100
* Shopko Stores, Inc. 53,600 1,394
* Stage Stores, Inc. 16,200 699
TJX Companies, Inc. 108,000 3,301
* Tommy Hilfiger Corp. 19,300 964
V.F. Corp. 6,200 574
- -----------------------------------------------------
GROUP TOTAL 20,725
- -----------------------------------------------------
</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
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
TECHNOLOGY (12.5%)
* ADC Telecommunications, Inc. 17,000 $ 553
* Altera Corp. 23,200 1,189
* BMC Software, Inc. 7,000 453
Box Hill Systems Corp. 10,700 187
* Cadence Design Systems, Inc. 21,300 1,140
* Computer Products, Inc. 42,000 1,250
* Comverse Technology, Inc. 33,100 1,746
* Credence Systems Corp. 10,100 492
Elbit Systems Ltd. 35,200 484
* Electro Scientific Industries,
Inc. 6,000 366
* ESS Technology, Inc. 8,500 129
* Gateway 2000, Inc. 15,000 472
* HMT Technology Corp. 78,700 1,235
* Inacom Corp. 32,100 1,194
Innovex, Inc. 3,800 123
* Intevac, Inc. 27,300 386
* KLA Tencor Corp. 14,900 1,007
* Microage, Inc. 44,300 1,285
* Quantum Corp. 18,900 724
* SCI Systems, Inc. 63,000 3,122
* Semitool, Inc. 18,700 470
* Solectron Corp. 27,400 1,219
Storage Technology Corp. 20,100 961
* Symantec Corp. 90,800 2,066
* Tech Data Corp. 27,700 1,274
* Technology Modeling
Association, Inc. 31,200 478
Tektronix, Inc. 11,100 749
* Teradyne, Inc. 32,500 1,749
* USCS International, Inc. 13,800 309
Vishay Intertechnology, Inc. 21,300 563
* Xilinx, Inc. 8,200 415
- -----------------------------------------------------
GROUP TOTAL 27,790
- -----------------------------------------------------
UTILITIES (2.5%)
Black Hills Corp. 25,200 739
IPALCO Enterprises, Inc. 27,800 952
LG&E Energy Corp. 30,800 683
New Century Energies, Inc. 21,400 889
* Nextel Communications, Inc.,
Class A 52,500 1,516
Pinnacle West Capital Corp. 23,700 797
- -----------------------------------------------------
GROUP TOTAL 5,576
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $172,425) 214,103
- -----------------------------------------------------
UNIT TRUST (0.9%)
- -----------------------------------------------------
S&P 400 Mid-Cap Depository
Receipts (Cost $2,051) 32,100 2,070
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (2.6%)
- -----------------------------------------------------
REPURCHASE AGREEMENT (2.6%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97, to
be repurchased at $5,793,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$5,847 (Cost $5,792) $ 5,792 $ 5,792
- -----------------------------------------------------
TOTAL INVESTMENTS (100.2%) (Cost $180,268) 221,965
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
Dividends Receivable 109
Interest Receivable 1
Receivable for Investments Sold 785
Receivable for Fund Shares Sold 1,556
Other Assets 3
Payable for Investments Purchased (2,510)
Payable for Fund Shares Redeemed (1)
Payable for Administrative Fees (14)
Payable for Investment Advisory Fees (337)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other liabilities (57)
--------
(467)
- -----------------------------------------------------
NET ASSETS (100%) $221,498
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 10,103,104 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $220,260
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.80
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 56,951 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,238
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.75
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $157,584
Undistributed Net Investment Income (Loss) 310
Undistributed Realized Net Gain (Loss) 21,907
Unrealized Appreciation (Depreciation) on
Investment Securities 41,697
- -----------------------------------------------------
NET ASSETS $221,498
- -----------------------------------------------------
! 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.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (76.2%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
ARGENTINA (3.2%)
YPF SA ADR 19,500 $ 719
- -----------------------------------------------------
BRAZIL (7.4%)
Light Participacoes SA 2,500,000 890
* Multicanal Participacoes SA
ADR 48,900 520
Telebras SA 2,361,000 273
- -----------------------------------------------------
GROUP TOTAL 1,683
- -----------------------------------------------------
HONG KONG (1.8%)
* China Southern Airlines Co.,
Ltd. ADR 13,600 406
- -----------------------------------------------------
INDIA (13.0%)
Bajaj Auto Ltd. 27,000 412
East India Hotels Ltd. 24,000 251
Hindustan Lever Ltd. 2,704 100
Indian Petrochemicals Corp.,
Ltd. 131,000 413
ITC Ltd. 5,633 92
Mahanagar Telephone Nigam Ltd. 134,000 953
Reliance Industries Ltd. 74,820 746
- -----------------------------------------------------
GROUP TOTAL 2,967
- -----------------------------------------------------
INDONESIA (6.7%)
Enseval PuTera Mega 866,000 142
Gulf Indonesia Resources Ltd. 12,900 287
Hanjaya Mandala Sampoerna
(Foreign) 153,000 316
Lippo Securities 1,650,000 245
Pabrik Kertas Tjiwi Kimia 343,500 191
Sinar Mas Multiartha (Foreign) 166,600 44
Unilever Indonesia (Foreign) 29,000 306
- -----------------------------------------------------
GROUP TOTAL 1,531
- -----------------------------------------------------
ISRAEL (7.3%)
Bank Hapoalim Ltd. 240,000 557
Elron Electronic Industries
Ltd. 10,000 184
First International Bank of
Israel Ltd., Class 1 3,300 439
Supersol Ltd. 150,000 488
- -----------------------------------------------------
GROUP TOTAL 1,668
- -----------------------------------------------------
KOREA (1.8%)
LG International Corp. 60,938 419
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
MEXICO (21.1%)
ALFA SA de C.V., Class A 121,000 $ 1,138
Cemex SA de C.V., Series B 125,000 749
Coca-Cola Femsa SA ADR 12,000 697
Grupo Mexico SA, Series B 137,000 554
* Grupo Posadas SA, Series A 969,000 749
Organizacion Soriana SA de
C.V., Series B 232,000 920
- -----------------------------------------------------
GROUP TOTAL 4,807
- -----------------------------------------------------
RUSSIA (2.3%)
* Lukoil Holding ADR 5,300 521
- -----------------------------------------------------
SINGAPORE (2.3%)
* Creative Technology Ltd. 20,900 534
- -----------------------------------------------------
THAILAND (4.1%)
Hana Microelectronics Public
Co., Ltd. (Foreign) 105,000 360
Ruam Pattana Fund II (Foreign) 830,600 167
* Sub-Thawee Fund 785,400 407
- -----------------------------------------------------
GROUP TOTAL 934
- -----------------------------------------------------
TURKEY (3.5%)
Yapi ve Kredi Bankasi AS 32,397,000 809
- -----------------------------------------------------
UNITED KINGDOM (1.7%)
Lonrho PLC 210,000 392
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $15,931) 17,390
- -----------------------------------------------------
PREFERRED STOCKS (11.8%)
- -----------------------------------------------------
BRAZIL (11.8%)
Banco Itau SA 1,391,000 899
* CESP 14,950,000 1,267
Telebras SA 2,119,700 274
Votorantim Celulose e Papel SA 9,400,000 262
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,498) 2,702
- -----------------------------------------------------
WARRANT (0.0%)
- -----------------------------------------------------
INDONESIA (0.0%)
* Sinar Mas Multiartha
(Foreign), expiring 11/28/01
(Cost $0) 12,495 1
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING MARKETS
PORTFOLIO
NO. OF VALUE
(CONT'D) CONTRACTS (000)!
- ---------------------------------------------------------
<S> <C> <C>
PURCHASED OPTIONS (4.7%)
- ---------------------------------------------------------
KOREA (4.7%)
Pohang Iron & Steel Co. Call
Option, expiring 9/4/99,
strike price $0.01 6,720 $ 413
Shinhan Bank Call Option,
expiring 9/4/99, strike
price $0.01 21,450 180
SK Telecom Co., Ltd. Call
Option, expiring 9/4/99,
strike price $0.01 1,019 479
- ---------------------------------------------------------
TOTAL PURCHASED OPTIONS (Cost $1,603) 1,072
- ---------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
@ Hong Kong Dollar HKD 2 --
Indian Rupee INR 489 13
Indonesian Rupiah IDR 2,163 1
Israeli Shekel ILS 7 2
Singapore Dollar SGD 2 1
- --------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $18) 17
- --------------------------------------------------------
CASH EQUIVALENTS (8.4%)
- --------------------------------------------------------
<CAPTION>
<S> <C> <C> <C>
U.S. TREASURY SECURITY (0.8%)
(dd) U.S. Treasury Bill
11/20/97 $ 170 169
- --------------------------------------------------------
REPURCHASE AGREEMENT (7.6%)
Chase Securities, Inc. 5.90%, dated
9/30/97, due 10/1/97, to be
repurchased at $1,738,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at $1,754 1,738 1,738
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,907) 1,907
- --------------------------------------------------------
TOTAL INVESTMENTS (101.2%) (Cost $20,957) 23,089
- --------------------------------------------------------
<CAPTION>
VALUE
(000)!
- --------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-1.2%)
Foreign Currency Held as Collateral on Futures
Contracts (Cost $60) $ 60
Dividends Receivable 30
Receivable for Withholding Tax Reclaim 1
Unrealized Gain on Futures Contracts 18
Other Assets 2
Payable for Investments Purchased (252)
Payable for Investment Advisory Fees (47)
Payable for Administrative Fees (1)
Accrued Foreign Capital Gains Taxes (38)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (53)
-------
(281)
- --------------------------------------------------------
NET ASSETS (100%) $22,808
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 1,838,162 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $22,808
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.41
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $17,829
Undistributed Net Investment Income (Loss) 91
Undistributed Realized Net Gain (Loss) 2,776
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign Capital
Gain Tax of $38) 2,095
Foreign Currency Transactions (1)
Futures 18
- --------------------------------------------------------
NET ASSETS $22,808
- --------------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security.
(dd) A portion of these securities was pledged to cover
margin requirements for futures contracts.
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.9%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.5%)
## Government National
Mortgage Association
Various Pools:
6.00%, 7/20/27 Agy $ 118,000 $ 118,885
November TBA
6.00%, 11/20/27 Agy 195,000 196,158
- -------------------------------------------------------
GROUP TOTAL 315,043
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (11.4%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
9.50%, 10/1/16 Agy 1,825 1,976
10.00%, 11/1/20 Agy 10,800 11,786
10.50%, 4/1/11-10/1/20 Agy 3,958 4,415
11.00%, 9/1/15-9/1/20 Agy 6,620 7,431
11.25%,
10/1/11-12/1/15 Agy 1,674 1,885
11.50%, 1/1/11-12/1/15 Agy 169 193
11.75%, 4/1/19 Agy 175 199
12.50%, 8/1/13 Agy 19 22
13.00%, 6/1/19 Agy 57 65
14.75%, 3/1/10 Agy 35 41
Gold Pools:
7.00%, 9/1/23-6/1/25 Agy 53,789 53,881
7.50%, 2/1/27-6/1/27 Agy 1,697 1,730
9.50%, 10/1/17-1/1/21 Agy 8,719 9,507
10.00%, 10/1/20 Agy 4,282 4,732
10.50%, 8/1/19-4/1/21 Agy 1,875 2,085
Federal National Mortgage
Association
Conventional Pools:
9.50%, 7/1/16 Agy 2,861 3,109
10.00%, 10/1/07-4/1/27 Agy 11,117 12,186
10.50%, 6/1/10-11/1/20 Agy 7,128 7,984
10.75%, 2/1/11 Agy 45 50
11.00%, 1/1/16-11/1/20 Agy 5,689 6,411
11.50%, 11/1/15-2/1/20 Agy 6,165 7,035
12.00%, 4/1/15 Agy 55 64
12.50%, 5/1/12 Agy 1,126 1,313
Government National
Mortgage Association
Various Pools:
7.00%,
12/15/22-12/15/23 Agy 95,712 96,047
10.00%,
11/15/09-3/15/27 Agy 57,669 63,908
10.50%,
2/15/13-8/15/26 Agy 21,996 24,748
11.00%,
12/15/09-5/15/26 Agy 44,689 51,052
11.50%,
7/20/15-9/20/19 Agy 520 580
12.00%,
4/15/12-3/15/16 Agy 1,530 1,775
- -------------------------------------------------------
GROUP TOTAL 376,210
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (5.3%)
Advanta Mortgage Loan
Trust, Series 97-3 A2
6.61%, 4/25/12 AAA $ 13,000 $ 13,022
Arcadia Auto, Series 97-C
A4
6.375%, 1/15/03 AAA 15,280 15,341
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 43 43
## Airplanes Pass Through
Trust, Series 1 B
6.756%, 3/15/19 A 5,816 5,830
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 5,900 6,039
94-1 C2 CMO
9.35%, 9/15/04 BBB 4,975 5,116
CIT Group Home Equity
Loan Trust, Series 97-1
A3
6.25%, 9/15/01 AAA 9,625 9,629
Commercial Financial
Services, Inc., Series
97-5 A1
7.72%, 6/15/05 A 8,225 8,221
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 5,422 5,530
First Plus Home Loan
Trust, Series:
97-3 A2
6.48%, 9/10/08 AAA 9,590 9,612
97-3 A3
6.57%, 10/10/10 AAA 8,860 8,895
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 28,307 28,283
(+) Long Beach Auto,
Series 97-2 A
6.69%, 9/25/04 AAA 12,076 12,078
(+) NAL Auto Trust,
Series:
96-4 A
6.90%, 12/15/00 N/R 3,968 3,943
97-2 A
7.75%, 9/15/02 N/R 9,086 9,095
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 8,025 8,223
Old Stone Credit Corp,
Series 92-3 B1
6.35%, 9/25/07 AAA 10 10
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Security Pacific Home
Equity Trust, Series
91-AB
10.50%, 3/10/06 A+ $ 3,073 $ 3,075
(+) Team Fleet Financing
Corp., Series 96-1A
6.65%, 12/15/02 A- 4,800 4,805
WFS Financial Owner
Trust, Series 97-C A3
6.01%, 3/20/02 AAA 17,350 17,331
- -------------------------------------------------------
GROUP TOTAL 174,121
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.1%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 8,940 9,297
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 6,800 7,091
Cityscape Home Equity
Loan Trust,
Series:
96-3 YMA
10/25/26 N/R 165,603 223
96-3 A IO
1.00%, 10/25/26 N/R 140,679 3,487
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 139,666 3,670
96-4 A12 IO
1.05%, 1/15/28 AAA 45,114 1,186
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost $83) AAA 56,415 83
(+) 96-4 A12 YMA
1/15/28 AAA 169,152 252
97-1 A10 YMA
3/15/28 N/R 168,379 235
97-1 A10 I IO
1.10%, 3/15/28 AAA 164,485 4,503
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 6,717 6,998
- -------------------------------------------------------
GROUP TOTAL 37,025
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.6%)
Federal Home Loan
Mortgage Corporation,
Series:
1415 S Inv Fl IO CMO
18.813%, 11/15/07 Agy $ 3,111 $ 1,434
1476 S Inv Fl IO
REMIC PAC
4.363%, 2/15/08 Agy 29,318 3,419
1485 S Inv Fl IO
REMIC
3.913%, 3/15/08 Agy 28,037 2,487
1600 SA Inv Fl IO
REMIC
2.313%, 10/15/08 Agy 59,012 3,263
1709 H PO REMIC
1/15/24 Agy 801 409
1750 C PD PO REMIC
3/15/24 Agy 1,206 856
1813 K PO
2/15/24 Agy 795 547
1844 PC PO
3/15/24 Agy 1,460 922
1887 I PO
10/15/22 Agy 860 577
1950 Inv Fl IO
2.313%, 10/15/22 Agy 1,550 142
90-129 H PAC
8.85%, 3/15/21 Agy 80 87
90-1007 F Inv Fl
21.795%, 1/15/20 Agy 1 1
92-1398 I Inv Fl REMIC
10.304%, 10/15/07 Agy 2,471 2,786
93-149 O PO REMIC
8/25/23 Agy 1,733 1,100
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl CMO
28.975%, 9/25/20 Agy 1,348 2,099
92-186 S Inv Fl IO CMO
3.363%, 10/25/07 Agy 55,194 4,741
93-205 G PO REMIC
9/25/23 Agy 4,363 2,812
93-235 H PO REMIC
9/25/23 Agy 1,744 1,364
96-11 V PO REMIC
9/25/23 Agy 12,280 8,278
96-14 PC PO REMIC
12/25/23 Agy 1,385 797
96-37 H PO REMIC
8/25/23 Agy 8,563 6,365
96-46 PB PO REMIC
9/25/23 Agy 1,425 954
96-54 N PO REMIC
7/25/23 Agy 1,025 766
96-54 O PO REMIC
11/25/23 Agy 1,145 713
</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
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-68 SC Inv Fl IO
REMIC
2.475%, 1/25/24 Agy $ 11,695 $ 1,419
97-7 AE PO REMIC
2/15/23 Agy 4,943 3,566
97-30 Inv Fl IO REMIC
2.281%, 7/25/22 Agy 465 43
282 1 PO
5/15/24 Agy 27,242 18,669
287 1 PO
12/17/07 Agy 19,282 12,618
G92-53 S Inv Fl IO
REMIC
32.625%, 9/25/22 Agy 2,561 2,123
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO
2.813%, 6/16/26 Agy 2,091 145
96-13 S Inv Fl IO
3.65%, 7/16/11 Agy 819 71
96-17 S Inv Fl IO REMIC
2.863%, 8/16/26 Agy 1,019 73
Kidder Peabody Mortgage
Assets Trust,
Series:
87-B IO
9.50%, 4/22/18 AAA 86 26
87-B PO
4/22/18 AAA 86 64
Morgan Stanley
Mortgage Trust, Series
88-28 8 PAC
9.40%, 10/1/18 AAA 75 78
- -------------------------------------------------------
GROUP TOTAL 85,814
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (6.1%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 6,566 6,974
Capstead Mortgage Corp.
7.25%, 9/15/27 AAA 12,275 12,270
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1
7.00%, 3/25/20 AAA 55 56
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 5,937 5,673
Countrywide Funding
Corp., Series 94-12 A10
7.00%, 5/25/24 AAA 510 492
DLJ Mortgage
Acceptance Corp.,
Series:
( 7/8) 97-CF1 A1B
7.60%, 5/15/30 AAA 11,650 12,349
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
(+) 97-CF1 S IO
1.097%, 5/15/30 AAA $ 74,739 $ 4,971
97-CF2 A1B
6.82%, 10/15/30 AAA 19,725 19,860
sec. First Boston
Mortgage Corp., Series
92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-
12/9/93, cost $3,945) A 4,157 4,242
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 8,138 7,798
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 14,750 15,071
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.467%, 5/28/22
(acquired
8/5/92-8/29/97, cost
$3,770) N/R 3,758 3,755
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 2,715 2,949
PNC Mortgage Securities
Corp.,
Series 96-1 B1
7.50%, 6/25/26 AA 138 140
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec. 90-5 A3
9.50%, 5/25/05
(acquired
4/19/90-11/30/94, cost
$806) AAA 847 847
+ 92-33 B1
7.50%, 11/15/22 Aa3 120 116
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 11,188 10,950
sec.+ 93-17 B1
6.50%, 3/1/23
(acquired
4/14/93-10/13/94, cost
$6,316) A2 6,604 6,507
(+)# 94-A 3B5
6.802%, 4/28/24 N/R 11,307 10,915
(+) 94-A 3B3
6.803%, 4/28/24 N/R 410 397
Residential Accredit
Loans, Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 5,540 5,708
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 10,466 10,594
97-QS3
7.75%, 4/25/27 AAA 11,980 12,327
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
97-QS4 A7
7.75%, 5/25/27 AAA $ 13,000 $ 13,399
Residential Funding
Mortgage Securities
Co., Inc.,
Series:
92-S15 A5
8.00%, 5/25/07 AAA 14 13
93-MZ3 A2
6.97%, 8/28/23 N/R 7,821 7,616
94-S1 A19
6.75%, 1/25/24 AAA 11,625 11,313
Rural Housing Trust,
Series 87-1M
3.33%, 4/1/26 A- 5,439 5,184
Ryland Mortgage
Securities Corp.,
Series:
+ 93-4 A9
7.50%, 8/25/24 Aaa 400 401
94-7B 4A2
7.50%, 8/25/25 AAA 7,500 7,520
Saxon Mortgage Securities
Corp.,
Series 93-8A A6
7.375%, 9/25/23 AAA 235 233
- -------------------------------------------------------
GROUP TOTAL 200,640
- -------------------------------------------------------
COMMERCIAL MORTGAGES (8.2%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 8,075 8,349
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 39,417 40,560
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 8,060 8,470
96-MD6 A1C
7.04%, 11/13/26 AAA 8,210 8,438
Beverly Finance Corp.
8.36%, 7/15/04 AA- 125 135
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 6,200 6,244
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 7,520 7,752
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 5,612 6,249
(+) Crystal Run
Properties, Series A
7.393%, 8/15/11 AA 8,500 8,878
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
CS First Boston Mortgage
Securities Corp.,
Series 97-C1 A1C
7.24%, 6/20/29 AAA $ 15,010 $ 15,568
DLJ Mortgage Acceptance
Corp.,
Series:
(+) 95-CF2 A3
7.05%, 12/17/27 A 3,300 3,329
95-CF2 S2 IO
1.645%, 12/17/27 BBB 48,300 4,389
(+) 96-CF1 A1B
7.58%, 3/13/28 AAA 5,350 5,639
(+) 96-CF2 A1B
7.29%, 11/12/21 AAA 2,320 2,404
(+)## 96-CF2 S IO
1.643%, 11/12/21 N/R 38,197 3,387
+## GMAC Commercial
Mortgage Securities,
Inc., Series 96-C1 X2
IO
1.96%, 3/15/21 Aaa 35,229 3,289
+ GS Mortgage Securities
Corp.,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 15,545 15,876
97-GL X2 IO
1.07%, 7/13/30 Aaa 37,474 2,013
(+) Lakeside Finance
Corp.
6.47%, 12/15/00 AA 145 145
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 7,000 7,133
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 9,936 10,328
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 11,500 12,001
96-C2 A2
6.82%, 11/21/28 AAA 3,855 3,903
96-C2 IO
1.529%, 11/21/28 N/R 40,132 3,603
97-C1 A3
7.12%, 6/18/29 AAA 13,000 13,382
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/27 Aaa 6,855 7,093
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 10,750 11,094
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 14,250 14,818
</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
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R $ 280 $ 288
94-MD1 A2
7.664%, 3/15/18 N/R 65 68
94-MD1 A3
8.026%, 3/15/18 N/R 4,349 4,680
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 11,907 12,516
Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 4,834 4,835
+ Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 8,000 8,227
Sawgrass Financial,
Series 93-A1
6.45%, 1/20/06 AAA 155 155
## Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.483%, 2/25/28 N/R 63,256 1,680
96-CFL X1 IO
1.335%, 2/25/28 N/R 64,538 3,345
96-CFL X2 IO
1.249%, 2/25/28 N/R 15,835 475
- -------------------------------------------------------
GROUP TOTAL 270,738
- -------------------------------------------------------
ENERGY (0.4%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 7,125 7,218
Mobile Energy Services
8.665%, 1/1/17 BBB- 7,021 7,475
- -------------------------------------------------------
GROUP TOTAL 14,693
- -------------------------------------------------------
FINANCE (12.1%)
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 17,085 18,415
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 18,525 19,051
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 16,725 16,929
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 14,950 15,272
(+) Equitable Life
Assurance Society of
the U.S., Series 1 A
6.95%, 12/1/05 A 15,162 15,273
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ $ 15,620 $ 16,633
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 20,100 20,302
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 23,710 24,302
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 8,700 8,981
(+) Florida Windstorm
6.70%, 8/25/04 A- 19,575 19,513
(+)+ Home Ownership
Funding Corp.,
13.331% (Preferred
Stock) Aaa (1)63,625 61,744
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 18,260 18,247
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 12,200 11,871
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 13,160 12,950
NB Capital Trust
8.25%, 4/15/27 A- 13,975 14,730
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 6,105 6,042
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 17,675 17,752
(+) Prime Property
Funding
6.80%, 8/15/02 A 6,485 6,520
7.00%, 8/15/04 A 6,720 6,790
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 9,800 9,989
B
8.035%, 3/15/27 A 6,575 6,759
Washington Mutual Capital
8.375%, 6/1/27 BBB- 4,775 5,010
Wells Fargo Capital,
Series:
(+) A
8.125%, 12/1/26 BBB 16,875 17,361
B
7.95%, 12/1/26 BBB+ 1,900 1,915
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,369 10,480
96 WFP-D
6.95%, 9/1/13 AA- 16,625 16,833
- -------------------------------------------------------
GROUP TOTAL 399,664
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
FOREIGN GOVERNMENTS (0.9%)
Government of Germany
7.375%, 1/3/05 AAA DEM 45,775 $ 29,100
- -------------------------------------------------------
INDUSTRIALS (3.5%)
## Blue Bell Funding
11.85%, 5/1/99 BB- $ 4,542 4,655
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 9,247 8,426
93-K1 A2
7.43%, 8/15/18 BB- 260 226
94-K1 A1
7.60%, 8/15/07 BB- 7,075 6,882
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 3,795 3,845
(+) Entertainment
Properties,
14.253% (Preferred
Stock) BBB- (1)10,200 9,811
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- 3,450 3,540
Kmart Corp.
7.75%, 10/1/12 B+ 160 150
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- 3,500 3,572
News America Holdings
8.875%, 4/26/23 BBB 12,030 13,309
7.75%, 1/20/24 BBB 2,425 2,392
(+) Oxymar
7.50%, 2/15/16 BBB 5,520 5,516
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 23,577 23,278
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 170 164
Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB+ 7,950 8,698
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 6,940 7,258
Southland Corp.
5.00%, 12/15/03 BB+ 11,148 9,615
Tier One Properties,
11.095% (Preferred
Stock) A (1)4,650 4,556
- -------------------------------------------------------
GROUP TOTAL 115,893
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
NON-AGENCY FIXED RATE MORTGAGES (0.0%)
sec. Household Bank,
Series 85-1
7.94%, 5/1/02
(acquired 6/22/94,
cost $259) N/R $ 274 $ 275
sec.## Magnolia Federal
Bank, Series 84-2
9.111%, 10/1/07
(acquired 5/1/87, cost
$793) N/R 843 865
- -------------------------------------------------------
GROUP TOTAL 1,140
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.3%)
Bank of America, Series A
8.375%, 5/1/07 AAA 17 17
(+) DLJ Mortgage
Acceptance Corp.,
Series 93-MF7 A1
7.40%, 6/18/03 AAA 112 115
## Resolution Trust
Corp., Series 92-5 C
8.618%, 1/25/26 AA 4,479 4,518
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 4,712 4,539
+ Town & Country Funding
Corp., Series A
5.85%, 8/15/98 Aa2 550 549
- -------------------------------------------------------
GROUP TOTAL 9,738
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.2%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 39,071 25,818
254 1 PO
1/1/24 Agy 4,735 3,392
260 1 PO
4/1/24 Agy 6,307 4,481
93-146 G PO REMIC
5/25/23 Agy 5,411 3,546
93-243 C PO REMIC
11/25/23 Agy 1,192 920
93-M2 B IO REMIC
2.575%, 11/25/23 Agy 250 14
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-27 A PO REMIC
10/25/23 Agy $ 155 $ 68
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 67 19
- -------------------------------------------------------
GROUP TOTAL 38,258
- -------------------------------------------------------
TELEPHONES (1.2%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 7,615 8,348
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 16,515 17,773
8.75%, 2/15/23 BBB- 3,160 3,268
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B 12,270 9,601
- -------------------------------------------------------
GROUP TOTAL 38,990
- -------------------------------------------------------
TRANSPORTATION (0.3%)
(+) Jet Equipment Trust,
Series:
95-A A11
10.00%, 6/15/12 A+ 275 341
95-5A C
10.69%, 11/1/13 BBB 8,320 10,530
- -------------------------------------------------------
GROUP TOTAL 10,871
- -------------------------------------------------------
U.S. TREASURY SECURITIES (28.4%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 139,435 176,777
U.S. Treasury Notes
6.25%, 5/31/99 Tsy 239,800 241,524
6.75%, 6/30/99 Tsy 136,800 138,937
6.875%, 7/31/99 Tsy 15,000 15,267
(dd) 7.125%, 9/30/99 Tsy 223,000 228,434
3.375%, 1/15/07
(Inflation Indexed) Tsy 108,694 106,621
U.S. Treasury Strips, PO
11/15/18 Tsy 125,000 31,584
2/15/19 Tsy 5,000 1,243
- -------------------------------------------------------
GROUP TOTAL 940,387
- -------------------------------------------------------
UTILITIES (0.2%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 7,125 7,328
- -------------------------------------------------------
YANKEE (5.2%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 18,400 18,776
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
AST Research, Inc.
7.45%, 10/1/02 A- $ 12,500 $ 12,449
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BBB- 10,100 10,307
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 7,925 8,030
Korea Development Bank
7.375%, 9/17/04 AA- 11,360 11,451
National Power Corp.
7.875%, 12/15/06 BB+ 11,080 10,807
8.40%, 12/15/16 BB+ 7,525 7,220
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 9,395 10,304
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 11,850 11,745
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 16,420 17,341
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 18,340 19,917
## Republic of Argentina
5.00%, 3/31/23 BB 16,320 12,322
Republic of Argentina
Par, Series L, 'Euro'
5.50%, 3/31/23 BB 4,160 3,141
Republic of Colombia
8.70%, 2/15/16 BBB- 8,855 9,025
United Mexican States,
Series A
6.25%, 12/31/19 BB 10,975 9,096
- -------------------------------------------------------
GROUP TOTAL 171,931
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$3,179,704) 3,237,584
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
SHARES
------
@ United Mexican States Recovery
Rights, expiring 6/30/03
(Cost $0) (1) 25,575,000 --
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.1%)-SEE NOTE A7
- -------------------------------------------------------
FACE
AMOUNT
(000)
--------
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum of the
outstanding notional
balance, indexed to
GNMA ARM pools
(Cost $6,212) N/R $ 156,321 4,513
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIXED INCOME
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
INTEREST RATE CAPS (0.1%)-SEE NOTE A6
- -------------------------------------------------------
Bankers Trust Co., Inc.,
terminating 10/15/99,
to receive on 10/15/99
the excess, as measured
on 10/15/98, of 12
month LIBOR over 6.34%
multiplied by the
notional amount. N/R $ 2,800 $ 8
J.P. Morgan and Co.,
Inc., terminating
10/15/99, to receive on
10/15/99 the excess, as
measured on 10/15/98,
of 12 month LIBOR over
6.34% multiplied by the
notional amount. N/R 778,400 2,355
- -------------------------------------------------------
GROUP TOTAL (Premium Paid $3,301) 2,363
- -------------------------------------------------------
CASH EQUIVALENTS (23.2%)
- -------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities
(16.5%) 544,483 544,483
- -------------------------------------------------------
COMMERCIAL PAPER (3.8%)
American Express Credit
Corp.
5.50%, 10/17/97 30,000 29,927
Atlantic Asset
Securitization Corp.
5.57%, 10/16/97 20,000 19,954
Delaware Funding Corp.
5.50%, 10/14/97 50,000 49,900
John Deere Capital Corp.
5.53%, 10/7/97 25,000 24,977
- -------------------------------------------------------
GROUP TOTAL 124,758
- -------------------------------------------------------
AGENCY FLOATING RATE MORTGAGE (0.0%)
## Federal Home Loan
Mortgage Corporation
2/15/24 135 135
- -------------------------------------------------------
DISCOUNT NOTE (0.7%)
Federal National Mortgage
Association
10/30/97 25,000 24,890
- -------------------------------------------------------
U.S. TREASURY SECURITY (0.0%)
U.S. Treasury Bill
11/13/97 235 234
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (2.2%)
Chase Securities, Inc. 5.90%
dated 9/30/97, due 10/1/97, to
be repurchased at $71,792,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$72,456 $ 71,780 $ 71,780
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $766,280) 766,280
- -------------------------------------------------------
TOTAL INVESTMENTS (121.3%) (Cost
$3,955,497) 4,010,740
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-21.3%)
Cash 1
Dividends Receivable 2,973
Interest Receivable 35,743
Receivable for Investments Sold 41,860
Receivable for Fund Shares Sold 16,011
Unrealized Gain on Swap Agreements 54
Receivable for Daily Variation on Futures
Contracts 170
Other Assets 67
Payable for Investments Purchased (251,715)
Payable for Fund Shares Redeemed (797)
Payable for Investment Advisory Fees (2,920)
Payable for Administrative Fees (212)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Distribution Fees-Adviser Class (14)
Payable for Trustees' Deferred Compensation
Plan-Note F (57)
Unrealized Loss on Forward Foreign Currency
Contracts (454)
Collateral on Securities Loaned, at Value (544,483)
Other Liabilities (769)
----------
(704,543)
- -------------------------------------------------------
NET ASSETS (100%) $3,306,197
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 263,471,478 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $3,219,987
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.22
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 779,333 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 9,527
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.22
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 6,275,192 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 76,683
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.22
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $3,155,536
Undistributed Net Investment Income (Loss) 57,872
Undistributed Realized Net Gain (Loss) 40,102
Unrealized Appreciation (Depreciation) on:
Investment Securities 55,243
Foreign Currency Transactions (534)
Futures and Swaps (2,022)
- -------------------------------------------------------
NET ASSETS $3,306,197
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1997
was $16,574 or 0.5% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale
may exist.
(dd) A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1997.
CMO Collateralized Mortgage Obligation
DEM German Mark
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (96.9%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.5%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-9/20/27 Agy $ 7,900 $ 7,959
November TBA
6.00%, 11/20/27 Agy 2,225 2,238
- -------------------------------------------------------
GROUP TOTAL 10,197
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (12.7%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
10.00%, 9/1/17-11/1/20 Agy 760 830
10.50%, 4/1/26 Agy 473 527
11.00%, 5/1/20 Agy 220 247
Gold Pools:
7.00%, 4/1/24-12/1/24 Agy 1,895 1,897
12.00%, 11/1/19 Agy 91 105
Federal National Mortgage
Association
Conventional Pools:
9.50%, 2/1/20-8/1/21 Agy 933 1,012
10.00%, 5/1/22 Agy 139 152
10.50%, 12/1/17 Agy 379 424
11.50%, 9/1/25 Agy 179 204
Government National Mortgage
Association
Various Pools:
7.00%, 12/15/22-12/15/23 Agy 3,256 3,267
10.00%, 9/15/18-12/25/26 Agy 1,029 1,139
10.50%, 5/15/19-2/15/25 Agy 1,295 1,456
11.00%, 12/15/09-7/15/20 Agy 775 887
12.00%, 12/15/12-3/15/15 Agy 141 163
- -------------------------------------------------------
GROUP TOTAL 12,310
- -------------------------------------------------------
ASSET BACKED CORPORATES (8.1%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 221 222
## Airplanes Pass Through
Trust, Series 1 B
6.756%, 3/15/19 A 339 340
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 375 384
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 402 404
Arcadia Auto Receivables
Trust, Series 97-C A4
6.375%, 1/15/03 AAA 480 482
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA $ 330 $ 332
(+) First Merchants Auto
Receivables Corp., Series
97-2 A1
6.85%, 11/15/02 AAA 376 378
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 285 286
97-3 A3
6.57%, 10/10/10 AAA 280 281
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 815 814
(+) Long Beach Auto, Series
97-2 A
6.69%, 9/25/04 AAA 370 371
NAL Auto Trust, Series 97-2A
7.75%, 9/15/02 A 467 467
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 A 375 384
(+)++ NPR Health Care,
Series 97-1 A
6.815%, 7/1/01 AAA 200 202
(+) Railcar Leasing Series 1
A2
7.125%, 1/15/13 AAA 650 672
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 250 250
97-1 A
7.35%, 5/15/03 A- 600 617
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 451 452
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 490 489
- -------------------------------------------------------
GROUP TOTAL 7,827
- -------------------------------------------------------
ASSET BACKED MORTGAGES (3.0%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 500 505
Cityscape Home Equity Loan
Trust,
Series:
96-3 YMA
10/25/26 N/R 7,094 10
96-3 A8
7.65%, 9/25/25 AAA 450 460
</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>
sec. 96-3 A IO
1.00%, 10/25/26 (acquired
12/24/96, cost $214) AAA $ 7,094 $ 176
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 400 420
(+) 96-4 A11 IO
1.10%, 1/15/28 AAA 6,027 158
96-4 A12 IO
1.05%, 1/15/28 AAA 1,947 51
96-4 A12 YMA
1/15/28 AAA 2,435 4
(+) 96-4 A12 YMA
1/15/28 AAA 7,300 11
(+) 97-1 A10 YMA
3/15/28 N/R 7,242 10
97-1 A10 IO
1.10%, 3/15/28 AAA 7,075 194
Delta Funding Home Equity
Loan Trust,
Series 96-2 A5
8.01%, 10/25/27 AAA 434 459
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 450 469
- -------------------------------------------------------
GROUP TOTAL 2,927
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (1.7%)
## Collateralized Mortgage
Obligation Trust, Series
16-Q Inv Fl
12.375%, 3/20/18 AAA 128 139
Federal Home Loan Mortgage
Corporation,
Series:
## 1632-SA Inv Fl REMIC
5.336%, 11/15/23 Agy 300 250
## 1699-SD Inv Fl IO REMIC
2.313%, 3/15/24 Agy 1,836 147
Federal National Mortgage
Association,
Series:
96-37 H PO REMIC
8/25/23 Agy 423 314
97-3 E PO REMIC
12/25/23 Agy 275 185
282 1 PO
5/15/24 Agy 964 660
- -------------------------------------------------------
GROUP TOTAL 1,695
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (7.7%)
Bear Stearns Mortgage
Securities, Inc., Series
96-9 AI11
8.00%, 12/25/27 AAA $ 250 $ 260
Citicorp Mortgage
Securities, Inc.,
Series:
94-7 A5
6.25%, 4/25/24 AAA 550 494
sec.++ 95-2 B1 REMIC
7.50%, 4/25/25 (acquired
8/14/95-9/27/96, cost
$400) AA 415 422
Countrywide Mortgage Backed
Securities, Inc.,
Series 93-C A11
6.50%, 1/25/24 AAA 238 228
(+) DLJ Mortgage Acceptance
Corp.,
Series:
97-CFI A1B
7.60%, 5/15/30 AAA 450 477
97-CFI S IO
1.097%, 5/15/30 AAA 2,890 192
97-CF2 A1B
6.82%, 10/15/30 AAA 550 554
++ First Boston Mortgage
Securities Corp., Series
93-5 B1
7.30%, 7/25/23 A 239 239
GE Capital Mortgage
Services, Inc.,
Series:
94-24 A4
7.00%, 7/25/24 AAA 218 209
94-27 A6
6.50%, 7/25/24 AAA 250 232
+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24 A2 243 250
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-2 C5 A2
7.069%, 9/15/29 AAA 450 460
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 100 109
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 150 149
96-1 B1
7.50%, 6/25/26 AA 444 449
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA $ 29 $ 29
95-2 M
8.50%, 6/25/25 AA 271 286
Residential Accredit Loans,
Inc.,
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 500 506
97-QS12 A8 TBA
7.25%, 12/25/27 AAA 550 551
Residential Asset
Securitization Trust,
Series 96-A11 A9
7.75%, 2/25/27 AAA 350 358
Residential Funding Mortgage
Securities Co., Inc.,
Series:
++ 93-MZ3 A2
6.97%, 8/28/23 AA 550 536
93-S27 M2
7.50%, 6/25/23 A 237 239
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 261 249
- -------------------------------------------------------
GROUP TOTAL 7,478
- -------------------------------------------------------
COMMERCIAL MORTGAGES (10.3%)
American Southwest Financial
Securities Corp.,
Series:
++## 93-2 S1 IO
1.056%, 1/18/09 AA 6,561 332
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 225 233
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 211 222
95-MD4 A1
7.10%, 8/13/29 AAA 268 276
## 95-MD4 ACS2 IO
2.381%, 8/13/29 AAA 1,766 314
(+) 96-D3 A1C
7.40%, 10/13/26 Aaa 375 394
96-MD6 A1C
7.04%, 11/13/26 AAA 400 411
(+) Carousel Center Finance,
Inc., Series 1 B
7.188%, 10/15/07 A 325 331
CBM Funding Corp.,
Series 96-1 A3PI
7.08%, 2/1/13 AA 250 258
Chase Commercial Mortgage
Securities Corp., Series
96-2 B
6.90%, 10/19/06 AA 500 504
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA $ 242 $ 269
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 434 445
(+) DLJ Mortgage Acceptance
Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 400 403
95-CF2 A1B
7.29%, 7/15/06 AAA 385 399
96-CF1 A1B
7.58%, 3/13/28 AAA 375 395
## 96-CF2 S IO
1.643%, 11/12/21 AAA 3,836 340
(+) Forum Finance
7.125%, 5/15/04 AA 375 383
+## GMAC Commercial Mortgage
Securities, Inc., Series
96-C1 X2 IO
1.96%, 3/15/21 Aaa 2,318 216
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 468 487
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 275 280
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 275 287
96-C2 A2
6.82%, 11/21/28 AAA 200 202
++ 96-C2 IO
1.529%, 11/21/28 AAA 2,007 180
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/27 Aaa 325 336
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 225 232
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 650 676
++ Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 100 103
## 94-MD1 A2
7.664%, 3/15/18 AAA 125 131
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R $ 496 $ 522
(+) Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 173 173
++## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.335%, 2/25/28 AAA 3,344 173
96-CFL X1A IO
1.483%, 2/25/28 AAA 3,293 87
96-CFL X2 IO
1.249%, 2/25/28 AAA 880 26
- -------------------------------------------------------
GROUP TOTAL 10,020
- -------------------------------------------------------
ENERGY (0.7%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 450 456
Paiton Energy Funding
9.34%, 2/15/14 BBB- 175 192
- -------------------------------------------------------
GROUP TOTAL 648
- -------------------------------------------------------
FINANCE (14.4%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 450 485
(+) BankAmerica
Institutional,
Class A
8.07%, 12/31/26 A- 525 540
(+) BT Institutional Capital
Trust, Series A
8.09%, 12/1/26 BBB+ 450 455
(+) Corestates Capital Corp.
8.00%, 12/15/26 A- 425 434
(+) Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 600 604
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 475 506
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 571 574
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 550 556
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 575 580
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 525 538
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- $ 250 $ 258
7.45%, 7/1/04 A 150 156
(+) Florida Windstorm
6.70%, 8/25/04 A- 300 299
(+)+ Home Ownership Funding
Corp.,
13.331% (Preferred Stock) Aaa (1)2,375 2,305
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 790 789
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 400 389
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 350 344
NB Capital Trust
8.25%, 4/15/27 A- 325 343
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 625 628
(+) Prime Property Funding
7.00%, 8/15/04 A 400 404
Republic of Colombia
8.70%, 2/15/16 BBB- 300 306
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 400 408
B
8.035%, 3/15/27 A 100 103
Washington Mutual Capital
8.375%, 6/1/27 BBB- 180 189
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 600 617
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 893 903
96 WFP-D
6.95%, 9/1/13 AA- 250 253
- -------------------------------------------------------
GROUP TOTAL 13,966
- -------------------------------------------------------
INDUSTRIALS (0.6%)
News America Holdings
7.75%, 1/20/24 BBB 75 74
7.75%, 2/1/24 BBB 305 301
Tier One Properties,
11.095% (Preferred Stock) A (1)200 196
- -------------------------------------------------------
GROUP TOTAL 571
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC FIXED
INCOME PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (0.3%)
sec.## Gemsco Mortgage Pass
thru Certficate,
Series 87-A
8.701%, 11/25/10
(acquired 9/9/88, cost
$258) AA $ 281 $ 286
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 43 43
- -------------------------------------------------------
GROUP TOTAL 329
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES - AGENCY COLLATERAL
SERIES (2.2%)
Federal Home Loan Mortgage
Corporation,
Series 1911-C PO
11/15/23 Agy 700 361
Federal National Mortgage
Association,
Series:
96-34 C PO
3/25/23 Agy 525 279
249 1 PO
10/25/23 Agy 1,631 1,078
254 1 PO
1/1/24 Agy 218 156
260 1 PO
4/1/24 Agy 292 207
- -------------------------------------------------------
GROUP TOTAL 2,081
- -------------------------------------------------------
TELEPHONES (0.5%)
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 450 484
- -------------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment Trust,
Series 95-A A11
10.00%, 6/15/12 A+ 395 490
- -------------------------------------------------------
U.S. TREASURY SECURITIES (23.7%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 900 1,141
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 2,625 2,672
6.25%, 5/31/99 Tsy 9,725 9,795
6.75%, 6/30/99 Tsy 2,280 2,316
(dd) 7.125%, 9/30/99 Tsy 1,875 1,921
3.375%, 1/15/07
(Inflation Indexed) Tsy 3,647 3,577
U.S. Treasury Strip, PO
11/15/18 Tsy 6,000 1,516
- -------------------------------------------------------
GROUP TOTAL 22,938
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $92,468) 93,961
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
INTEREST RATE CAP (0.1%)-SEE NOTE A6
- -------------------------------------------------------
J.P. Morgan and Co., Inc.,
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of 12 month
LIBOR over 6.34%
multiplied by the notional
amount (Premium Paid $111) N/R $ 26,200 $ 79
- -------------------------------------------------------
CASH EQUIVALENTS (8.3%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(3.1%) 2,970 2,970
- -------------------------------------------------------
REPURCHASE AGREEMENT (5.2%)
Chase Securities, Inc. 5.90%, dated
9/30/97, due 10/1/97, to be
repurchased at $5,068,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at $5,115 5,068 5,068
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $8,038) 8,038
- -------------------------------------------------------
TOTAL INVESTMENTS (105.3%) (Cost $100,617) 102,078
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.3%)
Cash 1
Dividends Receivable 100
Interest Receivable 1,171
Receivable for Investments Sold 612
Receivable for Fund Shares Sold 4
Unrealized Gain on Swap Agreements 2
Other Assets 3
Payable for Investments Purchased (3,856)
Payable for Fund Shares Redeemed (66)
Payable for Investment Advisory Fees (83)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Payable for Daily Variation on Futures
Contracts (1)
Collateral on Securities Loaned, at Value (2,970)
Other Liabilities (32)
-------
(5,124)
- -------------------------------------------------------
NET ASSETS (100%) $96,954
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 8,599,726 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $96,954
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.27
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $92,986
Undistributed Net Investment Income (Loss) 1,805
Undistributed Realized Net Gain (Loss) 702
Unrealized Appreciation (Depreciation) on
Investment Securities 1,461
- -------------------------------------------------------
NET ASSETS $96,954
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1997 was $884 or 0.9% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
++ Fitch Rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
## Variable or floating rate security-rate
disclosed is as of September 30, 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 September 30, 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.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.9%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- ------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (3.5%)
ALPS, Series 96-1 D
12.75%, 6/15/06 BB- $ 6,507 $ 7,022
EES Coke Battery Co.,
Inc.
9.382%, 4/15/07 BB- 2,500 2,615
Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B C A1
7.929%, 11/1/18 N/R 3,335 2,990
(+)+ Long Beach Auto,
Series 97-1 B
14.22%, 10/26/03 Ba3 6,305 6,351
- ------------------------------------------------------
GROUP TOTAL 18,978
- ------------------------------------------------------
CABLE (8.1%)
Cablevision Systems
Corp.
9.875%, 5/15/06 B 6,340 6,847
(+)# Intermedia
Communications, Inc.
0.00%, 7/15/07 B 9,750 6,776
ITT Promedia
9.125%, 9/15/07 B- DEM 8,500 4,997
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ $ 5,325 5,258
TCI Pacific
Communications,
5.00% (Convertible
Preferred Stock) BB- (1)20,000 2,512
Time Warner, Inc.,
Series M,
10.25% (Preferred
Stock) BB+ (1)15,114 17,306
- ------------------------------------------------------
GROUP TOTAL 43,696
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS - NON-AGENCY
COLLATERAL SERIES (3.1%)
sec.## CBA Mortgage
Corp., Series 93-C1 A2
7.76%, 12/25/03
(acquired 8/18/95,
cost $1,334) BB 1,657 1,644
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 1,375 723
(+)++ Countrywide
Funding Corp., Series
95-4 B3 7.50%, 9/25/25 BB 1,451 1,137
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
DLJ Mortgage Acceptance
Corp., Series:
sec. 94-3 B3
6.50%, 4/25/24
(acquired 5/8/95,
cost $914) N/R $ 1,369 $ 786
97-CF2
0.357%, 10/15/30 AAA 103,893 2,755
+ 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 1,379 1,137
(+) Prudential Home
Mortgage Securities
Co., Inc.,
Series:
+ 92-A 3B2
7.90%, 4/28/22 Caa 3,900 2,340
++ 96-5 B3
7.25%, 4/25/26 BB 1,458 1,321
Residential Funding Mortgage Securities Co.,
Inc.,
Series:
sec. 95-S10 B1
7.50%, 7/25/25
(acquired 8/25/95,
cost $464) BB 611 547
sec. 95-S11 B1
7.50%, 9/25/25
(acquired 8/25/95,
cost $966) BB 1,274 1,138
95-S16 B3
7.50%, 11/25/25 N/R 1,231 1,120
## Ryland Mortgage
Securities Corp.,
Series 92-A C1
8.27%, 3/29/30 BB 700 560
Saxon Mortgage Securities Corp.,
Series:
(+) 93-8A
6.75%, 2/25/24 BB 1,581 844
sec. 94-2 B3
6.75%, 1/25/24
(acquired 2/9/94,
cost $724) BB 847 495
- ------------------------------------------------------
GROUP TOTAL 16,552
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (0.7%)
(+)## DLJ Mortgage
Acceptance Corp.,
Series 96-CF2 S IO
1.643%, 11/12/21 AAA $ 8,226 $ 730
+ GMAC Commercial
Mortgage Securities,
Inc., Series 96-C1 X2
IO
1.96%, 3/15/21 Aaa 14,833 1,385
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.335%, 2/25/28 AAA 20,994 1,088
96-CFL X1A IO
1.483%, 2/25/28 AAA 20,540 545
96-CFL X2 IO
1.249%, 2/25/28 AAA 5,146 154
- ------------------------------------------------------
GROUP TOTAL 3,902
- ------------------------------------------------------
ENERGY (2.5%)
Midland Funding II,
Series A
11.75%, 7/23/05 B- 2,300 2,708
Nuevo Energy Co.
9.50%, 4/15/06 B+ 3,836 4,095
Snyder Oil Corp.
8.75%, 6/15/07 B+ 4,480 4,474
(+)# Transamerica Energy
Corp.
0.00%, 6/15/02 B+ 2,525 2,001
- ------------------------------------------------------
GROUP TOTAL 13,278
- ------------------------------------------------------
FINANCE (7.2%)
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 6,525 7,033
(+) Cliffs Drilling Co.
10.25%, 5/15/03 B 975 1,051
(+) Commercial Financial
Services, Inc., Series
97-5 A1
7.72%, 6/15/05 A 5,200 5,197
(+) Geberit
International S.A.
10.125%, 4/15/07 B+ 4,240 2,631
Navistar Financial
Corp., Series B
9.00%, 6/1/02 B+ 1,545 1,595
Pindo Deli Finance
Mauritius
10.75%, 10/1/07 B 6,555 6,686
(+)# PTC International
Finance
0.00%, 7/1/07 B+ 8,560 5,607
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Riggs Capital Trust
II
8.875%, 3/15/27 BB- $ 4,370 $ 4,616
Western Financial Bank
8.875%, 8/1/07 BB+ 4,225 4,235
- ------------------------------------------------------
GROUP TOTAL 38,651
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (0.4%)
(+) Ameriserv Food Co.
10.125%, 7/15/07 B- 2,150 2,228
- ------------------------------------------------------
HEALTH CARE (2.1%)
(+) Integrated Health
Services
9.50%, 9/15/07 B 4,155 4,280
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 3,880 4,021
(+) Vencor, Inc.
8.625%, 7/15/07 B+ 2,900 2,940
- ------------------------------------------------------
GROUP TOTAL 11,241
- ------------------------------------------------------
INDUSTRIALS (34.7%)
Advanced Micro Devices
11.00%, 8/1/03 BB- 5,295 5,937
(+) Azteca Holdings S.A.
11.00%, 6/15/02 B- 1,555 1,623
(+) Big Flower Press
8.875%, 7/1/07 B 4,600 4,583
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 3,697 3,914
Comcast Cellular
9.50%, 5/1/07 BB+ 5,000 5,225
*(+)@ Consolidated
Hydro, Inc. (Warrants,
expiring 12/31/03) N/R (1)2,700 --
Consolidated Hydro,
Inc.,
13.50% (Preferred
Stock) N/R (1)1,500 11
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 3,432 3,127
93-K1 A2
7.43%, 8/15/18 BB- 2,565 2,230
94-K1 A1
7.60%, 8/15/07 BB- 3,938 3,831
94-K1 A2
8.375%, 8/15/15 BB- 1,525 1,455
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 1,425 1,444
(+) Fleming Cos., Inc.
10.50%, 12/1/04 B+ 2,925 3,060
10.625%, 7/31/07 B+ 1,980 2,091
(+) Fox/Liberty Networks
# 0.00%, 8/15/07 B 3,740 2,384
8.875%, 8/15/07 B 2,310 2,324
Globalstar LP/Capital
11.375%, 2/15/04 B 6,510 6,803
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
*(+) Globalstar
Telecommunications
Ltd. (Warrants,
expiring 2/15/04) N/R $ (1)6,510 $ 781
Grand Casinos, Inc.
10.125%, 12/1/03 BB 6,370 6,776
+ HMC Acquisition
Properties
9.00%, 12/15/07 Ba3 3,585 3,684
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- 1,005 1,031
(+) Hermes Europe
Railtel
11.50%, 8/15/07 B 1,320 1,419
Horseshoe Gaming
9.375%, 6/15/07 B 3,820 3,944
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,175 5,447
(+)## Huntsman Corp.
9.094%, 7/1/07 B+ 4,675 4,862
(+) Hylsa SA de CV
9.25%, 9/15/07 BB 5,200 5,285
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 BBB- 4,750 4,847
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 B+ 8,805 9,212
(+) Impress Metal
Packaging
9.875%, 5/29/07 B DEM 7,650 4,595
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB- $ 4,850 4,949
# Norcal Waste Systems,
Inc.
13.00%, 11/15/05 BB- 7,910 9,097
Outdoor Systems, Inc.
8.875%, 6/15/07 B 7,360 7,507
(+) RBS Participacos SA
11.00%, 4/1/07 BB- 4,975 5,236
(+) Residential
Reinsurance
11.45%, 12/15/98 BB- 3,000 3,084
Revlon Worldwide,
Series B
Zero Coupon, 3/15/01 B- 6,850 4,975
SD Warren Co.
12.00%, 12/15/04 B+ 4,300 4,864
Sinclair Broadcast
Group, Inc.
9.00%, 7/15/07 B 2,300 2,289
Sinclair Capital,
11.625% (Preferred
Stock) B (1)52,815 5,730
Station Casinos, Inc.
9.75%, 4/15/07 B+ 4,410 4,399
(+)# TCI Satellite
Entertainment, Inc.
0.00%, 2/15/07 B- 15,295 9,980
Total Access
Communications
(Convertible)
2.00%, 5/31/06 BBB- 1,640 1,644
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 5,170 5,564
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ TV Azteca S.A.,
Series:
B
10.50%, 2/15/07 Ba3 $ 5,540 $ 5,872
Viacom, Inc.
8.00%, 7/7/06 BB- 10,020 9,995
- ------------------------------------------------------
GROUP TOTAL 187,110
- ------------------------------------------------------
LODGING (1.9%)
Courtyard by Marriott,
Series B
10.75%, 2/1/08 B- 2,185 2,368
(+) Murrin Murrin
Holdings
9.375%, 8/31/07 BB- 7,480 7,686
- ------------------------------------------------------
GROUP TOTAL 10,054
- ------------------------------------------------------
MATERIALS (1.2%)
Asia Pulp & Paper,
Series A
12.00%, 2/15/04 B+ 6,335 6,446
- ------------------------------------------------------
SUPERMARKETS (1.2%)
Southland Corp.
5.00%, 12/15/03 BB+ 7,599 6,554
- ------------------------------------------------------
TECHNOLOGY (0.4%)
++## Blue Bell Funding
11.85%, 5/1/99 BB- 2,215 2,270
- ------------------------------------------------------
TELEPHONES (12.7%)
# Brooks Fiber
Properties, Inc.
0.00%, 3/1/06 N/R 10,870 8,723
0.00%, 11/1/06 N/R 3,765 2,908
*@ Dial Call
Communications, Inc.
(Warrants, expiring
4/25/99) N/R (1)4,800 --
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC 4,875 4,552
+ 0.00%, 12/15/05 B3 7,015 6,270
(+) Iridium Capital
Corp.
13.00%, 7/15/05 B 2,275 2,372
*(+) Iridium World
Communications Ltd.
(Warrants, expiring
7/15/05) N/R (1)2,275 341
(+) IXC Communications,
Inc., PIK 7.25%
(Preferred Stock) CCC (1)3,435 3,985
(+)+ IXC Communications,
Inc., Series B
12.50%, 10/1/05 B2 4,600 5,313
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC 9,810 8,498
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Qwest Communications
International, Inc.,
Series B
10.875%, 4/1/07 B+ $ 2,415 $ 2,729
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 6,630 7,268
Rogers Cablesystems Ltd.
10.125%, 9/1/12 BB+ 2,750 2,984
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 2,060 2,096
Tele-Communications,
Inc.
8.75%, 2/15/23 BBB- 175 181
# Teleport
Communications Group,
Inc.
0.00%, 7/1/07 B 13,290 10,399
- ------------------------------------------------------
GROUP TOTAL 68,619
- ------------------------------------------------------
TRANSPORTATION (1.4%)
(+) Jet Equipment Trust,
Series:
95-A C
11.44%, 11/1/14 BBB- 2,350 3,045
94-A3
11.79%, 6/15/13 BBB- 3,450 4,517
- ------------------------------------------------------
GROUP TOTAL 7,562
- ------------------------------------------------------
UTILITIES (2.9%)
Cleveland Electric
Illuminating Co.
Series B
8.375%, 12/1/11 BB+ 600 614
8.375%, 8/1/12 BB+ 2,025 2,073
Midland Cogeneration
Ltd. Venture LP,
Series:
C-91
10.33%, 7/23/02 BB- 628 672
Midland Funding Corp. I,
Series C-94
10.33%, 7/23/02 BB- 3,328 3,561
National Power Corp.
7.875%, 12/15/06 BB+ 2,985 2,912
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 5,800 5,844
- ------------------------------------------------------
GROUP TOTAL 15,676
- ------------------------------------------------------
YANKEE (6.9%)
## Central Bank of
Argentina Bocon PIK
Pre 4
5.00%, 9/1/02 N/R 3,185 3,846
(+) Globo Communicacoes
10.50%, 12/20/06 BB- 2,390 2,510
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Government of
Jamaica
9.625%, 7/2/02 N/R $ 2,295 $ 2,329
Multicanal SA
10.50%, 2/1/07 BB- 3,000 3,206
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 8,480 6,689
*@ Occidente y Caribe
Cellular (Warrants,
expiring 3/15/04) N/R (1)33,920 --
## Republic of Argentina
5.50%, 3/31/23 BB 7,125 5,379
Republic of Colombia
8.70%, 2/15/16 BBB- 725 739
(+) Republic of Panama
7.875%, 2/13/02 BB+ 4,315 4,342
(+) Transgas de
Occidente S.A.
9.79%, 11/1/10 BBB- 3,050 3,372
United Mexican States
Series B
6.25%, 12/31/19 BB 5,975 4,952
@ United Mexican States
(Recovery Rights,
expiring 6/30/03) N/R (1)5,975,000 --
- ------------------------------------------------------
GROUP TOTAL 37,364
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$461,482) 490,181
- ------------------------------------------------------
CASH EQUIVALENTS (8.8%)
- ------------------------------------------------------
REPURCHASE AGREEMENTS (8.8%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at $23,639,
collateralized by various
U.S. Government Obligations,
due 10/1/97-1/29/99, valued
at $23,858 23,635 23,635
Goldman Sachs & Co. 6.15%,
dated 9/30/97, due 10/1/97,
to be repurchased at $23,638,
collateralized by U.S.
Treasury Bonds, 8.00%, due
11/15/21, valued at $24,122 23,634 23,634
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $47,269) 47,269
- ------------------------------------------------------
TOTAL INVESTMENTS (99.7%) (Cost $508,751) 537,450
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (0.3%)
Cash $ 1
Dividends Receivable 378
Interest Receivable 9,035
Receivable for Investments Sold 7,931
Receivable for Fund Shares Sold 924
Receivable for Daily Variation on Futures
Contracts 58
Other Assets 11
Payable for Investments Purchased (15,855)
Payable for Fund Shares Redeemed (149)
Payable for Investment Advisory Fees (451)
Payable for Administrative Fees (34)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Distribution Fees-Adviser Class (1)
Unrealized Loss on Forward Foreign Currency
Contracts (58)
Other Liabilities (88)
--------
1,692
- ------------------------------------------------------
NET ASSETS (100%) $539,142
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 51,614,460 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $523,899
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.15
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 1,074,664 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 10,916
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.16
- ------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 426,411 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 4,327
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.15
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $487,027
Undistributed Net Investment Income (Loss) 11,795
Undistributed Realized Net Gain (Loss) 12,232
Unrealized Appreciation (Depreciation) on:
Investment Securities 28,699
Foreign Currency Transactions (57)
Futures (554)
- ------------------------------------------------------
NET ASSETS $539,142
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1997
was $4,610 or 0.9% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-Income Producing Security.
(+) 144A security. Certain conditions for public sale
may exist.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(dd) Fitch rating. Security is not rated by Standard &
Poor's Corporation or Moody's Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
DEM German Mark
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PIK Payment-In Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (82.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
FACE
AMOUNT VALUE
SEPTEMBER 30, 1997 (000) (000)!
- -----------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (25.3%)
Abbey National N.A.
5.51%, 12/11/97 $ 2,500 $ 2,473
American Express Credit Corp.
5.49%, 10/23/97 2,500 2,492
Associates Corp. of North America
5.51%, 12/11/97 2,500 2,473
Banc One Corp.
5.52%, 10/17/97 2,500 2,494
Canadian Imperial Holdings
5.49%, 11/3/97 2,500 2,487
CIT Group Holdings, Inc.
5.49%, 11/14/97 2,500 2,483
Eiger Capital Corp.
5.54%, 10/7/97 2,500 2,497
J.P. Morgan & Co.
5.51%, 11/10/97 2,500 2,485
SunTrust Banks, Inc.
5.49%, 11/4/97 2,500 2,487
Westdeutsche Landesbank
5.51%, 11/12/97 2,500 2,484
- -----------------------------------------------------
GROUP TOTAL 24,855
- -----------------------------------------------------
FINANCIAL LEASING & SERVICES (26.2%)
ABN-Amro Finance
5.50%, 10/20/97 2,500 2,493
A.I. Credit Corp.
5.50%, 10/27/97 2,500 2,490
Asset Securitization Corp.
5.50%, 10/15/97 2,500 2,495
Atlantic Asset Securitization
Corp.
5.55%, 10/3/97 2,444 2,443
Commercial Credit Co.
5.51%, 10/28/97 2,500 2,490
Delaware Funding Corp.
5.51%, 11/20/97 2,500 2,481
First Chicago Financial Corp.
5.52%, 11/25/97 2,500 2,479
National Rural Utilities
Cooperative Finance Corp.
5.53%, 1/27/98 2,000 1,964
Panasonic Finance, Inc.
5.49%, 11/7/97 2,500 2,486
UBS Finance, Inc.
5.52%, 10/14/97 1,500 1,497
USAA Capital Corp.
5.49%, 11/20/97 2,500 2,481
- -----------------------------------------------------
GROUP TOTAL 25,799
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------
<S> <C> <C>
FOOD & HOUSEHOLD PRODUCTS (4.8%)
Campbell Soup Co.
5.49%, 12/11/97 $ 2,300 $ 2,275
Clorox Co.
5.50%, 11/6/97 2,500 2,486
- -----------------------------------------------------
GROUP TOTAL 4,761
- -----------------------------------------------------
INDUSTRIALS (11.1%)
General Electric Capital Corp.
5.49%, 11/6/97 2,500 2,486
General Electric Capital Corp.
5.54%, 1/13/98 1,000 984
H.J. Heinz Co.
5.50%, 10/1/97 2,500 2,500
IBM Credit Corp.
5.50%, 10/10/97 2,500 2,496
John Deere & Co.
5.49%, 10/21/97 2,500 2,492
- -----------------------------------------------------
GROUP TOTAL 10,958
- -----------------------------------------------------
MANUFACTURING AND RETAIL TRADE (2.5%)
Xerox Corp.
5.50%, 11/17/97 2,500 2,482
- -----------------------------------------------------
PERSONAL BANKING & CREDIT (5.1%)
Prudential Funding Corp.
5.50%, 11/26/97 2,500 2,479
Transamerica Corp.
5.51%, 10/2/97 2,500 2,500
- -----------------------------------------------------
GROUP TOTAL 4,979
- -----------------------------------------------------
TELECOMMUNICATIONS (5.1%)
Bell Atlantic Financial Services
5.52%, 10/6/97 2,500 2,498
SBC Communications, Inc.
5.50%, 10/31/97 2,500 2,488
- -----------------------------------------------------
GROUP TOTAL 4,986
- -----------------------------------------------------
TRANSPORTATION (2.5%)
Daimler-Benz AG
5.50%, 10/29/97 2,500 2,489
- -----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $81,309) 81,309
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- -----------------------------------------------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT (7.1%)
- -----------------------------------------------------
COMMERCIAL BANKING & CREDIT (7.1%)
Credit Agricole Indosuez
5.56%, 11/18/97 $ 2,500 $ 2,500
## Societe Generale Bank
5.77%, 1/15/98 2,500 2,500
Swiss Bank (NY)
5.62%, 1/21/98 2,000 2,000
- -----------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (Cost $7,000) 7,000
- -----------------------------------------------------
AGENCY FLOATING RATE MORTGAGE (7.1%)
- -----------------------------------------------------
## Federal Home Loan Mortgage
Corp.
5.44%, 6/22/98 (Cost $6,996) 7,000 6,996
- -----------------------------------------------------
BANKERS ACCEPTANCE (2.6%)
- -----------------------------------------------------
First Union National Bank
5.57%, 10/31/97 (Cost $2,500) 2,500 2,500
- -----------------------------------------------------
REPURCHASE AGREEMENT (0.7%)
- -----------------------------------------------------
Chase Securities, Inc.
5.90%, dated 9/30/97, due
10/1/97, to be repurchased at
$710, collateralized by U.S.
Treasury Notes, 6.25%, due
7/31/98, valued at $721 (Cost
$710) 710 710
- -----------------------------------------------------
TOTAL INVESTMENTS (100.1%) (Cost $98,515) 98,515
- -----------------------------------------------------
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.1%)
Interest Receivable 85
Receivable for Fund Shares Sold 2
Other Assets 3
Dividend Payable (49)
Payable for Fund Shares Redeemed (8)
Payable for Investment Advisory Fees (47)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other Liabilities (28)
-------
(51)
- -----------------------------------------------------
NET ASSETS (100%) $98,464
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 98,463,030 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $98,464
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $98,464
- -----------------------------------------------------
NET ASSETS (100%) $98,464
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
## Variable or floating rate security-rate disclosed is
as of September 30, 1997.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.0%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (9.5%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27 Agy $ 17,000 $ 17,128
November TBA
6.00%, 11/20/27 Agy 4,325 4,351
- -------------------------------------------------------
GROUP TOTAL 21,479
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (12.5%)
Federal Home Loan Mortgage
Corporation
Conventional
Pools:
8.25%, 10/1/06 Agy 99 104
10.00%, 9/1/17-11/1/20 Agy 1,334 1,455
10.25%, 7/1/09 Agy 256 283
11.00%, 1/1/16 Agy 335 377
11.25%, 9/1/10-12/1/14 Agy 374 420
Gold Pools:
7.00%, 9/1/23-6/1/25 Agy 4,838 4,846
10.00%, 1/1/21 Agy 891 985
10.50%, 3/1/16 Agy 1,220 1,356
Federal National Mortgage
Association Conventional
Pools:
10.00%, 5/1/22 Agy 832 912
10.50%, 11/1/17-12/1/17 Agy 697 780
10.75%, 8/1/13 Agy 102 115
11.25%, 11/1/00-8/1/13 Agy 215 242
11.50%, 1/1/17-9/1/25 Agy 873 993
Government National
Mortgage Association
Various Pools:
7.00%, 12/15/22-12/15/23 Agy 6,050 6,071
10.00%,
11/15/09-12/15/20 Agy 6,937 7,701
10.50%, 12/15/00-5/15/19 Agy 113 127
11.00%, 2/15/10-2/15/19 Agy 1,335 1,523
11.50%, 8/20/14-1/20/18 Agy 21 24
- -------------------------------------------------------
GROUP TOTAL 28,314
- -------------------------------------------------------
ASSET BACKED CORPORATES (7.9%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 657 660
## Airplanes Pass Through
Trust, Series 1 B
6.756%, 3/15/19 A 499 500
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 800 819
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 1,113 1,118
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Arcadia Auto,
Series 97-C
A4
6.375%, 1/15/03 AAA 1,110 1,114
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA $ 637 $ 641
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 611 615
First Plus Home Equity Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 655 656
97-3 A3
6.57%, 10/10/10 AAA 645 648
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 1,770 1,768
(+) Long Beach Auto,
Series 97-2A
6.69%, 9/25/04 AAA 790 790
(+) NAL Auto Trust,
Series 97-2A
7.75%, 9/15/02 N/R 933 934
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,153
(+) NPR Health Care,
Series 97-1 A
6.815%, 7/1/01 N/R 400 404
(+) Railcar Leasing
7.125%, 1/15/13 AAA 1,350 1,395
Security Pacific Home
Equity Trust,
Series 91-AB
10.50%, 3/10/06 A+ 414 415
(+) Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 475 476
97-1A
7.35%, 5/15/03 A- 1,300 1,337
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 1,234 1,234
WFS Financial Owner Trust,
Series 97-C A3
6.01%, 3/20/02 AAA 1,180 1,179
- -------------------------------------------------------
GROUP TOTAL 17,856
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.0%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 1,000 1,010
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 14,706 365
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD MOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-3 YMA
10/25/26 N/R $ 14,706 $ 20
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 12,055 317
sec. 96-4 A12 YMA
1/15/28 (acquired
12/16/96, cost $7) AAA 4,870 7
(+) 96-4 A12 YMA
1/15/28 AAA 14,600 22
96-4 A12 IO
1.05%, 1/15/28 AAA 3,894 102
(+) 97-1 A10 YMA
3/15/28 N/R 14,484 20
97-1 A10I IO
1.10%, 3/15/28 AAA 14,149 387
- -------------------------------------------------------
GROUP TOTAL 2,250
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.7%)
Federal Home Loan Mortgage
Corporation,
Series:
89-47 F PAC CMO
10.00%, 6/15/20 Agy 400 439
## 1632 SA Inv Fl REMIC
5.336%, 11/15/23 Agy 884 737
## 1699 SD Inv Fl IO
REMIC
2.313%, 3/15/24 Agy 9,319 745
1709 H PO REMIC
1/15/24 Agy 62 31
1750 C PD PO REMIC
3/15/24 Agy 91 65
1813 K PO REMIC
2/15/24 Agy 60 41
1844 PC PO REMIC
3/15/24 Agy 110 70
1854 A PO REMIC
12/15/23 Agy 800 527
1887 I PO REMIC
10/15/22 Agy 65 44
Federal National Mortgage
Association,
Series:
93-149 O PO REMIC
8/25/23 Agy 130 82
93-205 G PO REMIC
9/25/23 Agy 474 305
93-235 H PO REMIC
9/25/23 Agy 186 145
96-14 PC PO REMIC
12/25/23 Agy 105 60
96-37 H PO REMIC
8/25/23 Agy 752 559
96-46 PB PO REMIC
9/25/23 Agy 110 74
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-54 N PO REMIC
7/25/23 Agy $ 79 $ 59
96-54 O PO REMIC
11/25/23 Agy 89 56
282 1 PO
5/15/24 Agy 1,831 1,255
287 1 PO
12/17/07 Agy 1,340 877
- -------------------------------------------------------
GROUP TOTAL 6,171
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (10.7%)
## Bear Stearns Mortgage
Securities Inc.,
Series 96-4 AI 10
8.125%, 9/25/27 AAA 1,100 1,148
+ Chase Mortgage Finance
Corp.,
Series:
93-N A8
6.75%, 11/25/24 Aaa 1,287 1,218
94-H A7
7.25%, 6/25/25 Aaa 1,600 1,576
sec. Citicorp Mortgage
Securities, Inc.,
Series 95-2 B1 REMIC
7.50%, 4/25/25 (acquired
8/7/95-7/22/97, cost
$849) N/R 874 887
DLJ Mortgage Acceptance
Corp., Series 97-CF2 A1B
6.82%, 10/15/30 AAA 650 654
First Boston Mortgage
Corp.,
Series:
sec. 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93, cost
$313) A 326 333
93-5 B1
7.30%, 7/25/23 AAA 1,419 1,418
GE Capital Mortgage
Services, Inc., Series
94-24 A4
7.00%, 7/25/24 AAA 582 558
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 1,075 1,098
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.467%, 5/28/22
(acquired 8/5/92,
cost $274) N/R 274 274
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 1,050 1,140
PNC Mortgage Securities
Corp.,
Series:
94-3 A8
7.50%, 7/25/24 AAA 2,117 2,107
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-1 B1
7.50%, 6/25/26 AA $ 1,159 $ 1,174
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec.+ 92-33 B1
7.50%, 8/15/22 (acquired
9/14/92, cost $523) Aa3 550 535
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 1,000 979
+ 93-17 B1
6.50%, 3/1/23 Aa2 597 591
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 1,450 1,402
Residential Accredit Loans,
Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 525 541
97-QS4 A7
7.75%, 5/25/27 AAA 875 902
97-QS12 A8
7.25%, 12/25/27 TBA AAA 1,400 1,402
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
93-MZ3 A2
6.97%, 8/28/23 N/R 700 682
93-S27 M2
7.50%, 6/25/23 A 789 797
94-S1 A19
6.75%, 1/25/24 AAA 765 745
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 938 894
## Ryland Mortgage
Securities Corp.,
Series 92-A 1A
8.27%, 3/29/30 A- 529 535
+ Salomon Brothers Mortgage
Securities, Series 93-3
B1
7.20%, 8/25/23 Aa2 621 618
- -------------------------------------------------------
GROUP TOTAL 24,208
- -------------------------------------------------------
COMMERCIAL MORTGAGES (10.8%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 1,098 1,119
## 93-2 S1 IO
1.056%, 1/18/09 N/R 11,299 572
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 1,050 1,086
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 1,222 1,280
95-MD4 A1
7.10%, 8/13/29 AAA 1,169 1,203
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
## 95-MD4 ACS2 IO
2.381%, 8/13/29 N/R $ 2,088 $ 371
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 850 893
96-MD6 A1C
7.04%, 11/13/26 AAA 825 848
Beverly Finance Corp.
8.36%, 7/15/04 AA- 675 727
(+) Carousel Center
Finance, Inc., Series 1 B
7.188%, 10/15/07 A 1,400 1,426
CBM Funding Corp. Series
96-1 A3PI
7.08%, 2/1/13 AA 950 979
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 726 808
(+) Crystal Run Properties,
Series A
7.393%, 8/15/06 AA 1,100 1,149
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 580 594
(+) DLJ Mortgage Acceptance
Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 1,100 1,110
96-CF1 A1B
7.58%, 3/13/28 AAA 1,100 1,159
96-CF2 A1B
7.29%, 7/15/06 AAA 260 269
## 96-CF2 S IO
1.643%, 11/12/21 N/R 2,473 219
+ GMAC Commercial Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.96%, 3/15/21 Aaa 3,616 338
+ GS Mortgage Securities
Corp.,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 550 562
97-GL X2 IO
1.07%, 7/13/30 Aaa 2,700 145
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 900 917
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 1,035 1,076
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 1,100 1,148
96-C2 A2
6.82%, 11/21/28 AAA 400 405
96-C2 IO
1.529%, 11/21/28 N/R 4,158 373
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa $ 700 $ 724
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,342
## Nomura Asset Securities
Corp., Series 94-MD1 A2
7.664%, 3/15/18 N/R 750 786
(+) Prime Property Funding,
Series 1A
6.633%, 7/23/03 AA 794 794
- -------------------------------------------------------
GROUP TOTAL 24,422
- -------------------------------------------------------
ENERGY (0.6%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 1,275 1,292
- -------------------------------------------------------
FINANCE (13.1%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 900 970
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 1,350 1,388
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 850 860
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 1,025 1,047
Countrywide Funding Corp.
Series A
6.55%, 4/14/00 A 1,000 1,006
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 1,200 1,209
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 975 1,038
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,166 1,173
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 1,225 1,237
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,650 1,666
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 1,125 1,153
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 800 826
7.45%, 7/1/04 A 200 207
(+) Florida Windstorm
6.70%, 8/25/04 A- 750 748
(+)+ Home Ownership Funding
Corp.,
13.331% (Preferred
Stock) Aaa (1)4,350 4,221
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 950 949
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA $ 875 $ 851
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 850 837
NB Capital Trust
8.25%, 4/15/27 A- 800 843
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 500 495
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 1,050 1,055
(+) Prime Property Funding
7.00%, 8/15/04 A 875 884
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 825 841
B
8.035%, 3/15/27 A 250 257
Washington Mutual Capital
8.375%, 6/1/27 BBB- 445 467
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 1,150 1,183
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 1,738 1,756
96 WFP-D
6.95%, 9/1/13 AA- 450 456
- -------------------------------------------------------
GROUP TOTAL 29,623
- -------------------------------------------------------
FOREIGN GOVERNMENTS (0.8%)
Government of Germany
7.375%, 1/3/05 AAA DEM 3,075 1,955
- -------------------------------------------------------
INDUSTRIALS (0.9%)
News America Holdings
7.75%, 1/20/24 BBB $ 375 370
7.75%, 2/1/24 BBB 565 557
(+) Oxymar
7.50%, 2/15/16 BBB 650 650
Tier One Properties,
11.095% (Preferred Stock) A (1)425 416
- -------------------------------------------------------
GROUP TOTAL 1,993
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.6%)
Bank of America, Series A
8.375%, 5/1/07 AAA 120 121
California Federal Savings
& Loan, Series 86-1A
8.80%, 1/1/14 AA 77 77
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 43 44
</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>
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA $ 455 $ 459
Ryland Acceptance Corp.
Series IV 79-A
6.65%, 7/1/11 AA 779 750
- -------------------------------------------------------
GROUP TOTAL 1,451
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.2%)
Federal National Mortgage
Association,
Series:
93-146 G PO REMIC
5/25/23 Agy 583 382
93-243 C PO REMIC
11/25/23 Agy 128 99
249 1 PO
10/25/23 Agy 1,941 1,282
254 1 PO
1/1/24 Agy 634 454
260 1 PO
4/1/24 Agy 848 603
- -------------------------------------------------------
GROUP TOTAL 2,820
- -------------------------------------------------------
TELEPHONES (0.4%)
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 825 888
- -------------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment Trust,
Series 95-A A11
10.00%, 6/15/12 A+ 950 1,178
- -------------------------------------------------------
U.S. TREASURY SECURITIES (20.3%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 10,795 13,686
U.S. Treasury Notes
6.25%, 5/31/99 Tsy 12,075 12,162
6.75%, 6/30/99 Tsy 4,000 4,062
(dd)7.125%, 9/30/99 Tsy 5,600 5,736
3.625%, 7/15/02
(Inflation Indexed) Tsy 501 500
3.375%, 1/15/07
(Inflation Indexed) Tsy 8,129 7,974
U.S. Treasury Strip, PO
11/15/18 Tsy 7,400 1,870
- -------------------------------------------------------
GROUP TOTAL 45,990
- -------------------------------------------------------
UTILITIES (0.2%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 500 514
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
YANKEE (3.3%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB $ 975 $ 995
AST Research, Inc.
7.45%, 10/1/02 A- 850 847
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BBB- 925 944
Korea Development Bank
7.375%, 9/17/04 AA- 790 796
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 800 877
(+) Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 800 793
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 1,030 1,088
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 350 380
Republic of Colombia
8.70%, 2/15/16 BBB- 700 714
- -------------------------------------------------------
GROUP TOTAL 7,434
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $215,747) 219,838
- -------------------------------------------------------
INTEREST RATE CAP (0.1%)-SEE NOTE A6
- -------------------------------------------------------
J.P. Morgan and Co., Inc.,
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of 12 month
LIBOR over 6.34%
multiplied by the
notional amount. (Premium
Paid $243) N/R 57,500 174
- -------------------------------------------------------
CASH EQUIVALENTS (5.2%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(0.4%) 844 844
- -------------------------------------------------------
COMMERCIAL PAPER (0.6%)
First Chicago NBD Corp.
5.839%, 10/3/97 1,525 1,525
- -------------------------------------------------------
REPURCHASE AGREEMENT (4.2%)
Chase Securities, Inc. 5.90% dated
9/30/97, due 10/1/97, to be
repurchased at $9,497,
collateralized by various U.S.
Government Obligations due
10/1/97-1/29/99, valued at
$9,584 9,495 9,495
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $11,864) 11,864
- -------------------------------------------------------
TOTAL INVESTMENTS (102.3%) (Cost $227,854) 231,876
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-2.3%)
Dividends Receivable $ 187
Interest Receivable 2,635
Receivable for Investments Sold 988
Receivable for Daily Variation on Futures
Contracts 18
Unrealized Gain on Swap Agreements 4
Other Assets 7
Payable for Investments Purchased (7,863)
Payable for Fund Shares Redeemed (33)
Payable for Investment Advisory Fees (209)
Payable for Administrative Fees (15)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Unrealized Loss on Forward Foreign Currency
Contracts (31)
Collateral on Securities Loaned, at Value (844)
Other Liabilities (52)
--------
(5,214)
- -------------------------------------------------------
NET ASSETS (100%) $226,662
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 19,770,477 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $226,662
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.46
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $216,715
Undistributed Net Investment Income (Loss) 4,574
Undistributed Realized Net Gain (Loss) 1,526
Unrealized Appreciation (Depreciation) on:
Investment Securities 4,022
Foreign Currency Transactions (32)
Futures and Swaps (143)
- -------------------------------------------------------
NET ASSETS $226,662
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1997 was $2,036 or 0.9% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale
may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed
is as of September 30, 1997.
(1) Amount represents shares held by the Portfolio.
CMO Collateralized Mortgage Obligation
DEM German Mark
INV FI Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate.
Indicated rate is the effective rate at September
30, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's 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.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (98.0%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -----------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (15.0%)
## Government National
Mortgage Association
Various Pools:
6.50%, 8/20/27 Agy $2,970 $ 3,015
October TBA
6.00%, 6/20/27 Agy 2,700 2,717
- -----------------------------------------------------
GROUP TOTAL 5,732
- -----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (38.1%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
10.00%, 2/1/18 Agy 341 372
11.50%, 2/1/14-1/1/16 Agy 221 251
12.50%, 9/1/11-11/1/14 Agy 179 211
Gold Pools:
7.00%, 1/1/24-12/1/24 Agy 759 760
7.50%, 2/1/27-6/1/27 Agy 5,558 5,666
October TBA
7.50%, 7/15/26 Agy 1,750 1,781
Federal National Mortgage
Association
Conventional Pools:
10.00%, 9/1/18-2/1/25 Agy 771 845
11.50%, 2/1/15-12/1/15 Agy 155 176
12.50%, 9/1/13 Agy 20 24
13.00%, 5/1/13 Agy 59 68
Government National Mortgage
Association
Various Pools:
7.00%, 12/15/23 Agy 1,812 1,818
10.00%, 1/15/13-12/25/26 Agy 706 782
10.50%, 12/15/10-12/15/17 Agy 346 390
11.00%, 12/15/09-8/15/15 Agy 42 47
11.50%, 5/15/13 Agy 26 29
12.00%, 12/15/12-11/15/15 Agy 1,097 1,273
- -----------------------------------------------------
GROUP TOTAL 14,493
- -----------------------------------------------------
ASSET BACKED CORPORATES (0.5%)
Old Stone Credit Corp,
Series 92-3 B1
6.35%, 9/25/07 AAA 32 31
Security Pacific Home Equity
Trust, Series 91-A B
10.50%, 3/10/06 A+ 176 176
- -----------------------------------------------------
GROUP TOTAL 207
- -----------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-AGENCY
COLLATERAL SERIES (8.6%)
Federal Home Loan Mortgage
Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy $ 185 $ 202
90-1007 F Inv Fl
21.795%, 1/15/20 Agy 3 3
1415-S Inv Fl IO CMO
18.813%, 11/15/07 Agy 142 66
1476-S Inv Fl IO REMIC PAC
4.363%, 2/15/08 Agy 1,122 131
1485-S Inv Fl IO REMIC
3.913%, 3/15/08 Agy 1,954 173
1600-SA Inv Fl IO REMIC
2.313%, 10/15/08 Agy 3,103 172
1950-SC Inv Fl IO
2.313%, 10/15/22 Agy 3,450 316
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl CMO
28.975%, 9/25/20 Agy 43 66
92-52 SQ Inv Fl IO REMIC
7229.546%, 9/25/22 Agy 1 241
92-186 S Inv Fl IO CMO
3.363%, 10/25/07 Agy 2,243 193
93-205 G PO REMIC
9/25/23 Agy 180 116
93-235 H PO REMIC
9/25/23 Agy 72 56
96-68 SC Inv Fl IO REMIC
2.475%, 1/25/24 Agy 432 52
97-30 Inv Fl IO REMIC
2.281%, 7/25/22 Agy 1,035 96
282 1 PO
5/15/24 Agy 564 386
Government National Mortgage
Association,
Series:
96-12 S Inv Fl IO REMIC
2.813%, 6/16/26 Agy 4,557 316
96-13 S Inv Fl IO REMIC
3.65%, 7/16/11 Agy 1,817 158
96-17 S Inv Fl IO REMIC
2.863%, 8/16/26 Agy 2,269 164
Kidder Peabody Mortgage
Assets Trust,
Series:
+ 87-B IO
9.50%, 4/22/18 Aaa 190 57
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
!!RATINGS
(STANDARD FACE
(CONT'D) & AMOUNT VALUE
POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
+ 87-B PO
4/22/18 Aaa $ 190 $ 143
Morgan Stanley Mortgage
Trust, Series 28 8 PAC
9.40%, 10/1/18 AAA 165 172
- -----------------------------------------------------
GROUP TOTAL 3,279
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (19.8%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 379 402
Citicorp Mortgage Securities,
Inc., Series 93-9 A1 REMIC
7.00%, 3/25/20 AAA 123 124
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 250 239
Countrywide Funding Corp.,
Series 94-12 A10
7.00%, 5/25/24 AAA 1,135 1,096
DLJ Mortgage Acceptance
Corp., Series 97-CF2 A1B
6.82%, 10/15/30 AAA 100 101
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-
10/27/93, cost $145) A 144 147
GE Capital Mortgage Services,
Inc., Series 94-24 A4
7.00%, 7/25/24 AAA 347 333
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 125 128
sec.## Kidder Peabody Funding
Corp., Series 92-4 B2
8.467%, 5/28/22
(acquired 8/5/92-
10/27/93, cost $118) N/R 117 117
Mid-State Trust II, Series
88-2 A4
9.625%, 4/1/03 AAA 590 641
PNC Mortgage Securities
Corp., Series 96-1 B1
7.50%, 6/25/26 AA 306 310
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec.+ 92-33 B1
7.50%, 11/15/22
(acquired 11/30/92,
cost $226) Aa3 263 255
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 910 880
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Residential Accredit Loans,
Inc.
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa $ 190 $ 192
97-Q52 A8
7.75%, 3/25/27 AAA 85 88
97-QS3 A8
7.75%, 4/25/27 AAA 170 175
97-QS12 A8 TBA
7.25%, 12/25/27 N/R 225 225
Residential Funding Mortgage
Securities Co., Inc.,
Series 94-S1 A19
6.75%, 1/25/24 AAA 301 293
Rural Housing Trust, Series
87-1 M
3.33%, 10/1/28 A- 410 391
+ Ryland Mortgage Securities
Corp., Series 93-4 A9
7.50%, 8/25/24 Aaa 885 887
Saxon Mortgage Securities
Corp., Series 93-8A A6
7.375%, 9/25/23 AAA 517 513
- -----------------------------------------------------
GROUP TOTAL 7,537
- -----------------------------------------------------
COMMERCIAL MORTGAGES (10.0%)
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 219 225
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 140 147
96-MD6 A1C
7.04%, 11/13/26 AAA 140 144
Beverly Finance Corp.
8.36%, 7/15/04 AA- 285 307
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 155 160
CS First Boston Mortgage
Securities Corp., Series
97-C1 A1C
7.24%, 6/20/29 AAA 190 197
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 45 47
## 96-CF2 S IO
1.643%, 11/12/21 N/R 472 42
+ GS Mortgage Securities
Corp., Series 97-GL A2D
6.94%, 7/13/30 Aaa 105 107
(+) Lakeside Finance Corp.
6.47%, 12/15/00 AA 315 315
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 168 174
</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>
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA $ 70 $ 71
96-C2 IO
1.529%, 11/21/28 N/R 740 66
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 120 124
+ Mortgage Capital Funding,
Inc., Series 97-MC1 A3
7.288%, 7/20/27 Aaa 225 234
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 185 190
## 94-MD1 A2
7.664%, 3/15/18 N/R 150 157
(+) Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 259 259
Sawgrass Financial, Series
93-A1
6.45%, 1/20/06 AAA 340 341
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 495 493
- -----------------------------------------------------
GROUP TOTAL 3,800
- -----------------------------------------------------
FINANCE (2.7%)
(+)+ Home Ownership Funding
Corp.,
13.331% (Preferred Stock) Aaa (1)1,050 1,019
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (1.6%)
DLJ Mortgage Acceptance
Corp., Series 93-MF7 A1
7.40%, 6/18/03 AAA 242 248
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 304 307
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 69 66
- -----------------------------------------------------
GROUP TOTAL 621
- -----------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY
COLLATERAL SERIES (1.7%)
Federal National Mortgage
Association
Series:
249 1 PO,
10/25/23 Agy $ 111 $ 74
254 1 PO,
1/1/24 Agy 98 70
260 1 PO,
4/1/24 Agy 131 93
## 93-M2 B IO REMIC
2.575%, 7/25/03 Agy 554 32
93-146 G PO REMIC
5/25/23 Agy 234 153
93-243 C PO REMIC
11/25/23 Agy 44 34
96-27 A PO REMIC
10/25/23 Agy 345 151
First Boston Mortgage
Securities Corp., Series
87-B2 IO
8.985%, 4/25/17 AAA 145 40
- -----------------------------------------------------
GROUP TOTAL 647
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$36,503) 37,335
- -----------------------------------------------------
STRUCTURED INVESTMENTS (0.4%)-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
$189) N/R 4,745 137
- -----------------------------------------------------
INTEREST RATE CAPS (0.1%)-SEE NOTE A6
- -----------------------------------------------------
Bankers Trust Co., Inc.,
terminating 10/15/99, to receive
on 10/15/99 the excess, as
measured on 10/15/98, of 12 month
LIBOR over 6.34% multiplied by
the notional amount. N/R 6,600 20
J.P. Morgan and Co., Inc.,
terminating 10/15/99, to receive
on 10/15/99 the excess, as
measured on 10/15/98, of 12 month
LIBOR over 6.34% multiplied by
the notional amount. N/R 10,000 30
- -----------------------------------------------------
GROUP TOTAL (Premium Paid $68) 50
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-BACKED
SECURITIES PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (13.5%)
- -----------------------------------------------------
AGENCY FLOATING RATE MORTGAGE (0.8%)
## Federal Home Loan Mortgage
Corporation,
2/15/24 $ 299 $ 299
- -----------------------------------------------------
DISCOUNT NOTE (7.6%)
Federal Home Loan Mortgage
Corporation,
10/16/97 1,500 1,496
Federal National Mortgage
Association
10/17/97 1,400 1,397
- -----------------------------------------------------
GROUP TOTAL 2,893
- -----------------------------------------------------
U.S. TREASURY SECURITY (1.3%)
(dd) U.S. Treasury Bill
11/13/97 515 512
- -----------------------------------------------------
REPURCHASE AGREEMENT (3.8%)
Chase Securities, Inc. 5.90% dated
9/30/97, due 10/1/97, to be
repurchased at $1,434,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99 valued at $1,447 1,434 1,434
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $5,134) 5,138
- -----------------------------------------------------
TOTAL INVESTMENTS (112.0%) (Cost $41,894) 42,660
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-12.0%)
Dividends Receivable 35
Interest Receivable 357
Receivable for Investments Sold 1,966
Receivable for Fund Shares Sold 10
Receivable for Daily Variation on Futures
Contracts 8
Other Assets 2
Payable for Investments Purchased (6,819)
Payable for Fund Shares Redeemed (14)
Payable for Investment Advisory Fees (40)
Payable for Administrative Fees (3)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Unrealized Loss on Swap Agreements (51)
Other Liabilities (25)
-------
(4,575)
- -----------------------------------------------------
NET ASSETS (100%) $38,085
- -----------------------------------------------------
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 3,540,390 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $38,085
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.76
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $39,281
Undistributed Net Investment Income (Loss) 1,007
Undistributed Realized Net Gain (Loss) (2,861)
Unrealized Appreciation (Depreciation) on:
Investment Securities 766
Futures and Swaps (108)
- -----------------------------------------------------
NET ASSETS $38,085
- -----------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1997 was $519 or 1.4% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 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 September 30, 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
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.
- --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.9%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (18.9%)
## Government National
Mortgage Association
Various Pools:
6.00%, 9/20/27 Agy $ 9,750 $ 9,823
6.50%, 8/20/27 Agy 16,830 17,088
November TBA
6.00%, 11/20/27 Agy 2,500 2,515
- -------------------------------------------------------
GROUP TOTAL 29,426
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (8.4%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
10.00%, 4/1/10-8/1/16 Agy 371 405
10.50%, 12/1/14-11/1/19 Agy 669 744
11.00%, 8/1/15-5/1/20 Agy 257 288
11.50%, 12/1/08-1/1/18 Agy 1,160 1,315
Gold Pools:
10.00%, 2/1/21-10/1/21 Agy 299 330
10.50%, 1/1/19-10/1/20 Agy 583 648
11.50%, 8/1/10 Agy 195 224
12.00%, 6/1/15-9/1/15 Agy 535 614
Federal National Mortgage
Association
Conventional Pools:
10.00%, 12/1/15-9/1/16 Agy 668 732
10.50%, 4/1/15 Agy 112 126
11.00%, 7/1/20 Agy 467 526
12.00%, 5/1/14-8/1/20 Agy 344 396
12.50%, 2/1/15 Agy 99 115
Government National
Mortgage Association
Various Pools:
10.00%,
11/15/09-12/25/26 Agy 3,132 3,476
10.50%, 5/15/16-5/15/26 Agy 724 816
11.00%, 1/15/10-6/15/20 Agy 1,720 1,966
11.50%, 2/15/13-9/15/14 Agy 280 325
- -------------------------------------------------------
GROUP TOTAL 13,046
- -------------------------------------------------------
ASSET BACKED CORPORATES (25.3%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 400 402
(+) ACC Automobile
Receivables Trust, Series
97-C A
6.40%, 3/17/04 AAA 746 748
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 197 197
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
96-B A
6.60%, 4/15/01 A $ 336 $ 337
97-A A
6.35%, 10/15/02 AAA 649 650
ALPS, Series 94-1 A2 CMO
7.15%, 11/15/97 AA 788 795
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 657 660
Arcadia Auto, Series 97-C
A4
6.375%, 1/15/03 AAA 770 773
Associates Manufactured
Housing Pass Through
Certificates, Series 97-1
A3
6.60%, 6/15/28 AAA 845 851
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 140 142
95-A B
7.65%, 3/15/02 A 209 212
Champion Home Equity Loan
Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 650 656
96-4 A2
6.66%, 11/25/11 AAA 875 876
Cityscape Home Equity Loan
Trust,
Series:
96-1 A1
6.45%, 1/25/11 AAA 252 251
96-3 A2
6.65%, 6/25/11 AAA 600 600
97-1 A3
6.63%, 3/25/18 AAA 1,300 1,301
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 528 529
97-2 A
6.65%, 10/15/02 AAA 455 458
Contimortgage Home Equity
Loan Trust, Series 96-3
A2
6.97%, 7/15/11 AAA 600 602
Crown Home Equity Loan
Trust, Series 96-1 A2
6.51%, 6/25/11 AAA 950 950
CS First Boston Mortgage
Securities Corp., Series
96-2 A2
6.32%, 3/25/05 AAA 875 873
Delta Funding Home Equity
Loan Trust, Series 96-3
A2
6.525%, 10/25/11 AAA 950 948
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA $ 1,175 $ 1,167
(+) 97-2 A1
6.85%, 11/15/02 AAA 564 568
First Plus Home Loan Trust,
Series:
96-3 A2
6.85%, 6/20/07 AAA 900 904
96-4 A3
6.28%, 3/10/09 AAA 900 898
97-1 A3
6.45%, 6/10/09 AAA 1,300 1,300
First Union Residential
Securitization Trust
Series 96-2 A2
6.46%, 9/25/11 AAA 925 924
Fleet Finance, Inc., Series
93-1 A
5.45%, 3/20/23 AAA 14 14
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 510 511
Ford Credit Auto Owner
Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA 1,700 1,711
96-B
6.55%, 2/15/02 A 400 402
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA 493 497
General Electric Home
Equity Loan Asset-Backed
Certificates, Series 91-1
B
8.70%, 9/15/11 AAA 850 873
General Motors Acceptance
Corp., Grantor Trust,
Series 93-A A
4.15%, 3/15/98 AAA 2 2
General Motors Acceptance
Corp., Series 97-A A
6.50%, 4/15/02 AAA 885 889
Greenwich Capital
Acceptance, Inc., Series
95-BA1 A1
6.00%, 8/10/20 AAA 302 301
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 1,281 1,280
IBM Credit Receivables
Lease Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA 116 115
IMC Home Equity Loan Trust,
Series 96-4 A3
6.81%, 7/25/11 AAA 500 502
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Long Beach Auto,
Series 97-2 A
6.69%, 9/25/04 AAA $ 568 $ 568
Money Store (The) Home
Equity Trust,
Series 95-CA1
6.20%, 1/15/09 AAA 127 126
(+) NAL Auto Trust, Series:
96-3A
7.30%, 12/15/00 N/R 250 249
97-2A
7.75%, 9/15/02 N/R 420 420
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 600 615
Navistar Financial Corp.,
Series 94-B A
6.40%, 1/15/00 AAA 361 361
(+) NPR Health Care,
Series 97-1 A
6.815%, 7/1/01 N/R 300 303
Oakwood Mortgage Investors
Inc., Series 95-B A1
6.25%, 1/15/21 AAA 267 267
Old Stone Credit Corp,
Series 92-3 B1
6.35%, 9/25/07 AAA 94 93
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 180 180
94-B B
6.95%, 6/15/01 AAA 240 242
Onyx Acceptance Grantor
Trust,
Series:
97-2 A
6.35%, 10/15/03 AAA 955 957
1997-3A
6.35%, 1/15/04 AAA 800 803
Onyx Acceptance Trust,
Series:
94-1 A
6.90%, 1/17/00 AAA 122 123
Preferred Credit Corp.,
Series 97-1 A3
6.91%, 5/1/07 AAA 850 856
Premier Auto Trust,
Series:
94-3 B
6.80%, 12/2/99 AA 113 114
95-A A4
6.00%, 5/6/00 AAA 775 775
Security Pacific Home Loan
Equity Trust, Series 91-1
B
8.85%, 5/15/98 AAA 678 688
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Southern Pacific Secured
Assets Corp.,
Series 96-1 A2
6.09%, 3/25/27 AAA $ 309 $ 308
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 350 350
97-1 A
7.35%, 5/15/03 A- 875 900
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 722 722
97-B A2
6.70%, 6/8/03 AAA 700 706
+ Vanderbilt Mortgage
Finance, Series 97-B 1A2
6.775%, 12/7/28 Aaa 1,000 1,012
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 810 809
Western Financial Auto
Grantor Trust,
Series:
93-A1
4.45%, 7/1/98 AAA 29 29
93-2 A2
4.70%, 10/1/98 AAA 24 23
93-3 A1
4.25%, 12/1/98 AAA 37 37
94-1 A1
5.10%, 6/1/99 AAA 86 86
- -------------------------------------------------------
GROUP TOTAL 39,391
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (12.4%)
Federal Home Loan Mortgage
Corporation,
Series:
181 D REMIC
8.50%, 6/15/16 Agy 1,340 1,342
1386 D REMIC
6.188%, 10/15/07 Agy 1,488 1,491
1462 PAC-1 (11) REMIC
6.75%, 9/15/16 Agy 1,075 1,082
1542 H PAC-1
6.50%, 10/15/20 Agy 1,160 1,165
1548 G SEQ
6.00%, 4/15/17 Agy 926 921
1560 PE PAC-1 (11) REMIC
6.00%, 11/15/16 Agy 1,250 1,245
1576 PD PAC (11) REMIC
5.50%, 9/15/02 Agy 1,075 1,071
1680 PB PAC-1 (11)
5.70%, 6/15/12 Agy 537 535
1839 A
6.50%, 7/15/17 Agy 1,035 1,040
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
1931 Class A SEQ
7.25%, 6/15/21 Agy $ 959 $ 970
92-127 FA REMIC
6.188%, 3/25/06 Agy 308 308
93-16 B
7.50%, 10/25/19 Agy 850 863
93-83 A SEQ
5.55%, 11/25/16 Agy 825 814
94-93 PD PAC
7.25%, 4/25/15 Agy 800 809
96-40 K
5.75%, 11/25/16 Agy 1,625 1,610
97-67 HB
6.50%, 12/17/21 Agy 1,450 1,441
97-67 HD
6.00%, 12/17/21 Agy 1,700 1,668
Federal National Mortgage
Association, Series 93-70
B
5.75%, 4/25/16 Agy 986 976
- -------------------------------------------------------
GROUP TOTAL 19,351
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.3%)
Citicorp Mortgage
Securities, Inc., Series
93-9 B
7.00%, 3/25/20 AAA 101 101
G E Capital Mortgage
Services, Inc., Series
93-14 A2 REMIC
5.75%, 4/25/11 AAA 355 353
- -------------------------------------------------------
GROUP TOTAL 454
- -------------------------------------------------------
COMMERCIAL MORTGAGES (0.8%)
+ Carolina First Bank,
Series 96
6.50%, 12/18/99 Aa2 262 262
CBM Funding Corp., Series
96-1B A1
7.55%, 2/1/13 AA 335 340
+ Midland Realty Acceptance
Corp., Series 96-C2 A1
7.02%, 1/25/27 Aaa 581 592
- -------------------------------------------------------
GROUP TOTAL 1,194
- -------------------------------------------------------
FINANCE (11.6%)
Allstate Corp.
5.875%, 6/15/98 A 1,125 1,126
Associates Corp. of
North America
8.25%, 12/1/99 AA- 800 835
Bankers Trust New York
Corp.
6.625%, 7/30/99 A 635 640
Barclays American Corp.
7.875%, 8/15/98 AA 450 458
Beneficial Corp.
6.45%, 6/19/00 A 670 673
Chase Manhattan Bank N.A.
5.875%, 8/4/99 A+ 1,375 1,370
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIMITED DURATION
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Chrysler Financial Corp.
6.375%, 1/28/00 A- $ 775 $ 778
CIT Group Holdings
6.375%, 10/1/02 N/R 825 822
Countrywide Funding Corp.
7.32%, 8/15/00 A 650 667
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 BBB- 700 750
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 700 707
(+) Florida Property &
Casualty
7.45%, 7/1/04 A 150 155
7.375%, 7/1/03 A- 375 387
(+) Florida Windstorm
6.70%, 8/25/04 A- 425 424
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 675 691
8.375%, 1/15/00 A+ 400 419
General Motors Acceptance
Corp.
6.00%, 12/30/98 A- 600 601
+ 7.25%, 6/22/99 A3 285 290
Heller Financial, Inc.
9.375%, 3/15/98 BBB+ 375 381
7.875%, 11/1/99 BBB+ 525 542
Home Ownership Funding
Corp.,
13.331% (Preferred
Stock) AAA (1)1,800 1,747
Household International
6.00%, 3/15/99 A 575 575
(+) Hyatt Equities
7.00%, 5/15/02 BBB+ 925 941
International Lease Finance
8.28%, 2/3/00 A+ 550 575
Lehman Brothers Holding,
Inc.
6.625%, 11/15/00 A 725 730
(+) Prime Property Funding
6.80%, 8/15/02 A 785 789
- -------------------------------------------------------
GROUP TOTAL 18,073
- -------------------------------------------------------
FLOATING RATE NOTES (0.8%)
## Airlines Pass Through
Trust, Series 1 A5
6.006%, 3/15/19 AA 402 402
## Student Loan Marketing
Association,
Series:
95-1 A1
5.759%, 4/26/04 AAA 463 463
96-1 A1
5.744%, 7/26/04 AAA 388 389
- -------------------------------------------------------
GROUP TOTAL 1,254
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (1.5%)
(+) EES Coke Battery Co.,
Inc.
7.125%, 4/15/02 BBB $ 575 $ 582
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 649 651
Philip Morris Cos., Inc.
8.75%, 6/1/01 A 520 557
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 575 604
- -------------------------------------------------------
GROUP TOTAL 2,394
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.7%)
+ Town & Country Funding
Corp., Series A
5.85%, 8/15/98 Aa2 1,000 998
- -------------------------------------------------------
TELEPHONES (0.4%)
Tele-Communications, Inc.,
Series 95-C A1
8.25%, 1/15/03 BBB- 550 579
- -------------------------------------------------------
U.S. TREASURY SECURITIES (12.7%)
U.S. Treasury Notes
5.00%, 2/15/99 Tsy 1,200 1,188
(dd) 7.00%, 4/15/99 Tsy 2,375 2,418
3.625%, 7/15/02
(Inflation Indexed) Tsy 16,210 16,147
- -------------------------------------------------------
GROUP TOTAL 19,753
- -------------------------------------------------------
UTILITIES (0.4%)
(+) Edison Mission Energy
Funding
6.77%, 9/15/03 BBB 671 677
- -------------------------------------------------------
YANKEE (0.7%)
AST Research, Inc.
7.45%, 10/1/02 A- 600 598
Korea Development Bank
7.375%, 9/17/04 AA- 470 474
- -------------------------------------------------------
GROUP TOTAL 1,072
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $147,181) 147,662
- -------------------------------------------------------
INTEREST RATE CAP (0.2%)-SEE NOTE A6
- -------------------------------------------------------
Bankers Trust Co., Inc.,
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of 12 month
LIBOR over 6.34%
multiplied by the
notional amount. (Premium
Paid $370) N/R 96,748 292
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (3.8%)
- -------------------------------------------------------
REPURCHASE AGREEMENT (3.8%)
Chase Securities, Inc.
5.90% dated 9/30/97, due
10/1/97, to be
repurchased at $5,961,
collateralized by various
U.S. Government
Obligations, due
10/1/97-1/29/99, valued
at $6,016 (Cost $5,960) $ 5,960 $ 5,960
- -------------------------------------------------------
TOTAL INVESTMENTS (98.9%) (Cost $153,511) 153,914
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.1%)
Dividends Receivable 60
Interest Receivable 1,119
Receivable for Investments Sold 14,638
Other Assets 4
Payable for Investments Purchased (8,395)
Payable for Fund Shares Redeemed (5,613)
Payable for Investment Advisory Fees (114)
Payable for Administrative Fees (11)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Other Liabilities (29)
--------
1,656
- -------------------------------------------------------
NET ASSETS (100%) $155,570
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 14,831,121 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $155,570
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.49
- -------------------------------------------------------
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $156,817
Undistributed Net Investment Income (Loss) 2,361
Undistributed Realized Net Gain (Loss) (4,002)
Unrealized Appreciation (Depreciation) on:
Investment Securities 403
Futures (9)
- -------------------------------------------------------
NET ASSETS $155,570
- -------------------------------------------------------
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 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.
PAC Planned Amortization Class
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.1%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.2%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-9/20/27 Agy $ 39,800 $ 40,098
November TBA
6.00%, 11/20/27 Agy 10,150 10,210
- -------------------------------------------------------
GROUP TOTAL 50,308
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (13.0%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
10.50%, 2/1/19-3/1/27 Agy 4,666 5,204
11.00%, 12/1/10-9/1/20 Agy 2,410 2,700
11.75%, 12/1/17 Agy 128 146
Gold Pools:
7.00%, 9/1/23-12/1/24 Agy 9,397 9,410
10.50%, 11/1/15-4/1/21 Agy 759 844
Federal National Mortgage
Association Conventional
Pools:
10.50%, 8/1/15-4/1/22 Agy 4,541 5,086
12.00%, 11/1/15 Agy 3,196 3,683
Government National
Mortgage Association
Various Pools:
7.00%, 12/15/22-12/15/23 Agy 16,132 16,188
10.00%,
12/15/17-12/25/26 Agy 9,521 10,554
10.50%, 10/15/15-4/15/25 Agy 3,641 4,095
11.00%, 1/15/10-5/15/26 Agy 5,680 6,403
12.00%, 4/15/14 Agy 41 47
- -------------------------------------------------------
GROUP TOTAL 64,360
- -------------------------------------------------------
ASSET BACKED CORPORATES (5.2%)
## Airplanes Pass Through
Trust, Series 1 B
6.756%, 3/15/19 A 1,223 1,227
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 1,450 1,484
94-1 C2 CMO
9.35%, 9/15/04 BBB 1,816 1,867
Arcadia Auto, Series 97-C
A4
6.375%, 1/15/03 AAA 2,280 2,289
CIT Group Home Equity Loan
Trust, Series 97-1 A3
6.25%, 9/15/01 AAA 1,325 1,326
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust, Series
96-B A1
7.629%, 11/1/18 A 1,290 1,316
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA $ 1,345 $ 1,348
97-3 A3
6.57%, 10/10/10 AAA 1,330 1,335
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 3,959 3,955
(+) Long Beach Auto,
Series 97-2 A
6.69%, 9/25/04 AAA 1,753 1,754
(+) NAL Auto Trust,
Series: 96-4 A
6.90%, 12/15/00 N/R 975 969
97-2 A
7.75%, 9/15/02 N/R 1,019 1,020
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,650 1,691
Security Pacific Home
Equity Trust, Series
91-AB
10.50%, 3/10/06 A+ 512 513
(+) Team Fleet Financing
Corp., Series 96-1A
6.65%, 12/15/02 A- 1,125 1,126
WFS Financial Owner Trust,
Series 97-C A3
6.01%, 3/20/02 AAA 2,470 2,467
- -------------------------------------------------------
GROUP TOTAL 25,687
- -------------------------------------------------------
ASSET BACKED MORTGAGES (1.9%)
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 2,105 2,195
Cityscape Home Equity Loan
Trust,
Series:
sec. 96-3 YMA
10/25/26 (acquired
12/24/96, cost $53) N/R 38,981 52
96-3 A IO
1.00%, 10/25/26 N/R 34,246 849
96-3 A8
7.65%, 8/25/26 AAA 2,200 2,250
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 2,150 2,256
96-4 A11 IO
1.10%, 1/15/28 AAA 29,147 766
96-4 A12 IO
1.05%, 1/15/28 AAA 9,408 247
</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>
96-4 A12 YMA
1/15/28 AAA $ 11,765 $ 17
(+) 96-4 A12 YMA
1/15/28 AAA 35,300 53
(+) 97-1 A10 YMA
3/15/28 N/R 36,896 52
97-1 A10I IO
1.10%, 3/15/28 AAA 34,489 944
- -------------------------------------------------------
GROUP TOTAL 9,681
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.5%)
Federal Home Loan Mortgage
Corporation,
Series:
1415-S Inv Fl IO
18.813%, 11/15/07 Agy 1,003 462
1476-S Inv Fl IO
REMIC PAC
4.363%, 2/15/08 Agy 9,282 1,082
1485-S Inv Fl IO REMIC
3.913%, 3/15/08 Agy 8,804 781
1600-SA Inv Fl IO REMIC
2.313%, 10/15/08 Agy 18,995 1,050
1709 H PO
1/15/24 Agy 237 121
1750 C PD PO
3/15/24 Agy 361 257
1813 K PO
2/15/24 Agy 240 165
1844 PC PO
3/15/24 Agy 435 275
1887 I PO
10/15/22 Agy 255 171
88-22 C PAC (11)
9.50%, 4/15/20 Agy 41 46
Federal National Mortgage
Association,
Series:
92-186 S Inv Fl IO CMO
3.363%, 10/25/07 Agy 17,501 1,503
93-149 O PO
8/25/23 Agy 347 220
93-205 G PO
9/25/23 Agy 853 550
93-235 H PO REMIC
9/25/23 Agy 338 264
96-14 PC PO
12/25/23 Agy 415 239
96-46 PB PO
9/25/23 Agy 425 285
96-54 N PO
7/25/23 Agy 305 228
96-54 O PO
11/25/23 Agy 342 213
96-68 SC Inv Fl IO REMIC
2.475%, 1/25/24 Agy 4,050 491
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
97-7 AE PO REMIC
2/15/23 Agy $ 1,092 $ 788
282 1 PO
5/15/24 Agy 4,433 3,038
- -------------------------------------------------------
GROUP TOTAL 12,229
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (8.7%)
American Housing Trust,
Series:
IV 2
9.553%, 9/25/20 A 303 316
V 1G
9.125%, 4/25/21 AAA 1,631 1,733
+ Chase Mortgage Finance
Corp., Series 93-N A8
6.75%, 11/25/24 Aaa 2,800 2,651
Chemical Mortgage
Securities, Inc., Series
93-1 M
7.45%, 2/25/23 AA 225 227
CMC Securities Corp. IV,
Series 94-G A4
7.00%, 9/25/24 AAA 1,800 1,720
DLJ Mortgage Acceptance
Corp., Series 97-CF2 A1B
6.82%, 10/15/30 AAA 2,975 2,995
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired 1/26/93, cost
$1,056) A 1,106 1,128
GE Capital Mortgage
Services, Inc.,
Series:
(+) 94-13 B1
6.50%, 4/25/24 N/R 5,297 5,003
94-24 A4
7.00%, 7/25/24 AAA 1,681 1,611
+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24 A2 2,522 2,604
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 2,200 2,248
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired 8/5/92, cost
$739) N/R 738 737
Mid-State Trust II, Series
88-A4
9.625%, 4/1/03 AAA 725 787
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 194 194
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 $ 2,598 $ 2,543
(+)# 94-A 3B3
6.802%, 4/28/24 N/R 3,154 3,045
Residential Accredit Loans,
Inc.,
Series:
97-Q52 A8
7.75%, 3/25/27 AAA 1,200 1,236
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 2,600 2,632
97-QS4 A7
7.75%, 5/25/27 AAA 2,300 2,370
97-QS12 A8 TBA
7.25%, 12/25/27 AAA 2,350 2,354
Rural Housing Trust, Series
87-1M
3.33%, 10/1/28 A- 472 450
Ryland Mortgage Securities
Corp.,
Series:
## 92-A 1A
8.27%, 3/29/30 A- 1,762 1,784
94-7B 4A2
7.50%, 8/25/25 AAA 2,700 2,707
- -------------------------------------------------------
GROUP TOTAL 43,075
- -------------------------------------------------------
COMMERCIAL MORTGAGES (9.8%)
+ American Southwest
Financial Securities
Corp., Series 95-C1 A1B
7.40%, 11/17/04 Aaa 2,150 2,223
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 4,796 4,935
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 1,850 1,944
96-MD6 A1C
7.04%, 11/13/26 AAA 1,950 2,004
Beverly Finance Corp.
8.36%, 7/15/04 AA- 2,300 2,476
(+) Carousel Center
Finance, Inc., Series 1
A1
6.828%, 10/15/07 AA 1,650 1,662
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 1,800 1,856
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 1,693 1,886
(+) Crystal Run Properties,
Series A
7.393%, 8/15/11 AA 2,250 2,350
CS First Boston Mortgage
Securities Corp., Series
97-C1 A1C
7.24%, 6/20/29 AAA 2,600 2,697
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA $ 575 $ 596
## 96-CF2 S IO
1.643%, 11/12/21 N/R 5,992 531
+ GMAC Commercial Mortgage
Securities, Inc., Series
96-C1 X2 IO
1.96%, 3/15/21 Aaa 8,807 822
+ GS Mortgage Securities
Corp.,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 2,475 2,528
97-GL X2 IO
1.07%, 7/13/30 Aaa 5,996 322
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 1,900 1,936
+ LB Commercial Conduit
Mortgage Trust, Series
96-C2 A
7.416%, 10/25/26 Aaa 2,292 2,382
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 950 962
96-C2 IO
1.529%, 11/21/28 N/R 9,962 894
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 1,625 1,681
+ Mortgage Capital Funding,
Inc., Series 97-MC1 A3
7.288%, 7/20/27 Aaa 2,900 3,016
Nomura Asset Securities
Corp., Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,200 1,291
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 1,042 1,095
Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 1,519 1,520
+ Salomon Brothers Mortgage
Securities, Series 97-TZH
A2
7.174%, 3/24/22 Aa2 1,250 1,286
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 2,300 2,289
Structured Asset Securities
Corp.,
Series:
## 96-CFL X1A IO
1.483%, 2/25/28 N/R 16,440 437
## 96-CFL X1 IO
1.335%, 2/25/28 N/R 16,715 866
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
## 96-CFL X2 IO
1.249%, 2/25/28 N/R $ 3,970 $ 119
- -------------------------------------------------------
GROUP TOTAL 48,606
- -------------------------------------------------------
ENERGY (0.8%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 1,825 1,849
Mobile Energy Services
8.665%, 1/1/17 BBB- 1,812 1,929
- -------------------------------------------------------
GROUP TOTAL 3,778
- -------------------------------------------------------
FINANCE (11.9%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 2,375 2,560
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 2,825 2,905
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 1,950 1,974
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 2,075 2,120
(+) Equitable Life
Assurance Society of the
U. S., Series 1 A
6.95%, 12/1/05 A 2,490 2,508
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 2,200 2,343
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 2,625 2,651
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 2,850 2,921
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 750 774
(+) Florida Windstorm
6.70%, 8/25/04 A- 2,900 2,891
(+)+ Home Ownership Funding
Corp.,
13.331% (Preferred
Stock) Aaa (1)11,000 10,675
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 2,620 2,618
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 2,000 1,946
NB Capital Trust
8.25%, 4/15/27 A- 950 1,001
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 1,950 1,919
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 1,075 1,064
<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+ $ 2,550 $ 2,561
(+) Prime Property Funding
7.00%, 8/15/04 A 1,965 1,986
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 1,250 1,274
B
8.035%, 3/15/27 A 1,000 1,028
Washington Mutual Capital
8.375%, 6/1/27 BBB- 1,300 1,364
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 2,750 2,829
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 3,076 3,109
96 WFP-D
6.95%, 9/1/13 AA- 1,800 1,823
- -------------------------------------------------------
GROUP TOTAL 58,844
- -------------------------------------------------------
FOREIGN GOVERNMENTS (0.9%)
Government of Germany
7.375%, 1/3/05 AAA DEM 7,250 4,609
- -------------------------------------------------------
INDUSTRIALS (3.9%)
## Blue Bell Funding
11.85%, 5/1/99 BB- $ 378 387
DR Securitized Lease Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 481 439
93-K1 A2
7.43%, 8/15/18 BB- 200 174
94-K1 A2
8.375%, 8/15/15 BB- 1,075 1,026
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 1,280 1,297
(+) Entertainment
Properties,
14.253% (Preferred
Stock) BBB- (1)2,100 2,020
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- 575 590
News America Holdings
8.875%, 4/26/23 BBB 1,215 1,344
7.75%, 1/20/24 BBB 575 567
(+) Oxymar
7.50%, 2/15/16 BBB 1,590 1,589
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 3,135 3,095
Rhone-Poulenc Rorer, Inc.,
Series 92-A3
8.62%, 1/5/21 BBB+ 2,175 2,380
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB $ 1,616 $ 1,691
Southland Corp.
5.00%, 12/15/03 BB+ 1,722 1,485
Tier One Properties,
11.095% (Preferred
Stock) A (1)975 955
Time Warner, Inc., Series
M,
10.25% (Preferred Stock) BB+ (1)218 250
- -------------------------------------------------------
GROUP TOTAL 19,289
- -------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.6%)
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 50 51
## Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 1,279 1,290
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,542 1,485
sec. Shearson American
Express, Series A CMO
9.625%, 12/1/12
(acquired
8/24/92-5/25/93, cost
$280) AA 279 289
- -------------------------------------------------------
GROUP TOTAL 3,115
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (1.7%)
Federal National Mortgage
Association,
Series:
93-146 G PO REMIC 5/25/23 Agy 1,079 707
93-243 C PO REMIC
11/25/23 Agy 238 184
249 1 PO
10/25/23 Agy 7,775 5,138
254 1 PO
1/1/24 Agy 1,207 865
260 1 PO
4/1/24 Agy 1,624 1,153
- -------------------------------------------------------
GROUP TOTAL 8,047
- -------------------------------------------------------
TELEPHONES (1.3%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 1,375 1,507
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 3,085 3,320
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B 1,965 1,538
- -------------------------------------------------------
GROUP TOTAL 6,365
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.6%)
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB $ 2,200 $ 2,784
- -------------------------------------------------------
U.S. TREASURY SECURITIES (18.3%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 28,825 36,545
U.S. Treasury Notes
6.25%, 5/31/99 Tsy 1,800 1,813
dd 7.125%, 9/30/99 Tsy 35,350 36,211
3.375%, 1/15/07
(Inflation Indexed) Tsy 16,385 16,073
- -------------------------------------------------------
GROUP TOTAL 90,642
- -------------------------------------------------------
UTILITIES (0.3%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 1,225 1,260
- -------------------------------------------------------
YANKEE (5.5%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 2,542 2,594
AST Research, Inc.
7.45%, 10/1/02 A- 1,850 1,843
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BBB- 1,400 1,429
(+) Israel Electric Corp.,
Ltd
7.25%, 12/15/06 A- 1,650 1,672
Korea Development Bank
7.375%, 9/17/04 AA- 1,390 1,401
National Power Corp.
7.875%, 12/15/06 BB+ 1,525 1,487
8.40%, 12/15/16 BB+ 1,415 1,358
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 1,900 2,084
(+) Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 1,800 1,784
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 2,345 2,477
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 3,450 3,747
## Republic of Argentina
Par, Series L, 'Euro'
5.50%, 3/31/23 BB 3,220 2,431
Republic of Colombia
8.70%, 2/15/16 BBB- 1,325 1,350
</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>
United Mexican States,
Series B
6.25%, 12/31/19 BB $ 1,750 $ 1,450
@ United Mexican States
(Recovery Rights,
expiring 6/30/03) N/R (1)2,913,250 --
- -------------------------------------------------------
GROUP TOTAL 27,107
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $467,705) 479,786
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.2%)-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 $1,608) N/R 40,456 1,168
- -------------------------------------------------------
INTEREST RATE CAP (0.1%)-SEE NOTE A6
- -------------------------------------------------------
J.P. Morgan and Co., Inc.,
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of 12 month
LIBOR over 6.34%
multiplied by the
notional amount (Premium
Paid $492) N/R 116,600 353
- -------------------------------------------------------
CASH EQUIVALENTS (9.4%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(4.9%) 24,378 24,378
- -------------------------------------------------------
SHORT-TERM CORPORATE (0.8%)
## Ford Motor Credit Co.,
Medium Term Note
5.513%, 11/3/97 4,050 4,050
- -------------------------------------------------------
REPURCHASE AGREEMENT (3.7%)
Chase Securities, Inc. 5.90% dated
9/30/97, due 10/1/97, to be
repurchased at $18,051,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$18,218 18,048 18,048
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $46,476) 46,476
- -------------------------------------------------------
TOTAL INVESTMENTS (106.8%)(Cost $516,281) 527,783
- -------------------------------------------------------
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-6.8%)
Cash $ 22
Dividends Receivable 539
Interest Receivable 4,882
Receivable for Investments Sold 6,199
Receivable for Fund Shares Sold 29
Receivable for Daily Variation on Futures
Contracts 67
Unrealized Gain on Swap Agreements 9
Other Assets 14
Payable for Investments Purchased (18,433)
Payable for Fund Shares Redeemed (2,055)
Payable for Administrative Fees (32)
Payable for Investment Advisory Fees (454)
Payable for Trustees' Deferred Compensation
Plan-Note F (12)
Unrealized Loss on Forward Foreign Currency
Contracts (72)
Collateral on Securities Loaned, at Value (24,378)
Other Liabilities (63)
--------
(33,738)
- -------------------------------------------------------
NET ASSETS (100%) $494,045
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 39,184,400 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $492,784
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.58
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 100,429 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,261
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.56
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $464,940
Undistributed Net Investment Income (Loss) 9,955
Undistributed Realized Net Gain (Loss) 8,474
Unrealized Appreciation (Depreciation) on:
Investment Securities 11,502
Foreign Currency Transactions (88)
Futures and Swaps (738)
- -------------------------------------------------------
NET ASSETS $494,045
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
(CONT'D)
- ---------------------------------------------------------
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1997 was $2,206 or 0.4% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
dd A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1997.
(1) Amount represents shares held by the Portfolio.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
DEM German Mark
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 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
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.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (96.1%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (92.2%)
Adelanto, CA School District
(FGIC)
Zero Coupon, 9/1/18 AAA $ 4,350 $ 1,418
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 476
Allegheny County, PA
Sanitation Authority,
Series B (MBIA)
Zero Coupon, 6/1/10 AAA 1,500 787
Arkansas State Development
Finance Authority Home
Mortgage Revenue Bonds,
Series B-1
4.90%, 7/1/29 AAA 725 725
Bakersfield, CA Hospital
Revenue Bonds (AMBAC)
3.70%, 1/1/19 AAA 40 40
Benicia, CA School District
(MBIA)
Zero Coupon, 8/1/11 AAA 3,480 1,715
Brazos River Authority Texas
Pollution Control Revenue
Bonds, Series A
8.25%, 1/1/19 BBB+ 250 265
California Housing & Finance
Agency Revenue Bonds
(MBIA)
5.30%, 8/1/14 AAA 195 198
California Pollution Control
Financing Authority
Pollution Control Revenue
Bonds, Series B
8.875%, 1/1/10 A 2,800 2,879
California School Finance
Authority Lease Revenue
Bonds, Series A (MBIA)
6.70%, 7/1/02 AAA 1,305 1,385
California State
Zero Coupon, 3/1/04 A+ 375 282
Casino Reinvestment
Development Authority,
Series A (FSA)
5.00%, 10/1/03 AAA 1,300 1,339
Center Township, PA Sewer
Authority Revenue Bonds,
Series A (MBIA)
Zero Coupon, 4/15/19 AAA 855 266
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 125 132
Chicago, IL Wastewater
Transmission Revenue Bonds
(FGIC)
5.125%, 1/1/03 AAA 1,300 1,344
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Cleveland, OH City School
District (AMBAC)
4.80%, 6/1/03 AAA $ 1,300 $ 1,326
Colorado Health Facilities
Revenue Bonds, Series A
Zero Coupon, 7/15/20 AAA 1,000 280
Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series A
6.50%, 1/1/08 A 450 497
Elizabeth Forward, PA School
District Series B
Zero Coupon,
9/1/08 (AMBAC) AAA 425 249
9/1/11 (MBIA) AAA 850 414
Fort Bend, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 1,250 794
Fort Worth, TX Independent
School District (PSFG)
Zero coupon, 2/15/08 AAA 940 563
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 195 200
Grand Prairie, TX
Independent School
District (PSFG)
Zero Coupon, 8/15/07 AAA 750 465
Hamilton Southeastern, IN
(AMBAC)
Zero Coupon, 1/1/15 AAA 1,000 392
Harris County, TX Toll Road,
Series A (MBIA)
Zero Coupon, 8/15/07 AA+ 475 295
Hawaii State Housing Finance
& Development Corp.,
Single Family Mortgage
Revenue Bonds, Series A
4.90%, 7/1/28 AA 350 348
+ Hillsborough County, FL
Housing & Finance
Authority, Single Family
Mortgage Revenue Bonds
4.50%, 4/1/30 Aaa 725 728
Houston, TX Housing Finance
& Development Corp.,
Single Family Mortgage
Revenue Bonds, Series B-1
8.00%, 6/1/14 A 325 354
Houston, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 AAA 550 252
Hurst Euless Bedford, TX
Independent School
District (PSFG)
Zero Coupon,
8/15/17 AAA 965 328
8/15/18 AAA 1,100 352
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
+ Idaho Housing & Finance
Association, Single Family
Mortgage Revenue Bonds,
Series F
5.70%, 7/1/27 Aaa $ 275 $ 280
Series H-2 (FHA)
5.40%, 7/1/27 Aaa 500 505
Illinois Development Finance
Authority Revenue Bonds
(FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,076
+ Indiana State Housing
Finance Authority Revenue
Bonds Series A2 (AMBAC)
5.55%, 1/1/21 Aaa 500 511
Indiana Transportation
Finance Authority Highway
Revenue Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 594
Indianapolis Airport
Authority Revenue Bonds
7.10%, 1/15/17 BBB 375 419
Intermountain Power Agency,
UT Series A
Zero Coupon, 7/1/17 A+ 1,750 599
Series B (MBIA)
6.50%, 7/1/09 AAA 875 1,007
Series C (FSA)
4.80%, 7/1/03 AAA 1,300 1,325
Iowa Finance Authority
Single Family Revenue
Bonds, Series G
4.95%, 1/1/21 AAA 500 500
+ Jacksonville, FL Electric
Authority Revenue Bonds
Zero Coupon, 10/1/11 AA 325 159
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 525 282
Kansas City, KA Utility
Systems Revenue Bonds
(AMBAC)
Zero Coupon,
3/1/06 AAA 130 87
3/1/06 AAA 95 64
+ Keller, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 Aaa 800 366
Kentucky State Turnpike
Authority (FGIC)
Zero Coupon, 1/1/10 AAA 450 243
La Joya, TX Independent
School District (PSFG)
Zero Coupon, 8/1/12 AAA 645 296
Little Rock, AK Airport
Passenger Facility Revenue
Bonds (AMBAC)
5.65%, 5/1/16 AAA 220 231
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Maricopa County, AZ Unified
School District-Chandler
(FGIC)
Zero Coupon, 7/1/07 AAA $ 250 $ 157
Maryland Transportation
Authority (FGIC)
Zero Coupon, 7/1/08 AAA 250 149
Mercer County, NJ Revenue
Bonds
Zero Coupon, 4/1/06 AA- 350 237
Metropolitan Pier &
Exposition Authority, IL
Series A (AMBAC)
4.90%, 12/15/03 AAA 1,275 1,306
Metropolitan Government
Nashville & Davidson
County, TN Health &
Education Facilities Board
Revenue Bonds, Series A
TBA
5.25%, 5/1/03 AA 900 935
Michigan State Housing
Development Authority
Series B
5.50%, 12/1/26 AA+ 500 511
Michigan State Trunk Line,
Series A (AMBAC)
Zero Coupon
10/1/05 AAA 750 518
10/1/12 AAA 1,500 686
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 492
Millcreek Township, PA
(FGIC)
Zero Coupon, 8/15/05 AAA 325 226
Minnesota State Housing &
Finance Agency, Single
Family Mortgage Revenue
Bonds, Series E
5.05%, 7/1/24 AA+ 1,300 1,310
Mississippi Housing Finance
Corp.
Zero Coupon, 9/15/16 AA- 5,250 1,894
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- 180 197
Nebraska Investment Finance
Authority Revenue Bonds,
Series B
5.60%, 3/1/20 AAA 490 502
Series D
5.80%, 3/1/20 AAA 490 502
Nebraska Public Power
District Revenue Bonds
5.40%, 1/1/03 A+ 200 209
+ Nevada Housing Division,
Series C (FHA)
5.65%, 4/1/27 Aaa 500 512
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
68
<PAGE> 71
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
+ Nevada Housing Division
Senior, Series A-2
5.50%, 10/1/27 Aaa $ 350 $ 357
New Jersey Building
Authority State Building
Revenue Bonds
7.20%, 6/15/13 AA- 1,150 1,192
New Jersey Economic
Development Authority
Zero Coupon, 3/15/09 A+ 275 153
New Jersey State
Zero Coupon, 2/15/06 AA+ 500 337
New Mexico Mortgage Finance
Authority, Series H
5.35%, 7/1/15 AAA 500 511
New York City, NY Industrial
Development Agency Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 1,575 1,654
## New York City, NY General
Obligation Inverse Bonds
19.31%, 10/1/03 BBB+ 250 413
New York State Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 255
+ New York State Mortgage
Agency Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 1,300 1,307
Noblesville, IN High School
Building Corp. (AMBAC)
Zero Coupon,
2/15/17 AAA 900 312
2/15/19 AAA 1,850 568
Norris, CA School District
(MBIA)
Zero Coupon,
5/1/15 AAA 785 309
5/1/16 AAA 400 149
North Carolina Eastern
Municipal Power Agency
Revenue Bonds,
Series B
6.125%, 1/1/09 BBB 350 374
Series C
5.125%, 1/1/03 BBB 450 457
North Carolina Housing &
Finance Agency Revenue
Bonds,
Series FF
5.50%, 9/1/22 AA 485 494
Series JJ
5.75%, 3/1/23 AA 555 569
Series RR
5.00%, 9/1/22 AA 1,300 1,289
North Slope Borough, AK
General Obligation, Series
B (CGIC)
Zero Coupon, 6/30/04 AAA 575 419
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
Northern Illinois University
Revenue Bond (FGIC)
Zero Coupon, 4/1/15 AAA $ 675 $ 262
Okemos, MI Public School
District (MBIA)
Zero Coupon, 5/1/15 AAA 900 353
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 425
Orange County, FL Housing &
Finance Authority, Single
Family Mortgage Revenue
Bonds, Series B
5.10%, 9/1/27 AAA 1,300 1,310
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 1,025 443
## Pennsylvania Housing &
Finance Agency
3.85%, 10/3/23 AA+ 1,000 1,000
# Pennsylvania State General
Obligation (AMBAC)
0.00%, 4/15/03 AAA 775 898
Philadelphia, PA Airport
Revenue Bonds TBA (FGIC)
5.50%, 6/15/01 AAA 1,340 1,393
Philadelphia, PA Authority
For Industrial Development
Revenue Bonds, Series A
6.50%, 10/1/27 N/R 220 228
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 350 364
Philadelphia, PA General
Obligation Series A (FGIC)
5.40%, 11/15/03 AAA 600 631
Philadelphia, PA Hospitals &
Higher Education
Facilities Authority
Revenue Bonds
6.15%, 7/1/05 BBB+ 125 132
Philadelphia, PA Municipal
Authority (FGIC)
4.90%, 4/1/03 AAA 500 511
Philadelphia, PA Water &
Wastewater Revenue Bonds
(FGIC)
5.15%, 6/15/04 AAA 1,300 1,341
Port Authority, NY & NJ
Special Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 450 504
+ Saline County, KS
Zero Coupon, 12/1/15 Aaa 750 285
San Antonio, TX Electric &
Gas Revenue Bonds (AMBAC)
Zero Coupon, 2/1/05 AAA 200 142
San Antonio, TX General
Obligation TBA
6.00%, 8/1/06 AA 250 272
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 1,150 1,176
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R $ 100 $ 110
Schuylkill County, PA
Redevelopment Authority
(FGIC)
7.125%, 6/1/13 AAA 750 830
Skokie, IL Park District,
Series B (AMBAC)
Zero Coupon, 12/1/12 AAA 1,750 782
Steel Valley, PA Allegheny
County
Zero Coupon, 11/1/17 A 650 217
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 740 353
Utah State Housing Finance
Agency, Series A-2
5.50%, 7/1/27 AAA 460 469
Washington State Public
Power Supply (MBIA)
Zero Coupon, 7/1/10 AAA 475 245
7.00%, 7/1/07 AA- 375 435
## Wichita, KS Hospital
Revenue Bonds, Series
III-A (MBIA)
3.79%, 10/20/17 AAA 900 900
Wisconsin Housing & Economic
Development Authority Home
Ownership Revenue Bonds,
Series E
5.125%, 9/1/26 AA 1,300 1,303
## York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.82%, 7/1/21 AAA 900 900
- -------------------------------------------------------
GROUP TOTAL 69,308
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.5%)
ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 349 377
- -------------------------------------------------------
INDUSTRIALS (1.6%)
Comcast Corp.
9.375%, 5/15/05 BB+ 225 241
Grand Casinos, Inc.
10.125%, 12/1/03 BB 250 266
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 175 184
+ Revlon Worldwide Corp.
Zero Coupon, 3/15/98 B3 235 229
Viacom, Inc.
8.00%, 7/7/06 BB- 250 249
- -------------------------------------------------------
GROUP TOTAL 1,169
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (0.2%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ $ 125 $ 137
- -------------------------------------------------------
TRANSPORTATION (0.2%)
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB 100 126
- -------------------------------------------------------
U.S. TREASURY SECURITY (1.0%)
(dd) U.S. Treasury Bond
8.75%, 8/15/20 Tsy 575 729
- -------------------------------------------------------
YANKEE (0.4%)
(+) Republic of Panama
7.875%, 2/13/02 BB+ 310 312
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $67,339) 72,158
- -------------------------------------------------------
CASH EQUIVALENTS (6.2%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
MONEY MARKET INSTRUMENTS (4.8%)
Dreyfus Basic Municipal Money
Market Fund 1,789,204 1,789
Vanguard Municipal Fund Money
Market Portfolio 1,792,234 1,792
- -------------------------------------------------------
GROUP TOTAL 3,581
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C>
U.S. TREASURY SECURITY (0.3%)
U.S. Treasury Bill
11/13/97 $ 250 248
- -------------------------------------------------------
REPURCHASE AGREEMENT (1.1%)
Chase Securities, Inc. 5.90%, dated
9/30/97, due 10/1/97, to be
repurchased at $862,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at $870 862 862
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $4,691) 4,691
- -------------------------------------------------------
TOTAL INVESTMENTS (102.3%) (Cost $72,030) 76,849
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-2.3%)
Interest Receivable $ 711
Receivable for Fund Shares Sold 2
Receivable for Daily Variation on Futures
Contracts 3
Unrealized Gain on Swap Agreements 283
Other Assets 2
Dividends Payable (54)
Payable for Investments Purchased (2,529)
Payable to Custodian (40)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (59)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other Liabilities (40)
-------
(1,729)
- -------------------------------------------------------
NET ASSETS (100%) $75,120
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 6,450,855 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $75,120
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.64
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $70,309
Undistributed Net Investment Income (Loss) 71
Undistributed Realized Net Gain (Loss) (469)
Unrealized Appreciation (Depreciation) on:
Investment Securities 4,819
Futures and Swaps 390
- -------------------------------------------------------
NET ASSETS $75,120
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(dd) A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investor Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1997.
AMBAC American Municipal Bond Assurance Corporation
CGIC Capital Guaranty Insurance Corporation
FGIC Financial Guaranty Insurance Corporation
FHA Federal Housing Administration
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
PSFG Permanent School Fund Guarantee
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.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.3%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (94.9%)
Aliquippa School District, PA
Zero Coupon, 6/1/12 A $ 685 $ 310
Allegheny County, PA (AMBAC)
Zero Coupon, 5/1/03 AAA 325 253
Arkansas State Development
Finance Authority Home
Mortgage Revenue Bonds,
Series B-1
4.90%, 7/1/29 AAA 275 275
Berks County, PA (FGIC)
Zero Coupon,
5/15/19 AAA 1,250 387
11/15/20 AAA 1,000 284
Bucks County, PA Water &
Sewer Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/05 AAA 375 257
+ Series B
5.50%, 2/1/08 Aaa 205 214
Center Township, PA Sewer
Authority Revenue Bonds
Series A (MBIA)
Zero Coupon, 4/15/17 AAA 615 215
Series A
6.00%, 4/15/03 AAA 500 538
Central Valley, CA Finance
Authority
5.70%, 7/1/03 BBB- 100 105
Chartiers Valley, PA (FGIC)
Zero Coupon, 2/1/06 AAA 425 287
Clinton County, PA Industrial
Development Authority
6.25%, 11/15/06 BB- 150 152
Dauphin County, PA General
Authority Health Systems
Revenue Bonds (MBIA)
4.90%, 5/15/03 AAA 550 560
Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series A
6.50%, 1/1/08 A 200 221
Elizabeth Forward, PA School
District
Series B (MBIA)
Zero Coupon, 9/1/11 AAA 400 195
Georgia State Housing &
Financing Authority, Series
A A2
5.875%, 12/1/19 AA+ 120 123
Girard Area, PA School
District (FGIC)
Zero Coupon,
10/1/18 AAA 700 225
10/1/19 AAA 250 76
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Hawaii State Housing Finance
& Development Corp., Single
Family Mortgage Revenue
Bonds, Series A
4.90%, 7/1/28 AA $ 125 $ 124
+ Hillsborough County, FL
Housing & Finance Authority
Single Family Mortgage
Revenue Bonds
4.50%, 4/1/30 Aaa 275 276
Houston, TX Housing Finance &
Development Corp., Single
Family Mortgage Revenue
Bonds, Series B-1
8.00%, 6/1/14 A 175 191
Huron, MI School District
(AMBAC)
Zero Coupon, 5/1/18 AAA 1,500 493
+ Idaho Housing & Finance
Association, Single Family
Mortgage Revenue Bonds,
Series H-2
5.40%, 7/1/27 Aaa 250 253
Intermountain Power Agency,
UT
Series B (MBIA)
6.50%, 7/1/09 AAA 300 345
Iowa Finance Authority,
Single Family Revenue
Bonds, Series G
4.95%, 1/1/21 AAA 200 200
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 200 108
Lehigh County, PA General
Purpose Authority Revenue
Bonds, Horizons Health
Systems, Inc.,
Series B
8.25%, 7/1/13 N/R 250 267
Metropolitan Government
Nashville & Davidson
County, TN Health &
Education Facilities Board
Revenue Bonds Series A TBA
5.25%, 5/1/03 AA 335 348
Millcreek Township, PA (FGIC)
Zero Coupon, 8/15/05 AAA 375 261
Minnesota State Housing &
Finance Agency, Single
Family Mortgage Revenue
Bonds, Series E
5.05%, 7/1/24 AA+ 550 554
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- 80 87
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Montour, PA School District
(MBIA)
Zero Coupon, 1/1/13 AAA $ 300 $ 134
Nebraska Investment Finance
Authority Revenue Bonds,
Series D
5.80%, 3/1/20 AAA 270 276
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 250 256
New York City, NY Industrial
Development Agency Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 775 814
## New York City, NY General
Obligation Inverse Bonds
19.31%, 10/1/03 BBB+ 100 165
+ New York State Mortgage
Agency Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 550 553
North Carolina Eastern
Municipal Power Agency
Revenue Bonds, Series C
5.125%, 1/1/03 BBB 150 152
North Carolina Housing &
Finance Agency Revenue
Bonds, Series JJ
5.75%, 3/1/23 AA 300 307
Series RR
5.00%, 9/1/22 AA 550 545
North Slope Borough, AK
General Obligation, Series
B (CGIC)
Zero Coupon, 6/30/04 AAA 285 208
Northwestern, PA School
District (AMBAC)
Zero Coupon, 1/15/09 AAA 450 256
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 425
Orange County, FL Housing &
Finance Authority, Single
Family Mortgage Revenue
Bonds, Series B
5.10%, 9/1/27 AAA 550 554
Penn Hills Township, PA,
Zero Coupon, 6/1/12 N/R 450 195
Series B
Zero Coupon, 12/1/13 N/R 500 197
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB 250 267
6.70%, 9/1/16 (FGIC) AAA 500 579
Pennsylvania Housing &
Finance Authority
Series 47
5.20%, 4/1/27 AA+ 375 379
Series 48
5.375%, 10/1/16 AA+ 300 305
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
Series 50A
5.35%, 10/1/08 AA+ $ 250 $ 256
Series 51
5.65%, 4/1/20 AA+ 250 256
Series 52B
5.55%, 10/1/12 AA+ 500 509
Series 59A
4.95%, 4/1/25 AA+ 550 549
# Pennsylvania State General
Obligation (AMBAC)
0.00%, 4/15/03 AAA 300 347
Zero Coupon, 7/1/05 AAA 375 261
## Pennsylvania State Higher
Education Assistance
Agency, Student Loan
Revenue Bonds (AMBAC)
3.85%, 3/1/22 AAA 500 500
Pennsylvania State
Certificates of
Participation Series A
(AMBAC)
5.00%, 7/1/03 AAA 500 513
Philadelphia, PA Airport
Revenue Bonds (FGIC) TBA
5.50%, 6/15/01 AAA 550 572
Philadelphia, PA Authority
For Industrial Development
Revenue Bonds, Series A
6.50%, 10/1/27 N/R 100 104
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 200 208
Philadelphia, PA General
Obligation, Series A (FGIC)
5.125%, 5/15/03 AAA 100 103
+ Philadelphia, PA Hospitals
10.875%, 7/1/08 Aaa 140 183
Philadelphia, PA Hospitals &
Higher Education Facilities
Authority Revenue Bonds
6.15%, 7/1/05 BBB+ 50 53
Philadelphia, PA School
District, Series A (MBIA)
5.20%, 7/1/03 AAA 200 208
Series B (AMBAC)
5.00%, 4/1/03 AAA 550 565
Philadelphia, PA Water &
Wastewater Revenue Bonds
(FGIC)
5.15%, 6/15/04 AAA 550 567
5.20%, 6/15/05 AAA 500 521
Pittsburgh, PA General
Obligation (AMBAC)
Zero Coupon, 9/1/04 AAA 350 255
6.50%, 4/1/11 AAA 275 301
Pittsburgh, PA Water & Sewer
(FGIC)
Zero Coupon, 9/1/05 AAA 375 259
Port Authority, NY & NJ
Special Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 250 280
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PA MUNICIPAL
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Robinson Township, PA
6.90%, 5/15/18 AAA $ 115 $ 135
San Antonio, TX General
Obligation TBA
6.00%, 8/1/06 AA 125 136
San Bernardino County, CA
Series A (MBIA)
7.40%, 7/1/16 AAA 450 460
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 40 44
Scranton, PA Health & Welfare
Authority
6.625%, 7/1/09 AAA 125 137
Southeastern Area Schools,
PA, Revenue Bonds
Series A
Zero Coupon, 10/1/06 A 200 130
Series B
Zero Coupon, 10/1/06 A 390 253
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 205
Stroud Township, PA Sewer
Authority (CGIC)
Zero Coupon, 11/15/05 AAA 375 258
Upper Darby Township, PA
(AMBAC)
Zero Coupon, 7/15/11 AAA 525 258
Washington County, West PA
Power Co.
4.95%, 3/1/03 A 150 153
(dd) Westmoreland County, PA
(AMBAC)
Zero Coupon, 8/1/14 AAA 1,475 605
Wisconsin Housing & Economic
Development Authority Home
Ownership Revenue Bonds,
Series E
5.125%, 9/1/26 AA 550 551
Yough, PA School District
(MBIA)
Zero Coupon, 10/1/13 AAA 1,445 623
- ------------------------------------------------------
GROUP TOTAL 26,069
- ------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
ALPS, Series 96-1 D
12.75%, 6/15/06 BB- 150 161
- ------------------------------------------------------
INDUSTRIALS (0.6%)
Comcast Corp.
9.375%, 5/15/05 BB+ 75 80
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 75 79
- ------------------------------------------------------
GROUP TOTAL 159
- ------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (0.2%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ $ 50 $ 55
- ------------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB 100 127
- ------------------------------------------------------
YANKEE (0.5%)
(+) Republic of Panama
7.875%, 2/13/02 BB+ 145 146
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $24,731) 26,717
- ------------------------------------------------------
CASH EQUIVALENTS (5.3%)
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MONEY MARKET INSTRUMENTS (3.0%)
Dreyfus PA Municipal Money
Market Fund 401,727 402
Vanguard PA Tax-Free Money
Market Fund 408,622 408
- -------------------------------------------------------
GROUP TOTAL 810
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
U.S. TREASURY SECURITY (0.4%)
U.S. Treasury Bill
11/13/97 $ 125 124
- ------------------------------------------------------
REPURCHASE AGREEMENT (1.9%)
Chase Securities, Inc. 5.90%, dated
9/30/97, due 10/1/97, to be repur-
chased at $522, collateralized by
various U.S. Government Obliga-
tions, due 10/1/97-1/29/99, valued
at $527 522 522
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,456) 1,456
- ------------------------------------------------------
TOTAL INVESTMENTS (102.6%) (Cost $26,187) 28,173
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-2.6%)
Cash $ 1
Interest Receivable 283
Receivable for Fund Shares Sold 2
Receivable for Daily Variation Margin on
Futures Contracts 1
Unrealized Gain on Swap Agreements 128
Other Assets 1
Dividends Payable (45)
Payable for Investments Purchased (1,027)
Payable for Investment Advisory Fees (20)
Payable for Administrative Fees (2)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (33)
-------
(712)
- ------------------------------------------------------
NET ASSETS (100%) $27,461
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,344,197 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $27,461
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.71
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $25,489
Undistributed Net Investment
Income (Loss) 20
Undistributed Realized Net Gain (Loss) (229)
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,986
Futures and Swaps 195
- ------------------------------------------------------
NET ASSETS $27,461
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or Floating rate security-rate
disclosed is as of September 30, 1997.
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.
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
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (82.1%)
(UNLESS OTHERWISE NOTED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (4.9%)
Commonwealth of
Australia
9.00%, 9/15/04 AAA AUD 3,575 $ 3,030
Federal National
Mortgage Association
6.50%, 7/10/02 Agy 1,050 785
- -------------------------------------------------------
GROUP TOTAL 3,815
- -------------------------------------------------------
BRITISH POUND (5.8%)
United Kingdom Treasury
Bills
8.00%, 6/7/21 AAA GBP 1,025 1,941
8.50%, 7/16/07 AAA 1,395 2,570
- -------------------------------------------------------
GROUP TOTAL 4,511
- -------------------------------------------------------
CANADIAN DOLLAR (3.0%)
(+) Global Econ2 EI
Zero Coupon, 11/1/98 AAA (1)600 2
(+) Global Econ2 PIP
Zero Coupon, 11/1/98 AAA (1)600 3
Government of Canada
7.50%, 3/1/01 AAA CAD 2,165 1,686
9.75%, 6/1/21 AA+ 640 659
- -------------------------------------------------------
GROUP TOTAL 2,350
- -------------------------------------------------------
DANISH KRONE (2.4%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 6,765 1,133
8.00%, 3/15/06 AA+ 4,500 765
- -------------------------------------------------------
GROUP TOTAL 1,898
- -------------------------------------------------------
GERMAN MARK (13.3%)
GMAC Global Bond
3.42%, 9/25/02 A- DEM 1,400 792
Government of Germany
6.25%, 1/4/24 AAA 1,000 573
7.125%, 1/29/03 AAA 2,775 1,725
7.375%, 1/3/05 AAA 2,680 1,704
7.50%, 9/9/04 AAA 2,210 1,412
8.375%, 5/21/01 AAA 6,430 4,089
- -------------------------------------------------------
GROUP TOTAL 10,295
- -------------------------------------------------------
IRISH PUNT (1.9%)
Irish Government
8.00%, 8/18/06 AAA IEP 900 1,484
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ITALIAN LIRA (5.9%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 3,180,000 $ 2,249
10.00%, 8/1/03 AAA 3,300,000 2,296
- -------------------------------------------------------
GROUP TOTAL 4,545
- -------------------------------------------------------
JAPANESE YEN (5.5%)
Credit Locale de France
6.00%, 10/31/01 AAA JPY 75,000 737
European Investment Bank
3.00%, 9/20/06 AAA 88,000 786
6.625%, 3/15/00 AAA 60,000 567
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 711
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 AAA 78,600 785
++ 6.75%, 6/18/01 AAA 64,000 639
- -------------------------------------------------------
GROUP TOTAL 4,225
- -------------------------------------------------------
SWEDISH KRONA (7.3%)
Swedish Government
6.00%, 2/9/05 AAA SEK 19,900 2,632
13.00%, 6/15/01 AA+ 18,175 2,994
- -------------------------------------------------------
GROUP TOTAL 5,626
- -------------------------------------------------------
UNITED STATES DOLLAR (32.1%)
AGENCY FIXED RATE MORTGAGE (3.1%)
Government National
Mortgage Association
10.50%, 5/15/18 Agy $ 2,144 2,411
- -------------------------------------------------------
CORPORATE (7.6%)
Anthem Insurance Cos.,
Inc. Series A
9.00%, 4/1/27 BBB+ 275 296
(+) BankAmerica
Institutional, Series
A
8.07%, 12/31/26 A- 350 360
(+) BT Institutional
Capital Trust, Series
A
8.09%, 12/1/26 BBB+ 325 329
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 250 255
(+) Edison Mission
Energy Funding
7.33%, 9/15/08 BBB 225 231
(+) Entertainment
Properties
14.253%, (Preferred
Stock) BBB- (1)300 289
First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 400 404
</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>
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- $ 95 $ 97
(+)+ Home Ownership
Funding Corp.
13.331%, (Preferred
Stock) Aaa (1)1,575 1,528
Nationwide Mutual Life
Insurance
7.50%, 2/15/24 A+ 300 295
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 425 427
(+) Tier One Properties
11.095%,
(Preferred Stock) A (1)150 147
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 350 360
Series B
7.95%, 12/1/26 BBB+ 100 101
World Financial
Properties, Series 96
WFP-D
6.95%,9/1/13 AA- 775 785
- -------------------------------------------------------
GROUP TOTAL 5,904
- -------------------------------------------------------
U.S. TREASURY SECURITIES (17.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,060 2,612
U.S. Treasury Notes
6.125%, 5/15/98 Tsy 3,875 3,888
6.75%, 5/31/99 Tsy 2,150 2,182
6.25%, 2/15/03 Tsy 455 459
7.875%, 11/15/04 Tsy 300 330
7.50%, 2/15/05 Tsy 2,615 2,824
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,621 1,590
- -------------------------------------------------------
GROUP TOTAL 13,885
- -------------------------------------------------------
YANKEE (3.5%)
Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 399 407
(+) AST Research, Inc.
7.45%, 10/1/02 A- 300 299
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 300 304
Korea Development Bank
7.375%, 9/17/04 AA- 225 227
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 225 223
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 375 396
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ $ 550 $ 597
Republic of Colombia
8.70%, 2/15/16 BBB- 220 224
- -------------------------------------------------------
GROUP TOTAL 2,677
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $64,379) 63,626
- -------------------------------------------------------
CASH EQUIVALENTS (16.4%)
- -------------------------------------------------------
COMMERCIAL PAPER (5.8%)
Atlantic Asset Securitization
Corp.
5.57%, 10/16/97 1,500 1,496
Barclays U.S. Funding Corp.
5.55%, 10/14/97 1,505 1,502
Daimler-Benz AG
5.57%, 10/7/97 1,500 1,499
- -------------------------------------------------------
GROUP TOTAL 4,497
- -------------------------------------------------------
DISCOUNT NOTE (3.9%)
Federal Home Loan Mortgage
Corporation
10/3/97 3,000 2,999
- -------------------------------------------------------
REPURCHASE AGREEMENTS (6.7%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at $2,759,
collateralized by various
U.S. Government Obligations,
due 10/1/97-1/29/99, valued
at $2,785 2,759 2,759
Goldman Sachs & Co. 6.15%,
dated 9/30/97, due 10/1/97,
to be repurchased at $2,470,
collateralized by U.S.
Treasury Bonds, 8.00%, due
11/15/21, valued at $2,521 2,470 2,470
- -------------------------------------------------------
GROUP TOTAL 5,229
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $12,725) 12,725
- -------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- -------------------------------------------------------
Canadian Dollar CAD 6 5
Irish Punt IEP 36 52
@ Italian Lira ITL 256 --
Swedish Krona SEK 4 1
- -------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $58) 58
- -------------------------------------------------------
TOTAL INVESTMENTS (98.6%) (Cost $77,162) 76,409
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME
PORTFOLIO
VALUE
(CONT'D) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (1.4%)
Cash $ 239
Foreign Currency Held as Collateral on Futures
Contracts (Cost $356) 356
Dividends Receivable 67
Interest Receivable 1,209
Receivable for Investments Sold 164
Receivable for Fund Shares Sold 4
Unrealized Gain on Futures Contracts 67
Other Assets 2
Payable for Investments Purchased (528)
Payable for Investment Advisory Fees (72)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Unrealized Loss on Forward Foreign Currency
Contracts (377)
Other Liabilities (40)
-------
1,084
- -------------------------------------------------------
NET ASSETS (100%) $77,493
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 7,281,220 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $77,493
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.64
- -------------------------------------------------------
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $76,229
Undistributed Net Investment Income (Loss) 1,414
Undistributed Realized Net Gain (Loss) 921
Unrealized Appreciation (Depreciation) on:
Investment Securities (753)
Foreign Currency Transactions (385)
Futures 67
- -------------------------------------------------------
NET ASSETS $77,493
- -------------------------------------------------------
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale may
exist.
(dd) 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.
(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
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (70.6%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (5.0%)
Commonwealth of Australia
9.00%, 9/15/04 AAA AUD 7,350 $ 6,230
Federal National Mortgage
Association
6.50%, 7/10/02 Agy 1,960 1,466
- ------------------------------------------------------
GROUP TOTAL 7,696
- ------------------------------------------------------
BRITISH POUND (8.9%)
United Kingdom Treasury Bills
8.00%, 6/7/21 AAA GBP 1,930 3,655
8.00%, 6/10/03 AAA 1,765 3,050
8.50%, 7/16/07 AAA 3,730 6,870
- ------------------------------------------------------
GROUP TOTAL 13,575
- ------------------------------------------------------
CANADIAN DOLLAR (2.9%)
(+) Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1)1,400 4
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1)1,400 6
Government of Canada
7.50%, 3/1/01 AAA CAD 3,100 2,414
9.75%, 6/1/21 AA+ 1,950 2,009
- ------------------------------------------------------
GROUP TOTAL 4,433
- ------------------------------------------------------
DANISH KRONE (2.9%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 18,360 3,074
8.00%, 3/15/06 AA+ 7,675 1,304
- ------------------------------------------------------
GROUP TOTAL 4,378
- ------------------------------------------------------
FINNISH MARKKA (0.9%)
Government of Finland
9.50%, 3/15/04 AA- FIM 6,000 1,382
- ------------------------------------------------------
FRENCH FRANC (0.8%)
Government of France O.A.T.
8.50%, 3/28/00 AAA FRF 6,400 1,183
- ------------------------------------------------------
GERMAN MARK (14.7%)
GMAC Global Bond
3.42%, 9/25/02 A- DEM 2,600 1,470
Government of Germany
6.25%, 1/4/24 AAA 2,350 1,347
+ 7.00%, 1/13/00 Aaa 9,300 5,579
(dd)7.375%, 1/3/05 AAA 3,600 2,289
7.50%, 9/9/04 AAA 7,025 4,487
8.375%, 5/21/01 AAA 6,880 4,375
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA DEM 4,550 $ 2,851
- ------------------------------------------------------
GROUP TOTAL 22,398
- ------------------------------------------------------
IRISH PUNT (2.2%)
Irish Government
8.00%, 8/18/06 AAA IEP 2,060 3,398
- ------------------------------------------------------
ITALIAN LIRA (8.3%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 9,070,000 6,415
10.00%, 8/1/03 AA 8,995,000 6,259
- ------------------------------------------------------
GROUP TOTAL 12,674
- ------------------------------------------------------
JAPANESE YEN (13.8%)
(dd) Credit Locale de France
6.00%, 10/31/01 AAA JPY 516,000 5,070
European Investment Bank
6.625%, 3/15/00 AAA 205,000 1,939
3.00%, 9/20/06 AAA 151,000 1,349
Export-Import Bank of Japan
2.875%, 7/28/05 AAA 420,000 3,732
Inter-American Development
Bank
6.00%, 10/30/01 AAA 465,000 4,586
International Bank for
Reconstruction &
Development
(dd) 6.75%, 6/18/01 AAA 140,000 1,398
4.75%, 12/20/04 AAA 305,000 3,045
- ------------------------------------------------------
GROUP TOTAL 21,119
- ------------------------------------------------------
NETHERLANDS GUILDER (1.7%)
Netherlands Government
8.25%, 2/15/07 AAA NLG 4,225 2,543
- ------------------------------------------------------
SPANISH PESETA (1.2%)
Spanish Government
10.10%, 2/28/01 AAA ESP 240,000 1,858
- ------------------------------------------------------
SWEDISH KRONA (7.3%)
Swedish Government
6.00%, 2/9/05 AAA SEK 47,800 6,321
13.00%, 6/15/01 AA+ 29,525 4,863
- ------------------------------------------------------
GROUP TOTAL 11,184
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$110,356) 107,821
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME PORTFOLIO
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (27.2%)
- ------------------------------------------------------
COMMERCIAL PAPER (13.3%)
Atlantic Asset Securitization
Corp.
5.57%, 10/16/97 $3,000 $ 2,993
Daimler-Benz AG
5.57%, 10/7/97 3,000 2,997
Ford Motor Credit Corp.
5.54%, 10/7/97 3,000 2,997
Transamerica Financial Corp.
5.51%, 10/30/97 3,000 2,987
Toys 'R' Us, Inc.
5.50%, 10/27/97 3,000 2,988
USAA Capital Corp.
5.53%, 10/9/97 3,000 2,997
Xerox Credit Corp.
5.55%, 10/9/97 2,340 2,337
- ------------------------------------------------------
GROUP TOTAL 20,296
- ------------------------------------------------------
DISCOUNT NOTE (3.9%)
Federal Home Loan Mortgage
Corporation
10/3/97 6,000 5,998
- ------------------------------------------------------
REPURCHASE AGREEMENTS (10.0%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at
$7,662, collateralized by
various U.S. Government
Obligations, due
10/1/97-1/29/99, valued at
$7,733 7,661 7,661
Goldman Sachs & Co. 6.15%,
dated 9/30/97, due 10/1/97,
to be repurchased at
$7,660, collateralized by
U.S. Treasury Bonds, 8.00%,
due 11/15/21, valued at
$7,817 7,659 7,659
- ------------------------------------------------------
GROUP TOTAL 15,320
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $41,614) 41,614
- ------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- ------------------------------------------------------
British Pound GBP 1 1
Canadian Dollar CAD 34 25
@ Japanese Yen JPY 3 --
@ Spanish Peseta ESP 12 --
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $25) 26
- ------------------------------------------------------
TOTAL INVESTMENTS (97.8%) (Cost $151,995) 149,461
- ------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (2.2%)
Foreign Currency Held as Collateral on
Futures Contracts (Cost $887) $ 887
Interest Receivable 2,656
Receivable for Fund Shares Sold 1,876
Unrealized Gain on Futures Contracts 308
Other Assets 5
Payable for Investments Purchased (1,718)
Payable for Fund Shares Redeemed (16)
Payable for Investment Advisory Fees (133)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Payable to Custodian (24)
Unrealized Loss on Forward Foreign Currency
Contracts (523)
Other Liabilities (13)
--------
3,291
- ------------------------------------------------------
NET ASSETS (100%) $152,752
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 14,990,797 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $152,752
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.19
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $154,579
Undistributed Net Investment Income (Loss) (372)
Undistributed Realized Net Gain (Loss) 1,312
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,535)
Foreign Currency Transactions (540)
Futures 308
- ------------------------------------------------------
NET ASSETS $152,752
- ------------------------------------------------------
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale
may exist.
(dd) 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.
(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.
- --------------------------------------------------------------------------------
80
<PAGE> 83
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (95.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (10.0%)
## Government National
Mortgage Association
November TBA
6.00%, 11/20/27 Agy $ 5,475 $ 5,508
6.50%, 11/20/28 Agy 1,650 1,677
- ------------------------------------------------------
GROUP TOTAL 7,185
- ------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (13.6%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
11.00%, 7/1/13 Agy 113 127
11.50%, 3/1/13 Agy 178 202
Gold Pools:
7.00%, 1/1/24-12/1/24 Agy 999 1,000
10.00%, 6/1/17 Agy 464 513
Federal National
Mortgage Association
Conventional Pools:
10.00%, 5/1/22-1/1/27 Agy 317 347
10.50%, 12/1/10 Agy 95 106
Government National
Mortgage Association
Conventional Pools:
7.00%, 12/15/23 Agy 2,647 2,656
10.00%, 2/15/16-
12/25/25 Agy 1,621 1,798
10.50%, 3/15/06-
2/15/18 Agy 323 363
11.00%, 3/15/10-
8/15/27 Agy 2,169 2,480
11.50%, 6/15/13 Agy 146 168
12.50%, 12/15/10 Agy 39 45
- ------------------------------------------------------
GROUP TOTAL 9,805
- ------------------------------------------------------
ASSET BACKED CORPORATES (11.1%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 71 72
(+) Series 97-C A
6.40%, 3/17/04 AAA 333 334
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 17 17
+ 96-B A
6.60%, 4/15/01 A2 45 45
97-A A
6.35%, 10/15/02 AAA 278 279
ALPS,
Series 94-1 A4 CMO
7.80%, 9/15/04 AA 260 266
<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 $ 94 $ 94
Arcadia Auto,
Series 97-C A4
6.375%, 1/15/03 AAA 360 361
Associates Manufactured
Housing,
Series:
97-1 A3
6.60%, 6/15/28 AAA 235 237
97-2 A
6.65%, 10/15/02 AAA 244 246
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 14 14
95-A B
7.65%, 3/15/02 A 26 27
Cityscape Home Equity Loan
Trust, Series 96-1 A1
6.45%, 3/1/09 AAA 29 29
Contimortgage Home Equity
Loan Trust, Series 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 275 275
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series:
96-B A1
7.629%, 11/1/18 A 96 97
97-A A
7.35%, 4/15/19 AAA 360 373
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 175 174
(+) 97-2 A1
6.85%, 11/15/02 AAA 235 237
First Plus Home Loan
Trust, Series 96-4 A3
6.28%, 3/10/09 AAA 250 249
Fleetwood Credit Corp.,
Series 92-A
7.10%, 2/15/07 AAA 81 81
Ford Credit Auto Owner
Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA 200 201
96-B
6.55%, 2/15/02 A 100 100
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA $ 65 $ 66
General Electric Home
Equity Loan Asset-Backed
Certificates, Series
91-1 B
8.70%, 9/15/11 AAA 250 257
General Motors Acceptance
Corp., Grantor Trust,
Series 93-A A
4.15%, 3/15/98 AAA 1 1
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 25 25
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 582 582
IBM Credit Receivables
Lease Asset Master
Trust, Series 93-1 A
4.55%, 11/15/00 AAA 11 11
(+) Long Beach Auto,
Series 97-2 A
6.69%, 9/25/04 AAA 272 272
Money Store (The) Home
Equity Trust,
Series 95-CA1
6.20%, 1/15/09 AAA 11 11
(+)++ NAL Auto Trust,
Series 97-2A
7.75%, 9/15/02 A 210 210
(+) National Auto Credit,
Inc. Series 96 3A
7.30%, 12/15/00 N/R 59 59
Navistar Financial Corp.
Owner Trust, Series 94-B
A
6.40%, 1/15/00 AAA 23 23
(+) NPR Health Care,
Series 97-1 A
6.815%, 7/1/01 N/R 100 101
Old Stone Credit Corp,
Series 92-3 B1
6.35%, 9/25/07 AAA 60 59
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA 64 65
94-B B
6.95%, 6/15/01 AAA 32 32
Onyx Acceptance Grantor
Trust,
Series:
94-1 A
6.90%, 1/17/00 AAA 25 25
97-2 A
6.35%, 10/15/02 AAA 387 388
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
97-3A
6.35%, 1/15/04 AAA $ 370 $ 371
Premier Auto Trust, Series
95-4 A4
6.00%, 5/6/00 AAA 100 100
(+) Railcar Leasing
7.125%, 1/15/13 AAA 350 362
(+) Team Fleet Financing
Corp., Series 97-1 A
7.35%, 5/15/03 A- 300 308
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 105 105
97-B A2
6.70%, 6/8/03 AAA 300 302
Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 9 9
94-1 A1
5.10%, 6/1/99 AAA 18 18
WFS Financial Owner Trust,
Series 97-C A3
6.01%, 3/20/02 AAA 380 380
- ------------------------------------------------------
GROUP TOTAL 8,025
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.6%)
Federal Home Loan Mortgage
Corporation,
Series:
93-149 O PO REMIC
8/25/23 Agy 35 22
## 1386 D REMIC
6.188%, 10/15/07 Agy 416 417
1632 SA Inv Fl REMIC
5.336%, 11/15/23 Agy 65 54
1709 H PO REMIC
1/15/24 Agy 14 7
1750 C PD PO REMIC
3/15/24 Agy 22 15
1813 K PO REMIC
2/15/24 Agy 15 10
1844 PC PO REMIC
3/15/24 Agy 30 19
1887 I PO REMIC
10/15/22 Agy 15 10
Federal National Mortgage
Association,
Series:
93-205 G PO REMIC
9/25/23 Agy 14 9
93-235 H PO REMIC
9/25/23 Agy 4 3
96-11 V PO 9/25/23 Agy 565 381
</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>
96-14 PC PO 12/25/23 Agy $ 25 $ 14
96-46 PB PO 9/25/23 Agy 30 20
96-54 N PO 7/25/23 Agy 20 15
96-54 O PO 11/25/23 Agy 20 12
97-3 E PO 12/25/23 Agy 75 50
97-7 EB PO 2/25/23 Agy 233 166
282 1 PO 5/15/24 Agy 506 347
287 1 PO 12/17/07 Agy 496 325
- ------------------------------------------------------
GROUP TOTAL 1,896
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (5.1%)
Asset Securitization
Corp., Series 96-MD6 A1C
6.88%, 11/13/26 AAA 250 255
Bear Stearns Mortgage
Securities, Inc.,
Series:
96-4 AI10
8.125%, 9/25/27 AAA 50 52
96-9 AI11
8.00%, 6/15/26 AAA 50 52
Citicorp Mortgage
Securities, Inc., Series
93-9 A1
7.00%, 3/25/20 AAA 60 60
DLJ Mortgage Acceptance
Corp.,
Series:
(+) 97-CF1 A1B
7.60%, 5/15/30 AAA 300 318
(+) 97-CF1 S IO
1.097%, 5/15/30 AAA 1,295 86
97-CF2 A1B
6.82%, 10/15/30 AAA 500 503
ICI Funding Corp., Series
97-2 1A8
8.00%, 7/25/28 AAA 349 365
## J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97- C5 A2
7.069%, 9/15/29 AAA 325 332
+ Independent National
Mortgage Corp.,
Series 94-O B1
7.875%, 9/25/24 A2 97 100
Merrill Lynch Mortgage
Investors, Inc.,
Series 95-C1 IO
2.188%, 5/25/15 N/R 2,553 176
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Residential Accredit
Loans Inc.,
Series:
97 Q52 A8 NAS
7.75%, 3/25/27 AAA $ 75 $ 77
97 QS3 NAS
7.75%, 4/25/27 AAA 150 154
97 QS10 A7 TBA
7.25%, 9/15/27 AAA 550 550
Residential Asset
Securitization Trust,
Series:
96-A11 A9
7.75%, 2/25/27 AAA 50 51
97-A9 A5
7.25%, 9/15/27 AAA 525 526
- ------------------------------------------------------
GROUP TOTAL 3,657
- ------------------------------------------------------
COMMERCIAL MORTGAGES (7.0%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 50 52
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 141 148
95-MD4 A1
7.10%, 8/13/29 AAA 706 727
96-MD6 A1C
7.04%, 11/13/26 AAA 100 103
(+) Carousel Center
Finance, Inc., Series 1
B
7.527%, 10/15/07 BBB+ 83 84
CBM Funding Corp., Series
96-1 A3PI
7.08%, 2/1/13 AA 100 103
Chase Commercial Mortgage
Securities Corp., Series
96-2 B
6.90%, 10/19/06 AA 100 101
CS First Boston Mortgage
Securities Corp.,
Series 97-C1 A1C
7.24%, 6/20/29 AAA 325 337
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 7/15/06 AAA 85 88
## 96-CF2 S IO
1.643%, 11/12/21 N/R 623 55
(+) Forum Finance
7.125%, 5/15/04 AA 250 256
+ GMAC Commercial Mortgage
Securities, Inc.,
Series 97-C1, Class A2
6.853, 9/15/06 Aaa 500 508
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ GS Mortgage Securities
Corp.,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa $ 350 $ 357
97-GL X2 IO
1.07%, 7/13/30 Aaa 999 55
(+) Hospitality Properties
Mortgage Acceptance
Corp., Series 96-C1 A
6.275%, 12/6/04 A 200 200
(+) Lakewood Mall Finance
Co., Series 95-C1 A
7.00%, 8/13/10 AA 100 102
+ LB Commercial Conduit
Mortgage Trust,
Series 96-C2 A
7.416%, 10/25/26 Aaa 99 102
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 100 104
96-C2 A2
6.82%, 11/21/28 AAA 345 349
96-C2 IO
1.529%, 10/25/26 N/R 444 40
97-C1 A3
7.12%, 6/18/29 AAA 150 154
+ Midland Realty
Acceptance Corp., Series
96-C2 A2
7.233%, 1/25/27 Aaa 100 103
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 150 155
97-MC1 A3
7.288%, 7/20/27 Aaa 375 390
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 198 209
+ Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 150 154
- ------------------------------------------------------
GROUP TOTAL 5,036
- ------------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 101
- ------------------------------------------------------
FINANCE (13.8%)
Allstate Corp.
5.875%, 6/15/98 A 125 125
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 225 243
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Associates Corp. of North
America, Series H
6.73%, 3/27/03 AA- $ 175 $ 177
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 350 360
Bankers Trust New York
Corp.
6.625%, 7/30/99 A 150 151
Barclays American Corp.
7.875%, 8/15/98 AA 125 127
Beneficial Corp., Series H
6.575%, 12/16/02 A 175 176
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 250 253
Chase Manhattan Bank N.A.
5.875%, 8/4/99 A+ 575 573
Chrysler Financial Corp.
6.375%, 1/28/00 A- 200 201
6.62%, 6/16/00 A 325 328
CIT Group Holdings
6.375%, 10/1/02 AA- 400 399
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 300 307
Countrywide Funding Corp.
6.05%, 3/1/01 A 75 74
6.55%, 4/14/00 A 100 101
(+) Equitable Life
Assurance Society of the
U.S.,
Series 1 A
6.95%, 12/1/05 A 250 252
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 300 319
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 675 682
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 350 353
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 300 307
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 129
7.45%, 7/1/04 A 100 104
(+) Florida Windstorm
6.70%, 8/25/04 A- 200 199
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 75 77
8.375%, 1/15/00 A+ 25 26
General Motors Acceptance
Corp. Medium Term Note
6.75%, 6/10/02 A- 100 101
+ 6.65%, 5/24/00 A3 100 101
(+)+ Home Ownership
Funding Corp.,
13.331%
(Preferred Stock) Aaa (1)650 631
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Household Finance Corp.
6.08%, 3/8/06 A $ 68 $ 67
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 340 346
Lehman Brothers Holding
Corp.
6.50%, 7/18/00 A 375 376
6.625%, 11/15/00 A 100 101
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 325 316
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 300 301
(+) Prime Property Funding
6.80%, 8/15/02 A 355 357
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 250 255
Wells Fargo Capital,
(+) Series A
8.125%, 12/1/26 BBB 100 103
Series B
7.95%, 12/1/26 BBB+ 250 252
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 248 251
96 WFP-D
6.95%, 9/1/13 AA- 350 354
- ------------------------------------------------------
GROUP TOTAL 9,955
- ------------------------------------------------------
FLOATING RATE NOTES (0.1%)
## Student Loan Marketing
Association,
Series:
95-1 A1
5.759%, 4/26/04 AAA 39 40
96-1 A1
5.744%, 7/26/04 AAA 34 34
- ------------------------------------------------------
GROUP TOTAL 74
- ------------------------------------------------------
FOREIGN GOVERNMENTS (1.1%)
Government of Germany
7.375%, 1/3/05 AAA DEM 1,200 763
- ------------------------------------------------------
INDUSTRIALS (0.6%)
(+) EES Coke Battery Co.,
Inc.
7.125%, 4/15/02 BBB $ 200 202
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 55 53
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB $ 83 $ 87
+ Sears Roebuck Acceptance
Corp.
6.86%, 8/6/01 A2 70 71
- ------------------------------------------------------
GROUP TOTAL 413
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
Resolution Trust Corp.,
Series 92-5 C
8.618%, 1/25/26 AA 85 86
- ------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
Federal National Mortgage
Association
Series:
249 1 PO
10/25/23 Agy 338 223
254 1 PO
1/1/24 Agy 44 31
260 1 PO
4/1/24 Agy 58 41
263 1 PO
5/25/24 Agy 62 41
93-M2 B IO REMIC
2.575%, 7/25/03 Agy 805 46
93-146 G PO REMIC
5/25/23 Agy 12 8
93-243 C PO REMIC
11/25/23 Agy 4 3
96-20 E PO
11/25/22 Agy 250 124
- ------------------------------------------------------
GROUP TOTAL 517
- ------------------------------------------------------
TELEPHONES (0.2%)
Tele-Communications, Inc.
8.75%, 2/15/23 BBB- 150 155
- ------------------------------------------------------
U.S. TREASURY SECURITIES (26.5%)
U.S. Treasury Notes
7.00%, 4/15/99 Tsy 550 560
6.25%, 5/31/99 Tsy 8,000 8,058
6.875%, 7/31/99 Tsy 2,850 2,901
(dd)7.50%, 2/15/05 Tsy 3,750 4,049
3.625%, 7/15/02
(Inflation Indexed) Tsy 2,180 2,172
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,368 1,341
- ------------------------------------------------------
GROUP TOTAL 19,081
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE DURATION
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
UTILITIES (0.1%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB $ 100 $ 103
- ------------------------------------------------------
YANKEE (2.8%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 384 392
AST Research, Inc.
7.45%, 10/1/02 A- 300 299
(+) Israel Electric Corp.,
Ltd
7.25%, 12/15/06 A- 100 101
Korea Development Bank
7.375%, 9/17/04 AA- 220 222
Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 225 223
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 350 370
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 365 396
- ------------------------------------------------------
GROUP TOTAL 2,003
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $68,139) 68,855
- ------------------------------------------------------
INTEREST RATE CAP (0.1%)-SEE NOTE A6
- ------------------------------------------------------
Bankers Trust Co.,
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of 12 month
LIBOR over 6.34%
multiplied by the
notional amount.
(Premium Paid $85) N/R 25,000 76
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (10.6%)
- ------------------------------------------------------
REPURCHASE AGREEMENTS (10.6%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97, to
be repurchased at $2,543,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99, valued at
$2,566 $ 2,542 $ 2,542
Goldman Sachs & Co. 6.15%, dated
9/30/97, due 10/1/97, to be
repurchased at $2,541,
collateralized by U.S. Treasury
Bonds, 8.00%, due 11/15/21,
valued at $2,593 2,541 2,541
Merrill Lynch & Co., Inc. 5.90%,
dated 9/30/97, due 10/1/97, to
be repurchased at $2,541,
collateralized by U.S. Treasury
Notes, 7.50%, due 10/31/99,
valued at $2,593 2,541 2,541
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $7,624) 7,624
- ------------------------------------------------------
TOTAL INVESTMENTS (106.2%) (Cost $75,848) 76,555
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.2%)
Dividends Receivable 22
Interest Receivable 966
Receivable for Investments Sold 8,276
Other Assets 1
Payable for Investments Purchased (8,516)
Payable for Shares Redeemed (5,077)
Payable for Investment Advisory Fees (57)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Unrealized Loss on Foreign Forward Currency
Contracts (7)
Payable for Daily Variation on Futures
Contract (1)
Other Liabilities (37)
-------
(4,436)
- ------------------------------------------------------
NET ASSETS (100%) $72,119
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 6,883,396 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $72,119
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.48
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $69,694
Undistributed Net Investment Income (Loss) 1,188
Undistributed Realized Net Gain (Loss) 538
Unrealized Appreciation (Depreciation) on:
Investment Securities 707
Foreign Currency Transactions (7)
Futures (1)
- ------------------------------------------------------
NET ASSETS $72,119
- ------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
++ Fitch rating. Security is not rated by Standard
& Poor's Corporation or Moody's Investor
Service, Inc.
## Variable or floating rate security-rate
disclosed is as of September 30, 1997.
(1) Amount represents shares held by the Portfolio.
CMO Collateralized Mortgage Obligation
DEM German Mark
IO Interest Only
N/R Not rated by Moody's Investor Service, Inc.,
Standard & Poor's Corporation or Fitch.
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (35.4%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1997 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (3.7%)
## Government National
Mortgage Association
Various Pools:
6.00%,
8/20/27-11/20/27 Agy $ 10,950 $ 11,032
November TBA
6.00%, 11/20/27 Agy 2,800 2,817
- -------------------------------------------------------
GROUP TOTAL 13,849
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (4.7%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 9/1/17 Agy 644 703
10.50%, 8/1/19 Agy 503 561
11.00%, 5/1/20-9/1/20 Agy 946 1,060
12.00%, 3/1/15 Agy 359 416
Gold Pools:
7.00%, 1/1/24-6/1/25 Agy 3,034 3,039
Federal National Mortgage
Association
Conventional Pools:
10.00%, 7/1/17 Agy 783 858
10.50%, 8/1/12-4/1/22 Agy 1,646 1,844
Government National
Mortgage Association
Various Pools:
7.00%,
12/15/22-12/15/23 Agy 4,446 4,462
10.00%,
12/15/21-12/25/26 Agy 1,893 2,096
10.50%,
2/15/20-12/15/20 Agy 1,098 1,235
11.00%, 5/15/26 Agy 1,078 1,199
- -------------------------------------------------------
GROUP TOTAL 17,473
- -------------------------------------------------------
ASSET BACKED CORPORATES (2.2%)
## Airplanes Pass Through
Trust,
Series:
1 B
6.756%, 3/15/19 A 325 325
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 375 384
94-1 C2 CMO
9.35%, 9/15/04 BBB 622 640
96-1 D
12.75%, 6/15/06 BB- 1,097 1,184
Arcadia Auto, Series
97-CA4
6.375%, 1/15/03 AAA 640 642
CIT Group Home Equity
Loan Trust,
Series:
97-1 A3
6.25%, 9/15/01 AAA 375 375
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Federal Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series:
96-B A1
7.629%, 11/1/18 A $ 382 $ 390
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 380 381
97-3 A3
6.57%, 10/10/10 AAA 375 376
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 1,094 1,094
(+) Long Beach Auto,
Series:
97-2 A
6.69%, 9/25/04 AAA 494 494
(+) NAL Auto Trust,
Series:
96 3A
7.75%, 9/15/02 N/R 233 234
96-4 A
6.90%, 12/15/00 N/R 308 306
National Car Rental
Financing Ltd.,
Series:
96-1 A4
7.35%, 10/20/03 N/R 425 435
Security Pacific Home
Equity Trust,
Series:
91-AB
10.50%, 3/10/06 A+ 80 80
(+) Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 300 300
WFS Financial Owner
Trust,
Series:
97-C A3
6.01%, 3/20/02 AAA 690 689
- -------------------------------------------------------
GROUP TOTAL 8,329
- -------------------------------------------------------
ASSET BACKED MORTGAGES (0.6%)
Cityscape Home Equity
Loan Trust,
Series:
96-2 A5
8.10%, 8/25/26 AAA 700 734
96-3 A IO
1.00%, 10/25/26 AAA 9,348 232
96-3 YMA
10/25/26 N/R 9,348 13
</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>
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA $ 8,041 $ 212
(+) 96-4 A12 IO
1.05%, 1/15/28 AAA 2,596 68
96-4 A12 YMA
1/15/28 N/R 12,984 19
97-1 A10 YMA
3/15/28 N/R 9,505 13
(+) 97-1 A10I IO
1.10%, 3/15/28 AAA 9,285 254
First Union Residential
Securization Trust,
Series 96-2 A5
7.21%, 11/25/28 AAA 675 682
- -------------------------------------------------------
GROUP TOTAL 2,227
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.1%)
Federal Home Loan
Mortgage Corporation,
Series:
93-149 O PO REMIC
8/25/23 Agy 113 71
1415-S Inv Fl IO CMO
19.125%, 11/15/07 Agy 373 172
1476-S Inv Fl IO REMIC
PAC
4.363%, 2/15/08 Agy 3,357 391
1485-S Inv Fl IO REMIC
3.913%, 3/15/08 Agy 3,315 294
1600-SA Inv Fl IO REMIC
2.313%, 10/15/08 Agy 5,887 325
1709 H PO REMIC
1/15/24 Agy 52 27
1750 C PD PO REMIC
3/15/24 Agy 78 56
1813 K PO REMIC
2/15/24 Agy 50 34
1844 PC PO REMIC
3/15/24 Agy 95 60
1887 I PO REMIC
10/15/22 Agy 55 37
Federal National Mortgage
Association,
Series:
282 1 PO
5/15/24 Agy 1,253 859
90-106 J PAC CMO
8.50%, 9/25/20 Agy 552 581
92-186 S Inv Fl IO CMO
3.363%, 10/25/07 Agy 6,381 548
93-205 G PO REMIC
9/25/23 Agy 308 198
93-235 H PO REMIC
9/25/23 Agy 122 96
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
96-14 PC PO REMIC
12/25/23 Agy $ 90 $ 52
96-46 PB PO REMIC
9/25/23 Agy 95 64
96-54 N PO REMIC
7/25/23 Agy 69 52
96-54 O PO REMIC
11/25/23 Agy 74 46
96-68 SC Inv Fl IO
REMIC
2.475%, 1/25/24 Agy 1,250 152
- -------------------------------------------------------
GROUP TOTAL 4,115
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (3.2%)
American Housing Trust,
Series:
V 1G
9.125%, 4/25/21 AAA 302 320
Chemical Mortgage
Securities, Inc.,
Series:
93-1 M
7.45%, 2/25/23 AA 444 448
Citicorp Mortgage
Securities, Inc.,
Series:
94-7 A5
6.25%, 4/25/24 AAA 825 742
CMC Securities Corp. IV,
Series:
94-G A4
7.00%, 9/25/24 AAA 675 645
DLJ Mortgage Acceptance
Corp.,
Series:
97-CF2 A1B
6.82%, 10/15/30 AAA 825 831
sec. First Boston
Mortgage Corp.,
Series:
92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-
2/26/93, cost $239) A 244 249
GE Capital Mortgage
Services, Inc.,
Series:
94-24 A4
7.00%, 7/25/24 AAA 858 822
Independent National
Mortgage Corp.,
Series:
95-V A3
7.12%, 2/25/26 AAA 935 927
J. P. Morgan Commercial
Mortgage Finance Corp.
Series:
97-C5 A2
7.069%, 9/15/29 AAA 600 613
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.467%, 5/28/22
(acquired 2/26/93,
cost $106) N/R $ 105 $ 105
Merrill Lynch Mortgage
Investors, Inc.,
Series 95-C1 IO
2.188%, 5/25/15 N/R 5,264 363
Prudential Home Mortgage
Securities Co.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 107 107
(+) 92-A 2B4
7.90%, 4/28/22 N/R 370 362
(+) 92-A 3B2
7.90%, 4/28/22 N/R 1,000 600
(+)## 94-A 3B3
6.803%, 4/28/24 N/R 1,129 1,092
Residential Accredit
Loans, Inc.,
Series:
97-Q52 AB
7.75%, 3/25/27 AAA 325 335
97-QS4 A7
7.75%, 5/25/27 N/R 600 619
97-QS12 A8 TBA
7.25%, 12/25/27 AAA 825 826
Rural Housing Trust,
Series 87-1 M
3.33%, 10/1/28 A- 620 591
Ryland Mortgage
Securities Corp.,
Series:
## 92-A 1A
8.27%, 3/29/30 A- 458 464
94-7B 4A2
7.50%, 8/25/25 AAA 850 852
- -------------------------------------------------------
GROUP TOTAL 11,913
- -------------------------------------------------------
COMMERCIAL MORTGAGES (3.4%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 1,252 1,276
95-Cl A1B
7.40%, 11/17/04 N/R 650 672
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA $ 1,315 $ 1,353
(+) 96-D3 A1C
7.40%, 10/13/26 N/R 525 552
96-MD6 A1C
7.04%, 11/13/26 AAA 575 591
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 10/15/07 AA 525 529
CBM Funding Corp.,
Series:
96-1 A3PI
7.08%, 2/1/13 AA 600 618
(+) Creekwood Capital
Corp.,
Series:
95-1A
8.47%, 3/16/15 AA 556 620
CS First Boston Mortgage
Securities Corp.,
Series:
97-C1 A1C
7.24%, 6/20/29 AAA 700 726
(+) DLJ Mortgage
Acceptance Corp.,
Series:
95-CF2 A1B
7.29%, 7/15/06 AAA 165 171
## 96-CF2 S IO
1.643%, 11/12/21 N/R 1,655 147
(+) Equitable Life
Assurance Society of
the U.S.
6.633%, 7/23/03 AA 483 484
GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.96%, 3/15/21 N/R 2,318 216
GS Mortgage Securities Corp.,
Series:
97-GL A2D
6.94%, 7/13/30 N/R 650 664
97-GL X2 IO
1.07%, 7/13/30 N/R 1,699 91
LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.416%, 10/25/26 N/R 641 666
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 270 273
96-C2 IO
1.529%, 10/25/26 N/R 2,787 250
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Midland Realty Acceptance
Corp.,
Series:
96-C2 A2
7.233%, 1/25/27 N/R $ 475 $ 491
Mortgage Capital Funding,
Inc.,
Series:
97-MC1 A3
7.288%, 7/20/27 N/R 800 832
Nomura Asset Securities
Corp.,
Series:
94-MD1 A3
8.026%, 3/15/18 N/R 525 565
Salomon Brothers Mortgage
Securities,
97-TZH A2
7.174%, 3/24/22 N/R 350 360
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 796
- -------------------------------------------------------
GROUP TOTAL 12,943
- -------------------------------------------------------
ENERGY (0.3%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 550 557
Mobile Energy Services
8.665%, 1/1/17 BBB- 494 526
- -------------------------------------------------------
GROUP TOTAL 1,083
- -------------------------------------------------------
FINANCE (4.4%)
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 650 701
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 775 797
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 625 633
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 550 562
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1 A
6.95%, 12/1/05 A 700 705
Farmers Insurance
Exchange
8.625%, 5/1/24 BBB- 725 772
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 700 707
First Union Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 725 743
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- $ 200 $ 206
(+) Florida Windstorm
6.70%, 8/25/04 A- 800 797
+ Home Ownership Funding
Corp.,
13.331% (Preferred
Stock) Aaa (1)3,025 2,936
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 625 625
Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 600 584
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 525 517
NB Capital Trust
8.25%, 4/15/27 A- 300 316
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 300 297
PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 725 728
(+) Prime Property
Funding
7.00%, 8/15/04 A 540 546
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 350 357
Series B
8.035%, 3/15/27 A 300 308
Washington Mutual Capital
8.375%, 6/1/27 BBB- 375 393
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 700 720
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 843 852
96 WFP-D
6.95%, 9/1/13 AA- 525 532
- -------------------------------------------------------
GROUP TOTAL 16,334
- -------------------------------------------------------
FOREIGN GOVERNMENTS (0.3%)
Government of Germany
7.375%, 1/3/05 AAA DEM 2,000 1,271
- -------------------------------------------------------
INDUSTRIALS (1.8%)
Blue Bell Funding
11.85%, 5/1/99 BB- $ 85 87
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- $ 138 $ 125
DR Structured Finance,
Series:
94-K2
9.35%, 8/15/19 BB- 375 380
Entertainment Properties
14.253% (Preferred
Stock) BBB- (1)575 553
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 650 684
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 300 306
News America Holdings
7.75%, 1/20/24 BBB 140 138
8.875%, 4/26/23 BBB 340 376
(+) Oxymar
7.50%, 2/15/16 BBB 470 470
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 860 849
Rhone-Poulenc Rorer,
Inc.,
Series:
92-A 3
8.62%, 1/5/21 BBB+ 400 438
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 607 635
Southland Corp.
5.00%, 12/15/03 BB+ 485 418
Tier One Properties,
11.095% (Preferred
Stock) A (1)250 245
Time Warner, Inc., 10.25%
(Preferred Stock)
Series K BB+ (1)786 900
- -------------------------------------------------------
GROUP TOTAL 6,604
- -------------------------------------------------------
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:
92-5C
8.618%, 1/25/26 AA 313 315
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 83 80
- -------------------------------------------------------
GROUP TOTAL 396
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES-AGENCY COLLATERAL
SERIES (0.7%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy $ 2,187 $ 1,445
254 1 PO
1/1/24 Agy 435 312
260 1 PO
4/1/24 Agy 580 412
93-146 G PO REMIC
5/25/23 Agy 382 250
93-243 C PO REMIC
11/25/23 Agy 84 65
- -------------------------------------------------------
GROUP TOTAL 2,484
- -------------------------------------------------------
TELEPHONES (0.5%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 400 438
Tele-Communications, Inc.
9.25%, 1/15/23 BBB- 575 619
8.75%, 2/15/23 BBB- 225 233
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B 640 501
- -------------------------------------------------------
GROUP TOTAL 1,791
- -------------------------------------------------------
TRANSPORTATION (0.2%)
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 5/1/15 BBB 675 854
- -------------------------------------------------------
U.S. TREASURY SECURITIES (6.1%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 3,475 4,406
U.S. Treasury Notes
6.25%, 5/31/99 Tsy 1,350 1,360
6.75%, 6/30/99 Tsy 2,375 2,412
(dd) 7.125%, 9/30/99 Tsy 9,000 9,219
3.375%, 1/15/07
(Inflation Indexed) Tsy 4,533 4,447
U.S. Treasury Strips, PO
11/15/18 Tsy 3,500 884
- -------------------------------------------------------
GROUP TOTAL 22,728
- -------------------------------------------------------
UTILITIES (0.1%)
(+) Edison Mission Energy
Funding,
Series B
7.33%, 9/15/08 BBB 375 386
- -------------------------------------------------------
YANKEE (2.0%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 708 722
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) AST Research, Inc.
7.45%, 10/1/02 A- $ 500 $ 498
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BBB- 400 408
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 525 532
Korea Development Bank
7.375%, 9/17/04 AA- 390 393
National Power Corp.
7.875%, 12/15/06 BB+ 450 439
8.40%, 12/15/16 BB+ 350 336
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 545 598
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 500 496
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 625 660
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,000 1,086
## Republic of Argentina
Par,
Series L, 'Euro'
5.50%, 3/31/23 BB 900 680
Republic of Colombia
8.70%, 2/15/16 BBB- 375 382
United Mexican States,
Series B
6.25%, 12/31/19 BB 500 414
- -------------------------------------------------------
GROUP TOTAL 7,644
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $129,071) 132,424
- -------------------------------------------------------
COMMON STOCKS (58.0%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C>
BANKS (2.3%)
BankBoston Corp. 35,300 3,122
Citicorp 16,300 2,183
First Union Corp. 46,528 2,329
Wells Fargo & Co. 3,500 963
- -------------------------------------------------------
GROUP TOTAL 8,597
- -------------------------------------------------------
BASIC RESOURCES (3.1%)
Boise Cascade Corp. 17,500 736
Bowater, Inc. 27,700 1,413
Champion International
Corp. 58,700 3,577
E.I. DuPont de Nemours &
Co. 55,000 3,386
Sealed Air Corp. 200 11
Weyerhaeuser Co. 16,000 950
W.R. Grace & Co. 23,200 1,708
- -------------------------------------------------------
GROUP TOTAL 11,781
- -------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
BEVERAGE & PERSONAL PRODUCTS (0.3%)
Coca-Cola Enterprises,
Inc. 45,200 $ 1,218
Estee Lauder Cos., Class
A 200 9
- -------------------------------------------------------
GROUP TOTAL 1,227
- -------------------------------------------------------
CONSUMER DURABLES (3.8%)
Ford Motor Co. 118,300 5,353
General Motors Corp. 61,002 4,084
Goodyear Tire & Rubber
Co. 29,500 2,028
LucasVarity plc ADR 71,200 2,701
- -------------------------------------------------------
GROUP TOTAL 14,166
- -------------------------------------------------------
CONSUMER SERVICES (3.6%)
* Clear Channel Communications,
Inc. 40,900 2,653
* GTECH Holdings Corp. 27,400 937
* HFS, Inc. 53,100 3,953
Imax Corp. 600 16
Metro Networks, Inc. 400 12
News Corp. Ltd. ADR 60,900 1,092
Service Corp.
International 59,300 1,909
Tele-Communications Liberty
Media Group, Class A 41,525 1,243
Tele-Communications, Inc., Class
A 86,200 1,767
Univision Communications, Inc.,
Class A 200 11
- -------------------------------------------------------
GROUP TOTAL 13,593
- -------------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (2.1%)
American Express Co. 13,300 1,089
Bear Stearns Co., Inc. 31,785 1,398
CMAC Investment Corp. 16,000 858
Lehman Brothers Holdings, Inc. 14,000 751
Money Store (The), Inc. 800 23
Sirrom Capital Corp. 400 21
SLM Holding Corp. 23,400 3,615
- -------------------------------------------------------
GROUP TOTAL 7,755
- -------------------------------------------------------
ENERGY (3.8%)
Atlantic Richfield Co. 19,400 1,657
British Petroleum plc ADR 45,800 4,159
Coastal Corp. 24,700 1,513
Columbia Gas System, Inc. 20,200 1,414
Phillips Petroleum Co. 64,400 3,325
Repsol SA ADR 27,200 1,180
Texaco, Inc. 18,400 1,130
- -------------------------------------------------------
GROUP TOTAL 14,378
- -------------------------------------------------------
FOOD, TOBACCO & OTHER (3.0%)
Philip Morris Cos., Inc. 197,700 8,217
RJR Nabisco Holdings
Corp. 89,220 3,067
- -------------------------------------------------------
GROUP TOTAL 11,284
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
VALUE
(CONT'D) SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
HEALTH CARE (3.8%)
Aetna, Inc. 51,300 $ 4,178
Baxter International,
Inc. 24,200 1,264
Bristol-Myers Squibb Co. 29,200 2,416
Columbia/HCA Healthcare Corp. 37,660 1,082
* Health Management Associates,
Class A 44,800 1,417
Lincare Holdings, Inc. 27,000 1,362
Merck & Co., Inc. 15,600 1,559
SmithKline Beecham plc ADR 22,400 1,095
- -------------------------------------------------------
GROUP TOTAL 14,373
- -------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.8%)
Aeroquip-Vickers, Inc. 26,300 1,289
Allied Signal, Inc. 27,600 1,173
American Disposal Services, Inc. 600 19
AMR Corp. 12,600 1,395
Berkshire Hathaway, Inc. 26 1,165
Boeing Co. 23,590 1,284
Case Corp. 54,900 3,658
Cummins Engine Co., Inc. 72,100 5,628
Delta Air Lines, Inc. 2,500 235
Eaton Corp. 15,800 1,460
FMC Corp. 28,900 2,565
Harnischfeger Industries,
Inc. 20,800 889
Lockheed Martin Corp. 38,200 4,073
Loral Space & Communications 400 8
Textron, Inc. 30,700 1,995
Union Pacific Corp. 28,000 1,753
United Technologies Corp. 66,100 5,354
Waste Management, Inc. 134,000 4,682
York International Corp. 39,100 1,750
- -------------------------------------------------------
GROUP TOTAL 40,375
- -------------------------------------------------------
INSURANCE (3.5%)
Allstate Corp. 24,800 1,993
CIGNA Corp. 8,100 1,509
Exel Ltd. 38,300 2,281
Hartford Financial
Services Group (The),
Inc. 35,700 3,073
Loews Corp. 36,500 4,122
- -------------------------------------------------------
GROUP TOTAL 12,978
- -------------------------------------------------------
MID CAP GROWTH (2.7%)
Advance Fibre
Communications, Inc. 2,800 115
Allied Waste Industries,
Inc. 2,100 40
ASE Test Ltd. 700 59
At Home Corp., Series A 3,700 86
Bell Canada
International, Inc. 2,500 47
* BioChem Pharmaceutical,
Inc. 3,500 110
* BMC Software, Inc. 2,400 155
* Borders Group, Inc. 5,600 154
* Brightpoint, Inc. 1,800 84
<CAPTION>
VALUE
SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
Brylane, Inc. 1,200 $ 55
* Cellular Communications
International, Inc. 700 29
* CIENA Corp. 2,300 114
* Cinar Films, Inc.,
Class B 3,500 133
Cintas Corp. 2,300 170
Coinstar, Inc. 3,800 49
Comcast Corp., Class A Special 6,100 157
Complete Business Solutions,
Inc. 2,600 74
* CompUSA, Inc. 2,800 98
* Computer Horizons Corp. 2,500 91
Cott Corp. 6,800 69
CVS Corp. 2,500 142
* Cyberonics, Inc. 3,700 60
Danaher Corp. 2,700 157
Diamond Offshore Drilling, Inc. 1,700 94
* Digital Microwave Corp. 2,000 90
* Electronics for
Imaging, Inc. 2,000 102
Estee Lauder Co., Class A 2,600 120
* Fiserv, Inc. 3,100 136
* Florida Panthers Holdings,
Inc. 700 17
Franklin Resources, Inc. 1,100 102
* Global Marine, Inc. 3,500 116
* Globalstar Telecommunications
Ltd. 6,690 351
HBO & Co. 3,800 143
Health Management Associates,
Class A 8,775 278
Healthcare Recoveries,
Inc. 3,800 86
* Heftel Broadcasting
Corp., Class A 1,500 114
* Imax Corp. 4,500 118
* Inter-Tel, Inc. 2,100 111
Ionica Group plc ADR 2,800 52
Jacor Communications,
Inc. 2,100 93
J. D. Edwards & Co. 2,000 67
J. Ray McDermott, S.A. 1,300 64
Jones Apparel Group, Inc. 2,000 108
Kemet Corp. 2,900 88
* Lincare Holdings, Inc. 5,400 272
* Loral Space & Communications 8,400 173
MAPICS, Inc. 6,100 79
* McAfee Associates, Inc. 3,012 160
McDermott International,
Inc. 1,500 55
Metro Networks, Inc. 3,100 93
MicroFocus Group ADR 2,900 102
Money Store (The), Inc. 100 3
Newbridge Networks Corp. 1,900 114
NEXTLINK Communications, Inc.,
Class A 1,700 41
* Office Depot, Inc. 2,700 55
* Orbotech Ltd. 1,600 92
* Orthodontic Centers of
America, Inc. 5,200 104
* Outdoor Systems, Inc. 3,900 102
* PanAmSat Corp. 2,600 112
* Pediatrix Medical
Group, Inc. 1,700 75
* Peoplesoft, Inc. 2,400 143
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
Positron Fiber Systems
Corp. 3,200 $ 33
* Premier Parks, Inc. 2,700 102
ProBusiness Services,
Inc. 500 10
Qwest Communications
International, Inc. 2,600 120
* Republic Industries,
Inc. 3,200 105
* Rexall Sundown, Inc. 2,800 128
* Robert Mondavi Corp., Class A 2,200 120
Santa Fe International
Corp. 2,900 88
* Sapient Corp. 1,400 71
Saville Systems Ireland plc ADR 1,100 77
* Sealed Air Corp. 1,700 93
* Security Capital Group, Inc.,
Class B 1,300 45
Security Capital Industrial
Trust 4,200 98
* Security Capital U.S.
Realty 4,000 60
* Silicon Valley Group,
Inc. 1,700 60
Sirrom Capital Corp. 4,200 218
* Stage Stores, Inc. 1,900 82
State Street Corp. 1,900 116
SunAmerica, Inc. 2,050 80
* Tel-Save Holdings, Inc. 4,000 96
Tele-Communications Liberty
Media Group, Class A 5,314 159
Tele-Communications, Inc., Class
A 7,700 158
* Tellabs, Inc. 2,000 103
* 3Com Corp. 4,050 208
Tidewater, Inc. 2,100 124
* Tommy Hilfiger Corp. 1,600 80
* Total Renal Care Holdings,
Inc. 2,200 110
TV Azteca, SA de C.V. ADR 3,100 70
* U.S. Office Products
Co. 2,100 74
* Uniphase Corp. 900 72
* Univision Communications,
Inc., Class A 1,800 98
* Valassis Communications, Inc. 3,400 108
* Visio Corp. 1,900 79
Wesley Jessen VisionCare, Inc. 3,400 96
* Wind River Systems 1,600 66
* WorldCom, Inc. 4,840 171
- -------------------------------------------------------
GROUP TOTAL 10,051
- -------------------------------------------------------
RETAIL (2.1%)
Borders Group, Inc. 600 16
CVS Corp. 30,900 1,757
dELiA*s, Inc. 700 16
* Federated Department Stores,
Inc. 42,100 1,816
Home Depot, Inc. 29,800 1,553
McDonald's Corp. 9,700 462
* Office Depot, Inc. 64,600 1,304
Sears, Roebuck & Co. 19,700 1,122
- -------------------------------------------------------
GROUP TOTAL 8,046
- -------------------------------------------------------
TECHNOLOGY (5.4%)
* BMC Software, Inc. 37,100 2,402
* Cisco Systems, Inc. 36,000 2,630
Digital Microwave Corp. 400 18
<CAPTION>
VALUE
SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
Flextronics International Ltd. 1,000 $ 47
Intel Corp. 17,800 1,643
* McAfee Associates, Inc. 600 32
* Microsoft Corp. 35,100 4,644
* Oracle Corp. 53,212 1,939
RSL Communications Ltd., Class A 1,900 42
* Sabre Group Holdings,
Inc. 24,800 888
* Seagate Technology,
Inc. 56,700 2,049
* 3Com Corp. 50,400 2,583
Xerox Corp. 14,300 1,204
- -------------------------------------------------------
GROUP TOTAL 20,121
- -------------------------------------------------------
UTILITIES (2.4%)
* Airtouch Communications, Inc. 24,800 879
Duke Energy Corp. 2,088 103
GTE Corp. 47,900 2,173
SBC Communications, Inc. 29,500 1,811
Sprint Corp. 35,200 1,760
* WorldCom, Inc. 63,294 2,239
- -------------------------------------------------------
GROUP TOTAL 8,965
- -------------------------------------------------------
VALUE (5.3%)
Aeroquip-Vickers, Inc. 10,800 529
Allstate Corp. 3,427 275
American General Corp. 6,200 322
Amoco Corp. 2,200 212
* AMR Corp. 2,000 221
* Arrow Electronics, Inc. 700 41
Atlantic Richfield Co. 3,000 256
Bank of New York Co. 5,600 269
Beckman Instruments, Inc. 5,800 247
Bergen Brunswig Corp., Class A 10,625 429
British Petroleum plc ADR 2,500 227
Burlington Northern Santa Fe,
Inc. 1,400 135
Cabot Oil & Gas Corp., Class A 4,900 132
Capital One Financial
Corp. 6,232 285
Case Corp. 5,900 393
Caterpillar, Inc. 4,200 227
Chase Manhattan Corp. 3,401 401
Chubb Corp. 2,400 171
Citicorp 1,300 174
Columbia/HCA Healthcare Corp. 3,200 92
Crestar Financial Corp. 6,990 328
CSX Corp. 2,100 123
Cummins Engine Co., Inc. 8,700 679
Deere & Co. 3,300 177
Dillard's, Inc., Class A 4,500 197
Dow Chemical Co. 2,100 190
E.I. DuPont de Nemours & Co. 3,800 234
Eaton Corp. 4,400 406
Entergy Corp. 6,900 180
Federal National Mortgage
Association 2,500 118
First Union Corp. 2,800 140
* FMC Corp. 3,300 293
Ford Motor Co. 13,700 620
* Foundation Health Corp. 8,060 258
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
VALUE
(CONT'D) SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
General Motors Corp. 5,696 $ 381
Goodyear Tire & Rubber
Co. 6,900 474
GPU, Inc. 8,500 305
Great Lakes Chemical
Corp. 3,000 148
Harnischfeger Industries,
Inc. 5,500 235
Hartford Financial
Services Group (The),
Inc. 2,700 232
IBP, Inc. 8,300 196
International Business Machines
Corp. 6,800 720
Kennametal, Inc. 2,925 142
Mallinckrodt, Inc. 6,200 223
MAPCO, Inc. 5,400 178
* Maxicare Health Plans, Inc. 7,600 142
Mellon Bank Corp. 4,400 241
Old Republic International Corp. 6,050 236
Olsten Corp. 7,600 141
Parker Hannifin Corp. 5,400 243
Phillip Morris Co., Inc. 13,800 574
Phillips Petroleum Co. 4,500 232
Raytheon Corp. 3,400 201
ReliaStar Financial Corp. 5,400 215
Repsol SA ADR 4,500 195
Republic New York Corp. 2,200 250
RJR Nabisco Holdings Corp. 8,700 299
Rohm & Haas Co. 3,800 365
Russell Corp. 4,700 138
* Seagate Technology, Inc. 5,700 206
Signet Banking Corp. 6,271 340
Springs Industries, Inc., Class
A 3,800 200
Standard Register Co. 6,100 203
Talbots, Inc. 5,200 149
Tecumseh Products Co., Class A 8,400 468
Tektronix, Inc. 4,900 331
TIG Holdings, Inc. 3,900 136
* Toys 'R' Us, Inc. 6,200 220
Transatlantic Holdings, Inc. 3,000 215
TRW, Inc. 3,800 209
Tupperware Corp. 4,200 118
* UAL Corp. 2,300 195
Ultramar Diamond Shamrock Corp.
6,500 210
Universal Foods Corp. 400 15
V.F. Corp. 3,700 343
Western Digital Corp. 4,800 192
* YPF SA ADR 6,900 254
- -------------------------------------------------------
GROUP TOTAL 19,691
- -------------------------------------------------------
TOTAL COMMON STOCKS (Cost $166,656) 217,381
- -------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -------------------------------------------------------
<S> <C> <C>
UNIT TRUST (4.0%)
- -------------------------------------------------------
S&P 500 Depositary Receipt (Cost
$15,084) 157,700 $ 14,903
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
<CAPTION>
NO. OF
RIGHTS
------
<S> <C> <C>
@ United Mexican States Recovery
Rights, expiring 6/30/03 (Cost
$0) 500 --
- -------------------------------------------------------
STRUCTURED INVESTMENTS (0.1%)-SEE NOTE A7
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
<S> <C> <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
$516) N/R $ 12,982 375
- -------------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- -------------------------------------------------------
J.P. Morgan and Co., terminating
10/15/99, to receive on
10/15/99 the excess, as
measured on 10/15/98 of 12
month LIBOR over 6.34%
multiplied by the notional
amount (Premium Paid $150) N/R 35,500 107
- -------------------------------------------------------
CASH EQUIVALENTS (19.2%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (16.4%) 61,539 61,539
- -------------------------------------------------------
REPURCHASE AGREEMENT (2.8%)
Chase Securities, Inc. 5.90%
dated 9/30/97, due 10/1/97, to
be repurchased at $10,649,
collateralized by various U.S.
Government Obligations, due
10/1/97-1/29/99 valued at
$10,747 (Cost $10,647) 10,647 10,647
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $72,186) 72,186
- -------------------------------------------------------
TOTAL INVESTMENTS (116.7%) (Cost $383,663) 437,376
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-16.7%)
Dividends Receivable $ 517
Interest Receivable 1,744
Receivable for Investments Sold 3,246
Receivable for Fund Shares Sold 90
Receivable for Daily Variation on Futures
Contracts 13
Unrealized Gain on Swap Agreements 2
Other Assets 10
Payable for Investments Purchased (6,307)
Payable for Fund Shares Redeemed (7)
Payable for Investment Advisory Fees (416)
Payable for Administrative Fees (24)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Distribution Fee-Adviser Class (5)
Payable for Deferred Trustees' Compensation
Plan-Note F (9)
Unrealized Loss on Forward Foreign Currency
Contracts (20)
Collateral on Securities Loaned, at Value (61,539)
Other Liabilities (77)
---------
(62,783)
- -------------------------------------------------------
NET ASSETS (100%) $ 374,593
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 22,437,991 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 343,284
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.30
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 257,760 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 3,943
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.30
- -------------------------------------------------------
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,789,135 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 27,366
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.30
- -------------------------------------------------------
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 278,032
Undistributed Net Investment Income (Loss) 3,747
Undistributed Realized Net Gain (Loss) 39,266
Unrealized Appreciation (Depreciation) on:
Investment Securities 53,713
Foreign Currency Transactions (19)
Futures and Swaps (146)
- -------------------------------------------------------
NET ASSETS $374,593
- -------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1997 was $354 or 0.1% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-income producing security.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) 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 September 30,
1997. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate
disclosed is as of September 30, 1997.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
@ Value is less than $500.
(1) Amount represents shares held by the Portfolio.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
Inv Fl Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 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
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.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
STATEMENT OF NET ASSETS
EQUITY (49.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1997 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (49.6%)
- -----------------------------------------------------
BANKS (1.9%)
BankBoston Corp. 13,800 $ 1,220
Chase Manhattan Corp. 15 2
Citicorp 6,500 871
First Union Corp. 18,352 919
Wells Fargo & Co. 1,400 385
- -----------------------------------------------------
GROUP TOTAL 3,397
- -----------------------------------------------------
BASIC RESOURCES (2.6%)
Boise Cascade Corp. 7,000 294
Bowater, Inc. 10,100 515
Champion International Corp. 23,500 1,432
E.I. DuPont de Nemours & Co. 21,650 1,333
W.R. Grace & Co. 9,300 685
Weyerhaeuser Co. 6,400 380
- -----------------------------------------------------
GROUP TOTAL 4,639
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.3%)
Coca Cola Enterprises, Inc. 18,300 493
- -----------------------------------------------------
CONSUMER DURABLES (3.4%)
Ford Motor Corp. 52,600 2,380
General Motors Corp. 25,388 1,700
Goodyear Tire & Rubber Co. 12,300 846
LucasVarity plc ADR 28,900 1,096
- -----------------------------------------------------
GROUP TOTAL 6,022
- -----------------------------------------------------
CONSUMER SERVICES (3.1%)
* Clear Channel Communications
Inc. 16,300 1,057
* GTECH Holdings Corp. 11,000 376
* HFS, Inc. 21,200 1,578
News Corp., Ltd. ADR 25,700 461
Service Corp. International 26,100 840
TCI Satellite Entertainment,
Inc., Class A 100 1
Tele-Communications, Inc., Class
A 27,800 570
* Tele-Communications Liberty
Media Group, Class A 19,462 583
- -----------------------------------------------------
GROUP TOTAL 5,466
- -----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (1.7%)
American Express Co. 5,300 434
Bear Stearns Co., Inc. 12,755 561
CMAC Investment Corp. 6,400 343
Lehman Brothers Holdings, Inc. 6,100 327
SLM Holdings Corp. 9,300 1,437
- -----------------------------------------------------
GROUP TOTAL 3,102
- -----------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
ENERGY (3.3%)
Atlantic Richfield Co. 7,800 $ 666
British Petroleum plc ADR 18,000 1,634
Coastal Corp. 10,900 668
Columbia Gas System, Inc. 8,100 567
Phillips Petroleum Co. 25,700 1,327
Repsol SA ADR 11,200 486
Texaco, Inc. 7,600 467
- -----------------------------------------------------
GROUP TOTAL 5,815
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.5%)
Philip Morris Cos., Inc. 77,300 3,213
RJR Nabisco Holdings Corp. 36,240 1,245
- -----------------------------------------------------
GROUP TOTAL 4,458
- -----------------------------------------------------
HEALTH CARE (3.3%)
Aetna, Inc. 20,500 1,669
Baxter International, Inc. 10,600 554
Bristol-Myers Squibb Co. 11,600 960
Columbia/HCA Healthcare Corp. 14,943 430
* Health Management Associates,
Class A 19,100 604
* Lincare Holdings, Inc. 10,800 545
Merck & Co., Inc. 6,400 639
SmithKline Beecham plc ADR 10,000 489
- -----------------------------------------------------
GROUP TOTAL 5,890
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.1%)
Aeroquip-Vickers, Inc. 11,500 563
Allied Signal, Inc. 12,200 519
* AMR Corp. 5,300 587
* Berkshire Hathaway, Inc. 10 448
Boeing Co. 9,430 513
Case Corp. 21,600 1,439
Cummins Engine Co., Inc. 30,200 2,357
Eaton Corp. 6,400 591
* FMC Corp. 11,400 1,012
Harnischfeger Industries, Inc. 8,300 355
Lockheed Martin Corp. 15,200 1,621
Textron, Inc. 12,600 819
Union Pacific Corp. 11,700 733
United Technologies Corp. 26,400 2,138
Waste Management, Inc. 52,900 1,848
York International Corp. 15,500 694
- -----------------------------------------------------
GROUP TOTAL 16,237
- -----------------------------------------------------
INSURANCE (3.1%)
Allstate Corp. 9,900 796
CIGNA Corp. 4,600 857
Exel Ltd. 15,700 935
Hartford Financial Services
Group (The), Inc. 15,700 1,351
Loews Corp. 14,300 1,615
- -----------------------------------------------------
GROUP TOTAL 5,554
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
MID CAP GROWTH (2.3%)
BMC Software, Inc. 6,400 $ 414
* Borders Group, Inc. 13,800 379
Cintas Corp. 4,900 361
Danaher Corp. 7,100 412
Estee Lauder Cos., Class A 7,300 338
* Globalstar Telecommunications
Ltd. 12,144 638
* Health Management Associates,
Class A 12,425 393
* Lincare Holdings, Inc. 10,900 550
* Loral Space & Communications 18,900 390
* 3Com Corp. 5,425 278
- -----------------------------------------------------
GROUP TOTAL 4,153
- -----------------------------------------------------
RETAIL (1.9%)
* CompUSA, Inc. 3,900 137
CVS Corp. 12,200 694
* Federated Department Stores,
Inc. 18,800 811
Home Depot, Inc. 12,000 625
McDonald's Corp. 4,500 214
* Office Depot, Inc. 25,400 513
Sears, Roebuck & Co. 7,700 438
- -----------------------------------------------------
GROUP TOTAL 3,432
- -----------------------------------------------------
TECHNOLOGY (4.6%)
* BMC Software, Inc. 16,000 1,036
* Cisco Systems, Inc. 15,000 1,096
Intel Corp. 7,800 720
* Microsoft Corp. 14,000 1,852
* Oracle Corp. 23,362 851
Sabre Group Holdings, Inc. 7,600 272
* Seagate Technology, Inc. 23,100 835
* 3Com Corp. 21,000 1,076
Xerox Corp. 5,700 480
- -----------------------------------------------------
GROUP TOTAL 8,218
- -----------------------------------------------------
UTILITIES (2.1%)
* Airtouch Communications, Inc. 9,700 344
GTE Corp. 16,800 762
SBC Communications, Inc. 13,100 804
Sprint Corp. 15,700 785
* WorldCom, Inc. 27,620 977
- -----------------------------------------------------
GROUP TOTAL 3,672
- -----------------------------------------------------
VALUE (4.4%)
* Arrow Electronics, Inc. 17,000 986
Case Corp. 14,700 979
Chase Manhattan Corp. 9,400 1,109
* Federated Department Stores,
Inc. 26,800 1,156
Great Lakes Chemical Corp. 20,100 991
IMC Global, Inc. 27,000 952
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
Mallinckrodt, Inc. 24,100 $ 868
* Maxicare Health Plans, Inc. 40,200 749
- -----------------------------------------------------
GROUP TOTAL 7,790
- -----------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $73,909) 88,338
- -----------------------------------------------------
U.S. FIXED INCOME (16.9%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (16.9%)
(Unless otherwise noted)
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (1.8%)
## Government National
Mortgage Association
Various Pools:
6.00%, 9/20/27 Agy $ 2,525 2,544
November TBA
6.00% 11/20/27 Agy 650 654
- -------------------------------------------------------
GROUP TOTAL 3,198
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (2.4%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
10.50%, 4/1/19 Agy 296 330
11.00%, 9/1/16 Agy 108 121
11.50%, 7/1/15 Agy 98 112
Gold Pools:
7.00%, 1/1/24-12/1/24 Agy 843 845
9.50%, 12/1/16 Agy 242 263
Federal National Mortgage
Association Conventional
Pool:
11.00%, 11/1/20 Agy 139 157
Government National
Mortgage Association
Various Pools:
7.00%, 12/15/22-12/15/23 Agy 1,020 1,024
10.00%, 10/15/18 Agy 59 65
10.50%, 2/15/19-8/15/26 Agy 562 633
11.00%, 7/15/10-7/15/19 Agy 523 598
11.50%, 1/15/13-2/15/13 Agy 79 89
- -------------------------------------------------------
GROUP TOTAL 4,237
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.9%)
Advanta Mortgage Loan
Trust, Series 97-3 A2
6.61%, 4/25/12 AAA 150 150
ALPS,
Series 94-1 C2 CMO
9.35%, 9/15/04 BBB 99 102
Arcadia Auto, Series 97-C
A4
6.375%, 1/15/03 AAA 150 151
</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
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
CIT Group Home Equity Loan
Trust,
Series:
97-1 A3
6.25%, 9/15/01 AAA $ 100 $ 100
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 100 100
97-3 A3
6.57%, 10/10/10 AAA 100 101
(+) FMAC Loan Receivables
Trust,
Series:
97-A A
7.35%, 4/15/19 AAA 247 255
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 256 256
(+) Long Beach Auto,
Series:
97-2 A
6.69%, 9/25/04 AAA 125 125
(+) NAL Auto Trust,
Series:
96-4 A
6.90%, 12/15/00 N/R 103 102
WFS Financial Owner Trust,
Series:
97-C A3
6.01%, 3/20/02 AAA 160 160
- -------------------------------------------------------
GROUP TOTAL 1,602
- -------------------------------------------------------
ASSET BACKED MORTGAGES (0.3%)
Advanta Mortgage Loan
Trust,
Series:
96-2 A5
8.08%, 6/25/27 AAA 150 156
Delta Funding Home Equity
Loan Trust,
Series:
96-1 A7
7.95%, 6/25/27 AAA 150 158
IMC Home Equity Loan Trust,
Series:
96-3 A7
8.05%, 8/25/26 AAA 175 182
- -------------------------------------------------------
GROUP TOTAL 496
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.3%)
Federal Home Loan Mortgage
Corporation,
Series:
1632-SA Inv Fl REMIC
5.336%, 11/15/23 Agy 75 63
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
1709 H PO REMIC
1/15/24 Agy $ 9 $ 5
1750 C PD PO REMIC
3/15/24 Agy 13 9
1813 K PO REMIC
2/15/24 Agy 10 7
1844 PC PO REMIC
3/15/24 Agy 15 9
1887 I PO REMIC
10/15/22 Agy 10 7
93-149 O PO REMIC
8/25/23 Agy 22 14
Federal National Mortgage
Association,
Series:
282 1 PO
5/15/24 Agy 289 198
92-89 SQ Inv Fl IO PAC
(11)
3321.956%, 6/25/22 Agy (2) -- 34
96-11 V PO REMIC
9/25/23 Agy 120 81
96-14 PC PO REMIC
12/25/23 Agy 15 9
96-46 PB PO REMIC
9/25/23 Agy 15 10
96-54 N PO REMIC
7/25/23 Agy 10 7
96-54 O PO REMIC
11/25/23 Agy 15 9
- -------------------------------------------------------
GROUP TOTAL 462
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (1.2%)
American Housing Trust,
Series:
V 1G
9.125%, 4/25/21 AAA 167 178
Bear Stearns Mortgage
Securities Inc.,
Series:
96-9 AI11
8.00%, 6/15/26 AAA 150 156
Countrywide Mortgage Backed
Securities, Inc., Series
93-C A11
6.50%, 1/25/24 AAA 143 137
DLJ Mortgage Acceptance
Corp.,
Series:
(+) 97-CF1 A1B
7.60%, 5/15/30 AAA 125 133
(+) 97-CF1 S IO
1.097%, 5/15/30 AAA 797 53
97-CF2 A1B
6.82%, 10/15/30 AAA 175 176
</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>
GE Capital Mortgage
Services, Inc.,
Series:
94-24 A4
7.00%, 7/25/24 AAA $ 220 $ 211
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series:
97-C5 A2
7.069%, 9/15/29 AAA 150 153
Merrill Lynch Mortgage
Investors, Inc.,
Series:
## 95-C1 IO
2.188%, 5/25/15 N/R 1,237 85
Mid-State Trust II,
Series:
88-2 A4
9.625%, 4/1/03 AAA 188 204
Residential Accredit Loans,
Inc.
Series:
97-QS12 A8
7.25%, 12/25/27 AAA 175 175
Residential Asset
Securitization Trust,
Series:
96-A11 A9
7.75%, 2/25/27 AAA 175 179
Residential Funding
Mortgage Securities Co.,
Inc., Series: 93-MZ3 A2
6.97%, 8/28/23 N/R 100 98
94-S1 A19
6.75%, 1/25/24 AAA 191 186
Rural Housing Trust,
Series:
87-1 M
3.33%, 10/1/28 A- 85 81
- -------------------------------------------------------
GROUP TOTAL 2,205
- -------------------------------------------------------
COMMERCIAL MORTGAGES (1.6%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 132 134
## 93-2 S1 IO
1.056%, 1/18/09 N/R 1,093 55
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 150 155
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 117 123
95-MD4 A1
7.10%, 8/13/29 AAA 219 225
## 95-MD4 ACS2 IO
2.381%, 8/13/29 AAA 720 128
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 150 158
96-MD6 A1C
7.04%, 11/13/26 AAA 125 129
Beverly Finance Corp.
8.36%, 7/15/04 AA- 100 108
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 10/15/07 AA 100 101
CBM Funding Corp.,
Series:
96-1 A3PI
7.08%, 2/1/13 AA 100 103
Chase Commercial Mortgage
Securities Corp., Series
96-2 B
6.90%, 10/19/06 AA 175 176
CS First Boston Mortgage
Securities Corp.,
Series:
97-C1 A1C
7.24%, 6/20/29 AAA 150 156
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF1 A1B
7.58%, 3/13/28 AAA 150 158
96-CF2 A1B
7.29%, 7/15/06 AAA 135 140
## 96-CF2 S IO
1.643%, 11/12/21 N/R 988 88
+ GS Mortgage Securities
Corp. II
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 100 102
+ LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.416%, 10/25/26 Aaa 173 179
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 65 66
96-C2 IO
1.529%, 10/25/26 N/R 700 63
+ Midland Realty Acceptance
Corp.,
Series:
96-C2 A2
7.233%, 1/25/27 Aaa 100 103
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 125 129
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
+ Salomon Brothers Mortgage
Securities,
Series:
97-TZH A2
7.174%, 3/24/22 Aa2 $ 100 $ 103
- -------------------------------------------------------
GROUP TOTAL 2,882
- -------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 200 203
Mobile Energy Services
8.665%, 1/1/17 BBB- 95 101
- -------------------------------------------------------
GROUP TOTAL 304
- -------------------------------------------------------
FINANCE (1.7%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 100 108
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 100 103
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 125 126
(+) Corestates Capital
Corp.
8.00%, 12/15/26 A- 100 102
(+) Equitable Life
Assurance Society of the
U.S.,
Series 1A
6.95%, 12/1/05 A 100 101
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 125 126
First Union Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 225 231
(+) Florida Windstorm
6.70%, 8/25/04 A- 175 174
(+)+ Home Ownership Funding
Corp.
13.331% (Preferred
Stock) Aaa (1)600 582
(+) John Hancock Surplus
Note
7.375%, 2/15/24 AA- 250 250
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 250 246
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 150 151
(+) Prime Property Funding
7.00%, 8/15/04 A 120 121
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 125 127
Washington Mutual Capital
8.375%, 6/1/27 BBB- 75 79
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 200 206
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 248 251
- -------------------------------------------------------
GROUP TOTAL 3,084
- -------------------------------------------------------
INDUSTRIALS (0.7%)
DR Securitized Lease Trust,
Series 93-K1 A2
7.43%, 8/15/18 BB- 180 156
DR Securitized Lease Trust,
Series 94-K1 A1
7.60%, 8/15/07 BB- 84 82
DR Structured Finance,
Series 94-K2
9.35%, 8/15/19 BB- 30 30
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- 40 41
News America Holdings
7.75%, 1/20/24 BBB 30 30
8.875%, 4/26/23 BBB 80 89
(+) Oxymar
7.50%, 2/15/16 BBB 100 100
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 255 252
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB+ 100 109
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 104 109
Southland Corp.
5.00%, 12/15/03 BB+ 100 86
Time Warner, Inc., Series M
10.25% (Preferred Stock) BB+ (1)172 197
- -------------------------------------------------------
GROUP TOTAL 1,281
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (0.3%)
Federal Home Loan Mortgage
Corporation,
Series 1911 C PO
11/15/23 Agy 100 51
</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
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy $ 477 $ 315
254 1 PO
1/1/24 Agy 83 60
260 1 PO
4/1/24 Agy 111 79
96-34 C PO
3/25/23 Agy 225 120
- -------------------------------------------------------
GROUP TOTAL 625
- -------------------------------------------------------
TELEPHONES (0.2%)
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 80 88
Tele-Communications, Inc.
8.75%, 2/15/23 BBB- 200 207
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B 140 109
- -------------------------------------------------------
GROUP TOTAL 404
- -------------------------------------------------------
TRANSPORTATION (0.1%)
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 125 155
- -------------------------------------------------------
U.S. TREASURY SECURITIES (4.1%)
U.S. Treasury Bond
(dd) 8.75%, 8/15/20 Tsy 850 1,078
U.S. Treasury Notes
6.25%, 5/31/99 Tsy 1,600 1,611
(dd) 7.125%, 9/30/99 Tsy 3,250 3,329
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,038 1,018
U.S. Treasury Strip, PO
11/15/18 Tsy 1,000 253
- -------------------------------------------------------
GROUP TOTAL 7,289
- -------------------------------------------------------
UTILITIES (0.1%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 100 103
- -------------------------------------------------------
YANKEE (1.0%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 165 168
AST Research, Inc.
7.45%, 10/1/02 A- 125 124
(+) Israel Electric Corp.,
Ltd.
7.25%, 12/15/06 A- 125 127
Korea Development Bank
7.375%, 9/17/04 AA- 90 91
National Power Corp.
7.875%, 12/15/06 BB+ 105 102
8.40%, 12/15/16 BB+ 90 86
(+) Paiton Energy Funding
9.34%, 2/15/14 BBB- 100 110
Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 100 99
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 100 106
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 215 233
Republic of Argentina
5.00%, 3/31/23 BB 220 166
Republic of Colombia
8.70%, 2/15/16 BBB- 95 97
United Mexican States,
Series B
6.25%, 12/31/19 BB 250 207
@ Republic of Venezuela,
Oil
Linked Payment Obligation
Zero coupon, 4/15/20 B+ 1 --
- -------------------------------------------------------
GROUP TOTAL 1,716
- -------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $29,326) 30,043
- -------------------------------------------------------
INTERNATIONAL FIXED INCOME (3.0%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (3.0%)
- -------------------------------------------------------
AUSTRALIAN DOLLAR (0.2%)
Commonwealth of
Australia
<CAPTION>
<S> <C> <C> <C> <C>
9.00%, 9/15/04 AAA AUD 300 254
Federal National
Mortgage Association
6.50%, 7/10/02 Agy 85 64
- -------------------------------------------------------
GROUP TOTAL 318
- -------------------------------------------------------
BRITISH POUND (0.3%)
United Kingdom
Treasury Bills
8.00%, 6/10/03 AAA GBP 60 104
8.00%, 6/7/21 AAA 65 123
8.50%, 7/16/07 AAA 195 359
- -------------------------------------------------------
GROUP TOTAL 586
- -------------------------------------------------------
CANADIAN DOLLAR (0.1%)
Government of Canada
7.50%, 3/1/01 AAA CAD 320 249
9.75%, 6/1/21 AA+ 50 52
- -------------------------------------------------------
GROUP TOTAL 301
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C> <C>
DANISH KRONE (0.1%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 275 $ 46
8.00%, 3/15/06 AA+ 750 128
- -------------------------------------------------------
GROUP TOTAL 174
- -------------------------------------------------------
GERMAN MARK (0.8%)
Government of Germany
6.25%, 1/4/24 AAA DEM 150 86
+ 7.00%, 1/13/00 Aaa 290 174
7.125%, 1/29/03 AAA 170 106
7.375%, 1/3/05 AAA 245 156
7.50%, 9/9/04 AAA 410 262
8.375%, 5/21/01 AAA 875 556
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 175 109
- -------------------------------------------------------
GROUP TOTAL 1,449
- -------------------------------------------------------
IRISH PUNT (0.1%)
Irish Government
8.00%, 8/18/06 AAA IEP 75 124
- -------------------------------------------------------
ITALIAN LIRA (0.3%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 315,000 223
10.00%, 8/1/03 AA 410,000 285
- -------------------------------------------------------
GROUP TOTAL 508
- -------------------------------------------------------
JAPANESE YEN (0.8%)
European Investment
Bank
3.00%, 9/20/06 AAA JPY 4,000 36
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 50,000 444
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 AAA 23,200 231
6.75%, 6/18/01 AAA 72,000 719
- -------------------------------------------------------
GROUP TOTAL 1,430
- -------------------------------------------------------
SWEDISH KRONA (0.3%)
Swedish Government
6.00%, 2/9/05 AAA SEK 2,100 278
13.00%, 6/15/01 AA+ 1,600 263
- -------------------------------------------------------
GROUP TOTAL 541
- -------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $5,540) 5,431
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
INTERNATIONAL EQUITY (15.9%)
- -----------------------------------------------------
COMMON STOCK (15.9%)
- -----------------------------------------------------
ARGENTINA (0.5%)
YPF SA ADR 25,200 $ 929
- -----------------------------------------------------
AUSTRIA (0.5%)
OMV AG 5,350 798
- -----------------------------------------------------
BRAZIL (0.2%)
Multicanal Participacoes SA
ADR 27,800 295
- -----------------------------------------------------
CANADA (0.2%)
TransCanada Pipelines Ltd. 15,900 308
- -----------------------------------------------------
FRANCE (1.5%)
Cie Generale des Eaux 5,126 603
Credit Local de France 6,100 578
Elf Aquitaine 6,710 895
Scor 15,110 653
- -----------------------------------------------------
GROUP TOTAL 2,729
- -----------------------------------------------------
GERMANY (1.5%)
Deutsche Bank AG 11,750 825
Henkel KGaA 9,790 551
Springer (Axel) Verlag AG 770 658
Veba AG 10,890 635
- -----------------------------------------------------
GROUP TOTAL 2,669
- -----------------------------------------------------
HONG KONG (0.6%)
Great Eagle Holdings Ltd. 118,000 326
HSBC Holdings plc 6,800 228
Jardine Strategic Holdings Ltd. 95,000 372
Wheelock & Co., Ltd. 86,000 175
- -----------------------------------------------------
GROUP TOTAL 1,101
- -----------------------------------------------------
INDIA (0.2%)
* Jardine Fleming India Fund,
Inc. 36,200 326
- -----------------------------------------------------
INDONESIA (0.4%)
* Gulf Indonesia Resources Ltd. 6,000 134
Lippo Securities 2,794,800 415
Pabrik Kertas Tjiwi Kimia 402,500 224
- -----------------------------------------------------
GROUP TOTAL 773
- -----------------------------------------------------
IRELAND (0.2%)
Irish Life plc 58,000 302
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
ITALY (1.3%)
ENI S.p.A. 147,300 $ 928
Pirelli S.p.A. 162,000 475
Telecom Italia S.p.A. 233,604 909
- -----------------------------------------------------
GROUP TOTAL 2,312
- -----------------------------------------------------
JAPAN (2.3%)
Bridgestone Corp. 25,000 601
Canon, Inc. 16,000 468
Fuji Photo Film Ltd. 9,000 371
Mitsubishi Heavy Industries
Ltd. 33,000 181
Mitsui Fudosan Co., Ltd. 26,000 317
Nintendo Corp., Ltd. 4,000 374
Promise Co., Ltd. 6,160 322
Sankyo Corp., Ltd. 7,000 242
Takeda Chemical Industries 14,000 420
Takefuji Corp. 7,000 265
UNY Co., Ltd. 14,000 211
Yasuda Fire & Marine Insurance
Ltd. 46,000 271
- -----------------------------------------------------
GROUP TOTAL 4,043
- -----------------------------------------------------
NETHERLANDS (1.2%)
ING Groep N.V. 13,207 607
Philips Electronics N.V. 9,900 838
Vendex International N.V. 10,633 630
- -----------------------------------------------------
GROUP TOTAL 2,075
- -----------------------------------------------------
NORWAY (0.4%)
Christiania Bank OG
Kreditkasse 226,100 780
- -----------------------------------------------------
SINGAPORE (0.2%)
* Creative Technology Ltd. 14,500 371
- -----------------------------------------------------
SPAIN (0.4%)
Telefonica de Espana ADR 8,200 772
- -----------------------------------------------------
SWEDEN (0.9%)
Nordbanken AB 16,300 556
SKF AB, Class B 12,000 350
Sparbanken Sverige AB, Class A 30,585 738
- -----------------------------------------------------
GROUP TOTAL 1,644
- -----------------------------------------------------
SWITZERLAND (0.4%)
* Swissair AG (Registered) 551 737
- -----------------------------------------------------
THAILAND (0.1%)
Hana Microelectronics Public
Co., Ltd. (Foreign) 48,100 165
- -----------------------------------------------------
UNITED KINGDOM (2.8%)
Abbey National plc 11,800 182
B.A.T. Industries plc 53,611 470
Bank of Scotland plc 71,800 $ 594
Bass plc 32,300 436
BG plc 95,200 413
BOC Group plc 7,304 131
Burmah Castrol plc 29,000 517
Cable & Wireless plc 40,785 347
Imperial Tobacco Group plc 61,800 370
LucasVarity plc 87,000 328
Royal & Sun Alliance Insurance
Group plc 32,034 302
Sainsbury J plc 55,000 412
Tomkins plc 88,844 494
- -----------------------------------------------------
GROUP TOTAL 4,996
- -----------------------------------------------------
UNITED STATES (0.1%)
The India Fund, Inc. 25,100 232
- -----------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $23,917) 28,357
- -----------------------------------------------------
HIGH YIELD (7.5%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (7.5%)
(Unless otherwise noted)
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------
!!RATINGS
(STANDARD FACE
& AMOUNT VALUE
POOR'S) (000) (000)!
---------- ------- ------
<S> <C> <C> <C>
CABLE (0.6%)
Cablevision Systems
Corp.
9.875%, 5/15/06 B $ 100 $ 108
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 100 110
10.125%, 9/1/12 BB+ 175 190
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 50 51
TCI Pacific
Communications
5.00% (Convertible
Preferred Stock) BB- (1)600 75
Tele-Communications,
Inc.
9.25%, 1/15/23 BBB- 155 167
Time Warner, Inc.,
Series M,
10.25% (Preferred
Stock) BB+ (1)558 441
- -------------------------------------------------------
GROUP TOTAL 1,142
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.5%)
+ Citicorp Mortgage
Securities, Inc.,
Series:
90-8 A7
9.50%, 6/25/05 B3 35 19
(+) Countrywide Funding
Corp.,
Series:
95-4 B3
7.50%, 9/25/25 N/R 393 308
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS
(STANDARD FACE
& AMOUNT VALUE
(CONT'D) POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
DLJ Mortgage Acceptance
Corp.,
Series:
97-CF2
0.357%, 10/15/30 N/R $ 4,000 $ 106
FMAC Loan Receivables
Trust,
Series:
96-B C
7.929%, 11/1/18 N/R 100 89
(+) Prudential Home
Mortgage Securities
Co., Inc.,
Series 96-5 B3
7.25%, 4/25/26 N/R 397 360
- -------------------------------------------------------
GROUP TOTAL 882
- -------------------------------------------------------
COMMERCIAL MORTGAGES (0.1%)
CBM Funding Corp.,
Series:
96-1B D
8.645%, 2/1/08 AA 125 136
- -------------------------------------------------------
ENERGY (0.2%)
Nuevo Energy Co.
9.50%, 4/15/06 B+ 145 155
Snyder Oil Corp.
8.75%, 6/15/07 B+ 150 150
- -------------------------------------------------------
GROUP TOTAL 305
- -------------------------------------------------------
FINANCE (0.6%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 275 296
(+) Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 A 150 150
ITT Promedia
9.125%, 9/15/07 N/R DEM 250 147
Navistar Financial
Corp.,
Series B
9.00%, 6/1/02 B+ $ 35 36
(+)# PTC International
Finance
0.00%, 7/1/07 B+ 230 151
(+) RBS Participacos SA
11.00%, 4/1/07 BB- 135 142
(+) Riggs Capital Trust
II
8.875%,3/15/27 BB- 70 74
Western Financial Bank
8.875%, 8/1/07 BB+ 125 125
- -------------------------------------------------------
GROUP TOTAL 1,121
- -------------------------------------------------------
HOSPITALS (0.2%)
(+) Integrated Health
Services
9.50%, 9/15/07 B 115 119
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 120 124
(+) Vencor, Inc.
8.625%, 7/15/07 B+ 90 91
- -------------------------------------------------------
GROUP TOTAL 334
- -------------------------------------------------------
INDUSTRIALS (2.6%)
(+) Ameriserv Food Co.
10.125%, 7/15/07 B- 65 67
(+) Big Flower Press
8.875%, 7/1/07 B 135 135
(+) Cliffs Drilling Co.
10.25%, 5/15/03 B 20 22
DR Securitized Lease
Trust,
Series:
93-K1 A1
6.66%, 8/15/10 BB- 346 316
(+) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 BB- 100 105
(+) Fleming Cos., Inc.
10.50%, 12/1/04 B+ 65 68
10.625%, 7/31/07 B+ 75 79
(+) Fox/Liberty Networks
# 0.00%, 8/15/07 B 50 32
8.875%, 8/15/07 B 60 60
Grand Casinos, Inc.
10.125%, 12/1/03 BB 160 170
(+) Hermes Europe
Railtel
11.50%, 8/15/07 B 30 32
+ HMC Acquisition
Properties
9.00%, 12/15/07 Ba3 135 139
(+) HMH Properties, Inc.
8.875%, 7/15/07 BB- 35 36
Horseshoe Gaming
9.375%, 6/15/07 B 125 129
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 100 105
(+)## Huntsman Corp.
9.094%, 7/1/07 B+ 175 182
(+) Hylsa SA de CV
9.25%, 9/15/07 BB 200 203
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 B+ 205 215
Kmart Corp.
7.75%, 10/1/12 B+ 60 56
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 175 179
(+) Long Beach Auto,
Series:
97-1 B
14.22%, 10/26/03 N/R 250 252
(+) Murrin Murrin
Holdings
9.375%, 8/31/07 BB- 205 211
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
# Norcal Waste Systems
13.00%, 11/15/05 BB- $ 100 $ 115
Outdoor Systems, Inc.
8.875%, 6/15/07 B 210 214
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 225 222
Revlon Worldwide, Series
B
0.00%, 3/15/01 B- 190 138
SD Warren Co.
12.00%, 12/15/04 B+ 130 147
(+) Sinclair Broadcast
Group, Inc.
9.00%, 715/07 B 105 104
(+) Sinclair Capital
11.625% (Preferred
Stock) B (1)1,300 141
Southland Corp.
5.00%, 12/15/03 BB+ 219 189
Station Casinos
9.75%, 4/15/07 B+ 100 100
(+)# TCI Satellite
Entertainment, Inc.
0.00%, 2/15/07 B- 485 316
- -------------------------------------------------------
GROUP TOTAL 4,479
- -------------------------------------------------------
TECHNOLOGY (0.3%)
Advanced Micro Devices,
Inc.
11.00%, 8/1/03 BB- 145 162
## Blue Bell Funding
11.85%, 5/1/99 BB- 25 26
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 BBB- 100 102
(+) Impress Metal
Packaging
9.875%, 5/29/07 B DEM 200 120
- -------------------------------------------------------
GROUP TOTAL 410
- -------------------------------------------------------
TELEPHONES (1.1%)
# Brooks Fiber
Properties, Inc.
0.00%, 3/1/06 N/R $ 450 361
0.00%, 11/1/06 N/R 70 54
Comcast Cellular Corp.,
Series A
9.50%, 5/1/07 BB+ 160 167
Globalstar LP
11.375%, 2/15/04 N/R 125 131
(+) Intermedia
Communications
11.25%, 7/15/07 B 300 208
(+) Iridium Capital
Corp.
13.00%, 7/15/05 B 70 73
+ IXC Communications,
Inc., Series B
12.50%, 10/1/05 B2 100 116
(+) IXC Communications,
Inc. 12.50%
(Preferred Stock) CCC+ (1)75 87
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC 635 550
Qwest Communications
International, Inc.,
Series B
10.875%, 4/1/07 B+ 65 73
# Teleport
Communications Group,
Inc.
0.00%, 7/1/07 B 185 145
Total Access
Communications Corp.
(Convertible)
2.00%, 5/31/06 BBB- 50 50
- -------------------------------------------------------
GROUP TOTAL 2,015
- -------------------------------------------------------
TRANSPORTATION (0.2%)
ALPS,
Series 96-1 D
12.75%, 6/15/06 BB- 150 161
(+) Jet Equipment Trust,
Series 94-A
11.79%, 6/15/13 BBB- 150 196
(+)# Transamerica Energy
Corp.
0.00%, 6/15/02 B+ 55 44
- -------------------------------------------------------
GROUP TOTAL 401
- -------------------------------------------------------
UTILITIES (0.2%)
Cleveland Electric
Illuminating Co.,
Series B
8.375%, 8/1/12 BB+ 30 31
Midland Cogeneration
Ltd. Venture LP,
Series C-91
10.33%, 7/23/02 BB- 22 24
Midland Funding Corp. I,
Series C-94
10.33%, 7/23/02 BB- 85 90
Midland Funding II,
Series A
11.75%, 7/23/05 B- 75 88
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 250 252
- -------------------------------------------------------
GROUP TOTAL 485
- -------------------------------------------------------
YANKEE (0.9%)
Asia Pulp & Paper,
Series A
12.00%, 2/15/04 B+ 175 178
(+) Azteca Holdings S.A.
11.00%, 6/15/02 B- 50 52
## Central Bank of
Argentina Bocon PIK
Pre 4
5.00%, 9/1/02 N/R 85 103
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS
(STANDARD FACE
& AMOUNT VALUE
(CONT'D) POOR'S) (000) (000)!
<S> <C> <C> <C>
(+) Geberit
International S.A.
10.125%, 4/15/07 N/R $ 130 $ 81
(+) Globo Communicacoes
10.50%, 12/20/06 BB- 80 84
(+) Government of
Jamaica
9.625%, 7/2/02 N/R 100 101
Multicanal S.A.
10.50%, 2/1/07 BB- 100 107
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 185 146
Pindo Deli Fin Mauritius
10.75%, 10/1/07 BB 180 183
## Republic of Argentina
5.50%, 3/31/23 BB 200 151
(+) Republic of Panama
7.875%, 2/13/02 BB+ 150 151
TV Azteca SA de CV,
Series B
10.50%, 2/15/07 N/R 150 159
United Mexican States,
Series B
6.25%, 12/31/19 BB 200 166
- -------------------------------------------------------
GROUP TOTAL 1,662
- -------------------------------------------------------
TOTAL HIGH YIELD (Cost $12,608) 13,372
- -------------------------------------------------------
WARRANTS (0.0%)
- -------------------------------------------------------
NO. OF
WARRANTS
---------
* Cie General des Eaux,
expiring 5/2/01 3,720 2
(+)* Globalstar
Telecommunications
Ltd., expiring 2/15/04 125 15
(+)* Iridium World
Communications,
expiring 7/15/05 70 11
*@ Nextel
Communications, Inc.,
expiring 1/1/99 75 --
*@ Occidente y Caribe
Cellular, expiring
3/15/04 740 --
- -------------------------------------------------------
TOTAL WARRANTS (Cost $14) 28
- -------------------------------------------------------
<CAPTION>
NO. OF VALUE
RIGHTS (000)!
- -------------------------------------------------------
<S> <C> <C>
RIGHTS (0.0%)
- -------------------------------------------------------
@ United Mexican States
Recovery Rights,
expiring 6/30/03 (Cost $0) 1,675,000 $ --
- -------------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- -------------------------------------------------------
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- -------
<S> <C> <C> <C>
J.P. Morgan and Co.,
terminating 10/15/99,
to receive on 10/15/99
the excess, as
measured on 10/15/98,
of 12 month LIBOR over
6.34% multiplied by
the notional amount
(Premium Paid $32) N/R $ 7,600 23
- -------------------------------------------------------
CASH EQUIVALENT (6.9%)
- -------------------------------------------------------
REPURCHASE AGREEMENT (6.9%)
Chase Securities, Inc. 5.90%,
dated 9/30/97, due 10/1/97,
to be repurchased at $12,336,
collateralized by various
U.S. Government Obligations,
due 10/1/97-12/1/99, valued
at $12,450 (Cost $12,334) 12,334 12,334
- -------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- -------------------------------------------------------
British Pound GBP 6 10
French Franc FRF 271 46
Italian Lira ITL 30,570 18
Japanese Yen JPY 1,754 14
- -------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $87) 88
- -------------------------------------------------------
TOTAL INVESTMENTS (99.9%) (Cost $157,767) 178,014
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (0.1%)
Cash $ 411
Foreign Currency Held as Collateral on
Futures Contracts (Cost $177) 177
Dividends Receivable 230
Interest Receivable 757
Receivable for Withholding Tax Reclaim 18
Receivable for Investments Sold 13,441
Receivable for Fund Shares Sold 158
Unrealized Gain on Futures Contracts 33
Unrealized Gain on Swap Agreements 1
Unrealized Gain on Forward Foreign
Currency Contracts 145
Other Assets 31
Payable for Investments Purchased (14,806)
Payable for Fund Shares Redeemed (9)
Payable to Custodian (38)
Payable for Investment Advisory Fees (237)
Payable for Administrative Fees (11)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Trustees' Deferred
Compensation Plan-Note F (4)
Other Liabilities (80)
---------
216
- ----------------------------------------------------
NET ASSETS (100%) $ 178,230
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 12,694,118 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 173,155
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.64
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 372,302 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 5,075
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.63
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 139,265
Undistributed Net Investment Income
(Loss) 1,202
Undistributed Realized Net Gain (Loss) 17,385
Unrealized Appreciation (Depreciation)
on:
Investment Securities 20,246
Foreign Currency 124
Futures and Swaps 8
- ----------------------------------------------------
NET ASSETS $ 178,230
- ----------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-Income Producing Security.
(+) 144A security. Certain conditions for public
sale may exist.
(dd) A portion of these securities was pledged to
cover margin requirements for futures
contracts.
+ Moody's Investor Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September
30, 1997. Maturity date disclosed is the
ultimate maturity.
## Variable or floating rate security-rate
disclosed is as of September 30, 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 September 30, 1997.
IO Interest Only
N/R Not rated by Moody's Investor Services, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PIK Payment-In Kind Security
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.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL INTER-
CAP NATIONAL MID CAP
VALUE EQUITY VALUE EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended September 30, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 49,237 $ 22,626 $ 9,347 $ 13,271 $ 1,056
Interest 21,710 3,614 1,384 2,538 1,036
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 70,947 26,240 10,731 15,809 2,092
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 14,010 6,928 5,161 3,236 1,961
Administrative Fee--Note C 2,285 1,136 550 544 314
Custodian Fee--Note E 310 129 71 380 83
Audit Fee 23 30 12 54 15
Shareholder Servicing Fee--Investment Class
shares--Note D 28 3 -- 1 --
Distribution Fees--Adviser Class shares--Note D 201 -- -- -- 1
Other Expenses 704 169 125 96 85
Reimbursement of Expenses--Note B (18) (26) -- (26) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 17,543 8,369 5,919 4,285 2,459
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (310) (129) (19) (180) (83)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 17,233 8,240 5,900 4,105 2,376
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 53,714 18,000 4,831 11,704 (284)
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 376,797 379,936 113,081 39,018 66,879
Foreign Currency Transactions -- -- -- (1,662) --
Futures (814) -- -- 6,109 --
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 375,983 379,936 113,081 43,465 66,879
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 512,130 58,032 175,057 80,379 29,836
Foreign Currency Transactions -- -- -- 892 --
Futures 3,948 -- -- (1,357) --
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 516,078 58,032 175,057 79,914 29,836
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 892,061 437,968 288,138 123,379 96,715
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $945,775 $455,968 $292,969 $135,083 $96,431
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $1,654 withholding tax for International Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC
MID CAP EMERGING FIXED FIXED HIGH
VALUE MARKETS INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended September 30, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends ++ $ 1,201 $ 181 $ 8,065 $ 275 $ 1,443
Interest 229 564 173,302 6,854 38,219
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 1,430 745 181,367 7,129 39,662
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $924 $225 9,431 $383 1,558
Less: Waived Fees (28) 896 (30) 195 -- (11) 372 --
Administrative Fee--Note C 123 24 2,030 82 356
Custodian Fee--Note E 46 80 293 21 70
Audit Fee 12 44 42 13 16
Shareholder Servicing Fee--Investment Class
shares--Note D 1 -- 11 -- 13
Distribution Fees--Adviser Class shares--Note D -- -- 67 -- 3
Other Expenses 62 12 644 28 128
Reimbursement of Expenses--Note B (24) -- (13) -- (19)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,116 355 12,505 516 2,125
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (30) -- (292) (6) (44)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,086 355 12,213 510 2,081
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 344 390 169,154 6,619 37,581
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 24,403 563 52,720 1,793 14,841
Foreign Currency Transactions -- (93) 11,172 -- 321
Futures, Written Floors and Swaps -- 2,528 (1,029) 99 (118)
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 24,403 2,998 62,863 1,892 15,044
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities* 38,391 2,010 42,306 1,382 24,616
Foreign Currency Transactions -- (1) (1,972) -- (57)
Futures, Swaps and Written Floors -- 18 (1,972) (70) (554)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 38,391 2,027 38,362 1,312 24,005
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 62,794 5,025 101,225 3,204 39,049
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $63,138 $5,415 $270,379 $9,823 $76,630
==============================================================================================================================
</TABLE>
++ Net of $30 withholding tax for the Emerging Markets Portfolio.
* Net of foreign capital gain taxes of $38 on unrealized gains for Emerging
Markets Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
MORTGAGE- PURPOSE
CASH FIXED BACKED LIMITED FIXED
RESERVES INCOME SECURITIES DURATION INCOME
PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Year Ended September 30, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ 516 $ 88 $ 151 $ 1,471
Interest 5,108 14,032 4,202 8,780 34,172
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 5,108 14,548 4,290 8,931 35,643
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $231 776 $195 $408 1,816
Less: Waived Fees (65) 166 -- (22) 173 (4) 404 --
Administrative Fee--Note C 74 165 42 109 414
Custodian Fee--Note E 23 32 10 11 54
Audit Fee 9 16 15 13 24
Shareholder Servicing Fee--Investment
Class shares--Note D -- -- -- -- 2
Other Expenses 33 46 19 43 79
Reimbursement of Expenses--Note B -- -- -- -- (26)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 305 1,035 259 580 2,363
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (9) (24) -- (9) (28)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 296 1,011 259 571 2,335
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 4,812 13,537 4,031 8,360 33,308
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities -- 2,958 1,784 357 12,744
Foreign Currency Transactions -- 1,085 -- -- 2,511
Futures and Written Floors -- 290 (595) 15 (303)
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) -- 4,333 1,189 372 14,952
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities -- 3,648 71 519 6,272
Foreign Currency Transactions -- (241) -- -- (506)
Futures and Swaps -- (388) (115) (9) (505)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) -- 3,019 (44) 510 5,261
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) -- 7,352 1,145 882 20,213
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $4,812 $20,889 $5,176 $9,242 $53,521
==============================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
GLOBAL NATIONAL
PA FIXED FIXED INTERMEDIATE
MUNICIPAL MUNICIPAL INCOME INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------
Year Ended September 30, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ -- $ 213 $ -- $ 54
Interest + 3,341 1,468 4,583 8,480 2,816
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 3,341 1,468 4,796 8,480 2,870
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $241 $105 289 549 $167
Less: Waived Fees (30) 211 (26) 79 -- -- (23) 144
Administrative Fee--Note C 51 22 62 117 36
Custodian Fee--Note E 6 5 31 45 18
Audit Fee 18 18 32 32 12
Other Expenses 38 18 29 32 32
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 324 142 443 775 242
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (3) (2) (2) (3) (11)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 321 140 441 772 231
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 3,020 1,328 4,355 7,708 2,639
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 29 (68) 260 (2,002) 520
Foreign Currency Transactions -- -- (933) (5,388) 221
Futures and Swaps (14) 76 490 1,970 (60)
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 15 8 (183) (5,420) 681
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 2,568 883 (1,498) (2,952) 697
Foreign Currency Transactions -- -- (145) 620 (17)
Futures and Swaps (271) (86) 17 (2) --
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 2,297 797 (1,626) (2,334) 680
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 2,312 805 (1,809) (7,754) 1,361
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $5,332 $2,133 $2,546 $ (46) $4,000
==============================================================================================================================
</TABLE>
+ Net of $35 and $90 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-
BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO
---------------------------------
Year Ended September 30, 1997
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME +
Dividends $ 3,815 $ 1,775
Interest 10,178 3,986
- ------------------------------------------------------------------------------------------------------------------------------
Total Income 13,993 5,761
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 1,527 $923
Less: Waived Fees -- (126) 797
Administrative Fee--Note C 280 143
Custodian Fee--Note E 51 87
Audit Fee 32 44
Shareholder Servicing Fee--Investment Class shares--Note D 2 6
Distribution Fees--Adviser Class shares--Note D 37 --
Other Expenses 84 75
Reimbursement of Expenses--Note B (4) (19)
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,009 1,133
- ------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (48) (4)
- ------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,961 1,129
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 12,032 4,632
- ------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 44,002 17,557
Foreign Currency Transactions 574 (403)
Futures and Written Floors 602 1,727
- ------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 45,178 18,881
- ------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 24,877 11,568
Foreign Currency Transactions (148) 185
Futures and Swaps (50) (117)
- ------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 24,679 11,636
- ------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 69,857 30,517
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $81,889 $35,149
==============================================================================================================================
</TABLE>
+ Net of $79 withholding tax for the Multi-Asset-Class Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 117
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
(In Thousands) --------------------- --------------------- -------------------
1996 1997 1996 1997 1996 1997
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 32,015 $ 53,714 $ 30,500 $ 18,000 $ 4,607 $ 4,831
Realized Net Gain (Loss) 138,640 375,983 237,632 379,936 80,888 113,081
Change in Unrealized
Appreciation (Depreciation) 97,514 516,078 (24,506) 58,032 20,530 175,057
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 268,169 945,775 243,626 455,968 106,025 292,969
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (30,765) (43,078) (31,471) (21,326) (4,652) (3,283)
Realized Net Gain (130,677) (135,541) (132,351) (234,965) (52,103) (92,539)
INVESTMENT CLASS +:
Net Investment Income (12) (249) (1) (19) -- --
Realized Net Gain -- (851) -- (298) -- --
ADVISER CLASS ++:
Net Investment Income -- (894) -- -- -- --
Realized Net Gain -- (1,156) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (161,454) (181,769) (163,823) (256,608) (56,755) (95,822)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 930,274 1,576,439 186,997 122,058 128,125 125,463
In Lieu of Cash Distributions 143,059 156,287 157,127 250,540 55,347 94,545
Redeemed (606,431) (769,989) (579,292) (701,366) (77,653) (105,216)
INVESTMENT CLASS +:
Issued 8,889 21,268 117 2,983 -- --
In Lieu of Cash Distributions 12 1,086 1 316 -- --
Redeemed (49) (6,754) (11) (1,364) -- --
ADVISER CLASS ++:
Issued 15,433 172,033 -- -- -- --
In Lieu of Cash Distributions -- 1,868 -- -- -- --
Redeemed (11) (11,849) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 491,176 1,140,389 (235,061) (326,833) 105,819 114,792
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 597,891 1,904,395 (155,258) (127,473) 155,089 311,939
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 $3,773,872 $1,442,374 $1,314,901 $585,457 $897,396
==============================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ 9,064 $ 18,442 $ 7,536 $ 4,070 $ 1,636 $ 2,064
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 63,277 90,227 7,686 4,762 7,158 6,240
In Lieu of Cash Distributions 10,269 9,563 6,676 10,687 3,496 5,253
Shares Redeemed (40,739) (44,093) (23,580) (27,052) (4,377) (5,376)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 32,807 55,697 (9,218) (11,603) 6,277 6,117
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued 595 1,187 5 113 -- --
In Lieu of Cash Distributions 1 66 -- 14 -- --
Shares Redeemed (3) (380) (1) (51) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 593 873 4 76 -- --
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued 994 9,462 -- -- -- --
In Lieu of Cash Distributions -- 112 -- -- -- --
Shares Redeemed (1) (676) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 993 8,898 -- -- -- --
==============================================================================================================================
</TABLE>
+ The Value and the Equity Portfolios 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.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
NATIONAL MID CAP MID CAP EMERGING
EQUITY GROWTH VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
September 30, September 30, September 30, September 30,
-------------------- ------------------- ----------------- -----------------
(In Thousands) 1996 1997 1996 1997 1996 1997 1996 1997
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE
(DECREASE) IN
NET ASSETS
OPERATIONS:
Net
Investment
Income
(Loss) $ 13,039 $ 11,704 $ 173 $ (284) $ 405 $ 344 $ 622 $ 390
Realized Net
Gain (Loss) 101,007 43,465 71,168 66,879 1,658 24,403 2,070 2,998
Change in
Unrealized
Appreciation
(Depreciation) (57,241) 79,914 27,593 29,836 3,145 38,391 (496) 2,027
- ------------------------------------------------------------------------------------------------------------------------------
Net
Increase
(Decrease)
in Net
Assets
Resulting
from
Operations 56,805 135,083 98,934 96,431 5,208 63,138 2,196 5,415
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note
A11
INSTITUTIONAL
CLASS:
Net
Investment
Income (16,536) (12,515) (580) -- (214) (404) (641) (572)
Realized
Net Gain (3,421) (12,996) (53,149) (67,632) (405) (4,075) (2,186) (2,288)
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) (2,827) (2,860)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
(1)
INSTITUTIONAL
CLASS:
Issued 145,686 96,568 58,508 72,700 41,529 137,940 9,068 5,587
In Lieu of
Cash
Distributions 14,783 21,690 52,044 65,823 611 4,424 2,439 2,586
Redeemed (722,596) (213,704) (126,023) (123,453) (782) (30,955) (20,351) (20,904)
INVESTMENT
CLASS +:
Issued 268 325 -- -- 122 854 -- --
In Lieu of
Cash
Distributions -- 9 -- -- -- 10 -- --
Redeemed (34) (6) -- -- -- -- -- --
ADVISER CLASS
++:
Issued -- -- -- 1,813 -- -- -- --
Redeemed -- -- -- (800) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net
Increase
(Decrease)
from
Capital
Share
Transactions (561,893) (95,118) (15,471) 16,083 41,480 112,273 (8,844) (12,731)
- ------------------------------------------------------------------------------------------------------------------------------
Total
Increase
(Decrease) (525,045) 14,445 29,734 44,882 46,069 170,922 (9,475) (10,176)
NET ASSETS:
Beginning of
Period 1,160,986 635,941 373,547 403,281 4,507 50,576 42,459 32,984
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 635,941 $ 650,386 $ 403,281 $ 448,163 $50,576 $221,498 $ 32,984 $ 22,808
==============================================================================================================================
Undistributed
net
investment
income
(loss)
included in
end of
period net
assets $ 12,067 $ 9,914 $ -- $ -- $ 372 $ 310 $ 277 $ 91
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares
Issued and
Redeemed
INSTITUTIONAL
CLASS:
Shares
Issued 11,400 6,875 3,094 4,220 3,154 8,139 801 488
In Lieu of
Cash
Distributions 1,211 1,662 3,126 3,909 52 290 235 249
Shares
Redeemed (57,391) (15,096) (6,657) (7,311) (59) (1,808) (1,823) (1,762)
- ------------------------------------------------------------------------------------------------------------------------------
Net
Increase
(Decrease)
in
Institutional
Class
Shares
Outstanding (44,780) (6,559) (437) 818 3,147 6,621 (787) (1,025)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT
CLASS +:
Shares
Issued 21 22 -- -- 9 47 -- --
In Lieu of
Cash
Distributions -- 1 -- -- -- 1 -- --
Shares
Redeemed (3) -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net
Increase
(Decrease)
in
Investment
Class
Shares
Outstanding 18 23 -- -- 9 48 -- --
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS
++:
Shares
Issued -- -- -- 98 -- -- -- --
Shares
Redeemed -- -- -- (43) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net
Increase
(Decrease)
in
Adviser
Class
Shares
Outstanding -- -- -- 55 -- -- -- --
==============================================================================================================================
</TABLE>
+ The International Equity and the Mid Cap Value Portfolios 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.
- --------------------------------------------------------------------------------
116
<PAGE> 119
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended Year Ended
September 30, September 30, September 30,
--------------------- ---------------- -------------------
(In Thousands) 1996 1997 1996 1997 1996 1997
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 107,138 $ 169,154 $ 3,944 $ 6,619 $ 28,826 $ 37,581
Realized Net Gain (Loss) 21,756 62,863 (937) 1,892 3,717 15,044
Change in Unrealized Appreciation
(Depreciation) (11,844) 38,362 (474) 1,312 4,627 24,005
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 117,050 270,379 2,533 9,823 37,170 76,630
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (103,292) (149,960) (3,127) (6,034) (27,729) (34,334)
Realized Net Gain (7,817) (20,590) -- (179) -- (1,171)
In Excess of Realized Net Gain -- -- (185) -- -- --
INVESTMENT CLASS +:
Net Investment Income -- (341) -- -- (49) (628)
Realized Net Gain -- (47) -- -- -- (20)
ADVISER CLASS ++:
Net Investment Income -- (1,187) -- -- -- (66)
Realized Net Gain -- (61) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (111,109) (172,186) (3,312) (6,213) (27,778) (36,219)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 440,801 1,506,277 62,619 32,103 157,380 294,848
In Lieu of Cash Distributions 88,188 141,335 3,009 5,270 16,060 21,776
Redeemed (232,193) (314,144) (5,634) (39,391) (113,632) (121,867)
INVESTMENT CLASS +:
Issued -- 10,498 -- -- 4,915 12,531
In Lieu of Cash Distributions -- 305 -- -- 49 451
Redeemed -- (1,587) -- -- -- (8,118)
ADVISER CLASS ++:
Issued -- 82,302 -- -- -- 5,616
In Lieu of Cash Distributions -- 587 -- -- -- 66
Redeemed -- (7,715) -- -- -- (1,521)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 296,796 1,417,858 59,994 (2,018) 64,772 203,782
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 302,737 1,516,051 59,215 1,592 74,164 244,193
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 $3,306,197 $95,362 $ 96,954 $ 294,949 $ 539,142
==============================================================================================================================
Undistributed net investment income
(loss) included in end of period
net assets $ 42,529 $ 57,872 $ 1,348 $ 1,805 $ 8,657 $ 11,795
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 37,653 126,596 5,724 2,909 17,602 30,974
In Lieu of Cash Distributions 7,612 12,016 279 484 1,830 2,349
Shares Redeemed (19,803) (26,436) (520) (3,553) (12,631) (12,813)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 25,462 112,176 5,483 (160) 6,801 20,510
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 886 -- -- 546 1,307
In Lieu of Cash Distributions -- 26 -- -- 6 49
Shares Redeemed -- (133) -- -- -- (833)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- 779 -- -- 552 523
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Issued -- 6,870 -- -- -- 577
In Lieu of Cash Distributions -- 50 -- -- -- 7
Redeemed -- (645) -- -- -- (158)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding -- 6,275 -- -- -- 426
==============================================================================================================================
</TABLE>
+ The Fixed Income and High Yield Portfolios began offering Investment Class
shares on October 15, 1996 and May 21, 1996, respectively.
++ The Fixed Income and High Yield Portfolios 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.
- --------------------------------------------------------------------------------
117
<PAGE> 120
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-
CASH FIXED BACKED
RESERVES INCOME SECURITIES
PORTFOLIO PORTFOLIO II PORTFOLIO
---------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
------------------- ------------------ ----------------
(In Thousands) 1996 1997 1996 1997 1996 1997
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 2,882 $ 4,812 $ 12,542 $ 13,537 $ 3,059 $ 4,031
Realized Net Gain (Loss) -- -- 1,754 4,333 (663) 1,189
Change in Unrealized Appreciation
(Depreciation) -- -- (2,268) 3,019 502 (44)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 2,882 4,812 12,028 20,889 2,898 5,176
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (2,882) (4,812) (11,608) (13,889) (3,033) (3,646)
Realized Net Gain -- -- (1,360) (1,963) -- --
In Excess of Realized Net Gain -- -- (446) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,882) (4,812) (13,414) (15,852) (3,033) (3,646)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 143,726 334,996 49,696 74,512 5,648 1,046
In Lieu of Cash Distributions 2,738 4,389 8,664 11,590 2,036 2,618
Redeemed (112,591) (319,418) (42,179) (56,217) (6,390) (18,034)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 33,873 19,967 16,181 29,885 1,294 (14,370)
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 33,873 19,967 14,795 34,922 1,159 (12,840)
NET ASSETS:
Beginning of Period 44,624 78,497 176,945 191,740 49,766 50,925
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 78,497 $ 98,464 $191,740 $226,662 $50,925 $ 38,085
==============================================================================================================================
Undistributed net investment income
(loss) included in end of period
net assets $ -- $ -- $ 4,660 $ 4,574 $ 1,056 $ 1,007
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 143,726 334,996 4,438 6,638 552 99
In Lieu of Cash Distributions 2,738 4,389 781 1,045 199 252
Shares Redeemed (112,591) (319,418) (3,763) (4,981) (608) (1,695)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 33,873 19,967 1,456 2,702 143 (1,344)
==============================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 121
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
LIMITED PURPOSE
DURATION FIXED INCOME MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
------------------ ------------------ ----------------
(In Thousands) 1996 1997 1996 1997 1996 1997
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 6,630 $ 8,360 $ 27,370 $ 33,308 $ 2,081 $ 3,020
Realized Net Gain (Loss) (47) 372 6,698 14,952 (42) 15
Change in Unrealized Appreciation
(Depreciation) (428) 510 (3,052) 5,261 1,780 2,297
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,155 9,242 31,016 53,521 3,819 5,332
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (6,274) (7,415) (27,847) (33,514) (2,096) (2,960)
Realized Net Gain -- -- (9,325) (6,885) -- --
INVESTMENT CLASS +:
Net Investment Income -- -- (8) (68) -- --
Realized Net Gain -- -- -- (12) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,274) (7,415) (37,180) (40,479) (2,096) (2,960)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 99,082 59,060 103,802 90,134 17,213 20,270
In Lieu of Cash Distributions 4,921 6,560 34,094 35,130 1,443 2,235
Redeemed (80,843) (35,104) (74,328) (93,136) (1,883) (4,293)
INVESTMENT CLASS +:
Issued -- -- 758 414 -- --
In Lieu of Cash Distributions -- -- 8 80 -- --
Redeemed -- -- -- (47) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 23,160 30,516 64,334 32,575 16,773 18,212
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 23,041 32,343 58,170 45,617 18,496 20,584
NET ASSETS:
Beginning of Period 100,186 123,227 390,258 448,428 36,040 54,536
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $123,227 $155,570 $448,428 $494,045 $54,536 $75,120
==============================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 1,710 $ 2,361 $ 11,292 $ 9,955 $ 11 $ 71
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 9,585 5,709 8,626 7,318 1,542 1,774
In Lieu of Cash Distributions 480 637 2,827 2,902 130 195
Shares Redeemed (7,817) (3,383) (6,091) (7,553) (169) (375)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 2,248 2,963 5,362 2,667 1,503 1,594
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- 63 34 -- --
In Lieu of Cash Distributions -- -- 1 7 -- --
Shares Redeemed -- -- -- (4) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- -- 64 37 -- --
==============================================================================================================================
</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.
- --------------------------------------------------------------------------------
119
<PAGE> 122
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
PA GLOBAL NATIONAL
MUNICIPAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
---------------- ---------------- ------------------
(In Thousands) 1996 1997 1996 1997 1996 1997
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 944 $ 1,328 $ 2,888 $ 4,355 $ 8,012 $ 7,708
Realized Net Gain (Loss) 555 8 2,936 (183) 4,561 (5,420)
Change in Unrealized Appreciation
(Depreciation) 208 797 (2,051) (1,626) (4,920) (2,334)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,707 2,133 3,773 2,546 7,653 (46)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (934) (1,330) (3,105) (4,111) (10,889) (5,327)
Realized Net Gain -- -- (186) (1,137) (1,028) (3,700)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (934) (1,330) (3,291) (5,248) (11,917) (9,027)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 13,003 7,972 27,692 14,273 70,949 44,423
In Lieu of Cash Distributions 838 888 3,129 4,700 11,131 8,576
Redeemed (1,860) (10,690) (19,168) (6,060) (62,561) (34,311)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 11,981 (1,830) 11,653 12,913 19,519 18,688
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 12,754 (1,027) 12,135 10,211 15,255 9,615
NET ASSETS:
Beginning of Period 15,734 28,488 55,147 67,282 127,882 143,137
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $28,488 $ 27,461 $ 67,282 $77,493 $143,137 $152,752
==============================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 22 $ 20 $ 2,358 $ 1,414 $ 3,997 $ (372)
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 1,154 698 2,557 1,308 6,561 4,363
In Lieu of Cash Distributions 74 77 291 439 1,054 817
Shares Redeemed (165) (935) (1,725) (579) (5,940) (3,475)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares Outstanding 1,063 (160) 1,123 1,168 1,675 1,705
==============================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MULTI-ASSET-
DURATION BALANCED CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
----------------- ------------------ ------------------
(In Thousands) 1996 1997 1996 1997 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 862 $ 2,639 $ 13,041 $ 12,032 $ 5,405 $ 4,632
Realized Net Gain (Loss) 489 681 30,074 45,178 12,244 18,881
Change in Unrealized Appreciation
(Depreciation) (424) 680 (2,265) 24,679 1,249 11,636
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 927 4,000 40,850 81,889 18,898 35,149
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (1,050) (1,772) (12,942) (12,124) (4,740) (5,893)
Realized Net Gain (697) (349) (11,250) (30,896) (1,968) (11,866)
INVESTMENT CLASS +:
Net Investment Income -- -- -- (26) (27) (143)
Realized Net Gain -- -- -- -- -- (275)
ADVISER CLASS ++:
Net Investment Income -- -- -- (416) -- --
Realized Net Gain -- -- -- (1,236) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (1,747) (2,121) (24,192) (44,698) (6,735) (18,177)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 21,694 73,710 40,647 43,464 76,136 75,946
In Lieu of Cash Distributions 1,746 930 24,119 42,958 6,226 16,451
Redeemed (29,840) (16,417) (115,186) (79,189) (61,779) (65,247)
INVESTMENT CLASS +:
Issued -- -- -- 3,910 3,020 1,103
In Lieu of Cash Distributions -- -- -- 26 27 418
Redeemed -- -- -- (460) -- (45)
ADVISER CLASS ++:
Issued -- -- -- 26,300 -- --
In Lieu of Cash Distributions -- -- -- 1,653 -- --
Redeemed -- -- -- (2,128) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (6,400) 58,223 (50,420) 36,534 23,630 28,626
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (7,220) 60,102 (33,762) 73,725 35,793 45,598
NET ASSETS:
Beginning of Period 19,237 12,017 334,630 300,868 96,839 132,632
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 12,017 $ 72,119 $ 300,868 $374,593 $132,632 $178,230
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 295 $ 1,188 $ 4,707 $ 3,747 $ 3,042 $ 1,202
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 2,133 7,235 3,040 3,110 6,609 6,059
In Lieu of Cash Distributions 171 91 1,858 3,271 541 1,403
Shares Redeemed (2,936) (1,612) (8,744) (5,724) (5,135) (5,319)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (632) 5,714 (3,846) 657 2,015 2,143
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- -- 287 248 90
In Lieu of Cash Distributions -- -- -- 2 2 36
Shares Redeemed -- -- -- (31) -- (4)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares Outstanding -- -- -- 258 250 122
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued -- -- -- 1,812 -- --
In Lieu of Cash Distributions -- -- -- 126 -- --
Shares Redeemed -- -- -- (149) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- -- -- 1,789 -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Multi-Asset-Class and Balanced Portfolios began offering Investment Class
shares on June 10, 1996 and April 4, 1997, respectively.
++ The Balanced Portfolio began offering Adviser Class shares on November 1,
1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------
Year Ended September 30,
VALUE PORTFOLIO --------------------------------------------------------------
1993 1994 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 15.61
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.30 0.31 0.30 0.34
Net Realized and Unrealized Gain (Loss) on
Investments 1.92 0.59 3.34 2.20 5.75
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.22 0.89 3.65 2.50 6.09
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.31) (0.29) (0.31) (0.32) (0.30)
Realized Net Gain (1.82) (0.73) (1.08) (1.46) (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.13) (1.02) (1.39) (1.78) (1.33)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 20.37
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 19.67% 7.45% 32.58% 18.41% 41.25%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $762,175 $981,337 $1,271,586 $1,844,740 $3,542,772
Ratio of Expenses to Average Net Assets (1) 0.59% 0.61% 0.60% 0.61% 0.62%
Ratio of Net Investment Income to Average Net
Assets 2.48% 2.40% 2.43% 2.07% 1.93%
Portfolio Turnover Rate 43% 54% 56% 53% 46%
Average Commission Rate ### N/A N/A N/A $ 0.0572 $ 0.0577
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.60% 0.60% 0.61%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
--------------------------------------------------------------------------------
May 6, Year July 17, Year
1996** to Ended 1996*** to Ended
September 30, September 30, September 30, September 30,
1996 1997!! 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.31 0.01 0.30
Net Realized and Unrealized Gain
(Loss) on Investments 0.59 5.75 1.49 5.74
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 6.06 1.50 6.04
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) -- (0.27)
Realized Net Gain -- (1.03) -- (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) -- (1.30)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 20.36 $ 15.61 $ 20.35
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% 10.63% 40.87%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 9,244 $29,847 $15,493 $201,253
Ratio of Expenses to Average Net
Assets (2) 0.76%* 0.80% 0.86%* 0.90%
Ratio of Net Investment Income
to Average Net Assets 2.05%* 1.75% 1.66%* 1.63%
Portfolio Turnover Rate 53% 46% 53% 46%
Average Commission Rate ### $0.0572 $0.0577 $0.0572 $ 0.0577
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON
THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to
Expense Reimbursement/Waiver N/A 0.09% N/A N/A
Ratio Including Expense Offsets 0.75%* 0.79% 0.85%* 0.89%
- ------------------------------------------------------------------------------------------------------------------------------
-
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
### 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.
- --------------------------------------------------------------------------------
122
<PAGE> 125
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Year Ended September 30,
EQUITY PORTFOLIO ----------------------------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 25.67
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.41 0.44 0.52 0.50 0.36
Net Realized and Unrealized Gain (Loss)
on Investments 1.95 0.41 4.55 3.26 8.22
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.36 0.85 5.07 3.76 8.58
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.41) (0.52) (0.50) (0.40)
Realized Net Gain (1.15) (2.21) (1.17) (2.02) (4.40)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.58) (2.62) (1.69) (2.52) (4.80)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 29.45
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.05% 4.11% 26.15% 16.48% 38.46%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,098,003 $1,193,017 $1,597,632 $1,442,261 $1,312,547
Ratio of Expenses to Average Net Assets
(1) 0.59% 0.60% 0.61% 0.60% 0.60%
Ratio of Net Investment Income to Average
Net Assets 1.86% 2.10% 2.39% 1.95% 1.30%
Portfolio Turnover Rate 51% 41% 67% 67% 85%
Average Commission Rate ### N/A N/A N/A $ 0.0557 $ 0.0294
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO
OF EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.60% 0.60% 0.59%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------------
April 10, Year
1996** to Ended
September 30, September 30,
1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31 $ 25.66
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.34
Net Realized and Unrealized Gain (Loss) on Investments 1.24 8.17
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35)
Realized Net Gain -- (4.40)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113 $ 2,354
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.80%
Ratio of Net Investment Income to Average Net Assets 1.83%* 1.12%
Portfolio Turnover Rate 67% 85%
Average Commission Rate ### $0.0557 $0.0294
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 1.28%
Ratio Including Expense Offsets 0.75%* 0.80%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Initial offering of Investment Class shares
- ------------------------------------------------------------------------------------------------------------------------------
! 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.
- --------------------------------------------------------------------------------
123
<PAGE> 126
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------
Year Ended September 30,
SMALL CAP VALUE PORTFOLIO --------------------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 19.64
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.18 0.16 0.19 0.18 0.15
Net Realized and Unrealized Gain (Loss) on
Investments 4.64 1.14 2.49 3.62 8.39
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.82 1.30 2.68 3.80 8.54
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.24) (0.14) (0.20) (0.11)
Realized Net Gain -- (0.94) (1.93) (2.24) (3.10)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.18) (2.07) (2.44) (3.21)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 24.97
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 37.72% 8.04% 18.39% 24.00% 49.81%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $175,029 $308,156 $430,368 $585,457 $897,396
Ratio of Expenses to Average Net Assets (1) 0.88% 0.88% 0.87% 0.86% 0.86%
Ratio of Net Investment Income to Average Net
Assets 1.33% 0.91% 1.20% 0.99% 0.70%
Portfolio Turnover Rate 93% 162% 119% 145% 107%
Average Commission Rate ### N/A N/A N/A $ 0.0498 $ 0.0480
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.87% 0.86% 0.86%
- ------------------------------------------------------------------------------------------------------------------------------
! 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.
- --------------------------------------------------------------------------------
124
<PAGE> 127
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Year Ended September 30,
INTERNATIONAL EQUITY PORTFOLIO ------------------------------------------------------------
1993 1994 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 13.24
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.12 0.19 0.31 0.25
Net Realized and Unrealized Gain (Loss) on
Investments 2.14 1.63 (0.75) 0.77 2.71
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.35 1.75 (0.56) 1.08 2.96
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (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 (0.20) (0.41) (1.45) (0.35) (0.53)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.18 $ 14.52 $ 12.51 $ 13.24 $ 15.67
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.64% 13.33% (3.36%) 8.87% 23.16%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $891,675 $1,132,867 $1,160,986 $635,706 $649,755
Ratio of Expenses to Average Net Assets (1) 0.66% 0.64% 0.70% 0.69% 0.66%
Ratio of Net Investment Income to Average Net
Assets 1.23% 0.89% 1.90% 1.88% 1.81%
Portfolio Turnover Rate 43% 69% 112% 78% 62%
Average Commission Rate ### N/A N/A N/A $ 0.0093 $ 0.0035
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.66% 0.65% 0.63%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------
April 10, Year
1996** to Ended
September 30, September 30,
1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.02 $ 13.23
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.23
Net Realized and Unrealized Gain (Loss) on Investments 0.12 2.69
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.92
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.25)
Realized Net Gain -- (0.27)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.52)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.23 $ 15.63
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.61% 22.85%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 235 $ 631
Ratio of Expenses to Average Net Assets (2) 0.81%* 0.89%
Ratio of Net Investment Income to Average Net Assets 1.81%* 1.60%
Portfolio Turnover Rate 78% 62%
Average Commission Rate ### $0.0093 $0.0035
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 6.83%
Ratio Including Expense Offsets 0.77%* 0.86%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Initial offering of Investment Class shares
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
### 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.
- --------------------------------------------------------------------------------
125
<PAGE> 128
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------
Year Ended September 30,
MID CAP GROWTH PORTFOLIO ----------------------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 20.53
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.02 0.03 0.01 (0.01)
Net Realized and Unrealized Gain (Loss) on Investments 4.80 (0.58) 4.21 4.70 4.75
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.81 (0.56) 4.24 4.71 4.74
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.01) (0.03) (0.03) --
Realized Net Gain (0.76) (1.70) (1.90) (2.75) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.76) (1.71) (1.93) (2.78) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 21.84
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 33.92% (3.28%) 30.56% 28.81% 28.05%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $309,459 $302,995 $373,547 $403,281 $446,963
Ratio of Expenses to Average Net Assets (1) 0.59% 0.60% 0.61% 0.60% 0.63%
Ratio of Net Investment Income to Average Net Assets 0.07% 0.12% 0.21% 0.04% (0.07%)
Portfolio Turnover Rate 69% 55% 129% 141% 134%
Average Commission Rate ### N/A N/A N/A $ 0.0491 $ 0.0514
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.60% 0.60% 0.61%
- ------------------------------------------------------------------------------------------------------------------------------
Adviser Class
-----------------------
January 31,
1997** to
September 30,
1997
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02)
Net Realized and Unrealized Gain (Loss) on Investments 4.79
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200
Ratio of Expenses to Average Net Assets (2) 0.88%*
Ratio of Net Investment Income to Average Net Assets (0.41%)*
Portfolio Turnover Rate 134%
Average Commission Rate ### $0.0514
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%*
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Initial offering of Adviser Class shares
- ------------------------------------------------------------------------------------------------------------------------------
! 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.
- --------------------------------------------------------------------------------
126
<PAGE> 129
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
December 30,
1994** to Year Ended September 30,
September 30, ---------------------------
MID CAP VALUE PORTFOLIO 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45 $ 14.49
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55T 0.11 0.05
Net Realized and Unrealized Gain (Loss) on Investments 2.90 2.52 8.37
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42
- ------------------------------------------------------------------------------------------------------------------------------
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 $ 21.80
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.90%
Ratio of Net Investment Income to Average Net Assets 10.13%*T 1.61% 0.28%
Portfolio Turnover Rate 639%T 377% 184%
Average Commission Rate ### N/A $0.0462 $ 0.0467
- ------------------------------------------------------------------------------------------------------------------------------
(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%
- ------------------------------------------------------------------------------------------------------------------------------
** Commencement of Operations
T Net Investment Income, the Ratio of Net Investment Income to Average Net Assets and the Portfolio Turnover Rate reflect
activity relating to a nonrecurring initiative to invest in higher-paying dividend income producing securities.
</TABLE>
<TABLE>
<CAPTION>
Investment Class
----------------------------------------
May 10, Year
1996*** to Ended
September 30, September 30,
1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77 $ 14.48
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01
Net Realized and Unrealized Gain (Loss) on Investments 0.67 8.36
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 8.37
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.09)
Realized Net Gain -- (1.01)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.10)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48 $ 21.75
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 127 $ 1,238
Ratio of Expenses to Average Net Assets (2) 1.03%* 1.09%
Ratio of Net Investment Income to Average Net Assets 0.86%* 0.04%
Portfolio Turnover Rate 377% 184%
Average Commission Rate ### $0.0462 $0.0467
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.14%* 4.60%
Ratio Including Expense Offsets 1.03%* 1.07%
- ------------------------------------------------------------------------------------------------------------------------------
*** 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.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
---------------------------------------------------
February 28,
1995** to
September Year Ended September 30,
30, ------------------------
EMERGING MARKETS PORTFOLIO 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.63 $ 11.52
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.19 0.16
Net Realized and Unrealized Gain (Loss) on Investments 1.53 0.45 1.73
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.64 1.89
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.17) (0.20)
Realized Net Gain -- (0.58) (0.80)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.75) (1.00)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.63 $ 11.52 $ 12.41
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.30% 6.21% 18.08%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $42,459 $32,984 $22,808
Ratio of Expenses to Average Net Assets (1) 1.18%* 1.18% 1.18%
Ratio of Net Investment Income to Average Net Assets 2.04%* 1.62% 1.30%
Portfolio Turnover Rate 63% 108% 64%
Average Commission Rate ### N/A $0.0014 $0.0019
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE
NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.29%* 0.11% 0.10%
Ratio Including Expense Offsets 1.18%* 1.18% N/A
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations.
### For fiscal years beginning on or after September 1, 1995, a fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions were charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 131
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Year Ended September 30,
FIXED INCOME PORTFOLIO --------------------------------------------------------------------
1993 1994 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.67 $ 12.86 $ 10.93 $ 11.82 $ 11.83
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.88 0.77 0.80 0.78 0.80
Net Realized and Unrealized Gain (Loss) on
Investments 0.75 (1.28) 0.69 0.08 0.50
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 (0.51) 1.49 0.86 1.30
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.83) (0.82) (0.60) (0.79) (0.78)
Realized Net Gain (0.61) (0.47) -- (0.06) (0.13)
In Excess of Realized Net Gain -- (0.13) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.44) (1.42) (0.60) (0.85) (0.91)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.86 $ 10.93 $ 11.82 $ 11.83 $ 12.22
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.26% (4.43%) 14.19% 7.63% 11.47%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $909,738 $1,194,957 $1,487,409 $1,790,146 $3,219,987
Ratio of Expenses to Average Net Assets (1) 0.47% 0.49% 0.49% 0.48% 0.49%
Ratio of Net Investment Income to Average Net
Assets 7.06% 6.79% 7.28% 6.77% 6.73%
Portfolio Turnover Rate 144% 100% 140% 162% 179%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.48% 0.48% 0.48%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
--------------------------------------------------
October 15, November 7,
1996** to 1996*** to
September 30, September 30,
1997!! 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.04
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.75 0.70
Net Realized and Unrealized Gain (Loss) on Investments 0.40 0.20
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 0.90
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.59)
Realized Net Gain (0.13) (0.13)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.72)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.22
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 7.79%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,527 $76,683
Ratio of Expenses to Average Net Assets (2) 0.66%* 0.77%*
Ratio of Net Investment Income to Average Net Assets 6.57%* 6.50%*
Portfolio Turnover Rate 179% 179%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE
NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.12%* 0.01%*
Ratio Including Expense Offsets 0.65%* 0.76%*
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 132
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------------
Year Ended September 30,
-----------------------------------------------------------------------
DOMESTIC FIXED INCOME PORTFOLIO 1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.84 0.94 0.52 0.56 0.74
Net Realized and Unrealized Gain (Loss)
on Investments 0.66 (1.23) 0.87 (0.09) 0.33
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.50 (0.29) 1.39 0.47 1.07
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.78) (0.95) (0.23) (0.57) (0.67)
Realized Net Gain (0.53) (0.73) -- -- (0.02)
In Excess of Realized Net Gain -- (0.15) -- (0.04) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.31) (1.83) (0.23) (0.61) (0.69)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 11.27
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.08% (2.87%) 14.33% 4.41% 10.20%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $90,350 $36,521 $36,147 $95,362 $96,954
Ratio of Expenses to Average Net Assets
(1) 0.50% 0.50% 0.51% 0.52% 0.51%
Ratio of Net Investment Income to
Average Net Assets 7.15% 7.65% 6.80% 5.73% 6.48%
Portfolio Turnover Rate 96% 78% 313% 168% 217%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.03% 0.09% 0.01% 0.01%
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
! 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 !
<TABLE>
<CAPTION>
----------------------------------------------------
HIGH YIELD PORTFOLIO
Institutional Class
----------------------------------------------------
Year Ended September 30,
-----------------------------------------------
1993 1994 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.32
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.73 0.75 0.90 0.88 0.86
Net Realized and Unrealized Gain (Loss) on
Investments 0.90 (0.42) 0.19 0.28 0.87
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.33 1.09 1.16 1.73
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.72) (0.69) (0.85) (0.92) (0.87)
Realized Net Gain -- (0.16) (0.08) -- (0.03)
In Excess of Realized Net Gain -- -- (0.05) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.72) (0.85) (0.98) (0.92) (0.90)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 10.15
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 20.12% 3.57% 13.58% 13.83% 19.90%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $50,396 $182,969 $220,785 $289,810 $523,899
Ratio of Expenses to Average Net Assets (1) 0.53% 0.50% 0.50% 0.49% 0.51%
Ratio of Net Investment Income to Average Net Assets 8.94% 9.01% 10.68% 10.04% 9.05%
Portfolio Turnover Rate 99% 112% 96% 115% 96%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.09% N/A N/A N/A N/A
Ratio Including Expense Offsets N/A N/A 0.49% 0.48% 0.50%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
-------------------------------------------------------
May 21, Year January 31,
1996** to Ended 1997*** to
September 30, September 30, September 30,
1996 1997!! 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.06 $ 9.31 $ 9.39
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.84 0.56
Net Realized and Unrealized Gain (Loss) on Investments 0.16 0.88 0.59
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.72 1.15
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.39)
Realized Net Gain -- (0.03) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (0.39)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 10.16 $10.15
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% 12.63%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $5,139 $10,916 $ 4,327
Ratio of Expenses to Average Net Assets (2) 0.62%* 0.70% 0.78%*
Ratio of Net Investment Income to Average Net Assets 11.06%* 8.84% 8.68%*
Portfolio Turnover Rate 115% 96% 96%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 0.22% N/A
Ratio Including Expense Offsets 0.61%* 0.69% 0.76%*
- ------------------------------------------------------------------------------------------------------------------------------
-
* Annualized
** Initial offering of Investment Class shares.
*** Initial offering of Adviser Class shares.
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------
Year Ended September 30,
CASH RESERVES PORTFOLIO -------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.028 0.034 0.055 0.052 0.052
Net Realized and Unrealized Gain (Loss) on Investments -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.028 0.034 0.055 0.052 0.052
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.028) (0.034) (0.055) (0.052) (0.052)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.81% 3.40% 5.57% 5.35% 5.32%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $10,717 $37,933 $44,624 $78,497 $98,464
Ratio of Expenses to Average Net Assets (1) 0.32% 0.32% 0.33% 0.33% 0.33%
Ratio of Net Investment Income to Average Net Assets 2.78% 3.70% 5.45% 5.19% 5.20%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction of Ratio due to Expense Reimbursement/Waiver 0.24% 0.14% 0.11% 0.09% 0.07%
Ratio Including Expense Offsets N/A N/A 0.32% 0.32% 0.32%
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------
Year Ended September 30,
FIXED INCOME PORTFOLIO II -----------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.23
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.63 0.71 0.70 0.74
Net Realized and Unrealized Gain (Loss) on
Investments 0.77 (1.16) 0.71 (0.03) 0.39
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 (0.53) 1.42 0.67 1.13
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.61) (0.67) (0.51) (0.66) (0.79)
Realized Net Gain (0.55) (0.21) -- (0.08) (0.11)
In Excess of Realized Net Gain -- (0.14) -- (0.03) --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.16) (1.02) (0.51) (0.77) (0.90)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.46
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.53% (4.76%) 14.13% 6.12% 10.58%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $94,836 $129,902 $176,945 $191,740 $226,662
Ratio of Expenses to Average Net Assets (1) 0.51% 0.51% 0.51% 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 6.17% 6.07% 6.75% 6.06% 6.54%
Portfolio Turnover Rate 101% 137% 153% 165% 182%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.49% 0.49% 0.49%
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 135
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
MORTGAGE-BACKED SECURITIES PORTFOLIO --------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.42
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.63 0.52 0.72 0.68 0.91
Net Realized and Unrealized Gain (Loss) on Investments 0.48 (0.83) 0.47 (0.07) 0.16
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 (0.31) 1.19 0.61 1.07
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.45) (0.65) (0.68) (0.73)
Realized Net Gain -- (0.21) -- -- --
In Excess of Realized Net Gain -- (0.03) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.60) (0.69) (0.65) (0.68) (0.73)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.76
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.03% (2.95%) 12.52% 6.10% 10.70%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $50,249 $119,518 $49,766 $50,925 $38,085
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 6.92% 5.30% 6.35% 6.46% 7.79%
Portfolio Turnover Rate 93% 220% 107% 116% 164%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.06% 0.01% 0.01% 0.04% 0.04%
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50%
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
LIMITED DURATION PORTFOLIO ------------------------------------------------
1993 1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.38
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.32 0.56 0.56 0.58 0.62
Net Realized and Unrealized Gain (Loss) on
Investments 0.22 (0.52) 0.22 (0.03) 0.08
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.54 0.04 0.78 0.55 0.70
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.32) (0.51) (0.55) (0.58) (0.59)
Realized Net Gain (0.08) (0.04) -- -- --
In Excess of Realized Net Gain -- (0.02) (0.01) -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.40) (0.57) (0.56) (0.58) (0.59)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.49
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.33% 0.40% 7.95% 5.47% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $128,991 $ 62,775 $100,186 $123,227 $155,570
Ratio of Expenses to Average Net Assets (1) 0.42% 0.41% 0.43% 0.43% 0.43%
Ratio of Net Investment Income to Average Net Assets 3.92% 4.16% 5.96% 5.65% 6.15%
Portfolio Turnover Rate 217% 192% 119% 174% 130%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.03% N/A 0.02% N/A 0.00%#
Ratio Including Expense Offsets N/A N/A 0.42% 0.42% 0.42%
- ------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
# Amount is less than 0.01%.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO -------------------------------------------------------------
1993 1994 1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.26
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.88 0.80 0.91 0.83 0.85
Net Realized and Unrealized Gain (Loss) on
Investments 0.92 (1.28) 0.75 0.08 0.52
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.80 (0.48) 1.66 0.91 1.37
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.82) (0.78) (0.65) (0.88) (0.87)
Realized Net Gain (0.30) (0.53) -- (0.30) (0.18)
In Excess of Realized Net Gain -- (0.09) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.12) (1.40) (0.65) (1.18) (1.05)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.58
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.19% (4.00%) 14.97% 7.74% 11.78%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $300,185 $384,731 $390,258 $447,646 $492,784
Ratio of Expenses to Average Net Assets (1) 0.48% 0.50% 0.49% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 6.84% 6.66% 7.33% 6.75% 6.88%
Portfolio Turnover Rate 124% 100% 143% 151% 198%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.48% 0.49% 0.48%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------
April 10, Year
1996** to Ended
September 30, September 30,
1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.89 $12.24
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.27 0.82
Net Realized and Unrealized Gain (Loss) on Investments 0.23 0.53
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.50 1.35
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.15) (0.85)
Realized Net Gain -- (0.18)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.15) (1.03)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.24 $12.56
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.25% 11.62%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 782 $1,261
Ratio of Expenses to Average Net Assets (2) 0.63%* 0.67%
Ratio of Net Investment Income to Average Net Assets 6.32%* 6.72%
Portfolio Turnover Rate 151% 198%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 2.43%
Ratio Including Expense Offsets 0.63%* 0.66%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Initial Offering of Investment Class Shares.
------------------------------------------------------------------------------------------------------------------------------
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 137
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
MUNICIPAL PORTFOLIO
October 1,
1992** to
September 30, Year Ended September 30,
1993 ----------------------------------
1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.53
Net Realized and Unrealized Gain (Loss) on
Investments 1.04 (1.01) 0.71 0.49 0.40
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 1.00 0.93
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26) (0.54) (0.59) (0.52) (0.52)
In Excess of Net Investment Income -- (0.07) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26) (0.61) (0.59) (0.52) (0.52)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.64
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 9.46% 8.47%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $26,914 $38,549 $36,040 $54,536 $75,120
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% 4.70%
Portfolio Turnover Rate 66% 34% 58% 78% 54%
- ------------------------------------------------------------------------------------------------------------------------------
(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%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Commencement of Operations.
! Reflects a 2.5 for 1 share split effective August 13, 1993.
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------
October 1,
1992** to Year Ended September 30,
September 30, -----------------------------------------
PA MUNICIPAL PORTFOLIO 1993
1994 1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.55
Net Realized and Unrealized Gain (Loss) on
Investments 1.17 (1.00) 0.77 0.46 0.34
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.56 (0.44) 1.35 0.97 0.89
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.30) (0.64) (0.57) (0.51) (0.55)
In Excess of Realized Net Gain -- (0.05) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.30) (0.69) (0.57) (0.51) (0.55)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.37 $ 11.71
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.81% (4.08%) 13.74% 9.03% 8.01%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $15,633 $23,515 $15,734 $28,488 $27,461
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 4.74%* 5.39% 5.56% 4.58% 4.74%
Portfolio Turnover Rate 94% 69% 57% 51% 64%
- ------------------------------------------------------------------------------------------------------------------------------
(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%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations.
! Reflects a 2.5 for 1 share split effective August 13, 1993
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
135
<PAGE> 138
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
April 30, Year Ended September 30,
1993** to ----------------------------------
September 30, 1995 1997!!
GLOBAL FIXED INCOME PORTFOLIO 1993
1996
1994
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.60
Net Realized and Unrealized Gain (Loss) on
Investments 0.61 (0.61) 0.81 0.09 (0.22)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.74 (0.03) 1.52 0.72 0.38
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.71) (0.59)
Realized Net Gain -- (0.03) -- (0.05) (0.16)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.76) (0.75)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.64
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 6.83% 3.53%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $53,164 $43,066 $55,147 $67,282 $77,493
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% 5.65%
Portfolio Turnover Rate 30% 117% 118% 133% 137%
- ------------------------------------------------------------------------------------------------------------------------------
(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% 0.57%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
---------------------------------------------------
April 29,
1994** to Year Ended September 30,
September 30, ---------------------------
INTERNATIONAL FIXED INCOME PORTFOLIO 1994
1995 1996 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.50
Net Realized and Unrealized Gain (Loss) on Investments (0.11) 0.92 0.12 (0.44)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.64 0.06
- ------------------------------------------------------------------------------------------------------------------------------
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 $ 10.19
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13% 0.44%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137 $152,752
Ratio of Expenses to Average Net Assets (1) 0.60%* 0.54% 0.53% 0.53%
Ratio of Net Investment Income to Average Net Assets 5.83%* 6.35% 5.39% 5.27%
Portfolio Turnover Rate 31% 140% 124% 107%
- ------------------------------------------------------------------------------------------------------------------------------
(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% 0.53%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 139
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------
October 3,
1994** to Year Ended
September 30, September 30,
INTERMEDIATE DURATION PORTFOLIO 1995 -------------
1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.61
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.03 0.27
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53)
Realized Net Gain -- (0.38) (0.15)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.68)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119
Ratio of Expenses to Average Net Assets (1) 0.52%* 0.56% 0.55%
Ratio of Net Investment Income to Average Net Assets 6.56%* 6.17% 5.93%
Portfolio Turnover Rate 168% 251% 204%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.13% 0.05%
Ratio Including Expense Offsets 0.52%* 0.52% 0.52%
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations.
!! Per share amounts for the year ended September 30, 1997, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 140
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
<TABLE>
<CAPTION>
Institutional Class
==========================================================
December 31,
1992** to
September Year Ended September 30,
30, -----------------------------------
BALANCED PORTFOLIO 1993
1994 1995 1996 1997
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.51
Net Realized and Unrealized Gain (Loss) on
Investments 0.66 (0.45) 1.78 1.15 2.91
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.91 0.02 2.32 1.68 3.42
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.43) (0.47) (0.50) (0.54)
Realized Net Gain -- (0.15) (0.07) (0.43) (1.39)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.58) (0.54) (0.93) (1.93)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 15.30
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.31% 0.19% 21.37% 13.47% 27.44%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $291,762 $309,596 $334,630 $300,868 $343,284
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% 3.56%
Portfolio Turnover Rate 62% 75% 95% 110% 145%
Average Commission Rate ### N/A N/A N/A $ 0.0521 $ 0.0578
- -------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A N/A 0.57% 0.57% 0.56%
- -------------------------------------------------------------------------------------------------------------------------
** Commencement of Operations
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
---------------------------------------
April 4, November 1,
1997*** to 1996**** to
September 30, September 30,
1997 1997
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.11 $ 14.05
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.42
Net Realized and Unrealized Gain (Loss) on Investments 2.09 2.60
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.39 3.02
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.38)
Realized Net Gain -- (1.39)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (1.77)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.30 $ 15.30
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 23.82%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,943 $ 27,366
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.85%*
Ratio of Net Investment Income to Average Net Assets 3.32%* 3.24%*
Portfolio Turnover Rate 145% 145%
Average Commission Rate ### $ 0.0578 $0.0578
- -------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 0.03%*
Ratio Including Expense Offsets 0.70%* 0.84%*
- -------------------------------------------------------------------------------------------------------------------------
*** Initial offering of Investment Class shares
**** 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.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138
<PAGE> 141
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
July 29,
1994** to
September 30, Year End September 30,
MULTI-ASSET-CLASS PORTFOLIO 1994 --------------------------
1995 1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.38
Net Realized and Unrealized Gain (Loss) on Investments (0.10) 1.33 1.05 2.57
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51 2.95
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42) (0.51)
Realized Net Gain -- -- (0.15) (1.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57) (1.59)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75% 26.50%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $129,558 $173,155
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.58% 0.74%
Ratio of Net Investment Income to Average Net Assets 4.39%* 4.56% 3.82% 3.07%
Portfolio Turnover Rate 20% 112% 122% 141%
Average Commission Rate ### N/A N/A $ 0.0225 $ 0.0114
- ------------------------------------------------------------------------------------------------------------------------------
(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% 0.08%
Ratio Including Expense Offsets N/A 0.58% 0.58% 0.74%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
<TABLE>
<CAPTION>
Investment Class
June 10, Year
1996*** to Ended
September 30, September 30,
1996 1997!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.17 $ 12.27
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.36
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49)
Realized Net Gain -- (1.08)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.27 $ 13.63
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,074 $ 5,075
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.96%
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.85%
Portfolio Turnover Rate 122% 141%
Average Commission Rate ### $0.0225 $0.0114
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.55%
Ratio Including Expense Offsets 0.73%* 0.96%
- ------------------------------------------------------------------------------------------------------------------------------
*** Initial offering of Investment Class shares.
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
!! Per share amount for the year ended September 30, 1997, are based on average shares outstanding.
### 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.
- --------------------------------------------------------------------------------
139
<PAGE> 142
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At September 30, 1997, the Fund was
comprised of twenty-four active portfolios (each referred to as a "Portfolio").
The Fund may offer up to three different classes of shares for certain
Portfolios -- Institutional Class shares, Investment Class shares and Adviser
Class shares.
The Fixed Income and Balanced Portfolios began offering Investment Class shares
on October 15, 1996 and April 4, 1997, respectively. 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 and Advisory Mortgage 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 cash balances into
a joint trading account with other Portfolios of the Fund which
- --------------------------------------------------------------------------------
140
<PAGE> 143
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
invests in one or more repurchase agreement. This joint repurchase
agreement is covered by the same collateral requirements as discussed
above.
4. FUTURES: Futures contracts (secured by cash and 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, may
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 are generally
limited to the amount of net interest payments to be received, if any, at
the date of the default.
6. INTEREST RATE FLOOR AND CAP AGREEMENTS: Each Portfolio, except the Cash
Reserves Portfolio, may hold or write interest rate floors or caps to
protect itself against fluctuation in interest rates. When a Portfolio
writes an interest rate floor, it agrees to make periodic interest payments
to the holder of the interest rate floor based on a
- --------------------------------------------------------------------------------
141
<PAGE> 144
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
notional principal amount to the extent that a specified interest index
falls below a specified interest rate. When a Portfolio writes an interest
rate cap, it agrees to make periodic interest payments to the holder of the
interest rate cap based on a notional principal amount to the extent that a
specified interest index rises above a specified interest rate. Any premium
received by a Portfolio is recorded as a liability and is amortized to
interest income over the term of the agreement. Any premium paid by a
Portfolio is recorded as an asset and is accreted against interest income
over the term of the agreement. Interest rate caps and 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 receipts or payments of interest, if
any, are recorded in the interest income account on 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. Risks may arise upon entering into these
agreements from the potential inability of the counterparties to meet the
terms of the agreements and are generally limited to the amount of net
interest payments to be received.
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, 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
- --------------------------------------------------------------------------------
142
<PAGE> 145
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
from purchased options cannot exceed the total amount invested.
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 of amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio
(except the Domestic Fixed Income, Cash Reserves, Mortgage-Backed
Securities, and Limited Duration Portfolios) may enter into forward foreign
currency contracts to protect securities and related receivables and
payables against future changes in foreign exchange rates. Fluctuations in
the value of such contracts are recorded as unrealized appreciation or
depreciation; realized gains or losses, which are disclosed in the
Statement of Operations, include net gains or losses on contracts which
have been terminated by settlements. Risks may arise upon entering into
these contracts from the potential inability of counterparties to meet the
terms of their contracts and are generally limited to the amount of
unrealized gain on the contract, if any, at the date of default. Risks may
also arise from unanticipated movements in the value of the foreign
currency relative to the U.S. dollar.
11. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Municipal
and PA Municipal Portfolios which are declared and paid monthly, Small Cap
Value, International Equity, Mid Cap Growth, Mid Cap Value, and Emerging
Markets Portfolios which are declared and paid annually, and Cash Reserves
Portfolio which are declared daily and paid monthly. Net realized capital
gains are distributed at least annually. The amount and character of income
and gains to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing book and tax treatments in
the timing of the recognition of gains or losses on securities, forwards
and futures, including Post October Losses 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 shareholders 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
attributed are
- --------------------------------------------------------------------------------
143
<PAGE> 146
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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, Dean
Witter, Discover & Co., for investment advisory services performed at a fee
calculated by applying a quarterly rate based on an annual percentage rate to
each Portfolio's average daily net assets for the quarter. For the year ended
September 30, 1997 the investment advisory fees of each of the Portfolios were:
<TABLE>
<CAPTION>
Voluntary Expense Limitations
Annual at September 30, 1997
Investment ------------------------------------
Advisory Institutional Investment Adviser
Portfolio Fee Class Class Class
- ----------------- ---------- ------------- ---------- -------
<S> <C> <C> <C> <C>
Value 0.500% --% 0.80% 0.90%
Equity 0.500 -- 0.80 --
Small Cap Value 0.750 -- -- --
International
Equity 0.500 -- -- --
Mid Cap Growth 0.500 -- -- --
Mid Cap Value 0.750 0.88 1.10 --
Emerging Markets 0.750 1.18 -- --
Fixed Income 0.375 -- -- --
Domestic Fixed
Income 0.375 0.50 -- --
High Yield 0.375 -- 0.70 --
Cash Reserves 0.250 0.32 -- --
Fixed Income II 0.375 -- -- --
Mortgage-Backed
Securities 0.375 0.50 -- --
Limited Duration 0.300 0.42 -- 0.70
Special Purpose
Fixed Income 0.375 -- 0.68 --
Municipal 0.375 0.50 -- --
PA Municipal 0.375 0.50 -- --
Global Fixed
Income 0.375 -- -- --
International
Fixed Income 0.375 -- -- --
Intermediate
Duration 0.375 0.52 -- --
Balanced 0.450 -- -- --
Multi-Asset-Class 0.650 0.78 1.05 --
</TABLE>
The Adviser has voluntarily agreed to reduce the fees payable to it and, if
necessary, reimburse the Portfolios for certain expenses so that annual
operating expenses will not exceed voluntary expense limitations established for
each class of shares as presented in the table above.
C. ADMINISTRATION FEE. MAS serves as Administrator to the Fund pursuant to an
Administration Agreement. Under the agreement, MAS receives an annual fee,
accrued daily and payable monthly, of 0.08% of each 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 received additional class specific administration
fees for the Investment Class shares and Adviser Class shares. For the year
ended September 30, 1997, CGFSC earned $183,000 and $35,000 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 Company Act of 1940.
Under the Plans, the Distributor is entitled to distribution fees and
shareholder servicing fees for Adviser Class and Investment Class shares,
respectively. The distribution fee is an asset-based fee to support
distribution efforts and/or servicing accounts. The Adviser Class of shares
pays an annual service and distribution fee of 0.25% of average net assets of
the class for such services under the 12b-1 plan adopted by the Fund. The
Investment Class of shares pays an annual shareholder servicing fee of 0.15% of
average net assets of the class. The shareholder servicing fee is not a
distribution fee and is used to support the expenses associated with servicing
and maintaining accounts. Both fees are paid
- --------------------------------------------------------------------------------
144
<PAGE> 147
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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
Fund, serves as custodian for certain of 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, Dean Witter, Discover & Co.
For the year ended September 30, 1997, the following Portfolios incurred
custody fees and had amounts payable to MSTC at September 30, 1997:
<TABLE>
<CAPTION>
MSTC Custody
Custody Fees Fees Payable
Incurred to MSTC
(000) (000)
------------- -------------
<S> <C> <C>
International
Equity $ 200 $37
Emerging Markets 79 14
Global Fixed Income 29 4
International Fixed
Income 43 4
Multi-Asset-Class 38 8
</TABLE>
For the year ended September 30, 1997, the following Portfolios paid brokerage
commissions to Morgan Stanley & Co. and Dean Witter Reynolds, Inc., affiliated
broker/dealers:
<TABLE>
<CAPTION>
Brokerage
Commissions
(000)
---------------------------------
Morgan Stanley Dean Witter
& Co., Inc. Reynolds, Inc.
-------------- --------------
<S> <C> <C>
Value $ -- $ 8
Equity -- 6
Small Cap Value -- 69
Mid Cap Growth 3 --
Mid Cap Value -- 35
</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 invested in the Portfolios selected by the
Trustee. Total trustees fees incurred, for the year ended September 30, 1997 by
the Portfolios were $216,000.
Expenses for the year ended September 30, 1997 include legal fees paid to
Morgan, Lewis & Bockius, LLP in the amount of $272,000. A partner of that firm
is secretary of the Fund.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the year ended September 30, 1997,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- ----------------------- ----------- -----------
<S> <C> <C>
Value $ 1,616,377 $ 1,106,356
Equity 1,118,530 1,683,052
Small Cap Value 714,263 725,133
International Equity 366,382 406,834
Mid Cap Growth 502,727 558,738
Mid Cap Value 325,676 222,740
Emerging Markets 17,777 29,543
Fixed Income 5,629,767 4,224,703
Domestic Fixed Income 203,102 205,102
High Yield 531,662 370,685
Cash Reserves -- --
Fixed Income II 365,702 554,522
Mortgage-Backed
Securities 85,554 107,285
Limited Duration 193,545 167,709
Special Purpose Fixed
Income 939,632 926,752
Municipal 53,409 34,537
PA Municipal 17,529 19,416
Global Fixed Income 94,915 85,923
International Fixed
Income 115,544 114,611
Intermediate Duration 143,494 85,450
Balanced 472,737 467,823
Multi-Asset-Class 204,601 197,347
</TABLE>
- --------------------------------------------------------------------------------
145
<PAGE> 148
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At
September 30, 1997, cost, unrealized appreciation, unrealized depreciation
and net 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 $3,260,174 $829,135 $(17,497) $811,638
Equity 1,117,524 305,435 (6,546) 298,889
Small Cap Value 685,105 230,056 (13,614) 216,442
International
Equity 563,965 143,862 (27,995) 115,867
Mid Cap Growth 411,096 128,711 (433) 128,278
Mid Cap Value 180,333 42,981 (1,349) 41,632
Emerging Markets 21,050 5,739 (3,717) 2,022
Fixed Income 3,955,761 63,846 (8,867) 54,979
Domestic Fixed
Income 100,627 1,741 (290) 1,451
High Yield 508,850 31,555 (2,955) 28,600
Cash Reserves 98,515 -- -- --
Fixed Income II 227,854 4,629 (607) 4,022
Mortgage-Backed
Securities 41,894 1,020 (254) 766
Limited Duration 153,511 711 (308) 403
Special Purpose
Fixed Income 516,281 13,029 (1,527) 11,502
Municipal 72,030 4,920 (101) 4,819
PA Municipal 26,210 1,972 (9) 1,963
Global Fixed
Income 77,132 867 (1,648) (781)
International
Fixed Income 151,970 1,721 (4,256) (2,535)
Intermediate
Duration 75,863 774 (82) 692
Balanced 384,114 55,213 (1,951) 53,262
Multi-Asset-Class 157,958 22,629 (2,661) 19,968
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at September 30, 1997, each Portfolio is obligated
to deliver or receive currency in exchange for U.S. dollars as indicated in
the following table:
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- ------- -------- ---------- ----- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
Purchases
US$ 15,599 JPY 1,869,120 11/20/97 US$ 15,600 US$ 1
-----------
Sales
JPY 1,869,120 US$ 16,500 11/20/97 US$ 15,600 US$ 900
-----------
NET US$ 901
===========
FIXED INCOME
Sales
DEM 53,230 US$ 29,796 12/2/97 US$ 30,250 US$ (454)
===========
HIGH YIELD
Sales
DEM 4,935 US$ 2,815 10/17/97 US$ 2,796 US$ 19
DEM 8,145 4,563 11/28/97 4,628 (65)
DEM 8,500 4,824 12/23/97 4,837 (13)
DEM 375 214 12/23/97 213 1
-----------
US$ (58)
===========
<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 II
Sales
DEM 3,575 US$ 2,001 12/2/97 US$ 2,032 US$ (31)
===========
SPECIAL PURPOSE FIXED INCOME
Sales
DEM 8,430 US$ 4,719 12/2/97 US$ 4,791 US$ (72)
===========
GLOBAL FIXED INCOME
Purchases
US$ 630 ITL 1,105,768 10/20/97 US$ 641 US$ 11
3,042 DEM 5,340 10/23/97 3,027 (15)
6,475 DEM 11,430 10/23/97 6,479 4
382 ESP 56,750 10/23/97 380 (2)
863 AUD 1,170 10/27/97 849 (14)
1,569 CAD 2,155 10/31/97 1,562 (7)
1,122 GBP 690 11/4/97 1,112 (10)
1,841 JPY 215,000 11/6/97 1,791 (50)
370 IEP 255 11/18/97 370 --
1,049 CAD 1,450 11/19/97 1,052 3
14 DEM 25 11/19/97 14 --
4,072 JPY 475,250 11/19/97 3,966 (106)
2,393 ESP 365,000 11/19/97 2,448 55
2,321 SEK 17,625 11/20/97 2,328 7
1,710 DEM 3,055 11/24/97 1,735 25
-----------
US$ (99)
===========
Sales
DEM 4,440 US$ 2,460 10/23/97 US$ 2,517 US$ (57)
DEM 4,085 2,317 10/23/97 2,316 1
AUD 1,170 871 10/27/97 849 22
AUD 715 532 11/3/97 519 13
DEM 25 13 11/5/97 14 (1)
IEP 750 1,082 11/6/97 1,088 (6)
SEK 12,740 1,601 11/13/97 1,682 (81)
IEP 255 380 11/18/97 370 10
GBP 605 969 11/19/97 974 (5)
JPY 63,000 535 11/19/97 526 9
SEK 21,390 2,680 11/20/97 2,825 (145)
CAD 1,070 775 12/2/97 777 (2)
DKK 2,695 396 12/2/97 402 (6)
FRF 3,130 518 12/10/97 530 (12)
IEP 260 387 12/18/97 377 10
AUD 3,555 2,555 12/19/97 2,583 (28)
ITL 810,000 468 12/23/97 469 (1)
CHF 3,270 2,274 12/31/97 2,273 1
-----------
US$ (278)
-----------
NET US$ (377)
===========
INTERNATIONAL FIXED INCOME
Purchases
US$ 1,812 ITL 3,180,675 10/20/97 US$ 1,843 US$ 31
13,842 DEM 24,335 10/23/97 13,795 (47)
14,279 DEM 25,195 10/23/97 14,282 3
1,814 AUD 2,460 10/27/97 1,785 (29)
2,609 CAD 3,585 10/31/97 2,599 (10)
2,634 GBP 1,620 11/4/97 2,609 (25)
1,277 IEP 880 11/18/97 1,277 --
3,060 CAD 4,230 11/19/97 3,070 10
9,109 JPY 1,063,000 11/19/97 8,871 (238)
6,183 ESP 942,000 11/19/97 6,317 134
4,365 SEK 33,150 11/20/97 4,379 14
6,737 JPY 805,000 12/10/97 6,742 5
4,770 FRF 28,240 12/23/97 4,786 16
743 ITL 1,300,000 12/23/97 752 9
-----------
US$ (127)
-----------
</TABLE>
- --------------------------------------------------------------------------------
146
<PAGE> 149
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>
Sales
DEM 5,240 US$ 2,950 10/23/97 US$ 2,970 US$ (20)
DEM 7,680 4,355 10/23/97 4,354 1
AUD 2,460 1,831 10/27/97 1,785 46
JPY 305,000 2,607 10/31/97 2,538 69
NLG 4,910 2,387 10/31/97 2,472 (85)
AUD 840 625 11/3/97 610 15
IEP 1,760 2,540 11/6/97 2,554 (14)
SEK 5,130 645 11/13/97 677 (32)
IEP 880 1,311 11/18/97 1,277 34
GBP 1,965 3,146 11/19/97 3,163 (17)
JPY 119,000 1,009 11/19/97 993 16
SEK 55,455 6,949 11/20/97 7,325 (376)
IEP 575 857 12/18/97 834 23
AUD 6,785 4,877 12/19/97 4,931 (54)
ITL 2,585,000 1,493 12/23/97 1,496 (3)
CHF 6,110 4,249 12/31/97 4,248 1
----------
US$ (396)
----------
NET US$ (523)
==========
INTERMEDIATE DURATION
Purchases
US$ 1,784 CAD 2,465 12/16/97 US$ 1,792 US$ 8
----------
Sales
DEM 1,420 US$ 805 12/2/97 US$ 807 US$ (2)
CAD 2,465 1,779 12/16/97 1,792 (13)
----------
US$ (15)
----------
NET US$ (7)
==========
BALANCED
Sales
DEM 2,325 US$ 1,301 12/2/97 US$ 1,321 US$ (20)
==========
MULTI-ASSET-CLASS
Purchases
US$ 90 DKK 595 10/14/97 US$ 89 (1)
132 ITL 231,910 10/20/97 134 2
421 DEM 740 10/23/97 419 (2)
66 AUD 90 10/27/97 65 (1)
91 CAD 125 10/31/97 91 --
300 JPY 36,100 10/31/97 300 --
170 GBP 105 11/4/97 169 (1)
47 DEM 85 11/5/97 48 1
141 SEK 1,070 11/13/97 142 1
109 IEP 75 11/18/97 109 --
33 CAD 45 11/19/97 33 --
353 ESP 54,000 11/19/97 362 9
2,345 JPY 281,000 11/20/97 2,345 --
43 SEK 325 11/20/97 43 --
377 FRF 2,230 12/23/97 378 1
----------
US$ 9
----------
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- ------- -------- ---------- ----- --------------
<S> <C> <C> <C> <C> <C> <C>
Sales
DEM 145 US$ 83 10/17/97 US$ 82 US$ 1
DEM 110 62 10/23/97 63 (1)
AUD 90 67 10/27/97 65 2
FRF 555 90 10/31/97 94 (4)
JPY 37,000 316 10/31/97 308 8
AUD 55 41 11/3/97 40 1
DEM 160 86 11/5/97 91 (5)
IEP 115 166 11/6/97 167 (1)
SEK 2,600 327 11/13/97 343 (16)
IEP 60 89 11/18/97 87 2
GBP 110 176 11/19/97 177 (1)
JPY 6,000 51 11/19/97 50 1
JPY 281,000 2,500 11/20/97 2,345 155
SEK 325 41 11/20/97 43 (2)
DEM 220 123 11/28/97 125 (2)
DEM 325 185 12/18/97 185 --
AUD 270 194 12/19/97 196 (2)
DEM 260 148 12/23/97 148 --
ITL 108,000 62 12/23/97 62 --
CHF 295 205 12/31/97 205 --
----------
US$ 136
----------
NET US$ 145
==========
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
DKK -- Danish Krone
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
IEP -- Irish Punt
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At September 30, 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:
VALUE
S&P 500 Index 400 US$ 190,900 Dec-97 US$ 3,948
EMERGING MARKETS
Hang Seng Index 7 HKD 5,269 Oct-97 18
FIXED INCOME
U.S. Treasury 2 1,080 US$ 223,611 Dec-97 854
yr. Note
DOMESTIC FIXED
INCOME
U.S. Treasury 2 43 US$ 8,903 Dec-97 38
yr. Note
U.S. Treasury 5 US$ 576 Dec-97 12
Long Bond
FIXED INCOME II
U.S. Treasury 2 70 US$ 14,493 Dec-97 62
yr. Note
</TABLE>
- --------------------------------------------------------------------------------
147
<PAGE> 150
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- ----------------- --------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 2 20 US$ 4,141 Dec-97 US$ 11
yr. Note
U.S. Treasury 5 US$ 576 Dec-97 8
Long Bond
LIMITED DURATION
U.S. Treasury 2 55 US$ 11,388 Dec-97 49
yr. Note
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 2 165 US$ 34,163 Dec-97 146
yr. Note
MUNICIPAL
U.S. Treasury 5 44 US$ 4,726 Dec-97 27
yr. Note
U.S. Treasury 39 US$ 4,295 Dec-97 63
10 yr. Note
PA MUNICIPAL
U.S. Treasury 5 10 US$ 1,074 Dec-97 10
yr. Note
U.S. Treasury 41 US$ 4,515 Dec-97 54
10 yr. Note
GLOBAL FIXED
INCOME
Japanese 10 yr. 4 JPY 514,440 Dec-97 67
Government
Bond
INTERNATIONAL
FIXED INCOME
German 10 yr. 56 DEM 14,413 Dec-97 118
Government
Bond
Japanese 10 yr. 13 JPY 1,671,930 Dec-97 190
Government
Bond
INTERMEDIATE
DURATION
U.S. Treasury 2 68 US$ 14,079 Dec-97 54
yr. Note
BALANCED
U.S. Treasury 2 30 US$ 6,211 Dec-97 27
yr. Note
MULTI-ASSET-CLASS
U.S. Treasury 2 14 US$ 2,900 Dec-97 12
yr. Note
U.S. Treasury 5 7 US$ 752 Dec-97 7
yr. Note
Nikkei 225 22 JPY 195,745 Dec-97 (73)
Index
MIB 30 Index 9 ITL 2,175,570 Dec-97 106
Sales:
FIXED INCOME
90 day 143 US$ 33,544 Dec-97- (2)
Eurodollar
Mar-01
U.S. Treasury 1,990 US$ 219,149 Dec-97 (2,928)
10 yr. Note
DOMESTIC FIXED
INCOME
U.S. Treasury 36 US$ 3,965 Dec-97 (52)
10 yr. Note
HIGH YIELD
U.S. Treasury 170 US$ 19,598 Dec-97 (554)
Bond
FIXED INCOME II
U.S. Treasury 189 US$ 20,814 Dec-97 (209)
10 yr. Note
<CAPTION> Unrealized
Aggregate Appreciation
Number of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
- ----------------- --------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 2 60 US$ 12,423 Dec-97 US$ (27)
yr. Note
U.S. Treasury 5 11 US$ 1,181 Dec-97 (8)
yr. Note
U.S. Treasury 27 US$ 2,973 Dec-97 (27)
10 yr. Note
U.S. Treasury 7 US$ 807 Dec-97 (14)
Long Bond
LIMITED DURATION
U.S. Treasury 40 US$ 4,405 Dec-97 (58)
10 yr. Note
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 641 US$ 70,590 Dec-97 (893)
10 yr. Note
MUNICIPAL
U.S. Treasury 32 US$ 3,689 Dec-97 17
Long Bond
PA MUNICIPAL
U.S. Treasury 2 9 US$ 1,863 Dec-97 (7)
yr. Note
U.S. Treasury 19 US$ 2,190 Dec-97 10
Long Bond
INTERMEDIATE
DURATION
U.S. Treasury 38 US$ 4,185 Dec-97 (55)
10 yr. Note
BALANCED
U.S. Treasury 121 US$ 13,325 Dec-97 (175)
10 yr. Note
MULTI-ASSET-CLASS
U.S. Treasury 13 US$ 1,432 Dec-97 (19)
10 yr. Note
U.S. Treasury 8 US$ 922 Dec-97 (26)
Long Bond
DEM -- German Mark
HKD -- Hong Kong Dollar
ITL -- Italian Lira
JPY -- Japanese Yen
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At September 30, 1997, the following Portfolios had open
Interest Rate Swap Agreements:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
--------------------------------------------------------
<C> <S> <C>
FIXED INCOME
$150,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $54
========
</TABLE>
- --------------------------------------------------------------------------------
148
<PAGE> 151
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
--------------------------------------------------------
<C> <S> <C>
DOMESTIC FIXED INCOME
$5,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $2
======
FIXED INCOME II
$11,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $4
======
MORTGAGE-BACKED SECURITIES
$2,750 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $1
$7,000 Agreement with Salomon Brothers
terminating July 1, 1998 to pay
monthly if positive (receive if
negative), the total rate of
return on the Salomon Brothers
Benchmark Yield Curve Average
2-Year Index based on the
previous month's return and
receive 1 month LIBOR less 38
basis points. (52)
------
NET $(51)
======
SPECIAL PURPOSE FIXED INCOME
$25,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $9
======
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. $283
======
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. $128
------
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
--------------------------------------------------------
<S> <C> <C>
BALANCED
$7,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $2
======
MULTI-ASSET-CLASS
$1,500 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $1
======
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At September 30, 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 2003 2004
- -------------------------------- ------ ----
<S> <C> <C>
Mortgage-Backed Securities $2,746 $ --
Limited Duration 3,769 172
Municipal -- 74
PA Municipal 23 --
</TABLE>
I. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1997, the following Portfolios may elect to defer capital
losses occurring between November 1, 1996 and September 30, 1997 up to the
following amounts:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Global Fixed Income $42
</TABLE>
- --------------------------------------------------------------------------------
149
<PAGE> 152
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The International Equity, Global Fixed Income and International Fixed Income
Portfolios may elect to defer net foreign currency losses occurring between
November 1, 1996 and September 30, 1997 up to the amount of $414,000, $1,141,000
and $5,713,000, respectively.
J. IN-KIND TRANSACTIONS. For the year ended September 30, 1997, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
- ------------------------------------- -------
<S> <C>
Value $57,390
Equity 6,870
Small Cap Value 46
Mid Cap Growth 7,054
Mortgage-Backed Securities 230
Multi-Asset-Class 83
</TABLE>
K. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the year ended September 30,
1997, the following Port-folios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- --------------------------------------- -----
<S> <C>
Value $166
Equity 222
International Equity 175
Mid Cap Growth 254
Fixed Income 172
Domestic Fixed Income 2
Fixed Income II 7
Special Purpose Fixed Income 18
Balanced 37
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at September
30, 1997, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- -------------------------- -------- --------
<S> <C> <C>
Value $291,013 $295,614
Equity 102,802 104,927
International Equity 31,938 33,926
Mid Cap Growth 106,508 107,435
Fixed Income 531,230 544,483
Domestic Fixed Income 2,913 2,970
Fixed Income II 821 844
Special Purpose Fixed
Income 23,721 24,378
Balanced 59,609 61,539
</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 $720,000 and $517,000 respectively, for the year ended September 30,
1997.
L. OTHER. At September 30, 1997, the net assets of certain Portfolios were
substantially comprised of foreign denominated securities and currency. The net
assets of these Portfolios are presented at the foreign exchange rates and
market values at the close of the period. The Portfolios do 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 Portfolios do not
isolate the effect of changes in foreign exchange rates from the fluctuations
arising from changes in the market prices of securities sold during the period.
Accordingly, realized and unrealized foreign currency gains (losses) are
included in the reported net realized and unrealized gains (losses) on
investment transactions and balances. Changes in currency exchange rates will
affect the value of and investment income from such securities and currency.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of U.S. dollar denominated
transactions as a result of, among other factors, the possibility of lower
levels of governmental supervision and regulation of foreign securities markets
and the possibility of political or economic instability.
- --------------------------------------------------------------------------------
150
<PAGE> 153
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
At September 30, 1997, the High Yield Port-folio's net assets were
substantially comprised of high yield fixed income securities. The financial
condition of an issuer of these securities and general economic and industry
specific conditions may affect the issuer's ability to make payments of income
and principal on these securities.
A portion of the securities of the Municipal and PA Municipal Portfolios are
insured by certain companies specializing in the insurance of municipal debt
obligations. At September 30, 1997, approximately 52.1% and 52.0% of the net
assets of the Municipal and PA Municipal Portfolios, respectively, are covered
by such insurance. Listed below are the insurers that insure obligations
constituting more than 10% of the Portfolios' net assets:
<TABLE>
<CAPTION>
MUNICIPAL PA MUNICIPAL
--------- ------------
<S> <C> <C>
AMBAC 13.7% 18.7%
FGIC 12.8 16.7
MBIA 12.8 11.9
</TABLE>
At September 30, 1997, certain employees of Miller Anderson & Sherrerd, LLP
were record owners of approximately 20.0% 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
Portfolio Class Class Class
- ------------------ ------------- ---------- -------
<S> <C> <C> <C>
Value 14.3% 48.0% 95.5%
Equity -- 88.8 --
Small Cap Value 10.8 -- --
International
Equity 22.5 90.0 --
Mid Cap Growth 22.9 -- 98.7
Mid Cap Value 22.0 91.1 --
Emerging Markets 69.1 -- --
Fixed Income -- 92.5 95.5
Domestic Fixed
Income 21.7 -- --
High Yield -- 72.5 98.9
Cash Reserves 45.1 -- --
Fixed Income II 10.5 -- --
Mortgage-Backed
Securities 90.7 -- --
Limited Duration 25.9 -- --
Special Purpose
Fixed Income -- 91.4 --
Municipal 33.3 -- --
PA Municipal 47.8 -- --
Global Fixed
Income 52.1 -- --
International
Fixed Income 60.3 -- --
Intermediate
Duration 52.8 -- --
Balanced 31.7 95.8 99.5
Multi-Asset-Class 30.5 92.7 --
</TABLE>
- --------------------------------------------------------------------------------
151
<PAGE> 154
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
MAS Funds
In our opinion, the accompanying statements of net assets (excluding Standard
& Poor's ratings) and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of each of the twenty-two (22) Portfolios of the MAS
Funds listed in the accompanying table of contents, (hereafter referred to as
the "Fund") at September 30, 1997 and the results of each of their operations,
the changes in each of their net assets and their financial highlights for the
periods presented, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
September 30, 1997 by correspondence with the custodians and the application of
alternative auditing procedures where securities purchased were not yet received
by the custodians, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
November 20, 1997
- --------------------------------------------------------------------------------
152
<PAGE> 155
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION: (UNAUDITED)
Each Portfolio hereby designates the following amount as a long-term capital
gain dividend for the purpose of the dividend paid deduction on its federal
income tax return.
<TABLE>
<CAPTION>
AMOUNT
PORTFOLIO (000)
------------------------------------ --------
<S> <C>
Value $ 92,144
Equity 220,827
Small Cap Value 32,239
International Equity 13,001
Mid Cap Growth 42,412
Mid Cap Value 17
Emerging Markets 257*
Fixed Income 2,484
Fixed Income II 357
Special Purpose Fixed Income 1,134
Global Fixed 71
International Fixed 569
Balanced 29,821
Multi-Asset-Class 7,644
</TABLE>
For the year ended September 30, 1997, the percentage of dividends that qualify
for the 70% dividend received deduction for corporate shareholders for each
Portfolio were:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT
------------------------------------ --------
<S> <C>
Value 35.1%
Equity 44.9
Small Cap Value 8.3
Mid Cap Growth 5.3
Mid Cap Value 10.0
High Yield 3.0
Balanced 19.6
Multi-Asset-Class 13.4
</TABLE>
Foreign taxes accrued during the fiscal year ended September 30, 1997 amounting
to $1,816,000, $152,000* and $90,000 for the International Equity Portfolio,
Emerging Markets Portfolio and the International Fixed Income Portfolio,
respectively, are expected to be passed through to shareholders as foreign tax
credits on Form 1099-DIV for the year ending December 31, 1997. In addition, for
the year ended September 30, 1997, gross income derived from sources within
foreign countries amounted to $15,937,000, $628,000* and $7,982,000 for the
International Equity Portfolio, Emerging Markets Portfolio and the International
Fixed Income Portfolio, respectively.
For the fiscal year ended September 30, 1997**, the percentage of exempt
interest dividends paid by the Municipal Portfolio and the PA Municipal
Portfolio was 91.7% and 92.7%, respectively.
For the year ended September 30, 1997**, the percentage of income earned from
direct U.S. treasury obligations was as follows:
<TABLE>
<CAPTION>
INCOME
PORTFOLIO EARNED
------------------------------------ --------
<S> <C>
Fixed Income 33.2%
Domestic Fixed Income 31.8
Fixed Income II 29.9
Limited Duration 43.1
Mortgage-Backed Securities 11.6
Special Purpose Fixed Income 24.7
Municipal 11.5
PA Municipal 10.4
Global Fixed Income 27.2
International Fixed Income 11.8
Intermediate Duration 39.0
Balanced 22.7
Multi-Asset-Class 18.2
</TABLE>
* Amount is based on October 31 tax year end.
** Amounts for the period ending December 31, 1997 will be provided with Form
1099-DIV to be mailed in January 1998.
- --------------------------------------------------------------------------------
153
<PAGE> 156
- --------------------------------------------------------------------------------
SHAREHOLDER MEETINGS: (UNAUDITED)
At two special shareholder meetings held on May 1 and May 12, 1997, the
shareholders of Miller Anderson & Sherrerd, LLP (the "Fund") were held for the
purpose of voting on the following proposals:
1. To approve an amendment to the investment advisory agreement between the Fund
and Miller Anderson & Sherrerd, LLP.
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
PORTFOLIO FOR AGAINST VOTES
-------------------------------------------------------------------- ----------- -------- ----------
<S> <C> <C> <C>
Value 81,180,469 226,027 525,982
Equity 27,722,514 2,303 1,428
Small Cap Value 17,726,537 909 822
International Equity 24,221,994 0 2,680
Mid Cap Growth 13,913,156 7,215 2,491
Mid Cap Value 4,158,735 4,271 22,651
Emerging Markets 2,141,399 0 0
Fixed Income 103,442,530 14,455 2,231,853
Domestic Fixed Income 5,746,614 0 1,760
High Yield 24,149,301 167,610 489,552
Cash Reserves 49,933,537 653,200 87
Fixed Income II 10,207,399 0 6,425
Mortgage-Backed Securities 3,521,496 0 0
Limited Duration 5,965,091 0 0
Special Purpose Fixed Income 21,722,881 61 24,665
Municipal 3,163,783 0 43,192
PA Municipal 1,567,944 0 0
Global Fixed Income 4,420,125 0 0
International Fixed Income 10,534,872 229 1,013
Intermediate Duration 2,976,756 0 0
Balanced 12,108,669 2,268 1,018,999
Multi-Asset-Class 7,671,603 0 516,117
</TABLE>
2. To elect the following Trustees to serve the Fund effective May 1, 1997 until
such time as their successors have been duly appointed.
<TABLE>
<CAPTION>
VOTED
FOR WITHHELD
----------- ----------
<S> <C> <C>
Thomas L. Bennett 532,682,575 2,503,229
Thomas P. Gerrity 532,791,783 2,274,021
Joseph P. Healey 532,778,972 2,286,832
Joseph J. Kearns 532,802,368 2,263,436
Vincent R. McLean 532,776,415 2,289,389
C. Oscar Morong, Jr. 532,791,627 2,274,177
</TABLE>
3. To approve the proposal of the Board of Trustees' selection of Price
Waterhouse LLP as the Fund's independent accountants.
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
----------- -------- ----------
<S> <C> <C> <C>
530,883,223 655,873 3,528,115
</TABLE>
4. To amend the investment objective and certain investment limitations of the
Domestic Fixed Income Portfolio.
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
----------- -------- ----------
<S> <C> <C> <C>
5,120,238 484,851 1,760
</TABLE>
5. To amend the investment objective and certain investment limitations of the
Fixed Income Portfolio II.
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
----------- -------- ----------
<S> <C> <C> <C>
8,089,070 2,076,819 6,425
</TABLE>
- --------------------------------------------------------------------------------
154
<PAGE> 157
MAS FUNDS TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
The following is a list of the Trustees and the principal executive officers of
the Fund and a brief statement of their present positions and principal
occupations during the past five years.
<TABLE>
<S> <C>
THOMAS L. BENNETT, CFA* C. OSCAR MORONG, JR.
Chairman of the Board of Trustees; Managing Director, Trustee; Managing Director, Morong Capital Management;
Morgan Stanley; Portfolio Manager and member of the Director, Ministers and Missionaries Benefit Board of
Executive Committee, Miller Anderson & Sherrerd, LLP; American Baptist Churches, The Indonesia Fund, The
Director, MAS Fund Distribution, Inc.; formerly Landmark Funds; formerly Senior Vice President and
Director, Morgan Stanley Universal Fund, Inc. Investment Manager for CREF, TIAA-CREF Investment
Management, Inc.
THOMAS P. GERRITY JAMES D. SCHMID
Trustee; Dean and Reliance Professor of Management and President, MAS Funds; Principal, Morgan Stanley; Head
Private Enterprise, Wharton School of Business, of Mutual Funds, Miller Anderson & Sherrerd, LLP;
University of Pennsylvania; Director, Digital Director, MAS Fund Distribution, Inc.; Chairman of the
Equipment Corporation; Director, Sun Company, Inc.; Board of Directors, The Minerva Fund, Inc.
Director, Fannie Mae; Director, Reliance Group
Holdings; Director, Melville Corporation.
JOSEPH P. HEALY LORRAINE TRUTEN, CFA
Trustee; Headmaster, Haverford School; formerly; Dean, Vice President, MAS Funds; Principal, Morgan Stanley;
Hobart College; Associate Dean, William & Mary Head of Mutual Fund Services, Miller Anderson &
College. Sherrerd, LLP; President, MAS Fund Distribution, Inc.
JOSEPH J. KEARNS DOUGLAS W. KUGLER, CFA
Trustee; Vice President and Treasurer, The J. Paul Treasurer, MAS Funds; Vice President, Morgan Stanley;
Getty Trust; Director, Electro Rent Corporation; Head of Mutual Fund Administration, Miller Anderson &
Trustee, Southern California Edison Nuclear Sherrerd, LLP.
Decommissioning Trust; Director, The Ford Family
Foundation.
VINCENT R. MCLEAN JOHN H. GRADY, JR.
Trustee; Director, Alexander and Alexander Services, Secretary, MAS Funds; Partner, Morgan, Lewis &
Inc., Director, Legal and General America, Inc., Bockius, LLP.
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).
</TABLE>
*Trustee Bennett is deemed to be an "interested person" of the Fund as that term
is defined in the Investment Company Act of 1940, as amended.
- --------------------------------------------------------------------------------
155
<PAGE> 158
[MAS FUNDS LOGO]
MILLER
ANDERSON
& SHERRERD, LLP
One Tower Bridge
West Conshohocken, PA 19428-2899
Investment Adviser: (610) 940-5000
MAS Funds: (800) 354-8185
Printed in U.S.A.
This Report has been prepared for
shareholders and may be distributed to
others only if preceded or accompanied by a
current prospectus.
