<PAGE> 1
1998
SEMI-ANNUAL REPORT
FINANCIAL STATEMENTS
[MAS FUND LOGO]
MAS FUNDS
<PAGE> 2
MAS Funds is pleased to present the Semi-Annual Report for the Portfolios as of
March 31, 1998. Please call your Miller Anderson & Sherrerd service contact at
800-354-8185 with any questions regarding these Financial Statements.
TABLE OF CONTENTS
<TABLE>
<S> <C>
MAS Overview and Statement of Net Assets
Value Portfolio......................... 1
Equity Portfolio........................ 4
Small Cap Value Portfolio............... 9
International Equity Portfolio.......... 14
Mid Cap Growth Portfolio................ 17
Mid Cap Value Portfolio................. 20
Emerging Markets Value Portfolio........ 24
Fixed Income Portfolio.................. 27
Domestic Fixed Income Portfolio......... 37
High Yield Portfolio.................... 44
Cash Reserves Portfolio................. 50
Fixed Income Portfolio II............... 52
Mortgage-Backed Securities Portfolio.... 60
Limited Duration Portfolio.............. 65
Special Purpose Fixed Income
Portfolio............................ 71
Municipal Portfolio..................... 79
PA Municipal Portfolio.................. 85
Global Fixed Income Portfolio........... 89
International Fixed Income Portfolio.... 93
Intermediate Duration Portfolio......... 96
Multi-Market Fixed Income Portfolio..... 104
Balanced Portfolio...................... 113
Multi-Asset-Class Portfolio............. 124
Statement of Operations.................... 138
Statement of Changes in Net Assets......... 143
Financial Highlights....................... 150
Notes to Financial Statements.............. 168
</TABLE>
THIS SEMI-ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Value Portfolio combines Miller Anderson & Sherrerd's disciplined valuation
process with the judgment gained through considerable experience in low P/E
investing, emphasizing large capitalization stocks from all market sectors. MAS
considers a company's intrinsic worth, projected earnings and other measures to
help determine if its current price makes it a strong candidate for value
investing. MAS also employs a formal sell discipline. Individual positions are
sold when price appreciation or earnings-per-share deterioration raises the
current P/E ratio.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS VALUE
---------------------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 7.23% 7.13% 7.07% 17.23%
ONE YEAR 33.03 32.83 32.71 47.99
FIVE YEARS 21.82 21.74 21.72 22.40
TEN YEARS 18.78 18.74 18.73 18.94
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/6/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
7/17/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (88.8%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (8.5%)
Chase Manhattan Corp. 688,054 $ 92,801
Citicorp 309,380 43,932
Crestar Financial Corp. 364,202 21,533
First Union Corp. 1,408,603 79,938
Mellon Bank Corp. 635,396 40,348
NationsBank Corp. 386,600 28,198
Republic New York Corp. 297,701 39,706
- ----------------------------------------------------
GROUP TOTAL 346,456
- ----------------------------------------------------
BASIC RESOURCES (7.3%)
Cabot Oil & Gas Corp., Class
A 755,242 27,850
Dow Chemical Co. 372,475 36,223
E.I. DuPont de Nemours & Co. 506,768 34,460
Great Lakes Chemical Corp. 1,030,818 55,664
IMC Global, Inc. 955,494 36,369
Inland Steel Industries,
Inc. 995,300 27,495
Lubrizol Corp. 242,800 9,348
National Steel Corp, Class B 786,200 13,464
Rohm & Haas Co. 400,856 41,413
Westvaco Corp. 526,120 16,178
- ----------------------------------------------------
GROUP TOTAL 298,464
- ----------------------------------------------------
CONSUMER DURABLES (11.2%)
Chrysler Corp. 487,100 20,245
Dana Corp. 709,451 41,281
Ford Motor Co. 2,857,630 125,914
General Motors Corp. 1,628,809 109,843
Goodyear Tire & Rubber Co. 1,197,813 90,734
Owens Corning 1,441,941 51,820
Tupperware Corp. 748,976 19,942
- ----------------------------------------------------
GROUP TOTAL 459,779
- ----------------------------------------------------
CONSUMER SERVICES (0.3%)
Standard Register Co. 411,011 13,949
- ----------------------------------------------------
ENERGY (6.7%)
Amoco Corp. 228,136 19,705
Atlantic Richfield Co. 507,656 39,914
British Petroleum plc ADR 498,442 42,897
* Nabors Industries, Inc. 370,900 8,786
Phillips Petroleum Co. 863,595 43,126
Repsol SA ADR 857,710 43,636
Ultramar Diamond Shamrock
Corp. 930,290 32,793
YPF SA ADR 1,330,938 45,252
- ----------------------------------------------------
GROUP TOTAL 276,109
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (4.9%)
IBP, Inc. 972,603 21,823
Philip Morris Cos., Inc. 1,784,005 74,371
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
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<S> <C> <C>
RJR Nabisco Holdings Corp. 1,925,090 $ 60,279
Universal Foods Corp. 859,547 42,118
- ----------------------------------------------------
GROUP TOTAL 198,591
- ----------------------------------------------------
HEALTH CARE (5.5%)
Beckman Instruments, Inc. 1,034,399 59,284
Columbia/HCA Healthcare
Corp. 1,294,561 41,750
* Foundation Health Systems,
Inc. 1,603,284 44,190
Mallinckrodt, Inc. 794,651 31,389
* Maxicare Health Plans,
Inc. 816,960 8,987
* Vencor, Inc. 795,800 23,824
* Wellpoint Health Networks,
Inc. 215,500 14,546
- ----------------------------------------------------
GROUP TOTAL 223,970
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (16.9%)
Aeroquip-Vickers, Inc. 1,351,176 78,115
* AMR Corp. 269,390 38,573
Case Corp. 1,509,926 102,864
Caterpillar, Inc. 478,094 26,325
CSX Corp. 555,596 33,058
Cummins Engine Co., Inc. 1,414,386 77,968
Delta Air Lines, Inc. 310,800 36,752
Eaton Corp. 252,602 24,045
* FMC Corp. 401,565 31,523
Harnischfeger Industries,
Inc. 1,542,501 52,734
Kennametal, Inc. 772,563 40,656
Olsten Corp. 2,198,160 34,896
Parker Hannifin Corp. 906,237 46,445
Tecumseh Products Co., Class
A 648,176 34,839
TRW, Inc. 618,818 34,112
- ----------------------------------------------------
GROUP TOTAL 692,905
- ----------------------------------------------------
INSURANCE (9.7%)
Allstate Corp. 569,820 52,388
American General Corp. 574,955 37,192
Chubb Corp. 237,115 18,584
CIGNA Corp. 294,200 60,311
Everest Reinsurance
Holdings, Inc. 984,191 40,475
Hartford Financial Services
Group, Inc. 441,053 47,854
Loews Corp. 266,400 27,772
Old Republic International
Corp. 887,800 39,341
ReliaStar Financial Corp. 901,338 41,518
Transatlantic Holdings, Inc. 411,458 31,116
- ----------------------------------------------------
GROUP TOTAL 396,551
- ----------------------------------------------------
RETAIL (8.2%)
Dillard's, Inc., Class A 1,176,309 43,450
* Federated Department
Stores, Inc. 707,400 36,652
Russell Corp. 789,415 21,166
Sears, Roebuck & Co. 740,000 42,504
Springs Industries, Inc.,
Class A 645,018 35,436
* Toys 'R' Us, Inc. 2,471,551 74,301
V.F. Corp. 1,187,006 62,392
* Woolworth Corp. 755,600 18,890
- ----------------------------------------------------
GROUP TOTAL 334,791
- ----------------------------------------------------
TECHNOLOGY (6.9%)
* Arrow Electronics, Inc. 957,200 25,904
Avnet, Inc. 311,700 17,942
International Business
Machines Corp. 962,244 99,953
* Quantum Corp. 872,700 18,599
* Seagate Technology, Inc. 955,752 24,133
* Stratus Computer, Inc. 1,327,400 58,489
Tektronix, Inc. 852,817 38,057
- ----------------------------------------------------
GROUP TOTAL 283,077
- ----------------------------------------------------
UTILITIES (2.7%)
Cinergy Corp. 411,607 15,229
DTE Energy Co. 666,540 26,203
Duke Energy Corp. 349,822 20,836
Entergy Corp. 681,545 20,276
GPU, Inc. 583,204 25,807
- ----------------------------------------------------
GROUP TOTAL 108,351
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $2,732,121) 3,632,993
- ----------------------------------------------------
CASH EQUIVALENTS (17.8%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
----------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (8.4%) $ 345,139 345,139
- ----------------------------------------------------
COMMERCIAL PAPER (7.2%)
CIT Group Holdings
5.51%, 5/22/98 46,700 46,336
Eiger Capital Corp.
5.56%, 4/16/98 50,000 49,884
General Electric Capital
Corp.
5.53%, 4/2/98 50,000 49,992
General Motors Acceptance
Corp.
5.54%, 4/15/98 50,000 49,892
Household Finance Corp.
5.54%, 4/3/98 50,000 49,985
IBM Credit Corp.
5.52%, 5/7/98 25,000 24,862
Trident Capital Finance Inc.
5.53%, 4/29/98 23,730 23,628
- ----------------------------------------------------
GROUP TOTAL 294,579
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (2.2%)
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased
at $89,838, collateralized by
various U.S. Government
Obligations, due 4/1/98-
11/15/99, valued at
$90,092 $ 89,823 $ 89,823
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $729,541) 729,541
- ----------------------------------------------------
TOTAL INVESTMENTS (106.6%)
(Cost $3,461,662) 4,362,534
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.6%)
Cash 2
Dividends Receivable 4,965
Interest Receivable 14
Receivable for Investments Sold 74,206
Receivable for Fund Shares Sold 5,960
Other Assets 116
Payable for Fund Shares Redeemed (4,980)
Payable for Investment Advisory Fees (4,727)
Payable for Administrative Fees (272)
Payable for Shareholder Servicing
Fees-Investment Class (4)
Payable for Distribution
Fee-Adviser Class (85)
Payable for Trustees' Deferred
Compensation Plan-Note F (98)
Collateral on Securities Loaned, at
Value (345,139)
Other Liabilities (181)
----------
(270,223)
- ----------------------------------------------------
NET ASSETS (100%) $4,092,311
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 185,149,408 outstanding
shares of beneficial interest
(unlimited authorization, no par
value) $3,632,965
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.62
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,487,756 outstanding
shares of beneficial interest
(unlimited authorization,
no par value) $ 29,166
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.60
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 21,957,690 outstanding
shares of beneficial interest
(unlimited authorization,
no par value) $ 430,180
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.59
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $3,047,427
Undistributed Net Investment Income
(Loss) 15,591
Undistributed Realized Net Gain (Loss) 128,421
Unrealized Appreciation (Depreciation)
on Investment Securities 900,872
- ----------------------------------------------------
NET ASSETS $4,092,311
- ----------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Equity Portfolio is Miller Anderson & Sherrerd's core-strategy common stock
fund, investing mostly in stocks of large companies. MAS employs strategic
economic and market analyses and disciplined valuation methodologies to identify
the best individual stocks. Strategic over- and under-weightings are managed to
maintain a portfolio that is well diversified among industry sectors.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS EQUITY
----------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 12.25% 12.18% 12.16% 17.23%
ONE YEAR 39.82 39.55 39.70 47.99
FIVE YEARS 19.33 19.24 19.31 22.40
TEN YEARS 17.87 17.83 17.87 18.94
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/16/98. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (98.5%)
- ----------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (4.3%)
BankBoston Corp. 125,000 $ 13,781
Chase Manhattan Corp. 96,400 13,002
Citicorp 94,400 13,405
First Union Corp. 216,016 12,259
- ----------------------------------------------------
GROUP TOTAL 52,447
- ----------------------------------------------------
BASIC RESOURCES (4.5%)
Bowater, Inc. 134,900 7,613
Champion International Corp. 182,900 9,934
E.I. DuPont de Nemours & Co. 238,500 16,218
* Grace Specialty Chemicals 65,600 1,205
PPG Industries, Inc. 95,800 6,508
Praxair, Inc. 122,600 6,306
Solutia, Inc. 208,200 6,194
W. R. Grace & Co. 9,000 753
- ----------------------------------------------------
GROUP TOTAL 54,731
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.3%)
Anheuser-Busch Cos., Inc. 125,900 5,831
Coca-Cola Enterprises, Inc. 148,300 5,441
Dial Corp. 178,300 4,268
- ----------------------------------------------------
GROUP TOTAL 15,540
- ----------------------------------------------------
CONSUMER DURABLES (7.3%)
Chrysler Corp. 152,300 6,330
Ford Motor Co. 664,800 29,293
General Motors Corp. 367,117 24,757
Goodyear Tire & Rubber Co. 132,300 10,022
LucasVarity plc ADR 247,600 10,229
Owens Corning 196,300 7,055
- ----------------------------------------------------
GROUP TOTAL 87,686
- ----------------------------------------------------
CONSUMER SERVICES (6.1%)
* Cendant Corp. 481,345 19,073
* Clear Channel Communications,
Inc. 106,300 10,417
News Corp., Ltd. ADR 327,900 7,542
Service Corp. International 274,200 11,636
* Tele-Communications, Inc.,
Class A 456,400 14,191
* Tele-Communications Liberty
Media Group, Class A 328,913 11,306
- ----------------------------------------------------
GROUP TOTAL 74,165
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (2.7%)
American Express Co. 60,000 5,509
Associates First Capital Corp.,
Class A 21,438 1,694
Bear Stearns Co., Inc. 78,600 4,038
CMAC Investment Corp. 58,400 3,898
</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>
Lehman Brothers Holdings, Inc. 72,600 $ 5,436
SLM Holding Corp. 269,100 11,739
- ----------------------------------------------------
GROUP TOTAL 32,314
- ----------------------------------------------------
ENERGY (8.7%)
Atlantic Richfield Co. 76,700 6,031
British Petroleum plc ADR 125,034 10,761
Coastal Corp. 185,000 12,048
Columbia Gas System, Inc. 99,100 7,705
Diamond Offshore Drilling, Inc. 117,200 5,318
ENSCO International, Inc. 95,100 2,639
* Global Marine, Inc. 108,200 2,678
Mobil Corp. 83,500 6,398
* Nabors Industries, Inc. 177,000 4,193
Phillips Petroleum Co. 207,800 10,377
* R & B Falcon Corp. 195,000 5,777
Schlumberger Ltd. 82,800 6,272
Texaco, Inc. 203,600 12,267
USX-Marathon Group 171,200 6,441
YPF SA ADR 191,300 6,504
- ----------------------------------------------------
GROUP TOTAL 105,409
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (4.1%)
Philip Morris Cos., Inc. 819,270 34,153
RJR Nabisco Holdings Corp. 550,380 15,825
- ----------------------------------------------------
GROUP TOTAL 49,978
- ----------------------------------------------------
HEALTH CARE (6.4%)
American Home Products Corp. 68,700 6,552
Baxter International, Inc. 225,400 12,425
Bristol-Myers Squibb Co. 84,972 8,864
* Health Management Associates,
Inc., Class A 219,050 6,270
* HEALTHSOUTH Rehabilitation
Corp. 250,000 7,016
* Lincare Holdings, Inc. 133,200 9,407
Merck & Co., Inc. 117,100 15,033
Mylan Labs, Inc. 104,400 2,401
* Tenet Healthcare Corp. 248,400 9,020
- ----------------------------------------------------
GROUP TOTAL 76,988
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.8%)
Aeroquip-Vickers, Inc. 103,100 5,960
* AMR Corp. 60,100 8,606
Case Corp. 270,000 18,394
Cummins Engine Co., Inc. 342,700 18,891
Eaton Corp. 24,000 2,285
* FMC Corp. 118,200 9,279
Harnischfeger Industries, Inc. 167,700 5,733
Lockheed Martin Corp. 226,800 25,515
Textron, Inc. 95,100 7,323
United Technologies Corp. 264,500 24,417
Waste Management, Inc. 589,300 18,158
York International Corp. 215,500 9,698
- ----------------------------------------------------
GROUP TOTAL 154,259
- ----------------------------------------------------
- ----------------------------------------------------
INSURANCE (6.1%)
Allstate Corp. 65,481 $ 6,020
Everest Reinsurance Holdings,
Inc. 133,900 5,507
Exel Ltd. 168,800 13,082
Hartford Financial Services
Group, Inc. 182,150 19,763
Loews Corp. 220,800 23,018
Travelers Property Casualty
Corp., Class A 140,100 6,164
- ----------------------------------------------------
GROUP TOTAL 73,554
- ----------------------------------------------------
MID CAP GROWTH (5.6%)
* Accelr8 Technology Corp. 15,500 250
* Advanced Fibre
Communications, Inc. 19,300 702
A.G. Edwards, Inc. 11,100 486
* Allied Waste Industries, Inc. 37,500 936
* American Disposal Services,
Inc. 11,400 430
* AMF Bowling, Inc. 27,700 710
* At Home Corp., Series A 22,700 768
* Atlas Air, Inc. 14,700 479
* Beringer Wine Estates
Holdings, Inc., Class B 13,500 697
* BMC Software, Inc. 16,300 1,366
* Borders Group, Inc. 33,000 1,124
* Brylane, Inc. 11,900 667
* Cablevision Systems Corp.,
Class A 10,000 657
* Cellular Communications
International, Inc. 12,800 870
* CIENA Corp. 10,300 439
* Cinar Films, Inc., Class B 20,300 865
Cintas Corp. 19,600 1,014
Comcast Corp., Class A Special 17,500 618
* Complete Business Solutions,
Inc. 35,000 1,256
* CompUSA, Inc. 17,800 463
* Computer Horizons Corp. 20,200 1,015
* Concord EFS Inc. 31,500 1,089
CVS Corp. 14,000 1,057
Danaher Corp. 10,000 759
Diamond Offshore Drilling, Inc. 11,700 531
* Dollar Tree Stores, Inc. 9,100 483
* EarthShell Corp. 10,600 189
Estee Lauder Cos., Class A 17,600 1,195
* Exodus Communications, Inc. 5,600 157
FINOVA Group, Inc. 15,700 924
* Fiserv, Inc. 19,350 1,226
Franklin Resources, Inc. 12,000 636
* Friendly Ice Cream Corp. 24,100 491
* Geac Computer Corp., Ltd. 13,700 575
* Global Industries Ltd. 25,600 522
* Globalstar Telecommunications
Ltd. 30,500 1,933
HBO & Co. 20,000 1,208
* Health Management Associates,
Inc., Class A 80,192 2,295
* Healthcare Recoveries, Inc. 30,100 700
* Heftel Broadcasting Corp.,
Class A 13,500 604
* Hibbett Sporting Goods, Inc. 14,500 402
* Imax Corp. 33,700 956
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Inter-Tel, Inc. 17,200 $ 463
* Intermedia Communications,
Inc. 8,500 677
* J. Ray McDermott, S.A. 11,500 484
* Jacor Communications, Inc. 16,700 985
* Level 3 Communications, Inc. 7,300 523
* Lincare Holdings, Inc. 28,900 2,041
Linear Technology Corp. 7,700 531
* Loral Space & Communications
Ltd. 41,800 1,168
* MAPICS, Inc. 43,700 773
* Metro-Goldwyn-Mayer, Inc. 23,100 517
* Metromedia Fiber Network,
Inc., Class A 7,100 239
* Micro Focus Group plc ADR 18,900 900
* Networks Associates, Inc. 15,325 1,015
* NEXTLINK Communications,
Inc., Class A 17,600 565
* Nutraceutical International
Corp. 19,200 422
ONIX Systems, Inc. 22,200 322
* Orange plc 63,000 402
* Orthodontic Centers of
America, Inc. 47,700 1,034
* Outdoor Systems, Inc. 32,650 1,145
* Pediatrix Medical Group, Inc. 10,700 498
* Peoplesoft, Inc. 13,300 701
* Polo Ralph Lauren Corp. 17,200 517
Premier Parks, Inc. 17,900 1,038
* Princeton Video Image, Inc. 17,800 145
* Province Healthcare Co. 15,600 410
* Qwest Communications
International, Inc. 15,700 610
* RELTEC Corp. 9,200 326
* Rexall Sundown, Inc. 19,400 661
* Sapient Corp. 16,800 796
* Sealed Air Corp. 13,200 865
* Security Capital Group, Inc.,
Class B 9,200 283
Security Capital Industrial
Trust 25,990 666
* Security Capital U.S. Realty 25,300 334
Shire Pharmaceuticals Group plc
ADR 8,500 182
Sirrom Capital Corp. 35,200 1,058
* Stage Stores, Inc. 9,100 470
State Street Corp. 13,800 939
Stewart Enterprises, Inc.,
Class A 9,700 540
* Sunrise Assisted Living, Inc. 17,200 770
* Tele-Communications, Inc.,
Class A 20,095 625
* Tele-Communications
International, Inc., Class A 26,100 525
* Tele-Communications Liberty
Media Group, Class A 36,387 1,251
* Tele-Communications TCI
Ventures Group, Class A 45,310 796
* Tel-Save Holdings, Inc. 20,400 464
* Tellabs, Inc. 20,700 1,389
* Total Renal Care Holdings,
Inc. 16,600 553
* Uniphase Corp. 15,100 635
* United Rentals, Inc. 28,200 733
- ----------------------------------------------------
* Univision Communications,
Inc., Class A 10,200 $ 380
* USA Waste Services, Inc. 15,300 682
- ----------------------------------------------------
GROUP TOTAL 67,792
- ----------------------------------------------------
RETAIL (5.1%)
* CompUSA, Inc. 352,300 9,160
CVS Corp. 127,600 9,634
* Federated Department Stores,
Inc. 130,500 6,762
Home Depot, Inc. 110,188 7,431
* Office Depot, Inc. 342,800 10,670
* Polo Ralph Lauren Corp. 129,900 3,905
Ross Stores, Inc. 82,900 3,658
Wal-Mart Stores, Inc. 198,900 10,107
- ----------------------------------------------------
GROUP TOTAL 61,327
- ----------------------------------------------------
TECHNOLOGY (10.5%)
* Applied Materials, Inc. 145,700 5,145
* Bay Networks, Inc. 235,900 6,399
* BMC Software, Inc. 145,700 12,211
* Cisco Systems, Inc. 172,700 11,808
Compaq Computer Corp. 165,100 4,272
Intel Corp. 127,300 9,937
* Microsoft Corp. 441,000 39,470
* Network Associates, Inc. 133,800 8,864
* SCI Systems, Inc. 133,600 4,760
* Seagate Technology, Inc. 225,100 5,684
* Tellabs, Inc. 117,100 7,860
* 3Com Corp. 144,075 5,178
Xerox Corp. 54,600 5,811
- ----------------------------------------------------
GROUP TOTAL 127,399
- ----------------------------------------------------
UTILITIES (4.7%)
* Airtouch Communications, Inc. 136,600 6,685
MCI Communications Corp. 286,500 14,182
SBC Communications, Inc. 266,000 11,604
Sprint Corp. 158,000 10,695
* WorldCom, Inc. 319,189 13,745
- ----------------------------------------------------
GROUP TOTAL 56,911
- ----------------------------------------------------
VALUE (8.3%)
Aeroquip-Vickers, Inc. 49,600 2,867
American General Corp. 19,400 1,255
Amoco Corp. 10,700 924
* AMR Corp. 6,600 945
* Arrow Electronics, Inc. 24,400 660
Atlantic Richfield Co. 15,500 1,219
Avnet, Inc. 7,900 455
Beckman Instruments, Inc. 27,500 1,576
British Petroleum plc ADR 11,366 978
Cabot Oil & Gas Corp., Class A 25,900 955
Case Corp. 36,900 2,514
Caterpillar, Inc. 20,400 1,123
Chase Manhattan Corp. 16,600 2,239
Chubb Corp. 5,500 431
CIGNA Corp. 7,700 1,578
</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>
Citicorp 13,400 $ 1,903
Columbia/HCA Healthcare Corp. 17,000 548
Crestar Financial Corp. 53,749 3,178
CSX Corp. 25,400 1,511
Cummins Engine Co., Inc. 41,000 2,260
Delta Air Lines, Inc. 9,300 1,100
Dillard's Inc., Class A 24,600 909
Dow Chemical Co. 10,200 992
Duke Energy Corp. 10,668 635
E.I. DuPont de Nemours & Co. 19,000 1,292
Eaton Corp. 6,000 571
Entergy Corp. 28,867 859
First Union Corp. 55,599 3,155
* FMC Corp. 17,800 1,397
Ford Motor Co. 81,800 3,604
* Foundation Health Systems,
Inc., Class A 41,310 1,139
General Motors Corp. 31,032 2,093
Goodyear Tire & Rubber Co. 35,800 2,712
GPU, Inc. 31,500 1,394
Great Lakes Chemical Corp. 15,800 853
Harnischfeger Industries, Inc. 32,000 1,094
Hartford Financial Services
Group, Inc. 12,800 1,389
IBP, Inc. 38,000 853
IMC Global, Inc. 23,700 902
Inland Steel Industries, Inc. 22,700 627
International Business Machines
Corp. 31,100 3,231
Kennametal, Inc. 14,608 769
Loews Corp. 6,400 667
Mallinckrodt, Inc. 26,200 1,035
* Maxicare Health Plans, Inc. 33,600 370
Mellon Bank Corp. 21,800 1,384
National Steel Corp., Class B 28,000 479
NationsBank Corp. 7,000 511
Old Republic International
Corp. 27,100 1,201
Olsten Corp. 49,900 792
Owens Corning 24,200 870
Parker Hannifin Corp. 27,950 1,432
Philip Morris Cos., Inc. 48,900 2,039
Phillips Petroleum Co. 20,200 1,009
* Quantum Corp. 21,600 460
ReliaStar Financial Corp. 23,845 1,098
Repsol SA ADR 24,100 1,226
Republic New York Corp. 10,200 1,360
RJR Nabisco Holdings Corp. 44,700 1,400
Rohm & Haas Co. 18,600 1,922
Russell Corp. 24,000 643
* Seagate Technology, Inc. 27,100 684
Sears, Roebuck & Co. 27,500 1,580
Springs Industries, Inc.,
Class A 23,800 1,308
Standard Register Co. 17,600 597
* Stratus Computer, Inc. 36,100 1,591
Tecumseh Products Co., Class A 39,700 2,134
Tektronix, Inc. 36,750 1,640
* Toys 'R' Us, Inc. 33,300 1,001
Transatlantic Holdings, Inc. 13,300 1,006
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
TRW, Inc. 19,600 $ 1,080
Tupperware Corp. 21,600 575
Ultramar Diamond Shamrock Corp. 27,700 976
* Vencor, Inc. 15,900 476
V.F. Corp. 41,600 2,187
* Wellpoint Health Networks,
Inc. 11,900 803
YPF SA ADR 41,600 1,414
- ----------------------------------------------------
GROUP TOTAL 99,639
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $876,460) 1,190,139
- ----------------------------------------------------
CASH EQUIVALENTS (11.0%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
--------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (10.9%) $130,983 130,983
- ----------------------------------------------------
REPURCHASE AGREEMENT (0.1%)
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased at
$1,196, collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued at
$1,199 1,195 1,195
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $132,178) 132,178
- ----------------------------------------------------
TOTAL INVESTMENTS (109.5%)
(Cost $1,008,638) 1,322,317
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-9.5%)
Cash 2
Dividends Receivable 1,429
Receivable for Investments Sold 22,953
Receivable for Fund Shares Sold 363
Other Assets 62
Payable for Investments Purchased (5,285)
Payable for Fund Shares Redeemed (1,330)
Payable for Investment Advisory Fees (1,495)
Payable for Administrative Fees (83)
Payable for Trustees' Deferred
Compensation Plan-Note F (57)
Collateral on Securities Loaned, at Value (130,983)
Other Liabilities (89)
---------
(114,513)
- ----------------------------------------------------
NET ASSETS (100%) $1,207,804
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 50,914,235 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,205,413
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.68
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ----------------------------------------------------
<S> <C> <C>
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 96,449 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 2,281
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.65
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 4,632 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 110**
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.66
- ----------------------------------------------------
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 789,504
Undistributed Net Investment Income
(Loss) 3,091
Undistributed Realized Net Gain (Loss) 101,530
Unrealized Appreciation (Depreciation) on
Investment Securities 313,679
- ----------------------------------------------------
NET ASSETS $1,207,804
- ----------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
** Represents $109,599 of net assets.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Value Portfolio applies Miller Anderson & Sherrerd's value
investing to small-and medium-sized companies, combining MAS's disciplined
valuation process with the judgment gained through considerable experience in
low P/E investing. The Portfolio keeps sector weights within 5% of the sector
weights of the Russell 2000 Index, with strategic over- and under-weightings
assigned to different economic sectors and industries. This portfolio is not
currently open to new investors.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS SMALL CAP RUSSELL 2000
VALUE INSTITUTIONAL INDEX
----------------------------------
<S> <C> <C>
SIX MONTHS 5.26% 6.37%
ONE YEAR 45.29 42.01
FIVE YEARS 23.35 17.67
TEN YEARS 19.63 14.80
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
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.
* Total returns are compared to the Russell 2000 Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (95.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (6.3%)
Bank United Corp., Class A 38,400 $ 1,920
Banknorth Group, Inc. 20,400 1,489
Colonial BancGroup, Inc. 122,500 4,425
Community First Bankshares,
Inc. 44,600 2,275
Cullen/Frost Bankers, Inc. 44,500 2,628
Dime Bancorp, Inc. 136,471 4,103
Eagle Financial Corp. 42,200 2,440
First American Corp. of
Tennessee 115,300 5,650
* Golden State Bancorp Inc. 189,000 7,217
Investors Financial Services
Corp. 41,100 2,260
Long Island Bancorp, Inc 22,600 1,429
Magna Group, Inc. 44,700 2,595
* Mechanics Savings Bank 76,600 2,336
Mercantile Bankshares Corp. 81,600 2,953
North Fork Bancorp., Inc. 78,100 3,017
* Prime Bancshares, Inc. 104,100 2,668
* Redfed Bancorp, Inc. 110,000 2,200
Reliance Bancorp, Inc. 103,300 4,003
Trustco Bank Corp. 49,329 1,400
Union Planters Corp. 41,936 2,608
- ----------------------------------------------------
GROUP TOTAL 59,616
- ----------------------------------------------------
BASIC RESOURCES (4.8%)
* ACX Technologies, Inc. 73,700 1,764
AK Steel Holding Corp. 155,200 3,279
Agnico-Eagle Mines Ltd. 633,900 3,566
Barrick Gold Corp. 279,400 6,042
Bowater, Inc. 55,800 3,149
Crompton & Knowles Corp. 95,200 2,755
Equitable Resources, Inc. 66,700 2,218
Longview Fibre Co. 101,100 1,573
National Steel Corp., Class B 147,600 2,528
P.H. Glatfelter Co. 72,200 1,304
* RMI Titanium Co. 78,500 1,697
Solutia, Inc. 225,500 6,709
* Steel Dynamics, Inc. 120,000 2,550
* Tetra Technologies, Inc. 201,200 4,980
* Titanium Metals Corp. 53,800 1,459
- ----------------------------------------------------
GROUP TOTAL 45,573
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.4%)
* Blyth Industries, Inc. 388,650 13,263
- ----------------------------------------------------
CONSUMER DURABLES (6.5%)
Arvin Industries, Inc. 160,000 6,550
* Brewer (C) Homes, Inc.,
Class A 121,300 243
Centex Corp. 76,600 2,920
* Essex International, Inc. 99,600 3,934
Excel Industries, Inc. 207,700 4,284
* Furniture Brands
International, Inc. 375,700 12,093
General Cable Corp. 60,600 2,750
* Giant Cement Holdings, Inc. 202,500 5,417
Interface, Inc. 48,700 2,024
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Lear Corp. 84,900 $ 4,786
Lone Star Industries, Inc. 92,200 6,402
Simpson Industries, Inc. 181,000 2,534
* Simpson Manufacturing Co.,
Inc. 44,500 1,813
Southdown, Inc. 59,700 4,160
Superior Telecom Inc. 30,800 1,286
- ----------------------------------------------------
GROUP TOTAL 61,196
- ----------------------------------------------------
CONSUMER SERVICES (4.8%)
* ACNielsen Corp. 73,000 1,930
* Action Performance Cos.,
Inc. 62,700 2,206
* Budget Group, Inc. 156,900 5,884
Central Newspapers, Inc.,
Class A 32,200 2,288
FelCor Suite Hotels, Inc. 91,800 3,402
* Jacor Communications, Inc. 67,400 3,977
* John Q. Hammons Hotels, Inc. 9,400 74
* Journal Register Co. 167,500 3,497
* Prime Hospitality Corp. 248,500 4,846
Sotheby's Holdings, Inc.,
Class A 105,600 2,455
* TMP Worldwide, Inc. 203,800 6,496
* Valassis Communications,
Inc. 159,900 6,556
* World Color Press, Inc. 59,200 2,057
- ----------------------------------------------------
GROUP TOTAL 45,668
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.3%)
CIT Group, Inc., Class A 172,100 5,615
CMAC Investment Corp. 35,000 2,336
Eaton Vance Corp. 76,200 3,672
EVEREN Capital Corp. 95,400 4,210
* First Alliance Corp. 86,850 1,363
* Franchise Mortgage
Acceptance
Co. LLC 43,400 1,090
H.F. Ahmanson & Co. 49,300 3,821
* Healthcare Financial
Partners, Inc. 30,100 1,426
Imperial Credit Industries,
Inc. 131,100 3,105
Legg Mason, Inc. 18,133 1,075
Morgan Keegan, Inc. 48,400 1,056
* T & W Financial Corp. 31,200 897
* Waddell & Reed Financial,
Inc. 43,800 1,139
- ----------------------------------------------------
GROUP TOTAL 30,805
- ----------------------------------------------------
ENERGY (8.9%)
Apache Corp. 76,500 2,811
* Benton Oil & Gas Co. 101,900 1,127
Camco International, Inc. 106,400 6,437
Coflexip SA 45,000 2,779
Eastern Enterprises 67,000 2,881
Energen Corp. 258,200 5,680
Enron Oil & Gas Co. 107,700 2,470
ENSCO International, Inc. 87,000 2,414
* Global Industries Ltd. 199,000 4,055
* Global Marine, Inc. 84,500 2,091
* HS Resources, Inc. 108,201 1,691
* Input/Output, Inc. 35,000 818
KN Energy, Inc. 140,000 8,269
National Fuel Gas Co. 66,700 3,135
* National-Oilwell, Inc. 239,300 7,852
Noble Affiliates, Inc. 60,700 2,527
* Noble Drilling Corp. 208,100 6,360
* Ocean Energy, Inc. 127,764 3,010
Pioneer Natural Resources Co. 40,000 995
* Stolt Comex Seaway, S.A. 19,400 489
Sun Co., Inc. 54,400 2,224
Transocean Offshore, Inc. 109,000 5,607
* Varco International, Inc. 92,400 2,379
* Veritas DGC, Inc. 41,500 2,098
Vintage Petroleum, Inc. 188,600 3,961
Wicor, Inc 7,100 344
- ----------------------------------------------------
GROUP TOTAL 84,504
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (3.2%)
* Consolidated Cigar Holdings,
Inc. 222,900 3,525
Dimon, Inc. 832,100 13,886
* Fresh Del Monte Produce,
Inc. 366,500 5,635
* General Cigar Holdings, Inc. 276,800 4,238
* Standard Commercial Corp. 177,250 2,825
- ----------------------------------------------------
GROUP TOTAL 30,109
- ----------------------------------------------------
HEALTH CARE (9.2%)
Alpharma, Inc. 215,700 4,678
* AmeriSource Health Corp.,
Class A 22,200 1,335
Angelica Corp. 171,600 3,958
* ARV Assisted Living, Inc. 107,900 1,511
Beckman Instruments, Inc. 93,600 5,364
* Genesis Health Ventures,
Inc. 79,600 2,239
* Guilford Pharmaceuticals,
Inc. 196,200 4,316
* Hologic, Inc. 139,100 3,860
* Lincare Holdings, Inc. 78,100 5,516
* Marquette Medical Systems,
Inc., Class A 92,100 2,556
* Maxicare Health Plans, Inc. 147,200 1,619
* Maxxim Medical, Inc. 111,400 3,196
Mylan Labs, Inc. 79,300 1,824
* NBTY, Inc. 65,500 3,979
* Personnel Group of America,
Inc. 162,000 3,685
* PharMerica, Inc. 353,200 5,254
* Physicians' Specialty Corp. 135,300 1,522
* PSS World Medical, Inc. 264,000 6,204
* Respironics, Inc. 100,498 2,908
* Sterile Recoveries, Inc. 43,500 740
* Transkaryotic Therapies,
Inc. 91,600 2,966
* Trex Medical Corp. 131,800 2,479
* Trigon Healthcare, Inc. 138,000 4,149
* Universal Health Services,
Inc., Class B 81,900 4,730
* Vivus, Inc. 385,200 4,526
* Wellpoint Health Networks,
Inc. 22,600 1,525
- ----------------------------------------------------
GROUP TOTAL 86,639
- ----------------------------------------------------
</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>
HEAVY INDUSTRY/TRANSPORTATION (11.2%)
AAR Corp. 147,300 $ 4,014
* AccuStaff, Inc. 92,600 3,195
* AFC Cable Systems, Inc. 47,400 1,843
Arnold Industries, Inc. 25,000 422
* Atlas Air, Inc. 345,800 11,260
* Aviall, Inc. 174,100 2,611
* Aviation Sales Co. 105,000 4,305
* BE Aerospace, Inc. 97,600 2,745
* CDI Corp. 85,400 3,677
Chart Industries, Inc. 81,000 2,410
Cincinnati Milacron, Inc. 91,100 2,904
Columbus McKinnon Corp. 61,200 1,683
* Data Processing Resources
Corp. 71,100 2,209
* Fiserv, Inc. 41,400 2,624
Flowserve Corp. 185,100 6,039
Greenbrier Cos., Inc. 104,100 1,796
* Halter Marine Group, Inc. 44,000 698
* Hirsch International Corp.,
Class A 75,200 696
* Insurance Auto Auctions,
Inc. 201,500 2,216
JLG Industries, Inc. 21,000 349
Kaydon Corp. 76,400 3,123
Knightsbridge Tankers Ltd. 112,200 3,198
Manitowoc Co. 62,900 2,430
Martin Marietta Materials,
Inc. 41,100 1,775
* Midway Airlines Corp. 29,100 549
* Midwest Express Holdings,
Inc. 45,000 2,205
* OMI Corp. 401,800 3,616
* PST Vans, Inc. 80,800 545
* Philip Services Corp. 613,400 6,402
Select Appointments Holdings
plc ADR 141,800 3,580
* Steelcase Inc. 40,000 1,460
Stewart & Stevenson Services,
Inc. 60,000 1,444
* Swift Transportation Co.,
Inc. 70,500 1,692
Teekay Shipping Corp. 71,000 2,210
Tranz Rail Holdings Ltd. ADR 161,500 1,716
* Triumph Group, Inc. 78,500 3,483
Wabash National Corp. 109,700 3,181
Werner Enterprises, Inc. 229,700 5,857
- ----------------------------------------------------
GROUP TOTAL 106,162
- ----------------------------------------------------
INSURANCE (3.8%)
Allied Life Financial Corp. 120,100 2,620
AmerUs Life Holdings, Inc.,
Class A 100,000 3,237
ESG Re Ltd. 153,000 3,978
Everest Reinsurance Holdings,
Inc. 177,400 7,296
FBL Financial Group, Inc.,
Class A 52,100 2,637
Fremont General Corp. 112,300 6,605
Hartford Life, Inc., Class A 106,600 4,964
Nationwide Financial Services,
Inc., Class A 52,300 2,268
Presidential Life Corp. 100,700 1,907
- ----------------------------------------------------
GROUP TOTAL 35,512
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (7.1%)
Associated Estates Realty
Corp. 94,300 1,969
Avalon Properties, Inc. 51,000 1,479
(+) Canadian Hotel Income
Properties 300,000 1,904
CarrAmerica Realty Corp. 107,500 3,225
Chateau Communities, Inc. 124,008 3,689
Cousins Properties, Inc. 15,400 476
Crescent Real Estate Equities
Co. 121,700 4,381
Duke Realty Investments, Inc. 198,894 4,848
Equity Office Properties Trust 32,100 983
Excel Realty Trust, Inc. 187,400 6,676
Health Care REIT, Inc. 147,850 4,066
Health and Retirement Property
Trust 95,000 1,912
Healthcare Realty Trust, Inc. 102,200 2,887
Home Properties of N.Y., Inc. 251,492 6,979
* Imperial Credit Commercial
Mortgage Investment Corp. 46,800 702
Liberty Property Trust 107,500 2,889
Mack-Cali Realty Corp. 73,100 2,855
Post Properties, Inc. 61,900 2,472
* Security Capital Group,
Inc., Class B 109,600 3,370
Security Capital Industrial
Trust 39,600 1,015
Smith (Charles E.) Residential
Realty, Inc. 150,700 5,011
United Dominion Realty Trust,
Inc. 206,900 3,000
- ----------------------------------------------------
GROUP TOTAL 66,788
- ----------------------------------------------------
RETAIL (7.6%)
* BJ's Wholesale Club, Inc. 163,400 6,373
* Borders Group, Inc. 100,700 3,430
* Brylane, Inc. 103,400 5,797
Cato Corp., Class A 271,200 3,220
Claire's Stores, Inc. 137,100 3,145
* Columbia Sportswear Co. 16,000 338
* CompUSA, Inc. 99,100 2,577
Culp, Inc. 185,700 3,807
* Dan River, Inc. 148,900 2,829
* Dress Barn (The), Inc. 94,600 2,720
* Friendly Ice Cream Corp. 84,900 1,730
* Galey & Lord, Inc. 32,200 741
* Goody's Family Clothing,
Inc. 77,800 3,443
Hughes Supply, Inc. 71,400 2,584
* I. C. Isaacs & Co., Inc. 67,600 473
* Office Depot, Inc. 193,800 6,032
Pier 1 Imports, Inc. 148,850 4,037
* Polo Ralph Lauren Corp. 159,500 4,795
Ross Stores, Inc. 52,700 2,325
Russ Berrie & Co., Inc. 91,300 2,767
* Stage Stores, Inc. 58,900 3,041
* Zale Corp. 187,200 5,405
- ----------------------------------------------------
GROUP TOTAL 71,609
- ----------------------------------------------------
TECHNOLOGY (11.9%)
* Acclaim Entertainment, Inc. 1,357,400 8,993
* Aspen Technology, Inc. 5,300 219
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Avant! Corp. 79,908 $ 1,668
* Avid Technology, Inc. 107,600 4,425
* Box Hill Systems Corp. 44,400 569
* Cherry Corp., Class A 143,700 2,587
* CHS Electronics, Inc. 259,000 4,856
* Citrix Systems, Inc. 47,400 2,569
* Computer Horizons Corp. 49,500 2,487
* Computer Products, Inc. 59,300 1,383
* Compuware Corp. 50,900 2,513
* Comverse Technology, Inc. 270,660 13,229
* Creative Technology Ltd. 66,500 1,496
* Dionex Corp. 25,000 1,394
* Electronic Arts, Inc. 53,800 2,522
* FactSet Research Systems,
Inc. 26,500 947
* General Scanning Inc. 112,900 2,427
* GenRad, Inc. 68,100 2,115
* Glenayre Technologies, Inc. 167,000 2,088
* HMT Technology Corp. 251,600 3,255
* Innova Corp. 118,000 1,829
* Ingram Micro, Inc., Class A 46,500 1,726
* Network Associates, Inc. 173,500 11,494
* P-Com, Inc. 142,000 2,840
* PairGain Technologies, Inc. 39,600 950
Penn Engineering &
Manufacturing Corp. 73,900 1,885
* Platinum Technology, Inc. 174,100 4,483
Salient 3 Communications,
Inc., Class A 43,900 505
* Sanmina Corp. 34,200 2,392
* SCI Systems, Inc. 112,700 4,015
* Splash Technology Holdings,
Inc. 132,800 2,224
*@ Sterling Software, Inc.
(Escrow) 6,951 --
* Summit Design, Inc. 175,200 2,606
* Symantec Corp. 157,900 4,253
* Systems & Computer
Technology Corp. 50,900 2,100
* Teradyne, Inc. 118,500 4,747
* USCS International, Inc. 72,500 1,545
* Unit Instruments, Inc. 166,500 1,415
- ----------------------------------------------------
GROUP TOTAL 112,751
- ----------------------------------------------------
UTILITIES (5.4%)
* CalEnergy Co., Inc. 165,200 4,667
* Calpine Corp. 131,300 2,339
Cinergy Corp. 56,500 2,090
Commonwealth Energy Systems 216,200 8,621
Illinova Corp. 158,300 4,779
* LCI International Inc. 41,364 1,593
Minnesota Power & Light Co. 58,300 2,478
* Mobile Telecommunication
Technologies Corp. 91,000 2,036
New Century Energies, Inc. 46,100 2,322
New York State Electric & Gas
Corp. 78,400 3,126
* Paging Network, Inc. 188,700 2,901
Public Service Co. of New
Mexico 165,900 4,054
Rochester Gas & Electric Corp. 43,700 1,420
* SmarTalk Teleservices, Inc. 73,900 2,360
Teco Energy Inc. 207,500 5,862
- ----------------------------------------------------
GROUP TOTAL 50,648
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $732,683) 900,843
- ----------------------------------------------------
RIGHTS (0.1%)
- ----------------------------------------------------
* Coast Federal Litigation
Contingent Payment Rights
Trust (Cost $0) 61,000 991
- ----------------------------------------------------
WARRANTS (0.2%)
- ----------------------------------------------------
sec.* Canadian Hotel Income
Properties REIT, expiring
6/25/98
(acquired 9/16/97, Cost
$1,929) 300,000 1,904
- ----------------------------------------------------
CASH EQUIVALENT (4.5%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (4.5%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98,
to be repurchased at
$42,630, collateralized by
various U.S. Government
Obligations, due
4/1/98-11/15/99, valued at
$42,751 (Cost $42,623) $ 42,623 42,623
- ----------------------------------------------------
TOTAL INVESTMENTS (100.2%) (Cost $777,235) 946,361
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
Dividends Receivable 834
Interest Receivable 7
Receivable for Investments Sold 12,549
Receivable for Fund Shares Sold 387
Other Assets 30
Payable for Investments Purchased (13,171)
Payable for Fund Shares Redeemed (663)
Payable for Investment Advisory Fees (1,649)
Payable for Administrative Fees (63)
Payable for Trustees' Deferred
Compensation Plan-Note F (25)
Other Liabilities (42)
--------
(1,806)
- ----------------------------------------------------
NET ASSETS (100%) $944,555
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 42,187,111 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $944,555
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 22.39
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $705,209
Undistributed Net Investment Income (Loss) (18)
Undistributed Realized Net Gain (Loss) 70,238
Unrealized Appreciation (Depreciation) on
Investment Securities 169,126
- ----------------------------------------------------
NET ASSETS $944,555
- ----------------------------------------------------
sec. Restricted Security-Total market value of restricted
security owned at March 31, 1998 was $1,904 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.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Equity Portfolio is Miller Anderson & Sherrerd's core
international stock fund, investing in more than 80 different companies from
over 20 countries. MAS focuses on absolute and relative measures of value,
trends in business dynamics and risk control through diversification. MAS
analyzes both short- and long-term economic trends and employs a proprietary
valuation process and liquidity indicators to determine country weightings and
select individual stocks. Exposure to foreign currency is actively managed and
hedged when appropriate.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS INTERNATIONAL EQUITY
---------------------------- MSCI WORLD
INSTITUTIONAL# INVESTMENT< EX-U.S. INDEX
--------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 7.07% 7.01% 5.86%
ONE YEAR 23.82 23.62 19.15
FIVE YEARS 11.99 11.90 12.13
SINCE INCEPTION 9.81 9.77 5.64
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
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.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* The International Equity Portfolio commenced operations on 11/25/88. Total
returns are compared to the Morgan Stanley Capital International World Ex-U.S.
Index, an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (91.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
ARGENTINA (1.3%)
* Banco Rio de La Plata SA ADR 297,900 $ 3,724
YPF SA ADR 117,000 3,978
- -----------------------------------------------------
GROUP TOTAL 7,702
- -----------------------------------------------------
AUSTRALIA (2.2%)
Foodland Associated Ltd. 313,375 2,347
National Australia Bank Ltd. 391,900 5,574
Reinsurance Australia Corp.,
Ltd. 1,767,571 4,722
- -----------------------------------------------------
GROUP TOTAL 12,643
- -----------------------------------------------------
AUSTRIA (1.7%)
OMV AG 75,259 9,704
- -----------------------------------------------------
CANADA (4.5%)
Canadian National Railway Co. 85,000 5,463
National Bank of Canada 343,200 6,438
Quebecor, Inc., Class B 330,300 6,871
TransCanada Pipelines Ltd. 324,300 7,650
- -----------------------------------------------------
GROUP TOTAL 26,422
- -----------------------------------------------------
FRANCE (11.7%)
* Dexia France 65,059 8,720
Elf Aquitaine 93,000 12,194
Groupe Danone 40,740 9,841
Lafarge SA 120,900 10,288
Lagardere S.C.A. 128,000 5,167
Rhone-Poulenc 221,710 11,274
Scor 193,110 11,070
- -----------------------------------------------------
GROUP TOTAL 68,554
- -----------------------------------------------------
GERMANY (7.6%)
Deutsche Bank AG 91,260 6,843
Deutsche Lufthansa AG 563,470 11,855
Deutsche Telekom AG 248,850 5,444
Henkel KGaA 118,560 8,541
RWE AG 93,000 5,017
Springer (Axel) Verlag AG 7,956 6,842
- -----------------------------------------------------
GROUP TOTAL 44,542
- -----------------------------------------------------
GREECE (1.0%)
Hellenic Telecommunication
Organization SA 112,000 2,806
* National Bank of Greece SA 26,620 2,917
- -----------------------------------------------------
GROUP TOTAL 5,723
- -----------------------------------------------------
HONG KONG (2.1%)
HSBC Holdings plc 81,200 2,484
Jardine Matheson Holdings Ltd. 431,000 1,957
Jardine Strategic Holdings
Ltd. 1,092,500 2,993
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
New World Development Co.,
Ltd. 695,000 $ 2,453
Wharf (Holdings) Ltd. 1,334,000 2,617
- -----------------------------------------------------
GROUP TOTAL 12,504
- -----------------------------------------------------
INDIA (0.0%)
Housing Development Finance
Corp., Ltd. 10 1
ITC Ltd. 800 14
Tata Power Supply Co., Ltd. 200 1
- -----------------------------------------------------
GROUP TOTAL 16
- -----------------------------------------------------
INDONESIA (0.4%)
* Gulf Indonesia Resources
Ltd. 125,500 2,259
- -----------------------------------------------------
ITALY (7.8%)
* Banca di Roma 5,484,000 9,256
ENI S.p.A. 1,316,500 8,974
Pirelli S.p.A. 3,468,000 13,305
Telecom Italia S.p.A. 2,314,820 14,191
- -----------------------------------------------------
GROUP TOTAL 45,726
- -----------------------------------------------------
JAPAN (10.9%)
Bridgestone Corp. 405,000 9,176
Fuji Electric Co., Ltd. 1,081,000 3,706
Hirose Electric Co., Ltd. 90,600 4,513
Matsushita Electric Industrial
Co., Ltd. 92,000 1,477
Mitsui Fudosan Co., Ltd. 139,000 1,324
Nintendo Corp., Ltd. 84,000 7,247
Nippon Telegraph & Telephone
Corp. 647 5,388
Nissan Motor Co., Ltd. 1,211,000 4,633
Promise Co., Ltd. 107,000 5,547
Sony Corp. 80,000 6,782
Takefuji Corp. 92,300 4,362
TDK Corp. 52,000 4,018
Tokio Marine & Fire Insurance 492,000 5,499
- -----------------------------------------------------
GROUP TOTAL 63,672
- -----------------------------------------------------
MEXICO (2.1%)
ALFA SA de C.V., Class A 598,000 3,378
* Banacci SA de C.V., Class B 1,171,000 2,977
* Cemex SA de C.V., Class B 682,300 3,689
*@ Grupo Financiero Capital SA 761,325 --
* Tubos de Acero de Mexico SA 133,000 2,491
- -----------------------------------------------------
GROUP TOTAL 12,535
- -----------------------------------------------------
NETHERLANDS (4.5%)
ING Groep N.V. 234,355 13,300
Philips Electronics N.V. 177,500 13,028
- -----------------------------------------------------
GROUP TOTAL 26,328
- -----------------------------------------------------
NORWAY (2.0%)
Christiania Bank OG
Kreditkasse 2,733,700 11,618
- -----------------------------------------------------
RUSSIA (0.7%)
Lukoil Holding ADR 58,800 4,133
- -----------------------------------------------------
SINGAPORE (1.0%)
* Creative Technology Ltd. 257,100 5,785
- -----------------------------------------------------
SPAIN (1.8%)
Telefonica de Espana 238,000 10,498
- -----------------------------------------------------
SWEDEN (7.8%)
Astra AB, Class A 399,000 8,241
* Nordbanken Holding AB 1,916,600 12,715
Pharmacia & Upjohn,
Inc.-Depository Shares 199,800 8,628
Sparbanken Sverige AB, Class A 484,100 15,967
- -----------------------------------------------------
GROUP TOTAL 45,551
- -----------------------------------------------------
SWITZERLAND (1.2%)
* Swissair AG (Registered) 5,185 7,246
- -----------------------------------------------------
UNITED KINGDOM (19.4%)
Bank of Scotland 849,400 10,055
Burmah Castrol plc 561,700 11,463
FKI plc 1,214,000 4,129
Imperial Tobacco Group plc 1,458,800 10,730
LucasVarity plc 2,576,700 10,426
National Westminster Bank plc 528,800 9,684
Pilkington plc 4,372,250 8,864
Rank Group plc 1,417,310 9,576
Sainsbury (J.) plc 1,268,592 10,909
Somerfield plc 621,000 3,725
Sun Alliance Insurance Group
plc 766,342 9,771
Tomkins plc 2,403,455 14,648
- -----------------------------------------------------
GROUP TOTAL 113,980
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $431,032) 537,141
- -----------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.7%)
- -----------------------------------------------------
JAPAN (0.7%)
Sanwa International Finance
Bermuda Trust, 1.25% (Cost
$4,222) 180 3,975
- -----------------------------------------------------
PREFERRED STOCKS (1.4%)
- -----------------------------------------------------
BRAZIL (1.4%)
Eletrobras, Class B 68,600,000 3,391
Telesp 15,640,000 5,076
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $8,091) 8,467
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -------------------------------------------------------------
<S> <C> <C>
RIGHTS (0.0%)
- -------------------------------------------------------------
FRANCE (0.0%)
* Lafarge SA, expiring 4/8/98
(Cost $0) 120,900 $ 158
- -------------------------------------------------------------
FOREIGN CURRENCY (6.3%)
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
------------
<S> <C> <C> <C>
Australian Dollar AUD 248 164
!! British Pound GBP 12,468 20,890
Canadian Dollar CAD 19 14
@ Italian Lira ITL 42 --
Japanese Yen JPY 2,121,497 15,915
Netherlands Guilder NLG 266 128
@ Norwegian Krone NOK 1 --
Singapore Dollar SGD 6 3
@ South Korean Won KRW 60 --
- --------------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $37,560) 37,114
- --------------------------------------------------------------
CASH EQUIVALENTS (17.5%)
- --------------------------------------------------------------
Short-term Investments
Held as Collateral for Loaned
Securities (16.9%) $99,026 99,026
- --------------------------------------------------------------
REPURCHASE AGREEMENT (0.6%)
Chase Securities, Inc.
5.75%, dated 3/31/98 due 4/1/98, to be
repurchased at $3,645, collateralized by
various U.S. Government Obligations, due
4/1/98-11/15/99, valued at $3,655
(Cost $3,644) 3,644 3,644
- --------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $102,670) 102,670
- --------------------------------------------------------------
TOTAL INVESTMENTS (117.6%) (Cost $583,575) 689,525
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-17.6%)
Foreign Currency Held as Collateral on Futures
Contracts (Cost $3,144) $ 3,144
Dividends Receivable 970
Interest Receivable 1
Receivable for Withholding Tax Reclaim 237
Receivable for Investments Sold 2,374
Receivable for Fund Shares Sold 342
Other Assets 65
Payable for Investments Purchased (8,563)
Payable for Fund Shares Redeemed (557)
Payable for Investment Advisory Fees (717)
Payable for Administrative Fees (39)
Accrued Foreign Capital Gains Tax (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (26)
Payable to Custodian (1,476)
Unrealized Loss on Forward Foreign Currency
Contracts (1)
Unrealized Loss on Futures Contracts (245)
Collateral on Securities Loaned, at Value (99,026)
--------
(103,518)
- ---------------------------------------------------------
NET ASSETS (100%) $586,007
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 38,682,123 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $585,313
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.13
- ---------------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 45,953 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 694
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.10
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $434,475
Undistributed Net Investment Income (Loss) 880
Undistributed Realized Net Gain (Loss) 45,007
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign Capital
Gains Tax of $1) 106,395
Foreign Currency Transactions (505)
Futures (245)
- ---------------------------------------------------------
NET ASSETS $586,007
- ---------------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
!! A portion of these securities or currency 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.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Growth Portfolio invests in the common stock of small- and
medium-sized companies with superior long-term earnings-growth potential and
rising earnings estimates. MAS's four-part process combines quantitative,
fundamental, and valuation analysis with a strict sell discipline. A
quantitative screen sorts the stocks in each sector based on estimate revision.
MAS then conducts fundamental research on purchase candidates, seeking strong
sales growth, rising profit margins, and high returns on capital. Qualitative
measures, including management quality and strategic positioning, are also
reviewed. This fundamental analysis is coupled with valuation analysis to weed
out the most overvalued securities. Holdings are sold when
earnings-estimate-revisions deteriorate, when our fundamental research uncovers
unfavorable trends, or when their valuations exceed the level that we believe is
reasonable given their growth prospects.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS MID CAP GROWTH
-------------------------- S&P MIDCAP
INSTITUTIONAL# ADVISER@ 400 INDEX
------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 21.99% 21.87% 11.94%
ONE YEAR 77.26 76.85 49.01
FIVE YEARS 24.25 24.19 19.51
SINCE INCEPTION 22.99 22.96 19.43
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
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.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
* The Mid Cap Growth Portfolio commenced operations on 3/30/90. Total returns
are compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (94.7%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (2.7%)
* Concord EFS, Inc. 231,600 $ 8,005
State Street Corp. 101,600 6,915
- ----------------------------------------------------
GROUP TOTAL 14,920
- ----------------------------------------------------
BASIC RESOURCES (1.5%)
* EarthShell Corp. 87,700 1,568
* Sealed Air Corp. 97,100 6,360
- ----------------------------------------------------
GROUP TOTAL 7,928
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.5%)
* Beringer Wine Estates
Holdings, Inc., Class B 99,200 5,121
Estee Lauder Cos., Class A 129,800 8,810
- ----------------------------------------------------
GROUP TOTAL 13,931
- ----------------------------------------------------
CONSUMER DURABLES (1.0%)
Danaher Corp. 73,550 5,585
- ----------------------------------------------------
CONSUMER SERVICES (18.3%)
* AMF Bowling, Inc. 204,100 5,230
* At Home Corp., Series A 178,350 6,030
* Cablevision Systems Corp.,
Class A 75,600 4,971
* Cinar Films, Inc., Class B 147,600 6,291
Comcast Corp., Class A Special 146,097 5,159
* Heftel Broadcasting Corp.,
Class A 98,500 4,408
* Imax Corp. 247,800 7,031
* Jacor Communications, Inc. 122,800 7,245
* Metro-Goldwyn-Mayer, Inc. 169,900 3,802
* Outdoor Systems, Inc. 240,375 8,428
Premier Parks, Inc. 138,800 8,051
* Princeton Video Image, Inc. 133,700 1,086
Stewart Enterprises, Inc.,
Class A 82,400 4,584
* Tele-Communications, Inc.,
Class A 168,599 5,242
* Tele-Communications
International, Inc., Class A 191,900 3,862
* Tele-Communications Liberty
Media Group, Class A 292,116 10,041
* Tele-Communications TCI
Ventures Group, Class A 362,802 6,372
* Univision Communications,
Inc., Class A 84,100 3,133
- ----------------------------------------------------
GROUP TOTAL 100,966
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/ INVESTMENT COMPANIES (4.3%)
A.G. Edwards, Inc. 81,400 $ 3,561
FINOVA Group, Inc. 115,600 6,806
Franklin Resources, Inc. 94,600 5,014
Sirrom Capital Corp. 271,700 8,168
- ----------------------------------------------------
GROUP TOTAL 23,549
- ----------------------------------------------------
ENERGY (2.2%)
Diamond Offshore Drilling, Inc. 91,700 4,161
* Global Industries Ltd. 198,500 4,044
* J. Ray McDermott, S.A. 87,500 3,686
- ----------------------------------------------------
GROUP TOTAL 11,891
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.5%)
* Nutraceutical International
Corp. 160,900 3,540
* Rexall Sundown, Inc. 141,100 4,806
- ----------------------------------------------------
GROUP TOTAL 8,346
- ----------------------------------------------------
HEALTH CARE (12.4%)
HBO & Co. 145,600 8,791
* Health Management Associates,
Inc., Class A 570,450 16,329
* Lincare Holdings, Inc. 244,200 17,247
* Orthodontic Centers of
America, Inc. 350,800 7,608
* Pediatrix Medical Group, Inc. 78,400 3,646
* Province Healthcare Co. 121,300 3,184
Shire Pharmaceuticals Group plc
ADR 70,200 1,505
* Sunrise Assisted Living, Inc. 126,600 5,665
* Total Renal Care Holdings,
Inc. 122,366 4,076
- ----------------------------------------------------
GROUP TOTAL 68,051
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.6%)
* Allied Waste Industries, Inc. 276,000 6,891
* American Disposal Services,
Inc. 84,100 3,175
* Atlas Air, Inc. 115,400 3,758
Cintas Corp. 144,000 7,452
* Fiserv, Inc. 142,450 9,028
* Loral Space & Communications
Ltd. 304,100 8,496
ONIX Systems, Inc. 186,900 2,710
* United Rentals, Inc. 241,300 6,274
* USA Waste Services, Inc. 118,800 5,294
- ----------------------------------------------------
GROUP TOTAL 53,078
- ----------------------------------------------------
INSURANCE (0.9%)
* Healthcare Recoveries, Inc. 221,600 5,152
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.8%)
* Security Capital Group, Inc.,
Class B 68,400 2,104
Security Capital Industrial
Trust 208,864 5,352
*(+) Security Capital U.S.
Realty 196,500 2,594
- ----------------------------------------------------
GROUP TOTAL 10,050
- ----------------------------------------------------
RETAIL (7.7%)
* Borders Group, Inc. 241,200 8,216
* Brylane, Inc. 87,600 4,911
* CompUSA, Inc. 149,900 3,898
CVS Corp. 103,500 7,814
* Dollar Tree Stores, Inc. 73,400 3,899
* Friendly Ice Cream Corp. 176,500 3,596
* Hibbett Sporting Goods, Inc. 106,600 2,958
* Polo Ralph Lauren Corp. 126,500 3,803
* Stage Stores, Inc. 66,600 3,438
- ----------------------------------------------------
GROUP TOTAL 42,533
- ----------------------------------------------------
TECHNOLOGY (19.0%)
* Accelr8 Technology Corp. 139,200 2,245
* Advanced Fibre
Communications, Inc. 142,100 5,169
* BMC Software, Inc. 121,300 10,166
* CIENA Corp. 80,300 3,423
* Complete Business Solutions,
Inc. 253,600 9,098
* Computer Horizons Corp. 161,800 8,130
* Exodus Communications, Inc. 45,400 1,271
* Geac Computer Corp., Ltd. 115,200 4,834
Inter-Tel, Inc. 209,000 5,630
Linear Technology Corp. 58,700 4,050
* MAPICS, Inc. 339,900 6,012
* Micro Focus Group plc ADR 140,900 6,710
* Network Associates, Inc. 125,462 8,312
* Peoplesoft, Inc. 95,800 5,047
* RELTEC Corp. 77,400 2,743
* Sapient Corp. 122,400 5,799
* Tellabs, Inc. 162,700 10,921
* Uniphase Corp. 125,700 5,287
- ----------------------------------------------------
GROUP TOTAL 104,847
- ----------------------------------------------------
UTILITIES (9.3%)
* Cellular Communications
International, Inc. 99,400 6,759
* Globalstar Telecommunications
Ltd. 248,702 15,761
* Intermedia Communications,
Inc. 62,600 4,985
* Level 3 Communications, Inc. 72,800 5,214
* Metromedia Fiber Network,
Inc., Class A 52,100 1,752
* NEXTLINK Communications,
Inc., Class A 130,000 4,176
* Orange plc 527,400 3,363
* Qwest Communications
International, Inc. 130,700 5,081
* Tel-Save Holdings, Inc. 170,400 3,877
- ----------------------------------------------------
GROUP TOTAL 50,968
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $350,484) 521,795
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
CASH EQUIVALENTS (30.0%)
- ----------------------------------------------------
<S> <C> <C>
Short-term Investments
Held as Collateral for
Loaned Securities (24.4%) $134,118 $ 134,118
- ----------------------------------------------------
REPURCHASE AGREEMENT (5.6%)
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased at
$30,923, collateralized by
various U.S. Government
Obligations, due
4/1/98-11/15/99, valued at
$31,010 30,918 30,918
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $165,036) 165,036
- ----------------------------------------------------
TOTAL INVESTMENTS (124.7%) (Cost $515,520) 686,831
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-24.7%)
Dividends Receivable 61
Interest Receivable 5
Receivable for Investments Sold 11,730
Receivable for Fund Shares Sold 3,942
Other Assets 18
Payable for Investments Purchased (16,699)
Payable for Fund Shares Redeemed (287)
Payable for Investment Advisory Fees (583)
Payable for Administrative Fees (35)
Payable for Trustees' Deferred
Compensation Plan-Note F (16)
Payable for Distribution Fees-Adviser
Class (5)
Collateral on Securities Loaned, at Value (134,118)
Other Liabilities (45)
---------
(136,032)
- ----------------------------------------------------
NET ASSETS (100%) $ 550,799
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Value
(000)!
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
<S> <C>
NET ASSETS
Applicable to 23,442,906 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 521,737
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 22.26
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,309,333 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 29,062
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 22.20
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 340,482
Undistributed Net Investment Income
(Loss) (329)
Undistributed Realized Net Gain (Loss) 39,335
Unrealized Appreciation (Depreciation) on
Investment Securities 171,311
- ----------------------------------------------------
NET ASSETS $ 550,799
- ----------------------------------------------------
! 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.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Value Portfolio applies Miller Anderson & Sherrerd's value investing
to medium-sized companies, combining MAS's disciplined valuation process with
the judgment gained through considerable experience in low P/E investing. The
Portfolio keeps sector weights within 5% of the sector weights of the S&P
Mid-Cap 400 Index, with strategic over- and under-weightings assigned to
different economic sectors and industries.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS MID CAP VALUE
---------------------------- S&P MIDCAP
INSTITUTIONAL# INVESTMENT< 400 INDEX
-----------------------------------------
<S> <C> <C> <C>
SIX MONTHS 10.09% 9.96% 11.94%
ONE YEAR 56.04 55.71 49.01
SINCE INCEPTION 39.11 38.93 29.07
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
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.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Mid Cap Value Portfolio commenced operations on 12/30/94. Total returns
are compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (89.2%)
- ----------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (8.7%)
City National Corp. 32,200 $ 1,224
Colonial BancGroup, Inc. 91,000 3,287
Comerica, Inc. 28,400 3,005
Community First Bankshares, Inc. 29,000 1,479
Compass Bancshares, Inc. 14,900 749
Crestar Financial Corp. 25,187 1,489
Cullen/Frost Bankers, Inc. 25,000 1,476
Dime Bancorp, Inc. 77,100 2,318
First American Corp. of Tennessee 15,100 740
First of America Bank Corp. 119 10
* Golden State Bancorp., Inc. 67,000 2,558
Greenpoint Financial Corp. 33,000 1,186
Investors Financial Services
Corp. 12,100 665
Mercantile Bankshares Corp. 34,101 1,234
National Commerce Bancorp. 25,400 1,083
North Fork Bancorp., Inc. 27,700 1,070
Regions Financial Corp. 77,800 3,263
* Silicon Valley Bancshares 11,900 727
Southtrust Corp. 66,100 2,768
Sovereign Bancorp, Inc. 38,520 701
Trans Financial, Inc. 38,900 1,682
Wilmington Trust Corp. 16,300 1,082
- ----------------------------------------------------
GROUP TOTAL 33,796
- ----------------------------------------------------
BASIC RESOURCES (2.6%)
Bowater, Inc. 57,800 3,262
Crompton & Knowles Corp. 46,300 1,340
Lubrizol Corp. 14,900 574
National Steel Corp., Class B 39,500 676
* Owens-Illinois, Inc. 16,500 714
Solutia, Inc. 118,200 3,516
- ----------------------------------------------------
GROUP TOTAL 10,082
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.2%)
Dial Corp. 30,700 735
- ----------------------------------------------------
CONSUMER DURABLES (7.0%)
Arvin Industries, Inc. 19,300 790
Centex Corp. 25,300 965
Dana Corp. 39,700 2,310
D.R. Horton, Inc. 26,800 570
* Essex International, Inc. 99,100 3,914
* Furniture Brands International,
Inc. 49,900 1,606
General Cable Corp. 28,500 1,293
Kaufman & Broad Home Corp. 34,800 1,133
* Knoll, Inc. 81,700 3,151
* Lear Corp. 45,500 2,565
Leggett & Platt, Inc. 17,900 921
Lone Star Industries, Inc. 20,300 1,410
Southdown, Inc. 57,200 3,986
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Tower Automotive, Inc. 29,800 $ 1,341
* USG Corp. 26,400 1,431
- ----------------------------------------------------
GROUP TOTAL 27,386
- ----------------------------------------------------
CONSUMER SERVICES (5.5%)
* Budget Group, Inc. 121,800 4,568
Central Newspapers, Inc., Class A 11,200 796
Hertz Corp., Class A 22,500 1,035
* Jacor Communications, Inc. 30,500 1,799
* Journal Register Co. 52,900 1,104
Media General, Inc., Class A 67,300 3,310
* MGM Grand, Inc. 17,300 593
New York Times Co., Class A 7,000 490
* Valassis Communications, Inc. 102,500 4,203
Viad Corp. 40,200 975
Washington Post Co., Class B 4,500 2,393
- ----------------------------------------------------
GROUP TOTAL 21,266
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (6.9%)
AMBAC, Inc. 28,400 1,660
Associates First Capital Corp. 7,312 578
Bear Stearns Co., Inc. 69,820 3,587
Capital One Financial Corp. 33,400 2,634
* CIT Group, Inc., Class A 47,800 1,559
CMAC Investment Corp. 23,300 1,555
Franklin Resources, Inc. 92,700 4,913
Legg Mason, Inc. 37,600 2,230
Lehman Brothers Holdings, Inc. 25,200 1,887
Providian Financial Corp. 29,300 1,683
Raymond James Financial, Inc. 19,500 849
SLM Holding Corp. 84,700 3,695
- ----------------------------------------------------
GROUP TOTAL 26,830
- ----------------------------------------------------
ENERGY (6.0%)
Columbia Gas System, Inc. 23,300 1,812
* Cooper Cameron Corp. 17,000 1,026
* Dril-Quip, Inc. 8,000 260
ENSCO International, Inc. 41,800 1,160
* Global Industries Ltd. 70,700 1,440
National Fuel Gas Co. 14,400 677
NICOR, Inc. 13,500 570
Noble Affiliates, Inc. 13,400 558
* Noble Drilling Corp. 113,900 3,481
* Ocean Energy, Inc. 93,180 2,195
ONEOK, Inc. 14,785 602
Precision Drilling Corp. 18,900 399
Sun Co., Inc. 12,100 495
Tosco Corp. 25,100 885
Transocean Offshore, Inc. 74,500 3,832
* Valero Energy Corp. 20,700 691
Varco International, Inc. 41,700 1,074
Vintage Petroleum, Inc. 25,600 538
Washington Gas Light Co. 5,400 148
* Weatherford Enterra, Inc. 32,700 1,388
- ----------------------------------------------------
GROUP TOTAL 23,231
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (2.3%)
Dean Foods Co. 24,300 1,223
Dimon, Inc. 27,300 456
* Fresh Del Monte Produce, Inc. 125,200 1,925
Interstate Bakeries Corp. 82,900 2,679
* Keebler Foods Co. 21,900 657
Lancaster Colony Corp. 28,800 1,222
Michael Foods, Inc. 28,400 760
- ----------------------------------------------------
GROUP TOTAL 8,922
- ----------------------------------------------------
HEALTH CARE (6.6%)
Bergen Brunswig Corp., Class A 20,100 857
* Datascope Corp. 40,000 1,040
* HEALTHSOUTH Rehabilitation
Corp. 77,200 2,166
* Lincare Holdings, Inc. 37,700 2,663
* Marquette Medical Systems,
Inc., Class A 30,100 835
Mylan Labs, Inc. 96,100 2,210
* Personnel Group of America,
Inc. 22,400 510
* PharMerica, Inc. 192,400 2,862
* PSS World Medical, Inc. 49,200 1,156
* Respironics, Inc. 117,094 3,388
* Trigon Healthcare, Inc. 171,200 5,147
* Universal Health Services,
Inc., Class B 25,600 1,478
* Watson Pharmaceuticals, Inc. 41,700 1,501
- ----------------------------------------------------
GROUP TOTAL 25,813
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.8%)
* AccuStaff, Inc. 46,000 1,587
Agco Corp. 43,600 1,294
Air Express International Corp. 109,500 2,909
Airborne Freight Corp. 19,600 737
* Atlas Air, Inc. 101,100 3,292
* Aviation Sales Co. 24,100 988
Canadian National Railway Co. 12,800 819
Case Corp. 29,400 2,003
* CDI Corp. 17,300 745
Cincinnati Milacron, Inc. 9,800 312
CNF Transportation, Inc. 63,800 2,293
Comair Holdings, Inc. 26,600 705
Danka Business Systems plc ADR 41,500 763
* DONCASTERS plc ADR 11,200 293
* Fiserv, Inc. 28,600 1,813
* Interim Services, Inc. 47,100 1,590
Lafarge Corp. 16,500 633
Martin Marietta Materials, Inc. 101,800 4,396
Miller (Herman), Inc. 29,800 999
* Philip Services Corp. 161,100 1,681
Precision Castparts Corp. 25,600 1,515
* Select Appointments Holdings
plc ADR 65,700 1,659
* SPS Technologies, Inc. 20,800 1,122
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Steelcase, Inc. 13,300 $ 485
Trinity Industries, Inc. 29,200 1,602
* Triumph Group, Inc. 19,000 843
* USA Waste Services, Inc. 95,400 4,251
Vulcan Materials Co. 7,000 767
- ----------------------------------------------------
GROUP TOTAL 42,096
- ----------------------------------------------------
INSURANCE (3.2%)
Allmerica Financial Corp. 13,700 875
AmerUs Life Holdings, Inc.,
Class A 25,000 809
Capital Re Corp. 27,500 1,767
ESG Re Ltd. 23,900 621
Everest Reinsurance Holdings,
Inc. 12,600 518
Nationwide Financial Services,
Inc., Class A 55,700 2,416
Old Republic International Corp. 35,000 1,551
Reliance Group Holdings, Inc. 33,800 647
ReliaStar Financial Corp. 19,100 880
Stirling Cooke Brown Holdings,
Ltd. 46,600 1,247
Torchmark Corp. 20,800 953
- ----------------------------------------------------
GROUP TOTAL 12,284
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (2.2%)
CarrAmerica Realty Corp. 38,200 1,146
Crescent Real Estate Equities Co. 178,200 6,415
Mack-Cali Realty Corp. 7,800 305
* Security Capital Group, Inc.,
Class B 26,600 818
- ----------------------------------------------------
GROUP TOTAL 8,684
- ----------------------------------------------------
RETAIL (10.7%)
Applebee's International, Inc. 29,100 673
Arbor Drugs, Inc. 39,450 929
* Barnes & Noble, Inc. 9,200 359
* Best Buy Co., Inc. 19,500 1,299
* BJ's Wholesale Club, Inc. 86,000 3,354
* Brinker International, Inc. 66,700 1,459
* Brylane, Inc. 54,100 3,033
* Columbia Sportswear Co. 5,800 122
* CompUSA, Inc. 47,100 1,225
Culp, Inc. 13,600 279
CVS Corp. 20,200 1,525
* Dan River, Inc. 39,800 756
Hughes Supply, Inc. 52,500 1,900
* Office Depot, Inc. 146,400 4,557
Pier 1 Imports, Inc. 34,950 948
* Polo Ralph Lauren Corp. 56,700 1,705
Richfood Holdings, Inc. 49,900 1,597
Ross Stores, Inc. 123,000 5,427
Russ Berrie & Co., Inc. 54,800 1,661
* ShopKo Stores, Inc. 18,700 593
TJX Cos., Inc. 102,800 4,652
V.F. Corp. 32,900 1,729
* Zale Corp. 66,600 1,923
- ----------------------------------------------------
GROUP TOTAL 41,705
- ----------------------------------------------------
TECHNOLOGY (10.1%)
* ADC Telecommunications, Inc. 47,000 1,295
* Altera Corp. 35,300 1,333
* Analog Devices, Inc. 74,200 2,467
* Atmel Corp. 48,000 723
* Avant! Corp. 20,655 431
* BMC Software, Inc. 43,200 3,621
* Cadence Design Systems, Inc. 51,800 1,794
* Computer Products, Inc. 40,700 949
* Electronic Arts, Inc. 59,300 2,783
* HMT Technology Corp. 44,200 572
* Inacom Corp. 6,100 169
* Lexmark International Group,
Inc. 21,500 970
Linear Technology Corp. 36,800 2,539
* Micron Technology, Inc. 58,600 1,703
* Network Associates, Inc. 50,100 3,319
* Platinum Technology, Inc. 59,900 1,542
* Sanmina Corp. 12,000 839
* SCI Systems, Inc. 73,600 2,622
* Storage Technology Corp. 22,800 1,734
* Stratus Computer, Inc. 13,200 582
* Symantec Corp. 194,900 5,250
Tektronix, Inc. 16,650 743
* Teradyne, Inc. 38,000 1,522
- ----------------------------------------------------
GROUP TOTAL 39,502
- ----------------------------------------------------
UTILITIES (6.4%)
Allegheny Energy, Inc. 74,800 2,510
Black Hills Corp. 37,800 876
Century Telephone Enterprises,
Inc. 24,500 1,498
CMS Energy Corp. 28,000 1,314
Florida Progress Corp. 61,300 2,555
IPALCO Enterprises, Inc. 27,800 1,253
Illinova Corp. 46,200 1,395
* LCI International, Inc. 21,400 824
LG&E Energy Corp. 30,800 795
New Century Energies, Inc. 49,900 2,514
New York State Electric &
Gas Corp. 19,400 774
* Nextel Communications, Inc.,
Class A 92,700 3,129
NIPSCO Industries, Inc. 29,800 834
Pinnacle West Capital Corp. 51,700 2,297
Teco Energy, Inc. 87,600 2,475
- ----------------------------------------------------
GROUP TOTAL 25,043
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $293,009) 347,375
- ----------------------------------------------------
UNIT TRUST (0.9%)
- ----------------------------------------------------
S&P Mid-Cap 400 Depositary Receipts
(Cost $3,320) 49,200 3,508
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (7.3%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (7.3%)
Chase Securities, Inc. 5.75%,
dated 3/31/98 due 4/1/98, to be
repurchased at $28,473,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/98, valued at
$28,554
(Cost $28,468) $28,468 $ 28,468
- ----------------------------------------------------
TOTAL INVESTMENTS (97.4%) (Cost $324,797) 379,351
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.6%)
Cash 6
Dividends Receivable 119
Interest Receivable 5
Receivable for Investments Sold 4,325
Receivable for Fund Shares Sold 40,974
Other Assets 6
Payable for Investments Purchased (34,365)
Payable for Fund Shares Redeemed (499)
Payable for Investment Advisory Fees (547)
Payable for Administrative Fees (22)
Payable for Shareholder Servicing Fees-
Investment Class (2)
Payable for Trustee's Deferred
Compensation Plan-Note F (5)
Other Liabilities (21)
--------
9,974
- ----------------------------------------------------
NET ASSETS (100%) $389,325
- ----------------------------------------------------
VALUE
(000)!
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 17,362,051 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $372,006
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.43
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 810,922 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 17,319
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.36
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $318,864
Undistributed Net Investment Income (Loss) 297
Undistributed Realized Net Gain (Loss) 15,610
Unrealized Appreciation (Depreciation) on
Investment Securities 54,554
- ----------------------------------------------------
NET ASSETS $389,325
- ----------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Emerging Markets Value Portfolio invests primarily in common stocks of
emerging markets issuers throughout the world, investing in more than 50 stocks
from more than 20 countries. Miller Anderson & Sherrerd evaluates both short-
term and long-term international economic trends and relative attractiveness of
emerging markets and individual emerging market securities to achieve the
Portfolio's objective of long-term capital growth. Valuation techniques and
business dynamics are emphasized in determining country allocation and stock
selection. Foreign currency exposure is actively managed, but is not often
hedged due to the high cost of hedging transactions.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS EMERGING MSCI EMERGING
MARKETS VALUE MARKETS FREE INDEX
----------------------------------
<S> <C> <C>
SIX MONTHS (12.97)% (13.15)%
ONE YEAR (6.73) (15.27)
SINCE INCEPTION 8.04 0.60
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
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.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Emerging Markets Value Portfolio commenced operations on 2/28/95. Total
returns are compared to the Morgan Stanley Capital International Emerging
Markets Free Index, an unmanaged market index. Returns for periods less than one
year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (83.8%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
ARGENTINA (5.6%)
* Banco Rio de La Plata SA ADR 21,100 $ 264
YPF SA ADR 14,600 496
- ----------------------------------------------------
GROUP TOTAL 760
- ----------------------------------------------------
BRAZIL (5.8%)
* Light Participacoes SA 1,912,000 496
Pao de Acucar GDR 13,000 299
- ----------------------------------------------------
GROUP TOTAL 795
- ----------------------------------------------------
CHILE (2.2%)
Cia de Telecomunicaciones de Chile
SA ADR 3,700 102
Embotelladora Andina SA
Series B ADR 9,700 194
- ----------------------------------------------------
GROUP TOTAL 296
- ----------------------------------------------------
GREECE (6.1%)
Hellenic Telecommunication
Organization SA 16,300 408
* National Bank of Greece SA 3,900 428
- ----------------------------------------------------
GROUP TOTAL 836
- ----------------------------------------------------
HONG KONG (2.2%)
* China Southern Airlines Co.,
Ltd. ADR 13,600 187
* Guangshen Railway Co., Ltd.,
Class H 520,000 119
- ----------------------------------------------------
GROUP TOTAL 306
- ----------------------------------------------------
HUNGARY (3.3%)
* Matav Rt ADR 14,500 451
- ----------------------------------------------------
INDIA (7.5%)
Hindustan Lever Ltd. 50 2
*@ Indian Petrochemicals Corp.,
Ltd. 100 --
ITC Ltd. 1,322 24
Mahanagar Telephone Nigam Ltd. 52,900 352
* Reliance Industries Ltd. 149,640 652
- ----------------------------------------------------
GROUP TOTAL 1,030
- ----------------------------------------------------
INDONESIA (1.8%)
* Gulf Indonesia Resources Ltd. 5,500 99
International Nickel Indonesia 106,500 130
Pabrik Kertas Tjiwi Kimia 62,500 15
- ----------------------------------------------------
GROUP TOTAL 244
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
ISRAEL (7.1%)
Bank Hapoalim Ltd. 75,000 $ 206
Elron Electronic Industries
Ltd. 10,000 165
First International Bank of
Israel Ltd., Class 1 1,600 249
Supersol Ltd. 110,000 356
- ----------------------------------------------------
GROUP TOTAL 976
- ----------------------------------------------------
KOREA (2.4%)
* Hyundai Heavy Industries 5,210 194
SK Telecom Co., Ltd. ADR 17,700 140
- ----------------------------------------------------
GROUP TOTAL 334
- ----------------------------------------------------
MALAYSIA (0.7%)
* Lingkaran Trans Kota Holdings
Bhd 100,000 99
- ----------------------------------------------------
MEXICO (20.3%)
ALFA SA de C.V., Class A 110,000 621
* Banacci SA de C.V., Class B 143,000 364
* Cemex SA de C.V., Class B 104,000 562
* Grupo Posadas SA, Class A 597,000 442
Organizacion Soriana SA de
C.V., Class B 113,000 433
Panamerican Beverages, Inc.,
Class A 8,800 353
- ----------------------------------------------------
GROUP TOTAL 2,775
- ----------------------------------------------------
PHILIPPINES (1.7%)
Philippine Long Distance
Telephone Co. ADR 8,500 237
- ----------------------------------------------------
RUSSIA (2.5%)
Lukoil Holding ADR 4,800 337
- ----------------------------------------------------
SINGAPORE (3.2%)
* Creative Technology Ltd. 19,400 437
- ----------------------------------------------------
SOUTH AFRICA (2.0%)
Lonrho plc 153,000 278
- ----------------------------------------------------
TAIWAN (1.9%)
* Taiwan Semiconductor
Manufacturing Co. ADR 9,800 254
- ----------------------------------------------------
THAILAND (6.2%)
K. R. Precision Public Co.,
Ltd. (Foreign) 124,000 329
* Ruam Pattana Fund II
(Foreign) 830,600 148
* Sub-Thawee Fund (Foreign) 785,400 371
- ----------------------------------------------------
GROUP TOTAL 848
- ----------------------------------------------------
- ----------------------------------------------------
VENEZUELA (1.3%)
CANTV ADR 4,300 180
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $11,253) 11,473
- ----------------------------------------------------
PREFERRED STOCKS (12.5%)
- ----------------------------------------------------
BRAZIL (12.5%)
* Cia Cimento Portland Itau 1,100,000 259
CEMIG 10,241,000 497
Eletrobras, Class B 5,300,000 262
Telesp 1,366,000 444
Votorantim Celulose e Papel SA 11,800,000 249
- ----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,610) 1,711
- ----------------------------------------------------
WARRANTS (0.0%)
- ----------------------------------------------------
INDONESIA (0.0%)
*@ Sinar Mas Multiartha (Foreign),
expiring 11/28/01
(Cost $0) 12,495 --
- ----------------------------------------------------
</TABLE>
FOREIGN CURRENCY (0.6%)
- ----------------------------------------------------
<TABLE>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
Indian Rupee INR 19 1
Indonesian Rupiah IDR 627,356 73
Singapore Dollar SGD 2 1
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $77) 75
- ------------------------------------------------------
CASH EQUIVALENT (3.3%)
- -------------------------------
REPURCHASE AGREEMENT (3.3%)
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased at
$457, collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued at
$458 (Cost $457) $457 457
- ------------------------------------------------------
TOTAL INVESTMENTS (100.2%) (Cost $13,397) 13,716
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-0.2%)
Cash $ 1
Dividends Receivable 29
Receivable for Investments Sold 225
Receivable from Investment Adviser 4
Unrealized Gain on Forward Foreign Currency
Contracts 1
Other Assets 52
Payable for Investments Purchased (294)
Payable for Administrative Fees (1)
Accrued Foreign Capital Gains Tax (22)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (16)
-------
(22)
- -------------------------------------------------------
NET ASSETS (100%) $13,694
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,432,002 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $13,694
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.56
- -------------------------------------------------------
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital 14,408
Undistributed Net Investment Income (Loss) 96
Undistributed Realized Net Gain (Loss) (1,100)
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of Foreign
Capital Gains Tax of $22) 299
Foreign Currency Transactions (9)
- -------------------------------------------------------
NET ASSETS $13,694
- -------------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
ADR American Depositary Receipt
GDR Global Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio is Miller Anderson & Sherrerd's primary fixed-income
fund, investing in all sectors of the bond market. MAS constructs a diversified
fund with a maturity and duration structure reflecting long-term views on
interest rates and inflation. MAS selects investments in U.S. Treasuries,
agencies, corporate bonds, mortgages, foreign and other fixed-income securities
based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS FIXED INCOME
--------------------------------------- SALOMON
INSTITUTIONAL# INVESTMENT< ADVISER@ BROAD INDEX
------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 3.87% 3.87% 3.70% 4.60%
ONE YEAR 11.54 11.45 11.27 11.98
FIVE YEARS 7.93 7.89 7.84 7.00
TEN YEARS 9.68 9.66 9.64 9.00
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
10/15/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/7/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25%
12b-1 Fee applicable to the Adviser Class.
Total returns for the Investment and Adviser Classes of the Portfolio
reflect expenses reimbursed by the Adviser for certain periods. Without such
reimbursements, total returns would have been lower.
* Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (88.4%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (8.6%)
## Government National
Mortgage Association
Various Pools:
6.00%, 7/20/27-12/20/97 Tsy $356,256 $ 361,506
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (10.5%)
Federal Home Loan Mortgage
Corporation
May TBA
6.50%, 5/15/28 Agy 42,800 42,330
Federal National Mortgage
Association
May TBA
6.50%, 8/15/24-5/15/28 Agy 406,450 401,475
- -------------------------------------------------------
GROUP TOTAL 443,805
- -------------------------------------------------------
ASSET BACKED CORPORATES (11.2%)
Advanta Mortgage Loan Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA 12,905 12,919
97-4 A2
6.53%, 9/25/12 AAA 16,809 16,812
Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 189 190
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 8,505 8,691
94-1 C2 CMO
9.35%, 9/15/04 BBB 6,999 7,125
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 28,510 28,688
97-D A3
6.20%, 5/15/03 AAA 15,350 15,381
98-A A3
5.90%, 11/15/02 AAA 18,625 18,567
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 5,458 5,468
CIT Group Home Equity Loan
Trust, Series 97-1 A3
6.25%, 9/15/11 AAA 10,100 10,106
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 12,783 12,783
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATING FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Empire Funding Home Loan
Owner Trust,
Series 97-5 A2
6.59%, 5/25/14 AAA $ 5,850 $ 5,864
(+) Federal Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 6,600 6,721
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 9,590 9,608
97-3 A3
6.57%, 10/10/10 AAA 10,860 10,903
97-4 A2
6.30%, 8/10/09 AAA 11,425 11,416
97-4 A3
6.40%, 8/10/11 AAA 9,875 9,878
98-1 A2
5.97%, 11/10/10 AAA 16,236 16,138
98-1 A3
6.04%, 11/10/13 AAA 10,000 9,910
First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 22,738 22,771
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 28,337 28,405
Green Tree Financial
Corp.,
Series 97-1 A3
6.17%, 9/20/05 AAA 75 75
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 22,546 22,522
97-B A
5.95%, 5/15/03 AAA 17,793 17,798
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 20,000 19,938
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 10,716 10,736
NAL Auto Trust,
Series 96-4 A
6.90%, 12/15/00 N/R 13 13
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 12,000 12,435
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 25,349 25,389
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 11 11
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 4/25/03 AA 23,750 23,809
(+) Securitized Multiple
Asset Rated Trust,
Series:
97-5 A1
7.72%, 6/15/05 A 8,676 8,718
98-1 A1
7.45%, 3/16/06 A 7,991 7,984
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 1,872 1,871
(+) Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 6,500 6,550
97-1A
7.35%, 5/15/03 A- 3,675 3,797
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 17,535 17,541
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA 23,700 23,729
- -------------------------------------------------------
GROUP TOTAL 471,260
- -------------------------------------------------------
ASSET BACKED MORTGAGES (0.8%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 8,875 9,241
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 6,800 7,114
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 119,590 2,860
sec. 96-3 A YMA 10/25/26
(acquired 12/24/96,
cost $222) N/R 119,590 161
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 106,920 2,728
96-4 A11 I YMA
1/15/28 AAA 106,920 154
(+) 96-4 A12 I IO
1.05%, 1/15/28 AAA 28,854 733
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
sec. 96-4 A12 I YMA
1/15/28 (acquired
12/16/96, cost $82) AAA $ 28,854 $ 42
97-1 A10 I IO
1.10%, 3/15/28 AAA 132,158 3,477
(+) 97-1 A10 I YMA
3/15/28 AAA 132,158 185
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 6,667 6,969
- -------------------------------------------------------
GROUP TOTAL 33,664
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.7%)
Federal Home Loan Mortgage
Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy 80 86
92-1398 I Inv Fl REMIC
12.18%, 10/15/07 Agy 2,451 2,991
1415-S Inv Fl IO
18.50%, 11/15/07 Agy 2,770 1,238
1476-S Inv Fl IO
REMIC PAC
4.26%, 2/15/08 Agy 26,386 2,950
1485-S Inv Fl IO REMIC
3.85%, 3/15/08 Agy 24,066 2,183
1600-SA Inv Fl IO REMIC
2.25%, 10/15/08 Agy 53,152 2,945
1709-H PO REMIC
1/15/24 Agy 849 520
1813-K PO REMIC
2/15/24 Agy 840 678
1844-PC PO REMIC
3/15/24 Agy 1,545 1,143
1854-A PO
12/15/23 Agy 150 110
1887-I PO
10/15/22 Agy 910 692
1950-SC Inv Fl IO
2.25%, 10/15/22 Agy 1,540 134
1965-C Inv Fl
5.988%, 2/15/24 Agy 120 120
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl REMIC
28.183%, 9/25/20 Agy 1,187 1,802
92-186 S Inv Fl IO REMIC
3.26%, 10/25/07 Agy 49,193 3,985
93-149 O PO REMIC
8/25/23 Agy 1,731 1,258
93-205 G PO REMIC
9/25/23 Agy 4,330 3,089
93-205 H PO REMIC
9/25/23 Agy 19,244 10,021
93-235 H PO REMIC
9/25/23 Agy 1,592 1,369
96-11 V PO REMIC
9/25/23 Agy 12,004 8,972
96-14 PC PO
12/25/23 Agy 1,460 981
96-37 H PO REMIC
8/25/23 Agy 7,886 6,490
96-46 PB PO REMIC
9/25/23 Agy 1,500 1,127
96-54 O PO
11/25/23 Agy 1,185 817
96-68 SC Inv Fl IO
REMIC
2.35%, 1/25/24 Agy 11,605 1,439
97-3 E PO
12/25/23 Agy 150 114
97-30 Inv Fl IO REMIC
2.25%, 7/25/22 Agy 1,210 106
287 1 PO
12/17/07 Agy 18,364 12,768
G92-53 S Inv Fl IO REMIC
32.344%, 9/25/22 Agy 2,214 1,706
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO REMIC
2.75%, 6/16/26 Tsy 2,076 135
96-13 S Inv Fl IO REMIC
3.40%, 7/16/11 Tsy 730 60
96-17 S Inv Fl IO REMIC
2.80%, 8/16/26 Tsy 883 60
+ Kidder Peabody Mortgage
Assets Trust,
Series:
87-B IO
9.50%, 4/22/18 Aaa 77 20
87-B PO
4/22/18 Aaa 77 60
- -------------------------------------------------------
GROUP TOTAL 72,169
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (4.0%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 6,085 6,446
Capstead Mortgage Corp.
IV,
Series 97-NAM3
7.25%, 10/25/27 AAA 12,662 12,716
Citicorp Mortgage
Securities, Inc.,
Series:
+ 90-7 A7
9.50%, 6/25/05 Baa3 178 178
93-9 A1 REMIC
7.00%, 3/25/20 AAA 20 20
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
sec. First Boston Mortgage
Corp.,
Series 92-4 B1
8.125%, 10/25/22
(acquired 1/25/93-12/9/93,
cost $3,877) A $ 4,085 $ 4,253
+ Headlands Mortgage
Securities, Inc.
Series 97-5 AI5
7.25%, 11/25/27 Aaa 399 401
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired 8/5/92-8/29/97,
cost $3,659) N/R 3,648 3,649
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 2,695 2,902
PNC Mortgage Securities
Corp., Series 96-1 B1
REMIC
7.50%, 6/25/26 AA 137 140
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 458 458
sec.+ 92-33 B1
7.50%, 11/15/22
(acquired 8/29/97,
cost $154) Aa3 161 162
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 11,188 10,971
sec.+ 93-17 B1
6.50%, 3/1/23
(acquired 4/14/93-10/13/94,
cost $6,263) A2 6,549 6,495
(+)++ 94-A 3B3
6.803%, 4/28/24 A 410 401
(+) 94-A 3B5
6.802%, 4/28/24 N/R 11,244 11,001
Residential Accredit Loans,
Inc.,
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 10,386 10,545
97-QS2 A8
7.75%, 3/25/27 AAA 5,500 5,677
97-QS3 A8
7.75%, 4/25/27 AAA 11,890 12,285
97-QS4 A7
7.75%, 5/25/27 AAA 12,905 13,271
97-QS8 A10
7.50%, 8/25/27 AAA 325 331
97-QS13 A7 REMIC
7.25%, 12/25/27 AAA 27,949 28,279
Residential Asset
Securitization Trust
Association,
Series 98-A1 A4 REMIC
6.75%, 3/25/28 AAA 22,800 22,400
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
Residential Funding Mortgage
Securities Co., Inc.,
Series 94-S1 A19
6.75%, 1/25/24 AAA $ 11,452 $ 11,316
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 4,213 4,053
- --------------------------------------------------------------
GROUP TOTAL 168,350
- --------------------------------------------------------------
COMMERCIAL MORTGAGES (9.7%)
+ American Southwest Financial
Securities Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 8,015 8,292
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 38,761 40,314
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 8,000 8,514
96-MD6 A1B
6.88%, 11/13/26 AAA 125 129
+ 96-MD6 A1C
7.04%, 11/13/26 AAA 8,150 8,496
97-D5 A1B
6.66%, 4/14/07 AAA 10,225 10,441
+## 97-D5 PS1 IO
1.563%, 2/14/41 Aaa 94,835 10,221
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 125 135
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 6,200 6,305
1 C
7.527%, 10/15/07 BBB+ 5,408 5,490
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 5,569 6,306
(+) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA 10,925 11,671
DLJ Mortgage Acceptance
Corp.,
Series:
93-MF7 A1
7.40%, 6/18/03 AAA 111 113
(+) 95-CF2 A3
7.05%, 12/17/27 A 3,275 3,330
95-CF2 S2 IO
1.645%, 12/17/27 BBB 47,940 4,189
(+) 96-CF1 A1B
7.58%, 3/13/28 AAA 5,310 5,655
(+) 96-CF2 A1B
7.29%, 11/12/21 AAA 2,305 2,419
(+)++## 96-CF2 S IO
1.641%, 11/21/21 AAA 37,992 3,165
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
(+) 97-CF1 A1B
7.60%, 5/15/30 AAA $ 11,715 $ 12,601
(+) 97-CF1 S IO
1.097%, 5/15/30 AAA 74,455 4,734
Federal National Mortgage
Association,
Series 93-M2 B
2.581%, 11/25/23 Agy 222 8
First Union-Lehman Brothers
Commercial Mortgage Trust,
Series 97-C2 A3
6.65%, 12/18/07 AAA 22,000 22,349
+ GMAC Commercial Mortgage
Securities, Inc.,
Series:
## 96-C1 X2 IO
1.917%, 3/15/21 Aaa 34,515 2,895
97-C1 A2
6.853%, 9/15/06 Aaa 14,885 15,277
97-C2 A3
6.566%, 11/15/07 Aaa 17,000 17,185
## 97-C2 X IO
1.273%, 4/15/27 Aaa 158,662 12,053
+ GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 15,630 16,229
## 97-GL X2 IO
0.930%, 7/13/30 Aaa 37,330 1,929
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 14,865 15,615
(+) Lakeside Finance Corp.
6.47%, 12/15/00 AA 145 146
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 9,602 10,056
98-C1 IO
1.199%, 2/18/28 Aaa 167,600 11,209
Lehman Large Loan,
Series 97-LLI A2
6.84%, 9/12/06 AAA 16,650 17,108
Merrill Lynch Mortgage
Investors, Inc.,
Series:
95-C1 IO
2.185%, 5/25/15 N/R 1,409 68
96-C1 A3
7.42%, 4/25/28 AAA 11,415 11,961
96-C2 A2
6.82%, 11/21/28 AAA 3,825 3,912
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
++## 96-C2 IO
1.538%, 11/21/28 AAA $ 39,429 $ 3,322
+ Midland Realty Acceptance
Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 6,805 7,116
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 11,100 11,357
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 17,649 18,496
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 21,225 21,515
Nomura Asset
Securities Corp.,
Series:
++ 94-MD1 A1B
7.526%, 3/15/18 AAA 255 260
++## 94-MD1 A2
7.671%, 3/15/18 AA 65 67
94-MD1 A3
8.026%, 3/15/18 N/R 4,314 4,544
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 11,764 12,407
(+) Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 4,834 4,893
+ Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 7,900 8,191
Sawgrass Financial LLC,
Series 93-1 A
6.45%, 1/20/06 AAA 155 156
++## Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.431%, 2/25/28 AAA 51,568 1,209
96-CFL X1 IO
1.42%, 2/25/28 AAA 56,550 3,046
96-CFL X2 IO
1.225%, 2/25/28 AAA 14,664 408
+ Town & Country
Funding Corp.,
Series A
5.85%, 8/15/98 Aa2 1,545 1,542
- --------------------------------------------------------------
GROUP TOTAL 409,049
- --------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.5%)
(+) ESI Tractebel
Acquisition Corp.
7.99%, 12/30/11 BB $ 5,320 $ 5,272
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 7,200 7,462
Mobile Energy Services
8.665%, 1/1/17 BBB- 9,046 9,674
- -------------------------------------------------------
GROUP TOTAL 22,408
- -------------------------------------------------------
FINANCE (8.3%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 10,840 11,616
BankAmerica Capital Corp.
Series 2
8.00%, 12/15/26 A 60 64
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 22,935 24,433
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 20,850 21,631
+ Boeing Capital Services
Corp., Series B
6.53%, 5/4/98 Baa2 275 275
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 15,262 15,655
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 15,620 18,075
(+) First Chicago
NBD Corp.,
Series A
7.95%, 12/1/26 A- 20,250 21,238
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 23,830 25,272
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 8,600 8,938
(+) Florida Windstorm
6.70%, 8/25/04 A- 19,430 19,559
J.P. Morgan Capital
Trust I
7.54%, 1/15/27 AA- 4,835 4,908
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 14,470 14,402
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 14,235 14,248
NB Capital Trust
8.25%, 4/15/27 A- 7,765 8,498
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 6,105 6,180
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 17,540 18,375
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Prime Property
Funding II
6.80%, 8/15/02 A $ 6,435 $ 6,498
7.00%, 8/15/04 A 6,945 7,044
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 4,880 5,446
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 9,800 10,424
B
8.035%, 3/15/27 A 10,750 11,531
Washington Mutual Capital
8.375%, 6/1/27 BBB- 7,240 7,811
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 9,680 10,276
Wells Fargo Capital,
Series:
(+) A
8.125%, 12/1/26 BBB 17,050 18,063
B
7.95%, 12/1/26 BBB+ 1,900 1,981
I
7.96%, 12/15/26 BBB+ 3,870 4,059
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,614 10,906
96 WFP-D
6.95%, 9/1/13 AA- 21,505 22,217
- -------------------------------------------------------
GROUP TOTAL 349,623
- -------------------------------------------------------
FOREIGN GOVERNMENTS (1.4%)
Government of Germany
7.375%, 12/2/02 AAA DEM97,900 59,169
- -------------------------------------------------------
INDUSTRIALS (3.8%)
American Standard Cos.
7.375%, 2/1/08 BB- $ 10,515 10,340
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 9,545 8,671
9.00%, 12/15/14 BBB 6,165 6,441
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 10,386 9,658
93-K1 A2
7.43%, 8/15/18 BB 260 229
94-K1 A1
7.60%, 8/15/07 BB 7,076 6,966
94-K2 A2
9.35%, 8/15/19 BB 3,890 4,038
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 23,755 23,799
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 7,945 8,204
</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>
News America Holdings
7.75%, 2/1/24 BBB- $ 85 $ 89
8.875%, 4/26/23 BBB- 11,875 13,933
(+) Oxymar
7.50%, 2/15/16 BBB 5,785 5,886
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 23,742 24,419
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 2,790 2,749
7.00%, 7/15/05 A 6,815 6,975
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 7,955 8,780
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 6,854 7,163
Southland Corp.
5.00%, 12/15/03 BB+ 16,080 14,070
- -------------------------------------------------------
GROUP TOTAL 162,410
- -------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Bank of America, Series A
8.375%, 5/1/07 AAA 377 382
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02 (acquired
6/22/94, cost $222) N/R 234 237
sec.## Magnolia Federal
Bank,
Series 84-2
9.12%, 10/1/07
(acquired 5/1/87, cost
$745) N/R 792 813
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA 3,869 3,868
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 4,364 4,231
- -------------------------------------------------------
GROUP TOTAL 9,531
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-AGENCY COLLATERAL
SERIES (1.3%)
Federal National Mortgage
Association,
Series:
96-27 A PO REMIC
10/25/23 Agy 155 81
249 1 PO
10/25/23 Agy 37,257 26,109
260 1 PO
4/1/24 Agy 5,831 4,505
282 1 PO
9/1/25 Agy 25,879 19,083
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA $ 59 $ 14
Government National
Mortgage Association,
Various Pools:
1.00%, 11/20/05 Tsy 135,238 3,146
- -------------------------------------------------------
GROUP TOTAL 52,938
- -------------------------------------------------------
TELEPHONES (1.2%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 11,800 12,154
(+) Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ 6,595 6,611
(+)# Qwest Communications,
Inc.
0.00%, 2/1/08 B+ 18,465 13,018
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B+ 24,525 21,092
- -------------------------------------------------------
GROUP TOTAL 52,875
- -------------------------------------------------------
TRANSPORTATION (0.6%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 12,525 12,515
(+) Jet Equipment Trust,
Series:
94-A A11
10.00%, 6/15/12 A+ 275 348
95-C
10.69%, 5/1/15 BBB 8,445 10,989
- -------------------------------------------------------
GROUP TOTAL 23,852
- -------------------------------------------------------
U.S. TREASURY SECURITIES (16.6%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 123,930 120,135
3.625%, 7/15/02
(Inflation Indexed) Tsy 76,059 75,274
3.625%, 1/15/08
(Inflation Indexed) Tsy 88,125 87,079
5.625%, 2/28/01 Tsy 3,000 2,999
6.25%, 4/30/01 Tsy 140,000 142,362
6.375%, 3/31/01 Tsy 18,500 18,864
!! 7.125%, 2/29/00 Tsy 246,500 253,239
- -------------------------------------------------------
GROUP TOTAL 699,952
- -------------------------------------------------------
UTILITIES (0.7%)
CalEnergy Co., Inc.
7.63%, 10/15/07 BB+ 14,055 14,039
CMS Energy Corp,
Series B
7.375%, 11/15/00 BB 8,455 8,544
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
(CONT'D)
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Edison Mission Energy
Funding Corp.,
Series B
7.33%, 9/15/08 BBB $ 7,225 $ 7,496
- -------------------------------------------------------
GROUP TOTAL 30,079
- -------------------------------------------------------
YANKEE (7.3%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 18,478 18,524
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 15,660 14,042
(+) Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 11,675 11,575
Grupo Minero Mexicano SA
de CV, Series A
8.25%, 4/1/08 BB 11,310 11,222
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 10,670 9,811
(+) Hyundai Semiconductor
America
8.25%, 5/15/04 BB 2,755 2,257
8.625%, 5/15/07 BB 10,120 8,081
(+) Israel Electric Corp.,
Ltd.
7.25%, 12/15/06 A- 3,090 3,146
7.75%, 12/15/27 A- 19,150 19,436
Korea Development Bank
7.375%, 9/17/04 BB+ 18,520 16,801
National Power Corp.
7.875%, 12/15/06 BB+ 11,240 10,224
8.40%, 12/15/16 BB+ 8,315 7,234
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 17,775 17,794
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 11,245 5,398
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 20,265 18,867
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 17,415 18,244
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 23,015 23,828
(+) Reliance Industries
Ltd.
8.25%, 1/15/27 BB+ 1,890 1,765
9.375%, 6/24/26 BB+ 2,965 2,976
## Republic of Argentina
5.00%, 3/31/23 BB 16,320 12,475
# Republic of Argentina
Par, Series L
5.75%, 3/31/23 BB 14,755 11,278
Republic of Colombia
8.70%, 2/15/16 BBB- 19,215 18,802
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ $ 7,560 $ 8,467
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 5,370 5,397
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 9,060 8,124
United Mexican States Par
Bond, Series:
A
6.25%, 12/31/19 BB 15,725 13,298
B
6.25%, 12/31/19 BB 10,975 9,281
- -------------------------------------------------------
GROUP TOTAL 308,347
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$3,691,502) 3,730,987
- -------------------------------------------------------
PREFERRED STOCKS (1.8%)
- -------------------------------------------------------
SHARES
------
<S> <C> <C> <C>
INDUSTRIALS (0.3%)
(+) Entertainment
Properties,
14.253% BBB- 10,200 9,500
Tier One Properties,
11.095% A 4,650 4,480
- -------------------------------------------------------
GROUP TOTAL 13,980
- -------------------------------------------------------
MORTGAGE-OTHER (1.5%)
(+)+ Home Ownership
Funding Corp.
13.331% Aaa 63,925 61,311
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $78,937) 75,291
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
MISC-INDUSTRIALS (0.0%)
*@ United Mexican States
Recovery Rights,
expiring 6/30/03 (Cost
$0) N/R 10,975,000 --
- -------------------------------------------------------
INTEREST RATE CAPS (0.0%)-SEE NOTE A6
- -------------------------------------------------------
FACE
AMOUNT
(000)
--------
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. A- $ 2,800 3
</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>
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. AA- $778,400 $ 724
- -------------------------------------------------------
TOTAL INTEREST RATE CAPS (Premium Paid $3,302) 727
- -------------------------------------------------------
CASH EQUIVALENTS (23.6%)
- -------------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities (3.6%) 153,736 153,736
- -------------------------------------------------------
CASH INVESTMENTS-MORTGAGE (14.9%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
9.50%, 10/1/16 Agy 1,593 1,735
10.00%, 10/1/10-11/1/20 Agy 28,600 31,489
10.50%, 9/1/10-10/1/20 Agy 3,569 3,928
11.00%, 5/1/11-9/1/20 Agy 5,348 6,029
11.25%, 10/1/11-12/1/15 Agy 1,591 1,795
11.50%, 1/1/11-12/1/15 Agy 152 173
11.75%, 4/1/19 Agy 148 168
12.00%, 2/1/15 Agy 26 30
12.50%, 8/1/13 Agy 19 22
13.00%, 6/1/19 Agy 50 58
14.75%, 3/1/10 Agy 31 36
Gold Pools:
9.50%, 10/1/17-12/1/22 Agy 14,638 16,056
10.00%, 6/1/17-3/1/21 Agy 9,006 9,991
10.50%, 8/1/19-4/1/21 Agy 1,677 1,873
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 4,578 4,601
## 1933-FO REMIC
6.50%, 3/15/25 Agy 8,003 8,042
## 2040-FC
5.975%, 2/15/23 Agy 22,350 22,408
Federal National
Mortgage Association
Conventional Pools;
9.00%, 12/1/08-1/1/22 Agy 35,431 38,143
9.50%, 7/1/16-12/1/26 Agy 12,323 13,470
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
10.00%, 10/1/07-1/1/27 Agy $ 20,896 $ 23,145
10.50%, 6/1/10-11/1/20 Agy 6,705 7,561
10.75%, 2/1/11 Agy 43 48
11.00%, 1/1/16-11/1/20 Agy 4,976 5,626
11.50%, 1/1/13-2/1/20 Agy 5,275 6,026
12.00%, 4/1/15 Agy 55 63
12.50%, 5/1/12 Agy 1,025 1,198
13.50%, 8/1/14 Agy 18 22
Series:
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 16,054 16,108
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 11,539 11,604
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 48,250 48,356
Government National
Mortgage Association
Adjustable Rate
Mortgages:
7.00%, 2/20/25-3/20/25 Tsy 24,457 24,948
7.125%, 7/20/25 Tsy 21,037 21,458
7.375%, 4/20/25-6/20/25 Tsy 85,031 86,731
7.50%, 1/20/25 Tsy 15,258 15,563
Various Pools:
10.00%, 11/15/09-
10/15/27 Tsy 88,066 98,004
10.50%, 8/15/10-2/15/25 Tsy 23,522 26,553
11.00%,
12/15/09-5/15/26 Tsy 39,220 44,949
11.50%, 5/15/13-9/20/19 Tsy 577 649
12.00%, 4/15/12-1/15/19 Tsy 25,797 29,972
- -------------------------------------------------------
GROUP TOTAL 628,631
- -------------------------------------------------------
REPURCHASE AGREEMENT (5.1%)
Chase Securities, Inc. 5.75%
dated 3/31/98, due 4/1/98, to
be repurchased at $213,811,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at
$214,416 213,776 213,776
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $994,709) 996,143
- -------------------------------------------------------
TOTAL INVESTMENTS (113.8%) (Cost
$4,768,450) 4,803,148
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-13.8%)
Cash $ 6
Dividends Receivable 2,623
Interest Receivable 41,614
Receivable for Investments Sold 401,080
Receivable for Fund Shares Sold 12,452
Unrealized Gain on Swap Agreements 479
Unrealized Gain on Forward Foreign Currency
Contracts 1,950
Other Assets 116
Payable for Investments Purchased (879,296)
Payable for Fund Shares Redeemed (4,228)
Payable for Investment Advisory Fees (3,633)
Payable for Administrative Fees (276)
Payable for Shareholder Servicing Fees-
Investment Class (4)
Payable for Distribution Fees-Adviser Class (22)
Payable for Trustees' Deferred Compensation
Plan-Note F (93)
Payable for Daily Variation on Futures
Contracts (507)
Collateral on Securities Loaned, at Value (153,736)
Other Liabilities (430)
----------
(581,905)
- -------------------------------------------------------
NET ASSETS (100%) $4,221,243
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 336,935,259 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $4,084,124
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.12
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 2,391,769 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 29,007
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.13
- -------------------------------------------------------
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 8,916,707 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 108,112
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.12
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $4,095,280
Undistributed Net Investment Income (Loss) 69,129
Undistributed Realized Net Gain (Loss) 20,936
Unrealized Appreciation (Depreciation) on:
Investment Securities 34,698
Foreign Currency Transactions 1,921
Futures and Swaps (721)
- -------------------------------------------------------
NET ASSETS $4,221,243
- -------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$15,812 or 0.4% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
@ 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
March 31, 1998.
CMO Collateralized Mortgage Obligation
DEM German Mark
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Domestic Fixed Income Portfolio invests in all sectors of the domestic
investment-grade bond market. Miller Anderson & Sherrerd constructs a
diversified fund with a maturity and duration structure reflecting long-term
views on interest rates and inflation. MAS selects investments in U.S.
Treasuries, agencies, corporate bonds, mortgages and other fixed-income
securities based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS DOMESTIC FIXED SALOMON
INCOME INSTITUTIONAL BROAD INDEX
-----------------------------------
<S> <C> <C>
SIX MONTHS 4.20% 4.60%
ONE YEAR 11.52 11.98
FIVE YEARS 7.43 7.00
TEN YEARS 9.47 9.00
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Domestic Fixed Income Portfolio (formerly known as the Select Fixed Income
Portfolio) commenced operations on 9/30/87. Pursuant to a vote of the
Portfolio's shareholders on December 19, 1994, the Portfolio's investment
policies were changed to emphasize fixed-income securities of domestic issuers
rated A or higher. Shareholders then voted on May 1, 1997, to permit the
Portfolio to invest a limited portion of its assets in fixed-income securities
of domestic issuers rated BBB at the time of purchase. The Portfolio's
performance pattern may have been affected by these changes. Total returns are
compared to the Salomon Broad Investment Grade Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (81.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MAR&HPOOR'S)98 (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (7.8%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-9/20/27 Tsy $ 6,443 $ 6,536
- -----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (4.4%)
Federal Home Loan Mortgage
Corporation May TBA
6.50%, 5/15/28 Agy 1,300 1,285
Federal National Mortgage
Association May TBA
6.50%, 8/15/24 Agy 2,400 2,371
- -----------------------------------------------------
GROUP TOTAL 3,656
- -----------------------------------------------------
ASSET BACKED CORPORATES (13.7%)
Aegis Auto Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 117 117
ALPS,
Series 94-1 A4 CMO
7.80%, 9/15/04 AA 275 281
Americredit Automobile
Receivables Trust, Series
96-B A
6.50%, 1/12/02 AAA 232 233
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 505 508
98-A A3
5.90%, 11/15/02 AAA 325 324
Chevy Chase Auto Receivables
Trust, Series 97-4 A
6.25%, 6/15/04 AAA 372 372
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 229 231
Daimler-Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 292 292
Empire Funding Home Loan
Owner Trust,
Series:
97-4 A2
7.16%, 5/25/12 AAA 366 370
97-4 A3
7.11%, 7/25/14 AAA 275 279
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
&CPOOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA $ 304 $ 306
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 185 185
97-3 A3
6.57%, 10/10/10 AAA 180 181
98-1 A3
6.04%, 10/10/13 AAA 400 396
First Security Auto Grantor
Trust, Series 97-B A
6.10%, 4/15/03 AAA 608 609
Ford Credit Auto Owner Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 295 296
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 335 335
+ 98-1 A2
5.85%, 4/11/11 Aaa 500 498
98-2 A3
6.05%, 10/1/07 AAA 425 424
(+) ++ Health Care
Receivables Securitization
Program, Series 97-1 A
6.815%, 7/1/01 AAA 200 202
Honda Auto Receivables
Grantor Trust, Series 97-A
A
5.85%, 2/15/03 AAA 505 505
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 400 399
(+) Long Beach Acceptance
Auto Grantor Trust, Series
97-2 A
6.69%, 9/25/04 AAA 230 231
(+) National Car Rental
Financing Ltd., Series 96-1
A4
7.35%, 10/20/03 N/R 375 389
Nissan Auto Receivables
Grantor Trust, Series 97-A
A
6.15%, 2/15/03 AAA 514 515
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 450 451
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 250 252
97-1 A
7.35%, 5/15/03 A- 600 620
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 287 288
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA $ 385 $ 385
97-D A4
6.25%, 3/20/03 AAA 400 401
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 525 526
- -----------------------------------------------------
GROUP TOTAL 11,401
- -----------------------------------------------------
ASSET BACKED MORTGAGES (2.7%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 400 405
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 6,076 145
sec. 96-3 A YMA
10/25/26 (acquired
12/24/96, cost $11) AAA 6,076 8
96-3 A8
7.65%, 9/25/25 AAA 350 355
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 300 313
sec. 96-4 A11 I IO
1.10%, 1/15/28 (acquired
12/16/96, cost $152) AAA 4,649 119
(+) 96-4 A11 I YMA
1/15/28 AAA 4,649 7
96-4 A12 I IO
1.05%, 1/15/28 AAA 1,255 32
96-4 A12 I YMA
1/15/28 AAA 1,255 2
(+) 97-1 A10 I IO
1.10%, 3/15/28 AAA 5,727 151
97-1 A10 I YMA
3/15/28 N/R 5,727 8
Delta Funding Home Equity
Loan Trust, Series 96-2 A5
8.01%, 10/25/27 AAA 334 354
IMC Home Equity Loan Trust,
Series 96-3 A7
8.05%, 8/25/26 AAA 350 366
- -----------------------------------------------------
GROUP TOTAL 2,265
- -----------------------------------------------------
</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>
COLLATERALIZED MORTGAGE OBLIGATIONS-AGENCY
COLLATERAL SERIES (1.1%)
## Collateralized Mortgage
Obligation Trust, Series
16-Q Inv Fl
12.25%, 3/20/18 AAA $ 115 $ 123
## Federal Home Loan Mortgage
Corporation,
Series:
1632-SA Inv Fl REMIC
5.229%, 11/15/23 Agy 300 268
1699-SD Inv Fl IO REMIC
2.25%, 3/15/24 Agy 1,749 138
Federal National Mortgage
Association,
Series:
96-37 H PO REMIC
8/25/23 Agy 305 251
97-3 E PO
12/25/23 Agy 225 171
- -----------------------------------------------------
GROUP TOTAL 951
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (4.0%)
Bear Stearns Mortgage
Securities, Inc.,
Series 96-9 AI11
8.00%, 12/25/27 AAA 200 207
sec.++ Citicorp Mortgage
Securities, Inc., Series
95-2 B1 REMIC
7.50%, 4/25/25 (acquired
8/7/95-9/24/96, cost $398) AA 413 419
Countrywide Mortgage Backed
Securities, Inc., Series
93-C A11
6.50%, 1/25/24 AAA 237 230
++ First Boston Mortgage
Securities Corp.,
Series 93-5 B1
7.30%, 7/25/23 AA+ 237 238
+ Independent National
Mortgage Corp.,
Series 94-O B1
7.875%, 9/25/24 A2 241 253
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 100 108
PNC Mortgage Securities
Corp., Series 96-1 B1 REMIC
7.50%, 6/25/26 AA 442 448
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 16 16
95-2 M
8.50%, 6/25/25 AA 270 278
</TABLE>
<TABLE>
<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 $ 400 $ 406
Residential Asset
Securitization Trust,
Series 96-A11 A9
7.75%, 2/25/27 AAA 275 284
Residential Funding Mortgage
Securities Co., Inc.,
Series 93-S27 M2
7.50%, 6/25/23 A 235 237
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 204 196
- -----------------------------------------------------
GROUP TOTAL 3,320
- -----------------------------------------------------
COMMERCIAL MORTGAGES (13.2%)
American Southwest Financial
Securities Corp.,
Series:
++## 93-2 S1 IO
1.079%, 1/18/09 AA 6,312 265
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 175 181
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 210 221
++## 95-MD4 ACS2 IO
2.364%, 8/13/29 AAA 1,799 313
95-MD4 A1
7.10%, 8/13/29 AAA 169 176
(+) + 96-D3 A1C
7.40%, 10/13/26 Aaa 275 293
96-MD6 A1C
7.04%, 11/13/26 AAA 300 313
+## 97-D5 PSI IO
1.563%, 2/14/41 Aaa 2,687 290
(+) Carousel Center
Finance, Inc., Series 1 B
7.188%, 10/15/07 A 325 333
Chase Commercial Mortgage
Securities Corp., Series
96-2 B
6.90%, 10/19/06 AA 500 510
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 240 272
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 431 446
(+) DLJ Mortgage
Acceptance Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 400 407
96-CF1 A1B
7.58%, 3/13/28 AAA 300 319
96-CF2 A1B
7.29%, 7/15/06 AAA 310 325
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
(CONT'D)
- -----------------------------------------------------
<S> <C> <C> <C>
++## 96-CF2 S IO
1.640%, 11/12/21 AAA $ 3,815 $ 318
97-CF1 S IO
1.097%, 3/15/17 AAA 2,900 184
97-CF1 A1B
7.60%, 4/15/07 AAA 350 376
First Union-Lehman Brothers
Commercial Mortgage,
Series 97-C2 A3
6.65%, 12/18/07 AAA 400 406
(+) Forum Finance
7.125%, 5/15/04 AA 375 384
+ GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.917%, 3/15/21 Aaa 2,346 197
97-C2 X IO
1.273%, 4/15/27 Aaa 3,450 262
J. P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 350 368
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 361 378
98-C1 IO
1.199%, 2/18/28 Aaa 3,450 231
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 200 210
96-C2 A2
6.82%, 11/21/28 AAA 150 153
++## 96-C2 IO
1.538%, 11/21/28 AAA 1,987 167
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 250 261
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 225 230
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 650 681
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 475 481
Nomura Asset Securities
Corp.,
Series:
++ 94-MD1 A1B
7.526%, 3/15/18 AAA 91 93
++## 94-MD1 A2
7.672%, 3/15/18 AA 125 130
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 391 413
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Prime Property Funding
II
6.633%, 7/23/03 AA $ 173 $ 175
++## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.42%, 2/25/28 AAA 2,952 159
96-CFL X1A IO
1.431%, 2/25/28 AAA 2,705 63
96-CFL X2 IO
1.225%, 2/25/28 AAA 821 23
- -----------------------------------------------------
GROUP TOTAL 11,007
- -----------------------------------------------------
ENERGY (0.5%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 450 467
- -----------------------------------------------------
FINANCE (13.7%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 225 241
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 525 559
Beneficial Corp.,
Series F
6.47%, 11/17/08 A 310 310
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 550 570
(+) EOP Operating LP
6.625%, 2/15/05 BBB 325 324
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 600 615
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 475 550
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 569 579
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 550 577
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 575 588
!! First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 525 557
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 250 260
7.45%, 7/1/04 A 150 156
(+) Florida Windstorm
6.70%, 8/25/04 A- 300 302
General Motors Acceptance
Corp.
5.875%, 1/22/03 A 350 346
</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>
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- $ 400 $ 398
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 350 350
NB Capital Trust
8.25%, 4/15/27 A- 150 164
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 625 655
(+) Prime Property Funding
II
7.00%, 8/15/04 A 400 406
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 150 167
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 500 532
B
8.035%, 3/15/27 A 100 107
Washington Mutual Capital
8.375%, 6/1/27 BBB- 180 194
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 110 117
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 600 636
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 889 913
96 WFP-D
6.95%, 9/1/13 AA- 250 258
- -----------------------------------------------------
GROUP TOTAL 11,431
- -----------------------------------------------------
INDUSTRIALS (1.2%)
(+) Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 320 327
News America Holdings
7.75%, 1/20/24 BBB- 75 79
7.75%, 2/1/24 BBB- 335 351
8.875%, 4/26/23 BBB- 70 82
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 175 179
- -----------------------------------------------------
GROUP TOTAL 1,018
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec.## Gemsco Mortgage Pass
thru Certificate,
Series 87-A
8.701%, 11/25/10 (acquired
9/9/88, cost $236) AA 257 262
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA $ 37 $ 37
- -----------------------------------------------------
GROUP TOTAL 299
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-AGENCY
COLLATERAL SERIES (2.6%)
Federal Home Loan Mortgage
Corporation,
Series 1911-C PO
11/15/23 Agy 550 326
Federal National Mortgage
Association,
Series:
96-34 C PO
3/25/23 Agy 425 254
249 1 PO
10/25/23 Agy 1,217 853
260 1 PO
4/1/24 Agy 218 169
282 1 PO
9/1/25 Agy 730 538
- -----------------------------------------------------
GROUP TOTAL 2,140
- -----------------------------------------------------
TELEPHONES (0.4%)
MCI Communications Corp.
6.95%, 8/15/06 A 290 298
- -----------------------------------------------------
TRANSPORTATION (1.0%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 340 340
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 395 499
- -----------------------------------------------------
GROUP TOTAL 839
- -----------------------------------------------------
U.S. TREASURY SECURITIES (14.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 425 567
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 2,804 2,718
3.625%, 7/15/02
(Inflation Indexed) Tsy 1,107 1,096
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,750 1,729
5.625%, 2/28/01 Tsy 1,750 1,750
6.25%, 4/30/01 Tsy 500 508
6.375%, 3/31/01 Tsy 3,950 4,028
- -----------------------------------------------------
GROUP TOTAL 12,396
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $66,781) 68,024
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (1.6%)
- -----------------------------------------------------
INDUSTRIALS (0.2%)
Tier One Properties
11.095% A 200 $ 193
- -----------------------------------------------------
MORTGAGES-OTHER (1.4%)
(+)+ Home Ownership Funding
Corp.
13.331% Aaa 1,200 1,151
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,403) 1,344
- -----------------------------------------------------
INTEREST RATE CAP (0.0%)--SEE NOTE A6
- -----------------------------------------------------
FACE
AMOUNT
(000)
-------
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 $111) AA- $26,200 24
- -----------------------------------------------------
CASH EQUIVALENTS (26.3%)
- -----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(5.7%) 4,707 4,707
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (15.2%)
Federal Home Loan Mortgage
Corporation
Conventional Pool:
10.00%, 11/1/20 Agy 323 357
Gold Pool:
12.00%, 11/1/19 Agy 84 95
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 96 97
## 1933-FQ REMIC
6.50%, 3/15/25 Agy 188 188
Federal National Mortgage
Association Conventional Pools:
9.50%, 2/1/20-8/1/20 Agy 651 709
10.00%, 5/1/22 Agy 122 135
10.50%, 12/1/17-2/1/28 Agy 695 784
11.50%, 9/1/25 Agy 160 182
Series:
## 92-43 FC REMIC
6.35%, 10/25/21 Agy 414 417
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 319 320
## 97-70 FA REMIC, PAC (11)
6.20%, 7/18/20 Agy 226 228
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 1,000 1,002
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Government National Mortgage
Association Adjustable Rate
Mortgages:
7.00%, 2/20/25-3/20/25 Tsy $ 779 $ 795
7.375%, 4/20/25-6/20/25 Tsy 2,342 2,390
Various Pools:
9.50%, 12/15/21 Tsy 445 484
10.00%, 9/15/18-12/25/26 Tsy 892 989
10.50%, 5/15/19-2/15/25 Tsy 1,108 1,251
11.00%, 1/15/10-7/15/20 Tsy 678 776
11.50%, 8/15/13 Tsy 445 514
12.00%, 12/15/12-3/15/15 Tsy 328 381
April TBA
10.00%, 4/15/28 Tsy 550 610
- -----------------------------------------------------
GROUP TOTAL 12,704
- -----------------------------------------------------
REPURCHASE AGREEMENT (5.4%)
Chase Securities, Inc. 5.75% dated
3/31/98, due 4/1/98, to be
repurchased at $4,478
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at $4,491 4,477 4,477
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,842) 21,888
- -----------------------------------------------------
TOTAL INVESTMENTS (109.5%) (Cost $90,137) 91,280
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-9.5%)
Dividends Receivable 46
Interest Receivable 825
Receivable for Investments Sold 4,637
Receivable for Fund Shares Sold 1
Unrealized Gain on Swap Agreements 16
Other Assets 4
Payable for Investments Purchased (8,621)
Payable for Investment Advisory Fees (71)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Payable for Daily Variation on Futures
Contracts (7)
Collateral on Securities Loaned, at Value (4,707)
Other Liabilities (18)
-------
(7,904)
- -----------------------------------------------------
NET ASSETS (100%) $83,376
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 7,460,148 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $83,376
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.18
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $80,158
Undistributed Net Investment Income (Loss) 1,309
Undistributed Realized Net Gain (Loss) 770
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,143
Futures and Swaps (4)
- -----------------------------------------------------
NET ASSETS $83,376
- -----------------------------------------------------
- -----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$808 or 1.0% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors 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 Investors Service,
Inc.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
CMO Collateralized Mortgage Obligation
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Management Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The High Yield Portfolio applies Miller Anderson & Sherrerd's analytical
capabilities to a specialized fixed-income fund, investing primarily in below-
investment-grade corporate bonds selected through study of the credit-worthiness
of the underlying companies. MAS's strategy uses equity and fixed-income
valuation techniques and analyses of economic and industry trends to determine
the Portfolio's structure. Individual securities are selected and monitored by
managers specializing in corporate bonds and using in-depth financial analysis
to uncover opportunities in undervalued issues.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS HIGH YIELD SALOMON
--------------------------------------- HIGH YIELD
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX
-----------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 5.54% 5.43% 5.43% 6.54%
ONE YEAR 19.63 19.50 19.38 16.16
FIVE YEARS 13.02 12.95 12.98 11.41
SINCE INCEPTION 12.35 12.31 12.32 12.02
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. High-yield fixed-income securities,
otherwise known as "junk bonds," represent a much greater risk of default and
tend to be more volatile than higher-rated bonds.
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.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/21/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25% 12b-1
Fee applicable to the Adviser Class. It is expected that, over time, returns
for the Adviser Class will be lower than for the other classes due to the
higher expenses charged.
Total returns for the Institutional and Investment Classes of the Portfolio
reflect expenses reimbursed by the Adviser for certain periods. Without such
reimbursements, total returns would have been lower.
* The High Yield Portfolio commenced operations on 2/28/89. Total returns are
compared to the Salomon High Yield Index, an unmanaged market index. Returns
for periods less than one year are cumulative. STATEMENT OF NET ASSETS FIXED
INCOME SECURITIES (87.6%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (2.4%)
Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 A $ 5,027 $ 5,051
(+)+ Long Beach
Acceptance Auto Grantor
Trust, Series 97-1 B
14.22%, 10/26/03 Ba3 6,082 6,078
(+) OHA Auto Grantor
Trust
Series 97-A
11.00%, 9/15/03 BB 4,296 4,231
- ----------------------------------------------------
GROUP TOTAL 15,360
- ----------------------------------------------------
CABLE (4.4%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 5,065 5,217
9.875%, 5/15/06 B 5,330 5,823
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 5,155 5,374
Rogers Cablesystems Ltd.
10.00%, 3/15/05,
Series B BB+ 5,720 6,406
10.125%, 9/1/12 BB+ 2,750 3,028
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 2,075 2,122
- ----------------------------------------------------
GROUP TOTAL 27,970
- ----------------------------------------------------
CHEMICALS (1.5%)
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 B+ 9,175 9,645
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.6%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 1,105 571
sec.++ DLJ Mortgage
Acceptance Corp.,
Series 94-3 B3
6.50%, 4/25/24
(acquired 5/8/95, cost
$908) BB 1,361 671
+ First Boston Mortgage
Securities Corp.,
Series 92-4R 2
8.025%, 10/25/22 Ba3 5 5
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+)+ Prudential Home
Mortgage Securities
Co., Inc.,
Series 92-A 3B2
7.90%, 4/28/22 Caa $ 3,586 $ 2,152
## Ryland Mortgage
Securities Corp.,
Series 92-A C1
8.27%, 3/29/30 BB 700 569
- ----------------------------------------------------
GROUP TOTAL 3,968
- ----------------------------------------------------
COMMERCIAL MORTGAGES (1.5%)
(+)## DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 S IO
1.640%, 11/12/21 AAA 8,182 682
+ 97-CF2 S IO
0.356%, 10/15/17 Aaa 103,488 2,724
++ Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B C A1
7.929%, 11/1/18 BB 3,937 3,522
+ GMAC Commercial
Mortgage Securities,
Inc.,
Series 96-C1 X2 IO
1.868%, 3/15/21 Aaa 14,628 1,227
++## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.42%, 2/25/28 AAA 18,535 998
96-CFL X1A IO
1.431%, 2/25/28 AAA 16,871 396
96-CFL X2 IO
1.225%, 2/25/28 AAA 4,802 134
- ----------------------------------------------------
GROUP TOTAL 9,683
- ----------------------------------------------------
COMMUNICATIONS (14.6%)
Comcast Cellular Holdings
Corp., Series B
9.50%, 5/1/07 BB+ 6,050 6,413
(+) Concentric Network
Corp.
12.75%, 12/15/07 N/R 3,000 3,540
# Dial Call
Communications, Inc.
0.00%, 4/15/04 CCC+ 4,875 4,875
+ 0.00%, 12/15/05 B2 6,845 6,742
Esprit Telecom Group plc
11.50%, 12/15/07 B- DEM 8,000 4,738
(+) Flag Ltd.
8.25%, 1/30/08 B+ $ 2,480 2,548
Globalstar LP/Capital
11.375%, 2/15/04 B 3,235 3,397
# Intermedia
Communications, Inc.,
Series B
0.00%, 7/15/07 B 7,240 5,448
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+) Iridium Capital
Corp.,
Series A
13.00%, 7/15/05 B- $ 2,670 $ 2,990
IXC Communications, Inc.,
Series B
12.50%, 10/1/05 B 4,600 5,474
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC+ 3,400 3,272
(+) 0.00%, 2/15/08 CCC+ 3,915 2,506
(+)+# NEXTLINK
Communications Co.
0.00%, 4/15/08 B3 6,780 4,288
Qwest Communications
International, Inc.
(+)# 0.00%, 2/1/08 B+ 4,995 3,521
Series B
10.875%, 4/1/07 B+ 2,435 2,825
+# RCN Corp.
0.00%, 10/15/07 B3 8,050 5,394
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 4,000 4,020
RSL Communications plc
# 0.00%, 3/15/08 B- DEM 13,600 4,542
(+) 9.125%, 3/1/08 B- $ 4,795 4,843
12.25%, 11/15/06 B- 425 485
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B+ 7,190 6,183
# Telesystems
International Wireless,
Inc., Series C
0.00%, 11/1/07 B- 9,070 5,737
- ----------------------------------------------------
GROUP TOTAL 93,781
- ----------------------------------------------------
CONSUMER MANUFACTURING (0.9%)
(+) Revlon Consumer
Products
8.125%, 2/1/06 B 5,695 5,766
- ----------------------------------------------------
ENERGY (1.6%)
Nuevo Energy Co.
9.50%, 4/15/06 B+ 3,871 4,123
Snyder Oil Corp.
8.75%, 6/15/07 B+ 5,830 5,990
- ----------------------------------------------------
GROUP TOTAL 10,113
- ----------------------------------------------------
FINANCIAL (3.9%)
Criimi Mae, Inc.
9.125%, 12/1/02 BB 5,000 5,050
(+)# Fuji JGB Investments
LLC,
Series A
9.87%, 12/31/49 BB+ 4,600 4,554
(+)# IBJ Preferred
Capital Co. LLC, Series
A
8.79%, 12/29/49 BBB- 3,725 3,585
Residential Reinsurance
11.45%, 12/15/98 BB- 3,000 3,034
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+)# SB Treasury Co. LLC,
Series A
9.40%, 12/29/49 BBB- $ 3,485 $ 3,602
Western Financial Bank
8.875%, 8/1/07 BB+ 5,720 5,520
- ----------------------------------------------------
GROUP TOTAL 25,345
- ----------------------------------------------------
FOOD & BEVERAGE (1.0%)
Ameriserve Food Co.
10.125%, 7/15/07 B- 2,165 2,327
(+) Smithfield Foods,
Inc.
7.625%, 2/15/08 BB+ 3,850 3,831
- ----------------------------------------------------
GROUP TOTAL 6,158
- ----------------------------------------------------
GAMING (2.0%)
Grand Casinos, Inc.
10.125%, 12/1/03 BB 6,915 7,537
Station Casinos, Inc.
9.75%, 4/15/07 B+ 4,460 5,051
10.125%, 3/15/06 B+ 375 421
- ----------------------------------------------------
GROUP TOTAL 13,009
- ----------------------------------------------------
GENERAL INDUSTRIAL (3.2%)
American Standard Cos.
7.375%, 2/1/08 BB- 5,745 5,649
Geberit
International S.A.
10.125%, 4/15/07 B+ DEM 4,140 2,539
Navistar Financial Corp.,
Series B
9.00%, 6/1/02 B+ $ 1,555 1,635
# Norcal Waste Systems,
Inc.
13.50%, 11/15/05 BB- 9,155 10,620
- ----------------------------------------------------
GROUP TOTAL 20,443
- ----------------------------------------------------
HEALTH CARE (6.7%)
Columbia/HCA Healthcare
6.91%, 6/15/05 BBB 19,710 18,532
(+) Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 2,885 2,885
Integrated Health
Services
9.50%, 9/15/07 B 5,655 6,008
(+) Magellan Health
Services, Inc.
9.00%, 2/15/08 B- 3,250 3,274
(+) Pharmerica, Inc.
8.375%, 4/1/08 B 2,980 2,995
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 5,600 5,838
Vencor, Inc.
8.625%, 7/15/07 B+ 2,900 3,266
- ----------------------------------------------------
GROUP TOTAL 42,798
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
HOTELS, LODGING & RESTAURANTS (1.4%)
HMC Acquisition
Properties
9.00%, 12/15/07 BB- $ 3,535 $ 3,751
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,225 5,565
- ----------------------------------------------------
GROUP TOTAL 9,316
- ----------------------------------------------------
MEDIA & ENTERTAINMENT (4.9%)
Fox/Liberty Networks
# 0.00%, 8/15/07 B 8,700 5,916
8.875%, 8/15/07 B 2,330 2,417
Outdoor Systems, Inc.
8.875%, 6/15/07 B 7,460 7,833
!! Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 5,385 5,538
Sinclair Broadcast Group,
Inc.
9.00%, 7/15/07 B 2,925 3,049
(+)# TCI Satellite
Entertainment, Inc.
0.00%, 2/15/07 B- 8,950 6,422
- ----------------------------------------------------
GROUP TOTAL 31,175
- ----------------------------------------------------
METALS (2.6%)
(+) EES Coke Battery Co.,
Inc.
9.382%, 4/15/07 BB- 2,500 2,610
(+) Impress Metal
Packaging Holdings
9.875%, 5/29/07 B DEM 9,465 5,439
(+) Murrin Murrin
Holdings
9.375%, 8/31/07 BB- $8,550 8,507
- ----------------------------------------------------
GROUP TOTAL 16,556
- ----------------------------------------------------
PACKAGING (3.3%)
# Nextel Communications,
Inc.
0.00%, 9/15/07 CCC+ 15,145 10,147
(+) Norampac, Inc.
9.50%, 2/1/08 B+ 6,000 6,255
SD Warren Co.
12.00%, 12/15/04 B+ 4,365 4,878
- ----------------------------------------------------
GROUP TOTAL 21,280
- ----------------------------------------------------
RETAIL (6.0%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 8,255 8,648
DR Structured Finance
Series:
93-K1 A1
6.66%, 8/15/10 BB 3,516 3,269
93-K1 A2
7.43%, 8/15/18 BB 2,565 2,254
94-K1 A1
7.60%, 8/15/07 BB 3,795 3,736
94-K1 A2
8.375%, 8/15/15 BB 1,525 1,498
</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>
94-K2 A2
9.35%, 8/15/19 BB $ 3,360 $ 3,488
Fleming Cos, Inc.
10.50%, 12/1/04 B+ 2,420 2,565
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 5,925 6,118
Southland Corp.
5.00%, 12/15/03 BB+ 8,279 7,244
- ----------------------------------------------------
GROUP TOTAL 38,820
- ----------------------------------------------------
SOVEREIGN & EMERGING MARKETS (19.5%)
Asia Pulp & Paper Co.,
Ltd., Series A
12.00%, 2/15/04 B+ 6,185 5,134
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 7,160 6,420
(+) Azteca Holdings SA
11.00%, 6/15/02 B- 1,520 1,587
(+) Globo Comunicacoes
Participoes
10.50%, 12/20/06 BB- 6,030 6,120
Grupo Minero Mexicano SA
de CV, Series A
8.25%, 4/1/08 BB 6,200 6,152
Hermes Europe Railtel
11.50%, 8/15/07 B 2,825 3,200
(+) Hylsa SA de CV
9.25%, 9/15/07 BB 3,825 3,825
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BB 5,650 4,512
Indah Kiat Finance
Mauritius
10.00%, 7/1/07 B+ 2,200 1,826
Korea Development Bank
7.375%, 9/17/04 BB+ 5,940 5,389
Korea Electric Power
Corp.
7.75%, 4/1/13 B+ 1,800 1,530
Multicanal S.A.
10.50%, 2/1/07 BB- 5,940 6,341
National Power Corp.
7.875%, 12/15/06 BB+ 2,985 2,715
(+) NSM Steel, Inc.
12.25%, 2/1/08 CCC 5,000 4,800
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 8,480 7,462
Philippine Long Distance
Telephone Co., Series E
7.85%, 3/6/07 BB+ 3,395 3,126
(+) Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 8,640 7,085
Pohang Iron & Steel Co.,
Ltd.
7.125%, 7/15/04 B+ 690 611
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+)# PTC International
Finance BV
0.00%, 7/1/07 B+ $ 9,303 $ 6,513
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 5,660 4,953
(+) RBS Participacos S.A.
11.00%, 4/1/07 BB- 4,375 4,424
(+) Reliance Industries
Ltd.
8.25%, 1/15/27 BB+ 1,130 1,055
9.375%, 6/24/26 BB+ 1,230 1,234
## Republic of Argentina,
Series L
6.688%, 3/31/05 BB- 7,762 7,155
+ Republic of Argentina
Pre 4 BOCON, PIK
# 0.00%, 9/1/02 Ba3 435 531
## 5.625%, 9/1/02 Ba3 2,675 3,267
(+) RG Receivables Ltd.
9.60%, 2/10/05 BB- 6,900 6,918
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 300 269
(+) Satelites Mexicanos
S.A.
10.125%, 11/1/04 B- 3,615 3,737
(+) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 2,140 1,455
Transgas de Occidente
S.A.
9.79%, 11/1/10 BBB- 2 2
TV Azteca S.A., Series B
10.50%, 2/15/07 B+ 5,405 5,797
- ----------------------------------------------------
GROUP TOTAL 125,145
- ----------------------------------------------------
TECHNOLOGY (1.6%)
Advanced Micro Devices,
Inc.
11.00%, 8/1/03 BB- 9,260 9,908
(+) Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ 570 572
- ----------------------------------------------------
GROUP TOTAL 10,480
- ----------------------------------------------------
TRANSPORTATION (2.2%)
ALPS, Series 96-1 DX
12.75%, 6/15/06 BB- 6,557 6,566
(+) Jet Equipment Trust,
Series:
94-C1
11.79%, 6/15/13 BBB- 3,450 4,647
95-D
11.44%, 11/1/14 BBB- 2,350 3,140
- ----------------------------------------------------
GROUP TOTAL 14,353
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
UTILITIES (1.8%)
(+) AES Corp.
8.50%, 11/1/07 B+ $ 5,495 $ 5,701
Midland Funding Corp. I,
Series C-94
10.33%, 7/23/02 BB- 3,018 3,289
Midland Funding II,
Series A
11.75%, 7/23/05 B- 2,300 2,737
- ----------------------------------------------------
GROUP TOTAL 11,727
- ----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$543,015) 562,891
- ----------------------------------------------------
PREFERRED STOCKS (4.6%)
- ----------------------------------------------------
SHARES
------
CABLE (3.0%)
Time Warner, Inc., Series M
10.25% BB+ 17,187 19,250
- ----------------------------------------------------
COMMUNICATIONS (0.7%)
IXC Communications, Inc., PIK
7.25% CCC+ 3,451 4,210
- ----------------------------------------------------
MEDIA & ENTERTAINMENT (0.9%)
Sinclair Capital
11.625% B 52,815 5,863
- ----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $26,580) 29,323
- ----------------------------------------------------
UNITS (1.3%)
- ----------------------------------------------------
COMMUNICATIONS (0.6%)
(+)# Wam ! Net, Inc.
0.00%, 3/1/05 N/R 6,325 3,811
- ----------------------------------------------------
TECHNOLOGY (0.7%)
(+) AMSC Acquisition Co.
12.25%, 4/1/08 N/R 4,720 4,885
- ----------------------------------------------------
TOTAL UNITS (Cost $8,605) 8,696
- ----------------------------------------------------
WARRANTS (0.1%)
- ----------------------------------------------------
COMMUNICATIONS (0.1%)
*@ Dial Call
Communications, Inc.,
expiring 4/25/99 N/R 4,800 --
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+)* Globalstar
Telecommunications
Ltd.,
expiring 2/15/04 N/R 3,235 $ 485
(+)* Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 1,920 461
- ----------------------------------------------------
GROUP TOTAL 946
- ----------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.0%)
*@ Occidente y Caribe
Cellular, expiring
3/15/04 N/R 33,920 --
- ----------------------------------------------------
TOTAL WARRANTS (Cost $378) 946
- ----------------------------------------------------
CASH EQUIVALENT (4.5%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
---------
REPURCHASE AGREEMENT (4.5%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98, to
be repurchased at $28,810,
collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued
at $28,892 (Cost $28,820) $ 28,805 28,805
- ----------------------------------------------------
TOTAL INVESTMENTS (98.1%) (Cost $607,398) 630,661
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.9%)
Cash 2
Interest Receivable 10,844
Receivable for Investments Sold 6,939
Receivable for Fund Shares Sold 974
Unrealized Gain on Forward Foreign
Currency Contracts 277
Other Assets 18
Payable for Investments Purchased (5,986)
Payable for Fund Shares Redeemed (225)
Payable for Investment Advisory Fees (566)
Payable for Administrative Fees (43)
Payable for Trustees' Deferred
Compensation- Plan-Note F (16)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Distribution Fees-Adviser
Class (2)
Payable for Daily Variation on Futures
Contracts (80)
Other Liabilities (21)
--------
12,114
- ----------------------------------------------------
NET ASSETS (100%) $642,775
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 61,834,127 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $618,538
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.00
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,289,824 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 12,915
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.01
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,132,170 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 11,322
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.00
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $595,502
Undistributed Net Investment Income (Loss) 13,333
Undistributed Realized Net Gain (Loss) 10,453
Unrealized Appreciation (Depreciation) on:
Investment Securities 23,263
Foreign Currency Transactions 266
Futures (42)
- ----------------------------------------------------
NET ASSETS $642,775
- ----------------------------------------------------
- ----------------------------------------------------------
sec. Restricted Security-Total market value of restricted
security owned at March 31, 1998 was $671 or 0.1% of
net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 1998.
@ Value is less than $500.
DEM German Mark
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PCL Public Company Limited
PIK Payment-In-Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Cash Reserves Portfolio is a money market fund which invests in only the
highest quality short-term investment securities. The fund looks to maximize
current income while preserving capital and liquidity. The Portfolio purchases
cash equivalents with maturities of up to 13 months using high-grade (A1/P1)
commercial paper and other money market securities, such as repurchase
agreements and U.S. Treasury Bills.
<TABLE>
SEC 7-DAY YIELDS AT 3/31/98
<S> <C> <C> <C>
AVERAGE YIELD 5.33%
EFFECTIVE YIELD 5.47
</TABLE>
Performance is net of all fees. The table above represents past performance and
is not indicative of future results.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
An investment in the Cash Reserves Portfolio is neither insured nor guaranteed
by the U.S. Government. The Portfolio seeks to maintain, but does not guarantee,
a constant net asset value of $1.00 per share.
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (73.7%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
FACE
AMOUNT VALUE
MARCH 31, 1998 (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (25.3%)
Abbey National N.A.
5.44%, 4/29/98 $2,000 $ 1,992
American Express Credit Corp.
5.49%, 6/5/98 2,000 1,980
5.56%, 4/3/98 2,000 1,999
Associates Corp. of North America
5.49%, 6/19/98 2,000 1,976
5.50%, 6/3/98 1,000 990
Australia & New Zealand Bank,
Inc., Delaware
5.48%, 6/25/98 2,000 1,974
Bank of America
5.43%, 5/20/98 1,000 993
Canadian Bank Imperial Holdings
5.48%, 6/22/98 2,000 1,975
CIT Group Holdings, Inc.
5.51%, 5/22/98 2,000 1,984
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
====================================================
<S> <C> <C>
Eiger Capital Corp.
5.54%, 4/20/98 $1,000 $ 997
J.P. Morgan & Co.
5.50%, 6/22/98 1,000 987
5.64%, 6/18/98 2,000 1,976
Sun Trust Co.
5.44%, 4/24/98 2,000 1,993
SunTrust Banks, Inc.
5.53%, 5/7/98 1,000 995
Rabobank U.S. Finance Corp.
5.55%, 4/29/98 2,000 1,991
Westdeutsche Landesbank
5.46%, 4/29/98 1,000 996
5.54%, 4/20/98 2,000 1,994
- ----------------------------------------------------
GROUP TOTAL 27,792
- ----------------------------------------------------
FINANCIAL LEASING & SERVICES (28.6%)
Asset Securitization Corp.
5.52%, 6/5/98 2,000 1,980
Atlantic Asset Securitization
Corp.
5.58%, 4/13/98 2,641 2,636
Commercial Credit Co.
5.47%, 4/17/98 2,000 1,995
First Chicago Financial Corp.
5.50%, 6/15/98 2,000 1,977
5.56%, 5/6/98 1,000 995
General Reinsurance Corp.
5.72%, 4/23/98 2,000 1,993
Greenwich Funding
5.53%, 5/14/98 3,000 2,980
International Lease Finance Corp.
5.43%, 5/14/98 2,000 1,987
5.48%, 6/3/98 1,000 990
Kimberly Clark
5.50%, 4/24/98 2,000 1,993
Merrill Lynch & Co.
5.45%, 5/6/98 2,000 1,989
5.49%, 4/17/98 1,000 998
National Rural Utilities
Cooperative Finance Corp.
5.45%, 5/20/98 2,000 1,985
5.68%, 4/28/98 1,000 996
Panasonic Finance, Inc.
5.52%, 4/28/98 3,000 2,988
Texaco, Inc.
5.48%, 6/22/98 2,000 1,975
USAA Capital Corp.
5.45%, 4/7/98 1,000 999
- ----------------------------------------------------
GROUP TOTAL 31,456
- ----------------------------------------------------
INDUSTRIALS (7.2%)
General Electric Capital Corp.
5.45%, 6/5/98 1,000 990
5.49%, 7/2/98 2,000 1,972
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
General Motors Acceptance Corp.
5.51%, 6/3/98 $2,000 $ 1,981
IBM Credit Corp.
5.52%, 5/7/98 3,000 2,983
- ----------------------------------------------------
GROUP TOTAL 7,926
- ----------------------------------------------------
MANUFACTURING AND RETAIL TRADE (4.5%)
Eastman Kodak
5.51%, 5/21/98 2,000 1,985
Electronic Data Systems
5.55%, 4/7/98 3,000 2,997
- ----------------------------------------------------
GROUP TOTAL 4,982
- ----------------------------------------------------
PERSONAL BANKING & CREDIT (5.4%)
Metlife Funding, Inc.
5.49%, 4/28/98 986 982
Prudential Funding Corp.
5.51%, 6/1/98 2,000 1,981
Transamerica Corp.
5.52%, 4/23/98 3,000 2,990
- ----------------------------------------------------
GROUP TOTAL 5,953
- ----------------------------------------------------
TRANSPORTATION (2.7%)
Daimler-Benz North America Corp.
5.46%, 4/28/98 2,000 1,992
5.50%, 5/22/98 1,000 992
- ----------------------------------------------------
GROUP TOTAL 2,984
- ----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $81,093) 81,093
- ----------------------------------------------------
CERTIFICATES OF DEPOSIT (16.4%)
- ----------------------------------------------------
COMMERCIAL BANKING & CREDIT (16.4%)
ABN-Amro Chicago
5.69%, 3/22/99 1,000 1,000
ABN-Amro Finance
5.53%, 7/7/98 1,000 1,000
Bank of Montreal, Chicago
5.85%, 11/6/98 1,000 1,000
Barclays Bank
5.83%, 6/19/98 1,000 1,000
Barclays Bank, New York
5.50%, 5/5/98 1,000 1,000
Canadian Imperial Bank of
Commerce
5.50%, 4/27/98 2,000 2,000
Chase Manhattan Corp.
5.56%, 6/2/98 2,000 2,000
Commerzbank U.S. Finance, Inc.
5.60%, 2/11/99 1,000 998
Credit Agricole Indosuez
5.74%, 3/29/99 1,000 999
CS First Boston
5.60%, 2/11/99 2,000 2,000
Deutsche Bank
5.50%, 7/29/98 1,000 1,000
5.60%, 2/11/99 1,000 1,000
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
Landesbank Hessen Thueingen, New
York
5.88%, 4/7/98 $1,000 $ 1,000
National Westminster Bank
5.52%, 8/5/98 1,000 1,000
Swiss Bank (NY)
5.90%, 12/16/98 1,000 1,000
- ----------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $17,997) 17,997
- ----------------------------------------------------
AGENCY FLOATING RATE MORTGAGE (6.4%)
- ----------------------------------------------------
## Federal Home Loan Mortgage Corp.
5.46%, 6/22/98
(Cost $7,000) 7,000 7,000
- ----------------------------------------------------
REPURCHASE AGREEMENT (3.4%)
- ----------------------------------------------------
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased at
$3,707, collateralized by
various U.S. Government
Obligations, due
4/1/98-11/15/99, valued at
$3,717 (Cost $3,706) 3,706 3,706
- ----------------------------------------------------
TOTAL INVESTMENTS (99.9%) (Cost $109,796) 109,796
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.1%)
Interest Receivable 264
Receivable for Fund Shares Sold 4
Other Assets 5
Dividend Payable (30)
Payable for Fund Shares Redeemed (14)
Payable for Investment Advisory Fees (61)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred
Compensation Plan-Note F (3)
Other Liabilities (17)
--------
140
- ----------------------------------------------------
NET ASSETS (100%) $109,936
- ----------------------------------------------------
NET ASSETS
Applicable to 109,934,190 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $109,936
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid In Capital $109,936
- ----------------------------------------------------
NET ASSETS (100%) $109,936
- ----------------------------------------------------
! See Note A1 to Financial Statements.
## Variable or floating rate security-rate disclosed is as
of March 31, 1998.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio II invests in all sectors of the investment-grade
bond market. Miller Anderson & Sherrerd constructs a diversified fund with a
maturity and duration structure reflecting long-term views on interest rates and
inflation. MAS selects investments in U.S. Treasuries, agencies,
investment-grade corporate bonds, mortgages, foreign and other fixed-income
securities based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS FIXED SALOMON
INCOME II INSTITUTIONAL BROAD INDEX
-------------------------------------
<S> <C> <C>
SIX MONTHS 3.85% 4.60%
ONE YEAR 11.24 11.98
FIVE YEARS 7.29 7.00
SINCE INCEPTION 9.94 9.08
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
* The Fixed Income Portfolio II commenced operations on 8/31/90. Pursuant to a
vote of the Portfolio's shareholders on May 12, 1997, the Portfolio's investment
policies were changed to allow the Portfolio to invest in fixed-income
securities of domestic issuers rated BBB or higher at the time of purchase. The
Portfolio's performance pattern may have been affected by this change. Total
returns are compared to the Salomon Broad Investment Grade Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (84.0%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
RATINGS FACE
March 31, (STANDARD AMOUNT VALUE
1998 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (7.6%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-11/20/97 Tsy $ 20,753 $ 21,073
- -----------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (8.1%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
8.25%, 10/1/06 Agy 91 95
May TBA
6.50%, 5/15/28 Agy 2,200 2,176
Federal National Mortgage
Association
May TBA
6.50%, 5/15/28 Agy 23,350 20,101
- ----------------------------------------------------------
GROUP TOTAL 22,372
- -----------------------------------------------------------
ASSET BACKED CORPORATES (13.5%)
Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 407 408
ALPS, Series, 94-1 A4 CMO
7.80%, 9/15/04 AA 800 817
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 809 813
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 1,110 1,117
97-D A3
6.20%, 5/15/03 AAA 1,400 1,403
98-A A3
5.90%, 11/15/02 AAA 1,350 1,346
Banc One Auto Grantor
Trust,
Series 97-B A
6.29%, 7/20/04 AAA 1,326 1,332
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 1,138 1,140
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 555 558
(+) Credit Card Receivables
Trust, Series 98-IA A
6.478%, 12/22/04 AAA 672 671
</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>
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA $ 802 $ 802
Empire Funding Home Loan
Owner Trust,
Series 97-4 A2
7.16%, 5/25/12 AAA 1,000 1,011
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 495 498
First Plus Home 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
97-4 A2
6.30%, 8/10/09 AAA 650 650
97-4 A3
6.40%, 8/10/11 AAA 575 575
98-1 A3
6.04%, 10/10/13 AAA 1,025 1,016
First Security Auto Grantor
Trust, Series 97-B A
6.10%, 4/15/03 AAA 1,363 1,365
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA 825 827
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 900 900
+ 98-1 A2
5.85%, 4/1/11 Aaa 1,425 1,419
98-2 A3
6.05%, 10/1/07 AAA 1,350 1,347
(+)++ Health Care
Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 AAA 400 404
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 1,392 1,390
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 1,325 1,321
(+) Long Beach Acceptance
Auto Grantor Trust,
Series:
97-2 A
6.69%, 9/25/04 AAA 670 671
98-1 A
6.19%, 1/25/04 AAA 610 607
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,166
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA $ 1,469 $ 1,472
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 4/25/03 AA 1,350 1,353
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 254 254
(+) Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 475 479
97-1A
7.35%, 5/15/03 A- 1,300 1,343
UCFC Home Equity Loan,
Series 97-D A2
6.475%, 6/15/12 AAA 1,100 1,104
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 998 1,002
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 1,180 1,180
98-A A3
5.90%, 5/20/02 AAA 1,200 1,198
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 1,175 1,176
- ----------------------------------------------------------
GROUP TOTAL 37,439
- ----------------------------------------------------------
ASSET BACKED MORTGAGES (0.7%)
AFC Home Equity Loan Trust,
Series 96-4 1A6
7.22%, 3/25/27 AAA 1,000 1,013
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 12,180 291
sec. 96-3 A YMA 10/25/26
(acquired 12/24/96,
cost $23) N/R 12,180 17
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 9,298 237
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
(CONT'D)
- -----------------------------------------------------
<S> <C> <C> <C>
sec. 96-4 A11 I YMA
1/15/28
(acquired 12/16/96, cost
$22) AAA $ 9,298 $ 13
96-4 A12 I IO
1.05%, 1/15/28 AAA 2,510 64
(+) 96-4 A12 I YMA
1/15/28 AAA 2,510 4
97-1 A10 I IO
1.10%, 3/15/28 AAA 11,454 301
(+) 97-1 A10 I YMA
3/15/28 N/R 11,454 16
- -----------------------------------------------------
GROUP TOTAL 1,956
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.8%)
Federal Home Loan Mortgage
Corporation,
Series:
89-47 F PAC
10.00%, 6/15/20 Agy 400 434
1632-SA Inv Fl REMIC
5.229%, 11/15/23 Agy 884 789
1699-SD Inv Fl IO REMIC
2.25%, 3/15/24 Agy 8,874 699
1709-H PO REMIC
1/15/24 Agy 62 38
1813-K PO REMIC
2/15/24 Agy 60 49
1844-PC PO REMIC
3/15/24 Agy 110 81
1854-A PO REMIC
12/15/23 Agy 800 589
1887-I PO REMIC
10/15/22 Agy 65 49
Federal National Mortgage
Association,
Series:
93-149 O PO REMIC
8/25/23 Agy 123 90
93-205 G PO REMIC
9/25/23 Agy 474 338
93-235 H PO REMIC
9/25/23 Agy 171 147
96-14 PC PO
12/25/23 Agy 105 71
96-37 H PO REMIC
8/25/23 Agy 698 574
96-46 PB PO REMIC
9/25/23 Agy 110 83
96-54 O PO
11/25/23 Agy 87 60
287 1 PO
12/17/07 Agy 1,286 894
- -----------------------------------------------------
GROUP TOTAL 4,985
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (5.6%)
Bear Stearns Mortgage
Securities, Inc.,
Series 96-4 AI 10
8.125%, 9/25/27 AAA $ 1,100 $ 1,143
sec.++ Citicorp Mortgage
Securities, Inc., Series
95-2 B1 REMIC
7.50%, 4/25/25 (acquired
8/7/95-7/22/97, cost
$844) AA 868 881
First Boston Mortgage
Securities Corp.,
Series:
sec. 92-4 B1 REMIC
8.125%, 10/25/22
(acquired 1/25/93, cost
$308) A 321 334
++ 93-5 B1
7.30%, 7/25/23 AA+ 1,409 1,414
sec. Kidder Peabody Funding
Corp., Series 92-4 B2
8.467%, 5/28/22
(acquired 8/5/92, cost
$268) N/R 268 268
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 1,050 1,131
PNC Mortgage Securities
Corp., Series 96-1 B1
REMIC
7.50%, 6/25/26 AA 1,153 1,171
Prudential Home Mortgage
Securities Co., Inc.,
Series:
sec.+ 92-33 B1
7.50%, 8/15/22 (acquired
9/14/92, cost $516) Aa3 543 545
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 1,000 981
+ 93-17 B1
6.50%, 3/1/23 Aa2 592 589
(+)++## 94-A 3B3
6.803%, 4/28/24 A 1,450 1,419
Residential Accredit Loans
Inc.,
Series:
97-QS2 A8
7.75%, 3/25/27 AAA 525 542
97-QS4 A7
7.75%, 5/25/27 AAA 875 900
97-QS12 A7 REMIC
7.25%, 11/25/27 AAA 1,396 1,404
Residential Funding
Mortgage Securities Co.,
Inc.,
Series:
93-S27 M2
7.50%, 6/25/23 A 783 790
94-S1 A19
6.75%, 1/25/24 AAA 760 750
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- $ 732 $ 704
Ryland Mortgage Securities
Corp. III,
Series 92-A 1A
8.27%, 3/29/30 A- 507 516
- -----------------------------------------------------
GROUP TOTAL 15,482
- -----------------------------------------------------
COMMERCIAL MORTGAGES (10.7%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 1,039 1,063
++## 93-2 S1 IO
1.079%, 1/18/09 AAA 10,870 456
+ 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 1,211 1,278
95-MD4 A1
7.10%, 8/13/29 AAA 1,158 1,204
++## 95-MD4 ACS2 IO
2.364%, 8/13/29 AAA 2,127 370
(+)+ 96-D3 A1C
7.40%, 10/13/26 AAA 850 905
96-MD6 A1C
7.04%, 11/13/26 AAA 825 860
+ 97-D5 PS1 IO
1.536%, 2/14/41 Aaa 6,070 654
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 675 727
(+) Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A 1,400 1,433
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 720 815
(+) Crystal Run Properties,
Series A
7.393%, 8/15/11 AA 1,100 1,175
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 575 594
(+) DLJ Mortgage Acceptance
Corp.,
Series:
95-CF2 A3
7.05%, 12/17/27 A 1,100 1,119
96-CF1 A1B
7.58%, 3/13/28 AAA 1,100 1,172
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD MOUNT VALUE
& POOR'S) 000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
96-CF2 A1B
7.29%, 11/12/21 AAA $ 260 $ 273
++## 96-CF2 S IO
1.640%, 11/12/21 AAA 2,459 205
First Union-Lehman Brothers
Commercial Mortgage,
Series 97-C2 A3
6.65%, 12/18/07 AAA 1,125 1,143
+ GMAC Commercial Mortgage
Securities, Inc.,
Series:
## 96-C1 X2 IO
1.917%, 3/15/21 Aaa 3,566 299
97-C2 A3
6.566%, 11/15/07 Aaa 1,225 1,238
## 97-C2 X IO
1.273%, 4/15/27 Aaa 10,624 807
+ GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 550 571
## 97-GL X2 IO
0.930%, 7/13/30 Aaa 2,688 139
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 1,075 1,129
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 1,010 1,058
98-C1 IO
1.199%, 2/18/28 Aaa 11,150 746
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 1,100 1,153
96-C2 A2
6.82%, 11/21/28 AAA 400 409
++## 96-C2 IO
1.538%, 11/21/28 AAA 4,110 346
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 700 732
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 1,300 1,330
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 1,350 1,369
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
++## Nomura Asset
Securities Corp.,
Series:
94-MD1 A2
7.671%, 3/15/18 AA $ 750 $ 778
(+) Prime Property Funding,
Series 1A
6.633%, 7/23/03 AA 794 804
- -----------------------------------------------------
GROUP TOTAL 29,440
- -----------------------------------------------------
ENERGY (0.5%)
(+) Excel Paralubes Funding
7.43%,11/1/15 A- 1,275 1,321
- -----------------------------------------------------
FINANCE (10.1%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 705 755
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 1,350 1,438
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 1,370 1,421
Countrywide Funding Corp.,
Series A
6.55%, 4/14/00 A 1,000 1,008
(+) EOP Operating LP
6.625%, 2/15/05 BBB 1,000 996
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 1,200 1,231
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 975 1,128
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,162 1,182
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 1,225 1,285
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,650 1,687
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 1,250 1,326
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 800 831
7.45%, 7/1/04 A 200 208
(+) Florida Windstorm
6.70%, 8/25/04 A- 750 755
General Motors Acceptance
Corp.,
5.875%, 1/22/03 A- 1,080 1,067
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 875 871
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 850 851
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) NB Capital Trust
8.25%, 4/15/27 A- $ 505 $ 553
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 500 506
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 1,425 1,493
(+) Prime Property Funding
II
7.00%, 8/15/04 A 875 888
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 485 541
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 1,025 1,090
B
8.035%, 3/15/27 A 250 268
Washington Mutual Capital
8.375%, 6/1/27 BBB- 445 480
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 415 441
(+) Wells Fargo Capital,
Series:
A
8.125%, 12/1/26 BBB 1,150 1,218
I
7.96%, 12/15/26 BBB+ 220 231
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 1,729 1,777
96-WFP-D
6.95%, 9/1/13 AA- 450 465
- -----------------------------------------------------
GROUP TOTAL 27,991
- -----------------------------------------------------
FOREIGN GOVERNMENT (1.5%)
Government of Germany DEM
7.375%, 12/2/02 AAA 6,765 4,089
- -----------------------------------------------------
INDUSTRIALS (1.3%)
(+) Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- $ 1,005 1,029
News America Holdings
7.75%, 1/20/24 BBB- 375 393
7.75%, 2/1/24 BBB- 565 592
8.875%, 4/26/23 BBB- 370 434
(+) Oxymar
7.50%, 2/15/16 BBB 650 661
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 565 578
- -----------------------------------------------------
GROUP TOTAL 3,687
- -----------------------------------------------------
</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>
RATED NON-AGENCY FIXED RATE MORTGAGES (0.5%)
Bank of America, Series A
8.375%, 5/1/07 AAA $ 110 $ 111
California Federal Savings
& Loan, Series 86-1A
8.80%, 1/1/14 AA 69 69
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 36 37
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA 396 396
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 727 705
- -----------------------------------------------------
GROUP TOTAL 1,318
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.2%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 1,856 1,301
260 1 PO
4/1/24 Agy 790 610
282 1 PO
9/1/25 Agy 1,734 1,279
- -----------------------------------------------------
GROUP TOTAL 3,190
- -----------------------------------------------------
TELEPHONES (0.3%)
MCI Communications Corp.
6.95%, 8/15/06 A 915 941
- -----------------------------------------------------
TRANSPORTATION (0.8%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 1,070 1,069
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 950 1,201
- -----------------------------------------------------
GROUP TOTAL 2,270
- -----------------------------------------------------
U.S. TREASURY SECURITIES (14.9%)
U.S. Treasury Bond
!! 8.75%, 8/15/20 Tsy 5,045 6,724
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 8,974 8,699
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
3.625%, 7/15/02
(Inflation Indexed) Tsy $ 4,303 $ 4,259
3.625%, 1/15/08
(Inflation Indexed) Tsy 5,475 5,410
5.625%, 2/28/01 Tsy 5,000 4,998
6.25%, 4/30/01 Tsy 11,000 11,186
- -----------------------------------------------------
GROUP TOTAL 41,276
- -----------------------------------------------------
UTILITIES (0.2%)
(+) Edison Mission Energy
Funding Corp., Series B
7.33%,9/15/08 BBB 500 519
- -----------------------------------------------------
YANKEE (4.7%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 963 966
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 850 762
(+) Express Pipeline LP,
Series A
6.47%, 12/31/13 A 1,915 1,905
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 675 621
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BB 925 739
(+) Israel Electric Corp.,
Ltd.
7.75%, 12/15/27 A- 1,830 1,857
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 1,150 1,151
(+) Pacificorp Australia
LLC
6.15%, 1/15/08 AAA 700 690
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 800 384
(+) Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 1,015 945
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 1,030 1,079
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 850 880
Republic of Colombia
8.70%, 2/15/16 BBB- 810 793
(+) Samsung Electronics Co.
7.45%, 10/1/02 B+ 305 273
- -----------------------------------------------------
GROUP TOTAL 13,045
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$229,780) 232,394
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (1.7%)
- -----------------------------------------------------
INDUSTRIALS (0.2%)
Tier One Properties,
11.095% A 425 $ 410
- -----------------------------------------------------
MORTGAGE-OTHER (1.5%)
(+)+ Home Ownership Funding
Corp., 13.331% Aaa 4,350 4,172
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $4,790) 4,582
- -----------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- -----------------------------------------------------
FACE
AMOUNT
(000)
--------
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 $243) AA- $ 57,500 53
- -----------------------------------------------------
CASH EQUIVALENTS (29.9%)
- -----------------------------------------------------
Short-term Investments
Held as Collateral for Loaned
Securities (8.0%) 22,171 22,171
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (16.2%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
10.00%, 9/1/17-11/1/20 Agy 1,182 1,304
10.25%, 7/1/09 Agy 227 250
11.00%, 1/1/16 Agy 298 336
11.25%, 9/1/10-12/1/14 Agy 336 379
Gold Pools:
10.00%, 10/1/19-11/1/21 Agy 1,996 2,210
10.50%, 3/1/16 Agy 1,115 1,243
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 311 312
## 1933-FQ REMIC
6.50%, 3/15/25 Agy 597 600
## 2040-FC
5.975%, 2/15/23 Agy 1,475 1,479
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association
Conventional Pools:
10.00%, 3/1/20-5/1/22 Agy $ 1,244 $ 1,378
10.50%, 11/1/17-2/1/28 Agy 1,109 1,251
10.75%, 8/1/13 Agy 101 113
11.25%, 11/1/00-8/1/13 Agy 206 235
11.50%, 1/1/17-9/1/25 Agy 780 891
Series:
## 92-43 FC REMIC
6.35%, 10/25/21 Agy 1,328 1,341
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 1,051 1,055
## 97-43 FM REMIC
6.25%, 7/18/27 Agy 823 829
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 712 716
## 97-76 FM
6.20%, 9/17/27 Agy 869 875
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 3,300 3,307
Government National Mortgage
Association
Adjustable Rate Mortgages:
7.00%, 2/20/25-7/20/25 Tsy 3,063 3,124
7.125%, 7/20/25 Tsy 660 674
7.375%, 4/20/25-6/20/25 Tsy 6,179 6,302
Various Pools:
9.50%, 9/15/22-1/15/28 Tsy 2,931 3,203
10.00%, 4/15/11-12/15/20 Tsy 7,000 7,800
10.50%, 12/15/00-5/15/19 Tsy 109 122
11.00%, 2/15/10-2/15/19 Tsy 1,151 1,318
11.50%, 8/20/14-1/20/18 Tsy 17 18
April TBA
9.50%, 4/15/98 Tsy 1,825 2,001
- -----------------------------------------------------
GROUP TOTAL 44,666
- -----------------------------------------------------
REPURCHASE AGREEMENT (5.7%)
Chase Securities, Inc. 5.75%
dated 3/31/98, due 4/1/98, to
be repurchased at $15,862,
collateralized by various U.S.
Government Obligations due
4/1/98-11/15/99, value at
$15,907 15,860 15,860
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $82,579) 82,697
- -----------------------------------------------------
TOTAL INVESTMENTS (115.6%) (Cost $317,392) 319,726
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-15.6%)
Dividends Receivable $ 157
Interest Receivable 2,625
Receivable for Investments Sold 22,891
Receivable for Fund Shares Sold 1,282
Unrealized Gain on Forward Foreign Currency
Contracts 129
Unrealized Gain on Swap Agreements 35
Other Assets 9
Payable for Investments Purchased (47,733)
Payable for Investment Advisory Fees (242)
Payable for Administrative Fees (18)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Payable for Daily Variation on Futures
Contracts (25)
Collateral on Securities Loaned, at Value (22,171)
Other Liabilities (41)
--------
(43,111)
- -----------------------------------------------------
NET ASSETS (100%) $276,615
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 24,216,000 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $276,615
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.42
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $267,343
Undistributed Net Investment Income (Loss) 5,336
Undistributed Realized Net Gain (Loss) 1,484
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,334
Foreign Currency Transactions 127
Futures and Swaps (9)
- -----------------------------------------------------
NET ASSETS $276,615
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
- -----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$2,058 or 0.7% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
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 March 31,
1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- -------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mortgage-Backed Securities Portfolio invests in a full range of mortgage
securities, collateralized mortgage obligations (CMOs), asset-backed securities,
U.S. Government securities, other fixed-income securities and derivative
instruments. Miller Anderson & Sherrerd selects mortgages that appear most
attractively priced, while managing the Portfolio's prepayment risk, interest
rate sensitivity and yield curve sensitivity.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS
MORTGAGE-BACKED LEHMAN
SECURITIES MORTGAGE INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 3.56% 4.04%
ONE YEAR 10.34 11.14
FIVE YEARS 7.17 6.93
SINCE INCEPTION 7.48 7.46
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Mortgage-Backed Securities Portfolio commenced operations on 1/31/92.
Total returns are compared to the Lehman Brothers Mortgage Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (25.2%)
## Government National
Mortgage Association
Various Pools:
6.00%, 10/20/27-1/20/28 Tsy $ 7,129 $ 7,218
6.50%, 8/20/27 Tsy 2,798 2,848
- -----------------------------------------------------
GROUP TOTAL 10,066
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
=====================================================
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (40.1%)
Federal Home Loan Mortgage
Corporation May TBA
6.50%, 5/15/28-6/15/28 Agy $ 14,975 $ 14,810
Federal National Mortgage
Association May TBA
6.50%, 8/15/24-5/15/28 Agy 1,250 1,235
- -----------------------------------------------------
GROUP TOTAL 16,045
- -----------------------------------------------------
ASSET BACKED CORPORATES (0.3%)
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 26 25
Security Pacific Home
Equity Trust, Series 91-A
B
10.50%, 3/10/06 A+ 108 108
- -----------------------------------------------------
GROUP TOTAL 133
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (6.1%)
Federal Home Loan Mortgage
Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy 185 200
1415-S Inv Fl IO
18.50%, 11/15/07 Agy 128 57
1476-S Inv Fl IO REMIC
PAC
4.26%, 2/15/08 Agy 1,018 114
1485-S Inv Fl IO REMIC
3.85%, 3/15/08 Agy 1,690 153
1600-SA Inv Fl IO REMIC
2.25%, 10/15/08 Agy 2,816 156
1950-SC Inv Fl IO
2.25%, 10/15/22 Agy 3,450 301
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
28.183%, 9/25/20 Agy 38 57
</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>
92-52 SQ Inv Fl IO REMIC
7041.565%, 9/25/22 Agy $ 1 $ 186
92-186 S Inv Fl IO REMIC
3.26%, 10/25/07 Agy 2,014 163
93-205 G PO REMIC
9/25/23 Agy 180 129
93-235 H PO REMIC
9/25/23 Agy 66 57
96-68 SC Inv Fl IO REMIC
2.35%, 1/25/24 Agy 432 54
97-30 Inv Fl IO REMIC
2.25%, 7/25/22 Agy 1,035 91
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO REMIC
2.75%, 6/16/26 Tsy 4,117 268
96-13 S Inv Fl IO REMIC
3.40%, 7/16/11 Tsy 1,636 134
96-17 S Inv Fl IO REMIC
2.80%, 8/16/26 Tsy 1,982 135
+ Kidder Peabody Mortgage
Assets Trust,
Series:
87-B IO
9.50%, 4/22/18 Aaa 173 44
87-B PO
4/22/18 Aaa 173 135
- -----------------------------------------------------
GROUP TOTAL 2,434
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (10.2%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 351 372
Citicorp Mortgage
Securities, Inc., Series
93-9 A1 REMIC
7.00%, 3/25/20 AAA 44 44
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-10/27/93, cost
$143) A 141 147
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired
8/5/92-10/27/93, cost
$117) N/R 115 115
Mid-State Trust II, Series
88-2 A4
9.625%, 4/1/03 AAA 590 635
PNC Mortgage Securities
Corp., Series 96-1 B1
REMIC
7.50%, 6/25/26 AA 304 309
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Prudential Home Mortgage
Securities Co. Inc.,
Series:
sec.+ 92-33 B1
7.50%, 11/15/22
(acquired 11/30/92, cost
$217) Aa3 $ 253 $ 254
(+)++## 94-A 3B3
6.803%, 4/28/24 A 910 891
Residential Accredit Loans
Inc.,
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 190 193
97-QS2 A8
7.75%, 3/25/27 AAA 85 88
97-QS3 A8
7.75%, 4/25/27 AAA 170 176
97-QS12 A7
7.25%, 11/25/27 AAA 224 226
Residential Funding
Mortgage Securities Co.,
Inc., Series 94-S1 A19
6.75%, 1/25/24 AAA 299 295
Rural Housing Trust, Series
87-1 B1 REMIC
3.33%, 10/1/28 A- 320 308
- -----------------------------------------------------
GROUP TOTAL 4,053
- -----------------------------------------------------
COMMERCIAL MORTGAGES (10.0%)
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 217 226
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 140 149
96-MD6 A1C
7.04%, 11/13/26 AAA 140 146
Beverly Finance Corp. ,
Series 94-1
8.36%, 7/15/04 AA- 285 307
DLJ Mortgage Acceptance
Corp.,
Series:
93-MF7 A1
7.40%, 6/18/03 AAA 240 246
(+) 96-CF2 A1B
7.29%, 11/12/21 AAA 45 47
(+)++## 96-CF2 S IO
1.641%, 11/12/21 AAA 470 39
Federal National Mortgage
Association,
## Series 93-M2 B IO
REMIC
2.587%, 7/25/03 Agy 492 17
First Union-Lehman Brothers
Commercial Mortgage
Trust, Series 97-C2 A3
6.65%, 12/18/07 AAA 200 203
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.273%, 4/15/27 Aaa $ 1,696 $ 129
+ GS Mortgage Securities
Corp. II, Series 97-GL
A2D
6.94%, 7/13/30 Aaa 105 109
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 125 131
(+) Lakeside Finance
Corp.
6.47%, 12/15/00 AA 315 316
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 164 171
98-C1 IO
1.199%, 2/18/28 Aaa 1,675 112
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 70 72
++## 96-C2 IO
1.538%, 11/21/28 AAA 731 62
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 120 125
+ Mortgage Capital Funding,
Inc.,
Series:
97-MC1 A3
7.288%, 7/20/27 Aaa 225 236
97-MC2 A2
6.664%, 9/20/07 Aaa 225 228
++ Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 AAA 169 172
## 94-MD1 A2
7.671%, 3/15/18 AA 150 156
(+) Prime Property
Funding, Series 1 A
6.633%, 7/23/03 AA 259 262
Sawgrass Financial LLC,
Series 93-1 A
6.45%, 1/20/06 AAA 340 343
- -----------------------------------------------------
GROUP TOTAL 4,004
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (0.8%)
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA $ 265 $ 265
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 64 63
- -----------------------------------------------------
GROUP TOTAL 328
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (1.9%)
Federal National Mortgage
Association,
Series:
96-27 A PO REMIC
10/25/23 Agy 345 180
249 1 PO
10/25/23 Agy 107 74
260 1 PO
4/1/24 Agy 122 94
282 1 PO
9/1/25 Agy 534 394
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 131 31
- -----------------------------------------------------
GROUP TOTAL 773
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$37,420) 37,836
- -----------------------------------------------------
PREFERRED STOCK (2.5%)
- -----------------------------------------------------
<CAPTION>
SHARES
--------
<S> <C> <C> <C>
MORTGAGE-OTHER (2.5%)
(+)+ Home Ownership
Funding Corp.
13.331% (Cost $1,054) Aaa 1,050 1,007
- -----------------------------------------------------
STRUCTURED INVESTMENTS (0.2%)-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 $184) N/R $ 4,106 96
- -----------------------------------------------------
</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>
INTEREST RATE CAPS (0.0%)-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. A- $ 6,600 $ 6
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. AA- 10,000 9
- -----------------------------------------------------
TOTAL INTEREST RATE CAPS (Premium Paid $67) 15
- -----------------------------------------------------
CASH EQUIVALENTS (30.4%)
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (28.0%)
Federal Home Loan Mortgage
Corporation
Gold Pools:
9.50%, 12/1/22 Agy 329 360
10.00%, 2/1/18 Agy 303 334
11.50%, 2/1/14-1/1/16 Agy 162 185
12.50%, 9/1/11-11/1/14 Agy 133 156
Series:
1377 F Inv Fl
6.25%, 9/15/07 Agy 179 180
1591 FG Inv Fl
6.313%, 10/15/23 Agy 146 146
1660 FA Inv Fl
6.35%, 12/15/08 Agy 422 427
1890 F Inv Fl REMIC
6.25%, 6/15/24 Agy 423 425
## 1933 FM REMIC
6.50%, 3/15/25 Agy 51 51
## 2040 FC
5.975%, 2/15/23 Agy 230 231
Federal National Mortgage
Association
Various Pools:
10.00%, 2/1/25-9/1/18 Agy 671 742
11.50%, 2/1/15-12/1/15 Agy 130 148
12.50%, 9/1/13 Agy 13 15
13.00%, 9/1/13 Agy 52 60
Series:
92-43 FD Inv Fl
6.26%, 4/25/22 Agy 477 485
93-179 F Inv Fl
6.16%, 10/25/23 Agy 95 95
94-40 F Inv Fl
6.16%, 4/25/23 Agy 185 187
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 207 208
97-70 FA REMIC, PAC (11)
6.138%, 7/18/20 Agy 79 79
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
## 98-22 FA REMIC
6.025%, 4/18/28 Agy $ 500 $ 501
Government National Mortgage
Association Adjustable Rate
Mortgages:
7.00%, 3/20/25-7/20/25 Tsy 669 682
7.375%, 4/20/25-5/20/25 Tsy 754 769
Various pools:
9.50%, 12/15/17-12/15/21 Tsy 575 628
10.00%, 1/15/13-12/25/26 Tsy 1,661 1,848
10.50%, 12/15/10-12/15/17 Tsy 292 329
11.00%, 12/15/09-9/15/15 Tsy 97 112
11.50%, 4/15/13-5/15/13 Tsy 35 40
12.00%, 12/15/12-11/15/15 Tsy 1,065 1,239
April TBA:
10.00%, 4/15/28 Tsy 350 389
Salomon Brothers Mortgage
Securities VII,
Series 96-6E A1 Inv Fl
6.213%, 3/30/25 AAA 131 131
- -----------------------------------------------------
GROUP TOTAL 11,182
- -----------------------------------------------------
U.S. TREASURY SECURITY (1.3%)
!! U.S. Treasury Bill
4/2/98 Tsy 515 515
- -----------------------------------------------------
REPURCHASE AGREEMENT (1.1%)
Chase Securities, Inc. 5.75%
dated 3/31/98, due 4/1/98, to
be repurchased at $423,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99 valued at $424 423 423
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $12,100) 12,120
- -----------------------------------------------------
TOTAL INVESTMENTS (127.7%) (Cost $50,825) 51,074
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-27.7%)
Cash 1
Dividends Receivable 35
Interest Receivable 403
Receivable for Investments Sold 15,683
Receivable for Fund Shares Sold 10
Unrealized Gain on Swap Agreements 12
Other Assets 2
Payable for Investments Purchased (27,141)
Payable for Investment Advisory Fees (32)
Payable for Administrative Fees (3)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Payable for Daily Variation on Futures
Contracts (33)
Other Liabilities (15)
--------
(11,080)
- -----------------------------------------------------
NET ASSETS (100%) $ 39,994
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 3,765,046 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 39,994
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.62
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 41,643
Undistributed Net Investment Income (Loss) 546
Undistributed Realized Net Gain (Loss) (2,470)
Unrealized Appreciation (Depreciation) on:
Investment Securities 249
Futures and Swaps 26
- -----------------------------------------------------
NET ASSETS $ 39,994
- -----------------------------------------------------
- -----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$516 or 1.3% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1998.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Limited Duration Portfolio has a dual philosophy for achieving its
objective: earn positive real returns and minimize the possibility of a negative
return in a single quarter. Limiting average duration to between one and three
years helps control interest rate risk while allowing for a broad spectrum of
investment opportunities. The Portfolio invests in U.S. Treasury and agency
securities, investment-grade corporate bonds, mortgage-backed securities and
money market instruments, including floating-rate notes.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS LIMITED SALOMON
DURATION 1-3 YEAR INDEX
-----------------------------
<S> <C> <C>
SIX MONTHS 2.83% 3.17%
ONE YEAR 6.96 7.47
FIVE YEARS 5.24 5.49
SINCE INCEPTION 5.97 5.97
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Limited Duration Portfolio commenced operations on 3/31/92. Total returns
are compared to the Salomon 1-3 Year Treasury/Government Sponsored Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (79.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (12.6%)
## Government National
Mortgage Association
Various Pools:
6.00%, 9/20/27-11/20/27 Tsy $11,881 $ 12,045
6.50%, 8/20/27 Tsy 15,856 16,141
- -----------------------------------------------------
GROUP TOTAL 28,186
- -----------------------------------------------------
ASSET BACKED CORPORATES (26.2%)
(+)ACC Automobile
Receivables Trust, Series
97-C A
6.40%, 3/17/04 AAA 838 839
Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 1,081 1,084
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 132 132
96-B A
6.60%, 4/15/01 A 237 237
97-A A
6.35%, 10/15/02 AAA 639 640
ALPS,
Series 94-1 A2 CMO
7.15%, 9/15/04 AA 837 853
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 478 480
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 770 775
98-A A3
5.90%, 11/15/02 AAA 1,100 1,097
Associates Manufactured
Housing Pass Through
Certificates,
Series 97-1 A3
6.60%, 6/15/28 AAA 845 849
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 168 169
95-A B
7.65%, 3/15/02 A 167 169
Champion Home Equity
Loan Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 650 654
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
(CONT'D)
- -----------------------------------------------------
<S> <C> <C> <C>
96-4 A2
6.66%, 11/25/11 AAA $ 875 $ 878
Cityscape Home Equity Loan
Trust,
Series:
96-3 A2
6.65%, 6/25/11 AAA 600 598
97-1 A3
6.63%, 3/25/18 AAA 1,300 1,295
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 431 432
97-2 A
6.65%, 10/15/02 AAA 396 399
(+)Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 523 522
Crown Home Equity Loan
Trust,
Series 96-1 A2
6.51%, 6/25/11 AAA 950 948
CS First Boston Mortgage
Securities Corp.,
Series 96-2 A2
6.32%, 3/25/05 AAA 1,125 1,120
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 555 555
Delta Funding Home Equity
Loan Trust, Series 96-3 A2
6.525%, 10/25/11 AAA 950 951
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 1,175 1,173
(+) 97-2 A1
6.85%, 11/15/02 AAA 456 460
First Plus Home Loan Trust,
Series:
96-3 A2
6.85%, 6/20/07 AAA 975 975
96-4 A3
6.28%, 3/10/09 AAA 900 899
97-1 A3
6.45%, 6/10/09 AAA 1,300 1,302
97-4 A2
6.30%, 8/10/09 AAA 475 475
97-4 A3
6.40%, 8/10/11 AAA 425 425
First Security Auto Grantor
Trust, Series 97-B A
6.10%, 4/15/03 AAA 965 966
First Union Residential
Securitization Trust,
Series 96-2 A2
6.46%, 9/25/11 AAA 1,025 1,023
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA $ 439 $ 438
Ford Credit Auto Owner
Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA 1,455 1,458
96-B
6.55%, 2/15/02 A 400 403
97-B A3
6.05%, 4/15/01 AAA 1,275 1,278
Ford Credit Grantor Trust,
Series 94-B A
7.30%, 10/15/99 AAA 301 302
General Electric Home Equity
Loan Asset-Backed
Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 850 865
General Motors Acceptance
Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 660 664
Green Tree Financial Corp.,
Series:
97-7 A2
6.10%, 5/15/03 AAA 1,055 1,056
+ 98-1 A2
5.85%, 4/1/11 Aaa 1,175 1,170
98-2 A3
6.05%, 10/1/07 AAA 1,100 1,098
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 825 825
Greenwich Capital
Acceptance, Inc., Series
95-B A1
6.00%, 8/10/20 AAA 211 211
(+)++ Health Care
Receivables Securitization
Program,
Series 97-1 A
6.815%, 7/1/01 AAA 300 303
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 1,007 1,006
97-B A
5.95%, 5/15/03 AAA 715 715
IBM Credit Receivables Lease
Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA 89 88
IMC Home Equity Loan Trust,
Series:
96-4 A3
6.81%, 7/25/11 AAA 500 501
98-1 A2
6.31%, 12/20/12 AAA 1,100 1,097
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+)Long Beach Acceptance
Auto Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA $ 968 $ 970
97-2 A
6.69%, 9/25/04 AAA 481 482
98-1 A
6.19%, 1/25/04 AAA 635 631
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 1,025 1,027
(+)National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 600 622
Navistar Financial Corp.
Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 1,150 1,153
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 1,490 1,492
Oakwood Mortgage Investors,
Inc.,
Series 95-B A1
6.25%, 1/15/21 AAA 36 36
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 77 76
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 148 148
94-B B
6.95%, 6/15/01 AAA 225 227
Onyx Acceptance Grantor
Trust,
Series:
94-1 A
6.90%, 1/17/00 AAA 73 73
97-2 A
6.35%, 10/15/03 AAA 1,536 1,543
97-3 A
6.35%, 1/15/04 AAA 673 676
Preferred Credit Corp.,
Series 97-1 A3
6.91%, 5/1/07 AAA 850 850
Premier Auto Trust,
Series:
94-3 B
6.80%, 12/2/99 AA 234 235
95-A A4
6.00%, 5/6/00 AAA 771 772
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+)Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 4/25/03 AA $ 925 $ 927
(+)Securitized Multiple
Asset Rated Trust, Series
98-1 A1
7.45%, 3/16/06 A 722 721
Security Pacific Home Loan
Equity Trust, Series 91-1
B
8.85%, 5/15/98 AAA 607 609
Southern Pacific Secured
Assets Corp., Series 96-1
A2
6.09%, 3/25/27 AAA 35 35
(+)Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 1,100 1,108
97-1A
7.35%, 5/15/03 A- 875 904
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 584 586
97-B A2
6.70%, 6/8/03 AAA 800 810
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 981 982
+ Vanderbilt Mortgage
Finance,
Series 97-B 1A2
6.775%, 12/7/28 Aaa 1,275 1,288
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 915 915
97-D A4
6.25%, 3/20/03 AAA 1,000 1,003
Western Financial Auto
Grantor Trust,
Series:
93-A1
4.45%, 7/1/98 AAA 4 4
93-2 A2
4.70%, 10/1/98 AAA 9 9
93-3 A1
4.25%, 12/1/98 AAA 16 15
94-1 A1
5.10%, 6/1/99 AAA 45 45
World Omni Automobile Lease
Securitization Trust,
Series 97-B A2
6.08%, 11/25/03 AAA 850 851
- -----------------------------------------------------
GROUP TOTAL 58,677
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S (000) (000)!
(CONT'D)
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (6.5%)
Federal Home Loan Mortgage
Corporation,
Series:
181-D REMIC
8.50%, 6/15/16 Agy $ 496 $ 494
1462-PE REMIC, PAC-1 (11)
6.75%, 9/15/16 Agy 910 916
1542-H PAC-1
6.50%, 10/15/20 Agy 1,160 1,172
1548-G SEQ
6.00%, 4/15/17 Agy 782 781
1560-PE REMIC, PAC-1 (11)
6.00%, 11/15/16 Agy 1,250 1,250
1576-PD REMIC, PAC (11)
5.50%, 9/15/02 Agy 404 403
1602-PD PAC-1 (11)
5.20%, 1/15/15 Agy 417 415
1680-PB PAC-1 (11)
5.70%, 6/15/12 Agy 86 86
1839-A REMIC, PAC (11)
6.50%, 7/15/17 Agy 933 939
1931-A SEQ
7.25%, 6/15/21 Agy 791 800
Federal National
Mortgage Association,
Series:
93-16 B
7.50%, 10/25/19 Agy 810 814
93-70 B REMIC
5.75%, 4/25/16 Agy 814 809
93-83 A
5.55%, 11/25/16 Agy 674 669
94-93 PD PAC-1 (11)
7.25%, 4/25/15 Agy 800 804
96-40 K
5.75%, 11/25/16 Agy 1,625 1,616
97-67 HB
6.50%, 12/17/21 Agy 1,276 1,277
97-67 HD
6.00%, 12/17/21 Agy 1,496 1,484
- -----------------------------------------------------
GROUP TOTAL 14,729
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1 REMIC
7.00%, 3/25/20 AAA 36 36
- -----------------------------------------------------
COMMERCIAL MORTGAGES (1.9%)
Asset Securitization Corp.,
Series 97-D5 A1A
6.50%, 2/14/41 AAA 910 919
+ Carolina First Bank,
Series 96
6.50%, 12/18/99 Aa2 156 156
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
CBM Funding Corp.,
Series 96-1B A1
7.55%, 2/1/13 AA $ 367 $ 371
Lehman Large Loan,
Series 97-LLI A1
6.79%, 6/12/04 AAA 1,189 1,215
+ Midland Realty Acceptance
Corp.,
Series 96-C2 A1
7.02%, 1/25/27 Aaa 569 584
+ Town & Country Funding
Corp.,
Series A
5.85%, 8/15/98 Aa2 1,000 998
- -----------------------------------------------------
GROUP TOTAL 4,243
- -----------------------------------------------------
FINANCE (10.7%)
Allstate Corp.
5.875%, 6/15/98 A 1,125 1,125
American General Finance
Corp.,
Series:
D
6.35%, 9/19/00 A+ 545 554
E
6.26%, 12/15/00 A+ 90 90
Associates Corp. of North
America
8.25%, 12/1/99 AA- 800 829
Bankers Trust New York Corp.
6.625%, 7/30/99 A 635 640
Barclays American Corp.
7.875%, 8/15/98 AA 450 454
Beneficial Corp.
6.45%, 6/19/00 A 670 675
Chase Manhattan Bank
5.875%, 8/4/99 A+ 1,375 1,375
Chrysler Financial Corp.
6.375%, 1/28/00 A- 775 780
CIT Group Holdings
6.375%, 10/1/02 A+ 915 923
Countrywide Funding Corp.,
Series A
7.32%, 8/15/00 A 650 666
(+)Farmers Insurance
Exchange
8.50%, 8/1/04 BBB- 700 770
(+)First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 700 716
(+)Florida Property &
Casualty
7.375%, 7/1/03 A- 375 390
7.45%, 7/1/04 A 150 156
(+)Florida Windstorm
6.70%, 8/25/04 A- 425 428
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 675 688
8.375%, 1/15/00 A 400 416
</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>
General Motors Acceptance
Corp.
+ 6.00%, 12/30/98 A3 $ 600 $ 601
7.25%, 6/22/99 A 285 289
Heller Financial, Inc.
6.25%, 3/1/01 BBB+ 1,605 1,603
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 861 878
Household International
6.00%, 3/15/99 A 575 574
(+)Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 925 942
International Lease Finance
8.28%, 2/3/00 A+ 550 571
John Deere Capital Corp.
5.85%, 1/15/01 A+ 1,345 1,340
Lehman Brothers Holding,
Inc.
6.625%, 11/15/00 A 725 732
(+)Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 1,555 1,548
Norwest Financial Inc.,
Series B
6.05%, 11/19/99 AA- 1,285 1,288
(+)Prime Property Funding
II
6.80%, 8/15/02 A 785 793
(+)Prudential Insurance
Co.
6.875%, 4/15/03 A- 1,100 1,119
- -----------------------------------------------------
GROUP TOTAL 23,953
- -----------------------------------------------------
FLOATING RATE NOTES (0.1%)
## ALPS,
Series 1 A5
6.04%, 3/15/19 AA 160 160
- -----------------------------------------------------
INDUSTRIAL (1.0%)
(+) EES Coke Battery Co.,
Inc.
7.125%, 4/15/02 BBB 542 549
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 518 522
Philip Morris Cos., Inc.
8.75%, 6/1/01 A 520 556
RJR Nabisco, Inc.
8.625%, 12/1/02 BBB- 575 604
- -----------------------------------------------------
GROUP TOTAL 2,231
- -----------------------------------------------------
TAXABLE MUNICIPALS (0.4%)
New York State Power
Authority Revenue Bonds,
Series B
6.11%, 2/15/11 AA- 805 802
- -----------------------------------------------------
TELEPHONES (0.3%)
Tele-Communications, Inc.,
Series 95-C A1
8.25%, 1/15/03 BBB- 550 588
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
U.S. TREASURY SECURITIES (18.9%)
U.S. Treasury Notes
3.625%, 7/15/02
(Inflation Indexed) Tsy $26,721 $ 26,454
5.625%, 2/28/01 Tsy 6,600 6,598
6.375%, 3/31/01 Tsy 9,000 9,177
- -----------------------------------------------------
GROUP TOTAL 42,229
- -----------------------------------------------------
UTILITIES (0.3%)
(+) Edison Mission Energy
Funding Corp.
6.77%, 9/15/03 BBB 671 678
- -----------------------------------------------------
YANKEE (1.0%)
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 600 538
Korea Development Bank
7.375%, 9/17/04 BB+ 470 426
(+)Oil Purchase Co.
7.10%, 10/31/02 BBB 600 601
Sony Corp
6.125%, 3/4/03 A 650 649
- -----------------------------------------------------
GROUP TOTAL 2,214
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$178,514) 178,726
- -----------------------------------------------------
PREFERRED STOCK (0.8%)
- -----------------------------------------------------
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.8%)
+ Home Ownership
Funding Corp.
13.331% (Cost $1,806) Aaa 1,800 1,726
- -----------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
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 $370) A- $96,748 90
- -----------------------------------------------------
CASH EQUIVALENTS (18.8%)
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (15.0%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 4/1/10-10/1/20 Agy 1,292 1,427
10.50%, 12/1/14 Agy 280 308
11.00%, 8/1/15-5/1/20 Agy 235 265
11.50%, 12/1/08-1/1/18 Agy 1,083 1,232
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Gold Pools:
10.00%, 2/1/21-10/1/21 Agy $ 271 $ 301
10.50%, 1/1/19-10/1/20 Agy 912 1,017
11.50%, 8/1/10 Agy 170 191
12.00%, 6/1/15-9/1/15 Agy 486 549
Series:
## 1386 D REMIC
6.25%, 10/15/07 Agy 1,488 1,496
Federal National
Mortgage Association
Conventional Pools:
10.00%, 8/1/16-12/1/15 Agy 862 954
10.50%, 4/1/15 Agy 111 125
11.00%, 7/1/20 Agy 408 461
12.00%, 5/1/14-8/1/20 Agy 319 368
12.50%, 2/1/15 Agy 94 110
Government National
Mortgage Association
Adjustable Rate Mortgages:
7.375%, 5/20/23 Tsy 10,776 11,046
Various Pools:
9.50%, 12/15/17-12/15/21 Tsy 3,951 4,321
10.00%, 11/15/09-12/25/26 Tsy 2,752 3,065
10.50%, 5/15/16-5/15/26 Tsy 598 671
11.00%, 1/15/10-1/15/21 Tsy 2,717 3,115
11.50%, 2/15/13-11/15/19 Tsy 2,172 2,509
- -----------------------------------------------------
GROUP TOTAL 33,531
- -----------------------------------------------------
REPURCHASE AGREEMENT (3.8%)
Chase Securities, Inc. 5.75% dated
3/31/98, due 4/1/98, to be
repurchased at $8,473,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at
$8,497 8,472 8,472
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $41,844) 42,003
- -----------------------------------------------------
TOTAL INVESTMENTS (99.5%) (Cost $222,534) 222,545
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.5%)
Cash 68
Dividends Receivable 60
Interest Receivable 1,525
Receivable for Investments Sold 871
Receivable for Fund Shares Sold 56
Receivable for Daily Variation on Futures
Contracts 45
Other Assets 6
Payable for Investments Purchased (1,318)
Payable for Fund Shares Redeemed (61)
Payable for Administrative Fees (15)
Payable for Investment Advisory Fees (159)
Payable for Trustees' Deferred Compensation (5)
Other Liabilities (19)
--------
1,054
- -----------------------------------------------------
NET ASSETS (100%) $223,599
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
=====================================================
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 21,335,955 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $223,599
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.48
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $224,279
Undistributed Net Investment Income (Loss) 3,334
Undistributed Realized Net Gain (Loss) (3,860)
Unrealized Appreciation (Depreciation) on:
Investment Securities 11
Futures (165)
- -----------------------------------------------------
NET ASSETS $223,599
- -----------------------------------------------------
! See Note A1 to Financial Statements.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investors 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 Investors Service,
Inc.
## Variable or Floating rate security-rate disclosed
is as of March 31, 1998.
CMO Collateralized Mortgage Obligation
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Special Purpose Fixed Income Portfolio is designed for use as part of a
balanced investment program. MAS constructs a diversified fund with a maturity
and duration structure reflecting long-term views on interest rates and
inflation. MAS selects investments in U.S. Treasuries, agencies, corporate
bonds, mortgages, foreign and other fixed-income securities based upon relative
value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS SPECIAL PURPOSE SALOMON
FIXED INCOME BROAD INDEX
---------------------------------
<S> <C> <C>
SIX MONTHS 3.78% 4.60%
ONE YEAR 11.67 11.98
FIVE YEARS 8.27 7.00
SINCE INCEPTION 9.67 8.04
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
* The Special Purpose Fixed Income Portfolio commenced operations on 3/31/92.
Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (82.2%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (8.9%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-11/20/27 Tsy $ 48,517 $ 49,224
- -----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (5.4%)
Federal Home Loan
Mortgage Corporation
May TBA
6.50%, 5/15/28 Agy $ 4,000 $ 3,956
Federal National
Mortgage Association
May TBA
6.50%, 8/15/24-5/15/28 Agy 26,150 25,830
- -----------------------------------------------------
GROUP TOTAL 29,786
- -----------------------------------------------------
ASSET BACKED CORPORATES (12.0%)
Advanta Mortgage Loan
Trust, Series 97-3 A2
6.61%, 4/25/12 AAA 125 125
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 1,550 1,584
94-1 C2 CMO
9.35%, 9/15/04 BBB 1,915 1,949
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 2,660 2,677
97-D A3
6.20%, 5/15/03 AAA 2,000 2,004
98-A A3
5.90%, 11/15/02 AAA 2,875 2,866
CIT Group Home Equity Loan
Trust, Series 97-1 A3
6.25%, 9/15/11 AAA 1,400 1,401
(+) Credit Card Receivables
Trust, Series 98-1A
6.478%, 12/22/04 AAA 1,344 1,341
Daimler Benz Auto Grantor
Trust, Series 97-A
6.05%, 3/31/05 AAA 1,830 1,830
Empire Funding Home Loan
Owner Trust, Series 97-4
A2
7.16%, 5/25/12 AAA 2,200 2,224
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust, Series
96-B A1
7.629%, 11/1/18 A 1,251 1,273
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA $ 1,445 $ 1,448
97-3 A3
6.57%, 10/10/10 AAA 1,430 1,436
97-4 A2
6.30%, 8/10/09 AAA 1,550 1,549
97-4 A3
6.40%, 8/10/11 AAA 1,350 1,350
98-1 A3
6.04%, 10/10/13 AAA 2,575 2,552
First Security Auto Grantor
Trust, Series 97-B A
6.10%, 4/15/03 AAA 3,188 3,193
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA 4,150 4,160
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 1,975 1,976
98-2 A3
6.05%, 10/1/07 AAA 3,000 2,994
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 3,296 3,292
97-B A
5.95%, 5/15/03 AAA 184 184
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 2,325 2,318
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 1,570 1,573
NAL Auto Trust, Series 96-4
A
6.90%, 12/15/00 N/R 4 4
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 1,650 1,710
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/15/03 AAA 3,449 3,454
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 2,925 2,932
(+) Securitized Multiple
Asset Rated Trust, Series
97-3 A1
7.71%, 4/15/06 A 1,361 1,367
Security Pacific Home
Equity Trust, Series 91-A
B
10.50%, 3/10/06 A+ 315 314
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Team Fleet Financing
Corp., Series 96-1A
6.65%, 12/15/02 A- 1,125 1,134
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA $ 2,610 $ 2,611
98-A3
5.90%, 5/20/02 AAA 2,875 2,870
World Omni Automobile Lease
Securitization Trust,
Series 97-B A2
6.08%, 11/25/03 AAA 2,750 2,753
- -----------------------------------------------------
GROUP TOTAL 66,448
- -----------------------------------------------------
ASSET BACKED MORTGAGES (1.6%)
Champion Home Equity Loan
Trust, Series 96-2 A4
8.00%, 9/25/28 AAA 2,105 2,202
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 35,167 841
++ 96-3 A YMA 10/25/26 N/R 28,363 38
sec. 96-3 A8
7.65%, 8/25/26 (acquired
8/9/96, cost $2,193) AAA 2,200 2,234
Contimortgage Home Equity
Loan Trust,
Series:
96-3 A7
8.04%, 9/15/27 AAA 2,150 2,245
96-4 A11 I IO
1.10%, 1/15/28 AAA 22,482 574
(+) 96-4 A11 I YMA
1/15/28 AAA 22,482 32
96-4 A12 I IO
1.05%, 1/15/28 AAA 6,063 154
(+) 96-4 A12 I YMA
1/15/28 AAA 6,063 9
97-1 A10 I IO
1.10%, 3/15/28 AAA 27,920 735
(+) 97-1 A10 I YMA
3/15/28 AAA 27,920 39
- -----------------------------------------------------
GROUP TOTAL 9,103
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (1.6%)
Federal Home Loan Mortgage
Corporation,
Series:
88-22 C PAC (11)
9.50%, 4/15/20 Agy 41 45
1415-S Inv Fl IO
18.50%, 11/15/07 Agy 900 402
</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>
1476-S Inv Fl IO REMIC
PAC
4.26%, 2/15/08 Agy $ 8,417 $ 941
1485-S Inv Fl IO REMIC
3.85%, 3/15/08 Agy 7,614 691
1600-SA Inv Fl IO REMIC
2.25%, 10/15/08 Agy 17,239 955
1709-H PO REMIC
1/15/24 Agy 237 145
1813-K PO REMIC
2/15/24 Agy 240 194
1844-PC PO REMIC
3/15/24 Agy 435 322
1887-I PO REMIC
10/15/22 Agy 255 194
Federal National Mortgage
Association,
Series:
92-186 S Inv Fl IO REMIC
3.26%, 10/25/07 Agy 15,716 1,273
93-149 O PO REMIC
8/25/23 Agy 328 239
93-205 G PO REMIC
9/25/23 Agy 853 608
93-205 H PO REMIC
9/25/23 Agy 2,357 1,228
93-235 H PO REMIC
9/25/23 Agy 311 267
96-14 PC PO
12/25/23 Agy 415 279
96-46 PB PO REMIC
9/25/23 Agy 425 319
96-54 O PO
11/25/23 Agy 335 231
96-68 SC Inv Fl IO REMIC
2.35%, 1/25/24 Agy 4,050 502
- -----------------------------------------------------
GROUP TOTAL 8,835
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (5.2%)
American Housing Trust,
Series:
IV 2
9.553%, 9/25/20 A 277 290
V 1G
9.125%, 4/25/21 AAA 1,504 1,593
Chemical Mortgage
Securities, Inc., Series
93-1 M
7.45%, 2/25/23 AA 223 225
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired 1/26/93, cost
$1,038) A 1,087 1,131
(+) GE Capital Mortgage
Services, Inc., Series
94-13 B1
6.50%, 4/25/24 N/R 5,248 5,061
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
+ Independent National
Mortgage Corp., Series
94-O B1
7.875%, 9/25/24 A2 $ 2,507 $ 2,629
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired 8/5/92, cost
$723) N/R 722 722
Mid-State Trust II, Series
88-2 A4
9.625%, 4/1/03 AAA 725 781
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 106 106
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 2,598 2,548
(+)++# 94-A 3B3
6.803%, 4/28/24 A 3,137 3,069
Residential Accredit Loans
Inc.,
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 2,600 2,640
97-QS2 A8
7.75%, 3/25/27 AAA 1,200 1,239
97-QS4 A7
7.75%, 5/25/27 AAA 2,300 2,365
97-QS12 A7
7.25%, 11/25/27 AAA 2,344 2,357
Rural Housing Trust, Series
87-1 B1 REMIC
3.33%, 10/1/28 A- 368 354
## Ryland Mortgage
Securities Corp. III,
Series 92-A 1A
8.27%, 3/29/30 A- 1,690 1,719
- -----------------------------------------------------
GROUP TOTAL 28,829
- -----------------------------------------------------
COMMERCIAL MORTGAGES (10.1%)
+ American Southwest
Financial Securities
Corp., Series 95-C1 A1B
7.40%, 11/17/04 Aaa 2,150 2,224
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 4,752 4,942
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 1,850 1,969
96-MD6 A1C
7.04%, 11/13/26 AAA 1,950 2,033
Beverly Finance Corp.
Series 94-1
8.36%, 7/15/04 AA- 2,300 2,478
(+) Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 1,650 1,678
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA $ 1,680 $ 1,903
(+) Crystal Run Properties,
Series A
7.393%, 8/15/11 AA 2,250 2,404
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 575 603
++## 96-CF2 S IO
1.641%, 11/12/21 AAA 5,960 496
First Union-Lehman Brothers
Commercial Mortgage
Trust,
Series:
+ 97-C1 A2
7.30%, 12/18/06 Aaa 2,600 2,730
97-C2 A3
6.65%, 12/18/07 AAA 2,650 2,692
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.917%, 3/15/21 Aaa 8,914 748
97-C2 X IO
1.102%, 4/15/27 Aaa 22,968 1,745
+ GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 2,475 2,570
## 97-GL X2 IO
0.930%, 7/13/30 Aaa 5,973 309
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 2,200 2,311
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 2,237 2,343
98-C1 IO
1.199%, 2/18/28 Aaa 21,825 1,460
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C2 A2
6.82%, 11/21/28 AAA 950 972
++## 96-C2 IO
1.538%, 11/21/28 AAA 9,847 830
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 1,625 1,699
+ Mortgage Capital Funding,
Inc.,
Series:
97-MC1 A3
7.288%, 7/20/27 Aaa 2,900 3,039
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
97-MC2 A2
6.664%, 9/20/07 Aaa $ 3,200 $ 3,244
Nomura Asset Securities
Corp., Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,200 1,264
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 1,029 1,085
(+) Prime Property Funding,
Series 1 A
6.633%, 7/23/03 AA 1,519 1,538
+ Salomon Brothers Mortgage
Securities, Series 97-TZH
A2
7.174%, 3/24/22 Aa2 1,250 1,296
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 2,300 2,301
++## Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.431%, 2/25/28 AAA 13,039 306
96-CFL X1 IO
1.42%, 2/25/28 AAA 14,416 777
96-CFL X2 IO
1.225%, 2/25/28 AAA 3,694 103
- -----------------------------------------------------
GROUP TOTAL 56,092
- -----------------------------------------------------
ENERGY (0.9%)
(+) ESI Tractebel
Acquisition Corp.
7.99%, 12/30/11 BB 710 704
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 1,925 1,995
Mobile Energy Services
8.665%, 1/1/17 BBB- 1,878 2,008
- -----------------------------------------------------
GROUP TOTAL 4,707
- -----------------------------------------------------
FINANCE (8.6%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 1,490 1,597
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 2,925 3,116
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 2,535 2,630
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A 2,740 2,811
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 2,200 2,546
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 2,750 2,884
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ $ 2,950 $ 3,129
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 750 779
(+) Florida Windstorm
6.70%, 8/25/04 A- 3,050 3,070
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 2,250 2,239
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 2,300 2,302
NB Capital Trust
8.25%, 4/15/27 A- 1,010 1,105
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA 1,075 1,088
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 2,675 2,802
(+) Prime Property Funding
II
7.00%, 8/15/04 A 2,070 2,099
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 505 564
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 1,350 1,436
B
8.035%, 3/15/27 A 1,000 1,073
Washington Mutual Capital,
8.375%, 6/1/27 BBB- 1,375 1,484
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 255 271
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 2,900 3,072
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 3,061 3,145
96 WFP-D
6.95%, 9/1/13 AA- 2,050 2,118
- -----------------------------------------------------
GROUP TOTAL 47,360
- -----------------------------------------------------
FOREIGN GOVERNMENTS (1.3%)
Government of Germany
7.375%, 12/2/02 AAA DEM 12,100 7,313
- -----------------------------------------------------
INDUSTRIALS (4.3%)
American Standard Cos.
7.375%, 2/1/08 BB- $ 1,450 1,426
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 1,210 1,099
9.00%, 12/15/14 BBB 830 867
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB $ 469 $ 437
93-K1 A2
7.43%, 8/15/18 BB 275 242
94-K1 A2
8.375%, 8/15/15 BB 1,075 1,056
94-K2 A2
9.35%, 8/15/19 BB 1,335 1,386
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 3,065 3,071
News America Holdings
8.875%, 4/26/23 BBB- 1,825 2,141
(+) Oxymar
7.50%, 2/15/16 BBB 1,590 1,618
!! Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 3,295 3,389
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 1,110 1,136
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 2,300 2,538
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 1,642 1,716
Southland Corp.
5.00%, 12/15/03 BB+ 1,813 1,586
- -----------------------------------------------------
GROUP TOTAL 23,708
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.5%)
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 42 43
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA 1,114 1,113
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,439 1,395
sec. Shearson American
Express, Series A CMO
9.625%, 12/1/12
(acquired
8/24/92-5/25/93,
cost $234) AA 234 242
- -----------------------------------------------------
GROUP TOTAL 2,793
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY
COLLATERAL SERIES (1.7%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy $ 7,436 $ 5,211
260 1 PO
4/1/24 Agy 1,512 1,168
282 1 PO
9/1/25 Agy 4,198 3,096
- -----------------------------------------------------
GROUP TOTAL 9,475
- -----------------------------------------------------
TELEPHONES (1.1%)
CSC Holdings Inc.
7.875%, 12/15/07 BB+ 1,740 1,792
Lenfest Communications,
Inc.
(+) 7.625%, 2/15/08 BB+ 745 747
8.375%, 11/1/05 BB+ 395 412
(+)# Qwest Communications
Inc.
0.00%, 2/1/08 B+ 2,475 1,745
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B+ 1,855 1,595
- -----------------------------------------------------
GROUP TOTAL 6,291
- -----------------------------------------------------
TRANSPORTATION (0.9%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 2,285 2,283
(+) Jet Equipment Trust,
Series 95-C
10.69%, 5/1/15 BBB 2,200 2,863
- -----------------------------------------------------
GROUP TOTAL 5,146
- -----------------------------------------------------
U.S. TREASURY SECURITIES (9.8%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 18,835 18,258
3.625%, 7/15/02
(Inflation Indexed) Tsy 8,402 8,318
3.625%, 1/15/08
(Inflation Indexed) Tsy 11,550 11,413
6.25%, 4/30/01 Tsy 10,000 10,169
6.375%, 3/31/01 Tsy 6,000 6,118
- -----------------------------------------------------
GROUP TOTAL 54,276
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
UTILITIES (0.8%)
CalEnergy Co., Inc.
7.63%, 10/15/07 BB+ $ 1,730 $ 1,728
CMS Energy Corp, Series B
7.375%, 11/15/00 BB 1,255 1,268
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 1,325 1,375
- -----------------------------------------------------
GROUP TOTAL 4,371
- -----------------------------------------------------
YANKEE (7.5%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 2,643 2,650
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 2,395 2,148
(+) Glencore Nickel
Property, Ltd.
9.00%, 12/1/14 BB+ 1,605 1,591
Grupo Minero Mexicano SA de
CV, Series A
8.25%, 4/1/08 BB 1,525 1,513
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 1,870 1,719
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BB 1,500 1,198
(+) Israel Electric Corp.,
Ltd
7.25%, 12/15/06 A- 575 585
7.75%, 12/15/27 A- 1,590 1,614
Korea Development Bank
7.375%, 9/17/04 BB+ 2,750 2,495
National Power Corp.
7.875%, 12/15/06 BB+ 1,600 1,455
8.40%, 12/15/16 BB+ 1,490 1,296
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 2,200 2,202
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 1,900 912
(+) Petroliam Nasional Bhd.
7.125%, 10/18/06 A+ 2,250 2,095
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 2,445 2,561
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 3,600 3,727
(+) Reliance Industries
Ltd.
8.25%, 1/15/27 BB+ 400 374
9.375%, 6/24/26 BB+ 400 401
# Republic of Argentina
Par, Series L
5.75%, 3/31/23 BB 4,700 3,593
Republic of Colombia
8.70%, 2/15/16 BBB- 2,540 2,486
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 1,450 1,624
(+) Samsung Electronics Co.
7.45%, 10/1/02 B+ 330 296
</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>
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB $ 2,040 $ 1,725
B
6.25%, 12/31/19 BB 1,750 1,480
- -----------------------------------------------------
GROUP TOTAL 41,740
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $446,790) 455,497
- -----------------------------------------------------
PREFERRED STOCKS (2.5%)
- -----------------------------------------------------
SHARES
------
MORTGAGE-OTHER (1.9%)
(+)+ Home Ownership Funding
Corp.
13.331% Aaa 11,000 10,550
- -----------------------------------------------------
INDUSTRIALS (0.6%)
(+) Entertainment
Properties
14.253% BBB- 2,100 1,956
Tier One Properties
11.095% A 975 939
Time Warner, Inc., Series M
10.25% BB+ 223 250
- -----------------------------------------------------
GROUP TOTAL 3,145
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $14,314) 13,695
- -----------------------------------------------------
RIGHTS (0.0%)
- -----------------------------------------------------
MISC-INDUSTRIAL (0.0%)
*@ United Mexican States
Recovery Rights, expiring
6/30/03 (Cost $0) N/R 2,913,250 --
- -----------------------------------------------------
STRUCTURED INVESTMENT (0.2%)-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 $1,556) N/R $ 35,001 814
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
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 $492) AA- $116,600 $ 109
- -----------------------------------------------------
CASH EQUIVALENTS (24.3%)
- -----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (5.1%) 28,238 28,238
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (16.0%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
10.50%, 9/1/09-3/1/27 Agy 4,514 4,972
11.00%, 12/1/10-9/1/20 Agy 2,139 2,411
11.75%, 12/1/17 Agy 81 93
Gold Pools:
10.50%, 11/1/15-4/1/21 Agy 676 755
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 617 620
## 1933-FO REMIC
6.50%, 3/15/25 Agy 1,075 1,081
## 2040-FC
5.975%, 2/15/23 Agy 2,900 2,908
Federal National Mortgage
Association Various
Pools:
9.50%, 8/1/22-2/1/27 Agy 3,262 3,569
10.00%, 11/1/18-5/1/22 Agy 3,475 3,850
10.50%, 8/1/15-4/1/22 Agy 4,173 4,705
11.00%, 11/1/20 Agy 275 311
12.00%, 11/1/15 Agy 2,801 3,233
12.50%, 9/1/15 Agy 293 343
Series:
## 94-50 FD REMIC 6.20%,
3/25/24 Agy 2,134 2,141
## 97-43 FM REMIC
6.25%, 7/18/27 Agy 1,771 1,782
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 1,405 1,413
## 97-76 FM
6.20%, 9/17/27 Agy 1,875 1,889
## 97-76 FN
6.15%, 9/17/27 Agy 1,840 1,850
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 6,400 6,414
Government National
Mortgage Association
Adjustable Rate
Mortgages:
7.00% 2/20/25-3/20/25 Tsy 6,650 6,783
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
7.375% 4/20/25-6/20/25 Tsy $ 12,452 $ 12,701
Various Pools:
10.00%, 2/15/16-12/25/26 Tsy 9,113 10,126
10.50%, 10/15/15-5/15/26 Tsy 3,642 4,108
11.00%, 1/15/10-5/15/26 Tsy 5,712 6,548
12.00%, 3/15/11-4/15/14 Tsy 43 50
12.50%, 6/15/10 Tsy 102 118
April TBA
10.00%, 4/15/28 Tsy 3,475 3,857
- -----------------------------------------------------
GROUP TOTAL 88,631
- -----------------------------------------------------
DISCOUNT NOTE (2.7%)
Federal Home Loan Mortgage
Corporation 4/10/98 Agy 15,000 14,980
- -----------------------------------------------------
REPURCHASE AGREEMENT (0.5%)
Chase Securities, Inc. 5.75%
dated 3/31/98, due 4/1/98, to
be repurchased at $2,692,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at
$2,700 2,692 2,692
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $134,284) 134,541
- -----------------------------------------------------
TOTAL INVESTMENTS (109.2%) (Cost $597,436) 604,656
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-9.2%)
Cash 1
Dividends Receivable 474
Interest Receivable 5,858
Receivable for Investments Sold 56,927
Receivable for Fund Shares Sold 83
Unrealized Gain on Forward Foreign Currency
Contracts 259
Unrealized Gain on Swap Agreements 80
Other Assets 21
Payable for Investments Purchased (85,520)
Payable for Fund Shares Redeemed (200)
Payable for Administrative Fees (38)
Payable for Investment Advisory Fees (495)
Payable for Daily Variation on Futures
Contracts (100)
Payable for Trustees' Deferred Compensation
Plan-Note F (18)
Collateral on Securities Loaned, at Value (28,238)
Other Liabilities (50)
--------
(50,956)
- -----------------------------------------------------
NET ASSETS (100%) $553,700
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
=====================================================
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 44,938,676 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $553,700
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.32
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $534,348
Undistributed Net Investment Income (Loss) 10,059
Undistributed Realized Net Gain (Loss) 1,802
Unrealized Appreciation (Depreciation) on:
Investment Securities 7,220
Foreign Currency Transactions 256
Futures and Swaps 15
- -----------------------------------------------------
NET ASSETS $553,700
- -----------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$4,329 or 0.8% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security, certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity
date.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
@ Value is less than $500.
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
March 31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Municipal Portfolio invests in debt obligations issued by state and local
governments or their agencies and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio will be invested in municipal
securities. Taxable securities are included only in cases where MAS believes
they will improve the fund's risk/reward profile on an after-tax basis.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS LEHMAN 5 YEAR LEHMAN 10 YEAR
MUNICIPAL MUNICIPAL INDEX MUNICIPAL INDEX
---------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 3.55% 2.87% 3.65%
ONE YEAR 9.78 7.64 10.39
FIVE YEARS 7.43 5.54 6.92
SINCE INCEPTION 7.89 5.80 7.40
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
The Portfolio was initially focused on long-term securities. On April 15, 1996,
the Portfolio's investment policies were changed by shareholder vote to
emphasize fixed-income securities of shorter duration. The Portfolio's
performance pattern may have been affected by this change.
* The Municipal Portfolio commenced operations on 10/1/92. Total returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (85.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
MARCH 31, (STANDARD AMOUNT VALUE
1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (81.8%)
Adelanto, CA School
District (FGIC)
Zero Coupon, 9/1/18 AAA $ 4,350 $ 1,507
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 497
Allegheny County, PA
Sanitation Authority,
Series B (MBIA)
Zero Coupon, 6/1/10 AAA 1,500 838
Arkansas State Development
Finance Authority Home
Mortgage Revenue Bonds,
Series B-1
4.90%, 7/1/29 AAA 725 731
Benicia, CA School District
(MBIA)
Zero Coupon, 8/1/11 AAA 3,480 1,806
California Housing &
Finance Agency Revenue
Bonds (MBIA)
5.30%, 8/1/14 AAA 175 179
California School Finance
Authority Lease Revenue
Bonds,
Series A (MBIA)
6.70%, 7/1/02 AAA 1,305 1,376
California State Department
of Veterans Affairs Home
Purchase Revenue Bonds,
Series A, TBA
(AMBAC)
4.90%, 12/1/18 AAA 1,675 1,672
California State
Zero Coupon, 3/1/04 A+ 375 291
Casino Reinvestment
Development Authority,
Series A (FSA)
5.00%, 10/1/03 AAA 1,300 1,347
Center Township, PA Sewer
Authority Revenue Bonds,
Series A (MBIA)
Zero Coupon, 4/15/19 AAA 855 286
Charleston County, SC
Resource Recovery Revenue
Bonds (AMBAC)
5.15%, 1/1/09 AAA 1,000 1,024
Chicago, IL Wastewater
Transmission Revenue
Bonds (FGIC)
5.125%, 1/1/03 AAA 1,300 1,350
Cleveland, OH Airport
Special Revenue Bonds,
TBA
5.50%, 12/1/08 BB- 750 743
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Cleveland, OH City School
District (AMBAC)
4.80%, 6/1/03 AAA $ 1,300 $ 1,334
Colorado Health Facilities
Revenue Bonds,
Series A
Zero Coupon, 7/15/20 AAA 1,000 305
Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series A
6.50%, 1/1/08 A 450 506
Elizabeth Forward, PA
School District,
Series B
Zero Coupon
9/1/08 (AMBAC) AAA 425 262
9/1/11 (MBIA) AAA 850 440
Fort Bend, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 1,250 828
2/15/08 AAA 940 591
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 160 166
Grand Prairie, TX
Independent School
District (PSFG)
Zero Coupon, 8/15/07 AAA 750 486
Hamilton Southeastern, IN
(AMBAC)
Zero Coupon, 1/1/15 AAA 1,000 417
Harris County, TX Toll
Road,
Series A (MBIA)
Zero Coupon, 8/15/07 AA+ 475 308
Hawaii State Housing
Finance & Development
Corp., Single Family
Mortgage Revenue Bonds,
Series A
4.90%, 7/1/28 AA 350 352
+ Hillsborough County, FL
Housing & Finance
Authority, Single Family
Mortgage Revenue Bonds
4.50%, 4/1/30 Aaa 725 736
Houston, TX Housing Finance
& Development Corp.,
Single Family Mortgage
Revenue Bonds,
Series B-1
8.00%, 6/1/14 A 325 357
Houston, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 AAA 550 266
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Hurst Euless Bedford, TX
Independent School
District (PSFG)
Zero Coupon,
8/15/17 AAA $ 965 $ 349
8/15/18 AAA 1,100 377
+ Idaho Housing & Finance
Association, Single
Family Mortgage Revenue
Bonds,
Series:
F
5.70%, 7/1/27 Aaa 245 252
H-2 (FHA)
5.40%, 7/1/27 Aaa 500 510
Illinois Development
Finance Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,150
+ Indiana State Housing
Finance Authority Revenue
Bonds,
Series A2 (AMBAC)
5.55%, 1/1/21 Aaa 500 516
Indiana Transportation
Finance Authority Highway
Revenue Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 637
Indianapolis Airport
Authority Revenue Bonds
7.10%, 1/15/17 BBB 375 422
Intermountain Power Agency,
UT,
Series:
A
Zero Coupon, 7/1/17 A+ 1,750 641
B (MBIA)
6.50%, 7/1/09 AAA 875 1,017
C (FSA)
4.80%, 7/1/03 AAA 1,300 1,331
Iowa Finance Authority
Single Family Revenue
Bonds,
Series G
4.95%, 1/1/21 AAA 500 505
Jacksonville, FL Electric
Authority Revenue Bonds
Zero Coupon, 10/1/11 AA 325 169
Jefferson Parish, LA School
Board Sales & Use Tax
Revenue Bonds, TBA (FSA)
Zero Coupon, 9/1/06 AAA 1,000 676
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 525 302
Kansas City, KA Utility
Systems Revenue Bonds
(AMBAC)
Zero Coupon, 3/1/06 AAA 130 91
Zero Coupon, 3/1/06 AAA 95 67
+ Keller, TX Independent
School District (PSFG)
Zero Coupon, 8/15/12 Aaa 800 387
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80
<PAGE> 83
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Kentucky State Turnpike
Authority (FGIC)
Zero Coupon, 1/1/10 AAA $ 450 $ 258
La Joya, TX Independent
School District (PSFG)
Zero Coupon, 8/1/12 AAA 645 312
+ Lehigh County, PA General
Purpose Authority Revenue
Bonds, Lehigh Valley
Health Networks,
Series C (MBIA)
4.90%, 7/1/11 Aaa 920 912
Little Rock, AK Airport
Passenger Facility
Revenue Bonds (AMBAC)
5.65%, 5/1/16 AAA 220 233
Maricopa County, AZ Unified
School District-Chandler
(FGIC)
Zero Coupon, 7/1/07 AAA 250 163
Maryland Transportation
Authority (FGIC)
Zero Coupon, 7/1/08 AAA 250 157
Mercer County, NJ Revenue
Bonds
Zero Coupon, 4/1/06 AA- 350 246
Metropolitan Pier &
Exposition Authority, IL,
Series A (AMBAC)
4.90%, 12/15/03 AAA 1,275 1,316
Metropolitan Government
Nashville & Davidson
County, TN Health &
Education Facilities
Board Revenue Bonds,
Series A
5.25%, 5/1/03 AA 900 942
Michigan State Housing
Development Authority,
Series B
5.50%, 12/1/26 AA+ 485 500
Michigan State Trunk Line,
Series A (AMBAC)
Zero Coupon
10/1/05 AAA 750 537
10/1/12 AAA 1,500 729
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 511
Millcreek Township, PA
(FGIC)
Zero Coupon, 8/15/05 AAA 325 234
Minnesota State Housing &
Finance Agency, Single
Family Mortgage Revenue
Bonds,
Series E
5.05%, 7/1/24 AA+ 1,300 1,321
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Mississippi Housing Finance
Corp.
Zero Coupon, 9/15/16 AA- $ 5,250 $ 2,017
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- 180 202
Nebraska Investment Finance
Authority Revenue Bonds,
Series:
B
5.60%, 3/1/20 AAA 465 481
D
5.80%, 3/1/20 AAA 470 485
Nebraska Public Power
District Revenue Bonds
5.40%, 1/1/03 A+ 200 210
+ Nevada Housing Division,
Series C (FHA)
5.65%, 4/1/27 Aaa 490 506
+ Nevada Housing Division
Senior,
Series A-2
5.50%, 10/1/27 Aaa 340 349
New Jersey Economic
Development Authority
Zero Coupon, 3/15/09 A+ 275 163
New Jersey State
Zero Coupon, 2/15/06 AA+ 500 351
New Mexico Mortgage Finance
Authority,
Series H
5.35%, 7/1/15 AAA 485 500
New York City, NY
Industrial Development
Agency Revenue Bonds
(FSA)
6.00%, 11/1/15 AAA 1,575 1,683
## New York City, NY
General Obligation
Inverse Bonds
20.509%, 10/1/03 BBB+ 250 414
New York City, NY General
Obligation,
Series G (MBIA)
5.00%, 8/1/12 AAA 1,000 996
New York State Dormitory
Authority
5.10%, 5/15/01 BBB+ 250 257
5.125%, 7/1/11 (FGIC) AAA 1,000 1,014
+ New York State Mortgage
Agency Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 1,300 1,318
Noblesville, IN High School
Building Corp. (AMBAC)
Zero Coupon
2/15/17 AAA 900 333
2/15/19 AAA 1,850 615
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Norris, CA School District
(MBIA)
Zero Coupon
5/1/15 AAA $ 785 $ 328
5/1/16 AAA 400 158
North Carolina Eastern
Municipal Power Agency
Revenue Bonds,
Series:
B
6,125%, 1/1/09 BBB 350 378
C
5.125%, 1/1/03 BBB 450 460
North Carolina Housing &
Finance Agency Revenue
Bonds,
Series:
FF
5.50%, 9/1/22 AA 455 468
JJ
5.75%, 3/1/23 AA 495 512
RR
5.00%, 9/1/22 AA 1,300 1,305
+ North Hempstead, NY
General Obligation,
Series B (FGIC)
5.00%, 3/1/12 Aaa 890 891
North Slope Borough, AK
General Obligation,
Series B (CGIC)
Zero Coupon, 6/30/04 AAA 575 435
Northern Illinois
University Revenue Bond
(FGIC)
Zero Coupon, 4/1/15 AAA 675 280
Okemos, MI Public School
District (MBIA)
Zero Coupon, 5/1/15 AAA 900 375
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 452
Orange County, FL Housing &
Finance Authority, Single
Family Mortgage Revenue
Bonds, Series B
5.10%, 9/1/27 AAA 1,300 1,322
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 1,165 528
# Pennsylvania State
General Obligation
(AMBAC)
0.00%, 4/15/03 AAA 775 935
Philadelphia, PA Airport
Revenue Bonds (FGIC)
5.50%, 6/15/01 AAA 1,340 1,391
Philadelphia, PA Authority
For Industrial
Development Revenue
Bonds,
Series A
6.50%, 10/1/27 N/R 220 237
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB $ 350 $ 366
Philadelphia, PA General
Obligation,
Series A (FGIC)
5.40%, 11/15/03 AAA 600 632
Philadelphia, PA Hospitals
& Higher Education
Facilities Authority
Revenue Bonds
6.15%, 7/1/05 BBB+ 125 134
Philadelphia, PA Municipal
Authority (FGIC)
4.90%, 4/1/03 AAA 500 513
Philadelphia, PA Water &
Wasterwater Revenue Bonds
(FGIC)
5.15%, 6/15/04 AAA 1,300 1,359
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 450 510
+ Saline County, KS
Zero Coupon, 12/1/15 Aaa 750 303
San Antonio, TX Electric &
Gas Revenue Bond (AMBAC)
Zero Coupon, 2/1/05 AAA 200 147
San Antonio, TX General
Obligation, TBA
6.00%, 8/1/06 AA 500 550
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 1,150 1,197
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 270 304
Schuylkill County, PA
Redevelopment Authority
(FGIC)
7.125%, 6/1/13 AAA 750 823
Skokie, IL Park District,
Series B (AMBAC)
Zero Coupon, 12/1/12 AAA 1,750 836
Steel Valley, PA Allegheny
County
Zero Coupon, 11/1/17 A 650 231
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 740 375
+ Tyler, TX Health
Facilities Development
Corp.,
Series A
5.25%, 7/1/02 Baa2 425 434
Utah State Housing Finance
Agency
Series A-2
5.50%, 7/1/27 AAA 400 411
</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>
Washington State Public
Power Supply (MBIA)
Zero Coupon, 7/1/10 AAA $ 475 $ 260
7.00%, 7/1/07 AA- 375 438
Wisconsin Housing &
Economic Development
Authority Home Ownership
Revenue Bonds,
Series:
E
5.125%, 9/1/26 AA 1,300 1,314
H
4.875%, 3/1/24 AA 1,350 1,358
- -----------------------------------------------------
GROUP TOTAL 73,615
- -----------------------------------------------------
ASSET BACKED CORPORATES (0.4%)
ALPS,
Series 96-1 D
12.75%, 6/15/06 BB- 349 350
- -----------------------------------------------------
INDUSTRIALS (1.1%)
Comcast Corp.
9.375%, 5/15/05 BB+ 225 241
Grand Casinos, Inc.
10.125%, 12/1/03 BB 250 272
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 175 186
Viacom, Inc.
8.00%, 7/7/06 BB- 250 256
- -----------------------------------------------------
GROUP TOTAL 955
- -----------------------------------------------------
TRANSPORTATION (0.1%)
(+) Jet Equipment Trust,
Series 95-C
10.69%, 5/1/15 BBB 100 130
- -----------------------------------------------------
YANKEE (2.5%)
Korea Development Bank
7.375%, 9/17/04 BB+ 825 748
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 400 414
(+) Republic of Panama
7.875%, 2/13/02 BB+ 310 311
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 125 140
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 750 673
- -----------------------------------------------------
GROUP TOTAL 2,286
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $71,355) 77,336
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- -----------------------------------------------------
CASH EQUIVALENTS (20.5%)
- -----------------------------------------------------
<S> <C> <C> <C>
MONEY MARKET INSTRUMENTS (4.7%)
Dreyfus Basic Municipal
Money Market Fund 2,113,255 $ 2,113
Vanguard Municipal Bond
Money Market Fund 2,115,174 2,115
- -----------------------------------------------------
GROUP TOTAL 4,228
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
MUNICIPALS (13.2%)
## Abilene, TX Health
Facilities Development
Corp. (MBIA)
3.70%, 9/19/25 AAA $ 1,600 1,600
## Chelsea, MA Lease,
Series A (FSA)
3.80%, 6/6/23 AAA 1,600 1,600
## Henrico County, VA
Industrial Development
Authority (FSA)
3.65%, 8/23/27 AAA 1,600 1,600
## Kansas State Development
Finance Authority,
Series E
3.75%, 3/15/24 AAA 1,000 1,000
## Pennsylvania Housing &
Finance Agency
3.62%, 10/3/23 AA+ 1,000 1,000
## Pennsylvania State
Higher Education
Assistance Agency,
Student Loan SAVRS
(AMBAC)
3.70%, 3/1/22 AAA 1,000 1,000
## Wake County, NC
Industrial Facilities &
Pollution Control Revenue
(AMBAC)
3.78%, 5/1/24 AAA 1,500 1,500
## Wichita, KS Hospital
Bonds, Series III-A
(MBIA)
3.66%, 10/20/17 AAA 1,600 1,600
## York County, PA Hospital
Authority Revenue Bonds
(AMBAC)
3.65%, 7/1/21 AAA 1,000 1,000
- -----------------------------------------------------
GROUP TOTAL 11,900
- -----------------------------------------------------
U.S. TREASURY SECURITY (1.7%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy 1,175 1,566
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.9%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98, to
be repurchased at $777,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at $779 $ 777 $ 777
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $18,372) 18,471
- -----------------------------------------------------
TOTAL INVESTMENTS (106.4%) (Cost $89,727) 95,807
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.4%)
Cash 5
Interest Receivable 729
Receivable for Fund Shares Sold 5
Unrealized Gain on Swap Agreements 58
Other Assets 3
Payable for Investments Purchased (6,461)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (71)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Payable for Daily Variation on Futures
Contracts (3)
Other Liabilities (31)
-------
(5,775)
- -----------------------------------------------------
NET ASSETS (100%) $90,032
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 7,639,910 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $90,032
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.78
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
=====================================================
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $84,308
Undistributed Net Investment Income (Loss) 61
Undistributed Realized Net Gain (Loss) (445)
Unrealized Appreciation (Depreciation) on:
Investment Securities 6,080
Futures and Swaps 28
- -----------------------------------------------------
NET ASSETS $90,032
- -----------------------------------------------------
</TABLE>
! See Note A1 to Financial Statements.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or Floating rate security-rate disclosed
is as of March 31, 1998.
AMBAC American Municipal Bond Assurance Corp.
CGIC Capital Guaranty Insurance Corp.
FGIC Financial Guaranty Insurance Corp.
FHA Federal Housing Administration
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
PSFG Permanent School Fund Guaranteed
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The PA Municipal Portfolio invests in municipal debt securities exempt from
Pennsylvania income tax, and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio will be invested in municipal
securities, with at least 65% invested in Pennsylvania municipal securities.
Taxable securities are included only in cases where MAS believes they will
improve the fund's risk/reward profile on an after-tax basis.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS LEHMAN 5 YEAR LEHMAN 10 YEAR
PA MUNICIPAL MUNICIPAL INDEX MUNICIPAL INDEX
------------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 3.62% 2.87% 3.65%
ONE YEAR 9.42 7.64 10.39
FIVE YEARS 7.48 5.54 6.92
SINCE INCEPTION 8.20 5.80 7.40
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
The Portfolio was initially focused on long-term securities. On April 15, 1996,
the Portfolio's investment policies were changed by shareholder vote to
emphasize fixed-income securities of shorter duration. The Portfolio's
performance pattern may have been affected by this change.
* The PA Municipal Portfolio commenced operations on 10/1/92. Total returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.6%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (94.4%)
Aliquippa School District, PA
Zero Coupon, 6/1/12 A $ 685 $ 328
Allegheny County, PA (AMBAC)
Zero Coupon, 5/1/03 AAA 325 261
Arkansas State Development
Finance Authority Home
Mortgage Revenue Bonds,
Series B-1
4.90%, 7/1/29 AAA 275 277
Berks County, PA (FGIC)
Zero Coupon
5/15/19 AAA 1,250 417
11/15/20 AAA 1,000 305
Berks County, PA Solid Waste
Authority (FGIC)
6.00%, 4/1/11 AAA 250 268
Bradford, PA
Area School District (FGIC)
4.60%, 10/1/10 AAA 250 245
Bucks County, PA Water &
Sewer Authority Revenue Bonds
(FGIC)
Zero Coupon, 12/1/05 AAA 375 266
+ Series B
5.50%, 2/1/08 Aaa 185 191
Center Township, PA Sewer
Authority Revenue Bonds,
Series A (MBIA)
Zero Coupon, 4/15/17 AAA 615 229
Series A
6.00%, 4/15/03 AAA 500 539
Chartiers Valley, PA (FGIC)
Zero Coupon, 2/1/06 AAA 425 298
Clinton County, PA Industrial
Development Authority
6.25%, 11/15/06 BB- 150 156
Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series A
6.50%, 1/1/08 A 200 225
Elizabeth Forward, PA School
District, Series B (MBIA)
Zero Coupon, 9/1/11 AAA 400 207
Georgia State Housing &
Financing Authority,
Series A A2
5.875%, 12/1/19 AA+ 105 109
Girard Area, PA
School District (FGIC)
Zero Coupon
10/1/18 AAA 700 241
10/1/19 AAA 250 82
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & 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 $ 126
+ Hillsborough County, FL
Housing & Finance
Authority, Single Family
Mortgage Revenue Bonds,
4.50%, 4/1/30 Aaa 275 279
Houston TX Housing Finance &
Development Corp., Single
Family Mortgage Revenue
Bonds, Series B-1
8.00%, 6/1/14 A 175 192
Huron, MI School District
(AMBAC)
Zero Coupon, 5/1/18 AAA 1,500 531
+ Idaho Housing & Finance
Association, Single Family
Mortgage Revenue Bonds,
Series H-2
5.40%, 7/1/27 Aaa 250 255
Intermountain Power Agency, UT,
Series B (MBIA)
6.50%, 7/1/09 AAA 300 349
Iowa Finance Authority Single
Family Revenue Bonds,
Series G
4.95%, 1/1/21 AAA 200 202
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 200 115
Lehigh County, PA General
Purpose Authority Revenue
Bonds, Horizons Health
Systems, Inc., Series B
8.25%, 7/1/13 N/R 250 263
+ Lehigh County, PA General
Purpose Authority Revenue
Bonds, Lehigh Valley Health
Network, Series C (MBIA)
4.90%, 7/1/11 Aaa 275 273
Metropolitan Government
Nashville & Davidson
County, TN Health &
Education Facilities Board
Revenue Bonds, Series A
5.25%, 5/1/03 AA 335 350
Millcreek Township, PA (FGIC)
Zero Coupon, 8/15/05 AAA 375 270
Minnesota State Housing &
Finance Agency, Single
Family Mortgage Revenue
Bonds, Series E
5.05%, 7/1/24 AA+ 550 559
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Mobile, AL Industrial
Development Board Solid
Waste Disposal Revenue
Bonds
6.95%, 1/1/20 BBB- $ 80 $ 90
Montour, PA School
District (MBIA)
Zero Coupon, 1/1/13 AAA 300 143
Nebraska Investment Finance
Authority Revenue Bonds,
Series D
5.80%, 3/1/20 AAA 260 268
+ Nevada Housing Division,
Series C
5.65%, 4/1/27 Aaa 245 253
New York City, NY Industrial
Development Agency Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 775 828
## New York City, NY General
Obligation Inverse Bonds
20.509%, 10/1/03 BBB+ 100 165
+ New York State Mortgage
Agency Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 550 558
North Carolina Eastern
Municipal Power Agency
Revenue Bonds, Series C
5.125%, 1/1/03 BBB 150 153
North Carolina Housing &
Finance Agency Revenue
Bonds,
Series:
JJ
5.75%, 3/1/23 AA 270 279
RR
5.00%, 9/1/22 AA 550 552
North Slope Borough, AK
General Obligation,
Series B (CGIC)
Zero Coupon, 6/30/04 AAA 285 216
Northwestern, PA School
District (AMBAC)
Zero Coupon, 1/15/09 AAA 450 272
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 452
Orange County, FL Housing &
Finance Authority, Single
Family Mortgage Revenue
Bonds, Series B
5.10%, 9/1/27 AAA 550 559
Parkland, PA School District
(FGIC)
4.60%, 9/1/10 AAA 250 245
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 450 204
Series B
Zero Coupon, 12/1/13 N/R 500 208
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB $ 250 $ 267
6.70%, 9/1/16 (FGIC) AAA 500 593
Pennsylvania Housing &
Finance Authority, Series:
47
5.20%, 4/1/27 AA+ 375 381
48
5.375%, 10/1/16 AA+ 300 307
50A
5.35%, 10/1/08 AA+ 220 227
51
5.65%, 4/1/20 AA+ 250 258
52B
5.55%, 10/1/12 AA+ 500 513
59A
4.95%, 4/1/25 AA+ 550 554
Pennsylvania State General
Obligation (AMBAC)
# 0.00%, 4/15/03 AAA 300 362
Zero Coupon, 7/1/05 AAA 375 271
Pennsylvania State,
Certificate of
Participation Series A
5.00%, 7/1/03 AAA 500 513
Philadelphia, PA Airport
Revenue Bonds (FGIC)
5.50%, 6/15/01 AAA 550 571
Philadelphia, PA Authority
For Industrial Development
Revenue Bonds, Series A
6.50%, 10/1/27 N/R 100 107
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 200 209
Philadelphia, PA General
Obligation, Series A (FGIC)
5.125%, 5/15/03 AAA 100 104
+ Philadelphia, PA Hospitals
10.875%, 7/1/08 Aaa 140 180
Philadelphia, PA Hospitals &
Higher Education Facilities
Authority Revenue Bonds
6.15%, 7/1/05 BBB+ 50 54
Philadelphia, PA School
District, Series:
A
5.20%, 7/1/03 (MBIA) AAA 200 208
B
5.00%, 4/1/03 (AMBAC) AAA 550 567
Philadelphia, PA Water &
Wasterwater Revenue Bonds
(FGIC)
5.15%, 6/15/04 AAA 550 575
5.20%, 6/15/05 AAA 500 522
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Pittsburgh, PA General
Obligation (AMBAC)
Zero Coupon, 9/1/04 AAA $ 350 $ 264
6.50%, 4/1/11 AAA 275 307
Pittsburgh, PA Water &
Sewer (FGIC)
Zero Coupon, 9/1/05 AAA 375 269
Port Authority, NY & NJ
Special Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 250 283
Robinson Township, PA
6.90%, 5/15/18 AAA 115 134
San Antonio, TX
General Obligation TBA
6.00%, 8/1/06 AA 175 192
San Bernardino County, CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 450 468
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 40 45
Scranton, PA Health & Welfare
Authority
6.625%, 7/1/09 AAA 125 139
Southeastern Area Schools,
PA, Revenue Bonds, Series:
A
Zero Coupon, 10/1/06 A 200 135
B
Zero Coupon, 10/1/06 A 390 263
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 218
Stroud Township, PA Sewer
Authority (CGIC)
Zero Coupon, 11/15/05 AAA 375 267
Upper Darby Township, PA
(AMBAC)
Zero Coupon, 7/15/11 AAA 525 274
Washington County, West PA
Power Co.
4.95%, 3/1/03 A 150 154
++ Westmoreland County, PA
(AMBAC)
Zero Coupon, 8/1/14 AAA 1,475 644
Wisconsin Housing & Economic
Development Authority Home
Ownership Revenue Bonds,
Series E
5.125%, 9/1/26 AA 550 556
Yough, PA School District
(MBIA)
Zero Coupon, 10/1/13 AAA 1,445 661
- -----------------------------------------------------
GROUP TOTAL 26,469
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.5%)
ALPS,
Series 96-1 D
12.75%, 6/15/06 BB- $ 150 $ 150
- -----------------------------------------------------
INDUSTRIALS (0.6%)
Comcast Corp.
9.375%, 5/15/05 BB+ 75 80
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 75 80
- -----------------------------------------------------
GROUP TOTAL 160
- -----------------------------------------------------
TRANSPORTATION (0.5%)
(+) Jet Equipment Trust,
Series 95-C
10.69%, 5/1/15 BBB 100 130
- -----------------------------------------------------
YANKEE (1.6%)
Korea Development Bank
7.375%, 9/17/04 BB+ 285 259
(+) Republic of Panama
7.875%, 2/13/02 BB+ 145 145
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 50 56
- -----------------------------------------------------
GROUP TOTAL 460
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $25,019) 27,369
- -----------------------------------------------------
CASH EQUIVALENTS (3.9%)
- -----------------------------------------------------
SHARES
------
MONEY MARKET INSTRUMENTS (3.0%)
Dreyfus PA Municipal
Money Market Fund 408,571 409
Vanguard PA Tax-Free
Money Market Fund 418,826 419
- -----------------------------------------------------
GROUP TOTAL 828
- -----------------------------------------------------
FACE
AMOUNT
(000)
-------
REPURCHASE AGREEMENT (0.9%)
Chase Securities, Inc. 5.75%, dated
3/31/98, due 4/1/98, to be
repurchased at $257,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at $258 $ 257 257
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,085) 1,085
- -----------------------------------------------------
TOTAL INVESTMENTS (101.5%) (Cost $26,104) 28,454
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
=====================================================
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-1.5%)
Interest Receivable $ 310
Receivable for Daily Variation Margin on
Futures Contracts 1
Unrealized Gain on Swap Agreements 26
Other Assets 1
Payable for Investments Purchased (703)
Payable for Fund Shares Redeemed (2)
Payable for Administrative Fees (2)
Payable for Investment Advisory Fees (17)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (32)
-------
(419)
- -----------------------------------------------------
NET ASSETS (100%) $28,035
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 2,365,547 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $28,035
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.85
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $25,754
Undistributed Net Investment Income (Loss) 23
Undistributed Realized Net Gain (Loss) (112)
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,350
Futures and Swaps 20
- -----------------------------------------------------
NET ASSETS $28,035
- -----------------------------------------------------
</TABLE>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
++ A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or Floating rate security-rate disclosed
is as of March 31, 1998.
AMBAC American Municipal Bond Assurance Corp.
CGIC Capital Guaranty Insurance Corp.
FGIC Financial Guaranty Insurance Corp.
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Global Fixed Income Portfolio invests in high-grade fixed-income securities
around the world, including the United States. Miller Anderson & Sherrerd
manages the duration, country, and currency exposure of the portfolio by
combining research on relative values with analyses of economic, interest rate,
and exchange rate trends. Particular attention is paid to prospective inflation
and real interest rates. The Portfolio will tend to invest in those countries
offering the highest real interest rates and steepest yield curves, after
adjusting for differences in the fiscal soundness of each country. Foreign
currency exposure is handled as a separate management decision and foreign
currencies which MAS judges to be significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS GLOBAL SALOMON WORLD
FIXED INCOME GOV'T BOND INDEX
-------------------------------
<S> <C> <C>
SIX MONTHS
1.16% 1.00%
ONE YEAR
5.81 5.38
SINCE INCEPTION
6.84 6.18
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
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.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Global Fixed Income Portfolio commenced operations on 4/30/93. Total
returns are compared to the Salomon World Government Bond Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (86.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (2.7%)
Commonwealth of
Australia
10.00%, 2/15/06 AAA AUD 1,300 $ 1,095
Federal National
Mortgage Association
6.50%, 7/10/02 Agy 1,050 717
- ------------------------------------------------------
GROUP TOTAL 1,812
- ------------------------------------------------------
BRITISH POUND (6.7%)
United Kingdom Treasury
Bill
8.50%, 7/16/07 AAA GBP 2,295 4,531
- ------------------------------------------------------
CANADIAN DOLLAR (3.4%)
(+)@ Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1)600 --
(+)@ Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1)600 --
Government of Canada
7.50%, 3/1/01 AAA CAD 2,165 1,624
9.75%, 6/1/21 AA+ 640 685
- ------------------------------------------------------
GROUP TOTAL 2,309
- ------------------------------------------------------
DANISH KRONE (2.7%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 6,765 1,099
8.00%, 3/15/06 AA+ 4,500 759
- ------------------------------------------------------
GROUP TOTAL 1,858
- ------------------------------------------------------
GERMAN MARK (19.5%)
## GMAC Global Bond
3.66%, 9/25/02 A- DEM 1,400 754
Government of Germany
+ 5.75%, 8/22/00 Aaa 4,475 2,506
+ 6.00%, 1/5/06 Aaa 2,925 1,698
6.25%, 1/4/24 AAA 2,255 1,353
7.125%, 1/29/03 AAA 2,775 1,666
7.375%, 1/3/05 AAA 1,830 1,136
7.50%, 9/9/04 AAA 1,210 753
8.375%, 5/21/01 AAA 5,580 3,370
- ------------------------------------------------------
GROUP TOTAL 13,236
- ------------------------------------------------------
ITALIAN LIRA (6.0%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 2,630,000 1,852
10.00%, 8/1/03 AA 3,300,000 2,240
- ------------------------------------------------------
GROUP TOTAL 4,092
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
JAPANESE YEN (5.1%)
Credit Locale de France
6.00%, 10/31/01 AAA JPY 75,000 $ 659
European Investment Bank
3.00%, 9/20/06 AAA 88,000 722
6.625%, 3/15/00 AAA 60,000 502
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 648
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 BB+ 39,600 358
6.75%, 6/18/01 AAA 64,000 567
- ------------------------------------------------------
GROUP TOTAL 3,456
- ------------------------------------------------------
SOUTH AFRICAN RAND (1.0%)
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 3,500 687
- ------------------------------------------------------
SWEDISH KRONA (7.2%)
Swedish Government
6.00%, 2/9/05 AAA SEK 15,700 2,062
13.00%, 6/15/01 AA+ 18,175 2,803
- ------------------------------------------------------
GROUP TOTAL 4,865
- ------------------------------------------------------
UNITED STATES DOLLAR (28.5%)
CORPORATE (8.3%)
Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ $ 195 209
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 350 373
(+) BT Institutional
Capital Trust, Series
A
8.09%, 12/1/26 BBB+ 425 441
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 225 225
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 250 257
(+) Edison Mission
Energy Funding
7.33%, 9/15/08 BBB 225 233
First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 400 420
First Union
Institutional Capital
I
8.04%, 12/1/26 BBB+ 375 398
Nationwide Mutual Life
Insurance
7.50%, 2/15/24 A+ 300 300
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 150 154
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ $ 425 $ 445
Prudential Insurance Co.
8.30%, 7/1/25 A 150 167
# Rhone-Poulenc Rorer,
Inc., Series 92-A3
8.62%, 1/5/21 BBB- 215 237
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 275 292
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 100 108
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 130 138
(+) Wells Fargo Capital,
Series:
A
8.125%, 12/1/26 BBB 350 371
B
7.95%, 12/1/26 BBB+ 100 104
World Financial
Properties, Series 96
WFP-D
6.95%, 9/1/13 AA- 775 801
- ------------------------------------------------------
GROUP TOTAL 5,673
- ------------------------------------------------------
U.S. TREASURY SECURITIES (20.2%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 1,650 2,199
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,632 1,582
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,575 1,556
6.125%, 5/15/98 Tsy 3,875 3,878
6.75%, 5/31/99 Tsy 2,150 2,177
7.50%, 2/15/05 Tsy 2,100 2,309
- ------------------------------------------------------
GROUP TOTAL 13,701
- ------------------------------------------------------
YANKEE (3.7%)
Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 395 396
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 300 269
Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 195 179
Israel Electric Corp.,
Ltd.,
7.25%, 12/15/06 A- 75 76
(+) 7.75%, 12/15/27 A- 300 305
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 250 250
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 335 312
</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>
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB $ 375 $ 393
(+) Reliance Industries
Ltd.,
Series A
8.25%, 1/15/27 BB+ 250 234
(+) Samsung Electronics
Co.
7.45%,10/1/02 B+ 100 90
- ------------------------------------------------------
GROUP TOTAL 2,504
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $60,362) 58,724
- ------------------------------------------------------
PREFERRED STOCKS (2.9%)
- ------------------------------------------------------
SHARES
------
INDUSTRIALS (0.7%)
(+) Entertainment Properties
14.253% BBB- 300 279
(+) Tier One Properties
11.095% A 150 144
- ------------------------------------------------------
GROUP TOTAL 423
- ------------------------------------------------------
MORTGAGE-OTHER (2.2%)
(+)+ Home Ownership Funding
Corp.
13.331% Aaa 1,575 1,511
- ------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $2,030) 1,934
- ------------------------------------------------------
CASH EQUIVALENTS (9.7%)
- ------------------------------------------------------
FACE
AMOUNT
(000)
-------
AGENCY FIXED RATE MORTGAGE (3.1%)
Government National
Mortgage Association
10.50%, 5/15/18 Tsy $ 1,867 2,114
- ------------------------------------------------------
REPURCHASE AGREEMENTS (6.6%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98,
to be repurchased at $1,483,
collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/98, value
at $1,488 1,483 1,483
Goldman Sachs & Co. 5.65%,
dated 3/31/98, due 4/1/98,
to be repurchased at $1,483,
collateralized by U.S.
Treasury Bonds, 8.75%, due
8/15/17, valued at $1,523 1,483 1,483
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch & Co., Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased at
$1,483, collateralized by
U.S. Treasury Notes, 6.50%,
due 4/30/99, valued at
$1,514 $ 1,483 $ 1,483
- ------------------------------------------------------
GROUP TOTAL 4,449
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $6,530) 6,563
- ------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- ------------------------------------------------------
British Pound GBP 7 12
Canadian Dollar CAD 81 57
German Mark DEM 13 7
@ Italian Lira ITL 81 --
Swedish Krona SEK 5 1
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $76) 77
- ------------------------------------------------------
TOTAL INVESTMENTS (99.2%) (Cost $68,998) 67,298
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.8%)
Cash 244
Foreign Currency Held as Collateral on
Futures Contracts (Cost $58) 58
Dividends Receivable 67
Interest Receivable 1,407
Receivable for Investments Sold 515
Unrealized Gain on Futures Contracts 8
Other Assets 3
Payable for Investments Purchased (1,259)
Payable for Fund Shares Redeemed (204)
Payable for Investment Advisory Fees (64)
Payable for Administrative Fees (4)
Payable for Trustees' Deferred Compensation
Plan--Note F (3)
Unrealized Loss on Forward Foreign Currency
Contracts (196)
Other Liabilities (20)
-------
552
- ------------------------------------------------------
NET ASSETS (100%) $67,850
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
Applicable to 6,628,170 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $67,850
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.24
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $69,365
Undistributed Net Investment Income (Loss) 894
Undistributed Realized Net Gain (Loss) (507)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,701)
Foreign Currency Transactions (215)
Futures 14
- ------------------------------------------------------
NET ASSETS $67,850
- ------------------------------------------------------
- ------------------------------------------------------------
! See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale may
exist.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as
of March 31, 1998.
(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.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Fixed Income Portfolio invests in high-grade foreign
fixed-income securities. Miller Anderson & Sherrerd manages the duration,
country, and currency exposure of the Portfolio by combining research on
relative values with analyses of economic, interest rate, and exchange rate
trends. Particular attention is paid to prospective inflation and real interest
rates. The Portfolio will tend to invest in those countries offering the highest
real interest rates and steepest yield curves, after adjusting for differences
in the fiscal soundness of each country. Foreign currency exposure is handled as
a separate management decision and foreign currencies which MAS judges to be
significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS INTERNATIONAL SALOMON WORLD GOV'T
FIXED INCOME BOND EX-U.S. INDEX
---------------------------------------
<S> <C> <C>
SIX MONTHS (0.60)% (0.98)%
ONE YEAR 2.72 2.02
SINCE INCEPTION 5.76 5.54
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
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.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The International Fixed Income Portfolio commenced operations on 4/29/94.
Total returns are compared to the Salomon World Government Bond Ex-U.S. Index,
an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (73.0%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.4%)
Commonwealth of
Australia
10.00%, 2/15/06 AAA AUD 850 $ 716
Federal National
Mortgage Association
6.50%, 7/10/02 Agy 1,960 1,338
- ------------------------------------------------------
GROUP TOTAL 2,054
- ------------------------------------------------------
BRITISH POUND (9.7%)
United Kingdom
Treasury Bills
8.00%, 6/10/03 AAA GBP 2,165 3,924
8.50%, 7/16/07 AAA 5,055 9,981
- ------------------------------------------------------
GROUP TOTAL 13,905
- ------------------------------------------------------
CANADIAN DOLLAR (2.1%)
(+)@ Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1)1,400 --
(+) Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1)1,400 1
Government of Canada
7.50%, 3/1/01 AAA CAD 1,175 881
9.75%, 6/1/21 AA+ 1,950 2,087
- ------------------------------------------------------
GROUP TOTAL 2,969
- ------------------------------------------------------
DANISH KRONE (2.7%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 15,610 2,536
8.00%, 3/15/06 AA+ 7,675 1,295
- ------------------------------------------------------
GROUP TOTAL 3,831
- ------------------------------------------------------
FINNISH MARKKA (0.9%)
Government of Finland
9.50%, 3/15/04 AA- FIM 6,000 1,328
- ------------------------------------------------------
FRENCH FRANC (0.8%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA FRF 6,400 1,117
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
GERMAN MARK (23.5%)
## GMAC Global Bond
3.66%, 9/25/02 A- DEM 2,600 $ 1,400
Government of Germany
+ 5.75%, 8/22/00 Aaa 8,970 5,022
+ 6.00%, 1/5/06 Aaa 4,875 2,830
6.25%, 1/4/24 AAA 5,240 3,145
+ 7.00%, 1/13/00 Aaa 9,300 5,281
7.375%, 1/3/05 AAA 9,200 5,712
7.50%, 9/9/04 AAA 9,225 5,739
8.375%, 5/21/01 AAA 3,205 1,936
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 4,550 2,782
- ------------------------------------------------------
GROUP TOTAL 33,847
- ------------------------------------------------------
ITALIAN LIRA (7.7%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 10,055,000 7,080
10.00%, 8/1/03 AA 5,945,000 4,035
- ------------------------------------------------------
GROUP TOTAL 11,115
- ------------------------------------------------------
JAPANESE YEN (12.7%)
Credit Locale de
France
6.00%, 10/31/01 AAA JPY 361,000 3,171
European Investment
Bank
3.00%, 9/20/06 AAA 236,000 1,936
6.625%, 3/15/00 AAA 205,000 1,714
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 420,000 3,405
Inter-American
Development Bank
6.00%, 10/30/01 AAA 465,000 4,091
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 BB+ 300,000 2,711
6.75%, 6/18/01 AAA 140,000 1,242
- ------------------------------------------------------
GROUP TOTAL 18,270
- ------------------------------------------------------
NETHERLANDS GUILDER (1.7%)
Netherlands Government
8.25%, 2/15/07 AAA NLG 4,225 2,504
- ------------------------------------------------------
SOUTH AFRICAN RAND (1.0%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 7,250 1,423
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
SPANISH PESETA (1.2%)
Spanish Government
10.10%, 2/28/01 AAA ESP 240,000 $ 1,761
- ------------------------------------------------------
SWEDISH KRONA (7.6%)
Swedish Government
6.00%, 2/9/05 AAA SEK 47,100 6,185
13.00%, 6/15/01 AA+ 30,325 4,677
- ------------------------------------------------------
GROUP TOTAL 10,862
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$109,934) 104,986
- ------------------------------------------------------
CASH EQUIVALENTS (26.4%)
- ------------------------------------------------------
COMMERCIAL PAPER (16.0%)
Delaware Funding Corp.
5.56%, 4/14/98 $ 4,000 3,992
General Electric Capital
Corp.
5.53%, 4/8/98 4,000 3,996
Greenwich Funding Corp.
5.57%, 4/21/98 4,000 3,988
Societe General Bank
5.54%, 4/2/98 4,000 3,999
Southern California Edison
Corp.
5.53%, 4/9/98 3,062 3,058
Transamerica Financial Corp.
5.53%, 5/8/98 4,000 3,977
- ------------------------------------------------------
GROUP TOTAL 23,010
- ------------------------------------------------------
REPURCHASE AGREEMENTS (10.4%)
Chase Securities, Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased
at $4,979, collateralized
by various U.S. Government
Obligations, due
4/1/98-11/15/99, valued at
$4,993 4,979 4,979
Goldman Sachs & Co. 5.65%,
dated 3/31/98, due 4/1/98,
to be repurchased at
$4,979 collateralized by
U.S. Treasury Bonds, 8.75%
due 8/15/17, valued at
$5,112 4,978 4,978
Merrill Lynch & Co., Inc.
5.75%, dated 3/31/98, due
4/1/98, to be repurchased
at $4,979, collateralized
by U.S. Treasury Notes,
6.50%, due 4/30/99, valued
at $5,084 4,978 4,978
- ------------------------------------------------------
GROUP TOTAL 14,935
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $37,945) 37,945
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
FOREIGN CURRENCY (0.1%)
- ------------------------------------------------------
British Pound GBP 12 $ 21
Canadian Dollar CAD 1 1
French Franc FRF 544 88
German Mark DEM 24 13
@ Spanish Peseta ESP 12 --
- ------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $122) 123
- ------------------------------------------------------
TOTAL INVESTMENTS (99.5%) (Cost $148,001) 143,054
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.5%)
Foreign Currency Held as Collateral on
Futures Contracts (Cost $173) 173
Interest Receivable 2,466
Receivable for Fund Shares Sold 109
Unrealized Gain on Futures Contracts 84
Other Assets 37
Payable for Investments Purchased (1,449)
Payable for Investment Advisory Fees (132)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable to Custodian (327)
Unrealized Loss on Forward Foreign Currency
Contracts (200)
Other Liabilities (24)
--------
721
- ------------------------------------------------------
NET ASSETS (100%) $143,775
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
======================================================
<S> <C> <C> <C>
NET ASSETS
Applicable to 14,860,284 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $143,775
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.68
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $153,350
Undistributed Net Investment Income (Loss) (2,395)
Undistributed Realized Net Gain (Loss) (2,051)
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,948)
Foreign Currency Transactions (265)
Futures 84
- ------------------------------------------------------
NET ASSETS $143,775
- ------------------------------------------------------
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale may
exist.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is as
of March 31, 1998.
(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.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Intermediate Duration Portfolio invests in all sectors and maturities of the
bond market, while limiting average duration to between two and five years.
Miller Anderson & Sherrerd utilizes a value-based investment philosophy to
actively manage the duration and yield curve structure of the Portfolio by
understanding long-term trends in real interest rates and inflation. MAS selects
investments in U.S. Treasuries, agencies, investment-grade corporate bonds,
mortgages, foreign and other fixed-income securities based upon relative value
in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS LEHMAN
INTERMEDIATE INTERMEDIATE
DURATION GOV'T/CORP. INDEX
--------------------------------------
<S> <C> <C>
SIX MONTHS 3.62% 3.73%
ONE YEAR 9.64 9.67
SINCE INCEPTION 8.66 8.12
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Intermediate Duration Portfolio commenced operations on 10/3/94. Total
returns are compared to the Lehman Brothers Intermediate Government/Corporate
Bond Index, an unmanaged market index. Returns for periods less than one year
are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (95.5%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
March 31, 1998 & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (4.5%)
## Government National
Mortgage Association
Various Pools:
6.00%, 10/20/27-
11/20/27 Tsy $ 4,566 $ 4,631
6.50%, 1/20/28 Tsy 647 658
- ----------------------------------------------------
GROUP TOTAL 5,289
- ----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (15.3%)
Federal Home Loan
Mortgage Corporation
May TBA
6.50%, 5/15/28 Agy 2,600 2,571
Federal National
Mortgage Association
May TBA
6.50%,
4/15/28-5/15/28 Agy 15,700 15,508
- ----------------------------------------------------
GROUP TOTAL 18,079
- ----------------------------------------------------
ASSET BACKED CORPORATES (17.1%)
(+) ACC Automobile
Receivables Trust,
Series 97-C A
6.40%, 3/17/04 AAA 463 464
Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 44 44
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 164 164
96-B A
6.60%, 4/15/01 A 145 146
97-A A
6.35%, 10/15/02 AAA 277 277
ALPS, Series 94-1 A4 CMO
7.80%, 9/15/04 AA 260 266
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 185 186
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 360 362
97-D A3
6.20%, 5/15/03 AAA 500 501
98-A A3
5.90%, 11/15/02 AAA 550 548
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Associates Manufactured
Housing Pass Through
Certificates,
Series 97-1 A3
6.60%, 6/15/28 AAA $ 650 $ 654
Case Equipment
Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 26 26
95-A B
7.65%, 3/15/02 A 63 63
Chevy Chase Auto
Receivables Trust,
Series:
97-4 A
6.25%, 6/15/04 AAA 372 372
98-1 A
5.97%, 10/20/04 AAA 545 544
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 293 294
97-2 A
6.65%, 10/15/02 AAA 279 281
98-1 A
6.00%, 8/15/03 AAA 700 698
(+) Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 274 273
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 267 267
(+) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series:
96-B A1
7.629%, 11/1/18 A 93 94
97-A A
7.35%, 4/15/19 AAA 348 360
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 325 325
(+) 97-2 A1
6.85%, 11/15/02 AAA 380 383
First Plus Home Loan
Trust, Series 96-4 A3
6.28%, 3/10/09 AAA 250 250
First Security Auto
Grantor Trust, Series
97-B A
6.10%, 4/15/03 AAA 461 462
Fleetwood Credit Corp,
Series 92-A-A
7.10%, 2/15/07 AAA 508 508
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Ford Credit Auto
Owner Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA $ 364 $ 365
96-B
6.55%, 2/15/02 A 175 176
97-B A3
6.05%, 4/15/01 AAA 600 601
Ford Credit Auto Grantor
Trust, Series 94-B A
7.30%, 10/15/99 AAA 286 286
General Electric Home
Equity Loan
Asset-Backed
Certificates, Series
91-1 B
8.70%, 9/15/11 AAA 375 382
Green Tree Lease
Finance, Series 97-1
A3
6.17%, 9/20/05 AAA 407 407
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 211 211
(+)++ Health Care
Receivables
Securitization
Program, Series 97-1 A
6.815%, 7/1/01 AAA 250 253
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 458 457
97-B A
5.95%, 5/15/03 AAA 511 511
IBM Credit Receivables
Lease Asset Master
Trust, Series 93-1 A
4.55%, 11/15/00 AAA 49 49
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA 323 323
97-2 A
6.69%, 9/25/04 AAA 230 231
98-1 A
6.19%, 1/25/04 AAA 268 267
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 375 376
Navistar Financial Corp.
Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 545 547
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 735 736
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Old Stone Credit Corp.
Home Equity Trust
Series 92-3 B1
6.35%, 9/25/07 AAA $ 49 $ 49
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 76 75
94-B A2
6.85%, 6/15/01 AAA 47 48
94-B B
6.95%, 6/15/01 AAA 154 155
Onyx Acceptance
Grantor Trust,
Series:
94-1 A
6.90%, 1/17/00 AAA 91 91
97-2 A
6.35%, 10/15/02 AAA 319 320
97-3 A
6.35%, 1/15/04 AAA 311 313
Premier Auto Trust,
Series 95-4 A4
6.00%, 5/6/00 AAA 572 572
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 450 451
(+) Securitized Multiple
Asset Rated Trust,
Series 98-1 A1
7.45%, 3/16/06 A 373 373
(+) Team Fleet Financing
Corp., Series 97-1 A
7.35%, 5/15/03 A- 300 310
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 577 579
97-B A2
6.70%, 6/8/03 AAA 550 557
USAA Auto Loan Grantor
Trust, Series 97-1 A
6.00%, 5/15/04 AAA 470 470
Western Financial Auto
Grantor Trust,
Series:
93-2 A2
4.70%, 10/1/98 AAA 3 3
94-1 A1
5.10%, 6/1/99 AAA 49 49
WFS Financial Owner
Trust, Series 97-C A3
6.01%, 3/20/02 AAA 380 380
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA $ 400 $ 400
- ----------------------------------------------------
GROUP TOTAL 20,185
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.8%)
Federal Home Loan
Mortgage Corporation,
Series:
93-149 O PO REMIC
8/25/23 Agy 33 24
1632-SA Inv Fl REMIC
5.229%, 11/15/23 Agy 65 58
1709-H PO REMIC
1/15/24 Agy 14 9
1813-K PO REMIC
2/15/24 Agy 15 12
1844-PC PO REMIC
3/15/24 Agy 30 22
1887-I PO REMIC
10/15/22 Agy 15 11
Federal National
Mortgage Association,
Series:
93-205 G PO REMIC
9/25/23 Agy 14 10
93-235 H PO REMIC
9/25/23 Agy 4 3
96-11 V PO REMIC
9/25/23 Agy 548 410
96-14 PC PO
12/25/23 Agy 25 17
96-46 PB PO REMIC
9/25/23 Agy 30 23
96-54 O PO
11/25/23 Agy 19 13
97-3 E PO REMIC
12/25/23 Agy 75 57
287 1 PO
12/17/07 Agy 476 331
- ----------------------------------------------------
GROUP TOTAL 1,000
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (3.6%)
Bear Stearns Mortgage
Securities, Inc.,
Series:
## 96-4 AI10
8.125%, 9/25/27 AAA 50 52
96-9 AI11
8.00%, 12/25/27 AAA 50 52
Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1
7.00%, 3/25/20 AAA 21 21
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
ICI Funding Corp.,
Series 97-2 1A8
8.00%, 7/25/28 AAA $ 348 $ 361
+ Independent National
Mortgage Corp.,
Series 94-O B1
7.875%, 9/25/24 A2 96 101
Residential Accredit
Loans, Inc.,
Series:
97-QS2 A8
7.75%, 3/25/27 AAA 75 77
97-QS3 A8
7.75%, 4/25/27 AAA 150 155
97-QS10 A4
7.25%, 10/25/27 AAA 548 551
98-QS2 A7
7.00%, 2/25/28 AAA 700 697
98-QS4 AI5
7.00%, 3/25/28 AAA 750 747
Residential Asset
Securitization Trust,
Series:
96-A11 A9
7.75%, 2/25/27 AAA 125 129
97-A9 A5
7.25%, 9/15/27 AAA 523 526
98-A1 A4 REMIC
6.75%, 3/15/28 AAA 750 737
- ----------------------------------------------------
GROUP TOTAL 4,206
- ----------------------------------------------------
COMMERCIAL MORTGAGES (9.2%)
+ 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 140 147
95-MD4 A1
7.10%, 8/13/29 AAA 700 728
96-MD6 A1B
6.88%, 11/13/26 AAA 250 258
96-MD6 A1C
7.04%, 11/13/26 AAA 100 104
97-D5 A1B
6.66%, 2/14/41 AAA 225 230
+## 97-D5 PS1 IO
1.563%, 2/14/41 Aaa 2,046 221
(+) Carousel Center
Finance, Inc., Series
1 C
7.527%, 11/15/07 BBB+ 78 79
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Chase Commercial
Mortgage Securities
Corp., Series 96-2 B
6.90%, 10/19/06 AA $ 100 $ 102
CS First Boston Mortgage
Securities Corp.,
Series 97-C1 A1C
7.24%, 6/20/29 AAA 775 814
DLJ Commercial
Mortgage Corp.,
Series 98-CF1 A1B
6.41%, 2/15/08 AAA 650 650
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 85 89
++## 96-CF2 S IO
1.640%, 11/12/21 AAA 623 52
97-CF1 A1B
7.60%, 4/15/07 AAA 300 323
## 97-CF1 S IO
1.095%, 3/15/17 AAA 1,292 82
97-CF2 A1B
6.82%, 9/15/07 AAA 775 796
Federal National
Mortgage Association
Series 93-M2 B IO
2.572%, 7/25/03 Agy 715 25
First Union-Lehman
Brothers Commercial
Mortgage,
Series:
+ 97-C1 A2
7.30%, 12/18/06 Aaa 375 394
97-C2 A3
6.65%, 12/18/07 AAA 375 381
(+) Forum Finance
7.125%, 5/15/04 AA 250 256
+ GMAC Commercial
Mortgage Securities,
Inc.,
Series:
97-C1 A2
6.853%, 9/15/06 Aaa 500 513
97-C2 A3
6.566%, 11/15/07 Aaa 425 430
## 97-C2 X IO
1.273%, 4/15/27 Aaa 3,650 277
+ GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 350 363
## 97-GL X2 IO
0.930%, 7/13/30 Aaa 996 51
J.P. Morgan Commercial
Mortgage Finance
Corp., Series 97-C5 A2
7.069%, 9/15/29 AAA 325 341
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
+## LB Commercial
Conduit Mortgage
Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa $ 96 $ 101
98-C1 IO
1.199%, 2/18/28 Aaa 4,600 308
Lehman Large Loan,
Series 97-LLI A1
6.79%, 6/12/04 AAA 545 557
Merrill Lynch Mortgage
Investors, Inc.,
Series:
## 95-C1 IO
2.185%, 5/25/15 AAA 2,520 122
96-C1 A3
7.42%, 4/25/28 AAA 100 105
96-C2 A2
6.82%, 11/21/28 AAA 345 353
++## 96-C2 IO
1.538%, 11/21/28 AAA 441 37
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 100 105
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 150 153
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 375 393
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 450 456
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 AA 196 207
+ Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 150 155
- ----------------------------------------------------
GROUP TOTAL 10,810
- ----------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 104
- ----------------------------------------------------
FINANCE (10.8%)
Allstate Corp.
5.875%, 6/15/98 A 125 125
American General Finance
Corp., Series D
6.35%, 9/19/00 A+ 270 274
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 225 241
</TABLE>
<TABLE>
<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- $ 475 $ 486
(+) BankAmerica
Institutional, Series
A
8.07%, 12/31/26 A- 455 485
Bankers Trust New York
Corp.
6.625%, 7/30/99 A 150 151
Barclays American Corp.
7.875%, 8/15/98 AA 125 126
Beneficial Corp., Series
H
6.575%, 12/16/02 A 175 177
(+) BT Institutional
Capital Trust, Series
A
8.09%, 12/1/26 BBB+ 500 519
Chase Manhattan Bank
5.875%, 8/4/99 A+ 575 575
Chrysler Financial Corp.
6.375%, 1/28/00 A- 200 201
6.62%, 6/16/00 A 325 329
CIT Group Holdings
6.375%, 10/1/02 AA- 400 404
Countrywide Funding
Corp.
6.05%, 3/1/01 A 75 75
6.55%, 4/14/00 A 175 176
Series A
7.32%, 8/15/00 A 175 179
(+) EOP Operating LP
6.625%, 2/15/05 BBB 440 438
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 250 256
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 300 347
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 675 708
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 350 358
First Union
Institutional Capital,
Series I
8.04%, 12/1/26 BBB+ 400 424
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 130
7.45%, 7/1/04 A 100 104
(+) Florida Windstorm
6.70%, 8/25/04 A- 200 201
Ford Motor Credit Corp.
7.47%, 7/29/99 A+ 75 76
8.375%, 1/15/00 A 75 78
</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>
General Motors
Acceptance Corp.,
Medium Term Note
6.65%, 5/24/00 A $ 100 $ 101
6.75%, 6/10/02 A 100 102
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 441 450
Household Finance Corp.
6.08%, 3/8/06 A 408 405
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 340 346
Lehman Brothers Holdings
Corp.
6.50%, 7/18/00 A 375 377
6.625%, 11/15/00 A 100 101
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 325 323
NB Capital Trust
8.25%, 4/15/27 A- 250 274
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 300 314
(+) Prime Property
Funding II
6.80%, 8/15/02 A 355 359
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 250 266
B
8.035%, 3/15/27 A 245 263
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 235 250
8.60%, 2/1/02 BBB+ 195 211
Wells Fargo Capital,
Series:
(+) A
8.125%, 12/1/26 BBB 100 106
B
7.95%, 12/1/26 BBB+ 250 261
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 247 254
96 WFP-D
6.95%, 9/1/13 AA- 350 362
- ----------------------------------------------------
GROUP TOTAL 12,768
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
FLOATING RATE NOTES (1.0%)
## Student Loan
Marketing Association,
Series:
95-1 A1
5.83%, 4/26/04 AAA $ 648 $ 647
96-1 A1
5.815%, 7/26/04 AAA 530 529
- ----------------------------------------------------
GROUP TOTAL 1,176
- ----------------------------------------------------
FOREIGN GOVERNMENT (4.9%)
Government of Germany
7.00%, 11/25/99 Agy DEM 10,100 5,716
- ----------------------------------------------------
INDUSTRIALS (0.5%)
(+) EES Coke Battery
Co., Inc.
7.125%, 4/15/02 BBB $ 189 191
Philip Morris Cos., Inc.
6.375%, 2/1/06 A 55 54
7.00%, 7/15/05 A 185 189
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 80 84
Sears Roebuck Acceptance
Corp.
6.86%, 8/6/01 A- 70 72
- ----------------------------------------------------
GROUP TOTAL 590
- ----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Resolution Trust
Corp., Series 92-5 C
8.617%, 1/25/26 AA 74 74
- ----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
Federal National
Mortgage Association,
Series:
96-20 E PO
11/25/22 Agy 250 142
249 1 PO
10/25/23 Agy 323 227
260 1 PO
4/1/24 Agy 54 41
263 1 PO
5/25/24 Agy 60 42
282 1 PO
9/15/25 Agy 479 353
- ----------------------------------------------------
GROUP TOTAL 805
- ----------------------------------------------------
TAXABLE MUNICIPAL (0.3%)
New York State Power
Authority Revenue
Bonds, Series B
6.11%, 2/15/11 AA- 400 398
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITIES (24.1%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy $ 2,497 $ 2,421
3.625%, 7/15/02
(Inflation Indexed) Tsy 5,523 5,466
6.375%, 3/31/01 Tsy 18,250 18,609
!! 6.875%, 7/31/99 Tsy 750 762
7.50%, 2/15/05 Tsy 1,050 1,155
- ----------------------------------------------------
GROUP TOTAL 28,413
- ----------------------------------------------------
UTILITIES (0.1%)
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 104
- ----------------------------------------------------
YANKEE (2.4%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 381 382
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 300 269
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 185 170
(+) Israel Electric
Corp., Ltd
7.25%, 12/15/06 A- 60 61
7.75%, 12/15/27 A- 265 269
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 250 250
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 325 303
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 350 367
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 365 378
Sony Corp
6.125%, 3/4/03 A 325 324
- ----------------------------------------------------
GROUP TOTAL 2,773
- ----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$111,978) 112,490
- ----------------------------------------------------
PREFERRED STOCK (0.5%)
- ----------------------------------------------------
SHARES
------
MORTGAGE-OTHER (0.5%)
(+)+ Home Ownership
Funding Corp.,
13.331% (Cost $652) Aaa 650 624
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
INTEREST RATE CAP (0.0%)-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) A- $ 25,000 $ 23
- ----------------------------------------------------
CASH EQUIVALENTS (18.5%)
- ----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (13.7%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.50%, 5/1/19-
10/1/19 Agy 108 118
11.00%, 7/1/13 Agy 111 125
11.50%, 3/1/13 Agy 173 197
Gold Pools:
9.50%, 12/1/22 Agy 485 532
10.00%, 6/1/17 Agy 405 449
Series:
## 1386-D REMIC
6.25%, 10/15/07 Agy 416 418
Federal National
Mortgage Association
Conventional Pools:
10.00%, 2/1/21-1/1/27 Agy 315 350
10.50%, 12/1/10 Agy 93 104
12.00%, 8/1/12 Agy 44 51
Series:
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 414 415
## 97-43 FM REMIC
6.25%, 7/18/27 Agy 354 356
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 213 214
## 97-76 FM
6.20%, 9/17/27 Agy 377 379
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 1,350 1,353
Government National
Mortgage Association
Adjustable Rate Mortgages:
7.00%,
3/20/25-7/20/25 Tsy 1,271 1,296
7.375%, 4/20/25-
6/20/25 Tsy 2,475 2,523
Various Pools:
9.50%, 12/15/17-
12/15/21 Tsy 1,349 1,472
10.00%, 1/15/16-
12/25/26 Tsy 2,743 3,058
10.50%, 3/15/06-
2/15/18 Tsy 293 330
</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>
11.00%, 3/15/10-
8/15/27 Tsy $ 1,857 $ 2,128
11.50%, 6/15/13 Tsy 108 125
12.00%, 12/15/12-
5/15/14 Tsy 88 102
12.50%, 12/15/10 Tsy 38 45
- ----------------------------------------------------
GROUP TOTAL 16,140
- ----------------------------------------------------
REPURCHASE AGREEMENT (4.8%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98,
to be repurchased at $5,623,
collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued
at $5,639 5,622 5,622
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,710) 21,762
- ----------------------------------------------------
TOTAL INVESTMENTS (114.5%) (Cost $134,425) 134,899
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-14.5%)
Dividends Receivable 22
Interest Receivable 895
Receivable for Investments Sold 17,875
Receivable for Fund Shares Sold 161
Unrealized Gain on Forward Foreign
Currency Contracts 80
Other Assets 2
Payable for Investments Purchased (35,973)
Payable for Fund Shares Redeemed (8)
Payable for Investment Advisory Fees (96)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred
Compensation Plan-Note F (2)
Payable for Daily Variation on Futures
Contracts (7)
Other Liabilities (14)
--------
(17,073)
- ----------------------------------------------------
NET ASSETS (100%) $117,826
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
====================================================
<S> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 11,268,171 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $117,826
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.46
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $115,379
Undistributed Net Investment Income (Loss) 1,706
Undistributed Realized Net Gain (Loss) 357
Unrealized Appreciation (Depreciation) on:
Investment Securities 474
Foreign Currency Transactions 77
Futures (167)
- ----------------------------------------------------
NET ASSETS $117,826
- ----------------------------------------------------
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors 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 Investors Service,
Inc.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
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
March 31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Market Fixed Income Portfolio combines a broad array of both domestic
and international fixed income securities to maximize active management
opportunities within a single fixed-income strategy. The Portfolio will include
the most attractively valued securities from four major areas: domestic
investment-grade bonds, international bonds, high-yield bonds, and emerging
markets debt. MAS constructs a diversified fund with a maturity and duration
structure reflecting long-term views on interest rates and inflation, and
controls risk through diversification within and among these four major areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS SALOMON SALOMON WORLD
MULTI-MARKET BROAD GOV'T BOND
FIXED INCOME INDEX EX-U.S. INDEX
--------------------------------------
<S> <C> <C> <C>
SINCE INCEPTION...... 3.14% 4.20% (0.86)%
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments. High-yield fixed income securities, otherwise known as "junk
bonds," represent a much greater risk of default and tend to be more volatile
than higher-rated bonds.
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.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Multi-Market Fixed Income Portfolio commenced operations on 10/1/97. Total
returns are compared to the Salomon Broad Investment Grade Index and the Salomon
World Government Bond Ex-U.S. Index, both unmanaged market indices. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.1%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (1.6%)
## Government National
Mortgage Association
Various Pools:
6.00%, 7/20/27 Tsy $ 869 $ 883
- -----------------------------------------------------
ASSET BACKED CORPORATES (2.9%)
Advanta Mortgage Loan
Trust, Series 97-3 A2
6.61%, 4/25/12 AAA 95 95
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 45 46
94-1 C2 CMO
9.35%, 9/15/04 BBB 40 40
Arcadia Automobile
Receivables Trust,
Series 97-C A4
6.375%, 1/15/03 AAA 115 116
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 100 100
Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 A 97 97
(+) Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 199 199
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 100 100
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 168 168
(+) Long Beach Acceptance
Auto Grantor Trust,
Series:
+ 97-1 B
14.22%, 10/26/03 Ba3 208 208
97-2 A
6.69%, 9/25/04 AAA 84 84
(+) Securitized Multiple
Asset Rated Trust,
Series 97-6 A1
7.71%, 4/15/06 A 148 149
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ $ 15 $ 15
WFS Financial Owner
Trust, Series 97-C A3
6.10%, 3/20/02 AAA 130 130
- -----------------------------------------------------
GROUP TOTAL 1,647
- -----------------------------------------------------
ASSET BACKED MORTGAGES (0.5%)
Advanta Mortgage Loan
Trust, Series 96-2 A5
8.08%, 6/25/27 AAA 65 68
Champion Home Equity Loan
Trust,
Series 96-2 A4
8.00%, 9/25/28 AAA 50 52
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 1,150 28
96-3 A YMA
10/25/26 N/R 994 1
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 843 22
(+)96-4 A11 I YMA
1/15/28 AAA 1,002 1
96-4 A12 I IO
1.05%, 1/15/28 AAA 228 6
Sec.@ 96-4 A12 I YMA
1/15/28 (acquired
10/10/97, cost $0) AAA 219 --
97-1 A10 I IO
1.10%, 3/15/28 AAA 1,037 27
(+)97-1 A10 I YMA
3/15/28 AAA 1,195 2
IMC Home Equity Loan
Trust, Series 96-3 A7
8.05%, 8/25/26 AAA 50 52
- -----------------------------------------------------
GROUP TOTAL 259
- -----------------------------------------------------
CABLE (1.1%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 330 340
(+) Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ 55 55
Rogers Cablesystems Ltd.,
Series B
10.00%, 3/15/05 BB+ 215 241
- -----------------------------------------------------
GROUP TOTAL 636
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (0.8%)
Federal Home Loan
Mortgage Corporation,
Series:
1398-I Inv Fl REMIC
12.18%, 10/15/07 Agy $ 20 $ 24
1415-S Inv Fl IO
18.813%, 11/15/07 Agy 22 10
1476-S Inv Fl IO REMIC
PAC
4.287%, 2/15/08 Agy 203 23
1485-S Inv Fl IO REMIC
3.85%, 3/15/08 Agy 194 18
1600-SA Inv Fl IO REMIC
2.25%, 10/15/08 Agy 423 23
1709-H PO REMIC
1/15/24 Agy 5 3
1813-K PO REMIC
2/15/24 Agy 5 4
1844-PC PO REMIC
3/15/24 Agy 10 7
1887-I PO REMIC
10/15/22 Agy 5 4
1950-SC Inv Fl IO
2.25%, 10/15/22 Agy 10 1
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
28.777%, 9/25/20 Agy 9 14
92-186 S Inv Fl IO
3.287%, 10/25/07 Agy 380 31
93-149 O PO REMIC
8/25/23 Agy 12 9
93-205 G PO REMIC
9/25/23 Agy 33 24
93-235 H PO REMIC
9/25/23 Agy 12 10
96-11 V PO REMIC
9/25/23 Agy 88 65
96-14 PC PO
12/25/23 Agy 10 7
96-37 H PO REMIC
8/25/23 Agy 61 50
96-46 PB PO REMIC
9/25/23 Agy 10 8
96-54 O PO
11/25/23 Agy 10 7
96-68 SC Inv Fl IO
REMIC
2.444%, 1/25/24 Agy 90 11
@ 97-30 Inv Fl IO REMIC
1.875%, 7/25/22 Agy 5 --
287 1 PO
12/17/07 Agy 138 96
G92-53 S Inv Fl IO
REMIC
32.344%, 9/25/22 Agy 18 13
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO REMIC
2.813%, 6/16/26 Tsy $ 15 $ 1
96-13 S Inv Fl IO REMIC
3.40%, 7/16/11 Tsy 8 1
96-17 S Inv Fl IO REMIC
2.863%, 8/16/26 Tsy 8 1
+ Kidder Peabody Mortgage
Assets Trust,
Series:
87-B PO 4/22/18 Aaa 1 1
@ 87-B IO
9.50%, 4/22/18 Aaa 1 --
- -----------------------------------------------------
GROUP TOTAL 466
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-NON-AGENCY
COLLATERAL SERIES (1.1%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 46 48
Capstead Mortgage Corp.
7.25%, 9/15/27 AAA 90 90
@ Citicorp Mortgage
Securities, Inc.,
Series 93-9 A1
7.00%. 3/25/20 AAA (2)-- --
Sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired 10/10/97,
cost $29) N/R 29 29
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 20 22
Prudential Home Mortgage
Securities Co., Inc.,
Series 90-5 A3
9.50%, 5/25/05 AAA 4 4
Residential Accredit
Loans, Inc.,
Series:
+ 97-QS1 A11
7.50%, 2/25/27 Aaa 80 81
97-QS2 A8
7.75%, 3/25/27 AAA 40 41
97-QS3 A8
7.75%, 4/25/27 AAA 90 93
97-QS4 A7
7.75%, 5/25/27 AAA 95 98
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Residential Funding
Mortgage Securities
Co., Inc.,
Series 94-S1 A19
6.75%, 1/25/24 AAA $ 85 $ 84
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 32 31
- -----------------------------------------------------
GROUP TOTAL 621
- -----------------------------------------------------
COMMERCIAL MORTGAGES (7.9%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 60 62
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 439 457
(+) 96-D3 A1C
7.40%, 10/13/26 AAA 60 64
+ 96-MD6 A1C
7.04%, 11/13/26 Aaa 60 62
(+) Crystal Run
Properties, Series A
7.393%, 8/15/11 AA 100 107
CS First Boston Mortgage
Securities Corp.,
Series 97-C1 A1C
7.24%, 6/20/29 AAA 415 436
DLJ Commercial Mortgage
Corp.,
Series 98-CF1 A1B
6.41%, 2/15/08 AAA 350 350
DLJ Mortgage Acceptance
Corp.,
Series:
(+) 95-CF2 A3
7.05%, 12/17/27 A 25 25
## 95-CF2 S2 IO
1.645%, 12/17/27 BBB 360 31
(+) 96-CF1 A1B
7.58%, 3/13/28 AAA 40 43
(+) 96-CF2 A1B
7.29%, 11/12/21 AAA 15 16
(+)++## 96-CF2 S IO
1.640%, 11/12/21 AAA 286 24
(+) 97-CF1 A1B
7.60%, 4/15/07 AAA 85 91
(+) 97-CF1 S IO
1.097%, 3/15/17 AAA 560 36
(+) 97-CF2 A1B
6.82%, 9/15/07 AAA 400 411
First Union-Lehman
Brothers Commercial
Mortgage,
Series 97-C2 A3
6.65%, 12/18/07 AAA 200 203
</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>
+ GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.868%, 3/15/21 Aaa $ 261 $ 22
97-C1 A2
6.853%, 9/15/06 Aaa 115 118
97-C2 A3
6.566%, 11/15/07 Aaa 275 278
## 97-C2 X IO
1.273%, 4/15/27 Aaa 2,300 175
+ GS Mortgage Securities
Corp. II,
Series 97-GL A2D
6.94%, 7/13/30 Aaa 115 119
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 110 116
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 96 101
98-C1 IO
1.199%, 2/18/28 Aaa 2,400 160
Merrill Lynch Mortgage
Investors, Inc.,
Series:
96-C1 A3
7.42%, 4/25/28 AAA 85 89
96-C2 A2
6.82%, 11/21/28 AAA 30 31
++## 96-C2 IO
1.538%, 11/21/28 AAA 299 25
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 50 52
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 100 102
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 105 110
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 250 253
Nomura Asset Securities
Corp., Series 94-MD1 A3
8.026%, 3/15/18 N/R 35 37
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 98 103
+ Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 100 104
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
++## Structured Asset
Securities Corp.,
Series:
96-CLF X1 IO
1.42%, 2/25/28 AAA $ 442 $ 24
96-CFL X1A IO
1.431%, 2/25/28 AAA 408 10
96-CFL X2 IO
1.225%, 2/25/28 AAA 114 3
+ Town & Country Funding
Corp.,
5.85%, 8/15/00 Aa2 5 5
- -----------------------------------------------------
GROUP TOTAL 4,455
- -----------------------------------------------------
COMMUNICATIONS (2.7%)
Comcast Cellular Holdings
Corp., Series B
9.50%, 5/1/07 BB+ 120 127
+# Dial Call
Communications, Inc.
0.00%, 12/15/05 B2 170 168
# Intermedia
Communications, Inc.
0.00%, 7/15/07 B 485 365
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC+ 235 226
(+)# Qwest Communications
International, Inc.
0.00%, 2/1/08 B+ 245 173
(+)+# RCN Corp.
0.00%, 2/15/08 B3 175 109
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B+ 430 370
- -----------------------------------------------------
GROUP TOTAL 1,538
- -----------------------------------------------------
EMERGING MARKETS (0.3%)
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 205 144
- -----------------------------------------------------
ENERGY (0.5%)
(+) ESI Tractebell
Acquisition Corp.
7.99%, 12/30/11 BB 100 99
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 104
Mobile Energy Services
8.665%, 1/1/17 BBB- 91 97
- -----------------------------------------------------
GROUP TOTAL 300
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
FINANCE (6.3%)
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ $ 130 $ 139
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 250 266
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 125 130
(+) EOP Operating LP
6.625%, 2/15/05 BBB 160 160
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 250 262
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 180 191
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 100 104
(+) Florida Windstorm
6.70%, 8/25/04 A- 145 146
## Fuji JGB Investment
LLC, Series A
9.87%, 12/31/49 BB+ 180 178
(+)## IBJ Preferred Cap
Co. LLC, Series A
8.79%, 12/29/49 BBB- 175 168
J.P. Morgan Capital Trust
I
7.54%, 1/15/27 AA- 105 107
NB Capital Trust
8.25%, 4/15/27 A- 100 110
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 135 142
(+) Prime Property
Funding II
6.80%, 8/15/02 A 215 217
7.00%, 8/15/04 A 50 51
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 150 167
(+)## SB Treasury Co.
LLC, Series A
9.40%, 12/29/49 BBB- 160 165
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 100 106
B
8.035%, 3/15/27 A 100 107
Washington Mutual Capital
8.375%, 6/1/27 BBB- 35 38
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 150 159
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB $ 125 $ 133
(+) World Financial
Properties, Series 96
WFP-D
6.95%, 9/1/13 AA- 250 258
- -----------------------------------------------------
GROUP TOTAL 3,504
- -----------------------------------------------------
FOREIGN GOVERNMENTS (18.8%)
Commonwealth of Australia
10.00%, 2/15/06 AAA AUD 2,250 1,895
Government of France
O.A.T.
8.50%, 3/28/00 AAA FRF 7,180 1,253
Government of Germany
+5.75%, 8/22/00 Aaa DEM 1,775 994
6.00%, 1/5/06 Agy 1,500 871
7.50%, 9/9/04 AAA 1,725 1,073
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 BB+ JPY 85,000 768
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 930,000 655
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 1,150 226
Swedish Government
6.00%, 2/9/05 AAA SEK 7,600 998
13.00%, 6/15/01 AA+ 6,200 956
United Kingdom Treasury
Bill
8.50%, 7/16/07 AAA GBP 435 859
- -----------------------------------------------------
GROUP TOTAL 10,548
- -----------------------------------------------------
GAMING (0.3%)
Grand Casinos, Inc.
10.125%, 12/1/03 BB $ 155 169
- -----------------------------------------------------
GENERAL INDUSTRIAL (0.1%)
Geberit International SA
10.125%, 4/15/07 B+ DEM 100 61
- -----------------------------------------------------
HEALTHCARE (0.2%)
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ $ 125 130
- -----------------------------------------------------
HOTELS, LODGING & RESTAURANTS (0.2%)
HMC Acquisition
Properties
9.00%, 12/15/07 BB- 85 90
- -----------------------------------------------------
INDUSTRIALS (2.3%)
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 240 218
News America Holdings
7.75%, 1/20/24 BBB- 185 194
8.875%, 4/26/23 BBB- 525 616
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 125 128
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB- $ 60 $ 66
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 52 55
- -----------------------------------------------------
GROUP TOTAL 1,277
- -----------------------------------------------------
MEDIA & ENTERTAINMENT (0.8%)
Paramount Communications,
Inc.
8.25%, 8/1/22 BB+ 175 180
Viacom, Inc.
8.00%, 7/7/06 BB- 240 245
- -----------------------------------------------------
GROUP TOTAL 425
- -----------------------------------------------------
METALS (0.5%)
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B DEM 185 106
(+) Murrin Murrin
Holdings Ltd.
9.375%, 8/31/07 BB- $ 180 179
- -----------------------------------------------------
GROUP TOTAL 285
- -----------------------------------------------------
PACKAGING (0.9%)
American Standard Cos.
7.375%, 2/1/08 BB- 155 152
Integrated Health
Services, Series A
9.50%, 9/15/07 B 200 213
Revlon Worldwide, Series
B Zero Coupon 3/15/01 B- 165 126
- -----------------------------------------------------
GROUP TOTAL 491
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 10/10/97,
cost $2) N/R 2 1
sec.## Magnolia Federal
Bank, Series 84-2
9.12%, 10/1/07
(acquired 10/10/97,
cost $6) N/R 6 6
Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA 30 30
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 33 32
- -----------------------------------------------------
GROUP TOTAL 69
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
RETAIL (1.3%)
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB $ 68 $ 63
94-K1 A1
7.60%, 8/15/07 BB 178 175
94-K2 A2
9.35%, 8/15/19 BB 130 135
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 140 144
Southland Corp.
5.00%, 12/15/03 BB+ 210 184
- -----------------------------------------------------
GROUP TOTAL 701
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 281 197
260 1 PO
4/1/24 Agy 43 33
282 1 PO
9/1/25 Agy 192 142
@ First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA (2)-- --
- -----------------------------------------------------
GROUP TOTAL 372
- -----------------------------------------------------
SUPERMARKETS (0.5%)
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 300 301
- -----------------------------------------------------
TECHNOLOGY (0.4%)
Advanced Micro Devices,
Inc.
11.00%, 8/1/03 BB- 200 214
- -----------------------------------------------------
TRANSPORTATION (0.3%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 185 185
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITIES (19.5%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy $ 1,606 $ 1,557
3.625%, 7/15/02
(Inflation Indexed) Tsy 1,007 997
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,225 1,210
5.625%, 2/28/01 Tsy 1,000 1,000
!! 7.125%, 9/30/99 Tsy 720 736
7.125%, 2/29/00 Tsy 5,275 5,419
- -----------------------------------------------------
GROUP TOTAL 10,919
- -----------------------------------------------------
UTILITIES (1.0%)
CalEnergy Co., Inc.
7.63%, 10/15/07 BB+ 260 260
CMS Energy Corp., Series
B
7.375%, 11/15/00 BB 180 182
(+) Edison Mission Energy
Funding Corp., Series B
7.33%, 9/15/08 BBB 100 103
- -----------------------------------------------------
GROUP TOTAL 545
- -----------------------------------------------------
YANKEE (18.5%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 138 139
Asia Pulp & Paper Co.,
Ltd., Series A
12.00%, 2/15/04 B+ 150 125
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 345 309
Azteca Holdings SA
11.00%, 6/15/02 B- 35 37
Federative Republic of
Brazil, C Bond, PIK
8.00%, 4/15/14 BB- 1,140 960
(+) Globo Comunicacoes
Participoes
10.50%, 12/20/06 BB- 435 442
Grupo Minero Mexicano SA
de CV, Series A
8.25%, 4/1/08 BB 160 159
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 205 188
(+) Hylsa SA de CV
9.25%, 9/15/07 BB 125 125
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 BB 100 80
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 40 41
7.75%, 12/15/27 A- 340 345
Korea Development Bank
7.375%, 9/17/04 BB+ 215 195
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Korea Electric Power
Corp.
7.75%, 4/1/13 B+ $ 165 $ 140
National Power Corp.
7.875%, 12/15/06 BB+ 85 77
8.40%, 12/15/16 BB+ 55 48
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 250 250
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 100 48
Pera Financial Services
9.375%, 10/15/02 N/R 300 283
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 200 186
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 225 236
(+) Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 155 127
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 140 123
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 140 145
## Republic of Argentina,
Series L
6.625%, 3/31/05 BB- 768 709
+# Republic of Argentina
Pre 4 BOCON, PIK
0.00%, 9/1/02 Ba3 75 92
Republic of Colombia
8.70%, 2/15/16 BBB- 265 259
## Republic of Venezuela
Debt Conversion Bond,
Series DL
6.813%, 12/18/07 B+ 750 683
(+) RG Receivables Ltd.
9.60%, 2/10/05 BB- 170 170
## Russia Principal
Loans,
3.249%, 12/15/20 N/R 1,800 1,146
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 150 134
(+) Sanluis Corp. SA
8.875%, 3/18/08 N/R 500 493
TJIWI KIMIA International
13.25%, 8/1/01 B- 500 459
TV Azteca SA, Series B
10.50%, 2/15/07 B+ 135 145
United Mexican States
Global Bond
11.50%, 5/15/26 BB 850 1,036
United Mexican States Par
Bond, Series B
6.25%, 12/31/19 BB 250 211
- -----------------------------------------------------
GROUP TOTAL 10,345
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $51,869) 51,580
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (1.7%)
- -----------------------------------------------------
COMMUNICATIONS (0.2%)
* IXC Communications, Inc.,
Series B, 12.50% CCC+ 85 $ 104
- -----------------------------------------------------
INDUSTRIALS (0.6%)
Time Warner, Inc.,
Series M, 10.25% BB+ 314 352
- -----------------------------------------------------
MORTGAGE-OTHER (0.9%)
(+)+ Home Ownership
Funding Corp.,
13.331% Aaa 500 480
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $934) 936
- -----------------------------------------------------
CASH EQUIVALENTS (4.4%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
-------
CASH INVESTMENTS-MORTGAGE (4.0%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
11.00%, 5/1/20 Agy $ 535 603
Federal National Mortgage
Association
Conventional Pools:
9.50%, 7/1/16 Agy 18 20
10.00%, 1/1/20-4/1/27 Agy 872 966
Government National Mortgage
Association
Various Pools:
10.50%, 2/15/20 Tsy 586 657
- -----------------------------------------------------
GROUP TOTAL 2,246
- -----------------------------------------------------
REPURCHASE AGREEMENT (0.4%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98, to
be repurchased at $238,
collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued
at $239 238 238
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $2,477) 2,484
- -----------------------------------------------------
TOTAL INVESTMENTS (98.2%) (Cost $55,280) 55,000
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
=====================================================
<S> <C>
OTHER ASSETS AND LIABILITIES (1.8%)
Cash $ 1
Dividends Receivable 17
Interest Receivable 1,155
Receivable for Withholding Tax Reclaim 9
Receivable for Investments Sold 260
Unrealized Gain on Forward Foreign Currency
Contracts 131
Other Assets 1
Payable for Investments Purchased (444)
Payable for Investment Advisory Fees (55)
Payable for Administrative Fees (4)
Payable for Daily Variation on Futures
Contracts (12)
Other Liabilities (28)
-------
1,031
- -----------------------------------------------------
NET ASSETS (100%) $56,031
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 5,508,826 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $56,031
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.17
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $54,890
Undistributed Net Investment Income (Loss) 832
Undistributed Realized Net Gain (Loss) 462
Unrealized Appreciation (Depreciation) on:
Investment Securities (280)
Foreign Currency Transactions 116
Futures 11
- -----------------------------------------------------
NET ASSETS $56,031
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<S> <C>
(CONT'D)
- ----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$36 or 0.1% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity.
Rate disclosed is as of March 31, 1998. Maturity
date
disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
(2) Face amount is less than $500.
@ Value is less than $500.
AUD Australian Dollar
CMO Collateralized Mortgage Obligation
DEM German Mark
FRF French Franc
GBP British Pound
Inv
Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate.
Indicated rate is the effective rate at March 31,
1998.
IO Interest Only
ITL Italian Lira
JPY Japanese Yen
N/R Not rated by Moody's Investors Service, 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
SEK Swedish Krona
YMA Yield Maintenance Agreement
ZAR South African Rand
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Balanced Portfolio provides ongoing asset allocation management with Miller
Anderson & Sherrerd's core equity and fixed-income management strategies. The
Portfolio considers a 60% equity/40% fixed-income mix as a neutral, or
starting-point investment. As expected future returns increase in one asset
class versus the other, the mix between asset classes will change.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MAS BALANCED SALOMON
--------------------------------------- S&P 500 BROAD
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX INDEX
-----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SIX MONTHS 8.61% 8.45% 8.46% 17.23% 4.60%
ONE YEAR 28.28 28.01 27.92 47.99 11.98
FIVE YEARS 14.86 14.82 14.80 22.40 7.00
SINCE
INCEPTION...... 14.86 14.81 14.79 22.23 7.49
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/4/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/1/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Adviser Class of the Portfolio reflect expenses reimbursed
by the Adviser for certain periods. Without such reimbursements, total returns
would have been lower.
* The Balanced Portfolio commenced operations on 12/31/92. Total returns are
compared to the S&P 500 Index and the Salomon Broad Investment Grade Index, both
unmanaged market indices. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (34.8%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1998 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
ADJUSTABLE RATE MORTGAGES (3.4%)
## Government National
Mortgage Association
Various Pools:
6.00%, 8/20/27-10/20/27 Tsy $ 13,354 $ 13,549
- -----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (5.6%)
Federal Home Loan Mortgage
Corporation
May TBA
6.50%, 5/15/28 Agy 15,000 14,835
Federal National Mortgage
Association
May TBA
6.50%, 5/15/28 Agy 7,500 7,408
- -----------------------------------------------------
GROUP TOTAL 22,243
- -----------------------------------------------------
ASSET BACKED CORPORATES (4.7%)
ALPS,
Series:
94-1 A4 CMO
7.80%, 9/15/04 AA 375 383
94-1 C2 CMO
9.35%, 9/15/04 BBB 622 633
96-1 D
12.75%, 6/15/06 BB- 1,097 1,098
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 640 644
98-A A3
5.90%, 11/15/02 AAA 825 822
CIT Group Home Equity Loan
Trust, Series 97-1 A3
6.25%, 9/15/11 AAA 375 375
(+)Credit Card
Receivables Trust, Series
98-1
6.478%, 12/22/04 AAA 373 373
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 494 494
Empire Funding Home Loan
Owner Trust,
Series:
97-4 A2
7.16%, 5/25/12 AAA 675 683
97-4 A3
7.11%, 7/25/14 AAA 475 482
(+)First Mortgage
Acceptance Corp., Loan
Receivables Trust, Series
96-B A1
7.629%, 11/1/18 A 371 377
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA $ 495 $ 498
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
97-4 A2
6.30%, 8/10/09 AAA 425 425
97-4 A3
6.40%, 8/10/11 AAA 375 375
First Security Auto Grantor
Trust, Series 97-B A
6.10%, 4/15/03 AAA 839 840
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 3/15/01 AAA 725 727
Green Tree Financial Corp.,
Series:
+ 98-1 A2
5.85%, 10/2/08 Aaa 699 697
98-2 A3
6.05%, 10/1/07 AAA 825 823
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 861 860
(+) Long Beach
Acceptance Auto Grantor
Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 419 419
NAL Auto Trust,
Series 96-4 A
6.90%, 12/15/00 N/R 1 1
(+) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 425 440
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 877 879
(+) Rental Car Finance
Corp. Series 97-1 A2
6.45%, 4/25/03 AA 775 777
(+) Securitized Multiple
Asset Rated Trust,
Series:
97-6 A1
7.71%, 4/15/06 A 315 317
98-1 A1
7.45%, 3/16/06 A 274 274
Security Pacific Home
Equity Trust, Series 91-A
B
10.50%, 3/10/06 A+ 49 49
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Team Fleet Financing
Corp., Series 96-1A
6.65%, 12/15/02 A- $ 300 $ 302
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 690 690
97-D A4
6.25%, 3/20/03 AAA 700 702
98-A3
5.90%, 5/20/02 AAA 825 823
World Omni Automobile Lease
Securitization Trust,
Series 97-B A2
6.08%, 11/25/03 AAA 725 726
- -----------------------------------------------------
GROUP TOTAL 18,765
- -----------------------------------------------------
ASSET BACKED MORTGAGES (0.5%)
Cityscape Home Equity Loan
Trust,
Series:
96-2 A5
8.10%, 8/25/26 AAA 700 719
96-3 A IO
1.00%, 10/25/26 N/R 8,007 191
sec. 96-3 A YMA
10/25/26 (acquired
12/24/96 cost $15) AAA 8,007 11
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 6,202 158
(+) 96-4 A11 I YMA
1/15/28 AAA 6,202 9
96-4 A12 I IO
1.05%, 1/15/28 AAA 1,673 43
sec. 96-4 A12 I YMA
1/15/28 (acquired
12/16/96 cost $5) AAA 1,673 3
97-1 A10 I IO
1.10%, 3/15/28 AAA 7,517 198
(+) 97-1 A10 I YMA
3/15/28 N/R 7,517 11
First Union Residential
Securitization Trust,
Series 96-2 A5
7.21%, 11/25/28 AAA 675 691
- -----------------------------------------------------
GROUP TOTAL 2,034
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 117
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.9%)
Federal Home Loan Mortgage
Corporation,
Series:
1415-S Inv Fl IO
18.50%, 11/15/07 Agy $ 335 $ 150
1476-S Inv Fl IO
REMIC PAC
4.26%, 2/15/08 Agy 3,044 340
1485-S Inv Fl IO REMIC
3.85%, 3/15/08 Agy 2,867 260
1600-SA Inv Fl IO REMIC
2.25%, 10/15/08 Agy 5,343 296
1709-H PO REMIC
1/15/24 Agy 52 32
1813-K PO REMIC
2/15/24 Agy 50 40
1844-PC PO REMIC
3/15/24 Agy 95 70
1887-I PO REMIC
10/15/22 Agy 55 42
Federal National Mortgage
Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy 481 506
92-186 S Inv Fl IO
3.287%, 10/25/07 Agy 5,730 464
93-149 O PO REMIC
8/25/23 Agy 107 78
93-205 G PO REMIC
9/25/23 Agy 308 220
93-235 H PO REMIC
9/25/23 Agy 113 97
96-5 NH
4/25/24 Agy 589 395
96-14 PC PO
12/25/23 Agy 90 61
96-46 PB PO REMIC
9/25/23 Agy 95 71
96-54 O PO
11/25/23 Agy 73 50
96-68 SC Inv Fl IO REMIC
2.35%, 1/25/24 Agy 1,250 155
- -----------------------------------------------------
GROUP TOTAL 3,327
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.7%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 278 295
Chemical Mortgage
Securities, Inc.,
Series 93-1 M
7.45%, 2/25/23 AA 441 444
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
sec. First Boston Mortgage
Corp., Series 92-4 B1
8.125%, 10/25/22
(acquired
1/25/93-2/26/93 cost
$235) A $ 240 $ 249
Independent National
Mortgage Corp.,
Series 95-V A3
7.12%, 2/25/26 AAA 930 934
sec.## Kidder Peabody
Funding Corp., Series
92-4 B2
8.467%, 5/28/22
(acquired 2/26/93, cost
$104) N/R 103 103
Prudential Home Mortgage
Securities Co., Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 58 58
(+)+ 92-A 2B4
7.90%, 4/28/22 A1 370 363
(+)+ 92-A 3B2
7.90%, 4/28/22 Caa 920 552
(+)++## 94-A 3B3
6.803%, 4/28/24 A 1,129 1,105
Residential Accredit Loans,
Inc.,
Series:
97-QS2 A8
7.75%, 3/25/27 AAA 325 336
97-QS4 A7
7.75%, 5/25/27 AAA 600 617
97-QS12 A7 REMIC
7.25%, 11/25/27 AAA 823 827
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 484 466
Ryland Mortgage Securities
Corp. III, Series 92-A 1A
8.27%, 3/29/30 A- 440 447
- -----------------------------------------------------
GROUP TOTAL 6,796
- -----------------------------------------------------
COMMERCIAL MORTGAGES (3.8%)
American Southwest
Financial Securities
Corp.,
Series:
++ 93-2 A1
7.30%, 1/18/09 AA 1,184 1,212
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 650 673
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 1,303 1,355
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 525 559
96-MD6 A1C
7.04%, 11/13/26 AAA 575 599
+## 97-D5 PSI IO
1.563%, 2/14/41 Aaa 3,334 359
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA $ 525 $ 534
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 552 625
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 165 173
++## 96-CF2 S IO
1.641%, 11/12/21 AAA 1,646 137
First Union-Lehman Brothers
Commercial Mortgage
Trust, Series 97-C2 A3
6.65%, 12/18/07 AAA 700 711
+ GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.917%, 3/15/21 Aaa 2,346 197
## 97-C2 X IO
1.273%, 4/15/27 Aaa 6,100 463
+ GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 650 675
## 97-GL X2 IO
0.930%, 7/13/30 Aaa 1,692 88
J.P. Morgan Commercial
Mortgage Finance Corp.,
Series 97-C5 A2
7.069%, 9/15/29 AAA 600 630
+## LB Commercial Conduit
Mortgage Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 625 655
98-C1 IO
1.199%, 2/18/28 Aaa 5,900 395
Merrill Lynch Mortgage
Investors, Inc.,
Series:
95-C1 IO
2.185%, 5/25/15 N/R 5,172 251
96-C2 A2
6.82%, 11/21/28 AAA 270 276
++## 96-C2 IO
1.538%, 11/21/28 AAA 2,825 238
+ Midland Realty Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 475 497
+ Mortgage Capital Funding,
Inc.,
Series:
97-MC1 A3
7.288%, 7/20/27 Aaa 800 838
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
97-MC2 A2
6.664%, 9/20/07 Aaa $ 850 $ 862
Nomura Asset Securities
Corp.,
Series:
94-MD1 A3
8.026%, 3/15/18 N/R 525 553
(+) Prime Property
Funding,
Series 1 A
6.633%, 7/23/03 AA 483 489
+ Salomon Brothers Mortgage
Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 350 363
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 800
- -----------------------------------------------------
GROUP TOTAL 15,207
- -----------------------------------------------------
ENERGY (0.3%)
(+) ESI Tractebel
Acquisition Corp.,
7.99%, 12/30/11 BB 195 193
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 550 570
Mobile Energy Services
8.665%, 1/1/17 BBB- 486 520
- -----------------------------------------------------
GROUP TOTAL 1,283
- -----------------------------------------------------
FINANCE (3.2%)
(+) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 390 418
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 775 826
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB+ 725 752
(+) Equitable Life
Assurance Society of the
U.S.,
Series 1A
6.95%, 12/1/05 A 700 718
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 725 839
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 700 734
First Union Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 725 769
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 200 208
(+) Florida Windstorm
6.70%, 8/25/04 A- 800 805
J.P. Morgan Capital Trust I
7.54%, 1/15/27 AA- 255 259
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
116
<PAGE> 119
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- $ 600 $ 597
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 525 525
NB Capital Trust
8.25%, 4/15/27 A- 260 285
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA 300 304
PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 725 759
(+) Prime Property
Funding II
7.00%, 8/15/04 A 540 548
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A 155 173
(+) State Street
Institutional Capital,
Series:
A
7.94%, 12/30/26 A 350 372
B
8.035%, 3/15/27 A 300 322
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 65 69
Washington Mutual Capital
8.375%, 6/1/27 BBB- 375 405
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB 700 742
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 839 862
96 WFP-D
6.95%, 9/1/13 AA- 525 542
- -----------------------------------------------------
GROUP TOTAL 12,833
- -----------------------------------------------------
FOREIGN GOVERNMENTS (0.6%)
Government of Germany
DEM
7.375%, 12/2/02 AAA 3,925 2,372
- -----------------------------------------------------
INDUSTRIALS (1.8%)
American Standard Cos.
7.375%, 2/1/08 BB- $ 385 379
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 320 291
9.00%, 12/15/14 BBB 225 235
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 134 125
94-K2 A2
9.35%, 8/15/19 BB 550 571
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 860 862
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- $ 650 $ 692
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 300 310
News America Holdings
8.875%, 4/26/23 BBB- 495 581
(+) Oxymar
7.50%, 2/15/16 BBB 470 478
!! Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 860 884
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 300 307
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 400 441
Scotia Pacific Holding Co.
7.95%, 7/20/15 BBB 586 613
Southland Corp.
5.00%, 12/15/03 BB+ 485 424
- -----------------------------------------------------
GROUP TOTAL 7,193
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
First Federal Savings &
Loan Association, Series
92-C
8.75%, 6/1/06 AA 1 1
## Resolution Trust Corp.,
Series 92-5 C
8.617%, 1/25/26 AA 272 272
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 77 75
- -----------------------------------------------------
GROUP TOTAL 348
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.7%)
Federal National Mortgage
Association,
Series:
249 1 PO
10/25/23 Agy 2,092 1,466
260 1 PO
4/1/24 Agy 540 417
282 1 PO
9/1/25 Agy 1,186 875
- -----------------------------------------------------
GROUP TOTAL 2,758
- -----------------------------------------------------
TELEPHONES (0.4%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 470 484
(+) Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ 245 246
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+)# Qwest
Communications, Inc.
0.00%, 2/1/08 B+ $ 720 $ 507
# Teleport Communications
Group, Inc.
0.00%, 7/1/07 B+ 480 413
- -----------------------------------------------------
GROUP TOTAL 1,650
- -----------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines
Series 98-1 A
6.648%, 9/15/17 AA+ 660 660
(+) Jet Equipment Trust,
Series 95-C
10.69%, 5/1/15 BBB 675 878
- -----------------------------------------------------
GROUP TOTAL 1,538
- -----------------------------------------------------
U.S. TREASURY SECURITIES (3.4%)
U.S. Treasury Note
3.375%, 1/15/07
(Inflation Indexed) Tsy 5,684 5,510
3.625%, 7/15/02
(Inflation Indexed) Tsy 2,591 2,565
3.625%, 1/15/08
(Inflation Indexed) Tsy 3,050 3,014
6.25%, 4/30/01 Tsy 1,500 1,525
6.375%, 3/31/01 Tsy 750 765
- -----------------------------------------------------
GROUP TOTAL 13,379
- -----------------------------------------------------
UTILITIES (0.3%)
CalEnergy Co., Inc.
7.63%, 10/15/07 BB+ 455 455
CMS Energy Corp.,
Series B
7.375%, 11/15/00 BB 330 333
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 375 389
- -----------------------------------------------------
GROUP TOTAL 1,177
- -----------------------------------------------------
YANKEE (3.0%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 702 703
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 500 448
(+) Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 425 421
Grupo Minero Mexicano SA de
CV, Series A
8.25%, 4/1/08 BB 460 456
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 690 634
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 BB $ 400 $ 319
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 135 137
7.75%, 12/15/27 A- 575 584
Korea Development Bank
7.375%, 9/17/04 BB+ 715 649
National Power Corp.
7.875%, 12/15/06 BB+ 450 409
8.40%, 12/15/16 BB+ 350 305
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 450 450
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 545 262
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 790 736
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 625 655
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,000 1,035
(+) Reliance Industries
Ltd.
9.375%, 6/24/26 BB+ 250 251
# Republic of Argentina
Par, Series L
5.75%, 3/31/23 BB 1,235 944
Republic of Colombia
8.70%, 2/15/16 BBB- 670 656
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 400 448
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 360 323
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB 540 457
B
6.25%, 12/31/19 BB 500 423
- -----------------------------------------------------
GROUP TOTAL 11,705
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $135,889) 138,157
- -----------------------------------------------------
COMMON STOCKS (56.5%)
- -----------------------------------------------------
SHARES
------
<S> <C> <C> <C>
BANKS (2.5%)
BankBoston Corp. 23,700 2,613
Chase Manhattan Corp. 18,200 2,455
Citicorp 17,500 2,485
First Union Corp. 41,567 2,359
- -----------------------------------------------------
GROUP TOTAL 9,912
- -----------------------------------------------------
BASIC RESOURCES (2.6%)
Bowater, Inc. 25,600 1,445
Champion International Corp. 34,600 1,879
E.I. DuPont de Nemours & Co. 45,700 3,108
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 121
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Grace Specialty Chemicals 22,500 $ 413
PPG Industries, Inc. 17,900 1,216
Praxair, Inc. 22,700 1,168
Solutia, Inc. 38,700 1,151
- -----------------------------------------------------
GROUP TOTAL 10,380
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.7%)
Anheuser-Busch Cos., Inc. 23,700 1,098
Coca-Cola Enterprises, Inc. 27,600 1,012
Dial Corp. 31,700 759
Estee Lauder Cos., Class A 200 13
- -----------------------------------------------------
GROUP TOTAL 2,882
- -----------------------------------------------------
CONSUMER DURABLES (4.1%)
Chrysler Corp. 27,200 1,130
Ford Motor Co. 121,700 5,362
General Motors Corp. 68,802 4,640
Goodyear Tire & Rubber Co. 26,100 1,977
LucasVarity plc ADR 53,000 2,190
Owens Corning 27,300 981
- -----------------------------------------------------
GROUP TOTAL 16,280
- -----------------------------------------------------
CONSUMER SERVICES (3.0%)
* Cendant Corp. 90,296 3,578
* Clear Channel Communications,
Inc. 16,700 1,636
Service Corp. International 52,400 2,224
Tele-Communications, Inc.,
Class A 56,758 1,765
Tele-Communications Liberty Media
Group, Class A 55,088 1,894
Tele-Communications TCI Ventures
Group., Class A 38,786 681
- -----------------------------------------------------
GROUP TOTAL 11,778
- -----------------------------------------------------
CREDIT & FINANCE (1.5%)
American Express Co. 10,900 1,001
Associates First Capital Corp. 4,376 346
Bear Stearns Co., Inc. 14,785 760
CMAC Investment Corp. 11,100 741
Lehman Brothers Holdings, Inc. 12,400 928
SLM Holding Corp. 50,350 2,196
- -----------------------------------------------------
GROUP TOTAL 5,972
- -----------------------------------------------------
ENERGY (5.0%)
Atlantic Richfield Co. 14,500 1,140
British Petroleum plc ADR 23,400 2,014
Coastal Corp. 35,000 2,279
Columbia Gas System, Inc. 17,900 1,392
Diamond Offshore Drilling, Inc. 22,200 1,007
ENSCO International, Inc. 18,000 500
* Global Marine, Inc. 20,500 507
Mobil Corp. 15,800 1,211
* Nabors Industries, Inc. 31,900 756
Phillips Petroleum Co. 39,200 1,958
* R & B Falcon Corp. 36,900 1,093
Schlumberger Ltd. 15,700 1,189
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Texaco, Inc. 38,200 $ 2,302
USX-Marathon Group 31,800 1,196
YPF SA ADR 35,300 1,200
- -----------------------------------------------------
GROUP TOTAL 19,744
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.4%)
Philip Morris Cos., Inc. 167,200 6,395
RJR Nabisco Holdings Corp. 105,120 2,969
- -----------------------------------------------------
GROUP TOTAL 9,364
- -----------------------------------------------------
HEALTH CARE (3.6%)
American Home Products Corp. 13,000 1,240
Baxter International, Inc. 42,500 2,343
Bristol-Myers Squibb Co. 16,100 1,680
* Health Management Associates,
Class A 41,100 1,176
* HEALTHSOUTH Rehabilitation
Corp. 47,200 1,325
* Lincare Holdings, Inc. 23,900 1,688
Merck & Co., Inc. 22,000 2,824
Mylan Labs, Inc. 19,100 439
* Tenet Healthcare Corp. 46,600 1,692
- -----------------------------------------------------
GROUP TOTAL 14,407
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.4%)
Aeroquip-Vickers, Inc. 23,200 1,341
* AMR Corp. 11,100 1,589
Case Corp. 51,300 3,495
Cummins Engine Co., Inc. 63,700 3,512
Eaton Corp. 4,400 419
* FMC Corp. 21,900 1,719
Harnischfeger Industries, Inc. 32,000 1,094
Lockheed Martin Corp. 41,900 4,714
Textron, Inc. 18,000 1,386
United Technologies Corp. 48,900 4,514
Waste Management, Inc. 121,100 3,731
York International Corp. 39,400 1,773
- -----------------------------------------------------
GROUP TOTAL 29,287
- -----------------------------------------------------
INSURANCE (3.6%)
Allstate Corp. 15,927 1,464
Everest Reinsurance Holdings,
Inc. 24,500 1,008
Exel Ltd. 33,800 2,620
Hartford Financial Services Group
(The), Inc. 34,500 3,743
Loews Corp. 41,300 4,305
Travelers Property Casualty,
Class A 26,500 1,166
- -----------------------------------------------------
GROUP TOTAL 14,306
- -----------------------------------------------------
MID CAP GROWTH (3.2%)
* Accelr8 Technology Corp. 3,200 52
* Advanced Fibre Communications,
Inc. 3,800 138
* Allied Waste Industries, Inc. 7,300 182
* American Disposal Services,
Inc. 2,200 83
* AMF Bowling, Inc. 5,400 138
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 122
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
* At Home Corp., Series A 4,500 $ 152
Atlas Air, Inc. 2,900 94
* Beringer Wine Estates Holdings,
Inc., Class B 2,600 134
* BMC Software, Inc. 2,800 235
* Borders Group, Inc. 5,700 194
* Brylane, Inc. 2,300 129
* Cablevision Systems Corp.,
Class A 2,000 132
* Cellular Communications
International, Inc. 2,500 170
* CIENA Corp. 2,000 85
* Cinar Films, Inc., Class B 3,900 166
Cintas Corp. 3,400 176
Comcast Corp., Class A Special 3,300 117
* Complete Business Solutions,
Inc. 6,800 244
* CompUSA, Inc. 3,300 86
* Computer Horizons Corp. 3,900 196
* Concord EFS Inc. 6,200 214
CVS Corp. 2,800 211
Danaher Corp. 1,800 137
* Diamond Offshore Drilling, Inc. 2,300 104
* Dollar Tree Stores, Inc. 1,700 90
* Earthshell Corp. 2,000 36
Edwards (A.G.), Inc. 2,200 96
Estee Lauder Cos., Class A 3,100 210
Exodus Communications, Inc. 1,000 28
FINOVA Group, Inc. 3,100 183
* Fiserv, Inc. 3,800 241
Franklin Resources, Inc. 2,400 127
* Friendly Ice Cream Corp. 4,700 96
* Geac Computer Corp., Ltd. 2,600 109
* Global Industries Ltd. 5,000 102
* Globalstar Telecommunications
Ltd. 5,590 354
HBO & Co. 3,900 235
Health Management Associates,
Class A 13,362 383
* Healthcare Recoveries, Inc. 5,900 137
* Heftel Broadcasting Corp.,
Class A 2,600 116
* Hibbett Sporting Goods, Inc. 2,800 78
* Imax Corp. 6,600 187
Inter-Tel, Inc. 3,400 92
* Intermedia Communications, Inc. 1,700 135
* J. Ray McDermott, S.A. 2,300 97
* Jacor Communications, Inc. 3,300 195
* Lincare Holdings, Inc. 5,200 367
Linear Technology Corp. 1,500 104
* Loral Space & Communications 7,200 201
MAPICS, Inc. 8,600 152
* Metro-Goldwyn-Mayer Inc. 4,500 101
Metromedia Fiber Network Inc.,
Class A 1,400 47
* Micro Focus Group ADR 3,600 171
* Network Associates, Inc. 3,012 200
* NEXTLINK Communications, Inc.,
Class A 3,500 112
* Nutraceutical International
Corp. 3,600 79
* ONIX Systems, Inc. 4,200 61
* Orange plc 11,800 75
* Orthodontic Centers of America,
Inc. 9,300 202
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Outdoor Systems, Inc. 6,350 $ 223
* Pediatrix Medical Group, Inc. 2,100 98
* Peoplesoft, Inc. 2,500 132
Peter Kiewit Sons, Inc. 1,300 93
* Polo Ralph Lauren Corp. 3,400 102
* Premier Parks, Inc. 3,500 203
* Princeton Video Image, Inc. 3,300 27
* Province Healthcare Co. 3,100 81
* Qwest Communications
International, Inc. 2,900 113
* RELTEC Corp. 1,700 60
* Rexall Sundown, Inc. 3,600 123
* Sapient Corp. 3,200 152
* Sealed Air Corp. 2,600 170
* Security Capital Group, Inc.,
Class B 1,900 58
Security Capital Industrial Trust 5,000 128
* Security Capital U.S. Realty 4,000 53
Shire Pharmaceuticals plc ADR 1,600 34
Sirrom Capital Corp. 7,000 210
* Stage Stores, Inc. 1,700 88
State Street Corp. 2,700 184
Stewart Enterprises, Inc., Class
A 1,800 100
* Sunrise Assisted Living, Inc. 3,400 152
* Tel-Save Holdings, Inc. 3,900 89
* Tele-Communications, Inc.,
Class A 3,740 116
* Tele-Communications
International, Inc., Class A 5,100 103
Tele-Communications Liberty Media
Group, Class A 7,071 243
* Tele-Communications TCI
Ventures Group., Class A 9,718 171
* Tellabs, Inc. 4,100 275
* Total Renal Care Holdings, Inc. 3,266 109
* Uniphase Corp. 2,800 118
* United Rentals, Inc. 5,400 140
* Univision Communications, Inc.,
Class A 2,000 75
* USA Waste Services, Inc. 3,000 134
- -----------------------------------------------------
GROUP TOTAL 12,925
- -----------------------------------------------------
RETAIL (2.9%)
* CompUSA, Inc. 68,900 1,791
CVS Corp. 24,500 1,850
* Federated Department Stores,
Inc. 24,400 1,264
Home Depot, Inc. 20,500 1,383
* Office Depot, Inc. 76,800 2,390
* Polo Ralph Lauren Corp. 18,300 550
Ross Stores, Inc. 13,700 605
Wal-Mart Stores, Inc. 37,300 1,895
- -----------------------------------------------------
GROUP TOTAL 11,728
- -----------------------------------------------------
TECHNOLOGY (6.1%)
* 3Com Corp. 27,300 981
* Applied Material, Inc. 27,600 975
Bay Networks, Inc. 44,300 1,202
* BMC Software, Inc. 27,500 2,305
* Cisco Systems, Inc. 32,350 2,212
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Compaq Computer Corp. 30,900 $ 800
Intel Corp. 24,000 1,873
* Microsoft Corp. 82,700 7,402
* Network Associates, Inc. 26,400 1,749
* SCI Systems, Inc. 27,100 965
* Seagate Technology, Inc. 41,400 1,045
* Tellabs, Inc. 22,000 1,477
Xerox Corp. 10,300 1,096
- -----------------------------------------------------
GROUP TOTAL 24,082
- -----------------------------------------------------
UTILITIES (2.7%)
* Airtouch Communications, Inc. 26,100 1,277
MCI Communications Corp. 52,900 2,619
SBC Communications, Inc. 52,200 2,277
Sprint Corp. 31,100 2,105
* WorldCom, Inc. 55,894 2,407
- -----------------------------------------------------
GROUP TOTAL 10,685
- -----------------------------------------------------
VALUE (5.2%)
Aeroquip-Vickers, Inc. 10,800 624
American General Corp. 6,200 401
Amoco Corp. 2,200 190
* AMR Corp. 1,600 229
* Arrow Electronics, Inc. 4,900 133
Atlantic Richfield Co. 3,000 236
Avnet, Inc. 1,800 104
Beckman Instruments, Inc. 5,800 332
British Petroleum plc ADR 2,500 215
Cabot Oil & Gas Corp., Class A 4,900 181
Case Corp. 8,000 545
Caterpillar, Inc. 4,200 231
Chase Manhattan Corp. 3,401 459
Chubb Corp. 1,400 110
CIGNA Corp. 1,800 369
Citicorp 1,300 185
Columbia/HCA Healthcare Corp. 3,200 103
Crestar Financial Corp. 7,118 421
CSX Corp. 2,100 125
Cummins Engine Co., Inc. 8,700 480
Delta Air Lines, Inc. 2,300 272
Dillard's, Inc., Class A 6,000 222
Dow Chemical Co. 2,100 204
Duke Energy Corp. 2,088 124
E.I. DuPont de Nemours & Co. 3,800 258
Eaton Corp. 1,500 143
Entergy Corp. 6,900 205
First Union Corp. 9,701 550
* FMC Corp. 3,300 259
Ford Motor Co. 16,700 736
* Foundation Health Corp. 9,260 255
General Motors Corp. 7,196 485
Goodyear Tire & Rubber Co. 6,900 523
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
GPU, Inc. 8,500 $ 376
Great Lakes Chemical Corp. 2,700 146
Harnischfeger Industries, Inc. 5,500 188
Hartford Financial Services
Group, Inc. 2,700 292
IBP, Inc. 8,300 186
IMC Global, Inc. 4,900 186
Inland Steel Industries, Inc. 5,100 141
International Business Machines
Corp. 6,800 706
Kennametal, Inc. 2,946 155
Loews Corp. 1,300 136
Mallinckrodt, Inc. 5,500 217
* Maxicare Health Plans, Inc. 6,700 74
Mellon Bank Corp. 4,400 279
National Steel Corp., Class B 6,400 110
NationsBank Corp. 1,700 124
Old Republic International Corp. 6,050 268
Olsten Corp. 11,500 183
Owens Corning 5,700 205
Parker Hannifin Corp. 5,400 277
Philip Morris Cos., Inc. 13,800 575
Phillips Petroleum Co. 4,500 225
* Quantum Corp. 5,000 107
ReliaStar Financial Corp. 5,442 251
Repsol SA ADR 4,500 229
Republic New York Corp. 2,200 293
RJR Nabisco Holdings Corp. 10,300 322
Rohm & Haas Co. 3,800 393
Russell Corp. 4,700 126
* Seagate Technology, Inc. 5,700 144
Sears, Roebuck & Co. 6,400 368
Springs Industries, Inc., Class A 3,800 209
Standard Register Co. 6,100 207
* Stratus Computer, Inc. 8,400 370
Tecumseh Products Co., Class A 8,400 451
Tektronix, Inc. 7,350 328
* Toys 'R' Us, Inc. 8,100 243
Transatlantic Holdings, Inc. 3,000 227
TRW, Inc. 3,800 209
Tupperware Corp. 4,200 112
Ultramar Diamond Shamrock Corp. 6,500 229
Universal Corp. 400 18
V.F. Corp. 7,400 389
* Vencor, Inc. 3,900 117
Wellpoint Health Networks, Inc. 2,700 182
YPF SA ADR 6,900 235
- -----------------------------------------------------
GROUP TOTAL 20,717
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $168,039) 224,449
- -----------------------------------------------------
PREFERRED STOCKS (1.5%)
- -----------------------------------------------------
INDUSTRIAL (0.4%)
(+) Entertainment Properties,
14.253% 575 536
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Tier One Properties, 11.095% 250 $ 241
Time Warner, Inc., Series M,
10.25% 826 925
- -----------------------------------------------------
GROUP TOTAL 1,702
- -----------------------------------------------------
MORTGAGE-OTHER (0.7%)
(+) Home Ownership
Funding Corp., 13.331% 3,025 2,901
- -----------------------------------------------------
PUBLISHING AND BROADCASTING (0.4%)
News Corp., Ltd. ADR 61,900 1,424
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $5,731) 6,027
- -----------------------------------------------------
STRUCTURED INVESTMENTS (0.1%)-SEE NOTE A7
- -----------------------------------------------------
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- -------
<S> <C> <C> <C>
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum of the
outstanding notional
balance indexed to GNMA
ARM pools (Cost $502) N/R $ 11,232 262
- -----------------------------------------------------
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) AA- 35,500 33
- -----------------------------------------------------
CASH EQUIVALENTS (19.0%)
- -----------------------------------------------------
Short-term Investments
Held as Collateral for
Loaned Securities (7.5%) 29,976 29,976
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (6.3%)
Federal Home Loan Mortgage
Corporation
Conventional Pools:
10.00%, 91/17 Agy 578 638
10.50%, 8/1/19-12/1/19 Agy 1,103 1,214
11.00%, 5/1/20-9/1/20 Agy 828 932
12.00%, 3/1/15 Agy 348 403
Gold Pool:
9.50%, 12/1/22 Agy 814 893
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 165 166
## 1933-FO REMIC
6.50%, 3/15/25 Agy 291 292
## 2040-FC
5.975%, 2/15/23 Agy 780 782
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association
Conventional Pools:
10.00%, 1/1/10-1/1/20 Agy $ 860 $ 952
10.50%, 8/1/12-4/1/22 Agy 2,138 2,411
11.50%, 9/1/25 Agy 53 61
12.50%, 9/1/15 Agy 204 238
Series:
## 94-50 FD REMIC
6.20%, 3/25/24 Agy 573 575
## 97-43 FM REMIC
6.25%, 7/18/27 Agy 513 517
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 388 390
## 97-76 FM
6.20%, 9/17/27 Agy 542 546
## 97-76 FN
6.15%, 9/17/27 Agy 533 537
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 1,700 1,704
Government National Mortgage
Association
Adjustable Rate Mortgages:
7.00%, 2/20/25-3/20/25 Tsy 1,541 1,572
7.375%, 4/20/25-6/20/25 Tsy 3,512 3,582
Various Pools:
9.50%, 11/15/21 Tsy 496 539
10.00%,
11/15/09-12/25/26 Tsy 3,152 3,501
10.50%, 2/15/18-12/15/20 Tsy 1,183 1,332
11.00%, 5/15/26 Tsy 943 1,081
- -----------------------------------------------------
GROUP TOTAL 24,858
- -----------------------------------------------------
COMMERCIAL PAPER (3.5%)
Federal Home Loan Mortgage
Corporation Discount Notes:
4/10/98 Agy 4,000 3,994
4/16/98 Agy 5,000 4,989
4/20/98 Agy 5,000 4,986
- -----------------------------------------------------
GROUP TOTAL 13,969
- -----------------------------------------------------
REPURCHASE AGREEMENTS (1.7%)
Chase Securities, Inc. 5.75%
dated 3/31/98, due 4/1/98, to
be repurchased at $6,685,
collateralized by various U.S.
Government Obligations, due
4/1/98-11/15/99, valued at
$6,704 6,684 6,684
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $75,365) 75,487
- -----------------------------------------------------
TOTAL INVESTMENTS (111.9%) (Cost $385,676) 444,415
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 125
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-11.9%)
Cash $ 3
Dividends Receivable 410
Interest Receivable 1,681
Receivable for Investments Sold 27,350
Receivable for Fund Shares Sold 1
Unrealized Gain on Forward Foreign Currency
Contracts 71
Unrealized Gain on Swap Agreements 22
Other Assets 15
Payable for Investments Purchased (46,065)
Payable for Fund Shares Redeemed (200)
Payable for Administrative Fees (26)
Payable for Investment Advisory Fees (422)
Payable for Distribution Fees-Adviser Class (7)
Payable for Daily Variation on Futures
Contracts (21)
Payable for Deferred Trustees' Compensation
Plan-Note F (13)
Collateral on Securities Loaned, at Value (29,976)
Other Liabilities (46)
--------
(47,223)
- -----------------------------------------------------
NET ASSETS (100%) $397,192
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
Applicable to 25,263,924 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $364,664
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.43
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
Applicable to 61,056 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 880
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.42
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
Applicable to 2,194,304 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 31,648
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.42
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $318,103
Undistributed Net Investment Income (Loss) 3,391
Undistributed Realized Net Gain (Loss) 17,007
Unrealized Appreciation (Depreciation) on:
Investment Securities 58,739
Foreign Currency Transactions 72
Futures and Swaps (120)
- -----------------------------------------------------
NET ASSETS $397,192
- -----------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1998 was
$366 or 0.1% of net assets.
! See Note A1 to Financial Statements.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 1998.
@ Value is less than $500.
ADR American Depositary Receipt
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
March 31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation or Fitch.
PAC Planned Amortization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 126
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Asset-Class Portfolio provides global asset allocation management with
a level of international diversification that is appropriate for U.S.-oriented
investors. Miller Anderson & Sherrerd manages investments in five asset classes,
and considers a benchmark consisting of 50% U.S. equities, 14% foreign equities,
24% U.S. fixed-income, 6% foreign fixed-income and 6% high yield to be a
neutral, or starting-point investment. Allocations are based on a value-driven
approach which favors those equity markets offering the highest risk-adjusted
expected returns and those bond markets offering the highest real interest rates
and steepest yield curves.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/98*
<TABLE>
<CAPTION>
MSCI
MAS MULTI-ASSET CLASS SALOMON EAFE-GDP
---------------------------- S&P 500 BROAD WEIGHTED
INSTITUTIONAL# INVESTMENT< INDEX INDEX INDEX
-----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SIX MONTHS 8.13% 8.04% 17.23% 4.60% 9.76%
ONE YEAR 27.16 26.98 47.99 11.98 23.23
SINCE INCEPTION 17.98 17.88 29.87 8.63 10.54
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments. High-yield fixed-income securities, otherwise known as "junk
bonds," represent a much greater risk of default and tend to be more volatile
than higher-rated bonds.
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.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
6/10/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Multi-Asset-Class Portfolio commenced operations on 7/29/94. Total returns
are compared to the S&P 500 Index, the Salomon Broad Investment Grade Index
and the Morgan Stanley Capital International EAFE-GDP Weighted Index, all
unmanaged market indices. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
EQUITY (42.8%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1998 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (42.2%)
- ----------------------------------------------------
BANKS (1.8%)
BankBoston Corp. 7,100 $ 783
Chase Manhattan Corp. 6,715 906
Citicorp 6,200 880
First Union Corp. 15,715 892
- ----------------------------------------------------
GROUP TOTAL 3,461
- ----------------------------------------------------
BASIC RESOURCES (1.9%)
Bowater, Inc. 9,000 508
Champion International Corp. 12,800 695
E.I. DuPont de Nemours & Co. 15,850 1,078
* Grace Specialty Chemicals 7,600 140
PPG Industries, Inc. 6,500 441
Praxair, Inc. 8,100 417
Solutia, Inc. 13,800 410
- ----------------------------------------------------
GROUP TOTAL 3,689
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.6%)
Anheuser-Busch Cos., Inc. 8,700 403
Coca Cola Enterprises, Inc. 9,800 359
Dial Corp. 12,200 292
- ----------------------------------------------------
GROUP TOTAL 1,054
- ----------------------------------------------------
CONSUMER DURABLES (3.1%)
Chrysler Corp. 10,000 416
Ford Motor Corp. 44,800 1,974
General Motors Corp. 24,888 1,678
Goodyear Tire & Rubber Co. 10,500 795
LucasVarity plc ADR 20,500 847
Owens Corning 10,400 374
- ----------------------------------------------------
GROUP TOTAL 6,084
- ----------------------------------------------------
CONSUMER SERVICES (2.6%)
* Cendant Corp. 32,504 1,288
* Clear Channel Communications,
Inc. 7,000 686
News Corp., Ltd. ADR 21,900 504
Service Corp. International 22,200 942
* TCI Satellite Entertainment,
Inc., Class A 100 1
* Tele-Communications, Inc.,
Class A 17,606 547
* Tele-Communications Liberty
Media Group, Class A 24,893 856
* Tele-Communications TCI
Ventures Group., Class A 12,088 212
- ----------------------------------------------------
GROUP TOTAL 5,036
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
124
<PAGE> 127
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/
INVESTMENT COMPANIES (1.2%)
American Express Co. 4,100 $ 376
Associates First Capital Corp.,
Class A 3,441 272
Bear Stearns Co., Inc. 5,355 275
CMAC Investment Corp. 3,800 254
Lehman Brothers Holdings, Inc. 5,200 389
SLM Holdings Corp. 18,600 812
- ----------------------------------------------------
GROUP TOTAL 2,378
- ----------------------------------------------------
ENERGY (3.5%)
Atlantic Richfield Co. 5,300 417
British Petroleum plc ADR 8,400 723
Coastal Corp. 12,900 840
Columbia Gas System, Inc. 6,900 537
Diamond Offshore Drilling, Inc. 8,200 372
ENSCO International, Inc. 6,700 186
* Global Marine, Inc. 7,600 188
Mobil Corp. 5,800 444
* Nabors Industries, Inc. 11,800 280
Phillips Petroleum Co. 14,400 719
* R & B Falcon Corp. 13,700 406
Schlumberger Ltd. 5,800 439
Texaco, Inc. 13,800 831
USX-Marathon Group 11,800 444
- ----------------------------------------------------
GROUP TOTAL 6,826
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.8%)
Philip Morris Cos., Inc. 56,600 2,360
RJR Nabisco Holdings Corp. 34,340 1,075
- ----------------------------------------------------
GROUP TOTAL 3,435
- ----------------------------------------------------
HEALTH CARE (2.7%)
American Home Products Corp. 4,800 458
Baxter International, Inc. 15,600 860
Bristol-Myers Squibb Co. 5,900 615
* Health Management Associates,
Class A 14,750 422
* HEALTHSOUTH Rehabilitation
Corp. 16,500 463
* Lincare Holdings, Inc. 9,200 650
Merck & Co., Inc. 7,900 1,014
Mylan Labs, Inc. 6,900 159
* Tenet Healthcare Corp. 16,800 610
- ----------------------------------------------------
GROUP TOTAL 5,251
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.6%)
Aeroquip-Vickers, Inc. 9,800 567
* AMR Corp. 4,500 644
Case Corp. 18,400 1,254
Cummins Engine Co., Inc. 25,700 1,417
Eaton Corp. 1,600 152
* FMC Corp. 8,300 651
Harnischfeger Industries, Inc. 11,700 400
Lockheed Martin Corp. 15,500 1,744
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Textron, Inc. 6,600 $ 508
United Technologies Corp. 18,000 1,662
Waste Management, Inc. 44,100 1,359
York International Corp. 14,200 639
- ----------------------------------------------------
GROUP TOTAL 10,997
- ----------------------------------------------------
INSURANCE (2.7%)
Allstate Corp. 4,600 423
Exel Ltd. 13,400 1,039
Everest Reinsurance Holdings,
Inc. 9,000 370
Hartford Financial Services
Group (The), Inc. 12,800 1,389
Loews Corp. 14,600 1,522
Travelers Property Casualty
Corp., Class A 9,800 431
- ----------------------------------------------------
GROUP TOTAL 5,174
- ----------------------------------------------------
MID CAP GROWTH (2.4%)
* BMC Software, Inc. 5,400 452
* Borders Group, Inc. 11,700 398
Cintas Corp. 8,300 429
Danaher Corp. 6,000 456
Estee Lauder Cos., Class A 6,200 421
* Globalstar Telecommunications
Ltd. 12,144 770
* Health Management Associates,
Class A 15,837 453
* Lincare Holdings, Inc. 9,300 657
Linear Technology Corp. 2,300 159
* Loral Space & Communications
Ltd. 16,100 450
- ----------------------------------------------------
GROUP TOTAL 4,645
- ----------------------------------------------------
RETAIL (2.2%)
* CompUSA, Inc. 26,600 692
CVS Corp. 8,500 642
* Federated Department Stores,
Inc. 9,000 466
Home Depot, Inc. 6,500 438
* Office Depot, Inc. 29,700 924
* Polo Ralph Lauren Corp. 7,500 226
Ross Stores, Inc. 4,900 216
Wal-Mart Stores, Inc. 13,500 686
- ----------------------------------------------------
GROUP TOTAL 4,290
- ----------------------------------------------------
TECHNOLOGY (4.4%)
* Applied Material, Inc. 10,200 360
* Bay Networks, Inc. 16,000 434
* BMC Software, Inc. 9,600 805
* Cisco Systems, Inc. 11,750 803
Compaq Computer Corp. 11,200 290
Intel Corp. 8,300 648
* Microsoft Corp. 28,900 2,586
* Network Associates, Inc. 9,300 616
* SCI Systems, Inc. 10,300 367
* Seagate Technology, Inc. 14,400 364
* Tellabs, Inc. 7,900 530
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 128
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* 3Com Corp. 10,100 $ 363
Xerox Corp. 3,700 394
- ----------------------------------------------------
GROUP TOTAL 8,560
- ----------------------------------------------------
UTILITIES (2.2%)
* Airtouch Communications, Inc. 9,100 445
MCI Communications Corp. 19,500 965
SBC Communications, Inc. 22,200 969
Sprint Corp. 13,400 907
* WorldCom, Inc. 23,520 1,013
- ----------------------------------------------------
GROUP TOTAL 4,299
- ----------------------------------------------------
VALUE (3.5%)
* Arrow Electronics, Inc. 28,900 782
Case Corp. 12,500 852
Chase Manhattan Corp. 8,000 1,079
* Federated Department Stores,
Inc. 22,800 1,181
Great Lakes Chemical Corp. 17,100 923
IMC Global, Inc. 23,000 876
Mallinckrodt, Inc. 20,500 810
* Maxicare Health Plans, Inc. 34,200 376
- ----------------------------------------------------
GROUP TOTAL 6,879
- ----------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $64,834) 82,058
- ----------------------------------------------------
PREFERRED STOCKS (0.6%)
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD
& POOR'S)
----------
<S> <C> <C> <C>
INDUSTRIALS (0.3%)
Time Warner, Inc.,
Series M,
10.25% BB+ 571 640
- -----------------------------------------------------
MORTGAGE-OTHER (0.3%)
(+)+ Home Ownership
Funding Corp.,
13.331% Aaa 600 576
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,197) 1,216
- -----------------------------------------------------
U.S. FIXED INCOME (20.0%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (20.0%)
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
---------- -------
ADJUSTABLE RATE MORTGAGES (0.8%)
## Government National
Mortgage Association
Various Pools:
6.00%, 9/20/27-
11/20/27 Tsy $ 1,611 1,633
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (5.3%)
Federal Home Loan
Mortgage Corporation
May TBA
6.50%, 5/15/28 Agy $ 9,000 $ 8,901
Federal National
Mortgage Association
May TBA
6.50%,
8/15/24-5/15/28 Agy 1,500 1,482
- -----------------------------------------------------
GROUP TOTAL 10,383
- -----------------------------------------------------
ASSET BACKED CORPORATES (1.6%)
Advanta Mortgage Loan
Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA 150 150
97-4 A2
6.53%, 9/25/12 AAA 150 150
ALPS, Series 94-1 C2 CMO
9.35%, 9/15/04 BBB 99 101
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 175 176
97-D A3
6.20%, 5/15/03 AAA 200 201
CIT Group Home Equity
Loan Trust, Series
97-1 A3
6.25%, 9/15/11 AAA 100 100
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 123 123
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 100 101
97-3 A3
6.57%, 10/10/10 AAA 100 100
First Security Auto
Grantor Trust, Series
97-B A
6.10%, 4/15/03 AAA 210 210
(+) Federal Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series 97-A A
7.35%, 4/15/19 AAA 238 247
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA 250 251
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 201 201
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 129
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
97-B A
5.95%, 5/15/03 AAA $ 143 $ 143
(+) Long Beach
Acceptance Auto
Grantor Trust, Series
97-2 A
6.69%, 9/25/04 AAA 105 105
@ NAL Auto Trust,
Series 96-4 A
6.90%, 12/15/00 N/R (2)-- --
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 204 204
(+) Rental Car
Finance Corp.,
Series 97-1 A2
6.45%, 4/25/03 AA 200 200
WFS Financial Owner
Trust,
Series 97-C A3
6.01%, 3/20/02 AAA 160 160
UCFC Home Equity Loan,
Series 98 A A1
5.70%, 7/15/11 AAA 250 250
- -----------------------------------------------------
GROUP TOTAL 3,173
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.1%)
Federal Home Loan
Mortgage Corporation,
Series 1632-SA Inv Fl
REMIC
5.229%, 11/15/23 Agy 75 67
Federal National
Mortgage Association,
Series 92-89 SQ Inv Fl
IO PAC (11)
3353.206%, 6/25/22 Agy (2)-- 27
- -----------------------------------------------------
GROUP TOTAL 94
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.9%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 155 164
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 142 138
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 188 202
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Residential Accredit
Loans, Inc.,
Series:
97-QS12 A7 REMIC
7.25%, 11/25/27 AAA $ 175 $ 175
98-QS4 A15
7.00%, 3/25/28 AAA 600 598
Residential Asset
Securitization Trust,
Series 96-A11 A9
7.75%, 2/25/27 AAA 175 181
Residential Funding
Mortgage Securities
Co., Inc., Series
94-S1 A19
6.75%, 1/25/24 AAA 190 188
- -----------------------------------------------------
GROUP TOTAL 1,802
- -----------------------------------------------------
COMMERCIAL MORTGAGES (1.8%)
American Southwest
Financial Securities
Corp.,
Series:
++ 93-2 A1
7.30%, 1/18/09 AA 125 127
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 150 155
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 116 123
## 95-MD4 A1
7.10%, 8/13/29 AAA 217 226
++## 95-MD4 A CS2 IO
2.364%, 8/13/29 AAA 736 128
(+)+ 96-D3 A1C
7.40%, 10/13/26 Aaa 150 160
96-MD6 A1C
7.04%, 11/13/26 AAA 125 130
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 100 108
(+) Carousel Center
Finance, Inc., Series
1 A1
6.828%, 11/15/07 AA 100 102
Chase Commercial
Mortgage Securities
Corp.,
Series 96-2 B
6.90%, 10/19/06 AA 175 179
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF1 A1B
7.58%, 3/13/28 AAA 150 160
96-CF2 A1B
7.29%, 11/12/21 AAA 135 142
97-CF1 A1B
7.60%, 4/15/07 AAA 125 134
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
First Union-Lehman
Brothers Commercial
Mortgage Trust,
Series:
+ 97-C1 A2
7.30%, 12/18/06 Aaa $ 175 $ 184
97-C2 A3
6.65%, 12/18/07 AAA 175 178
+ GMAC Commercial
Mortgage Securities,
Inc.,
Series:
97-C2 A3
6.566%, 11/15/07 Aaa 175 177
## 97-C2 X IO
1.273%, 4/15/27 Aaa 1,522 115
+ GS Mortgage Securities
Corp. II,
Series 97-GL A2D
6.94%, 7/13/30 Aaa 100 104
J.P. Morgan Commercial
Mortgage Finance
Corp., Series 97-C5 A2
7.069%, 9/15/29 AAA 150 157
+## LB Commercial
Conduit Mortgage
Trust,
Series:
96-C2 A
7.424%, 10/25/26 Aaa 168 176
98-C1 IO
1.199%, 2/18/28 Aaa 1,300 87
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 100 104
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 125 128
+ 97-MC2 A2
6.664%, 9/20/07 Aaa 200 203
- -----------------------------------------------------
GROUP TOTAL 3,487
- -----------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 200 207
Mobile Energy Services
8.665%, 1/1/17 BBB- 93 100
- -----------------------------------------------------
GROUP TOTAL 307
- -----------------------------------------------------
FINANCE (1.3%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 100 107
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 200 213
(+) BT Institutional
Capital
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) BT Institutional
Capital
Trust, Series A
8.09%, 12/1/26 BBB+ $ 225 $ 233
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 100 103
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 180 189
First Union
Institutional Capital,
Series I
8.04%, 12/1/26 BBB+ 225 239
(+) Florida Windstorm
6.70%, 8/25/04 A- 175 176
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 250 250
NB Capital Trust
8.25%, 4/15/27 A- 75 82
PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 150 157
(+) Prime Property
Funding II
7.00%, 8/15/04 A 120 122
(+) State Street
Institutional Capital,
Series A
7.94%, 12/30/26 A 125 133
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 75 81
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 25 26
(+) Wells Fargo Capital,
Series A
8.125%, 12/1/26 BBB+ 200 212
(+) World Financial
Properties,
Series 96 WFP-B
6.91%, 9/1/13 AA- 247 254
- -----------------------------------------------------
GROUP TOTAL 2,577
- -----------------------------------------------------
INDUSTRIALS (1.3%)
American Standard Cos.
7.375%, 2/1/08 BB- 305 300
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 75 68
9.00%, 12/15/14 BBB 50 52
DR Structured Finance,
Series:
93-K1 A2
7.43%, 8/15/18 BB 180 158
94-K1 A1
7.60%, 8/15/07 BB 81 80
94-K2 A2
9.35%, 8/15/19 BB 230 239
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 240 240
News America Holdings
8.875%, 4/26/23 BBB- 125 147
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 131
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Oxymar
7.50%, 2/15/16 BBB $ 100 $ 102
Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 480 494
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 70 72
Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB- 100 110
Scotia Pacific Holding
Co.
7.95%, 7/20/15 BBB 100 105
Southland Corp.
5.00%, 12/15/03 BB+ 496 434
- -----------------------------------------------------
GROUP TOTAL 2,601
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES-
AGENCY COLLATERAL SERIES (0.4%)
Federal Home Loan
Mortgage Corporation,
Series 1911 C PO
11/15/23 Agy 100 59
Federal National
Mortgage Association,
Series:
96-34 C PO
3/25/23 Agy 225 134
249 1 PO
10/25/23 Agy 456 320
260 1 PO
4/1/24 Agy 104 80
282 1 PO
9/1/25 Agy 274 202
- -----------------------------------------------------
GROUP TOTAL 795
- -----------------------------------------------------
TELEPHONES (0.5%)
Cablevision Systems
Corp.
7.875%, 12/15/07 BB+ 115 118
CalEnergy Co., Inc.
7.63%, 10/15/07 BB+ 115 115
CSC Holdings, Inc
7.875%, 12/15/07 BB+ 100 103
(+) Lenfest Communications,
Inc.
7.625%, 2/15/08 BB+ 55 55
(+)# Qwest
Communications, Inc.
0.00%, 2/1/08 B+ 405 286
# Teleport
Communications Group,
Inc.
0.00%, 7/1/07 B+ 215 185
- -----------------------------------------------------
GROUP TOTAL 862
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.2%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ $ 190 $ 190
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 125 158
- -----------------------------------------------------
GROUP TOTAL 348
- -----------------------------------------------------
U.S. TREASURY SECURITIES (3.4%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,478 1,433
3.625%, 7/15/02
(Inflation Indexed) Tsy 730 723
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,025 1,012
6.25%, 4/30/01 Tsy 1,000 1,017
6.375%, 3/31/01 Tsy 500 510
7.125%, 9/30/99 Tsy 1,475 1,507
7.125%, 2/29/00 Tsy 400 411
- -----------------------------------------------------
GROUP TOTAL 6,613
- -----------------------------------------------------
UTILITIES (0.1%)
CMS Energy Corp, Series
B
7.375%, 11/15/00 BB 85 86
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 104
- -----------------------------------------------------
GROUP TOTAL 190
- -----------------------------------------------------
YANKEE (2.1%)
(+) Alcoa Aluminio SA,
Series 96-1
7.50%, 12/16/08 BBB 163 163
(+) AST Research, Inc.
7.45%, 10/1/02 B+ 405 363
(+) Glencore Nickel Property,
Ltd.
9.00%, 12/1/14 BB+ 105 104
Grupo Minero Mexicano SA
de CV, Series A
8.25%, 4/1/08 BB 345 342
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 225 207
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 BB 110 90
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 30 31
7.75%, 12/15/27 A- 140 142
Korea Development Bank
7.375%, 9/17/04 BB+ 380 345
National Power Corp.
7.875%, 12/15/06 BB+ 105 96
8.40%, 12/15/16 BB+ 90 78
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 132
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC $ 100 $ 48
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 A+ 225 209
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB 200 210
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 215 223
# Republic of Argentina
Par, Series L
5.75%, 3/31/23 BB 480 367
Republic of Colombia
8.70%, 2/15/16 BBB- 165 161
Rogers Cablesystems Ltd.
10.00%, 3/15/05 BB+ 180 202
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 225 226
(+) Samsung Electronics
Co.
7.45%, 10/1/02 B+ 150 134
United Mexican States
Par Bond, Series B
6.25%, 12/31/19 BB 450 381
- -----------------------------------------------------
GROUP TOTAL 4,122
- -----------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $38,383) 38,987
- -----------------------------------------------------
INTERNATIONAL FIXED INCOME (2.2%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (2.2%)
- -----------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Commonwealth of Australia
10.00%, 2/15/06 AAA AUD 50 42
Federal National
Mortgage Association
6.50%, 7/10/02 Agy 85 58
- -----------------------------------------------------
GROUP TOTAL 100
- -----------------------------------------------------
BRITISH POUND (0.2%)
United Kingdom Treasury Bill
8.50%, 7/16/07 AAA GBP 240 474
- -----------------------------------------------------
CANADIAN DOLLAR (0.1%)
Government of Canada
7.50%, 3/1/01 AAA CAD 160 120
9.75%, 6/1/21 AA+ 50 53
- -----------------------------------------------------
GROUP TOTAL 173
- -----------------------------------------------------
DANISH KRONE (0.1%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 275 45
8.00%, 3/15/06 AA+ 750 127
- -----------------------------------------------------
GROUP TOTAL 172
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
GERMAN MARK (0.7%)
Government of Germany
+5.75%, 8/22/00 Aaa DEM 355 $ 199
6.00%, 1/5/06 Agy 175 102
6.25%, 1/4/24 AAA 230 138
7.125%, 1/29/03 AAA 170 102
7.50%, 9/9/04 AAA 410 255
8.375%, 5/21/01 AAA 875 528
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 175 107
- ---------------------------------------------------------
GROUP TOTAL 1,431
- ---------------------------------------------------------
ITALIAN LIRA (0.3%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 315,000 222
10.00%, 8/1/03 AA 410,000 278
- ---------------------------------------------------------
GROUP TOTAL 500
- ---------------------------------------------------------
JAPANESE YEN (0.5%)
European Investment Bank
3.00%, 9/20/06 AAA JPY 4,000 33
Export-Import Bank of Japan
2.875%, 7/28/05 AAA 30,000 243
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 BB+ 23,200 210
6.75%, 6/18/01 AAA 52,000 461
- ---------------------------------------------------------
GROUP TOTAL 947
- ---------------------------------------------------------
SOUTH AFRICAN RAND (0.0%)
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 225 44
- ---------------------------------------------------------
SWEDISH KRONA (0.2%)
Swedish Government
6.00%, 2/9/05 AAA SEK 1,600 210
13.00%, 6/15/01 AA+ 1,200 185
- ---------------------------------------------------------
GROUP TOTAL 395
- ---------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost
$4,425) 4,236
- ---------------------------------------------------------
INTERNATIONAL EQUITY (17.3%)
- ---------------------------------------------------------
COMMON STOCKS (16.7%)
- ---------------------------------------------------------
SHARES
------
<S> <C> <C> <C>
ARGENTINA (0.8%)
* Banco Rio de La Plata SA ADR 23,600 295
YPF SA ADR 38,300 1,302
- ---------------------------------------------------------
GROUP TOTAL 1,597
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130
<PAGE> 133
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
AUSTRIA (0.3%)
OMV AG 5,350 $ 690
- -----------------------------------------------------
CANADA (0.2%)
TransCanada Pipelines Ltd. 15,900 375
- -----------------------------------------------------
FRANCE (2.6%)
Credit Local de France 6,100 818
Elf Aquitaine 6,710 880
Groupe Danone 3,150 761
Lafarge SA 8,000 681
Lagardere S.C.A. 9,000 363
Rhone-Poulenc 13,300 676
Scor 15,110 866
- -----------------------------------------------------
GROUP TOTAL 5,045
- -----------------------------------------------------
GERMANY (1.8%)
Deutsche Bank AG 11,750 881
Deutsche Lufthansa AG 32,000 673
Deutsche Telekom AG 15,000 328
Henkel KGaA 9,790 705
RWE AG 6,000 323
Springer (Axel) Verlag AG 770 662
- -----------------------------------------------------
GROUP TOTAL 3,572
- -----------------------------------------------------
GREECE (0.4%)
Hellenic Telecommunication
Organization SA 15,500 388
* National Bank of Greece SA 3,600 395
- -----------------------------------------------------
GROUP TOTAL 783
- -----------------------------------------------------
HONG KONG (0.5%)
Hong Kong Telecommunications
Ltd. 25,000 52
* Hong Kong Telecommunications
Ltd. ADR 6,100 128
HSBC Holdings plc 15,600 477
Jardine Strategic Holdings
Ltd. 95,000 260
- -----------------------------------------------------
GROUP TOTAL 917
- -----------------------------------------------------
INDIA (0.1%)
* Jardine Fleming India Fund,
Inc. 36,200 262
- -----------------------------------------------------
INDONESIA (0.1%)
* Gulf Indonesia Resources
Ltd. 7,800 140
Lippo Securities 1,174,800 41
Pabrik Kertas Tjiwi Kimia 73,000 17
- -----------------------------------------------------
GROUP TOTAL 198
- -----------------------------------------------------
ITALY (1.5%)
* Banca di Roma 411,000 694
ENI S.p.A. 124,300 847
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Pirelli S.p.A. 162,000 $ 622
Telecom Italia S.p.A. 111,004 681
- -----------------------------------------------------
GROUP TOTAL 2,844
- -----------------------------------------------------
JAPAN (1.4%)
Bridgestone Corp. 21,000 476
Fuji Electric Co., Ltd. 113,000 387
Nintendo Corp., Ltd. 4,000 345
Nippon Telegraph & Telephone
Corp. 36 300
Promise Co., Ltd. 6,100 316
Takefuji Corp. 7,000 331
TDK Corp. 7,000 541
- -----------------------------------------------------
GROUP TOTAL 2,696
- -----------------------------------------------------
MEXICO (0.3%)
* Tubos de Acero de Mexico SA 34,000 638
- -----------------------------------------------------
NETHERLANDS (0.8%)
ING Groep N.V. 13,207 750
Philips Electronics N.V. 9,900 727
- -----------------------------------------------------
GROUP TOTAL 1,477
- -----------------------------------------------------
NORWAY (0.5%)
Christiania Bank OG
Kreditkasse 226,100 961
- -----------------------------------------------------
RUSSIA (0.1%)
Lukoil Holding ADR 3,700 260
- -----------------------------------------------------
SINGAPORE (0.2%)
* Creative Technology Ltd. 14,500 326
- -----------------------------------------------------
SPAIN (0.3%)
Telefonica de Espana 15,500 684
- -----------------------------------------------------
SWEDEN (1.5%)
* Astra AB, Class A 25,000 516
* Nordbanken Holding AB 114,100 757
Pharmacia & Upjohn, Inc.-
Depositary Shares 12,600 544
Sparbanken Sverige AB, Class A 30,585 1,009
- -----------------------------------------------------
GROUP TOTAL 2,826
- -----------------------------------------------------
SWITZERLAND (0.2%)
* Swissair AG (Registered) 281 393
- -----------------------------------------------------
UNITED KINGDOM (3.0%)
Bank of Scotland 55,300 655
Burmah Castrol plc 29,000 592
FKI plc 75,000 255
Imperial Tobacco Group plc 61,800 455
LucasVarity plc 117,000 473
National Westminister Bank plc 34,576 633
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Pilkington plc 253,000 $ 513
Rank Group plc 93,015 629
Royal & Sun Alliance Insurance
Group plc 32,034 408
Sainsbury J. plc 55,422 476
Somerfield plc 41,000 246
Tomkins plc 88,844 541
- -----------------------------------------------------
GROUP TOTAL 5,876
- -----------------------------------------------------
UNITED STATES (0.1%)
* The India Fund, Inc. 25,100 182
- -----------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $26,412) 32,602
- -----------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- -----------------------------------------------------
JAPAN (0.1%)
* Sanwa International Finance
Bermuda Trust, 1.25% (Cost
$235) 10 221
- -----------------------------------------------------
PREFERRED STOCKS (0.5%)
- -----------------------------------------------------
BRAZIL (0.5%)
Eletrobras, Class B 7,400,000 366
Telesp 1,592,000 517
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $830) 883
- -----------------------------------------------------
HIGH YIELD (9.2%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (9.1%)
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- -------
ASSET BACKED CORPORATES (0.2%)
(+) Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 A $ 145 146
(+)+ Long Beach
Acceptance Auto
Grantor Trust, Series
97-1 B
14.22%, 10/26/03 Ba3 208 208
(+) OHA Auto Grantor
Trust,
Series 97-A
11.00%, 9/15/03 BB 127 125
- -----------------------------------------------------
GROUP TOTAL 479
- -----------------------------------------------------
CABLE (0.4%)
Cablevision Systems
Corp.
7.875%, 12/15/07 BB+ 265 273
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 200 208
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Rogers Cablesystems Ltd.
10.125%, 9/1/12 BB+ $ 175 $ 193
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 50 51
- -----------------------------------------------------
GROUP TOTAL 725
- -----------------------------------------------------
CHEMICALS (0.2%)
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 B+ 415 436
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 28 15
- -----------------------------------------------------
COMMERCIAL MORTGAGES (0.2%)
CBM Funding Corp.,
Series 96-1B D
8.645%, 2/1/08 AA 125 135
(+)+ DLJ Mortgage
Acceptance Corp.,
Series 97-CF2 S IO
0.356%, 10/15/17 Aaa 3,991 105
++ Federal Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series 96-B C 1
7.929%, 11/1/18 BB 97 87
- -----------------------------------------------------
GROUP TOTAL 327
- -----------------------------------------------------
COMMUNICATIONS (1.7%)
Comcast Cellular
Holdings Corp., Series
B
9.50%, 5/1/07 BB+ 260 276
(+) Concentric Network
Corp.
12.75%, 12/15/07 N/R 100 118
Esprit Telecom Group plc
11.50%, 12/15/07 B- DEM 400 237
(+) Flag Ltd.
8.25%, 1/30/08 B+ $ 90 92
Globalstar LP/Capital
11.375%, 2/15/04 B 125 131
# Intermedia
Communications, Inc.,
Series B
0.00%, 7/15/07 B 600 451
Iridium Capital Corp.,
Series A
13.00%, 7/15/05 B- 70 78
IXC Communications,
Inc., PIK, Series B
12.50%, 8/15/09 B 200 238
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 135
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
# Nextel Communications,
Inc.
0.00%, 8/15/04 CCC+ $ 610 $ 587
0.00%, 9/15/07 CCC 265 178
Qwest Communications
International Inc.,
Series B
10.875%, 4/1/07 B+ 65 75
+# RCN Corp
0.00%, 10/15/07 B3 300 201
RSL Communications plc
# 0.00%, 3/15/08 B- 450 150
(+) 9.125%, 3/1/08 B- 170 172
12.25%, 11/15/06 B- 25 29
# Telesystems
International
Wireless, Inc., Series
C
0.00%, 11/1/07 B- 400 253
- -----------------------------------------------------
GROUP TOTAL 3,266
- -----------------------------------------------------
CONSUMER MANUFACTURING (0.1%)
(+) Revlon Consumer
Products
8.125%, 2/1/06 B 200 203
- -----------------------------------------------------
ENERGY (0.2%)
Nuevo Energy Co.
9.50%, 4/15/06 B+ 145 154
Snyder Oil Corp.
8.75%, 6/15/07 B+ 200 206
- -----------------------------------------------------
GROUP TOTAL 360
- -----------------------------------------------------
FINANCE (0.7%)
(+)## IBJ Preferred
Capital Co. LLC,
Series A
8.79%, 12/29/49 BBB- 565 544
(+)## SB Treasury Co.
LLC,
Series A
9.40%, 12/29/49 BBB- 545 564
Western Financial Bank
8.875%, 8/1/07 BB+ 250 241
- -----------------------------------------------------
GROUP TOTAL 1,349
- -----------------------------------------------------
FOOD & BEVERAGE (0.1%)
Ameriserve Food Co.
10.125%, 7/15/07 B- 65 70
(+) Smithfield Foods,
Inc.
7.625%, 2/15/08 BB+ 80 79
- -----------------------------------------------------
GROUP TOTAL 149
- -----------------------------------------------------
GAMING (0.1%)
Station Casinos, Inc.
9.75%, 4/15/07 B+ 100 113
10.125%, 3/15/06 B+ 100 112
- -----------------------------------------------------
GROUP TOTAL 225
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
GENERAL INDUSTRIAL (0.1%)
Geberit International SA
10.125%, 4/15/07 B+ DEM 130 $ 80
Navistar Financial
Corp.,
Series B
9.00%, 6/1/02 B+ $ 35 37
# Norcal Waste Systems,
Inc.
13.50%, 11/15/05 BB- 100 116
- -----------------------------------------------------
GROUP TOTAL 233
- -----------------------------------------------------
HEALTHCARE (0.5%)
Columbia/HCA Healthcare
6.91%, 6/15/05 BBB 445 418
(+) Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 100 100
(+) Magellan Health
Services, Inc.
9.00%, 2/15/08 B- 115 116
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 240 250
- -----------------------------------------------------
GROUP TOTAL 884
- -----------------------------------------------------
HOTELS, LODGING & RESTAURANTS (0.1%)
HMC Acquisition
Properties, Series B
9.00%, 12/15/07 BB- 135 143
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 100 107
- -----------------------------------------------------
GROUP TOTAL 250
- -----------------------------------------------------
MEDIA & ENTERTAINMENT (0.7%)
Criimi Mae, Inc.
9.125%, 12/1/02 BB 200 202
Fox/Liberty Networks LLC
# 0.00%, 8/15/07 B 475 323
8.875%, 8/15/07 B 60 62
Outdoor Systems, Inc.
8.875%, 6/15/07 B 210 220
Sinclair Broadcast
Group, Inc.
9.00%, 7/15/07 B 205 214
(+)# TCI Satellite
Entertainment, Inc.
0.00%, 2/15/07 B- 355 255
- -----------------------------------------------------
GROUP TOTAL 1,276
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
METALS (0.3%)
(+) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 BB- $ 100 $ 105
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B DEM 300 172
(+) Murrin Murrin
Holdings
9.375%, 8/31/07 BB- $ 355 353
- -----------------------------------------------------
GROUP TOTAL 630
- -----------------------------------------------------
PACKAGING (0.6%)
Columbia/HCA Heathcare
7.00%, 7/1/07 BBB 235 219
Grand Casinos, Inc.
10.125%, 12/1/03 BB 160 174
Integrated Health
Services,
Series A
9.50%, 9/15/07 B 240 255
(+) Pharmerica, Inc.
8.375%, 4/1/08 B 100 101
SD Warren Co.
12.00%, 12/15/04 B+ 130 145
Vencor, Inc.
8.625%, 7/15/07 B+ 165 186
- -----------------------------------------------------
GROUP TOTAL 1,080
- -----------------------------------------------------
RETAIL (0.4%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 243 254
DR Securitized Lease
Trust, Series 93-K1 A1
6.66%, 8/15/10 BB 338 314
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 275 284
- -----------------------------------------------------
GROUP TOTAL 852
- -----------------------------------------------------
SOVEREIGN & EMERGING MARKETS (1.9%)
Asia Pulp & Paper Co.,
Ltd., Series A
12.00%, 2/15/04 B+ 175 145
Azteca Holdings SA
11.00%, 6/15/02 B- 50 52
## Fuji JGB Investments
LLC,
Series A
9.87%, 12/31/49 BB+ 525 520
(+) Globo Comunicacoes
Participoes
10.50%, 12/20/06 BB- 205 208
Hermes Europe Railtel
11.50%, 8/15/07 B 30 34
(+) Hyundai
Semiconductor America
8.25%, 5/15/04 BB 100 80
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Korea Electric Power
Corp.
7.75%, 4/1/13 B+ $ 65 $ 55
Multicanal SA
10.50%, 2/1/07 BB- 300 320
(+) Norampac, Inc.
9.50%, 2/1/08 B+ 205 214
(+) NSM Steel, Inc.
12.25%, 2/1/08 CCC 100 96
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 185 163
Philippine Long Distance
Telephone Co., Series E
7.85%, 3/6/07 BB+ 275 253
(+) Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 380 312
Pohang Iron & Steel Co.,
Ltd.
7.125%, 7/15/04 B+ 100 88
# PTC International
Finance BV
0.00%, 7/1/07 B+ 230 161
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 250 219
+# Republic of Argentina
Pre 4 BOCON, PIK
0.00%, 9/1/02 Ba3 85 104
## Republic of
Argentina,
Series L
6.688%, 3/31/05 BB- 283 261
##@ Republic of
Venezuela, Oil Linked
Obligation
0.00%, 4/15/20 B+ 1 --
(+) RG Receivables Ltd.
9.60%, 2/10/05 BB- 210 210
(+) Satelites Mexicanos
SA
10.125%, 11/1/04 B- 105 109
(+) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 50 34
TV Azteca SA, Series B
10.50%, 2/15/07 B+ 150 161
- -----------------------------------------------------
GROUP TOTAL 3,799
- -----------------------------------------------------
TECHNOLOGY (0.2)
Advanced Micro Devices,
Inc.
11.00%, 8/1/03 BB- 320 342
# NEXTLINK Communication
Co.
0.00%, 4/15/08 B 235 149
- -----------------------------------------------------
GROUP TOTAL 491
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 137
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.2%)
ALPS, Series 96-1 DX
12.75%, 6/15/06 BB- $ 150 $ 150
(+) Jet Equipment Trust,
Series 95-A
11.79%, 6/15/13 BBB- 150 202
- -----------------------------------------------------
GROUP TOTAL 352
- -----------------------------------------------------
UTILITIES (0.2%)
(+) AES Corp.
8.50%, 11/1/07 B+ 185 192
Midland Funding Corp. I,
Series C-94
10.33%, 7/23/02 BB- 77 84
Midland Funding II,
Series A
11.75%, 7/23/05 B- 75 89
- -----------------------------------------------------
GROUP TOTAL 365
- -----------------------------------------------------
TOTAL HIGH YIELD (Cost $17,248) 17,746
- -----------------------------------------------------
PREFERRED STOCKS (0.1%)
- -----------------------------------------------------
SHARES
------
COMMUNICATIONS (0.0%)
* IXC Communications,
Inc., PIK
Series B 12.50% CCC+ 77 94
- -----------------------------------------------------
PACKAGING (0.1%)
Sinclair Capital 11.625% B 1,300 144
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $209) 238
- -----------------------------------------------------
UNITS (0.2%)
- -----------------------------------------------------
COMMUNICATIONS (0.1%)
(+) # Wam ! Net, Inc.
0.00%, 3/1/05 N/R 225 136
- -----------------------------------------------------
TECHNOLOGY (0.1%)
(+) AMSC Acquisition Co.
12.25%, 4/1/08 N/R 165 171
- -----------------------------------------------------
TOTAL UNITS (Cost $303) 307
- -----------------------------------------------------
WARRANTS (0.0%)
- -----------------------------------------------------
COMMUNICATIONS (0.0%)
(+)* Globalstar
Telecommunications
Ltd., expiring 2/15/04 N/R 125 19
(+)* Iridium World
Communications,
expiring 7/15/05 N/R 70 17
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
*@ Nextel
Communications, Inc.,
expiring 1/1/99 N/R 75 $ --
*@ Occidente y Caribe
Cellular, expiring
3/15/04 N/R 740 --
- -----------------------------------------------------
TOTAL WARRANTS (Cost $14) 36
- -----------------------------------------------------
RIGHTS (0.0%)
- -----------------------------------------------------
MISC-INDUSTRIALS (0.0%)
* Lafarge, expiring
4/8/98 N/R 8,000 10
*@ United Mexican States
Recovery Rights,
expiring 6/30/03 N/R 450,000 --
- -----------------------------------------------------
TOTAL RIGHTS (Cost $0) 10
- -----------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- -----------------------------------------------------
FACE
AMOUNT
(000)
-------
J.P. Morgan and Co.,
terminating 10/15/99,
to receive on 10/15/99
the excess, as
measured on 10/15/98,
of the 12 month LIBOR
over 6.34% multiplied
by the notional amount
(Premium Paid $32) AA- $ 7,600 7
- -----------------------------------------------------
CASH EQUIVALENTS (12.5%)
- -----------------------------------------------------
CASH INVESTMENTS-MORTGAGE (3.7%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 6/1/19 Agy 33 36
10.50%, 4/1/19 Agy 270 296
11.00%, 9/1/16 Agy 96 109
11.50%, 7/1/15-8/1/15 Agy 144 163
Gold Pools:
9.50%, 12/1/16 Agy 209 229
10.00%, 1/1/21 Agy 423 468
11.50%, 1/1/16 Agy 139 156
Series:
## 1933-FM REMIC
6.50%, 3/15/25 Agy 39 39
## 1933-FQ REMIC
6.50%, 3/15/25 Agy 65 65
Federal National
Mortgage Association
Conventional Pools:
10.50%,
11/1/11-6/1/19 Agy 215 243
11.00%, 11/1/20 Agy 123 140
12.50%, 3/1/15 Agy 23 27
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 138
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Series:
## 94-50 FD REMIC
6.20%, 3/25/24 Agy $ 127 $ 128
## 97-43 FM REMIC
6.25%, 7/18/27 Agy 147 148
## 97-70 FA REMIC, PAC
(11)
6.20%, 7/18/20 Agy 79 79
## 97-76 FM
6.20%, 9/17/27 Agy 158 159
## 97-76 FN
6.15%, 9/17/27 Agy 153 154
## 98-22 FA REMIC
6.025%, 4/18/28 Agy 400 401
Government National
Mortgage Association
Adjustable Rate
Mortgages:
7.00%, 3/20/25 Tsy 305 311
7.375%, 4/20/25-
6/20/25 Tsy 877 894
Various Pools:
@ 7.00%, 12/15/23 Tsy (2)-- --
10.00%, 6/15/03-
8/15/20 Tsy 607 676
10.50%,
215/19-5/15/26 Tsy 511 575
11.00%, 7/15/10-
7/15/19 Tsy 448 515
11.50%, 1/15/13-
12/15/17 Tsy 127 147
12.00%, 11/15/12 Tsy 7 8
April TBA
9.50%, 4/15/98 Tsy 875 959
- -----------------------------------------------------
GROUP TOTAL 7,125
- -----------------------------------------------------
REPURCHASE AGREEMENT (8.8%)
Chase Securities, Inc. 5.75%,
dated 3/31/98, due 4/1/98,
to be repurchased at 17,143,
collateralized by various
U.S. Government Obligations,
due 4/1/98-11/15/99, valued
at $17,192 17,141 17,141
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $24,237) 24,266
- -----------------------------------------------------
FOREIGN CURRENCY (2.4%)
- -----------------------------------------------------
Austrian Schilling ATS 12 1
Belgian Franc BEF 24 1
British Pound GBP 1,095 1,835
Canadian Dollar CAD 4 3
French Franc FRF 51 8
German Mark DEM 151 81
Greek Drachma GRD 183,148 573
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Indonesian Rupiah IDR 703,613 82
Italian Lira ITL 1,778,545 $ 976
Japanese Yen JPY 64,110 481
Netherlands Guilder NLG 2 1
@ Philippines Peso PHP 15 --
Spanish Peseta ESP 100,558 641
- -----------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $4,737) 4,683
- -----------------------------------------------------
TOTAL INVESTMENTS (106.6%) (Cost $183,096) 207,496
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.6%)
Cash 141
Foreign Currency Held as Collateral on
Futures Contracts (Cost $69) 69
Dividends Receivable 212
Interest Receivable 1,003
Receivable for Withholding Tax Reclaim 13
Receivable for Investments Sold 32,364
Receivable for Fund Shares Sold 249
Unrealized Gain on Futures Contracts 75
Unrealized Gain on Swap Agreements 5
Unrealized Gain on Forward Foreign Currency
Contracts 20
Other Assets 7
Payable for Investments Purchased (45,648)
Payable for Fund Shares Redeemed (1,015)
Payable for Investment Advisory Fees (272)
Payable for Administrative Fees (13)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Other Liabilities (61)
--------
(12,858)
- -----------------------------------------------------
NET ASSETS (100%) $194,638
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 14,581,177 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $189,093
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.97
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 427,633 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 5,545
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.97
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 139
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- -----------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $162,169
Undistributed Net Investment Income (Loss) 2,026
Undistributed Realized Net Gain (Loss) 5,951
Unrealized Appreciation (Depreciation) on:
Investment Securities 24,454
Foreign Currency (22)
Futures and Swaps 60
- -----------------------------------------------------
NET ASSETS $194,638
- -----------------------------------------------------
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors 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 Investors Service,
Inc.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1998.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1998.
(2) Face amount is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at March
31, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Services, Inc.,
Standard & Poor's Corporation of Fitch.
PAC Planned Amortization Class
PCL Public Company Limited
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.
- --------------------------------------------------------------------------------
138
<PAGE> 140
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL INTER-
CAP NATIONAL MID CAP
VALUE EQUITY VALUE EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------
Six Months Ended March 31, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 30,742 $ 8,525 $ 5,084 $ 3,889 $ 490
Interest 13,066 1,809 1,598 476 551
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 43,808 10,334 6,682 4,365 1,041
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 9,386 3,105 3,289 1,471 1,137
Administrative Fee--Note C 1,501 498 350 236 181
Custodian Fee--Note E 125 68 38 188 66
Audit Fee 15 15 8 29 8
Legal Fee 34 11 8 5 4
Shareholder Servicing Fee--Investment Class
shares--Note D 20 2 -- -- --
Distribution Fees--Adviser Class shares--Note D 387 -- -- -- 10
Other Expenses 227 77 52 37 30
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 11,695 3,776 3,745 1,966 1,436
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (125) (68) (12) (55) (66)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 11,570 3,708 3,733 1,911 1,370
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 32,238 6,626 2,949 2,454 (329)
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 160,030 119,697 92,744 43,883 52,750
Foreign Currency Transactions -- -- -- 992 --
Futures (1,589) -- -- 438 --
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 158,441 119,697 92,744 45,313 52,750
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities* 88,938 11,783 (47,845) (9,474) 42,080
Foreign Currency Transactions -- -- -- (1,382) --
Futures (3,948) -- -- (245) --
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 84,990 11,783 (47,845) (11,101) 42,080
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 243,431 131,480 44,899 34,212 94,830
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $275,669 $138,106 $ 47,848 $ 36,666 $ 94,501
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $406 withholding tax for the International Equity Portfolio.
* Net of foreign capital gains tax of $1 on unrealized gains for the
International Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138
<PAGE> 141
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING DOMESTIC
MID CAP MARKETS FIXED FIXED HIGH
VALUE VALUE INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------
Six Months Ended March 31, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 1,171 $ 137 $ 5,264 $ 91 $ 777
Interest 412 82 127,291 2,973 25,215
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 1,583 219 132,555 3,064 25,992
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 989 $ 68 6,966 $160 1,086
Less: Waived Fees -- (51) 17 -- (5) 155 --
Administrative Fee--Note C 105 7 1,486 34 232
Custodian Fee--Note E 37 55 173 10 31
Audit Fee 8 22 23 7 10
Legal Fee 2 -- 31 1 5
Shareholder Servicing Fee--Investment
Class shares--Note D 8 -- 16 -- 9
Distribution Fees--Adviser Class
shares--Note D -- -- 112 -- 10
Other Expenses 27 4 221 9 39
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,176 105 9,028 216 1,422
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (32) -- (173) (3) (25)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,144 105 8,855 213 1,397
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 439 114 123,700 2,851 24,595
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 19,104 (1,601) 31,947 938 13,561
Foreign Currency Transactions -- (38) 2,866 -- 574
Futures (438) (177) (3,269) 37 (1,448)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 18,666 (1,816) 31,544 975 12,687
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities* 12,857 (1,796) (20,545) (318) (5,436)
Foreign Currency Transactions -- (8) 2,455 -- 323
Futures and Swaps -- (18) 1,301 (4) 512
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 12,857 (1,822) (16,789) (322) (4,601)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 31,523 (3,638) 14,755 653 8,086
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $31,962 $(3,524) $138,455 $3,504 $32,681
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $10 withholding tax for the Emerging Markets Value Portfolio.
* Net of foreign capital gains tax of $22 on unrealized gains for the Emerging
Markets Value Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
139
<PAGE> 142
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
MORTGAGE- PURPOSE
CASH FIXED BACKED LIMITED FIXED
RESERVES INCOME SECURITIES DURATION INCOME
PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------
Six Months Ended March 31, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ 314 $ 70 $ 120 $ 943
Interest 3,232 8,212 1,399 5,859 18,727
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 3,232 8,526 1,469 5,979 19,670
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note
B $142 461 $ 72 282 986
Less: Waived Fees (29) 113 -- (10) 62 -- --
Administrative Fee--Note C 46 98 16 75 211
Custodian Fee--Note E 9 17 5 10 24
Audit Fee 5 9 8 7 14
Legal Fee 1 2 -- 2 5
Shareholder Servicing
Fee--Investment Class shares--Note D -- -- -- -- 1
Other Expenses 11 18 7 18 29
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 185 605 98 394 1,270
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (3) (12) (1) (9) (21)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 182 593 97 385 1,249
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 3,050 7,933 1,372 5,594 18,421
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities -- 2,673 511 (74) 6,426
Foreign Currency Transactions -- 197 -- -- 413
Futures -- (360) (120) 216 (2,182)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) -- 2,510 391 142 4,657
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities -- (1,688) (517) (392) (4,282)
Foreign Currency Transactions -- 159 -- -- 344
Futures and Swaps -- 134 134 (156) 753
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) -- (1,395) (383) (548) (3,185)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) -- 1,115 8 (406) 1,472
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $3,050 $ 9,048 $1,380 $5,188 $19,893
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
140
<PAGE> 143
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
GLOBAL NATIONAL
PA FIXED FIXED INTERMEDIATE
MUNICIPAL MUNICIPAL INCOME INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------
Six Months Ended March 31, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ -- $ -- $ 135 $ -- $ 43
Interest 2,085 715 2,103 3,817 2,882
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 2,085 715 2,238 3,817 2,925
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory
Services--Note B $152 $ 51 136 276 169
Less: Waived Fees (12) 140 (15) 36 -- -- --
Administrative Fee--Note C 32 11 29 59 36
Custodian Fee--Note E 3 2 12 27 13
Audit Fee 9 10 17 17 7
Legal fee 1 -- 1 2 1
Other Expenses 19 10 9 13 11
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 204 69 204 394 237
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (2) (1) -- (2) (13)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 202 68 204 392 224
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,883 647 2,034 3,425 2,701
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (109) 7 128 (480) 301
Foreign Currency Transactions -- -- (683) (2,349) 109
Futures 133 110 132 828 231
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 24 117 (423) (2,001) 641
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 1,261 364 (948) (2,413) (233)
Foreign Currency Transactions -- -- 170 275 84
Futures and Swaps (362) (175) (53) (224) (166)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 899 189 (831) (2,362) (315)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 923 306 (1,254) (4,363) 326
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 2,806 $ 953 $ 780 $ (938) $3,027
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $4 and $6 withholding tax for the Global Fixed Income and International
Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
141
<PAGE> 144
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-MARKET MULTI-
FIXED INCOME BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------
October 1, Six Months Six Months
1997* to Ended Ended
March 31, March 31, March 31,
(In Thousands) 1998 1998 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 41 $ 1,892 $ 847
Interest 1,618 5,497 2,236
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 1,659 7,389 3,083
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $107 846 $577
Less: Waived Fees (17) 90 -- (44) 533
Administrative Fee--Note C 19 150 71
Custodian Fee--Note E 9 27 43
Audit Fee 9 17 24
Legal Fee -- 3 2
Shareholder Servicing Fee--Investment Class
shares--Note D -- 3 4
Distribution Fees--Adviser Class shares--Note D -- 37 --
Other Expenses 14 40 22
Reimbursement of Expenses--Note B (2) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 139 1,123 699
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J -- (27) (2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 139 1,096 697
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income 1,520 6,293 2,386
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 153 20,706 8,120
Foreign Currency Transactions 398 (84) 150
Futures (36) (243) (231)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 515 20,379 8,039
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (280) 5,026 4,208
Foreign Currency Transactions 116 91 (146)
Futures and Swaps 11 26 52
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (153) 5,143 4,114
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 362 25,522 12,153
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $1,882 $31,815 $14,539
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
+ Net of $7 and $15 withholding tax for the Multi-Market Fixed Income and
Multi-Asset-Class Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
142
<PAGE> 145
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO-
---------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 53,714 $ 32,238 $ 18,000 $ 6,626 $ 4,831 $ 2,949
Realized Net Gain (Loss) 375,983 158,441 379,936 119,697 113,081 92,744
Change in Unrealized
Appreciation (Depreciation) 516,078 84,990 58,032 11,783 175,057 (47,845)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 945,775 275,669 455,968 138,106 292,969 47,848
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (43,078) (32,644) (21,326) (7,593) (3,283) (5,031)
Realized Net Gain (135,541) (306,482) (234,965) (356,453) (92,539) (118,223)
INVESTMENT CLASS:
Net Investment Income (249) (249) (19) (12) -- --
Realized Net Gain (851) (2,354) (298) (597) -- --
ADVISER CLASS +:
Net Investment Income (894) (2,196) -- -- --
---
Realized Net Gain (1,156) (27,923) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (181,769) (371,848) (256,608) (364,655) (95,822) (123,254)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 1,576,439 484,886 122,058 91,693 125,463 78,049
In Lieu of Cash Distributions 156,287 289,688 250,540 355,797 94,545 121,720
Redeemed (769,989) (586,989) (701,366) (328,429) (105,216) (77,204)
INVESTMENT CLASS:
Issued 21,268 7,625 2,983 120 -- --
In Lieu of Cash Distributions 1,086 1,734 316 607 -- --
Redeemed (6,754) (9,072) (1,364) (438) -- --
ADVISER CLASS +:
Issued 172,033 217,434 -- 111 -- --
In Lieu of Cash Distributions 1,868 26,194 -- -- -- --
Redeemed (11,849) (16,882) -- (9) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 1,140,389 414,618 (326,833) 119,452 114,792 122,565
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,904,395 318,439 (127,473) (107,097) 311,939 47,159
NET ASSETS:
Beginning of Period 1,869,477 3,773,872 1,442,374 1,314,901 585,457 897,396
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $3,773,872 $4,092,311 $1,314,901 $1,207,804 $897,396 $944,555
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 18,442 $ 15,591 $ 4,070 $ 3,091 $ 2,064 $ (18)
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 90,227 25,797 4,762 3,689 6,240 3,601
In Lieu of Cash Distributions 9,563 16,349 10,687 17,350 5,253 6,169
Shares Redeemed (44,093) (30,892) (27,052) (14,701) (5,376) (3,515)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 55,697 11,254 (11,603) 6,338 6,117 6,255
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 1,187 401 113 6 -- --
In Lieu of Cash Distributions 66 98 14 29 -- --
Shares Redeemed (380) (477) (51) (19) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 873 22 76 16 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS+:
Shares Issued 9,462 11,479 -- 5 -- --
In Lieu of Cash Distributions 112 1,483 -- -- -- --
Shares Redeemed (676) (895) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 8,898 12,067 -- 5 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Equity Portfolio began offering Adviser Class shares on January 16, 1998.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
143
<PAGE> 146
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
INTERNATIONAL MID CAP MID CAP
EQUITY GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------
Six Months Year Ended Six Months Year Ended Six Months
Year Ended Ended September Ended September Ended
September 30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 11,704 $ 2,454 $ (284) $ (329) $ 344 $ 439
Realized Net Gain (Loss) 43,465 45,313 66,879 52,750 24,403 18,666
Change in Unrealized Appreciation
(Depreciation) 79,914 (11,101) 29,836 42,080 38,391 12,857
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 135,083 36,666 96,431 94,501 63,138 31,962
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (12,515) (11,478) -- -- (404) (439)
Realized Net Gain (12,996) (44,763) (67,632) (66,908) (4,075) (24,048)
INVESTMENT CLASS:
Net Investment Income (4) (10) -- -- (1) (13)
Realized Net Gain (5) (43) -- -- (9) (915)
ADVISER CLASS +:
Realized Net Gain -- -- -- (316) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (25,520) (56,294) (67,632) (67,224) (4,489) (25,415)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 96,568 74,385 72,700 88,322 137,940 165,504
In Lieu of Cash Distributions 21,690 52,266 65,823 64,517 4,424 23,810
Redeemed (213,704) (171,474) (123,453) (102,433) (30,955) (43,222)
INVESTMENT CLASS:
Issued 325 71 -- -- 854 18,025
In Lieu of Cash Distributions 9 54 -- -- 10 918
Redeemed (6) (53) -- -- -- (3,755)
ADVISER CLASS +:
Issued -- -- 1,813 27,281 -- --
In Lieu of Cash Distributions -- -- -- 310 -- --
Redeemed -- -- (800) (2,638) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (95,118) (44,751) 16,083 75,359 112,273 161,280
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 14,445 (64,379) 44,882 102,636 170,922 167,827
NET ASSETS:
Beginning of Period 635,941 650,386 403,281 448,163 50,576 221,498
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $650,386 $586,007 $448,163 $550,799 $221,498 $389,325
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 9,914 $ 880 $ -- $ (329) $ 310 $ 297
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 6,875 5,312 4,220 4,345 8,139 8,132
In Lieu of Cash Distributions 1,662 3,871 3,909 3,693 290 1,280
Shares Redeemed (15,096) (11,964) (7,311) (5,061) (1,808) (2,153)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (6,559) (2,781) 818 2,977 6,621 7,259
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 22 5 -- -- 47 883
In Lieu of Cash Distributions 1 4 -- -- 1 49
Shares Redeemed -- (4) -- -- -- (178)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding 23 5 -- -- 48 754
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued -- -- 98 1,362 -- --
In Lieu of Cash Distributions -- -- -- 18 -- --
Shares Redeemed -- -- (43) (126) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- -- 55 1,254 -- --
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EMERGING
MARKETS VALUE
PORTFOLIO
----------------------
Year Ended Six Months
September Ended
30, March 31,
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 390 $ 114
Realized Net Gain (Loss) 2,998 (1,816)
Change in Unrealized Appreciation
(Depreciation) 2,027 (1,822)
- -------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 5,415 (3,524)
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (572) (109)
Realized Net Gain (2,288) (2,060)
INVESTMENT CLASS:
Net Investment Income -- --
Realized Net Gain -- --
ADVISER CLASS +:
Realized Net Gain -- --
- -------------------------------------------------------------------------------------------------
Total Distributions (2,860) (2,169)
- -------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 5,587 1,691
In Lieu of Cash Distributions 2,586 2,122
Redeemed (20,904) (7,234)
INVESTMENT CLASS:
Issued -- --
In Lieu of Cash Distributions -- --
Redeemed -- --
ADVISER CLASS +:
Issued -- --
In Lieu of Cash Distributions -- --
Redeemed -- --
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (12,731) (3,421)
- -------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (10,176) (9,114)
NET ASSETS:
Beginning of Period 32,984 22,808
- -------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $22,808 $13,694
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 91 $ 96
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 488 186
In Lieu of Cash Distributions 249 231
Shares Redeemed (1,762) (823)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (1,025) (406)
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- --
In Lieu of Cash Distributions -- --
Shares Redeemed -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- --
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued -- --
In Lieu of Cash Distributions -- --
Shares Redeemed -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ 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.
- --------------------------------------------------------------------------------
144
<PAGE> 147
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 169,154 $ 123,700 $ 6,619 $ 2,851 $ 37,581 $ 24,595
Realized Net Gain (Loss) 62,863 31,544 1,892 975 15,044 12,687
Change in Unrealized
Appreciation (Depreciation) 38,362 (16,789) 1,312 (322) 24,005 (4,601)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 270,379 138,455 9,823 3,504 76,630 32,681
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (149,960) (109,506) (6,034) (3,347) (34,334) (22,425)
Realized Net Gain (20,590) (49,292) (179) (907) (1,171) (14,043)
INVESTMENT CLASS +:
Net Investment Income (341) (535) -- -- (628) (387)
Realized Net Gain (47) (297) -- -- (20) (243)
ADVISER CLASS ++:
Net Investment Income (1,187) (2,402) -- -- (66) (245)
Realized Net Gain (61) (1,121) -- -- -- (180)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (172,186) (163,153) (6,213) (4,254) (36,219) (37,523)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 1,506,277 1,039,839 32,103 14,629 294,848 167,181
In Lieu of Cash Distributions 141,335 138,514 5,270 3,555 21,776 27,494
Redeemed (314,144) (290,100) (39,391) (31,012) (121,867) (95,150)
INVESTMENT CLASS +:
Issued 10,498 24,109 -- -- 12,531 6,016
In Lieu of Cash Distributions 305 686 -- -- 451 446
Redeemed (1,587) (5,192) -- -- (8,118) (4,447)
ADVISER CLASS ++:
Issued 82,302 42,603 -- -- 5,616 10,714
In Lieu of Cash Distributions 587 2,215 -- -- 66 413
Redeemed (7,715) (12,930) -- -- (1,521) (4,192)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 1,417,858 939,744 (2,018) (12,828) 203,782 108,475
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,516,051 915,046 1,592 (13,578) 244,193 103,633
NET ASSETS:
Beginning of Period 1,790,146 3,306,197 95,362 96,954 294,949 539,142
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $3,306,197 $4,221,243 $96,954 $83,376 $539,142 $642,775
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $57,872 $69,129 $1,805 $1,309 $11,795 $13,333
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 126,596 85,865 2,909 1,299 30,974 17,021
In Lieu of Cash Distributions 12,016 11,583 484 322 2,349 2,848
Shares Redeemed (26,436) (23,984) (3,553) (2,761) (12,813) (9,649)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 112,176 73,464 (160) (1,140) 20,510 10,220
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued 886 1,986 -- -- 1,307 613
In Lieu of Cash Distributions 26 57 -- -- 49 46
Shares Redeemed (133) (431) -- -- (833) (444)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 779 1,612 -- -- 523 215
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued 6,870 3,524 -- -- 577 1,086
In Lieu of Cash Distributions 50 185 -- -- 7 43
Shares Redeemed (645) (1,067) -- -- (158) (423)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 6,275 2,642 -- -- 426 706
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Fixed Income Portfolio began offering Investment Class shares on October
15, 1996.
++ 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.
- --------------------------------------------------------------------------------
145
<PAGE> 148
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
MORTGAGE-
CASH FIXED BACKED
RESERVES INCOME SECURITIES
PORTFOLIO PORTFOLIO II PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 4,812 $ 3,050 $ 13,537 $ 7,933 $ 4,031 $ 1,372
Realized Net Gain (Loss) -- -- 4,333 2,510 1,189 391
Change in Unrealized
Appreciation (Depreciation) -- -- 3,019 (1,395) (44) (383)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 4,812 3,050 20,889 9,048 5,176 1,380
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (4,812) (3,050) (13,889) (7,171) (3,646) (1,833)
Realized Net Gain -- -- (1,963) (2,552) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (4,812) (3,050) (15,852) (9,723) (3,646) (1,833)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 334,996 180,895 74,512 56,646 1,046 2,489
In Lieu of Cash Distributions 4,389 2,702 11,590 7,098 2,618 1,129
Redeemed (319,418) (172,125) (56,217) (13,116) (18,034) (1,256)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 19,967 11,472 29,885 50,628 (14,370) 2,362
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 19,967 11,472 34,922 49,953 (12,840) 1,909
NET ASSETS:
Beginning of Period 78,497 98,464 191,740 226,662 50,925 38,085
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 98,464 $ 109,936 $226,662 $276,615 $ 38,085 $39,994
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ -- $ -- $ 4,574 $ 5,336 $ 1,007 $ 546
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 334,996 180,895 6,638 4,972 99 236
In Lieu of Cash Distributions 4,389 2,702 1,045 630 252 108
Shares Redeemed (319,418) (172,125) (4,981) (1,156) (1,695) (119)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 19,967 11,472 2,702 4,446 (1,344) 225
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
146
<PAGE> 149
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
SPECIAL
LIMITED PURPOSE
DURATION FIXED INCOME MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 8,360 $ 5,594 $ 33,308 $ 18,421 $ 3,020 $ 1,883
Realized Net Gain (Loss) 372 142 14,952 4,657 15 24
Change in Unrealized
Appreciation (Depreciation) 510 (548) 5,261 (3,185) 2,297 899
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,242 5,188 53,521 19,893 5,332 2,806
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (7,415) (4,621) (33,514) (18,272) (2,960) (1,893)
Realized Net Gain -- -- (6,885) (11,303) -- --
INVESTMENT CLASS:
Net Investment Income -- -- (68) (45) -- --
Realized Net Gain -- -- (12) (26) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (7,415) (4,621) (40,479) (29,646) (2,960) (1,893)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 59,060 78,514 90,134 113,088 20,270 15,357
In Lieu of Cash Distributions 6,560 4,200 35,130 26,955 2,235 1,527
Redeemed (35,104) (15,252) (93,136) (69,407) (4,293) (2,885)
INVESTMENT CLASS:
Issued -- -- 414 40 -- --
In Lieu of Cash Distributions -- -- 80 71 -- --
Redeemed -- -- (47) (1,339) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 30,516 67,462 32,575 69,408 18,212 13,999
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 32,343 68,029 45,617 59,655 20,584 14,912
NET ASSETS:
Beginning of Period 123,227 155,570 448,428 494,045 54,536 75,120
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $155,570 $223,599 $494,045 $553,700 $75,120 $90,032
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 2,361 $ 3,334 $ 9,955 $ 10,059 $ 71 $ 61
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 5,709 7,562 7,318 9,178 1,774 1,305
In Lieu of Cash Distributions 637 406 2,902 2,212 195 130
Shares Redeemed (3,383) (1,463) (7,553) (5,636) (375) (246)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 2,963 6,505 2,667 5,754 1,594 1,189
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 34 3 -- --
In Lieu of Cash Distributions -- -- 7 6 -- --
Shares Redeemed -- -- (4) (109) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- 37 (100) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
147
<PAGE> 150
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
INTER-
PA GLOBAL NATIONAL
MUNICIPAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 1,328 $ 647 $ 4,355 $ 2,034 $ 7,708 $ 3,425
Realized Net Gain (Loss) 8 117 (183) (423) (5,420) (2,001)
Change in Unrealized
Appreciation (Depreciation) 797 189 (1,626) (831) (2,334) (2,362)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 2,133 953 2,546 780 (46) (938)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (1,330) (644) (4,111) (2,554) (5,327) (5,448)
Realized Net Gain -- -- (1,137) (1,005) (3,700) (1,362)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (1,330) (644) (5,248) (3,559) (9,027) (6,810)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 7,972 1,848 14,273 1,064 44,423 17,148
In Lieu of Cash Distributions 888 331 4,700 3,143 8,576 6,158
Redeemed (10,690) (1,914) (6,060) (11,071) (34,311) (24,535)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (1,830) 265 12,913 (6,864) 18,688 (1,229)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (1,027) 574 10,211 (9,643) 9,615 (8,977)
NET ASSETS:
Beginning of Period 28,488 27,461 67,282 77,493 143,137 152,752
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $27,461 $28,035 $77,493 $67,850 $152,752 $143,775
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 20 $ 23 $ 1,414 $ 894 $ (372) $ (2,395)
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 698 156 1,308 104 4,363 1,748
In Lieu of Cash Distributions 77 28 439 306 817 634
Shares Redeemed (935) (163) (579) (1,063) (3,475) (2,513)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (160) 21 1,168 (653) 1,705 (131)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
148
<PAGE> 151
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the period ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------
INTERMEDIATE MULTI-MARKET
DURATION FIXED INCOME BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------
Year Ended Six Months October 1, Year Ended Six Months
September Ended 1997* to September Ended
30, March 31, March 31, 30, March 31,
(In Thousands) 1997 1998 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 2,639 $ 2,701 $ 1,520 $ 12,032 $ 6,293
Realized Net Gain (Loss) 681 641 515 45,178 20,379
Change in Unrealized Appreciation
(Depreciation) 680 (315) (153) 24,679 5,143
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 4,000 3,027 1,882 81,889 31,815
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (1,772) (2,183) (688) (12,124) (6,095)
Realized Net Gain (349) (822) (53) (30,896) (38,845)
INVESTMENT CLASS +:
Net Investment Income -- -- -- (26) (68)
Realized Net Gain -- -- -- -- (453)
ADVISER CLASS ++:
Net Investment Income -- -- -- (416) (486)
Realized Net Gain -- -- -- (1,236) (3,340)
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions (2,121) (3,005) (741) (44,698) (49,287)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 73,710 56,518 55,585 43,464 23,415
In Lieu of Cash Distributions 930 1,611 741 42,958 44,892
Redeemed (16,417) (12,444) (1,436) (79,189) (30,995)
INVESTMENT CLASS +:
Issued -- -- -- 3,910 914
In Lieu of Cash Distributions -- -- -- 26 521
Redeemed -- -- -- (460) (4,240)
ADVISER CLASS ++:
Issued -- -- -- 26,300 3,538
In Lieu of Cash Distributions -- -- -- 1,653 3,825
Redeemed -- -- -- (2,128) (1,799)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 58,223 45,685 54,890 36,534 40,071
- ---------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 60,102 45,707 56,031 73,725 22,599
NET ASSETS:
Beginning of Period 12,017 72,119 -- 300,868 374,593
- ---------------------------------------------------------------------------------------------------------------------
END OF PERIOD $72,119 $117,826 $56,031 $374,593 $397,192
- ---------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 1,188 $ 1,706 $ 832 $ 3,747 $ 3,391
- ---------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 7,235 5,421 5,576 3,110 1,664
In Lieu of Cash Distributions 91 156 75 3,271 3,391
Shares Redeemed (1,612) (1,192) (142) (5,724) (2,229)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 5,714 4,385 5,509 657 2,826
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS+:
Shares Issued -- -- -- 287 65
In Lieu of Cash Distributions -- -- -- 2 39
Shares Redeemed -- -- -- (31) (300)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- -- 258 (196)
- ---------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued -- -- -- 1,812 244
In Lieu of Cash Distributions -- -- -- 126 289
Shares Redeemed -- -- -- (149) (128)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- -- -- 1,789 405
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
---------------------------------------------------------------------------
MULTI-ASSET-
CLASS
PORTFOLIO
---------------------------------------------------------------------------
<S> <C> <C>
Year Ended Six Months
September Ended
30, March 31,
(In Thousands) 1997 1998
- ---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 4,632 $ 2,386
Realized Net Gain (Loss) 18,881 8,039
Change in Unrealized Appreciation
(Depreciation) 11,636 4,114
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 35,149 14,539
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (5,893) (1,524)
Realized Net Gain (11,866) (18,906)
INVESTMENT CLASS +:
Net Investment Income (143) (38)
Realized Net Gain (275) (567)
ADVISER CLASS ++:
Net Investment Income -- --
Realized Net Gain --
---
- ---------------------------------------------------------------------------------------------------------------------
Total Distributions (18,177) (21,035)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 75,946 12,285
In Lieu of Cash Distributions 16,451 19,454
Redeemed (65,247) (9,496)
INVESTMENT CLASS +:
Issued 1,103 172
In Lieu of Cash Distributions 418 605
Redeemed (45) (116)
ADVISER CLASS ++:
Issued -- --
In Lieu of Cash Distributions -- --
Redeemed -- --
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 28,626 22,904
- ---------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 45,598 16,408
NET ASSETS:
Beginning of Period 132,632 178,230
- ---------------------------------------------------------------------------------------------------------------------
END OF PERIOD $178,230 $194,638
- ---------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 1,202 $ 2,026
- ---------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 6,059 978
In Lieu of Cash Distributions 1,403 1,656
Shares Redeemed (5,319) (747)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 2,143 1,887
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS+:
Shares Issued 90 13
In Lieu of Cash Distributions 36 51
Shares Redeemed (4) (9)
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 122 55
- ---------------------------------------------------------------------------------------------------------------------
ADVISER CLASS ++:
Shares Issued -- --
In Lieu of Cash Distributions -- --
Shares Redeemed -- --
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- --
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
+ The Balanced Portfolio began offering Investment Class shares on April 4,
1997.
++ The Balanced Portfolio began offering Adviser Class shares on November 1,
1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
149
<PAGE> 152
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
VALUE PORTFOLIO --------------------------------------------- March 31,
1993 1994 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.67 $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 20.37
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.30 0.31 0.30 0.34 0.17
Net Realized and Unrealized Gain (Loss) on
Investments 1.92 0.59 3.34 2.20 5.75 1.08
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.22 0.89 3.65 2.50 6.09 1.25
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.31) (0.29) (0.31) (0.32) (0.30) (0.19)
Realized Net Gain (1.82) (0.73) (1.08) (1.46) (1.03) (1.81)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.13) (1.02) (1.39) (1.78) (1.33) (2.00)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 19.62
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 19.67% 7.45% 32.58% 18.41% 41.25% 7.23%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $762,175 $981,337 $1,271,586 $1,844,740 $3,542,772 $3,632,965
Ratio of Expenses to Average Net Assets
(1) 0.59% 0.61% 0.60% 0.61% 0.62% 0.60%*
Ratio of Net Investment Income to Average
Net Assets 2.48% 2.40% 2.43% 2.07% 1.93% 1.74%*
Portfolio Turnover Rate 43% 54% 56% 53% 46% 17%
Average Commission Rate ### N/A N/A N/A $ 0.0572 $ 0.0577 $ 0.0551
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.59%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
---------------------------------------------- -----------------------------------------------
May 6, Year Six Months July 17, Year Six Months
1996** to Ended Ended 1996*** to Ended Ended
September 30, September 30, March 31, September 30, September 30, March 31,
1996 1997!! 1998 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 14.97 $ 15.60 $ 20.36 $ 14.11 $ 15.61 $ 20.35
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.12 0.31 0.16 0.01 0.30 0.18
Net Realized and
Unrealized Gain (Loss)
on Investments 0.59 5.75 1.07 1.49 5.74 1.04
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 0.71 6.06 1.23 1.50 6.04 1.22
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.18) -- (0.27) (0.17)
Realized Net Gain -- (1.03) (1.81) -- (1.03) (1.81)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) (1.99) -- (1.30) (1.98)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 15.60 $ 20.36 $ 19.60 $ 15.61 $ 20.35 $ 19.59
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% 7.13% 10.63% 40.87% 7.07%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 9,244 $29,847 $29,166 $15,493 $201,253 $430,180
Ratio of Expenses to
Average Net Assets (2) 0.76%* 0.80% 0.75%* 0.86%* 0.90% 0.85%*
Ratio of Net Investment
Income to Average Net
Assets 2.05%* 1.75% 1.60%* 1.66%* 1.63% 1.50%*
Portfolio Turnover Rate 53% 46% 17% 53% 46% 17%
Average Commission Rate
### $0.0572 $0.0577 $0.0551 $0.0572 $ 0.0577 $ 0.0551
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A N/A
Ratio Including Expense
Offsets 0.75%* 0.79% 0.74%* 0.85%* 0.89% 0.84%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! 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.
The accompanying notes are an integral part of the financial statements.
- ------------------------------------------------------------------------
150
c
<PAGE> 153
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period +
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
EQUITY PORTFOLIO ----------------------------------------------- March 31,
1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.04 $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 29.45
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.41 0.44 0.52 0.50 0.36 0.14
Net Realized and Unrealized Gain
(Loss) on Investments 1.95 0.41 4.55 3.26 8.22 2.19
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.36 0.85 5.07 3.76 8.58 2.33
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.41) (0.52) (0.50) (0.40) (0.17)
Realized Net Gain (1.15) (2.21) (1.17) (2.02) (4.40) (7.93)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.58) (2.62) (1.69) (2.52) (4.80) (8.10)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 23.68
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.05% 4.11% 26.15% 16.48% 38.46% 12.25%
- ---------------------------------------------------------------------------------------------------------------------------------
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 $1,205,413
Ratio of Expenses to Average Net
Assets (1) 0.59% 0.60% 0.61% 0.60% 0.60% 0.61%*
Ratio of Net Investment Income to
Average Net Assets 1.86% 2.10% 2.39% 1.95% 1.30% 1.07%*
Portfolio Turnover Rate 51% 41% 67% 67% 85% 33%
Average Commission Rate ### N/A N/A N/A $ 0.0557 $ 0.0294 $ 0.0570
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.60%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
--------------------------------------------- ---------------------
April 10, Six Months January 16,
1996** to Year Ended Ended 1998*** to
September 30, September 30, March 31, March 31,
1996 1997 1998 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31 $ 25.66 $ 29.42 $ 20.50
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.34 0.12 0.02
Net Realized and Unrealized Gain (Loss) on
Investments 1.24 8.17 2.19 3.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51 2.31 3.16
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35) (0.15) --
Realized Net Gain -- (4.40) (7.93) --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75) (8.08) --
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42 $ 23.65 $ 23.66
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12% 12.18% 15.42%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113 $ 2,354 $ 2,281 $ 110
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.80% 0.76%* 0.86%*
Ratio of Net Investment Income to Average Net Assets 1.83%* 1.12% 0.91%* 0.78%*
Portfolio Turnover Rate 67% 85% 33% 33%
Average Commission Rate ### $0.0557 $0.0294 $0.0570 $0.0570
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 1.28% N/A N/A
Ratio Including Expense Offsets 0.75%* 0.80% 0.75%* 0.85%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a
fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions
were charged.
The accompanying notes are an integral part of the financial statements.
- ------------------------------------------------------------------------
151
<PAGE> 154
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
SMALL CAP VALUE PORTFOLIO ----------------------------------------- March 31,
1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.84 $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 24.97
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.18 0.16 0.19 0.18 0.15 0.08
Net Realized and Unrealized Gain (Loss) on
Investments 4.64 1.14 2.49 3.62 8.39 0.77
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.82 1.30 2.68 3.80 8.54 0.85
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.24) (0.14) (0.20) (0.11) (0.14)
Realized Net Gain -- (0.94) (1.93) (2.24) (3.10) (3.29)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.18) (2.07) (2.44) (3.21) (3.43)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 22.39
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 37.72% 8.04% 18.39% 24.00% 49.81% 5.26%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $175,029 $308,156 $430,368 $585,457 $897,396 $944,555
Ratio of Expenses to Average Net Assets (1) 0.88% 0.88% 0.87% 0.86% 0.86% 0.86%*
Ratio of Net Investment Income to Average Net
Assets 1.33% 0.91% 1.20% 0.99% 0.70% 0.67%*
Portfolio Turnover Rate 93% 162% 119% 145% 107% 70%
Average Commission Rate ### N/A N/A N/A $ 0.0498 $ 0.0480 $ 0.0524
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.85%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a
fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions
were charged.
The accompanying notes are an integral part of the financial statements.
- ------------------------------------------------------------------------------
152
<PAGE> 155
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
INTERNATIONAL EQUITY PORTFOLIO ----------------------------------------------------- 1998
1993 1994 1995 1996 1997!!
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.03 $ 13.18 $ 14.52 $ 12.51 $ 13.24 $ 15.67
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.12 0.19 0.31 0.25 0.08
Net Realized and Unrealized Gain (Loss) on
Investments 2.14 1.63 (0.75) 0.77 2.71 0.85
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.35 1.75 (0.56) 1.08 2.96 0.93
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.16) -- (0.29) (0.26) (0.30)
Realized Net Gain -- (0.25) (1.35) (0.06) (0.27) (1.17)
In Excess of Realized Net Gain -- -- (0.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (0.41) (1.45) (0.35) (0.53) (1.47)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.18 $ 14.52 $ 12.51 $ 13.24 $ 15.67 $ 15.13
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.64% 13.33% (3.36%) 8.87% 23.16% 7.07%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $891,675 $1,132,867 $1,160,986 $635,706 $649,755 $ 585,313
Ratio of Expenses to Average Net Assets (1) 0.66% 0.64% 0.70% 0.69% 0.66% 0.67%*
Ratio of Net Investment Income to Average
Net Assets 1.23% 0.89% 1.90% 1.88% 1.81% 0.83%*
Portfolio Turnover Rate 43% 69% 112% 78% 62% 42%
Average Commission Rate ### N/A N/A N/A $ 0.0093 $ 0.0035 $ 0.0040
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.65%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
-----------------------------------------------------
April 10, Year Six Months
1996** to Ended Ended
September 30, September 30, March 31,
1996 1997!! 1998
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.02 $ 13.23 $ 15.63
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.23 0.09
Net Realized and Unrealized Gain (Loss) on Investments 0.12 2.69 0.83
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.92 0.92
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.25) (0.28)
Realized Net Gain -- (0.27) (1.17)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.52) (1.45)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.23 $ 15.63 $ 15.10
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.61% 22.85% 7.01%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 235 $ 631 $ 694
Ratio of Expenses to Average Net Assets (2) 0.81%* 0.89% 0.82%*
Ratio of Net Investment Income to Average Net Assets 1.81%* 1.60% 0.71%*
Portfolio Turnover Rate 78% 62% 42%
Average Commission Rate ### $0.0093 $0.0035 $0.0040
- -------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 6.83% N/A
Ratio Including Expense Offsets 0.77%* 0.86% 0.80%*
- -------------------------------------------------------------------------------------------------------------------------------
** Initial offering of Investment Class shares
- -----------------------------------------------------------------
* Annualized
! 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 paid for security transactions on which commissions
were charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
153
<PAGE> 156
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
MID CAP GROWTH PORTFOLIO ------------------------------------------------ 1998
1993 1994 1995 1996 1997
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.51 $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 21.84
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.02 0.03 0.01 (0.01) (0.01)
Net Realized and Unrealized Gain (Loss) on
Investments 4.80 (0.58) 4.21 4.70 4.75 3.86
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.81 (0.56) 4.24 4.71 4.74 3.85
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.01) (0.03) (0.03) -- --
Realized Net Gain (0.76) (1.70) (1.90) (2.75) (3.43) (3.43)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.76) (1.71) (1.93) (2.78) (3.43) (3.43)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 22.26
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 33.92% (3.28%) 30.56% 28.81% 28.05% 21.99%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $309,459 $302,995 $373,547 $403,281 $446,963 $ 521,737
Ratio of Expenses to Average Net Assets (1) 0.59% 0.60% 0.61% 0.60% 0.63% 0.63%*
Ratio of Net Investment Income to Average Net
Assets 0.07% 0.12% 0.21% 0.04% (0.07%) (0.14%)*
Portfolio Turnover Rate 69% 55% 129% 141% 134% 65%
Average Commission Rate ### N/A N/A N/A $ 0.0491 $ 0.0514 $ 0.0503
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.60%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
----------------------------
January 31,
1997**, to Six Months
September Ended
30, March 31,
1997 1998
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04 $ 21.81
- -----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) (0.01)
Net Realized and Unrealized Gain (Loss) on Investments 4.79 3.83
- -----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77 3.82
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Realized Gain -- (3.43)
- -----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (3.43)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81 $ 22.20
- -----------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99% 21.87%
- -----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200 $29,062
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.88%*
Ratio of Net Investment Income to Average Net Assets (0.41%)* (0.38%)*
Portfolio Turnover Rate 134% 65%
Average Commission Rate ### $0.0514 $0.0503
- -----------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%* 0.85%*
- -----------------------------------------------------------------------------------------------------
** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
### For fiscal years beginning on or after September 1, 1995, a
fund is required to disclose the average commission rate per
share it paid for security transactions on which commissions
were charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
154
<PAGE> 157
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------
Year Ended September
December 30, 30, Six Months
1994** to -------------------- Ended
September 30, 1997!! March 31,
MID CAP VALUE PORTFOLIO 1995 1998
1996
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $ 13.45 $ 14.49 $ 21.80
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55T 0.11 0.05 0.03
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 2.52 8.37 1.83
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42 1.86
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55) (0.10) (0.04)
Realized Net Gain -- (1.04) (1.01) (2.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59) (1.11) (2.23)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 14.49 $ 21.80 $ 21.43
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40% 10.09%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260 $372,006
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.90% 0.89%*
Ratio of Net Investment Income to Average Net
Assets 10.13%*T 1.61% 0.28% 0.34%*
Portfolio Turnover Rate 639%T 377% 184% 70%
Average Commission Rate ### N/A $0.0462 $ 0.0467 $ 0.0093
- ---------------------------------------------------------------------------------------------------------------------------------
(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% N/A
Ratio Including Expense Offsets 0.88%* 0.88% 0.88% 0.86%*
- ---------------------------------------------------------------------------------------------------------------------------------
** 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 Six Months
1996*** to Ended Ended
September 30, September 30, March 31,
1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77 $ 14.48 $ 21.75
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.03
Net Realized and Unrealized Gain (Loss) on Investments 0.67 8.36 1.80
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 8.37 1.83
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.09) (0.03)
Realized Net Gain -- (1.01) (2.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.10) (2.22)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48 $ 21.75 $ 21.36
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05% 9.96%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 127 $ 1,238 $17,319
Ratio of Expenses to Average Net Assets (2) 1.03%* 1.09% 1.04%*
Ratio of Net Investment Income to Average Net Assets 0.86%* 0.04% 0.22%*
Portfolio Turnover Rate 377% 184% 70%
Average Commission Rate ### $0.0462 $0.0467 $0.0093
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.14%* 4.60% N/A
Ratio Including Expense Offsets 1.03%* 1.07% 1.01%*
- ---------------------------------------------------------------------------------------------------------------------------------
*** Initial offering of Investment Class shares
- -----------------------------------------------------------------
* Annualized
!! 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.
- --------------------------------------------------------------------------------
155
<PAGE> 158
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------
Year Ended September
February 28, 30, Six Months
1995** to ------------------- Ended
September 30, 1997 March 31,
EMERGING MARKETS VALUE PORTFOLIO 1995 1998
1996
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.63 $ 11.52 $ 12.41
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.19 0.16 0.08
Net Realized and Unrealized Gain (Loss) on
Investments 1.53 0.45 1.73 (1.74)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.64 1.89 (1.66)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.17) (0.20) (0.06)
Realized Net Gain -- (0.58) (0.80) (1.13)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.75) (1.00) (1.19)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.63 $ 11.52 $ 12.41 $ 9.56
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.30% 6.21% 18.08% (12.97)%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $42,459 $32,984 $22,808 $13,694
Ratio of Expenses to Average Net Assets (1) 1.18%* 1.18% 1.18% 1.18%*
Ratio of Net Investment Income to Average Net
Assets 2.04%* 1.62% 1.30% 1.29%*
Portfolio Turnover Rate 63% 108% 64% 59%
Average Commission Rate ### N/A $0.0014 $0.0019 $0.0008
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.58%*
Ratio Including Expense Offsets 1.18%* 1.18% N/A 1.18%*
- ---------------------------------------------------------------------------------------------------------------------------------
* 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.
- --------------------------------------------------------------------------------
156
<PAGE> 159
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
FIXED INCOME PORTFOLIO -------------------------------------------------------- March 31,
1993 1994 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.67 $ 12.86 $ 10.93 $ 11.82 $ 11.83 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.88 0.77 0.80 0.78 0.80 0.37
Net Realized and Unrealized Gain (Loss)
on Investments 0.75 (1.28) 0.69 0.08 0.50 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 (0.51) 1.49 0.86 1.30 0.46
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.83) (0.82) (0.60) (0.79) (0.78) (0.39)
Realized Net Gain (0.61) (0.47) -- (0.06) (0.13) (0.17)
In Excess of Realized Net Gain -- (0.13) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.44) (1.42) (0.60) (0.85) (0.91) (0.56)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.86 $ 10.93 $ 11.82 $ 11.83 $ 12.22 $ 12.12
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.26% (4.43%) 14.19% 7.63% 11.47% 3.87%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $909,738 $1,194,957 $1,487,409 $1,790,146 $3,219,987 $4,084,124
Ratio of Expenses to Average Net Assets
(1) 0.47% 0.49% 0.49% 0.48% 0.49% 0.48%*
Ratio of Net Investment Income to
Average Net Assets 7.06% 6.79% 7.28% 6.77% 6.73% 6.67%*
Portfolio Turnover Rate 144% 100% 140% 162% 179% 56%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.47%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
-------------------------------------------------------------------
October 15, Six Months November 7, Six Months
1996** to Ended 1996*** to Ended
September 30, March 31, September 30, March 31,
1997!! 1998 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.22 $ 12.04 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.75 0.31 0.70 0.40
Net Realized and Unrealized Gain (Loss) on
Investments 0.40 0.15 0.20 0.04
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 0.46 0.90 0.44
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.38) (0.59) (0.37)
Realized Net Gain (0.13) (0.17) (0.13) (0.17)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.55) (0.72) (0.54)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.13 $ 12.22 $ 12.12
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 3.87% 7.79% 3.70%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,527 $29,007 $76,683 $108,112
Ratio of Expenses to Average Net Assets (2) 0.66%* 0.63%* 0.77%* 0.73%*
Ratio of Net Investment Income to Average Net Assets 6.57%* 6.53%* 6.50%* 6.41%*
Portfolio Turnover Rate 179% 56% 179% 56%
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.12%* N/A 0.01%* N/A
Ratio Including Expense Offsets 0.65%* 0.62%* 0.76%* 0.72%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
!! Per share amounts for the year ended September 30, 1997 are
based on average shares outstanding.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
157
<PAGE> 160
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
DOMESTIC FIXED INCOME PORTFOLIO -------------------------------------------- March 31,
1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 11.27
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.84 0.94 0.52 0.56 0.74 0.39
Net Realized and Unrealized Gain (Loss) on
Investments 0.66 (1.23) 0.87 (0.09) 0.33 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.50 (0.29) 1.39 0.47 1.07 0.46
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.78) (0.95) (0.23) (0.57) (0.67) (0.42)
Realized Net Gain (0.53) (0.73) -- -- (0.02) (0.13)
In Excess of Realized Net Gain -- (0.15) -- (0.04) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.31) (1.83) (0.23) (0.61) (0.69) (0.55)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.18
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.08% (2.87%) 14.33% 4.41% 10.20% 4.20%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $90,350 $36,521 $36,147 $95,362 $96,954 $83,376
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.51% 0.52% 0.51% 0.50%*
Ratio of Net Investment Income to Average Net Assets 7.15% 7.65% 6.80% 5.73% 6.48% 6.65%*
Portfolio Turnover Rate 96% 78% 313% 168% 217% 62%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.01%*
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
158
<PAGE> 161
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
HIGH YIELD PORTFOLIO ------------------------------------------------- March 31,
1993 1994 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.58 $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 10.15
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.73 0.75 0.90 0.88 0.86 0.41
Net Realized and Unrealized Gain (Loss) on
Investments 0.90 (0.42) 0.19 0.28 0.87 0.12
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.33 1.09 1.16 1.73 0.53
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.72) (0.69) (0.85) (0.92) (0.87) (0.42)
Realized Net Gain -- (0.16) (0.08) -- (0.03) (0.26)
In Excess of Realized Net Gain -- -- (0.05) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.72) (0.85) (0.98) (0.92) (0.90) (0.68)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 10.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 20.12% 3.57% 13.58% 13.83% 19.90% 5.54%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $50,396 $182,969 $220,785 $289,810 $523,899 $618,538
Ratio of Expenses to Average Net Assets (1) 0.53% 0.50% 0.50% 0.49% 0.51% 0.48%*
Ratio of Net Investment Income to Average Net
Assets 8.94% 9.01% 10.68% 10.04% 9.05% 8.50%*
Portfolio Turnover Rate 99% 112% 96% 115% 96% 38%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets N/A N/A 0.49% 0.48% 0.50% 0.48%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
---------------------------------------------------------------------------
May 21, Six Months January 31, Six Months
1996** to Year Ended Ended 1997*** to Ended
September 30, September 30, March 31, September 30, March 31,
1996 1997!! 1998 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.06 $ 9.31 $ 10.16 $ 9.39 $ 10.15
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.84 0.44 0.56 0.42
Net Realized and Unrealized Gain (Loss) on
Investments 0.16 0.88 0.08 0.59 0.10
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.72 0.52 1.15 0.52
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.41) (0.39) (0.41)
Realized Net Gain -- (0.03) (0.26) -- (0.26)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (0.67) (0.39) (0.67)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 10.16 $ 10.01 $ 10.15 $ 10.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% 5.43% 12.63% 5.43%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 5,139 $10,916 $12,915 $ 4,327 $11,322
Ratio of Expenses to Average Net Assets (2) 0.62%* 0.70% 0.63%* 0.78%* 0.73%*
Ratio of Net Investment Income to Average Net
Assets 11.06%* 8.84% 8.35%* 8.68%* 8.31%*
Portfolio Turnover Rate 115% 96% 38% 96% 38%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A N/A
Ratio Including Expense Offsets 0.61%* 0.69% 0.63%* 0.76%* 0.73%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
Per share amounts for the year ended September 30, 1997 are
!! based on average shares outstanding.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
159
<PAGE> 162
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
Institutional Class
----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
-------------------------------------------- March 31,
1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.028 0.034 0.055 0.052 0.052 0.027
Net Realized and Unrealized Gain (Loss) on
Investments -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.028 0.034 0.055 0.052 0.052 0.027
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.028) (0.034) (0.055) (0.052) (0.052) (0.027)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.81% 3.40% 5.57% 5.35% 5.32% 2.70%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $10,717 $37,933 $44,624 $78,497 $98,464 $109,936
Ratio of Expenses to Average Net Assets (1) 0.32% 0.32% 0.33% 0.33% 0.33% 0.32%*
Ratio of Net Investment Income to Average Net Assets 2.78% 3.70% 5.45% 5.19% 5.20% 5.34%*
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.05%*
Ratio Including Expense Offsets N/A N/A 0.32% 0.32% 0.32% 0.32%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO II
Institutional Class
--------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------ March 31,
1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.67 $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.46
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.63 0.71 0.70 0.74 0.34
Net Realized and Unrealized Gain (Loss) on
Investments 0.77 (1.16) 0.71 (0.03) 0.39 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 (0.53) 1.42 0.67 1.13 0.43
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.61) (0.67) (0.51) (0.66) (0.79) (0.35)
Realized Net Gain (0.55) (0.21) -- (0.08) (0.11) (0.12)
In Excess of Realized Net Gain -- (0.14) -- (0.03) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.16) (1.02) (0.51) (0.77) (0.90) (0.47)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.42
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.53% (4.76%) 14.13% 6.12% 10.58% 3.85%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $94,836 $129,902 $176,945 $191,740 $226,662 $276,615
Ratio of Expenses to Average Net Assets (1) 0.51% 0.51% 0.51% 0.50% 0.50% 0.49%*
Ratio of Net Investment Income to Average Net
Assets 6.17% 6.07% 6.75% 6.06% 6.54% 6.46%*
Portfolio Turnover Rate 101% 137% 153% 165% 182% 45%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.48%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
160
<PAGE> 163
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------ March 31,
MORTGAGE-BACKED SECURITIES PORTFOLIO 1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.44 $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.76
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.63 0.52 0.72 0.68 0.91 0.37
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 0.37
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.45) (0.65) (0.68) (0.73) (0.51)
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) (0.51)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.76 $ 10.62
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.03% (2.95%) 12.52% 6.10% 10.70% 3.56%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $50,249 $119,518 $49,766 $50,925 $38,085 $39,994
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%*
Ratio of Net Investment Income to Average Net Assets 6.92% 5.30% 6.35% 6.46% 7.79% 7.05%*
Portfolio Turnover Rate 93% 220% 107% 116% 164% 49%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.05%*
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
--------------------------------------------- March 31,
LIMITED DURATION PORTFOLIO 1993 1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.58 $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.49
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.32 0.56 0.56 0.58 0.62 0.30
Net Realized and Unrealized Gain (Loss) on
Investments 0.22 (0.52) 0.22 (0.03) 0.08 (0.01)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.54 0.04 0.78 0.55 0.70 0.29
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.32) (0.51) (0.55) (0.58) (0.59) (0.30)
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) (0.30)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.48
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.33% 0.40% 7.95% 5.47% 6.98% 2.83%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $128,991 $62,775 $100,186 $123,227 $155,570 $223,599
Ratio of Expenses to Average Net Assets (1) 0.42% 0.41% 0.43% 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% 5.96%*
Portfolio Turnover Rate 217% 192% 119% 174% 130% 37%
- ---------------------------------------------------------------------------------------------------------------------------------
(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%# N/A
Ratio Including Expense Offsets N/A N/A 0.42% 0.42% 0.42% 0.42%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
! Reflects a 2.5 for 1 share split effective August 13, 1993.
# Amount is less than 0.01%.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
161
<PAGE> 164
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the period ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------- March 31,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO 1993 1994 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.72 $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.58
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.88 0.80 0.91 0.83 0.85 0.42
Net Realized and Unrealized Gain (Loss) on
Investments 0.92 (1.28) 0.75 0.08 0.52 0.04
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.80 (0.48) 1.66 0.91 1.37 0.46
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.82) (0.78) (0.65) (0.88) (0.87) (0.45)
Realized Net Gain (0.30) (0.53) -- (0.30) (0.18) (0.27)
In Excess of Realized Net Gain -- (0.09) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.12) (1.40) (0.65) (1.18) (1.05) (0.72)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.32
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.19% (4.00%) 14.97% 7.74% 11.78% 3.78%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $300,185 $384,731 $390,258 $447,646 $492,784 $553,700
Ratio of Expenses to Average Net Assets (1) 0.48% 0.50% 0.49% 0.49% 0.49% 0.48%*
Ratio of Net Investment Income to Average Net
Assets 6.84% 6.66% 7.33% 6.75% 6.88% 6.99%*
Portfolio Turnover Rate 124% 100% 143% 151% 198% 49%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.47%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------------------------------
April 10, Year Period
1996** to Ended Ended
September 30, September 30, January 30,
1996 1997!! 1998!!!
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.89 $ 12.24 $ 12.56
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.27 0.82 0.29
Net Realized and Unrealized Gain (Loss) on Investments 0.23 0.53 0.13
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.50 1.35 0.42
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.15) (0.85) (0.45)
Realized Net Gain -- (0.18) (0.27)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.15) (1.03) (0.72)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.24 $ 12.56 $ 12.26
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.25% 11.62% 3.46%
- ------------------------------------------------------------------------------------------------------------------------------
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% 0.63%*
Ratio of Net Investment Income to Average Net Assets 6.32%* 6.72% 6.95%*
Portfolio Turnover Rate 151% 198% N/A
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 2.43% N/A
Ratio Including Expense Offsets 0.63%* 0.66% 0.62%*
- ------------------------------------------------------------------------------------------------------------------------------
** Initial Offering of Investment Class Shares
- -----------------------------------------------------------------
</TABLE>
* Annualized
! 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.
!!! As of January 30, 1998, there were no outstanding Investment
Class shares for the Special Purpose Fixed Income Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
162
<PAGE> 165
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period !
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------------
October 1, Year Ended September 30, Six Months
1992** to ----------------------------- Ended
September 30, 1994 1995 1996 1997 March 31,
MUNICIPAL PORTFOLIO 1993 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.64
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.37 0.51 0.59 0.51 0.53 0.26
Net Realized and Unrealized Gain (Loss) on
Investments 1.04 (1.01) 0.71 0.49 0.40 0.15
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.41 (0.50) 1.30 1.00 0.93 0.41
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.26) (0.54) (0.59) (0.52) (0.52) (0.27)
In Excess of Net Investment Income -- (0.07) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.26) (0.61) (0.59) (0.52) (0.52) (0.27)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.78
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.20% (4.64%) 13.37% 9.46% 8.47% 3.55%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $26,914 $38,549 $36,040 $54,536 $75,120 $90,032
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51% 0.51% 0.51%*
Ratio of Net Investment Income to Average Net
Assets 4.65%* 4.98% 5.64% 4.66% 4.70% 4.65%*
Portfolio Turnover Rate 66% 34% 58% 78% 54% 13%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.03%*
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations
! Reflects a 2.5 for 1 share split effective August 13, 1993.
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------------
October 1, Year Ended September 30, Six Months
1992** to -------------------------------- Ended
September 30, 1994 1995 1996 1997 March 31,
PA MUNICIPAL PORTFOLIO 1993 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.26 $ 10.13 $ 10.91 $ 11.37 $ 11.71
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.56 0.58 0.51 0.55 0.28
Net Realized and Unrealized Gain (Loss) on
Investments 1.17 (1.00) 0.77 0.46 0.34 0.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.56 (0.44) 1.35 0.97 0.89 0.42
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.30) (0.64) (0.57) (0.51) (0.55) (0.28)
In Excess of Realized Net Gain -- (0.05) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.30) (0.69) (0.57) (0.51) (0.55) (0.28)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.37 $ 11.71 $ 11.85
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.81% (4.08%) 13.74% 9.03% 8.01% 3.62%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $15,633 $23,515 $15,734 $28,488 $27,461 $28,035
Ratio of Expenses to Average Net Assets (1) 0.50%* 0.50% 0.50% 0.51% 0.51% 0.50%*
Ratio of Net Investment Income to Average Net
Assets 4.74%* 5.39% 5.56% 4.58% 4.74% 4.77%*
Portfolio Turnover Rate 94% 69% 57% 51% 64% 6%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.11%*
Ratio Including Expense Offsets N/A N/A N/A 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations
! Reflects a 2.5 for 1 share split effective August 13, 1993.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
163
<PAGE> 166
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME PORTFOLIO
Institutional Class
----------------------------------------------------------------------------------
April 30, Year Ended September 30, Six Months
1993** to ------------------------------------------- Ended
September 30, 1994 1995 1996 1997!! March 31,
1993 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.64
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.58 0.71 0.63 0.60 0.31
Net Realized and Unrealized Gain
(Loss) on Investments 0.61 (0.61) 0.81 0.09 (0.22) (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.74 (0.03) 1.52 0.72 0.38 0.12
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.07) (0.41) (0.67) (0.71) (0.59) (0.37)
Realized Net Gain -- (0.03) -- (0.05) (0.16) (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.07) (0.44) (0.67) (0.76) (0.75) (0.52)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 10.24
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.43% (0.29%) 15.54% 6.83% 3.53% 1.16%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $53,164 $43,066 $55,147 $67,282 $77,493 $67,850
Ratio of Expenses to Average Net
Assets (1) 0.58%* 0.57% 0.58% 0.60% 0.57% 0.57%*
Ratio of Net Investment Income to
Average Net Assets 5.08%* 5.48% 6.34% 5.25% 5.65% 5.62%*
Portfolio Turnover Rate 30% 117% 118% 133% 137% 34%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets N/A N/A 0.56% 0.58% 0.57% 0.57%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations
!! Per Share amounts for the year ended September 30, 1997 are
based on average shares outstanding.
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME PORTFOLIO
Institutional Class
-------------------------------------------------------------------------
April 29, Year Ended September 30, Six Months
1994** to ---------------------------------- Ended
September 30, 1995 1996 1997 March 31,
1994 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.05 $ 11.01 $ 10.77 $ 10.19
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.67 0.52 0.50 0.22
Net Realized and Unrealized Gain (Loss) on
Investments (0.11) 0.92 0.12 (0.44) (0.28)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.64 0.06 (0.06)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.05) (0.63) (0.80) (0.38) (0.36)
Realized Net Gain -- -- (0.08) (0.26) (0.09)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.05) (0.63) (0.88) (0.64) (0.45)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.05 $ 11.01 $ 10.77 $ 10.19 $ 9.68
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13% 0.44% (0.60%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137 $152,752 $143,775
Ratio of Expenses to Average Net Assets (1) 0.60%* 0.54% 0.53% 0.53% 0.53%*
Ratio of Net Investment Income to Average
Net Assets 5.83%* 6.35% 5.39% 5.27% 4.64%*
Portfolio Turnover Rate 31% 140% 124% 107% 25%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets N/A 0.54% 0.53% 0.53% 0.53%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Commencement of Operations
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
164
<PAGE> 167
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the period ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------
October 3, Six Months
1994** to Year Ended September 30, Ended
September 30, ------------------------ March 31,
INTERMEDIATE DURATION PORTFOLIO 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.68 $ 10.28 $ 10.48
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.60 0.61 0.27
Net Realized and Unrealized Gain (Loss) on
Investments 0.42 0.03 0.27 0.10
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88 0.37
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53) (0.29)
Realized Net Gain -- (0.38) (0.15) (0.10)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.68) (0.39)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48 $ 10.46
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93% 3.62%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119 $117,826
Ratio of Expenses to Average Net Assets (1) 0.52%* 0.56% 0.55% 0.52%*
Ratio of Net Investment Income to Average Net
Assets 6.56%* 6.17% 5.93% 5.98%*
Portfolio Turnover Rate 168% 251% 204% 63%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% N/A
Ratio Including Expense Offsets 0.52%* 0.52% 0.52% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
* 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
-------------------
October 1,
1997** to
March 31,
MULTI-MARKET FIXED INCOME PORTFOLIO 1998
- -------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
- -------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.28
Net Realized and Unrealized Gain (Loss) on Investments 0.03
- -------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.31
- -------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13)
Realized Net Gain (0.01)
- -------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.14)
- -------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.17
- -------------------------------------------------------------------------------------
TOTAL RETURN 3.14%
- -------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $56,031
Ratio of Expenses to Average Net Assets (1) 0.58%*
Ratio of Net Investment Income to Average Net Assets 6.36%*
Portfolio Turnover Rate 71%
- -------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%*
Ratio Including Expense Offsets 0.58%*
- -------------------------------------------------------------------------------------
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
165
<PAGE> 168
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period!
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION>
BALANCED PORTFOLIO Institutional Class
-----------------------------------------------------------------------
December 31,
1992** to Year Ended September 30, Six Months
September ----------------------------------- Ended
30, 1994 1995 1996 1997 March 31,
1993 1998!!
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.06 $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 15.30
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.25 0.47 0.54 0.53 0.51 0.24
Net Realized and Unrealized Gain (Loss) on
Investments 0.66 (0.45) 1.78 1.15 2.91 0.88
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.91 0.02 2.32 1.68 3.42 1.12
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.13) (0.43) (0.47) (0.50) (0.54) (0.27)
Realized Net Gain -- (0.15) (0.07) (0.43) (1.39) (1.72)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.13) (0.58) (0.54) (0.93) (1.93) (1.99)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 14.43
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.31% 0.19% 21.37% 13.47% 27.44% 8.61%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $291,762 $309,596 $334,630 $300,868 $343,284 $364,664
Ratio of Expenses to Average Net Assets(1) 0.58%* 0.58% 0.58% 0.57% 0.58% 0.58%*
Ratio of Net Investment Income to Average
Net Assets 3.99%* 4.06% 4.55% 3.85% 3.56% 3.35%*
Portfolio Turnover Rate 62% 75% 95% 110% 145% 46%
Average Commission Rate### N/A N/A N/A $0.0521 $0.0578 $0.0614
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.56%*
- ---------------------------------------------------------------------------------------------------------------------------------
** Commencement of Operations
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
------------------------- ---------------------------------
April 4, November 1,
1997*** to Six Months 1996**** to Six Months
September Ended September Ended
30, March 31, 30, March 31,
1997 1998!! 1997 1998!!
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.11 $ 15.30 $ 14.05 $ 15.30
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.23 0.42 0.22
Net Realized and Unrealized Gain (Loss) on Investments 2.09 0.87 2.60 0.88
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.39 1.10 3.02 1.10
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.26) (0.38) (0.26)
Realized Net Gain -- (1.72) (1.39) (1.72)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (1.98) (1.77) (1.98)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.30 $ 14.42 $ 15.30 $ 14.42
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 8.45% 23.82% 8.46%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,943 $880 $27,366 $31,648
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.73%* 0.85%* 0.83%*
Ratio of Net Investment Income to Average Net Assets 3.32%* 3.24%* 3.24%* 3.11%*
Portfolio Turnover Rate 145% 46% 145% 46%
Average Commission Rate ### $0.0578 $0.0614 $0.0578 $0.0614
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A N/A 0.03%* N/A
Ratio Including Expense Offsets 0.70%* 0.72%* 0.84%* 0.81%*
- ---------------------------------------------------------------------------------------------------------------------------------
*** Initial offering of Investment Class shares
**** Initial offering of Adviser Class shares
- ---------------------------------------------------------------------------------------------------------------------------------
* Annualized
! Reflects a 2.5 for 1 split effective August 13, 1993.
!! Per share amounts for the period ended March 31, 1998 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.
- --------------------------------------------------------------------------------
166
<PAGE> 169
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1998 are unaudited)
<TABLE>
<CAPTION> INSTITUTIONAL CLASS
MULTI-ASSET-CLASS PORTFOLIO ---------------------------------------------------------------------
July 29, Six Months
1994** to Year Ended September 30, Ended
September 30, ------------------------------- March 31,
1994 1995 1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.97 $ 11.34 $ 12.28 $ 13.64
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.44 0.46 0.38 0.16
Net Realized and Unrealized Gain (Loss) on
Investments (0.10) 1.33 1.05 2.57 0.78
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51 2.95 0.94
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42) (0.51) (0.12)
Realized Net Gain -- -- (0.15) (1.08) (1.49)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57) (1.59) (1.61)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 12.97
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75% 26.50% 8.13%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $129,558 $173,155 $189,093
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.58% 0.74% 0.78%*
Ratio of Net Investment Income to Average Net
Assets 4.39%* 4.56% 3.82% 3.07% 2.69%*
Portfolio Turnover Rate 20% 112% 122% 141% 44%
Average Commission Rate ### N/A N/A $ 0.0225 $ 0.0114 $ 0.0092
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.05%*
Ratio Including Expense Offsets N/A 0.58% 0.58% 0.74% 0.78%*
- ---------------------------------------------------------------------------------------------------------------------------------
** Commencement of Operations
</TABLE>
<TABLE>
<CAPTION>
Investment Class
---------------------------------------------------------
June 10, Six Months
1996*** to Year Ended Ended
September 30, September 30, March 31,
1996 1997!! 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.17 $ 12.27 $ 13.63
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.36 0.17
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57 0.76
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93 0.93
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49) (0.10)
Realized Net Gain -- (1.08) (1.49)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57) (1.59)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.27 $ 13.63 $ 12.97
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32% 8.04%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,074 $ 5,075 $ 5,545
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.96% 0.93%*
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.85% 2.54%*
Portfolio Turnover Rate 122% 141% 44%
Average Commission Rate ### $0.0225 $0.0114 $0.0092
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.55% 0.05%*
Ratio Including Expense Offsets 0.73%* 0.96% 0.93%*
- ---------------------------------------------------------------------------------------------------------------------------------
*** 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.
- --------------------------------------------------------------------------------
167
<PAGE> 170
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At March 31, 1998, the Fund was comprised of
twenty-five active portfolios (each referred to as a "Portfolio"). The
Multi-Market Fixed Income Portfolio commenced operations on October 1, 1997.
The Funds may offer up to three different classes of shares for certain
Portfolios -- Institutional Class shares, Investment Class shares and Adviser
Class shares.
The Equity Portfolio began offering Adviser Class shares on January 16, 1998.
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 invests in
one or more repurchase agreement. This joint repurchase agreement is
covered by the same collateral requirements as discussed above.
- --------------------------------------------------------------------------------
168
<PAGE> 171
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 and Mid Cap
Growth Portfolios, 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 notional principal
amount to the extent that
- --------------------------------------------------------------------------------
169
<PAGE> 172
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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. Risk 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 of the option, upon payment of a premium,
the right to sell, and the writer the obligation to buy, the instrument at
the exercise price. A Portfolio may purchase a put option to protect its
holdings in the underlying instrument, or a similar instrument, against a
substantial decline in the market value of such instrument by giving the
Portfolio the right to sell the instrument at the option exercise price.
Possible losses from purchased options cannot exceed the total amount
invested.
- --------------------------------------------------------------------------------
170
<PAGE> 173
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
10. FOREIGN EXCHANGE AND FORWARD CURRENCY CONTRACTS: The books and records of
the Fund are maintained in U.S. dollars. Foreign currency amounts are
translated into U.S. dollars at the bid prices of such currencies against
U.S. dollars quoted by a bank. Net realized gains (losses) on foreign
currency transactions represent net foreign exchange gains (losses) from
forward foreign currency contracts, disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of
investment income and foreign withholding taxes recorded on the Portfolio's
books and the U.S. dollar equivalent 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 Mid Cap Growth, 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.
At March 31, 1998, 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.
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 Value Portfolios which are declared and paid annually, and Cash
Reserves Portfolio which are declared daily and paid monthly. Net realized
capital gains are distributed at least annually. The amount and character
of income and gains to be distributed are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing book and tax
treatments in the timing of the recognition of gains or
- --------------------------------------------------------------------------------
171
<PAGE> 174
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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.
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.
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 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.
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
& 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 six months ended
March 31, 1998 the investment advisory fees of each of the Portfolios were:
<TABLE>
<CAPTION>
Annual Voluntary Expense Limitations
Investment ------------------------------------
Advisory Institutional Investment Adviser
Portfolio Fee Class Class Class
--------- ---------- ------------- ---------- -------
<S> <C> <C> <C> <C>
Value 0.500% --% --% --%
Equity 0.500 -- -- --
Small Cap Value 0.750 -- -- --
International Equity 0.500 -- -- --
Mid Cap Growth 0.500 -- -- --
Mid Cap Value 0.750 -- -- --
Emerging Markets Value 0.750 1.18 -- --
Fixed Income 0.375 -- -- --
Domestic Fixed Income 0.375 0.50 -- --
High Yield 0.375 -- -- --
Cash Reserves 0.250 0.32 -- --
Fixed Income II 0.375 -- -- --
Mortgage-Backed
Securities 0.375 0.50 -- --
Limited Duration 0.300 -- -- --
Special Purpose Fixed
Income 0.375 -- -- --
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 -- -- --
Multi-Market Fixed
Income 0.450 0.58 -- --
Balanced 0.450 -- -- --
Multi-Asset-Class 0.650 0.78 -- --
</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.
D. DISTRIBUTOR. MAS Funds Distribution, Inc. ("MASDI" or the "Distributor"), a
wholly owned subsidiary of Morgan Stanley Asset Management
- --------------------------------------------------------------------------------
172
<PAGE> 175
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 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 & Co.
For the six months ended March 31, 1998, the following Portfolios incurred
custody fees and had amounts payable to MSTC at March 31, 1998:
<TABLE>
<CAPTION>
MSTC Custody
Custody Fees Fees Payable
Incurred to MSTC
(000) (000)
------------ ---------------
<S> <C> <C>
International Equity $133 $--
Emerging Markets Value 54 6
Global Fixed Income 12 5
International Fixed Income 25 10
Multi-Asset-Class 15 5
</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 six months ended March 31, 1998
by the Portfolios were $104,000.
Expenses for the six months ended March 31, 1998 include legal fees paid to
Morgan, Lewis & Bockius LLP. A partner of that firm is secretary of the Fund.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the six months ended March 31, 1998,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
----------------------
Portfolio Purchases Sales
--------- ---------- ----------
<S> <C> <C>
Value $ 951,711 $ 572,098
Equity 387,576 551,391
Small Cap Value 582,694 584,974
International Equity 234,097 358,754
Mid Cap Growth 296,024 293,744
Mid Cap Value 284,829 179,328
Emerging Markets Value 9,863 14,430
Fixed Income 3,295,929 2,110,815
Domestic Fixed Income 51,661 64,043
High Yield 308,384 209,204
Cash Reserves -- --
Fixed Income II 166,923 109,172
Mortgage-Backed Securities 31,544 18,979
Limited Duration 135,633 68,938
Special Purpose Fixed Income 324,098 251,625
Municipal 28,409 10,847
PA Municipal 2,102 1,667
Global Fixed Income 21,694 21,452
International Fixed Income 28,225 27,357
Intermediate Duration 119,579 59,103
Multi-Market Fixed Income 85,064 30,067
Balanced 171,825 168,277
Multi-Asset-Class 83,228 75,713
</TABLE>
- --------------------------------------------------------------------------------
173
<PAGE> 176
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At March
31, 1998, 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 $3,461,662 $944,345 $(43,473) $900,872
Equity 1,008,638 325,789 (12,110) 313,679
Small Cap Value 777,235 191,735 (22,609) 169,126
International Equity 546,015 123,057 (16,661) 106,396
Mid Cap Growth 515,520 174,459 (3,148) 171,311
Mid Cap Value 324,797 57,757 (3,203) 54,554
Emerging Markets
Value 13,320 2,055 (1,734) 321
Fixed Income 4,768,450 72,142 (37,444) 34,698
Domestic Fixed Income 90,137 1,784 (641) 1,143
High Yield 607,398 30,602 (7,339) 23,263
Cash Reserves 109,796 -- -- --
Fixed Income II 317,392 4,769 (2,435) 2,334
Mortgage-Backed
Securities 50,825 646 (397) 249
Limited Duration 222,534 956 (945) 11
Special Purpose Fixed
Income 597,436 13,140 (5,920) 7,220
Municipal 89,727 6,126 (46) 6,080
PA Municipal 26,104 2,358 (8) 2,350
Global Fixed Income 68,922 919 (2,620) (1,701)
International Fixed
Income 147,879 1,889 (6,837) (4,948)
Intermediate Duration 134,425 1,049 (575) 474
Multi-Market Fixed
Income 55,280 564 (844) (280)
Balanced 385,676 62,628 (3,889) 58,739
Multi-Asset-Class 178,359 27,224 (2,770) 24,454
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at March 31, 1998, each Portfolio is obligated to
deliver or receive currency in exchange for U.S. dollars as indicated in the
following table:
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
--------- -------- --------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
Purchases
US$ 259 AUD 390 4/1/98 US$ 258 US$ (1)
------------
EMERGING MARKETS VALUE
Sales
INR 627,356 US$ 74 4/1/98 US$ 73 US$ 1
------------
FIXED INCOME
Sales
DEM 102,650 US$ 57,560 4/29/98 US$ 55,616 US$ 1,944
DEM 8,230 4,465 4/29/98 4,459 6
------------
US$ 1,950
------------
</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>
HIGH YIELD
Sales
DEM 4,935 US$ 2,722 4/20/98 US$ 2,672 US$ 50
DEM 815 447 4/20/98 441 6
DEM 9,675 5,351 5/29/98 5,250 101
DEM 8,000 4,422 6/18/98 4,346 76
DEM 8,400 4,609 6/23/98 4,565 44
------------
US$ 277
------------
FIXED INCOME II
Purchases
US$ 465 DEM 857 4/6/98 US$ 464 US$ (1)
------------
Sales
DEM 855 US$ 464 4/29/98 US$ 463 US$ 1
DEM 6,805 3,816 4/29/98 3,687 129
------------
US$ 130
------------
NET US$ 129
------------
SPECIAL PURPOSE FIXED INCOME
Sales
DEM 13,695 US$ 7,679 4/29/98 US$ 7,420 US$ 259
------------
GLOBAL FIXED INCOME
Purchases
US$ 2,865 CHF 4,285 4/1/98 US$ 2,813 US$ (52)
485 AUD 715 4/3/98 473 (12)
614 ITL 1,105,000 4/20/98 607 (7)
1,269 DEM 2,300 4/23/98 1,246 (23)
5,442 DEM 9,840 4/23/98 5,329 (113)
369 ESP 56,750 4/23/98 362 (7)
1,685 DEM 3,055 4/24/98 1,655 (30)
1,486 CAD 2,155 4/30/98 1,520 34
1,125 GBP 690 5/5/98 1,154 29
1,028 IEP 750 5/6/98 1,018 (10)
3,464 JPY 423,000 5/6/98 3,189 (275)
1,055 DEM 1,925 5/18/98 1,044 (11)
1,009 CAD 1,450 5/19/98 1,024 15
2,366 ESP 365,000 5/19/98 2,330 (36)
3,298 JPY 412,250 5/19/98 3,114 (184)
------------
US$ (682)
------------
Sales
CHF 4,285 US$ 3,005 4/1/98 US$ 2,813 US$ 192
DEM 13 7 4/1/98 7 --
AUD 715 485 4/3/98 473 12
DEM 635 344 4/23/98 343 1
DEM 4,660 2,585 4/30/98 2,525 60
IEP 750 1,047 5/6/98 1,018 29
JPY 130,000 1,067 5/11/98 981 86
SEK 12,740 1,571 5/13/98 1,597 (26)
DEM 6,435 3,562 5/18/98 3,490 72
GBP 605 983 5/19/98 1,011 (28)
SEK 3,765 466 5/20/98 472 (6)
CAD 1,070 754 6/2/98 756 (2)
DKK 2,695 392 6/2/98 384 8
FRF 3,130 513 6/10/98 507 6
IEP 260 358 6/18/98 353 5
AUD 2,120 1,424 6/19/98 1,404 20
ITL 810,000 449 6/23/98 445 4
CHF 4,285 2,895 6/30/98 2,842 53
------------
US$ 486
------------
NET US$ (196)
------------
INTERNATIONAL FIXED INCOME
Purchases
US$ 6,909 CHF 10,335 4/1/98 US$ 6,784 US$ (125)
112 AUD 165 4/3/98 109 (3)
3,165 ITL 5,680,000 4/20/98 3,118 (47)
9,030 DEM 16,365 4/23/98 8,863 (167)
13,906 DEM 25,125 4/23/98 13,608 (298)
2,472 CAD 3,585 4/30/98 2,530 58
2,199 JPY 285,000 4/30/98 2,147 (52)
2,641 GBP 1,620 5/5/98 2,709 68
</TABLE>
- --------------------------------------------------------------------------------
174
<PAGE> 177
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>
US$ 2,413 IEP 1,760 5/6/98 US$ 2,390 US$ (23)
410 DEM 750 5/18/98 407 (3)
4,952 CAD 7,120 5/19/98 5,027 75
5,651 ESP 872,000 5/19/98 5,567 (84)
4,080 JPY 510,000 5/19/98 3,852 (228)
6,389 JPY 805,000 6/10/98 6,100 (289)
6,484 JPY 830,000 6/18/98 6,296 (188)
4,621 FRF 28,240 6/23/98 4,582 (39)
------------
US$ (1,345)
------------
Sales
CHF 10,335 US$ 7,224 4/1/98 US$ 6,784 US$ 440
DEM 24 13 4/1/98 13 --
AUD 165 112 4/3/98 109 3
DEM 11,100 6,157 4/30/98 6,014 143
FRF 544 88 4/30/98 88 --
JPY 305,000 2,472 4/30/98 2,298 174
JPY 175,000 1,404 4/30/98 1,318 86
NLG 4,910 2,417 4/30/98 2,360 57
IEP 1,760 2,456 5/6/98 2,390 66
SEK 5,130 632 5/13/98 643 (11)
DEM 11,160 6,180 5/18/98 6,052 128
CAD 1,050 738 5/19/98 741 (3)
GBP 1,040 1,690 5/19/98 1,738 (48)
SEK 22,305 2,761 5/20/98 2,797 (36)
IEP 575 791 6/18/98 781 10
AUD 1,090 723 6/19/98 722 1
ITL 1,285,000 713 6/23/98 706 7
CHF 10,335 6,983 6/30/98 6,855 128
------------
US$ 1,145
------------
NET US$ (200)
------------
INTERMEDIATE DURATION
Sales
DEM 10,735 US$ 5,905 5/29/98 US$ 5,825 US$ 80
------------
MULTI-MARKET FIXED INCOME
Purchases
US$ 577 DEM 1,045 4/23/98 US$ 566 US$ (11)
823 IEP 600 5/6/98 815 (8)
970 CAD 1,395 5/19/98 984 14
486 ESP 75,000 5/19/98 479 (7)
231 DEM 425 6/23/98 231 --
------------
US$ (12)
------------
Sales
AUD 2,745 US$ 1,863 4/3/98 US$ 1,815 US$ 48
FRF 8,180 1,345 4/16/98 1,322 23
GBP 215 349 4/16/98 360 (11)
ITL 260,000 145 4/16/98 143 2
JPY 105,000 814 4/16/98 789 25
DEM 1,045 582 4/23/98 566 16
IEP 600 838 5/6/98 815 23
SEK 7,645 942 5/13/98 958 (16)
DEM 1,505 826 6/23/98 818 8
DEM 1,500 822 6/26/98 815 7
CHF 1,485 1,003 6/30/98 985 18
------------
US$ 143
------------
NET US$ 131
------------
BALANCED
Sales
DEM 3,705 US$ 2,077 4/29/98 US$ 2,007 US$ 70
DEM 745 404 4/29/98 403 1
------------
US$ 71
-------------
</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>
MULTI-ASSET-CLASS
Purchases
US$ 318 CHF 475 4/1/98 US$ 312 US$ (6)
973 FRF 5,958 4/1/98 962 (11)
37 AUD 55 4/3/98 36 (1)
86 DKK 595 4/14/98 84 (2)
128 ITL 230,000 4/20/98 126 (2)
347 DEM 630 4/23/98 341 (6)
175 DEM 315 4/23/98 171 (4)
86 CAD 125 4/30/98 88 2
7 JPY 900 4/30/98 7 --
171 GBP 105 5/5/98 175 4
157 IEP 115 5/6/98 156 (1)
91 CAD 130 5/19/98 92 1
350 ESP 54,000 5/19/98 345 (5)
20 IEP 15 5/19/98 20 --
41 JPY 5,250 5/19/98 40 (1)
196 JPY 25,000 6/18/98 190 (6)
365 FRF 2,230 6/23/98 362 (3)
------------
US$ (41)
------------
Sales
CHF 475 US$ 332 4/1/98 US$ 312 US$ 20
DEM 149 81 4/1/98 80 1
GBP 187 315 4/1/98 314 1
IDR 703,813 83 4/1/98 82 1
AUD 55 37 4/3/98 36 1
DKK 595 85 4/14/98 84 1
DEM 175 97 4/20/98 95 2
DEM 75 41 4/23/98 41 --
DEM 370 205 4/30/98 200 5
FRF 555 92 4/30/98 90 2
JPY 900 7 4/30/98 7 --
DEM 75 42 5/5/98 41 1
IEP 115 160 5/6/98 156 4
SEK 1,530 189 5/13/98 192 (3)
DEM 520 288 5/18/98 282 6
CAD 90 63 5/19/98 63 --
ESP 14,000 90 5/19/98 89 1
GBP 110 179 5/19/98 184 (5)
IEP 15 21 5/19/98 20 1
JPY 14,000 112 5/19/98 106 6
DEM 315 174 5/29/98 171 3
DEM 270 149 6/18/98 146 3
DEM 400 221 6/18/98 217 4
AUD 65 43 6/19/98 43 --
DEM 285 156 6/23/98 155 1
ITL 108,000 60 6/23/98 59 1
CHF 335 226 6/30/98 222 4
------------
US$ 61
------------
NET US$ 20
------------
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
DKK -- Danish Krone
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
IDR -- Indonesian Rupiah
IEP -- Irish Punt
INR -- Indian Rupee
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
- --------------------------------------------------------------------------------
175
<PAGE> 178
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
4. FUTURES CONTRACTS: At March 31, 1998, the following Portfolios had futures
contracts open:
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
Purchases:
INTERNATIONAL EQUITY
FTSE 100 Index 137 GBP 8,175 Jun-98 US$ 188
Nikkei 225 Index 132 JPY 2,151,600 Jun-98 (433)
FIXED INCOME
U.S. Treasury 2 yr.
Note 579 US$ 120,387 Jun-98 (350)
U.S. Treasury 5 yr.
Note 2,290 US$ 249,324 Jun-98 (1,475)
U.S. Treasury Long
Bond 281 US$ 33,790 Jun-98 (259)
DOMESTIC FIXED
INCOME
U.S. Treasury 2 yr.
Note 17 US$ 1,851 Jun-98 (5)
U.S. Treasury 5 yr.
Note 72 US$ 14,970 Jun-98 (43)
U.S. Treasury Long
Bond 25 US$ 3,006 Jun-98 (7)
FIXED INCOME II
U.S. Treasury 2 yr.
Note 119 US$ 24,743 Jun-98 (72)
U.S. Treasury 5 yr.
Note 23 US$ 2,504 Jun-98 (5)
U.S. Treasury Long
Bond 2 US$ 241 Jun-98 --
LIMITED DURATION
U.S. Treasury 2 yr.
Note 445 US$ 92,525 Jun-98 (245)
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 2 yr.
Note 526 US$ 109,367 Jun-98 (318)
U.S. Treasury 5 yr.
Note 25 US$ 2,722 Jun-98 (5)
U.S. Treasury Long
Bond 151 US$ 18,158 Jun-98 (20)
MUNICIPAL
U.S. Treasury 5 yr.
Note 44 US$ 4,791 Jun-98 (9)
U.S. Treasury 10
yr. Note 30 US$ 3,371 Jun-98 (6)
PA MUNICIPAL
U.S. Treasury 5 yr.
Note 5 US$ 544 Jun-98 (1)
U.S. Treasury 10
yr. Note 41 US$ 4,607 Jun-98 (8)
GLOBAL FIXED INCOME
Japanese 10 yr.
Government Bond 4 JPY 520,720 Jun-98 8
INTERNATIONAL FIXED
INCOME
German 10 yr.
Government Bond 45 DEM 8,316 Jun-98 64
Japanese 10 yr.
Government Bond 11 JPY 1,431,980 Jun-98 20
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
INTERMEDIATE
DURATION
U.S. Treasury 2 yr.
Note 97 US$ 10,561 Jun-98 US$ (79)
U.S. Treasury 5 yr.
Note 117 US$ 24,327 Jun-98 (71)
BALANCED
U.S. Treasury 2 yr.
Note 70 US$ 14,555 Jun-98 (42)
U.S. Treasury 5 yr.
Note 133 US$ 14,480 Jun-98 (28)
U.S. Treasury Long
Bond 11 US$ 1,323 Jun-98 --
MULTI-ASSET CLASS
U.S. Treasury 2 yr.
Note 24 US$ 4,990 Jun-98 (15)
U.S. Treasury 5 yr.
Note 18 US$ 1,960 Jun-98 (4)
MIB 30 Index 7 ITL 2,470,720 Jun-98 161
Nikkei 225 Index 13 JPY 211,900 Jun-98 (86)
Sales:
FIXED INCOME
90 day Eurodollar 112 US$ 26,352 Jun-98-
Mar-01 (107)
U.S. Treasury 10
yr. Note 4,226 US$ 474,897 Jun-98 991
DOMESTIC FIXED
INCOME
U.S. Treasury 10
yr. Note 120 US$ 13,485 Jun-98 35
HIGH YIELD
U.S. Treasury Long
Bond 170 US$ 20,443 Jun-98 (42)
FIXED INCOME II
U.S. Treasury 10
yr. Note 162 US$ 18,205 Jun-98 33
MORTGAGE-BACKED
SECURITIES
U.S. Treasury 2 yr.
Note 18 US$ 3,743 Jun-98 2
U.S. Treasury 5 yr.
Note 11 US$ 1,198 Jun-98 2
U.S. Treasury 10
yr. Note 70 US$ 7,866 Jun-98 10
U.S. Treasury Long
Bond 2 US$ 241 Jun-98 --
LIMITED DURATION
U.S. Treasury Long
Bond 141 US$ 16,955 Jun-98 80
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 10
yr. Note 842 US$ 94,620 Jun-98 278
MUNICIPAL
U.S. Treasury Long
Bond 61 US$ 7,335 Jun-98 (15)
PA MUNICIPAL
U.S. Treasury 2 yr.
Note 16 US$ 3,327 Jun-98 9
U.S. Treasury Long
Bond 23 US$ 2,766 Jun-98 (6)
GLOBAL FIXED INCOME
U.S. Treasury 10
yr. Note 18 US$ 2,023 Jun-98 6
INTERMEDIATE
DURATION
U.S. Treasury 10
yr. Note 35 US$ 3,933 Jun-98 (2)
U.S. Treasury Long
Bond 114 US$ 13,709 Jun-98 (15)
Jun-98 (15)
</TABLE>
- --------------------------------------------------------------------------------
176
<PAGE> 179
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
MULTI-MARKET FIXED
INCOME
U.S. Treasury 10
yr. Note 29 US$ 3,259 Jun-98 US$ 12
U.S. Treasury Long
Bond 4 US$ 481 Jun-98 (1)
BALANCED
U.S. Treasury 10
yr. Note 241 US$ 27,082 Jun-98 (72)
MULTI-ASSET CLASS
U.S. Treasury 10
yr. Note 18 US$ 2,023 Jun-98 (2)
U.S. Treasury Long
Bond 5 US$ 601 Jun-98 1
DEM -- German Mark
GBP -- British Pound
ITL -- Italian Lira
JPY -- Japanese Yen
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At March 31, 1998, 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.
$479
----------
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.
$16
----------
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.
$35
----------
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. $9
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
$7,000 Agreement with Salomon Brothers
terminating July 1, 1998 to pay
total rate of return on the
Salomon Brothers Benchmark
Yield Curve Average 2-Year
Index based on the previous
months return, if positive, and
to receive 1 month LIBOR less
38 basis points monthly and
receive the total rate of
return on the reference index
if the reference index is
negative. $3
----------
$12
----------
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.
$80
----------
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.
$58
----------
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.
$26
----------
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.
$22
----------
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.
$5
----------
</TABLE>
LIBOR -- London Interbank Offer Rate
- --------------------------------------------------------------------------------
177
<PAGE> 180
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
H. CAPITAL LOSS CARRYFORWARD. At March 31, 1998, 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. IN-KIND TRANSACTIONS. For the six months ended March 31, 1998, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
--------- -------
<S> <C>
Value $27,131
Equity 10,439
Small Cap Value (46)
Fixed Income 343
High Yield 297
</TABLE>
J. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the six months ended March 31,
1998, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
--------- -------------
<S> <C>
Value $173
Equity 95
International Equity 55
Mid Cap Growth 226
Fixed Income 90
Domestic Fixed Income 1
Fixed Income II 3
Special Purpose Fixed Income 18
Balanced 28
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at March 31,
1998, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
--------- ---------- ----------
<S> <C> <C>
Value $339,614 $345,139
Equity 127,783 130,983
International Equity 94,310 99,026
Mid Cap Growth 130,673 134,118
Fixed Income 149,684 153,736
Domestic Fixed Income 4,609 4,707
Fixed Income II 21,734 22,171
Special Purpose Fixed
Income 27,720 28,238
Balanced 29,415 29,976
</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 $454,000 and $196,000 respectively, for the six months ended March 31,
1998.
K. OTHER. At March 31, 1998, the High Yield Portfolio's net assets were
substantially comprised of high yield fixed income securities. The financial
condition of an issuer of these securities and general economic and industry
specific conditions may affect the issuer's ability to make payments of income
and principal on these securities.
A portion of the securities of the Municipal and PA Municipal Portfolios are
insured by certain companies specializing in the insurance of municipal debt
obligations. At March 31, 1998, approximately 56.6% and 49.9% of the net assets
of the Municipal and PA Municipal Portfolios, respectively, are covered by such
insurance. Listed below are the insurers that insure obligations constituting
more than 10% of the Portfolios' net assets:
<TABLE>
<CAPTION>
PA
Municipal Municipal
--------- ---------
<S> <C> <C>
AMBAC 17.7% 15.4%
FGIC 13.0 18.8
MBIA 15.7 11.0
</TABLE>
At March 31, 1998, 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
- --------------------------------------------------------------------------------
178
<PAGE> 181
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
greater. Investment activities of these shareholders could have a material
impact on these Portfolios. These Portfolios and the aggregate percentage of
such owners was as follows:
<TABLE>
<CAPTION>
Percentage
of Ownership
------------------------------------
Institutional Investment Adviser
Portfolios Class Class Class
---------- ------------- ---------- -------
<S> <C> <C> <C>
Value 15.2% 42.4% 83.4%
Equity -- 97.1 90.8
Small Cap Value 10.8 -- --
International Equity 14.7 88.7 --
Mid Cap Growth 22.3 -- 98.2
Mid Cap Value -- 78.9 --
Emerging Markets Value 66.9 -- --
Fixed Income -- 46.4 83.0
Domestic Fixed Income 21.4 -- --
High Yield -- 70.8 77.0
Cash Reserves 39.5 -- --
Fixed Income II 11.1 -- --
Mortgage-Backed
Securities 89.2 -- --
Limited Duration 27.4 -- --
Special Purpose Fixed
Income -- -- --
Municipal 34.0 -- --
PA Municipal 51.3 -- --
Global Fixed Income 70.2 -- --
International Fixed
Income 57.7 -- --
Intermediate Duration 45.7 -- --
Multi-Market Fixed
Income 93.3 -- --
Balanced 32.7 95.2 98.5
Multi-Asset-Class 29.1 91.2 --
</TABLE>
- --------------------------------------------------------------------------------
179
<PAGE> 182
MAS FUNDS TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
The following is a list of the Trustees and the principal executive officers of
the Fund and a brief statement of their present positions and principal
occupations during the past five years:
THOMAS L. BENNETT, CFA*
Chairman of the Board of Trustees; Managing Director, Morgan Stanley; Portfolio
Manager and member of the Executive Committee, Miller Anderson & Sherrerd, LLP;
Director, MAS Fund Distribution, Inc.; Director, Morgan Stanley Universal Funds,
Inc.
THOMAS P. GERRITY
Trustee; Dean and Reliance Professor of Management and Private Enterprise,
Wharton School of Business, University of Pennsylvania; Director, Digital
Equipment Corporation; Director, Sun Company, Inc.; Director, Fannie Mae;
Director, Reliance Group Holdings; Director, CVS Corporation; Director, Union
Carbide Corporation.
JOSEPH P. HEALEY
Trustee; Headmaster, Haverford School; formerly Dean, Hobart College; Associate
Dean, William & Mary College.
JOSEPH J. KEARNS
Trustee; Investment Consultant, Chief Investment Officer, The J. Paul Getty
Trust; Director, Electro Rent Corporation; Trustee, Southern California Edison
Nuclear Decommissioning Trust; Director, The Ford Family Foundation.
VINCENT R. MCLEAN
Trustee; Director, Legal and General America, Inc., Director, William Penn Life
Insurance Company of New York; formerly Executive Vice President, Chief
Financial Officer, Director and Member of the Executive Committee of Sperry
Corporation (now part of Unisys Corporation).
C. OSCAR MORONG, JR.
Trustee; Managing Director, Morong Capital Management; Director, Ministers and
Missionaries Benefit Board of American Baptist Churches, The Indonesia Fund, The
Landmark Funds; formerly Senior Vice President and Investment Manager for CREF,
TIAA-CREF Investment Management, Inc.
JAMES D. SCHMID
President, MAS Funds; Principal, Morgan Stanley; Head of Mutual Funds, Miller
Anderson & Sherrerd, LLP; Director, MAS Fund Distribution, Inc.; Chairman of the
Board of Directors, The Minerva Fund, Inc.; formerly Vice President, The Chase
Manhattan Bank.
LORRAINE TRUTEN, CFA
Vice-President, MAS Funds; Principal, Morgan Stanley; Head of Mutual Fund
Services, Miller Anderson & Sherrerd, LLP; President, MAS Fund Distribution,
Inc.
JOHN H. GRADY, JR.
Secretary, MAS Funds; Partner, Morgan, Lewis & Bockius, LLP; formerly Attorney,
Ropes & Gray.
RICHARD J. SHOCH
Assistant Secretary and Compliance Officer, MAS Funds; formerly Vice President
and Assistant Secretary, SEI Corporation.
JAMES A. GALLO
Treasurer, MAS Funds; Vice-President, Morgan Stanley; Head of Fund Accounting,
Miller Anderson & Sherrerd, LLP; formerly Vice President and Director of
Investment Accounting, PFPC, Inc.
*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.
- --------------------------------------------------------------------------------
180
<PAGE> 183
[MAS FUND 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.
