<PAGE> 1
[MAS FRONT COVER]
<PAGE> 2
MAS Funds is pleased to present the Annual Report for the Portfolios as of
September 30, 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......................... 3
Small Cap Value Portfolio................ 7
International Equity Portfolio........... 10
Mid Cap Growth Portfolio................. 13
Mid Cap Value Portfolio.................. 15
Emerging Markets Value Portfolio
(formerly Emerging Markets
Portfolio)............................ 18
Small Cap Growth Portfolio............... 20
Fixed Income Portfolio................... 22
Domestic Fixed Income Portfolio.......... 32
High Yield Portfolio..................... 38
Cash Reserves Portfolio.................. 44
Fixed Income Portfolio II................ 46
Mortgage-Backed Securities Portfolio..... 54
Limited Duration Portfolio............... 57
Special Purpose Fixed Income Portfolio... 63
Municipal Portfolio...................... 71
PA Municipal Portfolio................... 75
Global Fixed Income Portfolio............ 79
International Fixed Income Portfolio..... 83
Intermediate Duration Portfolio.......... 85
Multi-Market Fixed Income Portfolio...... 92
Balanced Portfolio....................... 100
Multi-Asset-Class Portfolio.............. 111
Statement of Operations..................... 124
Statement of Changes in Net Assets.......... 129
Financial Highlights........................ 137
Notes to Financial Statements............... 156
Report of Independent Accountants........... 170
</TABLE>
THIS ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (90.4%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- -----------------------------------------------------
<S> <C> <C>
BANKS (12.1%)
Banc One Corp. 908,400 $ 38,720
BankBoston Corp. 326,800 10,784
Chase Manhattan Corp. 1,324,707 57,294
First Union Corp. 1,355,713 69,396
NationsBank Corp. 787,100 42,110
PNC Bank Corp. 866,500 38,992
Republic New York Corp. 572,402 22,610
Washington Mutual, Inc. 1,151,700 38,870
- -----------------------------------------------------
GROUP TOTAL 318,776
- -----------------------------------------------------
BASIC RESOURCES (6.2%)
Air Products & Chemicals, Inc. 729,700 21,709
Cabot Oil & Gas Corp., Class A 305,742 7,625
IMC Global, Inc. 920,894 17,842
Inland Steel Industries, Inc. 1,255,600 27,309
Lubrizol Corp. 1,277,400 33,931
Rohm & Haas Co. 964,468 26,824
* W.R. Grace & Co. 1,329,900 16,541
Westvaco Corp. 509,220 12,221
- -----------------------------------------------------
GROUP TOTAL 164,002
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.3%)
Tupperware Corp. 662,076 7,779
- -----------------------------------------------------
CONSUMER DURABLES (9.8%)
Dana Corp. 686,651 25,621
Ford Motor Co. 1,355,130 63,606
General Motors Corp. 1,356,409 74,179
Goodyear Tire & Rubber Co. 1,047,513 53,816
Owens Corning 1,280,641 41,701
- -----------------------------------------------------
GROUP TOTAL 258,923
- -----------------------------------------------------
CONSUMER SERVICES (0.5%)
Standard Register Co. 397,811 10,815
- -----------------------------------------------------
ENERGY (3.5%)
* Cooper Cameron Corp. 145,400 4,089
* Nabors Industries, Inc. 1,486,800 22,581
Phillips Petroleum Co. 427,695 19,300
Ultramar Diamond Shamrock
Corp. 900,390 20,484
YPF S.A. ADR 1,003,438 26,089
- -----------------------------------------------------
GROUP TOTAL 92,543
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (6.3%)
Dole Food Co., Inc. 282,500 10,205
IBP, Inc. 941,403 19,063
Philip Morris Cos., Inc. 1,321,505 60,872
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -----------------------------------------------------
- -----------------------------------------------------
<S> <C> <C>
RJR Nabisco Holdings Corp. 1,582,690 $ 39,864
Universal Foods Corp. 1,691,494 35,310
- -----------------------------------------------------
GROUP TOTAL 165,314
- -----------------------------------------------------
HEALTH CARE (7.2%)
Beckman Coulter, Inc. 682,899 35,255
Columbia/HCA Healthcare Corp. 1,276,361 25,607
* Foundation Health Systems,
Inc., Class A 1,883,884 17,661
* HEALTHSOUTH Corp. 1,591,500 16,810
Mallinckrodt, Inc. 501,051 10,178
* Tenet Healthcare Corp. 1,734,900 49,878
United HealthCare Corp. 994,300 34,801
- -----------------------------------------------------
GROUP TOTAL 190,190
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (13.8%)
Aeroquip-Vickers, Inc. 1,302,176 37,438
* AMR Corp. 460,480 25,528
Burlington Northern Santa Fe,
Inc. 263,400 8,429
Case Corp. 1,274,826 27,727
CSX Corp. 537,796 22,621
++ Cummins Engine Co., Inc. 1,408,386 41,899
Delta Air Lines, Inc. 258,900 25,178
Eaton Corp. 244,502 15,327
* FMC Corp. 392,565 20,242
Harnischfeger Industries, Inc. 1,498,001 16,853
Kennametal, Inc. 750,338 20,212
Olsten Corp. 2,127,560 12,100
Parker Hannifin Corp. 1,071,537 31,811
Tecumseh Products Co., Class A 627,376 30,781
TRW, Inc. 640,618 28,428
- -----------------------------------------------------
GROUP TOTAL 364,574
- -----------------------------------------------------
INSURANCE (10.6%)
Allstate Corp. 1,199,140 49,989
American General Corp. 309,855 19,792
CIGNA Corp. 691,300 45,712
Everest Reinsurance Holdings,
Inc. 807,291 30,122
Hartford Financial Services
Group, Inc. 680,706 32,291
Old Republic International
Corp. 1,288,900 29,000
ReliaStar Financial Corp. 655,358 25,559
St. Paul Cos., Inc. 713,400 23,186
Transatlantic Holdings, Inc. 299,258 24,764
- -----------------------------------------------------
GROUP TOTAL 280,415
- -----------------------------------------------------
RETAIL (8.0%)
Dillard's, Inc., Class A 959,409 27,163
* Federated Department Stores,
Inc. 232,900 8,472
Liz Claiborne, Inc. 1,235,400 32,352
Sears, Roebuck & Co. 822,800 36,357
Springs Industries, Inc.,
Class A 624,318 21,695
* Toys 'R' Us, Inc. 2,074,551 33,582
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- -----------------------------------------------------
<S> <C> <C>
V.F. Corp. 1,004,006 $ 37,274
* Venator Group, Inc. 1,688,500 14,669
- -----------------------------------------------------
GROUP TOTAL 211,564
- -----------------------------------------------------
TECHNOLOGY (5.4%)
* Arrow Electronics, Inc. 926,500 12,160
Avnet, Inc. 563,400 20,740
Electronic Data Systems Corp. 795,300 26,394
International Business
Machines Corp. 472,144 60,435
Tektronix, Inc. 1,455,317 22,557
- -----------------------------------------------------
GROUP TOTAL 142,286
- -----------------------------------------------------
UTILITIES (6.7%)
Bell Atlantic Corp. 967,400 46,858
Cinergy Corp. 398,407 15,239
DTE Energy Co. 645,140 29,152
Duke Energy Corp. 338,622 22,413
Entergy Corp. 659,645 20,284
GPU, Inc. 564,504 23,992
Southern Co. 634,800 18,687
- -----------------------------------------------------
GROUP TOTAL 176,625
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $2,600,800) 2,383,806
- -----------------------------------------------------
STRUCTURED INVESTMENT (1.3%)
- -----------------------------------------------------
FACE
AMOUNT
(000)
-------
(b) Merrill Lynch & Co., Inc.
Single Stock Linked Note,
3.00% plus dividends on Case
Corp. stock, 8/13/99 (Cost
$51,118) $ 1,610 35,018
- -----------------------------------------------------
CASH EQUIVALENTS (16.1%)
- -----------------------------------------------------
Short-term Investments Held as
Collateral For Loaned
Securities (9.5%) 251,040 251,040
- -----------------------------------------------------
COMMERCIAL PAPER (1.9%)
E.I. DuPont de Nemours & Co.
5.42%, 11/6/98 20,000 19,891
General Electric Capital Corp.
5.42%, 11/19/98 30,000 29,779
- -----------------------------------------------------
GROUP TOTAL 49,670
- -----------------------------------------------------
REPURCHASE AGREEMENT (4.7%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98,
to be repurchased at
$123,866 collateralized by
various U.S. Government
Obligations, due
10/1/98-8/31/00 valued at
$125,086 123,847 123,847
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $424,557) 424,557
- -----------------------------------------------------
TOTAL INVESTMENTS (107.8%)
(Cost $3,076,475) 2,843,381
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-7.8%)
Cash $ 1
Dividends Receivable 4,375
Interest Receivable 1,552
Receivable for Investments Sold 70,384
Receivable for Fund Shares Sold 2,260
Receivable for Daily Variation on Futures
Contracts 4,016
Other Assets 105
Payable for Investments Purchased (24,300)
Payable for Fund Shares Redeemed (8,229)
Payable for Investment Advisory Fees (3,972)
Payable for Administrative Fees (180)
Payable for Shareholder Servicing
Fees-Investment Class (3)
Payable for Distribution Fee-Adviser
Class (68)
Payable for Trustees' Deferred
Compensation Plan-Note F (103)
Collateral on Securities Loaned, at Value (251,040)
Other Liabilities (144)
----------
(205,346)
- -----------------------------------------------------
NET ASSETS (100%) $2,638,035
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 150,951,613 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $2,288,236
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.16
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 1,619,077 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 24,527
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.15
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 21,496,980 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 325,272
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 15.13
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $2,458,157
Undistributed Net Investment Income
(Loss) 13,250
Undistributed Realized Net Gain (Loss) 396,104
Unrealized Appreciation (Depreciation)
on: Investment Securities (233,094)
Futures 3,618
- -----------------------------------------------------
NET ASSETS $2,638,035
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
* Non-income producing security.
ADR American Depositary Receipt
(b) Security is linked to the performance of the common
stock of Case Corp.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (94.3%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
BANKS (4.6%)
Banc One Corp. 159,400 $ 6,795
BankBoston Corp. 465,300 15,355
Chase Manhattan Corp. 286,800 12,404
Citicorp 56,900 5,288
- ----------------------------------------------------
GROUP TOTAL 39,842
- ----------------------------------------------------
BASIC RESOURCES (3.7%)
Air Products & Chemicals, Inc. 231,300 6,881
Bowater, Inc. 124,500 4,435
Praxair, Inc. 130,300 4,259
Rohm & Haas Co. 281,000 7,815
Solutia, Inc. 144,700 3,265
* W.R. Grace & Co. 448,000 5,572
- ----------------------------------------------------
GROUP TOTAL 32,227
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.1%)
Anheuser-Busch Cos., Inc. 209,300 11,302
Dial Corp. 153,900 3,174
PepsiCo, Inc. 122,500 3,606
- ----------------------------------------------------
GROUP TOTAL 18,082
- ----------------------------------------------------
CONSUMER DURABLES (7.3%)
Ford Motor Co. 438,900 20,601
General Motors Corp. 303,817 16,615
Goodyear Tire & Rubber Co. 109,500 5,626
LucasVarity plc ADR 386,600 12,081
Owens Corning 283,800 9,241
- ----------------------------------------------------
GROUP TOTAL 64,164
- ----------------------------------------------------
CONSUMER SERVICES (5.6%)
* Clear Channel Communications,
Inc. 176,000 8,360
* Liberty Media Group, Class A 271,513 9,961
News Corp., Ltd. ADR 348,100 7,789
Service Corp. International 241,400 7,695
* Tele-Communications, Inc.,
Class A 377,824 14,782
- ----------------------------------------------------
GROUP TOTAL 48,587
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (2.2%)
Ambac Financial Group, Inc. 265,600 12,749
Household International, Inc. 178,600 6,697
- ----------------------------------------------------
GROUP TOTAL 19,446
- ----------------------------------------------------
ENERGY (2.7%)
Coastal Corp. 332,400 11,219
* Nabors Industries, Inc. 205,100 3,115
Phillips Petroleum Co. 108,800 4,910
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
Transocean Offshore, Inc. 31,000 $ 1,075
USX-Marathon Group, Inc. 101,400 3,593
- ----------------------------------------------------
GROUP TOTAL 23,912
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (3.8%)
General Mills, Inc. 107,400 7,518
Philip Morris Cos., Inc. 386,170 17,788
RJR Nabisco Holdings Corp. 311,980 7,858
- ----------------------------------------------------
GROUP TOTAL 33,164
- ----------------------------------------------------
HEALTH CARE (8.7%)
Abbott Laboratories 176,700 7,675
American Home Products Corp. 189,000 9,899
Baxter International, Inc. 271,800 16,172
Bristol-Myers Squibb Co. 70,372 7,310
* Health Management Associates,
Inc., Class A 326,225 5,954
* HEALTHSOUTH Corp. 347,100 3,666
* Lincare Holdings, Inc. 235,500 9,126
Merck & Co., Inc. 50,700 6,569
Mylan Labs, Inc. 130,800 3,859
* Tenet Healthcare Corp. 205,100 5,897
- ----------------------------------------------------
GROUP TOTAL 76,127
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.4%)
Aeroquip-Vickers, Inc. 85,200 2,449
* Allied Waste Industries, Inc. 345,300 8,071
* AMR Corp. 62,100 3,443
Case Corp. 294,300 6,401
Cummins Engine Co., Inc. 308,500 9,178
* FMC Corp. 145,700 7,513
* Loral Space & Communications
Ltd. 294,200 4,339
Waste Management, Inc. 279,027 13,411
York International Corp. 291,200 9,719
- ----------------------------------------------------
GROUP TOTAL 64,524
- ----------------------------------------------------
INSURANCE (7.0%)
Allstate Corp. 138,362 5,768
Conseco, Inc. 409,120 12,504
Everest Reinsurance Holdings,
Inc. 252,700 9,429
* EXEL Ltd., Class A 21,800 1,373
Hartford Financial Services
Group, Inc. 146,500 6,950
Loews Corp. 67,900 5,729
Travelers Property Casualty
Corp., Class A 313,300 10,006
UNUM Corp. 195,100 9,694
- ----------------------------------------------------
GROUP TOTAL 61,453
- ----------------------------------------------------
MID CAP GROWTH (3.0%)
* AES Corp. 3,700 137
* Allied Waste Industries, Inc. 18,300 428
America Online, Inc. 7,300 812
* American Disposal Services,
Inc. 8,600 335
* American Tower Corp., Class A 12,600 321
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Arterial Vascular Engineering,
Inc. 9,200 $ 340
* At Home Corp., Series A 9,100 436
* Beringer Wine Estates
Holdings, Inc., Class B 7,400 284
* BMC Software, Inc. 10,100 607
* Borders Group, Inc. 13,800 307
* Broadcom Corp., Class A 4,300 305
* Cablevision Systems Corp.,
Class A 10,900 471
* Cellular Communications
International, Inc. 6,800 369
* Cinar Films, Inc., Class B 20,900 375
Cintas Corp. 10,200 511
Comcast Corp., Class A Special 9,000 422
* Computer Horizons Corp. 10,100 252
Computer Sciences Corp. 6,900 376
* Compuware Corp. 8,800 518
* Concord EFS, Inc. 13,450 347
CVS Corp. 14,600 640
Danaher Corp. 7,700 231
* Diamond Technology Partners,
Inc. 7,800 129
Earthgrains Co. 8,200 254
* eBay, Inc. 5,800 261
* EEX Corp. 43,600 213
Estee Lauder Cos., Class A 5,800 297
FINOVA Group, Inc. 7,100 355
* Fiserv, Inc. 11,475 529
* General Instrument Corp. 18,000 389
* Global Crossing Ltd. 11,200 234
* Globalstar Telecommunications
Ltd. 35,500 410
HBO & Co. 9,500 274
* Health Management Associates,
Inc., Class A 42,388 774
* Heftel Broadcasting Corp.,
Class A 8,300 313
* Imax Corp. 14,800 296
* Intermedia Communications,
Inc. 11,200 275
* J. Ray McDermott, S.A. 2,600 78
* Jacor Communications, Inc. 10,400 527
Koninklijke Ahold NV ADR 10,800 314
* Lason, Inc. 4,100 210
* Level 3 Communications, Inc. 9,300 297
* Liberty Media Group, Class A 13,387 491
* Lincare Holdings, Inc. 21,000 814
Linear Technology Corp. 5,400 270
* Loral Space & Communications
Ltd. 12,400 183
* Mail-Well, Inc. 17,700 152
* MAPICS, Inc. 14,300 316
* Metro-Goldwyn-Mayer, Inc. 12,600 175
* Micro Warehouse, Inc. 11,700 176
* Micron Electronics, Inc. 18,200 318
* Network Associates, Inc. 6,987 248
Newcourt Credit Group, Inc. 7,200 188
* NEXTLINK Communications, Inc.,
Class A 8,300 194
* Novell, Inc. 32,700 401
* Ocean Energy, Inc. 12,600 165
* Omnipoint Corp. 12,400 92
* ONIX Systems, Inc. 18,500 162
* Orbital Sciences Corp. 3,900 109
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Orthodontic Centers of
America, Inc. 18,600 $ 310
* Outdoor Systems, Inc. 18,675 364
* Pixar, Inc. 7,700 301
* Premier Parks, Inc. 11,000 193
Prologis Trust 12,390 280
Providian Financial Corp. 6,200 526
* Qwest Communications
International, Inc. 8,526 267
* Rational Software Corp. 22,500 378
* Rental Service Corp. 3,900 70
Ross Stores, Inc. 6,500 186
* Safeway, Inc. 10,100 468
* SFX Entertainment, Inc.,
Class A 4,600 143
Stewart Enterprises, Inc.,
Class A 17,700 297
* Tele-Communications TCI
Ventures Group, Class A 32,910 590
* Tellabs, Inc. 4,300 171
* Trans World Entertainment
Corp. 16,500 301
* United Rentals, Inc. 20,000 479
* United Video Satellite Group,
Inc. 23,400 347
* Western Wireless Corp., Class
A 19,900 356
* Yahoo! Inc. 2,300 298
Zions Bancorporation 6,500 265
- ----------------------------------------------------
GROUP TOTAL 26,297
- ----------------------------------------------------
RETAIL (5.1%)
* Consolidated Stores Corp. 294,700 5,783
CVS Corp. 220,600 9,665
Dayton-Hudson Corp. 156,900 5,609
* Jones Apparel Group, Inc. 85,700 1,966
* Office Depot, Inc. 246,900 5,540
Ross Stores, Inc. 205,300 5,877
Wal-Mart Stores, Inc. 194,200 10,608
- ----------------------------------------------------
GROUP TOTAL 45,048
- ----------------------------------------------------
TECHNOLOGY (14.9%)
* BMC Software, Inc. 240,800 14,463
* Cisco Systems, Inc. 214,350 13,250
Compaq Computer Corp. 302,200 9,557
* General Instrument Corp. 243,900 5,274
Intel Corp. 135,300 11,602
International Business
Machines Corp. 51,300 6,566
* Micron Technology, Inc. 145,200 4,420
* Microsoft Corp. 364,100 40,074
* Network Associates, Inc. 185,250 6,576
Northern Telecom Ltd. 163,200 5,222
* SCI Systems, Inc. 110,300 2,971
* Tellabs, Inc. 98,800 3,933
Xerox Corp. 70,800 6,000
* Yahoo! Inc. 500 65
- ----------------------------------------------------
GROUP TOTAL 129,973
- ----------------------------------------------------
</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>
UTILITIES (9.3%)
* Airtouch Communications, Inc. 134,500 $ 7,667
Ameritech Corp. 165,900 7,860
Carolina Power & Light Co. 127,000 5,866
Columbia Energy Group 74,050 4,341
Energy East Corp. 69,800 3,560
* MCI WorldCom, Inc. 558,018 27,273
SBC Communications, Inc. 219,600 9,758
Southern Co. 204,100 6,008
Sprint Corp. 130,800 9,418
- ----------------------------------------------------
GROUP TOTAL 81,751
- ----------------------------------------------------
VALUE (6.9%)
Aeroquip-Vickers, Inc. 35,700 1,026
Air Products & Chemicals, Inc. 7,600 226
American General Corp. 14,000 894
* AMR Corp. 7,600 421
* Arrow Electronics, Inc. 17,600 231
Avnet, Inc. 5,700 210
Banc One Corp. 18,600 793
Beckman Coulter, Inc. 8,700 449
Bell Atlantic Corp. 15,400 746
Cabot Oil & Gas Corp., Class A 18,600 464
Case Corp. 57,900 1,259
Chase Manhattan Corp. 24,000 1,038
Chubb Corp. 4,000 252
CIGNA Corp. 16,600 1,098
Citicorp 5,700 530
Columbia/HCA Healthcare Corp. 12,200 245
CSX Corp. 18,300 770
Cummins Engine Co., Inc. 29,500 878
Delta Air Lines, Inc. 8,500 827
Dillard's, Inc., Class A 17,700 501
Duke Energy Corp. 7,668 508
Eaton Corp. 4,300 270
Entergy Corp. 20,767 639
First Union Corp. 39,999 2,047
* FMC Corp. 12,800 660
Ford Motor Co. 47,600 2,234
* Foundation Health Systems,
Inc., Class A 29,710 279
General Motors Corp. 22,332 1,221
Goodyear Tire & Rubber Co. 25,800 1,325
GPU, Inc. 22,700 965
Harnischfeger Industries, Inc. 23,000 259
Hartford Financial Services
Group, Inc. 18,400 873
IBP, Inc. 27,400 555
IMC Global, Inc. 17,100 331
Inland Steel Industries, Inc. 16,300 355
International Business
Machines Corp. 9,500 1,216
Kennametal, Inc. 10,625 286
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
Liz Claiborne, Inc. 19,100 $ 500
Lubrizol Corp. 10,500 279
Mallinckrodt, Inc. 18,900 384
* Nabors Industries, Inc. 19,900 302
NationsBank Corp. 248,700 13,305
* Octel Corp. 3,950 54
Old Republic International Corp. 29,250 658
Olsten Corp. 35,900 204
Owens Corning 17,400 567
Parker-Hannifin Corp. 20,150 598
Philip Morris Cos., Inc. 35,200 1,621
Phillips Petroleum Co. 14,500 654
PNC Bank Corp. 12,800 576
ReliaStar Financial Corp. 17,318 675
Republic New York Corp. 14,600 577
RJR Nabisco Holdings Corp. 32,200 811
Rohm & Haas Co. 40,200 1,118
Sears, Roebuck & Co. 19,800 875
Springs Industries, Inc., Class
A 17,100 594
Standard Register Co. 12,700 345
Tecumseh Products Co., Class A 28,600 1,403
Tektronix, Inc. 36,750 570
* Tenet Healthcare Corp. 16,600 477
* Toys 'R' Us, Inc. 24,000 388
Transatlantic Holdings, Inc. 9,600 794
TRW, Inc. 14,100 626
Tupperware Corp. 15,600 183
Ultramar Diamond
Shamrock Corp. 19,900 453
United HealthCare Corp. 19,900 697
* Venator Group, Inc. 38,200 332
V.F. Corp. 30,000 1,114
Washington Mutual, Inc. 21,000 709
* W.R. Grace & Co. 21,400 266
YPF S.A. ADR 30,000 780
- ----------------------------------------------------
GROUP TOTAL 60,370
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $774,858) 824,967
- ----------------------------------------------------
STRUCTURED INVESTMENT (0.7%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
-------
<S> <C> <C>
(b) Merrill Lynch & Co., Inc.
Single Stock Linked Note,
3.00% plus dividends on Case
Corp. stock, 8/13/99 (Cost
$9,366) $ 295 6,416
- ----------------------------------------------------
CASH EQUIVALENTS (18.3%)
- ----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (12.1%) 106,300 106,300
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)+
- ----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (6.2%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $54,105,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$54,638 $ 54,097 $ 54,097
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $160,397) 160,397
- ----------------------------------------------------
TOTAL INVESTMENTS (113.3%) (Cost $944,621) 991,780
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-13.3%)
Cash 7
Dividends Receivable 1,047
Interest Receivable 289
Receivable for Investments Sold 11,924
Receivable for Fund Shares Sold 1,525
Other Assets 57
Payable for Investments Purchased (7,254)
Payable for Fund Shares Redeemed (16,548)
Payable for Investment Advisory Fees (1,258)
Payable for Administrative Fees (59)
Payable for Trustees' Deferred
Compensation Plan-Note F (56)
Collateral on Securities Loaned, at Value (106,300)
Other Liabilities (90)
--------
(116,716)
- ----------------------------------------------------
NET ASSETS (100%) $875,064
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 42,692,157 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $872,662
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.44
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 99,354 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 2,029
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.42
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 18,246 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 373
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.42
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $609,333
Undistributed Net Investment Income (Loss) 2,137
Undistributed Realized Net Gain (Loss) 216,435
Unrealized Appreciation (Depreciation) on
Investment Securities 47,159
- ----------------------------------------------------
NET ASSETS $875,064
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
ADR American Depositary Receipt
(b) Security is linked to the performance of the common
stock of Case Corp.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.0%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
BANKS (4.9%)
Allied Capital Corp. 211,900 $ 3,761
Banknorth Group, Inc. 40,800 1,193
Colonial BancGroup, Inc. 334,500 4,202
Community First Bankshares,
Inc. 72,900 1,294
First American Corp. of
Tennessee 58,400 2,241
First Tennessee National Corp. 144,100 3,936
Investors Financial Services
Corp. 53,300 2,612
MECH Financial, Inc. 76,600 1,915
Mercantile Bankshares Corp. 81,600 2,295
Prime Bancshares, Inc. 104,100 1,796
Reliance Bancorp, Inc. 74,100 2,093
Sovereign Bancorp, Inc. 373,300 4,970
Trustco Bank Corp. 49,329 1,323
Webster Financial Corp. 70,896 1,728
- ----------------------------------------------------
GROUP TOTAL 35,359
- ----------------------------------------------------
BASIC RESOURCES (6.6%)
AK Steel Holding Corp. 139,000 2,285
Agnico-Eagle Mines Ltd. 944,200 4,013
ASARCO, Inc. 68,500 1,310
Barrick Gold Corp. 177,800 3,556
Battle Mountain Gold Co. 313,000 1,898
* Bethlehem Steel Corp. 186,600 1,539
Bowater, Inc. 275,800 9,825
Crompton & Knowles Corp. 234,100 3,409
Equitable Resources, Inc. 66,700 1,697
Newmont Gold Co. 190,100 4,859
P.H. Glatfelter Co. 72,200 943
Reynolds Metals Co. 34,800 1,768
* RMI Titanium Co. 78,500 1,580
Solutia, Inc. 225,500 5,088
* Tetra Technologies, Inc. 229,500 2,754
Titanium Metals Corp. 53,800 760
- ----------------------------------------------------
GROUP TOTAL 47,284
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.4%)
* Blyth Industries, Inc. 350,850 9,627
- ----------------------------------------------------
CONSUMER DURABLES (3.1%)
Arvin Industries, Inc. 66,500 2,477
* Brewer (C) Homes, Inc.,
Class A 121,300 61
Excel Industries, Inc. 207,700 2,596
General Cable Corp. 87,300 1,615
* Giant Cement Holdings, Inc. 90,700 1,899
* Hawk Corp., Class A 33,900 326
* SPX Corp. 60,900 2,516
Southdown, Inc. 232,300 10,453
* Windmere-Durable Holdings,
Inc. 62,500 352
- ----------------------------------------------------
GROUP TOTAL 22,295
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
CONSUMER SERVICES (5.4%)
* ACNielsen Corp. 73,000 $ 1,624
* Budget Group, Inc. 106,400 2,427
* Gemstar International Group
Ltd. 65,900 3,056
Hollinger International, Inc.,
Class A 158,400 2,277
* Jacor Communications, Inc. 136,500 6,910
* TMP Worldwide, Inc. 201,900 6,625
* United Video Satellite Group,
Inc. 335,700 4,973
* Valassis Communications, Inc. 191,300 7,652
* World Color Press, Inc. 94,800 2,939
- ----------------------------------------------------
GROUP TOTAL 38,483
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT
COMPANIES (3.1%)
CMAC Investment Corp. 46,600 2,027
Eaton Vance Corp. 152,400 3,515
EVEREN Capital Corp. 176,000 4,268
Golden West Financial Corp. 22,100 1,808
* Healthcare Financial
Partners, Inc. 30,100 1,264
T. Rowe Price Associates, Inc. 96,900 2,846
* United PanAm Financial Corp. 41,500 234
Waddell & Reed Financial, Inc. 307,600 5,844
- ----------------------------------------------------
GROUP TOTAL 21,806
- ----------------------------------------------------
ENERGY (3.2%)
Energen Corp. 258,200 4,906
* HS Resources, Inc. 108,201 1,238
* Input/Output, Inc. 35,000 278
Noble Affiliates, Inc. 116,200 3,704
* Noble Drilling Corp. 213,700 3,152
* Ocean Energy, Inc. 270,564 3,551
* Stolt Comex Seaway, S.A. 106,400 1,024
Suburban Propane Partners LP 38,100 702
* Veritas DGC, Inc. 128,800 2,149
Vintage Petroleum, Inc. 188,600 2,169
Wicor, Inc 14,200 339
- ----------------------------------------------------
GROUP TOTAL 23,212
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (4.6%)
* 800-JR Cigar, Inc. 244,600 2,721
* Consolidated Cigar Holdings,
Inc. 357,000 3,548
Dimon, Inc. 238,300 2,517
* Fresh Del Monte Produce, Inc. 459,000 7,803
* General Cigar Holdings, Inc. 276,800 1,782
Michael Foods, Inc. 133,000 3,159
* Omega Protein Corp. 365,500 2,033
* Rexall Sundown, Inc. 110,200 1,701
Standard Commercial Corp. 100,000 744
* Suiza Foods Corp. 206,100 6,440
Universal Corp. 20,900 747
- ----------------------------------------------------
GROUP TOTAL 33,195
- ----------------------------------------------------
HEALTH CARE (8.7%)
* ADAC Laboratories 90,800 2,179
Alpharma, Inc., Class A 330,800 8,684
* AmeriSource Health Corp.,
Class A 65,100 3,544
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
Angelica Corp. 171,600 $ 2,756
* Biomatrix, Inc. 33,400 1,303
* Guilford Pharmaceuticals,
Inc. 358,300 5,016
* Lincare Holdings, Inc. 107,900 4,181
Mylan Labs, Inc. 113,200 3,339
* NBTY, Inc. 320,100 2,521
* Personnel Group of America,
Inc. 162,000 1,995
* PSS World Medical, Inc. 104,800 1,939
* Quorum Health Group, Inc. 83,900 1,363
* Sybron International Corp. 72,700 1,390
* Theragenics Corp. 209,200 2,968
* Total Renal Care Holdings,
Inc. 99,500 2,388
* Transkaryotic Therapies, Inc. 93,100 2,234
* Trigon Healthcare, Inc. 202,900 6,290
* Universal Health Services,
Inc., Class B 33,600 1,403
* Veterinary Centers of
America, Inc. 103,900 1,896
* Wesley Jessen VisionCare,
Inc. 163,800 3,481
* Zonagen, Inc. 115,300 1,787
- ----------------------------------------------------
GROUP TOTAL 62,657
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.5%)
AAR Corp. 147,300 2,891
* AccuStaff, Inc. 269,400 3,923
* AFC Cable Systems, Inc. 46,100 1,095
AGCO Corp. 247,500 1,640
* Alliant Techsystems, Inc. 27,600 1,829
* Atlas Air, Inc. 120,300 3,451
* Aviall, Inc. 174,100 1,817
* Aviation Sales Co. 105,000 3,038
* BE Aerospace, Inc. 236,400 5,201
Chart Industries, Inc. 121,500 737
Columbus McKinnon Corp. 38,200 735
Cummins Engine Co., Inc. 50,600 1,505
* Data Processing Resources
Corp. 198,200 5,797
* Fiserv, Inc. 60,500 2,787
Flowserve Corp. 341,400 6,913
Greenbrier Cos., Inc. 104,100 1,477
* Hadco Corp. 23,300 565
* Insurance Auto Auctions, Inc. 201,500 2,519
* Interim Services, Inc. 213,400 4,388
JLG Industries, Inc. 21,000 335
Kaydon Corp. 54,300 1,429
Knightsbridge Tankers Ltd. 104,700 2,251
Manitowoc Co. 62,900 1,895
Martin Marietta Materials, Inc. 47,000 2,030
* Midway Airlines Corp. 20,000 197
* OMI Corp. 318,800 1,295
* Philip Services Corp. 613,400 498
* Safety-Kleen Corp. 3,025,300 10,021
* Swift Transportation Co.,
Inc. 70,500 1,225
Tecumseh Products Co., Class A 34,600 1,698
Teekay Shipping Corp. 149,000 2,710
* Telco Systems, Inc. 100,100 1,026
* Terex Corp. 85,800 1,282
Tranz Rail Holdings Ltd. ADR 161,500 646
* Triumph Group, Inc. 78,500 2,335
* U.S. Xpress Enterprises Inc.,
Class A 19,238 236
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
Wabash National Corp. 109,700 $ 1,618
Werner Enterprises, Inc. 287,125 4,522
- ----------------------------------------------------
GROUP TOTAL 89,557
- ----------------------------------------------------
INSURANCE (5.3%)
Allied Life Financial Corp. 120,100 3,558
Everest Reinsurance Holdings,
Inc. 295,600 11,029
FBL Financial Group, Inc.,
Class A 104,200 2,403
Fremont General Corp. 158,200 7,594
Mercury General Corp. 224,500 8,419
Old Republic International
Corp. 152,800 3,438
Presidential Life Corp. 100,700 1,511
- ----------------------------------------------------
GROUP TOTAL 37,952
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (3.6%)
Canadian Hotel Income
Properties 500,000 2,983
CarrAmerica Realty Corp. 64,000 1,460
Chateau Communities, Inc. 78,308 2,188
Crescent Real Estate Equities
Co. 187,100 4,724
Duke Realty Investments, Inc. 1,990 46
Health Care REIT, Inc. 95,527 2,543
Healthcare Realty Trust, Inc. 59,900 1,527
Home Properties of N.Y., Inc. 98,874 2,596
HRPT Properties Trust 95,000 1,532
New Plan Excel Realty Trust 117,120 2,730
Post Properties, Inc. 38,100 1,469
* Security Capital Group, Inc.,
Class B 109,600 1,973
- ----------------------------------------------------
GROUP TOTAL 25,771
- ----------------------------------------------------
RETAIL (3.9%)
* BJ's Wholesale Club, Inc. 105,300 3,870
* Brylane, Inc. 76,300 1,221
Cato Corp., Class A 188,600 2,192
CKE Restaurants, Inc. 65,600 1,952
Culp, Inc. 199,300 1,582
* Dress Barn (The), Inc. 206,900 2,509
* Electronics Boutique Holdings
Corp. 130,500 1,240
* Friendly Ice Cream Corp. 87,700 493
* Goody's Family Clothing, Inc. 281,100 3,373
* Hollywood Entertainment Corp. 167,300 2,279
Hughes Supply, Inc. 71,400 2,035
* Maxwell Shoe Co., Inc.,
Class A 53,200 632
* Pacific Sunwear of
California, Inc. 94,900 2,111
Ross Stores, Inc. 91,900 2,631
- ----------------------------------------------------
GROUP TOTAL 28,120
- ----------------------------------------------------
TECHNOLOGY (12.2%)
* Acclaim Entertainment, Inc. 1,187,700 7,572
* ANTEC Corp. 268,500 4,128
* Cabletron Systems, Inc. 923,900 10,394
* Cherry Corp., Class A 143,700 1,671
* Cirrus Logic, Inc. 26,700 160
* Computer Horizons Corp. 356,300 8,885
* Comverse Technology, Inc. 12,660 517
ECI Telecommunications Ltd. 232,100 5,686
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Electronic Arts, Inc. 111,600 $ 4,904
* Electronics for Imaging, Inc. 45,500 961
* FactSet Research Systems,
Inc. 26,500 840
* FORE Systems, Inc. 21,100 351
* Galileo Technology Ltd. 84,700 831
* General Instrument Corp. 247,500 5,352
* GenRad, Inc. 50,900 789
* Harmonic Lightwaves, Inc. 24,300 298
* Mentor Graphics Corp. 283,600 1,968
* Network Associates, Inc. 174,150 6,182
* Novell, Inc. 749,000 9,175
* Ortel Corp. 57,200 915
* PMC-Sierra, Inc. 11,600 370
Penn Engineering &
Manufacturing Corp. 73,900 1,464
* Quantum Corp. 103,000 1,635
Scientific-Atlanta, Inc. 237,000 5,007
* SMART Modular Technologies,
Inc. 124,500 2,560
* Splash Technology Holdings,
Inc. 15,200 217
* Summit Design, Inc. 175,200 1,248
* Sybase, Inc. 267,100 1,611
* Systems & Computer Technology
Corp. 76,300 982
* Unit Instruments, Inc. 166,500 770
- ----------------------------------------------------
GROUP TOTAL 87,443
- ----------------------------------------------------
UTILITIES (10.5%)
* CalEnergy Co., Inc. 424,900 11,260
* Calpine Corp. 185,700 3,761
Commonwealth Energy Systems 117,300 4,267
DQE, Inc. 60,700 2,345
Eastern Enterprises 67,000 2,822
Energy East Corp. 120,100 6,125
Illinova Corp. 198,700 5,700
KN Energy, Inc. 140,000 7,175
LG&E Energy Corp. 305,100 8,505
Minnesota Power & Light Co. 80,600 3,551
Montana Power Co. 103,500 4,625
New Century Energies, Inc. 146,300 7,123
* Paging Network, Inc. 308,300 1,859
Public Service Co. of New
Mexico 83,700 1,857
Rochester Gas & Electric Corp. 43,700 1,366
* SkyTel Communications, Inc. 91,000 1,649
* Western Wireless Corp.,
Class A 82,900 1,482
- ----------------------------------------------------
GROUP TOTAL 75,472
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $706,832) 638,233
- ----------------------------------------------------
FACE
AMOUNT VALUE
(000) (000)+
- ----------------------------------------------------
CASH EQUIVALENT (11.5%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (11.5%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98,
to be repurchased at $82,317,
collateralized by various
U.S. Government Obligations,
due 10/1/98-8/31/00, valued
at $83,128 (Cost $82,305) $ 82,305 $ 82,305
- ----------------------------------------------------
TOTAL INVESTMENTS (100.5%) (Cost $789,137) 720,538
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
Dividends Receivable 626
Interest Receivable 12
Receivable for Investments Sold 13,113
Receivable for Fund Shares Sold 360
Other Assets 27
Payable for Investments Purchased (14,096)
Payable for Fund Shares Redeemed (2,199)
Payable for Investment Advisory Fees (1,492)
Payable for Administrative Fees (47)
Payable for Trustees' Deferred
Compensation Plan-Note F (26)
Other Liabilities (87)
--------
(3,809)
- ----------------------------------------------------
NET ASSETS (100%) $716,729
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 41,254,636 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $716,729
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 17.37
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $686,290
Undistributed Net Investment Income (Loss) 2,975
Undistributed Realized Net Gain (Loss) 96,063
Unrealized Appreciation (Depreciation) on
Investment Securities (68,599)
- ----------------------------------------------------
NET ASSETS $716,729
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (86.9%)
<TABLE>
<CAPTION>
- --------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- --------------------------------------------------
<S> <C> <C>
ARGENTINA (1.1%)
Telefonica de Argentina
S.A. ADR 71,800 $ 2,114
YPF S.A. ADR 107,900 2,805
- --------------------------------------------------
GROUP TOTAL 4,919
- --------------------------------------------------
AUSTRALIA (1.6%)
Foodland Associated Ltd. 407,975 2,128
National Australia Bank
Ltd. 400,869 4,846
- --------------------------------------------------
GROUP TOTAL 6,974
- --------------------------------------------------
BRAZIL (0.8%)
* Telebras ADR Preferred
Block 51,100 3,600
- --------------------------------------------------
CANADA (3.4%)
Canadian National Railway
Co. 85,000 3,831
National Bank of Canada 343,200 5,062
Quebecor, Inc., Class B 330,300 6,333
- --------------------------------------------------
GROUP TOTAL 15,226
- --------------------------------------------------
CZECH REPUBLIC (0.8%)
* SPT Telecom a.s. 284,000 3,664
- --------------------------------------------------
FRANCE (14.5%)
Dexia France 65,059 8,216
Groupe Danone S.A. 40,740 10,719
Lafarge S.A. 130,975 11,603
Lagardere S.C.A. 128,000 3,656
Rhone-Poulenc 221,710 9,306
Scor 193,110 11,486
Suez Lyonnaise des Eaux 56,070 9,554
- --------------------------------------------------
GROUP TOTAL 64,540
- --------------------------------------------------
GERMANY (11.5%)
Berliner Kraft-und Licht,
Class A 25,700 1,239
Deutsche Bank AG 92,260 4,902
Deutsche Lufthansa AG 563,470 11,442
Deutsche Telekom AG 375,700 11,680
Henkel KGaA 118,560 8,629
RWE AG 191,700 8,923
Springer (Axel) Verlag AG 7,956 4,766
- --------------------------------------------------
GROUP TOTAL 51,581
- --------------------------------------------------
GREECE (0.2%)
Hellenic Telecommunication
Organization S.A. 45,944 1,102
- --------------------------------------------------
HONG KONG (0.5%)
China Telecom (Hong Kong)
Ltd. 1,300,000 2,047
- --------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- --------------------------------------------------
<S> <C> <C>
INDIA (0.0%)
Housing Development Finance
Corp., Ltd. 10 $ 1
ITC Ltd. 800 13
- --------------------------------------------------
GROUP TOTAL 14
- --------------------------------------------------
ISRAEL (0.4%)
* Bank Hapoalim Ltd. 666,000 1,628
- --------------------------------------------------
ITALY (6.2%)
Banca di Roma 5,484,000 9,802
* Banca Popolare di Verona 79,050 6,633
Telecom Italia S.p.A. 2,314,820 11,073
- --------------------------------------------------
GROUP TOTAL 27,508
- --------------------------------------------------
JAPAN (11.0%)
Bridgestone Corp. 405,000 8,160
Fuji Heavy Industries Ltd. 1,366,000 7,125
Ito-Yokado Co., Ltd. 28,000 1,333
Nihon Unisys, Ltd. 487,000 2,897
Nintendo Corp., Ltd. 84,000 7,902
Nippon Telegraph &
Telephone Corp. 786 5,730
Nissan Motor Co., Ltd. 1,738,000 4,838
Sony Corp. 96,000 6,674
Takefuji Corp. 92,300 4,652
- --------------------------------------------------
GROUP TOTAL 49,311
- --------------------------------------------------
KOREA (0.1%)
Pohang Iron & Steel Co.,
Ltd. 10,010 391
- --------------------------------------------------
MEXICO (0.5%)
Organizacion Soriana S.A.
de C.V., Class B 298,000 705
++ Telefonos de Mexico S.A.
ADR, Class L 35,000 1,549
- --------------------------------------------------
GROUP TOTAL 2,254
- --------------------------------------------------
NETHERLANDS (1.4%)
ING Groep N.V. 85,091 3,836
Philips Electronics N.V. 47,400 2,554
- --------------------------------------------------
GROUP TOTAL 6,390
- --------------------------------------------------
NORWAY (1.0%)
Christiania Bank OG
Kreditkasse 1,421,700 4,480
- --------------------------------------------------
SINGAPORE (0.6%)
*++ Creative Technology
Ltd. 160,000 1,440
Natsteel Electronics Ltd. 614,000 1,347
- --------------------------------------------------
GROUP TOTAL 2,787
- --------------------------------------------------
</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>
SPAIN (5.6%)
Corporacion Bancaria de
Espana S.A. 408,400 $ 8,129
Endesa S.A. 439,000 9,899
Telefonica S.A. 186,636 6,812
- --------------------------------------------------
GROUP TOTAL 24,840
- --------------------------------------------------
SWEDEN (5.0%)
Astra AB, Class A 399,000 6,822
Nordbanken Holding AB 927,600 5,326
Pharmacia & Upjohn, Inc.
SDS 199,800 10,045
- --------------------------------------------------
GROUP TOTAL 22,193
- --------------------------------------------------
SWITZERLAND (1.2%)
Swissair AG (Registered) 25,925 5,343
- --------------------------------------------------
UNITED KINGDOM (19.5%)
Allied Domecq plc 687,500 4,966
Bank of Scotland 609,400 5,816
Burmah Castrol plc 296,513 4,213
FKI plc 2,207,700 4,240
Hanson plc 1,301,200 8,249
Imperial Tobacco Group plc 1,170,800 12,387
LucasVarity plc 2,727,900 8,392
National Westminister Bank
plc 440,800 5,918
Pilkington plc 2,306,050 2,273
Sainsbury ( J.) plc 748,392 7,168
Somerfield plc 1,403,000 9,991
Sun Alliance Insurance
Group plc 672,342 5,828
United Assurance Group plc 779,300 7,788
- --------------------------------------------------
GROUP TOTAL 87,229
- --------------------------------------------------
TOTAL COMMON STOCKS (Cost $357,714) 388,021
- --------------------------------------------------
PREFERRED STOCKS (0.7%)
- --------------------------------------------------
BRAZIL (0.7%)
CEMIG 49,358,000 1,074
* Telesp Celular S.A.,
Class B 51,947,000 2,147
- --------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $4,309) 3,221
- --------------------------------------------------
UNITS (1.4%)
- --------------------------------------------------
SWITZERLAND (1.4%)
Cie Financiere Richemont AG
(Cost $5,543) 4,830 6,193
- --------------------------------------------------
FOREIGN CURRENCY (2.3%)
- --------------------------------------------------
FACE
AMOUNT
(000)
-------
Australian Dollar AUD 430 255
Brazilian Real BRL 2 1
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- --------------------------------------------------
<S> <C> <C>
British Pound GBP 826 $ 1,405
Canadian Dollar CAD 19 13
German Mark DEM 10,659 6,385
@ Hong Kong Dollar HKD 2 --
@ Indian Rupee INR 2 --
@ Italian Lira ITL 278 --
Japanese Yen JPY 279,337 2,046
Mexican Pesos MXP 457 45
Netherlands Guilder NLG 173 92
@ Norwegian Krone NOK 1 --
@ South Korean Won KRW 67 --
Swiss Franc CHF 1 1
- --------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $10,256) 10,243
- --------------------------------------------------
CASH EQUIVALENTS (15.0%)
- --------------------------------------------------
Short-term Investments Held
as Collateral for Loaned
Securities (8.0%) $35,575 35,575
- --------------------------------------------------
REPURCHASE AGREEMENT (7.0%)
Chase Securities, Inc.
5.40%, dated 9/30/98, due
10/1/98, to be
repurchased at $31,649,
collateralized by various
U.S. Government
Obligations, due
10/1/98-8/31/00, valued
at $31,960 31,644 31,644
- --------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $67,219) 67,219
- --------------------------------------------------
TOTAL INVESTMENTS (106.3%) (Cost
$445,041) 474,897
- --------------------------------------------------
OTHER ASSETS AND LIABILITIES (-6.3%)
Cash 978
Cash Held as Collateral on Futures
Contracts (Cost $1,058) 1,058
Dividends Receivable 1,286
Interest Receivable 5
Receivable for Withholding Tax Reclaim 319
Receivable for Investments Sold 10,152
Receivable for Fund Shares Sold 199
Unrealized Gain on Forward Foreign
Currency Contracts 927
Other Assets 26
Payable for Investments Purchased (5,897)
Payable for Fund Shares Redeemed (53)
Payable for Investment Advisory Fees (641)
Payable for Administrative Fees (30)
Accrued Foreign Capital Gains Tax (1)
Payable for Trustees' Deferred
Compensation Plan-Note F (25)
Unrealized Loss on Futures Contracts (985)
Collateral on Securities Loaned, at
Value (35,575)
Other Liabilities (96)
--------
(28,353)
- --------------------------------------------------
NET ASSETS (100%) $446,544
- --------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- --------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- --------------------------------------------------
NET ASSETS
Applicable to 34,448,250 outstanding
shares of beneficial interest
(unlimited authorization, no par
value) $445,983
- --------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.95
- --------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------
NET ASSETS
Applicable to 43,465 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 561
- --------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.91
- --------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- --------------------------------------------------
<S> <C>
NET ASSETS CONSIST OF:
Paid in Capital $370,743
Undistributed Net Investment Income
(Loss) 5,910
Undistributed Realized Net Gain (Loss) 40,154
Unrealized Appreciation (Depreciation)
on: Investment Securities (Net of
Foreign Capital
Gains Tax of $1) 29,868
Foreign Currency Transactions 854
Futures (985)
- --------------------------------------------------
NET ASSETS $446,544
- --------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
@ Value is less than $500.
ADR American Depositary Receipt
SDS Swedish Depositary Share
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (90.9%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
BANKS (2.2%)
* Concord EFS, Inc. 232,350 $ 5,998
Zions Bancorp. 108,600 4,432
- ----------------------------------------------------
GROUP TOTAL 10,430
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.8%)
* Beringer Wine Estates
Holdings, Inc., Class B 114,400 4,383
Estee Lauder Cos., Class A 81,300 4,167
- ----------------------------------------------------
GROUP TOTAL 8,550
- ----------------------------------------------------
CONSUMER DURABLES (0.8%)
Danaher Corp. 128,800 3,864
- ----------------------------------------------------
CONSUMER SERVICES (18.5%)
* Cablevision Systems Corp.,
Class A 182,200 7,869
* Cinar Films, Inc., Class B 347,200 6,228
Comcast Corp., Class A Special 162,397 7,623
* Heftel Broadcasting Corp.,
Class A 137,400 5,187
* Imax Corp. 246,700 4,934
* Jacor Communications, Inc. 179,300 9,077
* Liberty Media Group, Class A 222,616 8,167
* Mail-Well, Inc. 307,900 2,636
* Metro-Goldwyn-Mayer, Inc. 29,700 412
* Outdoor Systems, Inc. 312,162 6,087
* Pixar, Inc. 126,300 4,942
* Premier Parks, Inc. 185,100 3,239
* SFX Entertainment, Inc.,
Class A 71,200 2,216
Stewart Enterprises, Inc.,
Class A 319,100 5,345
* Tele-Communications TCI
Ventures Group, Class A 544,902 9,774
* United Video Satellite Group,
Inc. 358,600 5,312
- ----------------------------------------------------
GROUP TOTAL 89,048
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (3.4%)
FINOVA Group, Inc. 130,500 6,517
Newcourt Credit Group, Inc. 119,600 3,125
Providian Financial Corp. 79,900 6,776
- ----------------------------------------------------
GROUP TOTAL 16,418
- ----------------------------------------------------
ENERGY (1.5%)
* EEX Corp. 671,100 3,272
* J. Ray McDermott, S.A. 53,300 1,602
* Ocean Energy, Inc. 195,800 2,570
- ----------------------------------------------------
GROUP TOTAL 7,444
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (0.9%)
Earthgrains Co. (The) 136,900 4,235
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
HEALTH CARE (9.0%)
* Arterial Vascular Engineering,
Inc. 153,200 $ 5,668
HBO & Co. 170,500 4,923
* Health Management Associates,
Inc., Class A 722,900 13,193
* Lincare Holdings, Inc. 374,400 14,508
* Orthodontic Centers of
America, Inc. 312,700 5,218
- ----------------------------------------------------
GROUP TOTAL 43,510
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (11.1%)
* Allied Waste Industries, Inc. 311,200 7,274
* American Disposal Services,
Inc. 143,700 5,596
* American Tower Corp., Class A 209,100 5,332
Cintas Corp. 170,500 8,546
* Fiserv, Inc. 192,925 8,887
* Loral Space & Communications
Ltd. 222,500 3,282
* ONIX Systems, Inc. 284,700 2,491
* Orbital Sciences Corp. 103,100 2,893
* Rental Service Corp. 66,500 1,197
* United Rentals, Inc. 333,700 7,988
- ----------------------------------------------------
GROUP TOTAL 53,486
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Prologis Trust 205,664 4,653
- ----------------------------------------------------
RETAIL (8.3%)
* Borders Group, Inc. 224,000 4,984
CVS Corp. 242,900 10,642
Koninklijke Ahold NV ADR 179,000 5,202
* Micro Warehouse, Inc. 210,400 3,169
Ross Stores, Inc. 107,500 3,078
* Safeway, Inc. 164,900 7,647
* Trans World Entertainment
Corp. 274,800 5,015
- ----------------------------------------------------
GROUP TOTAL 39,737
- ----------------------------------------------------
TECHNOLOGY (23.7%)
America Online, Inc. 130,200 14,485
* At Home Corp., Series A 152,050 7,279
* BMC Software, Inc. 176,700 10,613
* Broadcom Corp., Class A 72,800 5,169
* Computer Horizons Corp. 168,600 4,205
Computer Sciences Corp. 114,300 6,229
* Compuware Corp. 153,800 9,055
* Diamond Technology Partners,
Inc. 90,200 1,488
* eBay, Inc. 58,900 2,654
* General Instrument Corp. 297,700 6,438
* Lason, Inc. 68,600 3,516
Linear Technology Corp. 89,900 4,495
* MAPICS, Inc. 237,600 5,242
* Micron Electronics, Inc. 321,100 5,619
* Network Associates, Inc. 119,893 4,256
* Novell, Inc. 556,000 6,811
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Omnipoint Corp. 234,700 $ 1,746
* Rational Software Corp. 374,200 6,291
* Tellabs, Inc. 74,700 2,974
* Yahoo! Inc. 41,200 5,335
- ----------------------------------------------------
GROUP TOTAL 113,900
- ----------------------------------------------------
UTILITIES (8.7%)
* AES Corp. 49,800 1,846
* Cellular Communications
International, Inc. 121,300 6,580
* Global Crossing Ltd. 187,200 3,908
* Globalstar Telecommunications
Ltd. 507,604 5,869
* Intermedia Communications,
Inc. 187,000 4,593
* Level 3 Communications, Inc. 155,200 4,957
* NEXTLINK Communications, Inc.,
Class A 153,200 3,581
* Qwest Communications
International, Inc. 144,081 4,512
* Western Wireless Corp., Class
A 330,200 5,902
- ----------------------------------------------------
GROUP TOTAL 41,748
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $412,483) 437,023
- ----------------------------------------------------
CASH EQUIVALENTS (34.1%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
-------
Short-term Investments Held as
Collateral for Loaned
Securities (26.2%) $125,995 125,995
- ----------------------------------------------------
REPURCHASE AGREEMENT (7.9%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $38,151,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$38,527 38,145 38,145
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $164,140) 164,140
- ----------------------------------------------------
TOTAL INVESTMENTS (125.0%) (Cost $576,623) 601,163
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-25.0%)
Cash $ 14
Dividends Receivable 51
Interest Receivable 6
Receivable for Investments Sold 18,653
Receivable for Fund Shares Sold 2,644
Other Assets 17
Payable for Investments Purchased (14,336)
Payable for Fund Shares Redeemed (385)
Payable for Investment Advisory Fees (697)
Payable for Administrative Fees (30)
Payable for Trustees' Deferred
Compensation Plan-Note F (17)
Payable for Distribution Fees-Adviser
Class (10)
Collateral on Securities Loaned, at Value (125,995)
Other Liabilities (65)
--------
(120,150)
- ----------------------------------------------------
NET ASSETS (100%) $481,013
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 23,089,774 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $429,955
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.62
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 2,752,902 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 51,058
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.55
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $368,497
Undistributed Realized Net Gain (Loss) 87,976
Unrealized Appreciation (Depreciation) on
Investment Securities 24,540
- ----------------------------------------------------
NET ASSETS $481,013
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ 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.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
BANKS (8.7%)
AmSouth Bancorp. 36,300 $ 1,239
BankBoston Corp. 29,500 973
City National Corp. 33,700 1,055
Colonial BancGroup, Inc. 232,000 2,915
Comerica, Inc. 26,400 1,447
Community First Bankshares, Inc. 72,800 1,292
Compass Bancshares, Inc. 1,500 50
Crestar Financial Corp. 52,905 3,002
Dime Bancorp, Inc. 43,500 1,101
First Tennessee National Corp. 86,200 2,354
Investors Financial Services
Corp. 14,000 686
Mercantile Bankshares Corp. 72,100 2,028
National Commerce Bancorp. 32,800 541
North Fork Bancorp., Inc. 108,800 2,176
PNC Bank Corp. 168,900 7,601
Regions Financial Corp. 45,000 1,631
Southtrust Corp. 93,800 3,277
Sovereign Bancorp, Inc. 277,360 3,692
Union Planters Corp. 12,900 648
Wilmington Trust Corp. 18,800 978
- ----------------------------------------------------
GROUP TOTAL 38,686
- ----------------------------------------------------
BASIC RESOURCES (1.9%)
AK Steel Holding Corp. 57,100 938
Bowater, Inc. 48,700 1,735
Georgia-Pacific Corp. (Timber
Group) 64,900 1,261
M.A. Hanna Co. 22,100 249
Solutia, Inc. 188,800 4,260
- ----------------------------------------------------
GROUP TOTAL 8,443
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.2%)
Coca Cola Enterprises, Inc. 144,600 3,651
Dial Corp. 74,100 1,528
- ----------------------------------------------------
GROUP TOTAL 5,179
- ----------------------------------------------------
CONSUMER DURABLES (5.3%)
Arvin Industries, Inc. 52,900 1,970
Dana Corp. 21,300 795
* Lear Corp. 117,400 5,136
Meritor Automotive, Inc. 56,900 857
Southdown, Inc. 271,400 12,213
* Tower Automotive, Inc. 117,600 2,323
- ----------------------------------------------------
GROUP TOTAL 23,294
- ----------------------------------------------------
CONSUMER SERVICES (6.3%)
* Budget Group, Inc. 59,700 1,362
Hertz Corp. (The), Class A 54,100 2,238
* Jacor Communications, Inc. 30,500 1,544
* Journal Register Co. 58,400 862
Media General, Inc., Class A 33,300 1,290
* Promus Hotel Corp. 74,300 2,048
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Romac International, Inc. 3,700 $ 67
* Valassis Communications, Inc. 326,100 13,044
Viad Corp. 90,100 2,416
Washington Post Co., Class B 6,300 3,219
- ----------------------------------------------------
GROUP TOTAL 28,090
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (2.7%)
Ambac Financial Group, Inc. 37,700 1,810
Bear Stearns Co., Inc. 23,620 731
Capital One Financial Corp. 10,800 1,118
CMAC Investment Corp. 35,600 1,549
* Heller Financial, Inc. 32,000 768
Paine Webber Group, Inc. 122,900 3,687
Price (T. Rowe) Associates, Inc. 83,000 2,438
- ----------------------------------------------------
GROUP TOTAL 12,101
- ----------------------------------------------------
ENERGY (1.3%)
Burlington Resources, Inc. 18,200 680
* Global Industries Ltd. 1,900 22
* Ocean Energy, Inc. 240,160 3,152
Transocean Offshore, Inc. 29,700 1,030
* Varco International, Inc. 88,000 737
- ----------------------------------------------------
GROUP TOTAL 5,621
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (3.4%)
Dean Foods Co. 29,200 1,285
* Fresh Del Monte Produce, Inc. 454,300 7,723
Interstate Bakeries Corp. 106,900 3,314
Michael Foods, Inc. 62,000 1,472
Quaker Oats Co. 16,500 974
* Universal Corp. 10,800 386
- ----------------------------------------------------
GROUP TOTAL 15,154
- ----------------------------------------------------
HEALTH CARE (6.8%)
Alpharma, Inc., Class A 161,700 4,245
* HEALTHSOUTH Corp. 160,000 1,690
* Lincare Holdings, Inc. 121,200 4,697
Mylan Labs, Inc. 165,400 4,879
* Sybron International Corp. 218,400 4,177
* Trigon Healthcare, Inc. 197,400 6,119
* Universal Health Services,
Inc., Class B 49,900 2,083
* Watson Pharmaceuticals, Inc. 49,100 2,492
- ----------------------------------------------------
GROUP TOTAL 30,382
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.6%)
* AccuStaff, Inc. 401,600 5,848
Air Express International Corp. 123,500 1,976
Airborne Freight Corp. 23,600 409
* Atlas Air, Inc. 61,400 1,761
* Aviation Sales Co. 24,100 697
Canadian National Railway Co. 14,900 665
Case Corp. 34,800 757
* CDI Corp. 15,600 355
CNF Transportation, Inc. 103,800 3,023
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
COMSAT Corp. 39,000 $ 1,375
* Continental Airlines, Class B 20,100 759
* Fiserv, Inc. 95,200 4,385
* Interim Services, Inc. 333,800 6,864
Martin Marietta Materials, Inc. 83,700 3,615
Miller (Herman), Inc. 25,000 494
Precision Castparts Corp. 30,900 1,275
Southwest Airlines Co. 64,950 1,299
* SPS Technologies, Inc. 5,400 251
Teekay Shipping Corp. 71,600 1,302
Trinity Industries, Inc. 60,600 1,966
* Triumph Group, Inc. 22,800 678
* U.S. Air Group, Inc. 21,500 1,088
Vulcan Materials Co. 4,100 415
Waste Management, Inc. 116,300 5,590
- ----------------------------------------------------
GROUP TOTAL 46,847
- ----------------------------------------------------
INSURANCE (5.2%)
Allmerica Financial Corp. 183,700 10,953
Everest Reinsurance Holdings,
Inc. 154,000 5,746
Old Republic International Corp. 114,900 2,585
ReliaStar Financial Corp. 56,400 2,200
Travelers Property Casualty
Corp., Class A 52,600 1,680
- ----------------------------------------------------
GROUP TOTAL 23,164
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Crescent Real Estate Equities Co. 180,900 4,568
- ----------------------------------------------------
RETAIL (10.6%)
* Barnes & Noble, Inc. 67,500 1,822
* BJ's Wholesale Club, Inc. 98,200 3,609
* Brinker International, Inc. 162,700 3,051
* Brylane, Inc. 46,900 750
CKE Restaurants, Inc. 40,600 1,208
* Consolidated Stores Corp. 284,600 5,585
CVS Corp. 96,062 4,209
* Dress Barn (The), Inc. 41,800 507
Family Dollar Stores, Inc. 111,600 1,758
Hughes Supply, Inc. 55,950 1,594
* Jones Apparel Group, Inc. 182,600 4,188
* Kroger Co. 24,400 1,220
* Office Depot, Inc. 289,200 6,489
Richfood Holdings, Inc. 63,100 970
Ross Stores, Inc. 216,800 6,206
Russ Berrie & Co., Inc. 45,000 858
* Safeway, Inc. 27,600 1,280
* Stage Stores, Inc. 54,800 668
TJX Cos., Inc. 55,500 989
- ----------------------------------------------------
GROUP TOTAL 46,961
- ----------------------------------------------------
TECHNOLOGY (13.6%)
* Acclaim Entertainment, Inc. 300,600 1,916
America Online, Inc. 54,700 6,085
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
* Analog Devices, Inc. 98,100 $ 1,576
* Atmel Corp. 55,900 507
BMC Software, Inc. 81,700 4,907
* Cabletron Systems, Inc. 51,700 582
* Cadence Design Systems, Inc. 147,100 3,760
* Computer Horizons Corp. 106,600 2,658
* Compuware Corp. 40,500 2,384
Comverse Technology, Inc. 8,700 356
ECI Telecommunications Ltd. 151,700 3,717
* Electronic Arts, Inc. 95,300 4,181
* Lexmark International Group,
Inc. 21,500 1,490
Linear Technology Corp. 53,100 2,655
* NCR Corp. 45,600 1,311
* Network Associates, Inc. 97,650 3,467
* Novell, Inc. 500,700 6,134
* Quantum Corp. 91,000 1,445
* Sanmina Corp. 56,400 1,586
* Sterling Software, Inc. 154,200 4,250
* Storage Technology Corp. 24,500 623
* Sybase, Inc. 102,400 618
* Symantec Corp. 17,000 224
* Tech Data Corp. 10,300 516
Tektronix, Inc. 17,500 271
* 3Com Corp. 44,500 1,338
* Xilinx, Inc. 59,000 2,065
- ----------------------------------------------------
GROUP TOTAL 60,622
- ----------------------------------------------------
UTILITIES (10.8%)
Allegheny Energy, Inc. 87,700 2,768
Black Hills Corp. 45,450 1,222
Carolina Power & Light Co. 75,000 3,464
Century Telephone Enterprises,
Inc. 119,950 5,668
CMS Energy Corp. 32,600 1,420
Columbia Energy Services Group 52,500 3,078
Energy East Corp. 54,800 2,795
Florida Progress Corp. 71,600 3,101
Illinova Corp. 69,900 2,005
IPALCO Enterprises, Inc. 33,400 1,572
LG&E Energy Corp. 81,700 2,277
Minnesota Power & Light Co. 7,200 317
Montana Power Co. 30,500 1,363
New Century Energies, Inc. 76,800 3,739
NIPSCO Industries, Inc. 29,800 980
Pinnacle West Capital Corp. 60,300 2,702
Public Service Enterprise Group,
Inc. 79,000 3,106
* Qwest Communications
International, Inc. 24,954 781
Texas Utilities Co. 123,700 5,760
- ----------------------------------------------------
GROUP TOTAL 48,118
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $429,768) 397,230
- ----------------------------------------------------
UNIT TRUST (1.3%)
- ----------------------------------------------------
S & P Mid-Cap 400 Depositary
Receipts (Cost $5,746) 97,300 5,820
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
WARRANTS (0.1%)
- ----------------------------------------------------
BANKS (0.1%)
* Golden State Bancorp, Inc.,
Litigation Warrants, expiring
1/1/01 (Cost $400) 77,300 $ 326
- ----------------------------------------------------
CASH EQUIVALENT (11.1%)
- ----------------------------------------------------
FACE
AMOUNT
(000)
-------
REPURCHASE AGREEMENT (11.1%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $49,565,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$50,053 (Cost $49,557) $49,557 49,557
- ----------------------------------------------------
TOTAL INVESTMENTS (101.9%) (Cost $485,471) 452,933
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.9%)
Dividends Receivable 372
Interest Receivable 7
Receivable for Investments Sold 17,251
Receivable for Fund Shares Sold 1,027
Other Assets 6
Payable for Investments Purchased (25,518)
Payable for Fund Shares Redeemed (658)
Payable for Investment Advisory Fees (898)
Payable for Administrative Fees (29)
Payable for Trustees' Deferred
Compensation Plan-Note F (6)
Payable for Shareholder Servicing
Fee-Investment Class (2)
Payable for Distribution Fee-Adviser Class (1)
Payable to Custodian (1)
Other Liabilities (148)
--------
(8,598)
- ----------------------------------------------------
NET ASSETS (100%) $444,335
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ----------------------------------------------------
<S> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 23,215,669 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $420,555
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.12
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,044,864 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 18,861
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.05
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 271,398 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 4,919
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.12
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $451,393
Undistributed Net Investment Income (Loss) 1,259
Undistributed Realized Net Gain (Loss) 24,221
Unrealized Appreciation (Depreciation) on
Investment Securities (32,538)
- ----------------------------------------------------
NET ASSETS $444,335
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EMERGING MARKETS VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (72.0%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
ARGENTINA (7.8%)
Banco Rio de La Plata S.A. ADR 21,100 $ 180
Telecom Argentina S.A. ADR 2,200 65
Telefonica de Argentina S.A. ADR 2,200 65
YPF S.A. ADR 17,200 447
- ----------------------------------------------------
GROUP TOTAL 757
- ----------------------------------------------------
BRAZIL (5.4%)
Pao de Acucar GDR 16,800 219
* Telebras ADR Preferred Block 4,300 303
- ----------------------------------------------------
GROUP TOTAL 522
- ----------------------------------------------------
CHILE (2.5%)
Cia de Telecomunicaciones de
Chile S.A. ADR 5,234 100
Embotelladora Andina S.A. Series
B ADR 12,900 143
- ----------------------------------------------------
GROUP TOTAL 243
- ----------------------------------------------------
CROATIA (2.5%)
Pliva d.d. GDR 18,000 240
- ----------------------------------------------------
DOMINICAN REPUBLIC (1.8%)
* TRICOM S.A. ADR 28,800 176
- ----------------------------------------------------
GREECE (2.0%)
Hellenic Bottling Co. S.A. 5,500 136
Hellenic Telecommunication
Organization S.A. 2,409 58
- ----------------------------------------------------
GROUP TOTAL 194
- ----------------------------------------------------
HONG KONG (3.0%)
* China Southern Airlines Co.,
Ltd. ADR 13,600 71
* China Telecom (Hong Kong) Ltd. 24,000 38
Smartone Telecommunications 67,000 183
- ----------------------------------------------------
GROUP TOTAL 292
- ----------------------------------------------------
HUNGARY (1.8%)
Matav Rt ADR 8,000 173
- ----------------------------------------------------
INDIA (5.3%)
Hindustan Lever Ltd. 50 2
@ Indian Petrochemicals Corp.,
Ltd. 100 --
ITC Ltd. 1,322 22
Mahanagar Telephone Nigam Ltd. 52,900 253
Reliance Industries Ltd. 79,640 240
- ----------------------------------------------------
GROUP TOTAL 517
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
INDONESIA (1.5%)
* Gulf Indonesia Resources Ltd. 14,100 $ 117
* International Nickel Indonesia 106,500 27
- ----------------------------------------------------
GROUP TOTAL 144
- ----------------------------------------------------
ISRAEL (6.2%)
* Bank Hapoalim Ltd. 58,500 143
Elron Electronic Industries Ltd. 10,000 148
* First International Bank of
Israel Ltd., Class 1 110,000 114
Supersol Ltd. 68,300 194
- ----------------------------------------------------
GROUP TOTAL 599
- ----------------------------------------------------
KOREA (3.8%)
Hyundai Heavy Industries 8,080 121
Pohang Iron & Steel Co., Ltd. 1,000 39
SK Telecom Co., Ltd. ADR 29,700 210
- ----------------------------------------------------
GROUP TOTAL 370
- ----------------------------------------------------
MALAYSIA (0.3%)
(c) Lingkaran Trans Kota
Holdings Bhd 52,000 27
- ----------------------------------------------------
MEXICO (12.7%)
* Banacci, S.A. de C.V., Class B 100,000 88
Cemex S.A. de C.V., Class B 107,120 268
Grupo Continental S.A. 148,000 392
* Grupo Posadas S.A., Class A 597,000 216
Organizacion Soriana S.A. de
C.V., Class B 113,000 272
- ----------------------------------------------------
GROUP TOTAL 1,236
- ----------------------------------------------------
PEOPLES REPUBLIC OF CHINA (1.4%)
Guangshen Railway Co., Ltd.
Class H 1,020,000 133
- ----------------------------------------------------
PHILIPPINES (1.8%)
Philippine Long Distance
Telephone Co. ADR 8,500 172
- ----------------------------------------------------
RUSSIA (2.6%)
* Global TeleSystems Group, Inc. 7,500 253
- ----------------------------------------------------
SINGAPORE (4.7%)
* Creative Technology Ltd. 24,600 222
Natsteel Electronics Ltd. 106,000 232
- ----------------------------------------------------
GROUP TOTAL 454
- ----------------------------------------------------
SOUTH AFRICA (2.4%)
Lonrho plc 38,250 193
* Lonrho Africa plc 38,250 39
- ----------------------------------------------------
GROUP TOTAL 232
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
TAIWAN (1.8%)
* Taiwan Semiconductor
Manufacturing Co. ADR 14,210 $ 174
- ----------------------------------------------------
THAILAND (0.7%)
* Ruam Pattana Fund II (Foreign) 830,600 72
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $9,760) 6,980
- ----------------------------------------------------
PREFERRED STOCKS (12.6%)
- ----------------------------------------------------
BRAZIL (12.6%)
CEMIG 15,232,628 332
Cimento Portland Itau 1,100,000 153
Eletropaulo Metropolitana 3,250,400 163
* Gerasul 72,300,000 72
Telesp 1,810,198 263
* Telesp Celular S.A., Class B 3,090,000 128
Votorantim Celulose e Papel S.A. 11,800,000 119
- ----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,784) 1,230
- ----------------------------------------------------
FOREIGN CURRENCY (1.5%)
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
Brazilian Real BRL 10,852 9
Greek Drachma GRD 1,793,026 6
@ Hong Kong Dollar HKD 211 --
@ Indian Rupee INR 3,722 --
(c) Malaysian Ringgit MYR 483,584 128
Mexican Peso MXP 10,360 1
@ Philippines Peso PHP 1 --
@ Taiwan Dollar TWD 207 --
@ Turkish Lira TRL 270 --
- ----------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $144) 144
- ----------------------------------------------------
</TABLE>
CASH EQUIVALENT (12.8%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (12.8%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $1,244,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$1,257 (Cost $1,244) $ 1,244 1,244
- ----------------------------------------------------
TOTAL INVESTMENTS (98.9%) (Cost $12,932) 9,598
- ----------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- ----------------------------------------------------
----------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (1.1%)
Cash $ 1
Dividends Receivable 30
Receivable for Investments Sold 136
Other Assets 48
Payable for Investment Advisory Fees (17)
Payable for Administrative Fees (1)
Accrued Foreign Capital Gains Taxes (42)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (43)
-------
111
- ----------------------------------------------------
NET ASSETS (100%) $ 9,709
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,573,522 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 9,709
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 6.17
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $15,565
Undistributed Net Investment Income (Loss) 51
Undistributed Realized Net Gain (Loss) (2,522)
Unrealized Appreciation (Depreciation) on:
Investment Securities (Net of
Foreign Capital Gains Tax of
$42) (3,376)
Foreign Currency Transactions (9)
- ----------------------------------------------------
NET ASSETS $ 9,709
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
(c) Effective September 1, 1998, Malaysia's central bank
imposed foreign currency controls prohibiting foreign
exchange transactions and the repatriation of foreign
currency for at least a one-year period. Malaysian
securities must be held for at least one year before
a foreign exchange application will be considered by
the central bank. The twelve-month holding period
starts on the date of acquisition or September 1,
1998, whichever is later. The proceeds of any sale of
Malaysian securities during that holding period must
be held in Malaysian ringgits or re-invested in
Malaysian securities until the end of the holding
period, at the earliest September 1, 1999. The
Manager has assessed the risks inherent to these
controls and has taken action to limit those risks.
All forward foreign currency contracts with Malaysian
exposure as of August 31, 1998 have been terminated.
ADR American Depositary Receipt
GDR Global Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ---------------------------------------------------
<S> <C> <C>
BANKS (1.2%)
* Concord EFS, Inc. 1,400 $ 36
- ---------------------------------------------------
BASIC RESOURCES (0.7%)
* AgriBioTech, Inc. 1,900 21
- ---------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.4%)
* Beringer Wine Estates Holdings,
Inc., Class B 1,100 42
- ---------------------------------------------------
CONSUMER DURABLES (0.9%)
Pillowtex Corp. 900 26
- ---------------------------------------------------
CONSUMER SERVICES (7.2%)
* Cinar Films, Inc., Class B 2,200 40
Intrawest Corp. 2,500 38
* Imax Corp. 2,000 40
* Pixar, Inc. 1,200 47
* Premier Parks, Inc. 1,200 21
* SFX Entertainment, Inc., Class A 1,000 31
- ---------------------------------------------------
GROUP TOTAL 217
- ---------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (1.8%)
Metris Cos., Inc. 600 28
* T & W Financial Corp. 1,700 25
- ---------------------------------------------------
GROUP TOTAL 53
- ---------------------------------------------------
ENERGY (1.3%)
* EEX Corp. 3,500 17
* Ocean Energy, Inc. 1,600 21
- ---------------------------------------------------
GROUP TOTAL 38
- ---------------------------------------------------
FOOD, TOBACCO & OTHER (1.2%)
Earthgrains Co. (The) 1,200 37
- ---------------------------------------------------
HEALTH CARE (15.1%)
* Arterial Vascular Engineering,
Inc. 1,000 37
* Coulter Pharmaceutical, Inc. 1,000 25
* IGEN International, Inc. 700 20
* Lincare Holdings, Inc. 2,300 89
* MedQuist, Inc. 1,500 48
* New American Healthcare Corp. 3,500 37
* Orthodontic Centers of America,
Inc. 2,500 42
* Safeskin Corp. 1,500 47
* Serologicals Corp. 2,400 60
* Xomed Surgical Products, Inc. 1,200 49
- ---------------------------------------------------
GROUP TOTAL 454
- ---------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ---------------------------------------------------
<S> <C> <C>
HEAVY INDUSTRY/TRANSPORTATION (14.6%)
* American Disposal Services, Inc. 1,200 $ 47
* American Tower Corp., Class A 1,700 43
Central Parking Corp. 900 45
G & K Services, Inc., Class A 800 38
* Hagler Bailly, Inc. 1,500 29
* L-3 Communications Holdings, Inc. 1,300 52
* MPW Industrial Services Group,
Inc. 2,600 25
* ONIX Systems, Inc. 1,400 12
* Orbital Sciences Corp. 1,400 39
* Rental Service Corp. 1,500 27
* United Rentals, Inc. 2,000 48
* Waste Connections, Inc. 1,700 34
- ---------------------------------------------------
GROUP TOTAL 439
- ---------------------------------------------------
PUBLISHING & BROADCASTING (8.4%)
* Adelphia Communications Corp.,
Class A 1,300 51
* Citadel Communications Corp. 1,600 33
* Heftel Broadcasting Corp., Class
A 900 34
* Lamar Advertising Co. 1,600 45
* Mail-Well, Inc. 1,800 15
* TMP Worldwide, Inc. 1,200 39
* United Video Satellite Group,
Inc. 2,300 34
- ---------------------------------------------------
GROUP TOTAL 251
- ---------------------------------------------------
RETAIL (6.4%)
* Duane Reade, Inc. 1,200 45
* Hollywood Entertainment Corp. 3,000 41
* Musicland Stores Corp. 3,300 41
* Restoration Hardware, Inc. 1,100 23
* Trans World Entertainment Corp. 2,400 44
- ---------------------------------------------------
GROUP TOTAL 194
- ---------------------------------------------------
TECHNOLOGY (21.6%)
* Acclaim Entertainment, Inc. 4,400 28
* ARIS Corp. 1,500 29
* BEA Systems, Inc. 1,900 41
* Broadcom Corp., Class A 500 36
* Computer Horizons Corp. 1,100 27
* Ebay, Inc. 600 27
* Gilat Satellite Networks, Ltd. 1,000 45
* Lason, Inc. 500 26
* Legato Systems, Inc. 600 31
* Macrovision Corp. 1,600 47
* MAPICS, Inc. 2,500 55
* Micron Electronics, Inc. 2,500 44
* MindSpring Enterprises, Inc. 1,100 46
* Object Design, Inc. 5,500 28
* Omnipoint Corp. 1,400 10
* Rational Software Corp. 3,000 50
* Transaction Systems Architect,
Inc., Class A 1,100 39
</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>
* ViaSat, Inc. 1,900 $ 16
* Xylan Corp. 1,900 25
- ---------------------------------------------------
GROUP TOTAL 650
- ---------------------------------------------------
UTILITIES (7.4%)
* Cellular Communications
International, Inc. 800 43
* Commonwealth Telephone
Enterprise, Inc. 1,300 31
* Intermedia Communications, Inc. 1,200 29
* MetroNet Communications Corp.,
Class B 1,600 29
* NEXTLINK Communications, Inc.,
Class A 1,100 26
* RCN Corp. 1,700 22
* Western Wireless Corp., Class A 2,400 43
- ---------------------------------------------------
GROUP TOTAL 223
- ---------------------------------------------------
TOTAL COMMON STOCKS (Cost $3,000) 2,681
- ---------------------------------------------------
CASH EQUIVALENT (8.5%)
- ---------------------------------------------------
FACE
AMOUNT
(000)
------
REPURCHASE AGREEMENT (8.5%)
Chase Securities, Inc. 5.40%, dated
9/30/98, due 10/1/98, to be
repurchased at $254,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at $256
(Cost $254) $ 254 254
- ---------------------------------------------------
TOTAL INVESTMENTS (97.7%) (Cost $3,254) 2,935
- ---------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ---------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (2.3%)
Receivable for Investments Sold $ 79
Receivable for Fund Shares Sold 50
Receivable from Investment Adviser 21
Other Assets 1
Payable for Investments Purchased (69)
Other Liabilities (13)
------
69
- ---------------------------------------------------
NET ASSETS (100%) $3,004
- ---------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------
NET ASSETS
Applicable to 350,651 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $3,004
- ---------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.57
- ---------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $3,499
Undistributed Realized Net Gain (Loss) (176)
Unrealized Appreciation (Depreciation) on
Investment Securities (319)
- ---------------------------------------------------
NET ASSETS $3,004
- ---------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
* Non-income producing security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (116.8%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (55.0%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
9.50%, 10/1/16 Agy $ 1,528 $ 1,657
10.00%,
2/1/10-11/1/20 Agy 24,439 26,705
10.50%,
8/1/09-4/1/26 Agy 3,283 3,625
11.00%,
5/1/11-9/1/20 Agy 4,613 5,146
11.25%,
10/1/11-12/1/15 Agy 1,388 1,555
11.50%,
1/1/11-12/1/15 Agy 207 235
11.75%, 4/1/19 Agy 139 159
12.00%,
10/1/09-2/1/15 Agy 307 348
12.50%, 8/1/13 Agy 19 22
13.00%, 6/1/19 Agy 41 47
14.00%, 8/1/14 Agy 13 15
14.75%, 3/1/10 Agy 28 32
Gold Pools:
9.00%, 7/1/17 Agy 10,461 11,187
9.50%,
10/1/17-12/1/22 Agy 11,740 12,811
10.00%,
6/1/17-3/1/21 Agy 7,451 8,188
10.50%,
8/1/19-4/1/21 Agy 1,344 1,494
October TBA
6.00%, 10/15/28 Agy 453,350 453,326
6.50%, 10/15/28 Agy 131,000 133,354
7.50%, 10/15/28 Agy 38,350 39,516
November TBA
6.00%,
10/15/28-11/15/28 Agy 321,350 321,183
6.50%, 11/25/28 Agy 51,300 52,190
Federal National
Mortgage Association
Conventional Pools:
9.00%,
12/1/08-1/1/22 Agy 30,183 32,202
9.50%,
11/1/13-12/1/26 Agy 22,765 24,751
10.00%,
10/1/07-1/1/27 Agy 17,254 18,929
10.50%,
6/1/10-7/1/25 Agy 10,773 11,973
10.75%, 2/1/11 Agy 41 46
11.00%,
1/1/16-11/1/20 Agy 4,075 4,573
11.50%,
1/1/13-2/1/20 Agy 4,412 4,997
12.00%,
8/1/13-4/1/15 Agy 95 109
12.50%, 5/1/12 Agy 915 1,054
13.50%, 8/1/14 Agy 17 20
October TBA
6.00%, 10/25/28 Agy 472,375 470,136
6.50%, 10/25/28 Agy 275,000 279,669
November TBA
6.00%,
10/15/28-11/15/28 Agy 28,250 28,103
6.50%, 11/25/28 Agy 179,500 182,426
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%, 5/20/25
TBA Tsy $ 12,522 $ 12,682
6.875%,
2/20/25-6/20/25 Tsy 100,781 102,070
7.00%,
2/20/25-11/20/25 Tsy 20,165 20,427
7.125%, 7/20/25 Tsy 16,268 16,480
7.50%, 1/20/25 Tsy 12,587 12,750
Various Pools:
9.50%,
12/15/17-9/15/22 Tsy 534 584
10.00%,
11/15/09-10/15/28 Tsy 224,062 247,486
10.50%,
2/15/13-5/15/26 Tsy 19,301 21,501
11.00%,
11/20/19-4/15/28 Tsy 47,192 53,122
11.50%,
7/15/12-9/20/19 Tsy 1,202 1,349
12.00%,
4/15/12-11/15/19 Tsy 20,779 23,795
- -------------------------------------------------------
GROUP TOTAL 2,644,029
- -------------------------------------------------------
ASSET BACKED CORPORATES (12.6%)
Advanta Mortgage Loan Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA 13,605 13,637
97-4 A2
6.53%, 9/25/12 AAA 17,159 17,278
(Sec.) Aegis Auto
Receivables Trust,
Series 95-1 A
(acquired 2/14/97-
11/18/97, cost
$110)
8.60%, 3/20/02 N/R 109 109
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 32,000 32,538
97-D A3
6.20%, 5/15/03 AAA 16,425 16,645
98-A A3
5.90%, 11/15/02 AAA 19,450 19,600
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 4,382 4,428
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 9,171 9,190
+## Citibank Credit
Card Master Trust I
Series 98-7 A
5.60%, 5/15/02 Aaa 36,300 36,315
(-) Commercial
Financial Services,
Inc., Series 97-5
A1
7.72%, 6/15/05 A 8,250 8,392
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA $ 9,757 $ 9,826
Empire Funding Home
Loan Owner Trust,
Series 97-5 A2
6.59%, 5/25/14 AAA 7,475 7,558
(-) First Mortgage
Acceptance Corp.
Loan Receivables
Trust,
Series 96-B A1
7.629%, 11/1/18 A 6,421 6,481
First Plus Home Loan Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 9,590 9,594
97-3 A3
6.57%, 10/10/10 AAA 11,540 11,590
97-4 A2
6.30%, 8/10/09 AAA 12,000 12,016
97-4 A3
6.40%, 8/10/11 AAA 10,225 10,269
98-3 A1
5.706%, 3/10/08 AAA 18,928 18,883
98-1 A2
5.97%, 11/10/10 AAA 16,236 16,209
98-1 A3
6.04%, 10/10/13 AAA 10,100 10,119
## First Security
Auto Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 16,806 16,933
First USA Credit Card
Master Trust,
Series 97-10 A
5.672%, 9/17/03 AAA 22,900 22,895
Ford Credit Auto
Owner Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 22,562 22,717
(-) Global Rated
Eligible
Asset Trust,
Series 98-A A1
7.45%, 3/15/06 A 7,588 7,736
Green Tree Lease
Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 550 555
Honda Auto Receivables
Grantor
Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 16,999 17,063
97-B A
5.95%, 5/15/03 AAA 13,718 13,797
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
IMC Home Equity Loan Trust,
Series:
98-1 A2
6.31%, 12/20/12 AAA $ 20,050 $ 20,138
98-3 A2
6.27%, 11/20/13 AAA 46,500 46,518
IndyMac Home Equity Loan,
Series 98-A A1
5.724%, 9/25/20 AAA 28,850 28,853
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 8,420 8,463
MMCA Automobile
Trust,
Series 97-1 A3
6.06%, 5/15/01 AAA 200 201
(-) National Car
Rental Financing
Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 12,000 12,668
Nissan Auto Receivables Grantor
Trust,
Series 97-A A
6.15%, 2/15/03 AAA 19,494 19,623
Old Stone Credit
Corp. Home Equity
Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 9 9
(-) Rental Car
Finance Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 24,225 24,964
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 679 679
(-) Team Fleet
Financing Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 6,500 6,641
97-1A
7.35%, 5/15/03 A- 4,700 4,921
98-3A
6.13%, 10/25/04 AA 17,075 17,476
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 17,515 17,617
World Omni Automobile
Lease
Securitization
Corp., Series 97-B
A2
6.08%, 11/15/03 AAA 24,500 24,650
- -------------------------------------------------------
GROUP TOTAL 605,794
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.2%)
sec. Cityscape Home
Equity Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 AAA $119,590 $ 2,765
96-3 A YMA
10/25/26 (acquired
12/24/96, cost
$222) N/R 119,590 162
Contimortgage Home
Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 94,232 2,339
(-) 96-4 A11 IO YMA
1/15/28 AAA 106,920 154
96-4 A12 I IO
1.05%, 1/15/28 AAA 21,489 533
(Sec.) 96-4 A12 I
YMA 1/15/28
(acquired
12/16/96, cost
$82) AAA 23,073 34
97-1 A10 I IO
1.10%, 3/15/28 AAA 107,015 2,764
(-) 97-1 A10 I YMA
3/15/28 N/R 132,158 185
- -------------------------------------------------------
GROUP TOTAL 8,936
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (5.2%)
Federal Home Loan
Mortgage
Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy 80 85
92-1398 I Inv Fl
REMIC
14.14%, 10/15/07 Agy 2,451 3,155
1415-S Inv Fl IO
19.125%, 11/15/07 Agy 2,352 860
1476-S Inv Fl IO
REMIC PAC
4.339%, 2/15/08 Agy 24,386 2,012
1485-S Inv Fl IO
REMIC
3.975%, 3/15/08 Agy 22,062 1,522
1600-SA Inv Fl IO
REMIC
2.375%, 10/15/08 Agy 45,928 2,301
## 1933-FM REMIC
6.375%, 3/15/25 Agy 2,384 2,397
## 1933-FO REMIC
6.375%, 3/15/25 Agy 4,167 4,191
1950-SC Inv Fl IO
2.375%, 10/15/22 Agy 1,540 102
## 2040-FC
5.94%, 2/15/23 Agy 18,609 18,671
## E2 F
5.988%, 2/15/24 Agy 95 95
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage
Association,
Series:
90-118 S Inv Fl REMIC
28.579%, 9/25/20 Agy $ 941 $ 1,397
92-186 S Inv Fl IO
REMIC
3.339%, 10/25/07 Agy 43,310 2,841
93-205 H PO REMIC
9/25/23 Agy 19,244 15,307
## 94-50 FD REMIC
6.138%, 3/25/24 Agy 13,674 13,730
94-93 PD PAC-1 (11)
7.25%, 4/25/15 Agy 246 248
96-14 PC PO
12/25/23 Agy 1,371 1,275
96-54 O PO
11/25/23 Agy 1,077 971
96-68 SC Inv Fl IO
REMIC
2.413%, 1/25/24 Agy 11,605 1,420
97-30 Inv Fl IO
REMIC
2.313%, 7/25/22 Agy 1,210 83
## 97-43 FM REMIC
6.188%, 7/18/27 Agy 11,354 11,436
97-57 PV IO
8.00%, 9/18/27 Agy 23,139 6,352
## 97-70 FA REMIC,
PAC (11)
6.138%, 7/18/20 Agy 10,327 10,392
## 98-22 FA REMIC
5.99%, 4/18/22 Agy 34,569 34,671
## 98-40 F
5.941%, 6/17/28 Agy 32,133 32,238
## 98-43 FC
5.94%, 7/18/28 Agy 45,316 45,486
191 IO
8.00%, 1/1/28 Agy 35,553 4,533
281-2 IO
9.00%, 11/1/26 Agy 10,714 1,540
291-2 IO
8.00%, 11/1/27 Agy 56,074 7,070
G92-53 S Inv Fl IO
REMIC
32.063%, 9/25/22 Agy 1,868 1,269
Government National
Mortgage
Association,
Series:
96-12 S Inv Fl IO
REMIC
2.813%, 6/16/26 Tsy 1,524 93
96-13 S Inv Fl IO
REMIC
3.65%, 7/16/11 Tsy 639 46
96-17 S Inv Fl IO
REMIC
2.863%, 8/16/26 Tsy 755 48
## 97-13 F TBA
6.188%, 9/16/27 Tsy 21,144 21,306
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Kidder Peabody
Mortgage Assets
Trust,
Series:
87-B IO
9.50%, 4/22/18 Aaa $ 69 $ 12
87-B PO
4/22/18 Aaa 65 57
- -------------------------------------------------------
GROUP TOTAL 249,212
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.7%)
American Housing
Trust,
Series V 1G
9.125%, 4/25/21 AAA 5,103 5,430
(+) Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 Baa3 104 104
First Boston Mortgage
Corp., Series 92-4
B1
8.125%, 10/25/22 A 15 15
## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.285%, 5/28/22 N/R 3,623 3,589
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 2,560 2,782
## Morserv, Inc. 96-2
1A1
6.538%, 11/25/26 AAA 19,066 19,214
Prudential Home
Mortgage
Securities Co.
Inc.,
Series:
90-5 A3
9.50%, 5/25/05 AAA 107 107
(+) 92-33 B1
7.50%, 11/15/22 Aa3 1 1
(+) 93-17 B1
6.50%, 3/1/23 A2 9 9
94-A 3B5
6.802%, 4/28/24 N/R 12 12
Rural Housing Trust,
Series 87-1 B1
REMIC
3.33%, 10/1/28 A- 2,833 2,764
- -------------------------------------------------------
GROUP TOTAL 34,027
- -------------------------------------------------------
COMMERCIAL MORTGAGES (5.2%)
(+) American Southwest
Financial
Securities Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 8,015 8,298
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 27,881 29,600
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
96-MD6 A1B
6.88%, 11/13/26 AAA $ 125 $ 132
96-MD6 A1C
7.04%, 11/13/26 AAA 8,150 8,767
(+)## 97-D5 PS1 IO
1.571%, 2/14/41 Aaa 94,308 9,708
Beverly Finance
Corp.,
Series 94-1
8.36%, 7/15/04 AA- 125 141
(-) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 6,200 6,419
1 C
7.527%, 10/15/07 BBB+ 5,113 5,245
(-) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 5,525 6,412
(-) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA 10,925 11,656
DLJ Mortgage
Acceptance Corp.,
Series:
93-MF7 A1
7.40%, 6/18/03 AAA 109 114
## 95-CF2 S2 IO
1.642%, 12/17/27 BBB 47,940 3,637
(-) 96-CF2 A1B
7.29%, 11/12/21 AAA 2,305 2,470
(-)## 96-CF2 S IO
1.638%, 11/12/21 N/R 37,492 2,704
(-) 97-CF1 S IO
1.093%, 3/15/17 AAA 74,319 4,413
## Federal National
Mortgage
Association, Series
93-M2 B IO
2.597%, 11/25/23 Agy 163 3
(+) GMAC Commercial
Mortgage
Securities, Inc.,
Series:
## 96-C1 X2 IO
1.888%, 3/15/21 Aaa 34,332 2,514
97-C1 A2
6.853%, 9/15/06 Aaa 14,885 15,805
## 97-C2 X IO
1.273%, 4/15/27 Aaa 157,891 11,200
(+) GS Mortgage
Securities Corp.
II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 15,630 16,839
## 97-GL X2 IO
1.068%, 7/13/30 Aaa 37,164 1,844
(-) Lakeside Finance
Corp.
6.47%, 12/15/00 AA 145 148
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<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
7.428%, 10/25/26 Aaa $ 9,165 $ 9,934
98-C1 IO
1.198%, 2/18/28 Aaa 150 10
Lehman Large Loan,
Series 97-LLI A2
6.84%, 9/12/06 AAA 16,650 17,665
## Merrill Lynch
Mortgage Investors,
Inc.,
Series:
95-C1 IO
2.165%, 5/25/15 N/R 1,259 57
## 96-C2 IO
1.541%, 11/21/28 AAA 39,066 3,164
(+) Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 6,805 7,306
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 9,323 9,637
(+) 97-MC1 A3
7.288%, 7/20/27 Aaa 17,649 19,095
Nomura Asset
Securities Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 253 255
## 94-MD1 A2
7.666%, 3/15/18 N/R 65 68
94-MD1 A3
8.026%, 3/15/18 N/R 4,314 4,604
(-) Park Avenue
Finance Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 11,518 12,476
(-) Prime Property
Funding,
Series 1 A
6.633%, 7/23/03 AA 4,834 4,917
(+) Salomon Brothers
Mortgage
Securities, Series
97-TZH A2
7.174%, 3/24/22 Aa2 7,900 8,430
Sawgrass Financial
LLC,
Series 93-1 A
6.45%, 1/20/06 AAA 155 158
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
## Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.337%, 2/25/28 N/R $ 49,766 $ 981
96-CFL X1 IO
1.447%, 2/25/28 N/R 53,400 2,868
96-CFL X2 IO
1.169%, 2/25/28 N/R 14,035 330
- -------------------------------------------------------
GROUP TOTAL 250,024
- -------------------------------------------------------
ENERGY (0.2%)
(-) Excel Paralubes
Funding
7.43%, 11/1/15 A- 7,200 7,505
Mobile Energy
Services
8.665%, 1/1/17 CCC 8,892 3,299
- -------------------------------------------------------
GROUP TOTAL 10,804
- -------------------------------------------------------
FINANCE (8.5%)
(-) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 10,840 11,727
Associates Corp. of
North America
6.00%, 7/15/05 AA- 18,035 18,610
BankAmerica Capital
Corp.,
Series 2
8.00%, 12/15/26 A 110 118
(-) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 20,610 22,207
(-) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 23,725 22,493
(-) EOP Operating LP
6.763%, 6/15/07 BBB 12,025 12,128
Equifax, Inc.
6.90%, 7/1/28 A 8,880 9,141
Equitable Companies,
Inc.
6.50%, 4/1/08 A 4,805 5,069
(-) Equitable Life
Assurance Society
of the U.S.,
Series 1A
6.95%, 12/1/05 A 16,492 17,709
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 9,240 9,308
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 15,870 18,940
(-) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 16,565 17,862
First Union
Institutional
Capital Series I
8.04%, 12/1/26 BBB+ 19,360 21,108
(-) Florida Property
& Casualty
7.375%, 7/1/03 A- 9,200 9,899
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(-) Florida Windstorm
6.70%, 8/25/04 A- $ 19,530 $ 20,544
Great Western
Financial Inc.,
Series A
8.206%, 2/1/27 BBB- 8,850 9,578
(-) GS Escrow Corp.
7.125%, 8/1/05 BB+ 15,000 14,914
HMH Properties,
Series A
7.875%, 8/1/05 BB 21,980 22,247
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 14,770 15,091
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 20,155 20,405
(-) New York Life
Insurance Co.
7.50%, 12/15/23 AA 6,105 6,448
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 17,765 19,001
(-) Prime Property
Funding II
6.80%, 8/15/02 A 11,795 12,034
7.00%, 8/15/04 A 8,640 8,958
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 19,335 22,722
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 7,540 8,321
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,806 11,471
96 WFP-D
6.95%, 9/1/13 AA- 21,505 22,688
- -------------------------------------------------------
GROUP TOTAL 410,741
- -------------------------------------------------------
INDUSTRIALS (7.4%)
American Standard
Cos.
7.375%, 4/15/05 BB- 12,005 12,212
Becton, Dickinson &
Co.
7.00%, 8/1/27 A+ 3,355 3,679
CalEnergy Co., Inc.
8.48%, 9/15/28 BB+ 9,230 9,601
(-) CBS Corp.
7.15%, 5/20/05 BB+ 16,985 17,737
Columbia/HCA
Healthcare
7.58%, 9/15/25 BBB 9,885 8,703
9.00%, 12/15/14 BBB 6,450 7,010
Continental
Cablevision
8.30%, 5/15/06 BBB 11,230 12,724
Cox Communications,
Inc.
6.80%, 8/1/28 A- 5,585 5,796
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 15,705 16,255
</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 $ 10,115 $ 9,694
93-K1 A2
7.43%, 8/15/18 BB 260 234
94-K1 A1
7.60%, 8/15/07 BB 6,815 6,889
94-K2 A2
9.35%, 8/15/19 BB 3,890 4,026
Ford Motor Co.
6.50%, 8/1/18 A+ 2,490 2,512
6.625%, 10/1/28 A 9,295 9,398
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 17,490 18,243
General Motors Corp.
6.75%, 5/1/28 A 13,630 13,929
Intermedia
Communications,
Inc.
Series B
8.50%, 1/15/08 B 2,685 2,665
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB 7,945 8,458
Lenfest
Communications,
Inc.
(-)# 7.625%,
2/15/08 BB+ 13,490 13,625
8.375%, 11/1/05 BB+ 10,800 11,313
News America, Inc.
7.28%, 6/30/28 BBB- 19,945 20,260
8.875%, 4/26/23 BBB- 870 1,042
(-) Oxymar
7.50%, 2/15/16 BBB 6,175 6,311
Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 18,612 19,953
Philip Morris Cos.,
Inc.
6.375%, 2/1/06 A 2,790 2,891
7.00%, 7/15/05 A 6,815 7,315
# Rhone-Poulenc
Rorer, Inc., Series
92-A 3
8.62%, 1/5/21 BBB- 8,355 9,186
Scotia Pacific Co.,
LLC
7.71%, 7/20/28 BBB 27,920 26,341
Southland Corp.
5.00%, 12/15/03 BB+ 16,080 13,346
TCI Communications,
Inc.
7.875%, 2/15/26 BBB- 3,760 4,428
(-) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 13,130 13,311
Time Warner Cos.,
Inc.
6.95%, 1/15/28 BBB- 4,440 4,610
7.57%, 2/1/24 BBB- 13,435 14,902
United Technologies
Corp.
6.70%, 8/1/28 A+ 13,745 14,595
- -------------------------------------------------------
GROUP TOTAL 353,194
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Bank of America,
Series A
8.375%, 5/1/07 AAA $ 322 $ 322
(Sec.) Household
Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 6/22/94,
cost $211) N/R 224 224
(Sec.)## Magnolia
Federal Bank,
Series 84-2
9.12%, 10/1/07
(acquired 5/1/87,
cost $745) N/R 792 817
## Resolution Trust
Corp.,
Series 92-5 C
8.613%, 1/25/26 AA 3,251 3,227
Ryland Acceptance
Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 3,982 3,920
- -------------------------------------------------------
GROUP TOTAL 8,510
- -------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (0.0%)
Federal National
Mortgage
Association,
Series 282-1 PO
9/1/25 Agy 399 399
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 52 11
- -------------------------------------------------------
GROUP TOTAL 410
- -------------------------------------------------------
TELEPHONES (1.9%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 10,945 12,876
GTE Corp.
6.94%, 4/15/28 A 14,310 15,250
Intermedia
Communications,
Inc.,
Series B
8.60%, 6/1/08 B 4,820 4,796
MCI Worldcom, Inc.
6.95%, 8/15/28 BBB+ 33,315 34,959
# Qwest
Communications
International, Inc.
0.00%, 2/1/08 BB+ 23,940 17,775
TCI Communications,
Inc.
7.125%, 2/15/28 BBB- 5,065 5,498
- -------------------------------------------------------
GROUP TOTAL 91,154
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (1.0%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ $ 18,590 $ 20,487
(-) Jet Equipment
Trust,
Series:
94-A A11
10.00%, 6/15/12 A+ 275 370
95-C
10.69%, 5/1/15 BBB 8,895 11,784
Union Pacific Corp.
6.625%, 2/1/08 BBB- 12,875 13,284
- -------------------------------------------------------
GROUP TOTAL 45,925
- -------------------------------------------------------
U.S. TREASURY SECURITIES (10.8%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 26,000 37,964
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 215,281 211,847
3.625%, 7/15/02
(Inflation
Indexed) Tsy 84,218 84,526
3.625%, 1/15/08
(Inflation
Indexed) Tsy 88,986 89,235
+++ 6.25%, 4/30/01 Tsy 90,000 94,065
- -------------------------------------------------------
GROUP TOTAL 517,637
- -------------------------------------------------------
UTILITIES (0.5%)
(-) Edison Mission
Energy Funding
Corp., Series B
7.33%, 9/15/08 BBB 7,625 8,184
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- 7,844 8,372
# H
0.00%, 7/1/10 BB- 12,164 8,819
- -------------------------------------------------------
GROUP TOTAL 25,375
- -------------------------------------------------------
YANKEE (7.4%)
(-) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB 18,514 16,489
(-) AST Research,
Inc.
7.45%, 10/1/02 BB- 17,025 12,753
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 6,250 5,319
7.75%, 7/15/08 A- 17,335 15,335
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 14,445 12,054
</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>
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB $ 12,185 $ 10,166
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 25,390 18,036
(-) Hyundai
Semiconductor
America
8.25%, 5/15/04 B 2,755 2,016
8.625%, 5/15/07 B 10,120 7,106
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 3,090 3,015
7.75%, 12/15/27 A- 17,545 16,469
Korea Development
Bank
7.375%, 9/17/04 BB+ 28,085 22,081
Multicanal S.A.
10.50%, 2/1/07 BB- 4,405 2,980
(-) 10.50%,
4/15/18 BB+ 9,415 6,194
National Power Corp.
7.875%, 12/15/06 BB+ 11,240 7,763
8.40%, 12/15/16 BB+ 8,315 5,046
(-) Oil Purchase Co.
7.10%, 4/30/02 BBB 17,057 16,703
(-) Paiton Energy
Funding
9.34%, 2/15/14 CCC 11,245 2,586
(-) Petroliam
Nasional Bhd.
7.125%, 10/18/06 BBB- 21,415 13,927
(-) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BBB- 23,435 19,427
(-) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 23,600 19,671
(-) Reliance
Industries Ltd.
8.25%, 1/15/27 BB+ 1,890 1,361
9.375%, 6/24/26 BB+ 2,965 2,416
Republic of Argentina
Series L
# 5.00%, 3/31/23 BB 32,480 21,904
# Par, Series L
5.75%, 3/31/23 BB 14,755 9,951
Republic of Colombia
8.70%, 2/15/16 BBB- 18,440 11,715
Republic of Korea
8.875%, 4/15/08 BB+ 5,600 4,828
Rogers Cablesystems
Ltd.,
10.00%, 3/15/05 BB+ 7,560 8,222
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 5,520 5,272
(-) Samsung
Electronics Co.
7.45%, 10/1/02 BB- 9,060 6,642
8.50%, 11/1/02 BB- 1,500 1,116
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB $ 52,860 $ 38,720
B
6.25%, 12/31/19 BB 10,405 7,622
- -------------------------------------------------------
GROUP TOTAL 354,905
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $5,612,349) 5,610,677
- -------------------------------------------------------
PREFERRED STOCKS (1.6%)
- -------------------------------------------------------
SHARES
------
<S> <C> <C> <C>
INDUSTRIALS (0.3%)
(-) Entertainment Properties,
14.253% BBB- 10,200 9,540
Tier One Properties,
11.095% A 4,650 4,531
- -------------------------------------------------------
GROUP TOTAL 14,071
- -------------------------------------------------------
MORTGAGE-OTHER (1.3%)
(-)(+) Home Ownership
Funding Corp.,
13.331% Aaa 63,925 64,069
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $69,695) 78,140
- -------------------------------------------------------
RIGHTS (0.0%)
- -------------------------------------------------------
MISC-INDUSTRIALS (0.0%)
*@ United Mexican
States Recovery
Rights, Expiring
6/30/03
(Cost $0) N/R 10,975,000 --
- -------------------------------------------------------
STRUCTURED INVESTMENT (0.0%)-SEE NOTE A7
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments
equal to 1% per
annum of the
outstanding
notional balance,
indexed to GNMA ARM
pools (Cost $5,792) N/R $111,035 1,544
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & 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- $ 2,800 $ --
@ 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 --
- -------------------------------------------------------
TOTAL INTEREST RATE CAPS (Premium Paid $3,301)
--
- -------------------------------------------------------
CASH EQUIVALENTS (24.9%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (3.5%) 169,536 169,536
- -------------------------------------------------------
COMMERCIAL PAPER (16.6%)
American Express Credit Corp.
5.42%, 11/9/98 50,000 49,706
Associates Corp. of
North America
5.51%, 10/8/98 50,000 49,946
Canadian Imperial Bank Holdings
5.52%, 10/7/98 50,000 49,954
Eastman Kodak Co.
6.40%, 11/9/98 25,000 24,827
E.I. DuPont de Nemours & Co.
5.42%, 11/6/98 49,000 48,734
sec. First Chicago Financial
Corp.
5.50%, 10/28/98 (acquired
9/15/98, cost $42,076) 42,250 42,076
Ford Motor Credit
5.50%, 10/16/98 50,000 49,885
Gannett Corp.
5.48%, 10/19/98 50,000 49,863
General Electric Capital Corp.
5.42%, 11/19/98 50,000 49,631
5.51%, 10/9/98 50,000 49,939
General Motors Corp.
5.52%, 10/16/98 50,000 49,885
Household, Inc.
5.43%, 12/4/98 43,100 42,684
J.P. Morgan & Co.
5.42%, 11/16/98 50,000 49,654
Koch Industries, Inc.
5.49%, 10/1/98 45,000 45,000
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Metlife Funding, Inc.
5.50%, 10/9/98 $ 30,222 $ 30,185
Prudential Funding Corp.
5.51%, 10/9/98 50,000 49,939
5.49%, 10/15/98 25,000 24,947
Xerox Credit Corp.
5.50%, 10/2/98 38,000 37,994
- -------------------------------------------------------
GROUP TOTAL 794,849
- -------------------------------------------------------
REPURCHASE AGREEMENT (4.8%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $231,972,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$234,257 231,938 231,938
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,196,323) 1,196,323
- -------------------------------------------------------
TOTAL INVESTMENTS (143.3%)
(Cost $6,887,460) 6,886,684
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-43.3%)
Cash 185
Dividends Receivable 2,494
Interest Receivable 49,703
Receivable for Investments Sold 2,956
Receivable for Forward Commitments 609,196
Receivable for Fund Shares Sold 4,002
Unrealized Gain on Swap Agreements 9,697
Unrealized Gain on Forward Foreign Currency
Contracts 715
Other Assets 105
Payable for Investments Purchased (37,689)
Payable for Forward Commitments (2,541,652)
Payable for Fund Shares Redeemed (4,945)
Payable for Investment Advisory Fees (4,447)
Payable for Administrative Fees (314)
Payable for Shareholder Servicing
Fees-Investment Class (6)
Payable for Distribution Fees-Adviser Class (27)
Payable for Trustees' Deferred Compensation
Plan-Note F (103)
Payable for Daily Variation on Futures
Contracts (344)
Collateral on Securities Loaned, at Value (169,536)
Other Liabilities (1,412)
----------
(2,081,422)
- -------------------------------------------------------
NET ASSETS (100%) $4,805,262
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 378,558,330 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $4,625,015
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.22
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- -------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 4,003,912 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 48,944
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.22
- -------------------------------------------------------
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 10,738,846 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 131,303
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.23
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $4,635,078
Undistributed Net Investment Income (Loss) 70,218
Undistributed Realized Net Gain (Loss) 100,698
Unrealized Appreciation (Depreciation) on:
Investment Securities (776)
Foreign Currency Transactions 715
Futures and Swaps (671)
- -------------------------------------------------------
NET ASSETS $4,805,262
- -------------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1998
was $43,422 or 0.9% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security
(-) 144A Security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for future contracts.
(+) Moody's Investor's Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. rate disclosed is as of September 30,
1998. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1998.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
Inv
Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PO Principal Only
PAC Planned Amortization Class
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (123.4%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (58.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pool:
10.00%, 11/1/20 Agy $ 271 $ 297
Gold Pools:
10.00%, 6/1/17 Agy 211 232
12.00%, 11/1/19 Agy 81 91
October TBA
6.00%, 10/15/28 Agy 3,050 3,050
6.50%, 10/15/28 Agy 750 763
7.50%, 10/15/28 Agy 5,075 5,229
November TBA
6.00%,
10/15/28-11/15/28 Agy 10,525 10,520
6.50%, 11/25/28 Agy 1,150 1,170
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 2/1/20-8/1/20 Agy 522 567
10.00%,
8/1/18-5/1/22 Agy 342 374
10.50%,
8/1/16-2/1/28 Agy 918 1,021
11.00%, 9/1/19 Agy 314 352
11.50%,
11/1/19-9/1/25 Agy 844 954
October TBA
6.00%, 10/25/28 Agy 3,900 3,881
6.50%, 10/25/28 Agy 3,750 3,814
November TBA
6.50%, 11/25/28 Agy 3,550 3,608
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%,
4/20/25-6/20/25 Tsy 1,778 1,801
7.00%,
2/20/25-3/20/25 Tsy 618 627
7.00%, 8/20/25 TBA Tsy 378 383
Various Pools:
9.00%, 11/15/17 Tsy 538 578
9.50%, 12/15/21 Tsy 355 388
10.00%,
9/15/17-10/15/28 Tsy 1,860 2,055
10.50%,
2/15/13-2/15/25 Tsy 1,423 1,583
11.00%,
12/15/09-7/15/20 Tsy 630 710
11.50%, 8/15/13 Tsy 398 453
12.00%,
12/15/12-2/15/15 Tsy 263 300
- -----------------------------------------------------
GROUP TOTAL 44,801
- -----------------------------------------------------
ASSET BACKED CORPORATES (15.1%)
Aegis Auto Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 67 67
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 158 159
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
- -----------------------------------------------------
<S> <C> <C> <C>
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA $ 505 $ 513
98-A A3
5.90%, 11/15/02 AAA 325 328
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 298 302
(+)## Citibank Credit
Card Master Trust I
Series 98-7 A
5.60%, 5/15/02 Aaa 550 550
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 179 181
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 220 222
Empire Funding Home
Loan Owner Trust,
Series:
97-4 A2
7.16%, 5/25/12 AAA 366 372
97-4 A3
7.11%, 7/25/14 AAA 275 282
(-) First Merchants
Auto Receivables
Corp., Series 97-2 A1
6.85%, 11/15/02 AAA 231 232
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 400 401
(+) First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 Aaa 443 446
## First USA Credit
Card Master Trust,
Series 97-10 A
5.672%, 9/17/03 AAA 375 375
Ford Credit Auto Owner Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 295 297
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 335 336
(+) 98-1 A2
5.85%, 4/1/11 Aaa 479 479
</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>
Green Tree Home Equity
Loan Trust,
Series 98-C A1
5.95%, 7/15/29 AAA $ 322 $ 323
(-) Health Care
Receivables Securitization
Program, Series 97-1 A
6.815%, 7/1/01 N/R 200 204
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 370 372
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 400 402
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 179 180
(-) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 375 396
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 376 378
(-) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 450 464
(+)## Residential Funding
Mortgage Securities
Co., Inc.,
Series 98-HI2 A1
5.696%, 2/25/10 Aaa 418 418
## Southern Pacific
Secured Assets Corp.,
Series 98-H1 A1
5.746%, 1/25/29 AAA 394 394
(-) Team Fleet
Financing Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 250 255
97-1 A
7.35%, 5/15/03 A- 600 628
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 225 226
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 385 387
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 525 528
- -----------------------------------------------------
GROUP TOTAL 11,463
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.5%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R $6,076 $ 140
sec. 96-3 A YMA
10/25/26 (acquired
12/24/96, cost $11) N/R 6,076 8
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.05%, 1/15/28 AAA 886 22
(-) 96-4 A11 I YMA
1/15/28 AAA 3,008 4
sec. 96-4 A12 I IO
1.10%, 1/15/28
(acquired
12/16/96, cost $127) AAA 3,636 90
96-4 A12 I YMA
1/15/28 AAA 1,003 2
97-1 A10 I IO
1.10%, 3/15/28 AAA 4,453 115
(-) 97-1 A10 I YMA
3/15/28 N/R 4,816 7
- -----------------------------------------------------
GROUP TOTAL 388
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (5.5%)
Collateralized Mortgage
Obligation Trust,
Series 16-Q Inv Fl
12.625%, 3/20/18 AAA 94 103
Federal Home Loan
Mortgage Corporation
Series:
## 1546-FC REMIC PAC (11)
6.125%, 12/15/21 Agy 354 358
1632-SA Inv Fl REMIC
5.443%, 11/15/23 Agy 300 292
1699-SD Inv Fl IO
REMIC
2.375%, 3/15/24 Agy 1,628 76
## 1933-FM REMIC
6.375%, 3/15/25 Agy 50 51
## 1933-FO REMIC
6.375%, 3/15/25 Agy 96 96
## 1933-FQ REMIC
6.375%, 3/15/25 Agy 98 98
Federal National
Mortgage Association
Series:
191 IO
8.00%, 1/1/28 Agy 448 57
291 2 IO
8.00%, 11/1/27 Agy 912 115
## 92-43 FC REMIC
6.288%, 10/25/21 Agy 340 343
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
## 94-50 FD REMIC
6.138%, 3/25/24 Agy $ 271 $ 272
## 94-73 F REMIC
6.188%, 12/25/20 Agy 220 222
## 97-70 FA REMIC,
PAC (11)
6.138%, 7/18/20 Agy 203 204
## 98-22 FA REMIC
5.990%, 4/18/28 Agy 716 719
## 98-40 F REMIC
5.875%, 6/17/28 Agy 385 386
## 98-43 FC REMIC
5.938%, 7/18/28 Agy 755 758
- -----------------------------------------------------
GROUP TOTAL 4,150
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.3%)
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 95 103
Prudential Home
Mortgage Securities
Co., Inc., Series
90-5 A3
9.50%, 5/25/05 AAA 4 4
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 137 133
- -----------------------------------------------------
GROUP TOTAL 240
- -----------------------------------------------------
COMMERCIAL MORTGAGES (9.2%)
American Southwest
Financial
Securities Corp.,
Series:
## 93-2 S1 IO
1.042%, 1/18/09 N/R 5,980 208
(+) 95-C1 A1B
7.40%, 11/17/04 Aaa 175 181
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 208 222
## 95-MD4 ACS2 IO
2.354%, 8/13/29 AAA 1,650 271
95-MD4 A1
7.10%, 8/13/29 N/R 167 178
96-MD6 A1C
7.04%, 11/13/26 AAA 300 323
+## 97-D5 PS1 IO
1.571%, 2/14/41 Aaa 2,672 275
(-) Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 11/15/07 A 325 339
(-) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 238 276
(-) CVM Finance Corp.
7.19%, 3/1/04 AA 428 445
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
(-) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA $ 310 $ 332
## 96-CF2 S IO
1.638%, 11/12/21 N/R 3,793 274
97-CF1 S IO
1.093%, 3/15/17 AAA 2,858 170
(-) Forum Finance
7.125%, 5/15/04 AA 375 400
(+)## GMAC Commercial
Mortgage Securities, Inc.,
Series:
96-C1 X2 IO
1.888%, 3/15/21 Aaa 2,248 165
97-C2 X IO
1.214%, 4/15/27 Aaa 3,425 243
(+)## LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.428%, 10/25/26 AAA 344 373
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.541%, 11/21/28 N/R 1,959 159
(+) Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 250 268
Mortgage Capital Funding,
Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 189 195
+ 97-MC1 A3
7.288%, 7/20/27 Aaa 650 703
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 90 91
## 94-MD1 A2
7.666%, 3/15/18 N/R 125 131
(-) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 387 419
(-) Prime Property
Funding, Series 1A
6.633%, 7/23/03 AA 173 176
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.447%, 2/25/28 N/R 2,621 141
96-CFL X1A IO
1.337%, 2/25/28 N/R 2,209 43
96-CFL X2 IO
1.169%, 2/25/28 N/R 703 17
- -----------------------------------------------------
GROUP TOTAL 7,018
- -----------------------------------------------------
</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>
ENERGY (0.2%)
(-) Excel Paralubes
Funding
7.43%,11/1/15 A- $ 130 $ 136
- -----------------------------------------------------
FINANCE (13.1%)
(-) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 175 189
Associates Corp. of
North America
6.00%, 7/15/05 AA- 515 531
(-) BankAmerica
Institutional, Series
A
8.07%, 12/31/26 A- 335 361
Beneficial Corp.,
Series F
6.47%, 11/17/08 A 310 323
(-) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 BBB+ 550 521
(-) EOP Operating LP
6.763%, 6/15/07 BBB 265 267
Equifax, Inc.
6.30%, 7/1/05 A- 270 283
(-) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 600 644
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 475 567
(-) Fifty-Seventh
Street Associates
7.125%, 6/1/17 A 568 594
(-) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 200 216
(-) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 575 608
+++ First Union
Institutional Capital
Series I
8.04%, 12/1/26 BBB+ 305 332
(-) Florida Property &
Casualty
7.375%, 7/1/03 A- 250 269
7.45%, 7/1/04 A 150 163
(-) Florida Windstorm
6.70%, 8/25/04 A- 300 316
Great Western
Financial, Series A
8.206%, 2/1/27 BBB- 110 119
Household Finance Corp.
6.375%, 8/1/10 A 75 78
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 400 409
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 350 354
</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+ $ 625 $ 668
(-) Prime Property
Funding II
7.00%, 8/15/04 A 400 415
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 300 353
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 180 199
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 888 942
96 WFP-D
6.95%, 9/1/13 AA- 250 264
- -----------------------------------------------------
GROUP TOTAL 9,985
- -----------------------------------------------------
INDUSTRIALS (6.9%)
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 320 351
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 320 338
Chrysler Corp.
7.45%, 3/1/27 A 115 130
Cox Communications,
Inc.
6.80%, 8/1/28 A- 130 135
Ford Motor Co.
6.50%, 8/1/18 A+ 315 318
6.625%, 10/1/28 A 60 61
General Motors Corp.
6.75%, 5/1/28 A 470 480
Lafarge Corp.
6.375%, 7/15/05 A- 325 341
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 280 290
News America, Inc.
7.75%, 1/20/24 BBB- 75 81
7.75%, 2/1/24 BBB- 335 360
8.875%, 4/26/23 BBB- 70 84
Philip Morris Cos.,
Inc.
7.00%, 7/15/05 A 175 188
Scotia Pacific Co.,
LLC,
7.71%, 1/20/28 BBB 390 368
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 65 67
7.57%, 2/1/24 BBB- 240 266
TCI Communications,
Inc.
7.875%, 2/15/26 BBB- 280 330
United Technologies
Corp.
6.70%, 8/1/28 A+ 385 409
USA Waste Services,
Inc.
7.00%, 7/15/28 BBB+ 390 396
Williams Cos., Inc.
6.20%, 8/1/02 BBB- 230 235
- -----------------------------------------------------
GROUP TOTAL 5,228
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec.## Gemsco Mortgage
Pass thru Certficate,
Series 87-A
8.701%, 11/25/10
(acquired 9/9/88,
cost $201) AA $ 218 $ 228
## Resolution Trust
Corp., Series 92-5 C
8.613%, 1/25/26 AA 31 31
- -----------------------------------------------------
GROUP TOTAL 259
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY
COLLATERAL SERIES (1.1%)
Federal Home Loan
Mortgage Corporation,
Series 1911-C PO
11/15/23 Agy 550 499
Federal National
Mortgage Association,
Series 96-34 C PO
3/25/23 Agy 425 361
- -----------------------------------------------------
GROUP TOTAL 860
- -----------------------------------------------------
TELEPHONES (1.7%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 185 218
GTE Corp.
6.94%, 4/15/28 A 460 490
MCI Communications Corp.
6.50%, 4/15/10 BBB+ 70 74
6.95%, 8/15/06 A 290 316
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 180 189
- -----------------------------------------------------
GROUP TOTAL 1,287
- -----------------------------------------------------
TRANSPORTATION (1.9%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB 225 229
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 340 375
Federal Express Corp.,
Series:
98-1B
6.845%, 1/15/19 AA- 230 247
98-1C
7.02%, 1/15/16 BBB+ 85 90
(-) Jet Equipment
Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 395 531
- -----------------------------------------------------
GROUP TOTAL 1,472
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
U.S. TREASURY SECURITIES (8.6%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy $3,713 $ 3,654
3.625%, 7/15/02
(Inflation
Indexed) Tsy 1,121 1,125
3.625%, 1/15/08
(Inflation
Indexed) Tsy 1,768 1,773
- -----------------------------------------------------
GROUP TOTAL 6,552
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$92,164) 93,839
- -----------------------------------------------------
PREFERRED STOCKS (1.8%)
- -----------------------------------------------------
SHARES
------
<S> <C> <C> <C>
INDUSTRIALS (0.2%)
Tier One Properties,
11.095% A 200 195
- -----------------------------------------------------
MORTGAGES-OTHER (1.6%)
(-)(+) Home Ownership
Funding Corp.
13.331% Aaa 1,200 1,203
- -----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,265) 1,398
- -----------------------------------------------------
INTEREST RATE CAP (0.0%)
- -----------------------------------------------------
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 --
- -----------------------------------------------------
CASH EQUIVALENTS (15.9%)
- -----------------------------------------------------
COMMERCIAL PAPER (7.9%)
Canadian Imperial Bank
Holdings
5.52%, 10/7/98 2,000 1,998
General Electric Capital
Corp.
5.51%, 10/6/98 2,000 1,998
Metlife Funding, Inc.
5.50%, 10/16/98 2,000 1,995
- -----------------------------------------------------
GROUP TOTAL 5,991
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
DISCOUNT NOTE (4.6%)
Federal Home Loan Mortgage
Corporation
5.21%, 11/12/98 Agy $3,500 $ 3,479
- -----------------------------------------------------
REPURCHASE AGREEMENT (3.4%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $2,613,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$2,638 2,612 2,612
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $12,082) 12,082
- -----------------------------------------------------
TOTAL INVESTMENTS (141.1%) (Cost $105,622) 107,319
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-41.1%)
Cash 13
Dividends Receivable 40
Interest Receivable 702
Receivable for Investments Sold 56
Receivable for Forward Commitments 19,036
Receivable for Fund Shares Sold 1
Unrealized Gain on Swap Agreements 195
Other Assets 3
Payable for Investments Purchased (385)
Payable for Forward Commitments (50,774)
Payable for Investment Advisory Fees (78)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Payable for Daily Variation on Futures
Contracts (40)
Other Liabilities (38)
--------
(31,277)
- -----------------------------------------------------
NET ASSETS (100%) $ 76,042
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 6,672,309 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 76,042
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.40
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -----------------------------------------------------
- -----------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 71,380
Undistributed Net Investment Income (Loss) 722
Undistributed Realized Net Gain (Loss) 2,213
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,697
Futures and Swaps 30
- -----------------------------------------------------
NET ASSETS $ 76,042
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1998 was $326 or
0.4% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
144A security. Certain conditions for public sale
(-) may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is
as of September 30, 1998.
@ Value is less than $500.
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard &
Poor's Corporation.
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.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (89.2%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (1.6%)
(-) Commercial
Financial Services,
Inc., Series 97-5
A1
7.72%, 6/15/05 A $ 4,780 $ 4,863
(-)(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 3,732 3,716
(-) OHA Auto Grantor
Trust, Series 97-A
11.00%, 9/15/03 BB 3,246 3,159
- -------------------------------------------------------
GROUP TOTAL 11,738
- -------------------------------------------------------
CABLE (5.4%)
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 3,210 3,194
7.875%, 12/15/07 BB+ 5,650 5,848
9.875%, 5/15/06 B 3,470 3,765
(-) Lenfest
Communications,
Inc.
7.625%, 2/15/08 BB+ 570 576
8.375%, 11/1/05 BB+ 7,655 8,019
(-)# NTL, Inc.
0.00%, 4/1/08 B- GBP 6,600 5,721
Rogers Cablesystems
Ltd.,
10.125%, 9/1/12 BB+ $ 2,750 2,973
Series B
10.00%, 3/15/05 BB+ 6,520 7,091
Rogers
Communications,
Inc.
9.125%, 1/15/06 BB- 2,075 2,085
- -------------------------------------------------------
GROUP TOTAL 39,272
- -------------------------------------------------------
CHEMICALS (1.1%)
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- 7,690 7,998
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.1%)
(+) Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 775 391
(+) First Boston
Mortgage Securities
Corp., Series 92-4R
2
8.025%, 10/25/22 Ba3 5 5
- -------------------------------------------------------
GROUP TOTAL 396
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
- -------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (1.2%)
(-)## DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 S IO
1.638%, 11/12/21 N/R $ 8,136 $ 587
(+) 97-CF2 S IO
0.317%, 10/15/17 Aaa 102,984 2,497
Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B C A1
7.929%, 11/1/18 N/R 3,937 3,017
(+)## GMAC Commercial
Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.888%, 3/15/21 Aaa 14,386 1,053
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.447%, 2/25/28 N/R 16,459 884
96-CFL X1A IO
1.337%, 2/25/28 N/R 13,776 271
96-CFL X2 IO
1.169%, 2/25/28 N/R 4,112 97
- -------------------------------------------------------
GROUP TOTAL 8,406
- -------------------------------------------------------
COMMUNICATIONS (20.1%)
(-) American Cellular
Corp.
10.50%, 5/15/08 CCC+ 5,900 5,723
Comcast Cellular
Holdings Corp.,
Series B
9.50%, 5/1/07 BB+ 3,315 3,406
(+)# Dial Call
Communications,
Inc.
0.00%, 12/15/05 B2 4,785 4,737
Dobson
Communications
Corp.
11.75%, 4/15/07 N/R 3,335 3,252
# Dolphin
Telecommunications
plc
0.00%, 6/1/08 B- ECU 4,840 2,281
Esprit Telecom Group plc
(+) 11.00%,
6/15/08 B- DEM 7,200 3,709
11.50%, 12/15/07 N/R 3,700 1,973
Flag Ltd.
8.25%, 1/30/08 B+ $ 4,080 3,876
(-) Global Crossing
Holdings Ltd.
9.625%, 5/15/08 N/R 7,700 7,546
Globalstar LP/Capital
11.375%, 2/15/04 B 5,740 3,903
</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>
Hermes Europe Railtel
11.50%, 8/15/07 B $ 3,825 $ 4,054
# Intermedia
Communications,
Inc.,
Series B
0.00%, 7/15/07 B 16,990 12,233
Iridium LLC/Capital
Corp., Series A
13.00%, 7/15/05 B- 6,320 5,467
IXC Communications,
Inc.
9.00%, 4/15/08 CCC+ 9,615 9,471
Level 3
Communications,
Inc.
9.125%, 5/1/08 B 5,250 4,974
# Nextel
Communications,
Inc.
0.00%, 8/15/04 CCC+ 4,200 4,042
0.00%, 9/15/07 CCC+ 22,485 14,278
0.00%, 2/15/08 CCC+ 9,190 5,491
(+)# NEXTLINK
Communications
0.00%, 4/15/08 B3 11,595 6,638
Primus
Telecommunications
Group,
Series B
9.875%, 5/15/08 B- 5,120 4,442
PSINet, Inc.,
Series B
10.00%, 2/15/05 B- 4,015 4,005
Qwest Communications
International, Inc.
#0.00%, 10/15/07 B+ 1,535 1,182
#0.00%, 2/1/08 BB+ 4,995 3,709
Series B
10.875%, 4/1/07 B+ 2,435 2,794
(+)# RCN Corp.
0.00%, 10/15/07 B3 8,050 4,387
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 6,200 5,921
RSL Communications
plc
# 0.00%, 3/15/08 B- DEM 13,600 3,910
# 0.00%, 6/15/08 B- 4,000 1,150
9.125%, 3/1/08 B- $ 5,045 4,389
12.25%, 11/15/06 B- 300 311
(-)(+)# Viatel, Inc.
0.00%, 4/15/08 Caa1 4,285 2,057
- -------------------------------------------------------
GROUP TOTAL 145,311
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
CONSUMER MANUFACTURING (1.6%)
Revlon Consumer
Products
8.125%, 2/1/06 B $ 5,060 $ 4,984
(-) Samsonite Corp.
10.75%, 6/15/08 B- 8,475 6,441
- -------------------------------------------------------
GROUP TOTAL 11,425
- -------------------------------------------------------
ENERGY (2.0%)
Chesapeake Energy
Corp.
9.625%, 5/1/05 B 1,440 1,289
(-)## Husky Oil Ltd.
8.90%, 8/15/28 BBB- 3,900 3,958
Snyder Oil Corp.
8.75%, 6/15/07 B+ 9,300 9,486
- -------------------------------------------------------
GROUP TOTAL 14,733
- -------------------------------------------------------
FINANCIAL (2.1%)
CB Richard Ellis
Service
8.875%, 6/1/06 B+ 2,935 2,876
# Fuji JGB
Investments LLC,
Series A
9.87%, 12/31/49 BB+ 4,600 2,185
(-) Mosaic
10.10%, 7/9/99 N/R 3,700 3,663
(-)# SB Treasury Co.
LLC Series A
9.40%, 12/29/49 BBB- 4,085 3,595
Western Financial
Bank
8.875%, 8/1/07 BB+ 3,970 3,295
- -------------------------------------------------------
GROUP TOTAL 15,614
- -------------------------------------------------------
FOOD & BEVERAGE (0.7%)
Smithfield Foods,
Inc.
7.625%, 2/15/08 BB+ 5,250 5,145
- -------------------------------------------------------
GAMING (2.1%)
Grand Casinos, Inc.
10.125%, 12/1/03 BB 5,765 6,111
Station Casinos, Inc.
9.625%, 6/1/03 B+ 4,650 4,580
9.75%, 4/15/07 B+ 4,460 4,393
10.125%, 3/15/06 B+ 375 373
- -------------------------------------------------------
GROUP TOTAL 15,457
- -------------------------------------------------------
GENERAL INDUSTRIAL (7.9%)
American Standard
Cos.
7.375%, 2/1/08 BB- 8,585 8,673
(-) Axia, Inc.
10.75%, 7/15/08 B- 2,975 2,856
(-) CEX Holdings,
Inc.
9.625%, 6/1/08 B 6,875 6,566
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Geberit International
S.A.
10.125%, 4/15/07 N/R DEM 4,140 $ 2,740
Navistar Financial
Corp., Series B
9.00%, 6/1/02 B+ $ 3,430 3,571
# Norcal Waste
Systems, Inc.
13.50%, 11/15/05 BB- 10,655 11,667
(-) Nortek, Inc.
8.875%, 8/1/08 B+ 8,945 8,677
(-) Sirona Dental
Systems
9.125%, 7/15/08 B DEM 7,585 4,066
Vencor, Inc.
9.875%, 5/1/05 B- $ 10,300 8,240
- -------------------------------------------------------
GROUP TOTAL 57,056
- -------------------------------------------------------
HEALTH CARE (5.9%)
Columbia/HCA
Healthcare
6.91%, 6/15/05 BBB 18,400 17,956
7.25%, 5/20/08 BBB 2,630 2,569
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 5,515 5,157
(-) Tenet Healthcare
Corp.
8.125%, 12/1/08 BB- 11,525 11,611
8.625%, 1/15/07 B+ 5,600 5,810
- -------------------------------------------------------
GROUP TOTAL 43,103
- -------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (2.7%)
HMH Properties,
Series A
7.875%, 8/1/05 BB 14,150 14,322
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,225 5,382
- -------------------------------------------------------
GROUP TOTAL 19,704
- -------------------------------------------------------
MEDIA & ENTERTAINMENT (3.4%)
(-) Chancellor Media
Corp. Series B
8.125%, 12/15/07 B 5,270 5,112
9.00%, 10/1/08 B 2,500 2,525
Outdoor Systems, Inc.
8.875%, 6/15/07 B 8,970 9,262
+++ Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 3,485 3,736
Sinclair Broadcast
Group, Inc.
9.00%, 7/15/07 B 4,030 4,030
- -------------------------------------------------------
GROUP TOTAL 24,665
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
METALS (1.6%)
(-) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 BB- $ 2,500 $ 2,450
Murrin Murrin
Holdings Ltd.
9.375%, 8/31/07 BB- 11,200 9,296
- -------------------------------------------------------
GROUP TOTAL 11,746
- -------------------------------------------------------
PACKAGING (2.3%)
Impress Metal
Packaging Holdings
9.875%, 5/29/07 B DEM 9,465 5,698
Norampac, Inc.
9.50%, 2/1/08 B+ $ 6,175 6,067
SD Warren Co.
12.00%, 12/15/04 B+ 4,365 4,780
- -------------------------------------------------------
GROUP TOTAL 16,545
- -------------------------------------------------------
RETAIL (7.6%)
(-) CA FM Lease Trust
8.50%, 7/15/17 BBB- 8,125 9,141
DR Structured
Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 3,424 3,282
93-K1 A2
7.43%, 8/15/18 BB 2,565 2,313
94-K1 A1
7.60%, 8/15/07 BB 3,655 3,694
94-K1 A2
8.375%, 8/15/15 BB 1,525 1,489
94-K2 A2
9.35%, 8/15/19 BB 3,360 3,478
(-) HMV Media Group
plc
10.875%, 5/15/08 B GBP 4,500 6,195
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB $ 8,000 8,516
Musicland Group, Inc.
9.00%, 6/15/03 CCC+ 1,820 1,729
Series B
9.875%, 3/15/08 CCC+ 7,915 7,559
Southland Corp.
5.00%, 12/15/03 BB+ 9,629 7,992
- -------------------------------------------------------
GROUP TOTAL 55,388
- -------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (15.1%)
Asia Pulp & Paper Co., Ltd.,
Series A
12.00%, 2/15/04 B+ 3,305 1,256
(-) AST Research,
Inc.
7.45%, 10/1/02 BB- 7,160 5,363
(-) Cathay International Ltd.
13.00%, 4/15/08 BB- $ 4,765 $ 2,740
</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>
# Compania Energetica
9.125%, 6/26/07 N/R $ 4,900 $ 3,332
(-)# CTI Holdings
S.A.
0.00%, 4/15/08 B 6,305 2,680
(-) Globo
Communicacoes
Participoes
10.50%, 12/20/06 BB- 4,430 2,326
Grupo Minero
Mexicano S.A. de
CV,
Series A
8.25%, 4/1/08 BB 2,780 2,319
(-) Hylsa S.A. de CV
9.25%, 9/15/07 BB 2,875 1,869
(-) Hyundai
Semiconductor
America
8.625%, 5/15/07 B 5,650 3,967
Indah Kiat Finance
Mauritius
10.00%, 7/1/07 B+ 7,450 3,352
Korea Electric Power
Corp.
7.75%, 4/1/13 B+ 1,800 1,159
Multicanal S.A.
10.50%, 2/1/07 BB+ 5,940 4,019
(-) 10.50%,
4/15/18 BB+ 3,005 1,977
(-) NSM Steel, Inc.,
12.25%, 2/1/08 CCC 3,105 1,397
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 8,480 6,148
Philippine Long
Distance Telephone
Co.
9.25%, 6/30/06 BB+ 2,885 2,416
Series E
7.85%, 3/6/07 BB+ 4,395 3,362
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 11,755 5,172
# PTC International
Finance BV
0.00%, 7/1/07 B+ 10,053 6,032
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 5,660 3,594
(-) RBS Participacos
S.A.
11.00%, 4/1/07 BB- 4,025 2,012
(-) Reliance
Industries Ltd.
8.25%, 1/15/27 BB+ 1,130 814
9.375%, 6/24/26 BB+ 1,230 1,002
## Republic of
Argentina, Series L
6.188%, 3/31/05 BB- 9,514 7,564
(+) Republic of
Argentina Pre 4
BOCON, PIK #0.00%,
9/1/02 Ba3 435 470
##5.635%, 9/1/02 Ba3 2,675 2,891
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Republic of Korea
8.875%, 4/15/08 BB+ $ 6,500 $ 5,604
(-) RG Receivables
Ltd.
9.60%, 2/10/05 BB- 1,685 1,197
(-) Samsung
Electronics America
9.75%, 5/1/03 B+ 160 121
(-)(+) Samsung
Electronics Co.
7.45%, 10/1/02 Ba1 4,140 3,035
(-) Satelites
Mexicanos S.A.
10.125%, 11/1/04 B- 6,095 4,114
(-) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 2,140 1,455
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 8,085 5,781
United Mexican States
Par Bond
Series:
A
6.25%, 12/31/19 BB 9,710 7,113
B
6.25%, 12/31/19 BB 2,710 1,985
- -------------------------------------------------------
GROUP TOTAL 109,638
- -------------------------------------------------------
TECHNOLOGY (0.6%)
(-) Entex Information
Services
12.50%, 8/1/06 B- 3,700 3,607
- -------------------------------------------------------
TRANSPORTATION (2.5%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 6,305 6,305
(-) American
Communication Lines
LLC
10.25%, 6/30/08 B 3,830 3,753
(-) Jet Equipment
Trust,
Series:
94-C1
11.79%, 6/15/13 BBB- 3,450 4,785
95-D
11.44%, 11/1/14 BBB- 2,350 3,242
- -------------------------------------------------------
GROUP TOTAL 18,085
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
UTILITIES (1.6%)
AES Corp.
8.50%, 11/1/07 B+ $ 7,495 $ 7,045
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- 1,874 2,000
H
# 0.00%, 7/1/10 BB- 3,229 2,341
- -------------------------------------------------------
GROUP TOTAL 11,386
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $698,116) 646,418
- -------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- -------------------------------------------------------
SHARES
------
COMMUNICATIONS (0.1%)
* Paxson Communications Corp.,
PIK, 9.75%
(Cost $1,130) N/R 11,300 1,130
- -------------------------------------------------------
PREFERRED STOCKS (2.2%)
- -------------------------------------------------------
COMMUNICATIONS (1.4%)
* Concentric Network Corp., PIK,
Series B,
13.50% N/R 32,000 2,832
* IXC Communications, Inc.,
PIK, Series B,
7.25% CCC+ 3,670 3,909
* Paxson Communications
Corp.
13.25% N/R 34,000 3,230
*(-) Viatel, Inc., PIK,
Series A,
10.00% N/R 21,560 129
- -------------------------------------------------------
GROUP TOTAL 10,100
- -------------------------------------------------------
MEDIA & ENTERTAINMENT (0.8%)
Sinclair Capital
11.625% B 52,815 5,572
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $15,392) 15,672
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
UNITS (2.1%)
- -------------------------------------------------------
COMMUNICATIONS (1.6%)
(-) Onepoint Communications
Corp.
14.50%, 6/1/08 N/R $ 4,100 $ 3,095
(-)# Rhythms Netconnections
0.00%, 5/15/08 N/R 12,960 5,184
# Wam!Net, Inc.
0.00%, 3/1/05 N/R 6,325 3,447
- -------------------------------------------------------
GROUP TOTAL 11,726
- -------------------------------------------------------
TECHNOLOGY (0.5%)
AMSC Acquisition Co.,
12.25%, 4/1/08 N/R 6,285 3,645
- -------------------------------------------------------
TOTAL UNITS (Cost $21,500) 15,371
- -------------------------------------------------------
WARRANTS (0.3%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMUNICATIONS (0.1%)
*(-) American Mobile
Satellite Corp.,
expiring 4/1/08 N/R 62,850 30
* Concentric Network
Corp., expiring
12/15/07 N/R 30,000 270
*@ Dial Call
Communications,
Inc., expiring
4/25/99 N/R 4,800 --
*(-) Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 3,235 98
*(-) Iridium World
Communications
Ltd., expiring
7/15/05 N/R 1,920 278
*@ Paxson
Communications
Corp., expiring
6/30/03 N/R 3,616 --
*(-)@ Wam!Net, Inc.,
expiring 3/1/05 N/R 18,975 --
- -------------------------------------------------------
GROUP TOTAL 676
- -------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.2%)
*(-) NSM Steel, Inc.,
expiring 2/1/08 N/R 1,965,744 2
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 33,920 1,442
- -------------------------------------------------------
GROUP TOTAL 1,444
- -------------------------------------------------------
TOTAL WARRANTS (Cost $378) 2,120
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (5.1%)
- -------------------------------------------------------
REPURCHASE AGREEMENT (5.1%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $36,784,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$37,147 (Cost $36,779) $ 36,779 $ 36,779
- -------------------------------------------------------
TOTAL INVESTMENTS (99.0%) (Cost $773,295) 717,490
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.0%)
Cash and Foreign Currency Held as Collateral
on Futures Contracts (Cost $1,237) 1,237
Interest Receivable 16,129
Receivable for Investments Sold 1,580
Receivable for Fund Shares Sold 2,884
Other Assets 17
Payable for Investments Purchased (7,839)
Payable for Fund Shares Redeemed (593)
Payable for Investment Advisory Fees (674)
Payable for Administrative Fees (46)
Payable for Trustees' Deferred Compensation
Plan-Note F (17)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Distribution Fees-Adviser Class (2)
Payable to Custodian (2,461)
Unrealized Loss on Forward Foreign Currency
Contracts (1,415)
Unrealized Loss on Futures Contracts (1,572)
Other Liabilities (109)
--------
7,118
- -------------------------------------------------------
NET ASSETS (100%) $724,608
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 78,179,840 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $703,110
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.99
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,250,732 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 11,262
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.00
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,138,810 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 10,236
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.99
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $751,337
Undistributed Net Investment Income (Loss) 16,074
Undistributed Realized Net Gain (Loss) 15,950
Unrealized Appreciation (Depreciation) on:
Investment Securities (55,805)
Foreign Currency Transactions (1,376)
Futures (1,572)
- -------------------------------------------------------
NET ASSETS $724,608
- -------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security
(-) 144A security. Certain conditions for public sale may
exist.
+++ 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.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1998. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed is
as of September 30, 1998.
@ Value is less than $500.
DEM German Mark
ECU European Currency Unit
GBP British Pound
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PCL Public Company Limited
PIK Payment-In-Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (62.2%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
FACE
AMOUNT VALUE
SEPTEMBER 30, 1998 (000) (000)+
- ----------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (11.8%)
Abbey National N.A.
5.49%, 11/4/98 $2,000 $ 1,989
American Express Credit Corp.
5.42%, 11/9/98 2,000 1,988
5.51%, 10/2/98 2,000 2,000
Associates Corp. of North
America
5.49%, 11/20/98 2,000 1,985
CIT Group Holdings, Inc.
5.51%, 10/2/98 2,000 2,000
J.P. Morgan & Co.
5.42%, 11/20/98 2,000 1,985
SunTrust Corp.
5.49%, 11/20/98 1,000 992
5.50%, 11/3/98 3,000 2,985
Wachovia Corp.
5.49%, 11/10/98 2,000 1,988
Westdeutsche Landesbank
5.52%, 10/20/98 2,000 1,994
- ----------------------------------------------------
GROUP TOTAL 19,906
- ----------------------------------------------------
FINANCIAL LEASING & SERVICES (8.6%)
Merrill Lynch & Co.
5.26%, 3/12/99 2,000 1,953
5.52%, 10/1/98 3,000 3,000
National Rural Utilities
Cooperative Finance Corp.
5.23%, 2/9/99 3,000 2,943
5.50%, 10/27/98 2,000 1,992
5.51%, 10/27/98 1,100 1,096
USAA Capital Corp.
5.48%, 11/20/98 3,500 3,473
- ----------------------------------------------------
GROUP TOTAL 14,457
- ----------------------------------------------------
INDUSTRIALS (24.2%)
Ameritech Corp.
5.41%, 11/10/98 4,000 3,976
Bell South Communications
5.44%, 11/10/98 2,000 1,988
Daimler-Benz North America Corp.
5.43%, 12/1/98 3,000 2,972
E.I. DuPont de Nemours & Co.
5.40%, 12/4/98 4,000 3,962
Ford Motor Credit Co.
5.50%, 10/9/98 4,000 3,995
General Electric Capital Corp.
5.13%, 2/25/99 4,000 3,916
5.51%, 10/29/98 2,000 1,991
General Motors Acceptance Corp.
5.49%, 11/20/98 2,000 1,985
5.51%, 11/20/98 2,000 1,985
IBM Credit Corp.
5.51%, 10/1/98 3,000 3,000
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
Motorola Credit Corp.
5.25%, 10/13/98 $2,000 $ 1,997
5.41%, 11/13/98 2,000 1,987
SBC Communications, Inc.
5.45%, 11/3/98 3,000 2,985
Toyota Motor Credit Corp.
5.50%, 10/22/98 3,000 2,990
5.51%, 10/7/98 1,000 999
- ----------------------------------------------------
GROUP TOTAL 40,728
- ----------------------------------------------------
MANUFACTURING & RETAIL TRADE (14.0%)
Coca-Cola Co. (The)
5.40%, 11/12/98 3,700 3,677
Deere & Co.
5.51%, 10/20/98 3,000 2,991
Eastman Kodak Co.
5.45%, 11/9/98 1,000 994
5.50%, 10/14/98 3,000 2,994
H.J. Heinz Co.
5.46%, 11/3/98 2,000 1,990
Pfizer Corp.
5.47%, 10/27/98 4,000 3,984
Smithkline Beecham
5.50%, 10/16/98 3,000 2,993
Xerox Corp.
5.10%, 3/19/99 4,000 3,904
- ----------------------------------------------------
GROUP TOTAL 23,527
- ----------------------------------------------------
PERSONAL BANKING & CREDIT (3.6%)
Household Finance Corp.
5.52%, 10/13/98 4,000 3,993
Prudential Funding Corp.
5.50%, 11/9/98 2,000 1,988
- ----------------------------------------------------
GROUP TOTAL 5,981
- ----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $104,599) 104,599
- ----------------------------------------------------
CERTIFICATES OF DEPOSIT (13.7%)
- ----------------------------------------------------
COMMERCIAL BANKING & CREDIT (13.7%)
ABN-Amro Chicago
5.68%, 3/22/99 1,000 1,000
Bank of Austria (NY)
5.78%, 4/26/99 2,000 1,999
Bank of Austria (Yankee)
5.72%, 4/19/99 2,000 2,053
Bank of Montreal
5.85%, 11/6/98 1,000 1,000
Bank of Montreal, Chicago
5.66%, 10/9/98 1,000 1,000
## Bayerische Landesbank
5.32%, 6/29/99 2,000 1,999
Commerzbank U.S. Finance, Inc.
5.60%, 2/11/99 1,000 1,000
Credit Agricole Indosuez
5.74%, 3/29/99 1,000 999
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- ----------------------------------------------------
<S> <C> <C>
CS First Boston
5.60%, 2/11/99 $2,000 $ 2,000
Deutsche Bank
5.60%, 2/11/99 1,000 1,000
5.73%, 4/23/99 1,000 1,000
National Westminster Bank
5.74%, 5/7/99 2,000 2,000
## Royal Bank of Canada (NY)
5.32%, 6/29/99 2,000 1,999
Societe Generale (NY)
5.85%, 4/27/99 1,000 1,000
Swiss Bank
5.90%, 12/16/98 1,000 1,000
Swiss Bank (NY)
5.80%, 4/29/99 2,000 2,000
- ----------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (Cost
$23,049) 23,049
- ----------------------------------------------------
CORPORATE BONDS (14.9%)
- ----------------------------------------------------
FINANCE (10.1%)
## Abbey National N.A.
5.53%, 6/15/99 2,000 1,999
Bank of America
5.34%, 3/22/99 3,000 3,000
## Bank One Corp.
5.52%, 6/14/99 4,000 3,998
## Citicorp, Series E
5.48%, 9/17/99 4,000 4,000
## First Union Bank
5.65%, 5/17/99 2,000 2,000
## Morgan Guaranty Trust Co.
5.58%, 9/27/99 2,000 1,999
- ----------------------------------------------------
GROUP TOTAL 16,996
- ----------------------------------------------------
INDUSTRIALS (4.8%)
## General Motors Acceptance
Corp.
5.64%, 8/26/99 2,000 2,000
Norwest Corp.
5.60%, 8/31/99 4,000 3,998
## PepsiCo, Inc.
5.61%, 8/19/99 2,000 1,998
- ----------------------------------------------------
GROUP TOTAL 7,996
- ----------------------------------------------------
TOTAL CORPORATE BONDS (Cost $24,992) 24,992
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- ----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (8.9%)
- ----------------------------------------------------
Chase Securities, Inc.
5.40%, dated 9/30/98, due
10/1/98, to be repurchased at
$15,028, collateralized by
U.S. Treasury Note, due
11/15/04, valued at $15,378
(Cost $15,026) $15,026 $ 15,026
- ----------------------------------------------------
TOTAL INVESTMENTS (99.7%) (Cost $167,666) 167,666
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.3%)
Cash 1
Interest Receivable 633
Receivable for Fund Shares Sold 80
Other Assets 10
Dividend Payable (41)
Payable for Fund Shares Redeemed (1)
Payable for Administrative Fees (11)
Payable for Investment Advisory Fees (69)
Payable for Trustees' Deferred
Compensation Plan-Note F (3)
Other Liabilities (37)
--------
562
- ----------------------------------------------------
NET ASSETS (100%) $168,228
- ----------------------------------------------------
NET ASSETS
Applicable to 168,225,825 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $168,228
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $168,228
- ----------------------------------------------------
NET ASSETS $168,228
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
## Variable or floating rate security - rate disclosed is as
of September 30, 1998.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (121.4%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (57.8%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
8.25%, 10/1/06 Agy $ 71 $ 74
10.00%,
9/1/17-11/1/20 Agy 985 1,077
10.25%, 7/1/09 Agy 201 221
11.00%, 1/1/16 Agy 245 273
11.25%,
9/1/10-12/1/14 Agy 325 363
Gold Pools:
10.00%,
10/1/19-1/1/21 Agy 1,392 1,530
10.50%, 3/1/16 Agy 892 994
October TBA
6.00%, 10/15/28 Agy 15,725 15,724
6.50%, 10/15/28 Agy 2,400 2,443
7.50%, 10/15/28 Agy 25,125 25,889
November TBA
6.00%,
10/15/28-11/15/28 Agy 15,500 15,492
6.50%, 11/25/28 Agy 2,350 2,391
Federal National
Mortgage Association
Conventional Pools:
9.00%, 2/1/17 Agy 1,191 1,272
9.50%, 5/1/28 Agy 2,884 3,140
10.00%,
3/1/20-5/1/22 Agy 2,829 3,104
10.50%,
11/1/17-2/1/28 Agy 946 1,054
10.75%, 8/1/13 Agy 48 53
11.00%, 4/1/21 Agy 2,763 3,099
11.25%, 8/1/13 Agy 156 176
11.50%,
1/1/17-9/1/25 Agy 606 685
October TBA
6.00%, 10/25/28 Agy 19,325 19,234
6.50%, 10/25/28 Agy 4,000 4,068
November TBA
6.50%, 11/25/28 Agy 103,000 104,679
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%, 5/20/25 TBA Tsy 1,088 1,102
6.875%,
2/20/25-6/20/25 Tsy 9,423 9,545
7.00%,
7/20/25-11/20/25 Tsy 4,477 4,530
7.125%, 7/20/25 Tsy 511 517
Various Pools:
9.00%, 11/15/17 Tsy 3,199 3,437
9.50%,
12/15/17-9/15/28 Tsy 9,975 10,908
10.00%,
11/15/09-10/15/28 Tsy 16,341 18,063
10.50%,
12/15/00-5/15/19 Tsy 100 110
11.00%,
2/15/10-2/15/19 Tsy 1,082 1,221
11.50%,
8/20/14-1/20/18 Tsy 14 16
- ------------------------------------------------------
GROUP TOTAL 256,484
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (12.4%)
Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R $ 253 $ 253
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 551 554
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 1,110 1,129
97-D A3
6.20%, 5/15/03 AAA 1,400 1,419
98-A A3
5.90%, 11/15/02 AAA 1,350 1,360
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 914 923
(+)## Citibank Credit
Card Master Trust I,
Series 98-7 A
5.60%, 5/15/02 Aaa 2,750 2,751
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 433 438
(-) Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 656 670
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 605 610
Empire Funding Home
Loan Owner Trust,
Series 97-4 A2
7.16%, 5/25/12 AAA 1,000 1,016
EQCC Home Equity Loan
Trust, Series 98-1
A1F
6.21%, 12/15/07 AAA 1,485 1,485
(-) First Merchants
Auto Receivables
Corp., Series 97-2 A1
6.85%, 11/15/02 AAA 375 377
First Plus Home Loan Trust,
Series:
97-3 A3
6.57%, 10/10/10 AAA 645 648
97-3 A2
6.48%, 9/10/08 AAA 655 655
97-4 A2
6.30%, 8/10/09 AAA 650 651
97-4 A3
6.40%, 8/10/11 AAA 575 577
98-1 A3
6.04%, 10/10/13 AAA 1,025 1,027
</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>
First Security Auto
Grantor Trust, Series
97-B A
6.10%, 4/15/03 AAA $ 993 $ 1,001
## First USA Credit
Card Master Trust,
Series 97-10 A
5.672%, 9/17/03 AAA 1,925 1,925
Ford Credit Auto Owner Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 825 831
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 2,042 2,062
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 900 903
(+) 98-1 A2
5.85%, 4/1/11 Aaa 1,364 1,366
98-C A1
5.95%, 7/15/29 AAA 1,716 1,723
(-) Health Care
Receivables
Securitization
Program, Series 97-1
A
6.815%, 7/1/01 N/R 400 408
Honda Auto Receivables
Grantor Trust, Series
97-A A
5.85%, 2/15/03 AAA 1,020 1,024
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 1,325 1,331
IndyMac Home Equity Loan,
Series 98-A A1
5.724%, 9/25/20 AAA 2,650 2,650
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-2 A
6.69%, 9/25/04 AAA 520 523
98-1 A
6.19%, 1/25/04 AAA 512 512
(-) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,188
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/15/03 AAA 1,073 1,080
(-) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 1,350 1,391
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Residential Funding Mortgage
Securities Co., Inc.,
Series 98-HI2 A1
5.696%, 2/25/10 Aaa $2,113 $ 2,110
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 92 92
Southern Pacific
Secured Assets Corp.,
Series 98-H1 A1
5.746%, 1/25/29 AAA 2,054 2,053
(-) Team Fleet Financing Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 475 485
97-1A
7.35%, 5/15/03 A- 1,300 1,361
UCFC Home Equity Loan,
Series:
97-D A2
6.475%, 6/15/12 AAA 1,100 1,107
98-A A1
5.70%, 7/15/11 AAA 1,560 1,560
98-C A1
5.65%, 12/15/12 AAA 2,200 2,201
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 780 785
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 1,180 1,187
98-A A2
5.783%, 11/20/00 AAA 3,300 3,306
98-A A3
5.90%, 5/20/02 AAA 1,200 1,207
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 1,175 1,182
- ------------------------------------------------------
GROUP TOTAL 55,097
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 AAA 12,180 282
96-3 A YMA
10/25/26 N/R 12,180 16
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
sec. Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28
(acquired 12/16/96,
cost $344) AAA $7,529 $ 187
(-) 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
(acquired 12/16/96,
cost $116) AAA 1,869 46
96-4 A12 I YMA
1/15/28 (acquired
12/16/96, cost $7) AAA 2,510 4
97-1 A10 I IO
1.10%, 3/15/28
(acquired 6/26/97,
cost $307) AAA 9,275 240
(-) 97-1 A10 I YMA
3/15/28 (acquired
6/26/97, cost $21) N/R 11,454 16
- ------------------------------------------------------
GROUP TOTAL 804
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (4.6%)
Federal Home Loan
Mortgage Corporation,
Series:
89-47 F PAC
10.00%, 6/15/20 Agy 349 369
1632-SA Inv Fl REMIC
5.443%, 11/15/23 Agy 884 859
1699-SD Inv Fl IO
REMIC
2.375%, 3/15/24 Agy 8,365 391
## 1933-FM REMIC
6.375%, 3/15/25 Agy 162 163
## 1933-FQ REMIC
6.375%, 3/15/25 Agy 311 313
## 1546-FC
6.125%, 12/15/21 Agy 1,098 1,110
## 1710-D REMIC
6.075%, 6/15/20 Agy 1,456 1,467
## 2030-F REMIC
6.09%, 2/15/28 Agy 2,258 2,275
## 2040-FC
5.94%, 2/15/23 Agy 1,228 1,232
## 2054-FC REMIC
6.025%, 5/15/28 Agy 1,629 1,643
Federal National
Mortgage Association,
Series:
## 92-43 FC REMIC
6.288%, 10/25/21 Agy 1,091 1,102
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## 94-50 FD REMIC
6.138%, 3/25/24 Agy $ 895 $ 899
96-14 PC PO
12/25/23 Agy 99 92
96-54 O PO
11/25/23 Agy 79 71
## 97-43 FM REMIC
6.188%, 7/18/27 Agy 1,666 1,678
## 97-70 FA REMIC, PAC (11)
6.138%, 7/18/20 Agy 637 641
## 97-76 FM
6.138%, 9/17/27 Agy 709 714
## 98-22 FA REMIC
5.99%, 4/18/28 Agy 2,364 2,371
191 IO
8.00%, 1/1/28 Agy 2,316 295
291-2 IO
8.00%, 11/1/27 Agy 4,447 561
## Government National
Mortgage Association,
Series 97-13 F TBA
6.188%, 9/16/27 Tsy 1,972 1,988
- ------------------------------------------------------
GROUP TOTAL 20,234
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (1.2%)
(+)## BA Mortgage
Securities, Inc.,
Series 97-1 A2
6.148%, 7/25/26 Aaa 1,446 1,452
Citicorp Mortgage
Securities, Inc.,
Series 95-2 B1 REMIC
7.50%, 4/25/25 AAA 1 1
## Kidder Peabody
Funding Corp., Series
92-4 B2
8.285%, 5/28/22 N/R 266 264
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 998 1,083
## Morserv, Inc. 96-2
1A1
6.538%, 11/25/26 AAA 1,588 1,600
Residential Funding
Mortgage Securities
Co., Inc.,
Series 94-S1 A19
6.75%, 1/25/24 AAA 1 1
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 492 480
## Ryland Mortgage
Securities Corp. III,
Series 92-A 1A
8.26%, 3/29/30 A- 474 483
- ------------------------------------------------------
GROUP TOTAL 5,364
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (4.2%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R $ 960 $ 1,020
## 93-2 S1 IO
1.042%, 1/18/09 N/R 10,432 363
(+)95-C1 A1B
7.40%, 11/17/04 Aaa 1,050 1,087
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 1,202 1,287
95-MD4 A1
7.10%, 8/13/29 AAA 1,147 1,218
## 95-MD4 ACS2 IO
2.354%, 8/13/29 AAA 2,140 351
96-MD6 A1C
7.04%, 11/13/26 AAA 825 887
(+)## 97-D5 PS1 IO
1.571%, 2/14/41 Aaa 6,047 622
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 675 759
(-) Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A 1,400 1,458
(-) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 714 829
(-) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA 1,100 1,174
(-) CVM Finance Corp.
7.19%, 3/1/04 AA 571 593
(-) DLJ Mortgage Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 260 279
(+)## 96-CF2 S IO
1.638%, 11/12/21 Aaa 2,448 177
(+)## GMAC Commercial
Mortgage Securities, Inc.,
Series:
96-C1 X2 IO
1.916%, 3/15/21 Aaa 3,659 268
97-C2 X IO
1.273%, 4/15/27 Aaa 10,581 751
(+) GS Mortgage Securities Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 550 592
## 97-GL X2 IO
1.068%, 7/13/30 Aaa 2,680 133
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+)## LB Commercial
Conduit Mortgage
Trust,
Series:
96-C2 A
7.428%, 10/25/26 Aaa $ 964 $ 1,045
98-C1 IO
1.198%, 2/18/28 Aaa 10 1
(+)## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.541%, 11/21/28 Aaa 4,084 331
(+) Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 700 751
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 1,092 1,129
## Nomura Asset
Securities Corp.,
Series 94-MD1 A2
7.666%, 3/15/18 N/R 750 785
(-) Prime Property
Funding, Series 1A
6.633%, 7/23/03 AA 794 808
- ------------------------------------------------------
GROUP TOTAL 18,698
- ------------------------------------------------------
ENERGY (0.1%)
(-) Excel Paralubes
Funding
7.43%, 11/1/15 A- 675 704
- ------------------------------------------------------
FINANCE (8.7%)
(-) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 705 763
Associates Corp. of
North America,
6.00%, 7/15/05 AA- 2,485 2,564
BankAmerica Capital
Corp.,
Series 2
8.00%, 12/15/26 A 360 385
(-) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 1,545 1,665
(-) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 2,180 2,067
Countrywide Funding
Corp.,
Series B
6.55%, 4/14/00 A 1,000 1,015
(-) EOP Operating LP
6.763%, 6/15/07 BBB 1,295 1,306
Equifax, Inc.
6.30%, 7/1/05 A- 1,550 1,622
Equitable Companies,
Inc.
6.50%, 4/1/08 A 650 686
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(-) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A $1,200 $ 1,288
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 1,440 1,450
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 975 1,164
(-) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,159 1,212
(-) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 1,610 1,736
(-) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 1,650 1,745
First Union
Institutional Capital
Series I
8.04%, 12/1/26 BBB+ 1,250 1,363
(-) Florida Property &
Casualty
7.375%, 7/1/03 A- 800 861
7.45%, 7/1/04 A 200 217
(-) Florida Windstorm
6.70%, 8/25/04 A- 750 789
Great Western Financial
Series A
8.206%, 2/1/27 BBB- 415 449
Household Finance Corp.
6.375%, 8/1/10 A 2,605 2,698
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 875 894
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 1,245 1,260
(-) New York Life
Insurance Co.
7.50%, 12/15/23 AA- 750 792
PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 1,425 1,524
(-) Prime Property
Funding II
6.80%, 8/15/02 A 275 281
7.00%, 8/15/04 A 1,260 1,306
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 1,775 2,086
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 990 1,093
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 1,720 1,826
96 WFP-D
6.95%, 9/1/13 AA- 450 475
- ------------------------------------------------------
GROUP TOTAL 38,582
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (6.2%)
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- $1,760 $ 1,930
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 1,565 1,655
Chrysler Corp.
7.45%, 3/1/27 A 945 1,070
Cox Communications,
Inc.
6.80%, 8/1/28 A- 740 768
Ford Motor Co.
6.50%, 8/1/18 A+ 1,560 1,574
6.625%, 10/1/28 A 600 607
General Motors Corp.
6.75%, 5/1/28 A 2,570 2,626
Lafarge Corp.
6.375%, 7/15/05 A- 1,100 1,153
6.50%, 7/15/08 A- 390 410
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 1,450 1,504
News America, Inc.
7.75%, 1/20/24 BBB- 375 403
7.75%, 2/1/24 BBB- 565 606
8.875%, 4/26/23 BBB- 780 935
(-) Oxymar
7.50%, 2/15/16 BBB 650 664
Philip Morris Cos.,
Inc.
7.00%, 7/15/05 A 565 607
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 1,940 1,830
TCI Communications,
Inc.
7.875%, 2/15/26 BBB- 1,500 1,766
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 320 332
7.57%, 2/1/24 BBB- 1,145 1,270
USA Waste Services
7.00%, 7/15/28 BBB+ 2,175 2,210
United Technologies
Corp.
6.70%, 8/1/28 A+ 2,145 2,278
Williams Cos., Inc.
6.20%, 8/1/02 BBB- 1,130 1,156
- ------------------------------------------------------
GROUP TOTAL 27,354
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.3%)
Bank of America, Series
A
8.375%, 5/1/07 AAA 89 90
California Federal
Savings & Loan,
Series 86-1A
8.80%, 1/1/14 AA 55 55
First Federal Savings &
Loan Association,
Series 92-C
8.75%, 6/1/06 AA 28 28
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## Resolution Trust
Corp., Series 92-5 C
8.613%, 1/25/26 AA $ 333 $ 330
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 663 653
- ------------------------------------------------------
GROUP TOTAL 1,156
- ------------------------------------------------------
TELEPHONES (1.5%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 955 1,124
GTE Corp.
6.94%, 4/15/28 A 2,650 2,824
MCI WorldCom, Inc.
6.50%, 4/15/10 BBB+ 970 1,031
6.95%, 8/15/06 A 1,135 1,235
6.95%, 8/15/28 BBB+ 495 519
- ------------------------------------------------------
GROUP TOTAL 6,733
- ------------------------------------------------------
TRANSPORTATION (1.5%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB 1,600 1,631
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 1,975 2,177
Federal Express Corp.,
Series:
981B
6.845%, 1/15/19 AA- 1,135 1,219
981C
7.02%, 1/15/16 BBB+ 425 451
(-) Jet Equipment
Trust, Series 94-A
A11
10.00%, 6/15/12 A+ 950 1,277
- ------------------------------------------------------
GROUP TOTAL 6,755
- ------------------------------------------------------
U.S. TREASURY SECURITIES (19.3%)
+++U.S. Treasury Bond
8.75%, 8/15/20 Tsy 6,565 9,586
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 19,148 18,843
3.625%, 7/15/02
(Inflation
Indexed) Tsy 6,292 6,315
3.625%, 1/15/08
(Inflation
Indexed) Tsy 7,955 7,977
6.25%, 4/30/01 Tsy 5,000 5,226
6.375%, 3/31/01 Tsy 19,500 20,411
7.50%, 2/15/05 Tsy 14,850 17,370
- ------------------------------------------------------
GROUP TOTAL 85,728
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
UTILITIES (0.1%)
(-) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB $ 500 $ 537
- ------------------------------------------------------
YANKEE (3.3%)
(-) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 954 850
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 850 637
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 300 255
7.75%, 7/15/08 A- 1,630 1,442
(-) Express Pipeline
LP, Series A
6.47%, 12/31/13 A 1,914 1,889
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 985 700
(-) Hyundai
Semiconductor America
8.625%, 5/15/07 B 925 649
(-) Israel Electric
Corp., Ltd.
7.75%, 12/15/27 A- 1,830 1,718
(-) Oil Enterprises
Ltd.
6.239%, 6/30/08 AAA 1,635 1,656
(-) Oil Purchase Co.
7.10%, 10/31/02 BBB 1,056 1,034
(-) Paiton Energy
Funding
9.34%, 2/15/14 CCC 800 184
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 1,015 660
(-) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB- 1,030 854
(-) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 1,950 1,625
Republic of Colombia
8.70%, 2/15/16 BBB- 810 515
(-) Samsung Electronics
Co.
7.45%, 10/1/02 BB- 305 224
- ------------------------------------------------------
GROUP TOTAL 14,892
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $534,829) 539,122
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II
<TABLE>
<CAPTION>
++RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (1.1%)
- ------------------------------------------------------
INDUSTRIALS (0.1%)
Tier One Properties, 11.095% A $ 425 $ 414
- ------------------------------------------------------
MORTGAGE-OTHER (1.0%)
(-)(+) Home Ownership Funding Corp.,
13.331% Aaa 4,350 4,360
- ------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $4,315) 4,774
- ------------------------------------------------------
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 --
- ------------------------------------------------------
CASH EQUIVALENTS (32.6%)
- ------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(12.4%) 55,040 55,040
- ------------------------------------------------------
COMMERCIAL PAPER (15.3%)
Associates Corp. of North America
5.51%, 10/8/98 9,946 9,946
Canadian Imperial Bank Holdings
5.39%, 10/7/98 8,000 7,993
CIT Group Holdings, Inc.
5.28%, 11/6/98 10,000 9,947
Ford Motor Credit Co.
5.52%, 10/9/98 10,000 9,988
General Electric Capital Corp.
5.51%, 10/6/98 10,000 9,992
IBM Credit Corp.
5.50%, 10/7/98 10,000 9,991
Metlife Funding, Inc.
5.50%, 10/16/98 10,000 9,977
- ------------------------------------------------------
GROUP TOTAL 67,834
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.9%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98 to be
repurchased at $21,823,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$22,038 21,819 21,819
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $144,693) 144,693
- ------------------------------------------------------
TOTAL INVESTMENTS (155.1%) (Cost $684,080) 688,589
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-55.1%)
Cash $ 669
Dividends Receivable 145
Interest Receivable 3,885
Receivable for Investments Sold 105
Receivable for Forward Commitments 140,807
Receivable for Fund Shares Sold 73
Receivable for Daily Variation on Futures
Contracts 50
Unrealized Gain on Forward Foreign Currency
Contracts 64
Unrealized Gain on Swap Agreements 831
Other Assets 9
Payable for Investments Purchased (6,143)
Payable for Forward Commitments (328,944)
Payable for Fund Shares Redeemed (532)
Payable for Investment Advisory Fees (381)
Payable for Administrative Fees (29)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Collateral on Securities Loaned, at Value (55,040)
Other Liabilities (226)
--------
(244,666)
- ------------------------------------------------------
NET ASSETS (100%) $443,923
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 37,972,563 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $443,923
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.69
- ------------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $424,210
Undistributed Net Investment Income (Loss) 6,124
Undistributed Realized Net Gain (Loss) 8,049
Unrealized Appreciation (Depreciation) on:
Investment Securities 4,509
Foreign Currency Transactions 63
Futures and Swaps 968
- ------------------------------------------------------
NET ASSETS $443,923
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1998 was $506 or 0.1% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public
sale may exist.
+++ A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(+) Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 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 September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (151.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (130.2%)
Federal Home Loan Mortgage
Corporation,
Conventional Pools:
10.00%, 2/1/18 Agy $ 258 $ 282
10.50%, 8/1/19 Agy 34 37
11.50%,
2/1/14-8/1/19 Agy 994 1,127
12.50%,
9/1/11-11/1/14 Agy 110 126
Gold Pool:
9.50%, 12/1/22 Agy 268 293
October TBA
6.00%, 10/15/28 Agy 6,000 6,000
6.50%, 10/15/28 Agy 400 407
7.50%, 10/15/28 Agy 1,150 1,185
November TBA
6.00%,
10/15/28-11/15/98 Agy 10,050 10,045
6.50%, 11/25/28 Agy 2,700 2,747
Federal National
Mortgage Association,
Conventional Pools:
10.00%,
9/1/18-2/1/25 Agy 553 606
10.50%,
5/1/12-4/1/22 Agy 380 423
11.50%,
2/1/15-12/1/15 Agy 102 115
12.50%, 9/1/13 Agy 7 8
13.00%, 9/1/13 Agy 44 51
October TBA
6.00%, 10/25/28 Agy 875 871
6.50%, 10/25/28 Agy 1,000 1,016
November TBA
6.50%, 11/25/28 Agy 1,700 1,728
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.875%,
3/20/25-6/20/25 Tsy 1,423 1,441
7.00%, 7/20/25 Tsy 135 137
Various Pools:
9.50%,
12/15/17-12/15/21 Tsy 470 513
10.00%,
1/15/13-10/15/28 Tsy 4,933 5,450
10.50%,
12/15/10-2/15/17 Tsy 244 272
11.00%,
12/15/09-9/15/19 Tsy 534 604
11.50%,
8/15/11-2/15/14 Tsy 262 300
12.00%,
12/15/12-11/15/15 Tsy 1,356 1,553
- -----------------------------------------------------
GROUP TOTAL 37,337
- -----------------------------------------------------
ASSET BACKED CORPORATES (0.2%)
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 21 21
</TABLE>
<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+ $ 39 $ 39
- -----------------------------------------------------
GROUP TOTAL 60
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (15.0%)
Federal Home Loan Mortgage
Corporation,
Series:
90-129 H PAC
8.85%, 3/15/21 Agy 185 196
1377-F Inv Fl REMIC
6.125%, 9/15/07 Agy 148 149
1415-S Inv Fl IO
19.125%, 11/15/07 Agy 108 40
1476-S Inv Fl IO REMIC PAC-2
4.339%, 2/15/08 Agy 925 76
1485-S Inv Fl IO
REMIC
3.975%, 3/15/08 Agy 1,521 105
1591-FG Inv Fl REMIC
6.188%, 10/15/23 Agy 63 63
1660-FA Inv Fl REMIC
6.225%, 12/15/08 Agy 390 395
1600-SA Inv Fl IO REMIC
2.375%, 10/15/08 Agy 2,433 122
1890-F Inv Fl REMIC
6.125%, 6/15/24 Agy 320 322
## 1933-FM REMIC
6.375%, 3/15/25 Agy 26 26
1950-SC Inv Fl IO
2.375%, 10/15/22 Agy 3,450 228
## 2040-FC REMIC
5.94%, 2/15/23 Agy 192 192
Federal National
Mortgage Association,
Series:
90-118 S Inv Fl REMIC
28.579%, 9/25/20 Agy 30 44
92-43 FD Inv Fl
6.288%, 4/25/22 Agy 477 489
92-52 SQ Inv Fl IO REMIC
7163.487%, 9/25/22 Agy 1 130
92-186 S Inv Fl IO REMIC
3.339%, 10/25/07 Agy 1,730 114
93-179 F Inv Fl
6.188%, 10/25/23 Agy 76 76
94-40 F Inv Fl
6.188%, 4/25/23 Agy 163 165
## 94-50 FD REMIC, PAC (11)
6.138%, 3/25/24 Agy 176 177
96-68 SC Inv Fl IO REMIC
2.413%, 1/25/24 Agy 432 53
97-30 Inv Fl IO REMIC
2.313%, 7/25/22 Agy 1,035 71
## 97-70 FA REMIC, PAC (11)
6.138%, 7/18/20 Agy 70 71
</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>
## 98-22 FA REMIC
5.99%, 4/18/22 Agy $ 358 $ 359
191 IO
8.00%, 1/1/28 Agy 224 29
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO REMIC
2.875%, 6/16/26 Tsy 3,300 201
96-13 S Inv Fl IO REMIC
3.46%, 7/16/11 Tsy 1,395 102
96-17 S Inv Fl IO REMIC
2.925%, 8/16/26 Tsy 1,633 104
Kidder Peabody Mortgage Assets
Trust,
Series:
87-B IO
9.50%, 4/22/18 AAA 148 25
87-B PO 4/22/18 AAA 80 70
Salomon Brothers
Mortgage Securities
VII,
Series 96-6E A1 Inv Fl
6.15%, 3/30/25 AAA 104 104
- -----------------------------------------------------
GROUP TOTAL 4,298
- -----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.4%)
## Kidder Peabody Funding Corp.,
Series 92-4 B2
8.285%, 5/28/22 N/R 115 114
- -----------------------------------------------------
COMMERCIAL MORTGAGES (5.8%)
Asset Securitization
Corp., Series 96-MD6
A1C
7.04%, 11/13/26 AAA 140 151
(-) DLJ Mortgage Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 45 48
## 96-CF2 S IO
1.638%, 11/12/21 N/R 467 34
Federal National
Mortgage Association,
Series 93-M2 B IO
2.597%, 11/25/23 Agy 361 6
(+)## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.214%, 4/15/27 Aaa 1,688 120
(+) GS Mortgage Securities Corp. II,
Series 97-GL A2D
6.94%, 7/13/30 Aaa 105 113
(+)## LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.428%, 10/25/26 Aaa 156 169
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.541%, 11/21/28 N/R $ 722 $ 58
(+) Midland Realty Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 120 129
(+) Mortgage Capital Funding, Inc.,
Series 97-MC1 A3
7.288%, 7/20/27 Aaa 225 243
## Nomura Asset Securities Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 167 169
94-MD1 A2
7.666%, 3/15/18 N/R 150 157
(-) Prime Property
Funding, Series 1A
6.633%, 7/23/03 AA 259 263
- -----------------------------------------------------
GROUP TOTAL 1,660
- -----------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.2%)
##@ Resolution Trust
Corp., Series 92-5 C
8.613%, 1/25/26 AA (2)-- --
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 59 58
- -----------------------------------------------------
GROUP TOTAL 58
- -----------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY
COLLATERAL SERIES (0.1%)
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 108 23
- -----------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $43,581) 43,550
- -----------------------------------------------------
PREFERRED STOCK (1.7%)
- -----------------------------------------------------
SHARES
------
<S> <C> <C> <C>
MORTGAGES-OTHER (1.7%)
(-)(+) Home Ownership
Funding Corp.
13.331% (Cost $448) Aaa 500 501
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -----------------------------------------------------
<S> <C> <C> <C>
STRUCTURED INVESTMENTS (0.2%)-SEE NOTE A7
- -----------------------------------------------------
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments
equal to 1% per annum
of the outstanding
notional balance,
indexed to GNMA ARM
pools. (Cost $177) N/R $3,371 $ 47
- -----------------------------------------------------
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 --
@ 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 --
- -----------------------------------------------------
TOTAL INTEREST RATE CAPS (Premium Paid $68) --
- -----------------------------------------------------
CASH EQUIVALENTS (29.4%)
- -----------------------------------------------------
COMMERCIAL PAPER (3.5%)
Texaco Capital
5.51%, 10/7/98 Agy 1,000 999
- -----------------------------------------------------
DISCOUNT NOTES (17.3%)
Federal Home Loan Mortgage
Corporation
5.20%, 11/12/98 Agy 2,500 2,485
5.21%, 11/25/98 Agy 2,500 2,480
- -----------------------------------------------------
GROUP TOTAL 4,965
- -----------------------------------------------------
U.S. TREASURY BILL (1.7%)
+++ U.S. Treasury Bill
3/11/99 Tsy 500 489
- -----------------------------------------------------
REPURCHASE AGREEMENT (6.9%)
Chase Securities, Inc. 5.40% dated
9/30/98, due 10/1/98, to be
repurchased at $1,968,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$1,987 1,967 1,967
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $8,421) 8,420
- -----------------------------------------------------
TOTAL INVESTMENTS (183.2%) (Cost $52,695) 52,518
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -----------------------------------------------------
- -----------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-83.2%)
Cash $ 3
Dividends Receivable 17
Interest Receivable 386
Receivable for Investments Sold 24
Receivable for Forward Commitments 20,935
Receivable for Daily Variation on Futures
Contracts 5
Other Assets 2
Payable for Forward Commitments (44,663)
Payable for Investment Advisory Fees (23)
Payable for Administrative Fees (2)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Unrealized Loss on Swaps (463)
Other Liabilities (65)
--------
(23,846)
- -----------------------------------------------------
NET ASSETS (100%) $ 28,672
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 2,713,974
outstanding shares of beneficial
interest (unlimited
authorization, no par value) $ 28,672
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.56
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 30,358
Undistributed Net Investment Income (Loss) 735
Undistributed Realized Net Gain (Loss) (1,795)
Unrealized Appreciation (Depreciation) on:
Investment Securities (177)
Futures and Swaps (449)
- -----------------------------------------------------
NET ASSETS $ 28,672
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate securities-rate disclosed
is as of September 30, 1998.
(2) Face Amount is less than $500.
@ Value is less than $500.
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (120.8%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (52.1%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%,
6/1/10-6/1/20 Agy $3,389 $ 3,702
10.50%, 12/1/14 Agy 193 213
11.00%,
8/1/15-5/1/20 Agy 162 181
11.50%,
12/1/08-1/1/18 Agy 894 1,016
Gold Pools:
10.00%,
2/1/21-10/1/21 Agy 233 257
10.50%,
1/1/19-10/1/20 Agy 756 839
11.50%, 8/1/10 Agy 113 127
12.00%,
6/1/15-9/1/15 Agy 404 453
October TBA
6.00%, 10/15/28 Agy 12,775 12,774
6.50%, 10/15/28 Agy 16,000 16,288
7.50%, 10/15/28 Agy 27,575 28,414
November TBA
6.00%,
10/15/28-11/15/28 Agy 28,150 28,135
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 11/1/20 Agy 586 638
10.00%,
12/1/15-9/1/16 Agy 757 831
10.50%,
4/1/15-12/1/16 Agy 454 505
11.00%, 7/1/20 Agy 347 390
11.50%, 11/1/19 Agy 466 528
12.00%,
5/1/14-8/1/20 Agy 224 255
12.50%, 2/1/15 Agy 46 53
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%,
2/20/25-6/20/25 Tsy 8,472 8,577
7.50%, 1/20/25 TBA Tsy 4,974 5,040
Various Pools:
9.00%,
7/15/16-1/15/17 Tsy 2,325 2,498
9.50%,
12/15/17-12/15/21 Tsy 3,696 4,043
10.00%,
11/15/09-2/15/28 Tsy 9,384 10,365
10.50%,
11/15/18-5/15/26 Tsy 467 521
11.00%,
1/15/10-1/15/21 Tsy 2,554 2,875
11.50%,
2/15/13-11/15/19 Tsy 1,745 1,987
- ------------------------------------------------------
GROUP TOTAL 131,505
- ------------------------------------------------------
ASSET BACKED CORPORATES (30.0%)
(-) ACC Automobile
Receivables Trust,
Series 97-C A
6.40%, 3/17/04 AAA 679 684
Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 716 717
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A $ 81 $ 81
96-B A
6.60%, 4/15/01 A 476 479
97-A A
6.35%, 10/15/02 AAA 488 491
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 325 327
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 1,330 1,352
98-A A3
5.90%, 11/15/02 AAA 1,650 1,663
Associates Manufactured
Housing Pass Through
Certificates, Series
97-1 A3
6.60%, 6/15/28 AAA 1,605 1,615
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 132 132
95-A B
7.65%, 3/15/02 A 139 141
98-B A3
5.81%, 5/15/03 AAA 2,200 2,223
Champion Home Equity Loan Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 629 631
96-4 A2
6.66%, 11/25/11 AAA 875 881
Cityscape Home Equity Loan Trust,
Series:
97-1 A3
6.63%, 3/25/18 AAA 1,300 1,300
97-3 A3
7.31%, 7/25/18 AAA 250 251
97-4 A2
6.77%, 10/25/18 AAA 2,430 2,439
Contimortgage Home Equity Loan
Trust, Series 97-4 A3
6.26%, 8/15/12 AAA 1,230 1,234
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 325 326
97-2 A
6.65%, 10/15/02 AAA 410 415
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
98-2 A
6.09%, 11/15/03 AAA $1,137 $ 1,144
(-) Credit Card Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 826 844
Crown Home Equity Loan Trust,
Series 96-1 A2
6.51%, 6/25/11 AAA 588 588
CS First Boston
Mortgage Securities
Corp., Series 96-2 A2
6.32%, 3/25/05 AAA 483 482
Daimler Benz Auto Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 590 594
Delta Funding Home Equity Loan
Trust, Series 96-3 A2
6.525%, 10/25/11 AAA 796 796
Empire Funding Home
Loan Owner Trust
Series:
97-3 A4
7.16%, 4/25/23 AAA 2,200 2,237
# 98-2 A1
5.708%, 5/25/08 AAA 597 597
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 1,175 1,179
(-) 97-2 A1
6.85%, 11/15/02 AAA 346 348
First Plus Home Loan Trust,
Series:
96-3 A2
6.85%, 6/20/07 AAA 316 315
96-4 A3
6.28%, 3/10/09 AAA 900 900
97-1 A3
6.45%, 6/10/09 AAA 1,300 1,301
97-4 A2
6.30%, 8/10/09 AAA 700 701
97-4 A3
6.40%, 8/10/11 AAA 425 427
First Security Auto Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 703 708
98-A A
5.97%, 4/15/04 AAA 2,186 2,213
First Union Residential
Securitization Trust,
Series 96-2 A2
6.46%, 9/25/11 AAA 1,025 1,026
Fleetwood Credit Corp,
Series 92-A A
7.10%, 2/15/07 AAA 548 550
</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 $ 636 $ 637
96-B
6.55%, 2/15/02 A 400 405
97-B A3
6.05%, 4/15/01 AAA 1,725 1,737
General Electric Home Equity Loan
Asset-Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 850 856
General Motors Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 463 468
(-) Global Rated Eligible Asset
Trust,
Series 98-A A1
7.45%, 3/15/06 A 685 698
Green Tree Financial Corp.,
Series:
97-7 A2
6.10%, 5/15/03 AAA 457 458
(+) 98-1 A2
5.85%, 11/1/29 Aaa 1,125 1,126
98-2 A3
6.05%, 10/1/07 AAA 1,100 1,104
Green Tree Lease
Finance, Series 97-1
A3
6.17%, 9/20/05 AAA 825 832
Greenwich Capital Acceptance,
Inc., Series 95-B A1
6.00%, 8/10/20 AAA 167 167
(-) Health Care
Receivables
Securitization
Program, Series 97-1
A
6.815%, 7/1/01 N/R 450 459
Honda Auto Receivables Grantor
Trust,
Series: 97-A A
5.85%, 2/15/03 AAA 859 862
97-B A
5.95%, 5/15/03 AAA 540 543
IBM Credit Receivables Lease Asset
Master Trust, Series 93-1 A
4.55%, 11/15/00 AAA 34 34
IMC Home Equity Loan Trust,
Series: 96-4 A3
6.81%, 7/25/11 AAA 500 502
98-1 A2
6.31%, 12/20/12 AAA 1,100 1,105
(+) Life Financial Home
Loan Owner Trust,
Series 97-2 A2
6.74%, 6/25/12 Aaa 1,599 1,606
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(-) Long Beach
Acceptance Auto
Grantor,
Series:
97-1 A
6.85%, 10/25/03 AAA $ 909 $ 914
97-2 A
6.69%, 9/25/04 AAA 666 670
98-1 A
6.19%, 1/25/05 AAA 655 655
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 1,375 1,382
Money Store (The) Home
Equity Trust,
Series 96-C A3
7.07%, 12/15/16 AAA 214 215
Money Store (The)
Residential Trust,
Series 97-I A2
6.48%, 6/15/10 AAA 1,570 1,587
(-) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 950 1,003
Navistar Financial
Corp. Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 1,150 1,157
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 1,326 1,335
Oakwood Mortgage
Investors, Inc.,
Series 97-C A2
6.45%, 11/15/27 AAA 1,200 1,212
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 62 62
Olympic Automobile
Receivables Trust,
Series:
94-A1
5.65%, 1/15/01 AAA 94 94
94-B B
6.95%, 6/15/01 AAA 158 158
Onyx Acceptance Grantor
Trust,
Series:
97-2 A
6.35%, 10/15/03 AAA 1,197 1,208
97-3 A
6.35%, 1/15/04 AAA 533 537
98-B A1
5.60%, 3/15/03 AAA 2,100 2,098
Preferred Credit Corp.,
Series 97-1 A3
6.91%, 5/1/07 AAA 850 850
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Premier Auto Trust,
Series 95-4 A4
6.00%, 5/6/00 AAA $ 665 $ 667
(-) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 925 953
Team Fleet Financing Corp.,
Series:
(-) 96-1A
6.65%, 12/15/02 A- 1,350 1,379
(-) 97-1A
7.35%, 5/15/03 A- 1,475 1,544
98-2A
6.07%, 7/25/02 AA 1,400 1,425
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 669 673
97-B A2
6.70%, 6/8/03 AAA 980 998
USAA Auto Loan Grantor Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 1,049 1,053
(+)Vanderbilt Mortgage Finance,
Series 97-B 1A2
6.775%, 12/7/28 Aaa 1,275 1,286
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 915 920
97-D A4
6.25%, 3/20/03 AAA 1,000 1,014
World Omni Automobile Lease
Securitization Trust,
Series 97-B A2
6.08%, 11/25/03 AAA 850 855
- ------------------------------------------------------
GROUP TOTAL 75,835
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.1%)
Federal Home Loan Mortgage
Corporation,
Series:
##1386-D REMIC
6.125%, 10/15/07 Agy 1,488 1,497
1462-PE REMIC, PAC-1 (11)
6.75%, 9/15/16 Agy 648 660
1602-PD PAC-1 (11)
5.20%, 1/15/15 Agy 33 33
1931-A SEQ
7.25%, 6/15/21 Agy 459 461
Federal National
Mortgage Association
Series:
93-16 B
7.50%, 10/25/19 Agy 222 223
94-93 PD PAC-1 (11)
7.25%, 4/25/15 Agy 655 662
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## 97-43 FM REMIC
6.188%, 7/18/27 Agy $1,208 $ 1,217
## 98-22 FA REMIC
5.99%, 4/18/28 Agy 612 614
- ------------------------------------------------------
GROUP TOTAL 5,367
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (1.0%)
First Union-Lehman Brothers
Commercial Mortgage,
Series 97-C2 A1
6.479%, 3/18/04 AAA 2,479 2,534
- ------------------------------------------------------
COMMERCIAL MORTGAGES (1.1%)
Asset Securitization
Corp., Series 97-D5
A1A
6.50%, 2/14/04 AAA 854 874
(+)Carolina First Bank,
Series 96
6.50%, 12/18/99 Aa2 19 19
CBM Funding Corp.,
Series 96-1 A1
7.55%, 2/1/13 AA 226 227
Lehman Large Loan,
Series 97-LL1 A1
6.79%, 6/12/04 AAA 1,175 1,261
(+)Midland Realty
Acceptance Corp.,
Series 96-C2 A1
7.233%, 1/25/29 Aaa 473 493
- ------------------------------------------------------
GROUP TOTAL 2,874
- ------------------------------------------------------
FINANCE (16.4%)
American General Finance Corp.,
Series:
D 6.35%, 9/19/00 A+ 545 558
E
6.26%, 12/15/00 A+ 90 92
Associates Corp. of
North America
5.875%, 7/15/02 AA 1,730 1,762
BankAmerica Corp.
6.875%, 6/1/03 A 1,200 1,274
Bankers Trust New York Corp.
6.625%, 7/30/99 A 635 634
Beneficial Corp.,
Series:
G
6.45%, 6/19/00 A 670 684
I
6.27%, 7/9/01 A 1,290 1,317
Caterpillar Financial
Services Corp.,
Series F
5.836%, 5/1/00 A 1,720 1,735
Chase Manhattan Bank
5.875%, 8/4/99 A+ 1,375 1,382
Chrysler Financial
Corp.
6.375%, 1/28/00 A 775 787
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Chubb Corp.
6.15%, 8/15/05 AA+ $1,255 $ 1,324
CIT Group Holdings
6.25%, 3/28/01 A+ 770 789
6.375%, 10/1/02 AA- 915 949
Countrywide Funding Corp.,
Series A
7.32%, 8/15/00 A 650 672
(-) Farmers Insurance Exchange
8.50%, 8/1/04 BBB- 700 796
(-) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 1,075 1,137
First Union Corp.
6.625%, 6/15/00 A 1,205 1,235
(-) Florida Property & Casualty
7.375%, 7/1/03 A- 375 403
7.45%, 7/1/04 A 150 163
(-) Florida Windstorm
6.70%, 8/25/04 A- 425 447
Ford Motor Credit Corp.
6.125%, 4/28/03 A 1,575 1,632
8.375%, 1/15/00 A 400 416
General Electric Capital Corp.,
Series A
5.925%, 5/1/00 AAA 1,890 1,920
General Motors Acceptance Corp.
7.125%, 5/1/01 A 1,660 1,734
(+)7.25%, 6/22/99 A2 285 289
Heller Financial, Inc.
6.25%, 3/1/01 A- 1,605 1,636
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 861 897
(-) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 1,190 1,243
International Lease Finance Corp.
6.875%, 5/1/01 A+ 780 810
John Deere Capital Corp.
5.85%, 1/15/01 A+ 1,345 1,365
J.P. Morgan & Co, Inc.,
Series A
5.875%, 5/1/00 AA 1,860 1,876
Lehman Brothers
Holdings, Inc.
6.625%, 11/15/00 A 725 716
Merrill Lynch & Co.
6.00%, 2/12/03 AA- 1,150 1,170
(-) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 1,555 1,609
Norwest Financial, Inc.
5.375%, 9/30/03 AA- 1,200 1,210
Series B
6.05%, 11/19/99 AA- 1,285 1,300
(-) Prime Property
Funding II
6.80%, 8/15/02 A 785 801
7.00%, 8/15/04 A 225 233
</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>
(-) Prudential
Insurance Co.
6.875%, 4/15/03 A- $1,390 $ 1,464
Toyota Motor Credit
Corp.
5.50%, 9/17/01 AAA 1,035 1,044
- ------------------------------------------------------
GROUP TOTAL 41,505
- ------------------------------------------------------
INDUSTRIALS (2.9%)
Columbia/HCA Healthcare
6.41%, 6/15/00 BBB 400 397
Comdisco, Inc.,
Series G
6.00%, 6/1/00 BBB+ 1,095 1,107
(-) EES Coke Battery Co., Inc.
7.125%, 4/15/02 BBB 488 495
(-) EOP Operating LP
6.50%, 6/15/04 BBB 720 727
(-) Kern River Funding
Corp.
6.42%, 3/31/01 A- 445 451
Philip Morris Cos.,
Inc.
8.75%, 6/1/01 A 520 561
(-) Scotia Pacific Co., LLC
6.55%, 7/20/28 A 890 916
Turner Broadcasting Systems
7.40%, 2/1/04 BBB- 945 1,026
Waste Management, Inc.
6.125%, 7/15/01 BBB+ 980 996
Williams Cos., Inc.
6.20%, 8/1/02 BBB- 720 736
- ------------------------------------------------------
GROUP TOTAL 7,412
- ------------------------------------------------------
TAXABLE MUNICIPAL (0.3%)
New York State Power
Authority, Revenue Bonds,
Series B
6.11%, 2/15/11 AA- 805 831
- ------------------------------------------------------
TELEPHONES (1.0%)
MCI WorldCom, Inc.
6.125%, 8/15/01 BBB+ 1,440 1,474
TCI Communications, Inc.
6.375%, 5/1/03 BBB- 980 1,025
- ------------------------------------------------------
GROUP TOTAL 2,499
- ------------------------------------------------------
U.S. TREASURY SECURITIES (12.2%)
+++U.S. Treasury Note
3.625%, 7/15/02
(Inflation
Indexed) Tsy 30,595 30,719
- ------------------------------------------------------
UTILITIES (0.3%)
(-) Edison Mission
Energy Funding Corp.
6.77%, 9/15/03 BBB 624 641
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
YANKEE (1.4%)
(-) AST Research, Inc.
7.45%, 10/1/02 BB- $ 600 $ 449
Korea Development Bank
7.375%, 9/17/04 BB+ 470 370
(-) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 1,001 1,015
(-) Oil Purchase Co.
7.10%, 10/31/02 BBB 551 540
(-) Ras Laffan Liquified
Natural Gas Co.
7.628%, 9/15/06 BBB+ 665 590
Sony Corp.
6.125%, 3/4/03 A 650 665
- ------------------------------------------------------
GROUP TOTAL 3,629
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $302,816) 305,351
- ------------------------------------------------------
PREFERRED STOCK (0.7%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGES-OTHER (0.7%)
(-)(+)Home Ownership Funding Corp.
13.331% (Cost $1,614)
Aaa 1,800 1,804
- ------------------------------------------------------
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 --
- ------------------------------------------------------
CASH EQUIVALENTS (12.8%)
- ------------------------------------------------------
COMMERCIAL PAPER (11.8%)
Canadian Imperial Bank Holdings
5.52%, 10/7/98 4,000 3,997
Eastman Kodak
5.52%, 10/20/98 5,500 5,484
General Electric Capital
5.40%, 11/19/98 5,000 4,963
Koch Industries
5.49%, 10/1/98 5,000 5,000
SBC Communications
5.41%, 11/12/98 5,350 5,316
Xerox Credit Corp.
5.50%, 10/2/98 5,000 4,999
- ------------------------------------------------------
GROUP TOTAL 29,759
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (1.0%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $2,409,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$2,433 $2,409 $ 2,409
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $32,168) 32,168
- ------------------------------------------------------
TOTAL INVESTMENTS (134.3%) (Cost $336,968) 339,323
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-34.3%)
Cash 881
Dividends Receivable 60
Interest Receivable 2,094
Receivable for Investments Sold 302
Receivable for Forward Commitments 27,875
Receivable for Fund Shares Sold 371
Unrealized Gain on Swap Agreements 320
Other Assets 6
Payable for Investments Purchased (5,067)
Payable for Forward Commitments (112,515)
Payable for Fund Shares Redeemed (312)
Payable for Investment Advisory Fees (190)
Payable for Administrative Fees (17)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable for Daily Variation on Futures
Contracts (343)
Other Liabilities (71)
--------
(86,612)
- ------------------------------------------------------
NET ASSETS (100%) $252,711
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS
Applicable to 23,976,147 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $252,711
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.54
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $251,668
Undistributed Net Investment Income (Loss) 3,731
Undistributed Realized Net Gain (Loss) (3,122)
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,355
Futures and Swaps (1,921)
- ------------------------------------------------------
NET ASSETS $252,711
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public
sale may exist.
+++ A portion of these securities was pledged to
cover margin requirements for future contracts.
(+) Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity. Rate disclosed is as of September 30,
1998. Maturity date disclosed is the ultimate
maturity.
## Variable of floating rate security-rate
disclosed is as of September 30, 1998.
@ Value is less than $500.
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PAC Planned Amortization Class
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See
Note A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (119.9%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (53.0%)
Federal Home Loan
Mortgage
Corporation,
Conventional Pools:
10.50%,
9/1/09-3/1/27 Agy $ 3,252 $ 3,592
11.00%,
12/1/10-9/1/20 Agy 1,847 2,063
11.75%, 12/1/17 Agy 80 91
Gold Pools:
10.50%,
11/1/15-4/1/21 Agy 4,060 4,511
October TBA
6.00%, 10/15/28 Agy 22,550 22,549
6.50%, 10/15/28 Agy 2,700 2,748
7.50%, 10/15/28 Agy 35,275 36,348
November TBA
6.00%,
10/15/28-11/15/28 Agy 36,200 36,181
Federal National
Mortgage
Association,
Conventional Pools:
9.00%, 1/1/21 Agy 4,363 4,662
9.50%,
11/1/20-8/1/22 Agy 7,378 8,032
10.00%,
11/1/18-5/1/22 Agy 7,783 8,543
10.50%,
8/1/15-4/1/22 Agy 2,464 2,744
11.00%, 11/1/20 Agy 214 240
12.00%, 11/1/15 Agy 2,555 2,910
12.50%, 9/1/15 Agy 244 281
October TBA
6.00%, 10/25/28 Agy 27,150 27,021
6.50%, 10/25/28 Agy 22,500 22,882
November TBA
6.50%, 11/25/28 Agy 63,400 64,434
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%,
2/20/25-6/20/25 Agy 19,266 19,512
Various Pools:
9.50%, 4/15/28 Agy 4,097 4,489
10.00%,
2/15/16-10/15/28 Agy 9,080 10,022
10.50%,
10/15/15-5/15/26 Agy 2,842 3,164
11.00%,
1/15/10-5/15/26 Agy 4,781 5,381
12.00%,
3/15/11-4/15/14 Agy 43 49
12.50%, 6/15/10 Agy 96 110
- ------------------------------------------------------
GROUP TOTAL 292,559
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (14.1%)
Advanta Mortgage Loan
Trust,
Series 97-3 A2
6.61%, 4/25/12 AAA $ 120 $ 120
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 2,515 2,557
97-D A3
6.20%, 5/15/03 AAA 1,890 1,915
98-A A3
5.90%, 11/15/02 AAA 2,715 2,736
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 1,199 1,202
(+)Citibank Credit Card
Master
Trust I 98-7 A
5.60%, 5/15/02 Aaa 3,875 3,877
Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC
(11)
5.62%, 3/15/13 AAA 2,220 2,218
(-) Credit Card
Receivables Trust,
Series 98-IA
6.478%, 12/22/04 AAA 1,214 1,241
Daimler Benz Auto
Grantor Trust, Series
97-A
6.05%, 3/31/05 AAA 1,307 1,316
Empire Funding Home
Loan Owner Trust,
Series 97-4 A2
7.16%, 5/25/12 AAA 2,080 2,114
(-) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B A1
7.629%, 11/1/18 A 1,126 1,137
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 1,345 1,346
97-3 A3
6.57%, 10/10/10 AAA 1,330 1,336
97-4 A2
6.30%, 8/10/09 AAA 1,450 1,452
97-4 A3
6.40%, 8/10/11 AAA 1,250 1,255
98-1 A3
6.04%, 10/10/13 AAA 2,435 2,440
First Security Auto
Grantor
Trust, Series 97-B A
6.14%, 4/15/03 AAA 2,194 2,211
First USA Credit Card
Master Trust, Series
97-10 A
5.672%, 9/17/03 AAA 2,740 2,739
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA $ 3,920 $ 3,947
Green Tree Financial
Corp., Series 97-7 A3
6.18%, 9/15/09 AAA 1,865 1,872
Green Tree Home Equity
Loan Trust, Series
98-C A1
5.95%, 7/15/29 AAA 2,351 2,361
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 2,281 2,290
97-B A
5.95%, 5/15/03 AAA 133 133
IMC Home Equity Loan
Trust, Series 98-1 A2
6.31%, 12/20/12 AAA 2,175 2,185
(-) Long Beach
Acceptance Auto
Grantor Trust, Series
97-2 A
6.69%, 9/25/04 AAA 1,151 1,157
(-) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,650 1,742
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/17/03 AAA 2,381 2,397
(-) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/04 AA 2,765 2,849
(+)Residential Funding
Mortgage Securities
Co., Inc., Series
98-HI2 A1
5.696%, 2/25/10 Aaa 3,103 3,100
(-) Securitized
Multiple Asset Rated
Trust,
Series 97-3 A1
7.71%, 4/15/06 A 1,297 1,322
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 108 108
(-) Team Fleet
Financing Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 1,125 1,149
98-3 A
6.13%, 10/25/04 AA 2,080 2,129
Textron Financial Corp.
Receivables Trust,
Series 98-A A1
5.82%, 2/15/02 AAA 2,200 2,201
UCFC Home Equity Loan
Trust Series 98-C A1
5.706%, 1/15/13 AAA 2,625 2,626
</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 $ 2,465 $ 2,479
98-A A2
5.783%, 11/20/00 AAA 3,025 3,030
98-A3
5.90%, 5/20/02 AAA 2,715 2,731
World Omni Automobile
Lease Securitization
Trust, Series 97-B A2
6.08%, 11/15/03 AAA 2,600 2,616
- ------------------------------------------------------
GROUP TOTAL 77,636
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.4%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A YMA
10/25/26 N/R 25,088 34
96-3 A IO
1.00%, 10/25/26 AAA 29,712 687
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 18,204 452
(-) 96-4 A11 I YMA
1/15/28 AAA 14,547 21
96-4 A12 I IO
1.05%, 1/15/28 AAA 4,515 112
(sec.)96-4 A12 I YMA
1/15/28 (acquired
12/16/96 cost $17) AAA 4,848 7
97-1 A10 I IO
1.10%, 3/15/28 AAA 22,608 584
(-) 97-1 A10 I YMA
3/15/28 N/R 23,476 33
- ------------------------------------------------------
GROUP TOTAL 1,930
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (6.0%)
Federal Home Loan
Mortgage Corporation,
Series:
88-22 C PAC (11)
9.50%, 4/15/20 Agy 39 41
1415-S Inv Fl IO
19.125%, 11/15/07 Agy 721 264
1476-S Inv Fl IO REMIC PAC
4.339%, 2/15/08 Agy 7,231 597
1485-S Inv Fl IO REMIC
3.975%, 3/15/08 Agy 6,477 447
1600-SA Inv Fl IO
REMIC
2.375%, 10/15/08 Agy 14,077 705
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
1546-FC
6.125%, 12/15/21 Agy $ 1,364 $ 1,379
## 1933-FM REMIC
6.375%, 3/15/25 Agy 303 305
## 1933-FO REMIC
6.375%, 3/15/25 Agy 530 533
## 2030-F
6.09%, 2/15/28 Agy 3,157 3,181
## 2040-FC
5.94%, 2/15/23 Agy 2,281 2,289
Federal National
Mortgage Association,
Series:
92-186 S Inv Fl IO
REMIC
3.339%, 10/25/07 Agy 12,759 837
93-205 H PO REMIC
9/25/23 Agy 2,228 1,772
## 94-50 FD REMIC
6.138%, 3/25/24 Agy 1,717 1,724
## 94-73 F
6.188%, 12/25/20 Agy 2,557 2,574
96-14 PC PO
12/25/23 Agy 366 340
96-54 O PO
11/25/23 Agy 287 259
96-68 SC Inv Fl IO REMIC
2.413%, 1/25/24 Agy 3,825 468
## 97-43 FM REMIC
6.188%, 7/18/27 Agy 2,725 2,745
## 97-70 FA REMIC,
PAC (11)
6.138%, 7/18/20 Agy 1,187 1,194
## 97-76 FM
6.138%, 9/17/27 Agy 1,446 1,457
## 97-76 FN
6.088%, 9/17/27 N/A 1,417 1,426
## 98-22 FA REMIC
5.99%, 4/18/22 Agy 4,335 4,347
X-97C FC TBA
6.388%, 3/25/24 Agy 643 649
191 IO
8.00%, 1/1/28 Agy 3,242 413
291 2 IO
8.00%, 11/1/27 Agy 6,294 794
Government National
Mortgage Association
Series 97-13 F TBA
6.188%, 9/16/27 Agy 2,475 2,494
- ------------------------------------------------------
GROUP TOTAL 33,234
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.9%)
American Housing Trust,
Series:
IV 2
9.553%, 9/25/20 A 224 236
V 1G
9.125%, 4/25/21 AAA 1,202 1,279
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## Kidder Peabody
Funding Corp., Series
92-4 B2
8.285%, 5/28/22 N/R $ 676 $ 670
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 651 707
Prudential Home
Mortgage Securities
Co., Inc., Series
90-5 A3
9.50%, 5/25/05 AAA 23 23
## Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 234 228
## Ryland Mortgage
Securities Corp. III,
Series 92-A 1A
8.262%, 3/29/30 A- 1,495 1,522
- ------------------------------------------------------
GROUP TOTAL 4,665
- ------------------------------------------------------
COMMERCIAL MORTGAGES (7.5%)
(+)American Southwest
Financial Securities
Corp., Series 95-C1
A1B
7.40%, 11/17/04 Aaa 2,030 2,102
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 4,451 4,725
96-MD6 A1C
7.04%, 11/13/26 AAA 1,845 1,985
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 2,175 2,445
(-) Carousel Center
Finance, Inc., Series
1 A1
6.828%, 11/15/07 AA 1,550 1,605
(-) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 1,667 1,935
(-) Crystal Run
Properties, Series A
7.393%, 8/15/06 AA 2,125 2,267
(-) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 7/15/06 AAA 545 584
## 96-CF2 S IO
1.638%, 11/12/21 N/R 5,599 404
(+)First Union-Lehman
Brothers Commercial
Mortgage Trust,
Series 97-C1 A2
7.30%, 12/18/06 Aaa 2,455 2,660
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+)## GMAC Commercial
Mortgage Securities, Inc.,
Series:
96-C1 X2 IO
1.916%, 3/15/21 Aaa $ 8,069 $ 591
97-C2 X IO
1.273%, 4/15/27 Aaa 21,601 1,532
(+)GS Mortgage
Securities Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 2,340 2,521
## 97-GL X2 IO
1.068%, 7/13/30 Aaa 5,946 295
(+)## LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.416%, 10/25/26 Aaa 2,016 2,185
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.541%, 11/21/28 AAA 9,220 747
Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 AAA 1,535 1,648
(+)Mortgage Capital
Funding, Inc.,
Series 97-MC1 A3
7.288%, 7/20/27 Aaa 2,740 2,964
Nomura Asset Securities
Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,135 1,211
(-) Park Avenue Finance
Corp., Series 97-C1
A1
7.58%, 5/12/07 N/R 919 996
(-) Prime Property
Funding Series 1 A
6.633%, 7/23/03 AA 1,519 1,545
(+)Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 1,150 1,227
(-) Stratford Finance Corp.
6.776%, 2/1/04 AA 2,300 2,415
## Structured Asset
Securities Corp.,
Series:
96-CFL X1A IO
1.337%, 2/25/28 N/R 10,338 204
96-CFL X1 IO
1.447%, 2/25/28 N/R 12,288 660
96-CFL X2 IO
1.169%, 2/25/28 N/R 3,003 70
- ------------------------------------------------------
GROUP TOTAL 41,523
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.3%)
(-) Excel Paralubes
Funding
7.43%, 11/1/15 A- $ 1,120 $ 1,168
Mobile Energy Services
8.665%, 1/1/17 CCC 1,847 685
- ------------------------------------------------------
GROUP TOTAL 1,853
- ------------------------------------------------------
FINANCE (8.8%)
(-) Anthem Insurance
Cos., Inc., Series A
9.00%, 4/1/27 BBB+ 1,135 1,228
Associates Corp., NA
6.00%, 7/15/05 AA- 1,920 1,981
(-) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 2,325 2,505
(-) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 2,680 2,541
(-) EOP Operating LP
6.763%, 6/15/07 BBB 1,420 1,432
Equifax, Inc.
6.90%, 7/1/28 A 890 916
(-) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 2,740 2,942
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 575 579
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 2,200 2,626
(-) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 1,900 2,049
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 2,150 2,344
(-) Florida Property &
Casualty
7.375%, 7/1/03 A- 750 807
(-) Florida Windstorm
6.70%, 8/25/04 A- 2,880 3,030
(-) GS Escrow Corp.
7.125%, 8/1/05 BB+ 1,700 1,690
Great Western
Financial, Inc.
Series A
8.206%, 2/1/27 BBB- 255 276
HMH Properties,
Series A
7.875%, 8/1/05 BB 2,035 2,060
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA 2,000 2,043
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 2,300 2,329
(-) New York Life
Insurance Co.
7.50%, 12/15/23 AA 1,075 1,135
</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>
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ $ 2,530 $ 2,706
(-) Prime Property
Funding II, Series 1A
6.80%, 8/15/02 A 200 204
7.00%, 8/15/04 A 1,945 2,016
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 2,205 2,591
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 1,300 1,435
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 3,045 3,233
96 WFP-D
6.95%, 9/1/13 AA- 1,700 1,794
- ------------------------------------------------------
GROUP TOTAL 48,492
- ------------------------------------------------------
INDUSTRIALS (7.6%)
American Standard Cos.
7.375%, 4/15/05 BB- 1,660 1,689
Becton, Dickinson & Co.
7.00%, 8/1/27 A+ 390 428
CalEnergy Co., Inc.
8.48%, 9/15/28 BB+ 1,060 1,103
CBS Corp.
7.15%, 5/20/05 BB+ 1,900 1,984
Columbia/HCA Healthcare
7.58%, 9/15/25 BBB 1,145 1,008
9.00%, 12/15/14 BBB 785 853
Continental Cablevision
8.30%, 5/15/06 BBB 1,285 1,456
Cox Communications, Inc.
6.80%, 8/1/28 A- 825 856
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 1,810 1,873
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 457 438
93-K1 A2
7.43%, 8/15/18 BB 275 248
94-K1 A2
8.375%, 8/15/15 BB 1,075 1,050
94-K2 A2
9.35%, 8/15/19 BB 1,335 1,382
Ford Motor Co.
6.625%, 10/1/28 A 1,050 1,062
6.50%, 8/1/18 A+ 290 292
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 2,265 2,363
General Motors Corp.
6.75%, 5/1/28 A 1,570 1,604
Intermedia
Communications,
Inc. Series B
8.50%, 1/15/08 B 280 278
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Lenfest Communications, Inc.
(-)7.625%, 2/15/08 BB+ $ 1,330 $ 1,343
8.375%, 11/1/05 BB+ 1,315 1,377
News America, Inc.
7.28%, 6/30/28 BBB- 2,355 2,392
(-) Oxymar
7.50%, 2/15/16 BBB 1,490 1,523
+++Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 2,400 2,573
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 1,050 1,127
Rhone-Poulenc Rorer, Inc.
Series 92-A 3
8.62%, 1/5/21 BBB- 2,175 2,391
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 3,305 3,118
Southland Corp.
5.00%, 12/15/03 BB+ 1,813 1,505
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 235 277
(-) Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 1,575 1,597
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 520 540
7.57%, 2/1/24 BBB- 840 932
United Technologies Corp.
6.70%, 8/1/28 A+ 1,375 1,460
- ------------------------------------------------------
GROUP TOTAL 42,122
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.4%)
First Federal Savings &
Loan Association,
Series 92-C
8.75%, 6/1/06 AA 33 33
## Resolution Trust
Corp., Series 92-5 C
8.613%, 1/25/26 AA 885 878
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,240 1,221
(sec.) Shearson American
Express,
Series A CMO
9.625%, 12/1/12
(acquired
8/24/92-5/25/93,
cost $141) AA 141 141
- ------------------------------------------------------
GROUP TOTAL 2,273
- ------------------------------------------------------
TELEPHONES (2.0%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 1,290 1,517
GTE Corp.
6.94%, 4/15/28 A 1,780 1,897
# Intermedia
Communications
of Florida, Inc.
0.00%, 5/15/06 B 355 292
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Intermedia
Communications Inc.
Series B
8.60%, 6/1/08 B $ 820 $ 816
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 3,825 4,014
# Qwest Communications
International, Inc.,
0.00%, 2/1/08 BB+ 2,475 1,838
TCI Communications, Inc.
7.125%, 2/15/28 BBB- 560 608
- ------------------------------------------------------
GROUP TOTAL 10,982
- ------------------------------------------------------
TRANSPORTATION (1.2%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 2,160 2,380
(-) Jet Equipment
Trust,
Series 95-C
10.69%, 5/1/15 BBB 2,080 2,756
Union Pacific Corp.
6.625%, 2/1/08 BBB- 1,540 1,589
- ------------------------------------------------------
GROUP TOTAL 6,725
- ------------------------------------------------------
U.S. TREASURY SECURITIES (9.6%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 6,085 8,885
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 25,532 25,125
3.625%, 7/15/02
(Inflation
Indexed) Tsy 8,040 8,072
3.625%, 1/15/08
(Inflation
Indexed) Tsy 11,026 11,057
- ------------------------------------------------------
GROUP TOTAL 53,139
- ------------------------------------------------------
UTILITIES (0.6%)
(-) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 1,225 1,315
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- 1,007 1,075
H
0.00%, 7/1/10 BB- 1,442 1,045
- ------------------------------------------------------
GROUP TOTAL 3,435
- ------------------------------------------------------
YANKEE (7.5%)
(-) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB 2,472 2,201
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 2,395 1,794
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- $ 410 $ 349
7.75%, 7/15/08 A- 1,985 1,756
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 1,605 1,339
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 1,525 1,272
(-) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 2,790 1,982
(-) Hyundai
Semiconductor America
8.625%, 5/15/07 B 1,500 1,053
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 545 532
7.75%, 12/15/27 A- 1,505 1,413
Korea Development Bank
7.375%, 9/17/04 BB+ 3,370 2,650
(-) Multicanal S.A.
10.50%, 4/15/18 BB+ 1,100 724
National Power Corp.
7.875%, 12/15/06 BB+ 1,100 760
8.40%, 12/15/16 BB+ 1,490 904
(-) Oil Purchase Co.
7.10%, 4/30/02 BBB 2,020 1,978
(-) Paiton Energy Funding
9.34%, 2/15/14 CCC 1,900 437
(-) Petroliam Nasional Bhd.
7.125%, 10/18/06 BBB- 2,125 1,382
(-) Petrozuata Finance, Inc.
8.22%, 4/1/17 BBB- 2,595 2,151
(-) Ras Laffan
Liquefied Natural Gas Co.
8.294%, 3/15/14 BBB+ 3,400 2,834
(-) Reliance Industries Ltd.
8.25%, 1/15/27 BB+ 400 288
9.375%, 6/24/26 BB+ 400 326
Republic of Argentina Par,
Series L
5.50%, 3/31/23 BB 3,570 2,408
# 5.75%, 3/31/23 BB 2,115 1,426
Republic of Colombia
8.70%, 2/15/16 BBB- 2,210 1,404
Republic of Korea
8.875%, 4/15/08 BB+ 810 698
Rogers Cablesystems Ltd.,
10.00%, 3/15/05 BB+ 1,450 1,577
(-) Samsung Electronics Co.
7.45%, 10/1/02 BB- 330 242
8.50%, 11/1/02 BB- 290 216
</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>
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB $ 6,160 $ 4,512
B
6.25%, 12/31/19 BB 1,155 846
- ------------------------------------------------------
GROUP TOTAL 41,454
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $661,837) 662,022
- ------------------------------------------------------
PREFERRED STOCKS (2.4%)
- ------------------------------------------------------
SHARES
------
INDUSTRIALS (0.5%)
(-) Entertainment Properties
14.253% BBB- 2,000 1,871
Tier One Properties
11.095% A 975 950
- ------------------------------------------------------
GROUP TOTAL 2,821
- ------------------------------------------------------
MORTGAGES-OTHER (1.9%)
(-)(+) Home Ownership Funding Corp.,
13.331% Aaa 10,400 10,423
- ------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $12,695) 13,244
- ------------------------------------------------------
STRUCTURED INVESTMENT (0.0%)-SEE NOTE A7
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments
equal to 1% per annum
of the outstanding
notional balance,
indexed to GNMA ARM
pools (Cost $1,499) N/R $28,740 400
- ------------------------------------------------------
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 --
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (17.3%)
- ------------------------------------------------------
Short-term Investments
Held as Collateral
for Loaned Securities (2.1%) $11,503 $ 11,503
- ------------------------------------------------------
COMMERCIAL PAPER (10.9%)
Canadian Imperial Bank Holdings
5.52%, 10/7/98 10,000 9,991
sec. First Chicago Financial Corp.
5.52%, 10/2/98
(acquired 9/3/98
cost $9,998) 10,000 9,998
Ford Motor Credit Co.
5.52%, 10/9/98 10,000 9,988
IBM Credit Corp.
5.50%, 10/7/98 10,000 9,991
Metlife Funding, Inc.
5.40%, 10/26/98 10,000 9,962
Prudential Funding Corp.
5.50%, 10/15/98 10,000 9,979
- ------------------------------------------------------
GROUP TOTAL 59,909
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.3%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $24,001,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$24,237 23,997 23,997
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $95,409) 95,409
- ------------------------------------------------------
TOTAL INVESTMENTS (139.6%) (Cost $771,932) 771,075
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-39.6%)
Cash 60
Dividends Receivable 423
Interest Receivable 6,062
Receivable for Investments Sold 167
Receivable for Forward Commitments 126,837
Receivable for Fund Shares Sold 696
Unrealized Gain on Forward Foreign Currency
Contracts 95
Unrealized Gain on Swap Agreements 910
Other Assets 19
Payable for Investments Purchased (4,532)
Payable for Forward Commitments (337,000)
Payable for Fund Shares Redeemed (159)
Payable for Administrative Fees (36)
Payable for Investment Advisory Fees (519)
Payable for Daily Variation on Futures
Contracts (28)
Payable for Trustees' Deferred Compensation
Plan-Note F (19)
Collateral on Securities Loaned, at Value (11,503)
Other Liabilities (279)
--------
(218,806)
- ------------------------------------------------------
NET ASSETS (100%) $552,269
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 44,798,310 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $552,269
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.33
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $531,943
Undistributed Net Investment Income (Loss) 8,848
Undistributed Realized Net Gain (Loss) 13,413
Undistributed Appreciation (Depreciation) on:
Investment Securities (857)
Foreign Currency Transactions 95
Futures and Swaps (1,173)
- ------------------------------------------------------
NET ASSETS $552,269
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30,
1998 was $10,146 or 1.8% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security-certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(+) Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments
until maturity. Rate disclosed is as of
September 30, 1998. Maturity date disclosed is
the ultimate maturity date.
## Variable or floating rate securities-rate
disclosed is as of September 30, 1998.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation.
Inv FI Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (124.4%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (92.4%)
Alabama Drinking Water
Finance Authority
Revenue Bonds,
Series A (AMBAC)
4.60%, 8/15/10 AAA $1,415 $ 1,436
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 531
Allegheny County, PA
Hospital Development
Authority Revenue
Bonds, Series A (MBIA)
4.625%, 8/1/12 AAA 1,000 989
(+) Amarillo, TX Health Facility
Corp. Revenue Bonds (FSA)
5.50%, 1/1/10 Aaa 1,275 1,390
Arkansas State Development
Finance Authority Home
Mortgage Revenue Bonds,
Series B-1
4.90%, 7/1/29 AAA 710 722
Bethel Park, PA
Municipal Sewer Authority
Revenue Bonds (FGIC)
4.75%, 9/1/12 AAA 615 622
California Housing & Finance
Agency Revenue Bonds (MBIA)
5.30%, 8/1/14 AAA 155 161
California State Department
of Veterans Affairs Home,
Series A (AMBAC)
4.90%, 12/1/18 AAA 1,675 1,713
Central MI University
Revenue Bonds, TBA (FGIC)
4.65%, 10/1/11 AAA 1,345 1,362
Charleston County, SC,
Resource Recovery
Revenue Bonds (AMBAC)
5.15%, 1/1/09 AAA 1,000 1,065
Cleveland, OH Airport
Special Revenue Bonds, TBA
5.50%, 12/1/08 BB- 750 765
Colorado Health Facilities
Revenue Bonds,
Series A
Zero Coupon, 7/15/20 AAA 1,000 330
Detroit, MI Downtown
Development Authority
Tax Increment Revenue
Bonds (MBIA)
4.65%, 7/1/10 AAA 1,330 1,340
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
Elizabeth Forward, PA
School District,
Series B (MBIA)
Zero Coupon, 9/1/11 AAA $ 850 $ 471
Ephrata, PA Area School
District, Series C TBA (FGIC)
4.60%, 10/15/11 AAA 1,000 1,008
Fort Worth, TX
Independent School
District (PSFG)
Zero Coupon, 2/15/08 AAA 940 633
(+) Grand Haven, MI Area
Public Schools, TBA
4.70%, 5/1/12 Aaa 1,300 1,311
Grand Traverse County, MI
Hospital Revenue Bonds,
(AMBAC)
Series A
4.625%, 7/1/10 AAA 1,835 1,851
Hawaii State Housing Finance
& Development Corp.,
Single Family Mortgage
Revenue Bonds,
Series A
4.90%, 7/1/28 AA 350 355
(+) Hillsborough County, FL
Housing & Finance Authority,
Single Family Mortgage
Revenue Bonds
4.50%, 4/1/30 Aaa 725 743
Houston, TX Housing
Finance & Development
Corp., Single Family
Mortgage Revenue
Bonds, Series B-1
8.00%, 6/1/14 A 325 353
Houston, TX Water & Sewer
Systems Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/21 AAA 6,510 2,100
Huron Valley, MI School
District TBA (FGIC)
4.65%, 5/1/11 AAA 1,095 1,106
Illinois Development Finance
Authority Revenue Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,226
Indiana State University
Revenue Bonds,
Series I (FGIC)
5.20%, 10/1/12 AAA 1,640 1,720
Indiana Transportation
Finance Authority
Highway Revenue
Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 702
Indianapolis Airport
Authority Revenue
Bonds
7.10%, 1/15/17 BBB 375 425
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Intermountain Power Agency,
UT, Power Supply
Revenue Bonds,
Series A
Zero Coupon, 7/1/17 A+ $1,750 $ 697
Iowa Finance Authority
Single Family Revenue
Bonds, Series G
4.95%, 1/1/21 AAA 500 510
Jefferson Parish, LA
School Board
Sales & Use Tax
Revenue Bonds (FSA)
Zero Coupon, 9/1/06 AAA 1,000 724
Kane & De Kalb
Counties, IL Unit
School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 525 322
Kelloggsville, MI
Public School
District (FGIC)
5.00%, 5/1/12 AAA 1,290 1,337
(+) Lehigh County, PA
General Purpose
Authority Revenue
Bonds, Lehigh Valley
Health Networks,
Series C (MBIA)
4.90%, 7/1/11 Aaa 920 941
Long Island, NY Power
Authority, Electric
System Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/15 AAA 1,935 860
Louisiana Public Facilities
Authority Hospital
Revenue Bonds,
Series A (FSA)
5.50%, 7/1/10 AAA 2,700 2,967
Maine Municipal Bond
Bank, Series C (FSA)
5.10%, 11/1/12 AAA 1,130 1,179
Michigan State Hospital
Finance Authority
Revenue Bonds, Series
A (MBIA)
5.00%, 2/15/12 AAA 1,000 1,025
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 544
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 CCC 180 94
New Jersey Economic
Development Authority
Revenue Bonds,
Series A
Zero Coupon, 4/1/12 N/R 625 271
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
New York City, NY
Industrial
Development
Agency Revenue Bonds (FSA)
6.00%, 11/1/15 AAA $1,575 $ 1,717
New York City, NY
General Obligation
Series G
5.00%, 8/1/12 (MBIA) AAA 1,000 1,034
Inverse Bonds
## 20.36%, 9/30/03 A- 250 424
New York State
Dormitory
Authority Revenue Bonds
5.10%, 2/15/11 (FSA) AAA 825 863
Series E
5.10%, 2/15/11 (FSA) AAA 1,250 1,308
Series H
5.125%, 7/1/11
(FGIC) AAA 1,000 1,055
(+) New York State
Mortgage Agency
Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 1,300 1,341
Noblesville, IN High
School Building Corp.
(AMBAC)
Zero Coupon, 2/15/19 AAA 1,850 680
North Carolina Housing &
Finance Agency
Revenue Bonds,
Series RR
5.00%, 9/1/22 AA 1,290 1,317
(+) North Carolina
Medical Care
Commission Hospital
Revenue Bonds (AMBAC)
4.60%, 10/1/10 Aaa 1,685 1,698
(+) North Hempstead, NY
General Obligation
Bonds,
Series B (FGIC)
5.00%, 3/1/12 Aaa 890 926
Okemos, MI Public
School District
(MBIA)
Zero Coupon, 5/1/15 AAA 900 413
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 478
+++ Penn Hills Township,
PA
Zero Coupon, 6/1/12 N/R 1,165 563
Philadelphia, PA Authority For
Industrial
Development
Revenue Bonds,
Series A
6.50%, 10/1/27 N/R 220 240
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 450 508
</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>
Port Seattle, WA
Revenue Bonds (AMBAC)
4.875%, 8/1/10 AA- $1,475 $ 1,535
Rock Island, IL School
District General
Obligation Bonds (FSA)
5.00%, 12/1/11 AAA 1,000 1,038
## San Bernardino County, CA,
Series A (MBIA)
6.8247%, 7/1/16 AAA 1,150 1,203
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 270 305
St. Tammany Parish Wide
School District, LA,
General Obligation Bonds,
Series A (FSA)
5.00%, 3/1/12 AAA 1,160 1,202
Steel Valley, PA Allegheny
County
Zero Coupon, 11/1/17 A 650 254
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 740 404
Stroudsburg, PA Area
School District
General Obligation
Bonds (FGIC)
4.95%, 10/1/11 AAA 1,000 1,041
Terrebonne Parish, LA
Hospital Service District
Revenue Bonds (AMBAC)
4.95%, 4/1/10 AAA 1,330 1,379
Trinity River Authority, TX,
Regional Wastewater
System Revenue
Bonds (FSA)
4.60%, 8/1/11 AAA 1,600 1,610
(+) Trinity, PA Area
School District
General Obligation
Bonds,
Series B (FSA)
5.20%, 11/1/12 Aaa 1,800 1,887
(+) Tyler, TX Health
Facilities Development Corp.,
Series A
5.25%, 7/1/02 Baa2 425 439
(+) Washington State
Healthcare Facilities
Authority Revenue
Bonds (AMBAC)
5.125%, 11/15/11 Aaa 1,000 1,049
West Texas Municipal
Power Agency Revenue
Bonds (MBIA)
4.90%, 2/15/11 AAA 1,520 1,556
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Whatcom County, WA
School District
General Obligation
Bonds
Series A (FGIC)
4.90%, 12/1/10 Aaa $1,780 $ 1,839
(+) Winnebago County, IL
School District
General
Obligation Bonds (FSA)
Zero Coupon, 1/1/14 Aaa 3,600 1,757
Wisconsin Housing &
Economic Development
Authority Home
Ownership Revenue
Bonds,
Series:
E
5.125%, 9/1/26 AA 1,260 1,286
H
4.875%, 3/1/24 AA 1,325 1,354
Wisconsin State Health
& Educational
Facilities
Authority Revenue Bonds
5.625%, 2/15/12
(AMBAC) AAA 1,000 1,101
Series B (MBIA)
4.95%, 6/1/12 AAA 1,255 1,279
- ------------------------------------------------------
GROUP TOTAL 75,984
- ------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (28.4%)
Federal Home Loan Mortgage
Corporation,
October TBA
6.00%, 10/15/28 Agy 4,350 4,350
6.50%, 10/15/28 Agy 5,000 5,090
November TBA
6.00%, 11/15/28 Agy 2,200 2,199
6.50%, 11/25/28 Agy 1,750 1,780
Federal National
Mortgage Association,
October TBA
6.50%, 10/25/28 Agy 4,800 4,881
November TBA
6.50%, 11/25/28 Agy 5,000 5,082
- ------------------------------------------------------
GROUP TOTAL 23,382
- ------------------------------------------------------
ASSET BACKED CORPORATES (0.4%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 336 336
- ------------------------------------------------------
YANKEE (3.2%)
(-)+++ Hutchison Whampoa
Financial
7.45%, 8/2/17 A+ 325 231
Korea Development Bank
7.375%, 9/17/04 BB+ 825 648
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 315 205
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## Republic of
Argentina,
Series L 'Euro'
5.50%, 3/31/23 BB $ 750 $ 506
(-) Samsung Electronics
Co.
7.45%, 10/1/02 BB- 750 550
United Mexican States
Par Bond, Series B
6.25%, 12/31/19 BB 695 509
- ------------------------------------------------------
GROUP TOTAL 2,649
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $98,228) 102,351
- ------------------------------------------------------
CASH EQUIVALENTS (12.4%)
- ------------------------------------------------------
SHARES
------
MONEY MARKET INSTRUMENTS (8.7%)
Dreyfus Basic Municipal Money
Market Fund 3,592,237 3,592
Vanguard Municipal Money
Market Fund 3,590,096 3,590
- ------------------------------------------------------
GROUP TOTAL 7,182
- ------------------------------------------------------
FACE
AMOUNT
(000)
------
REPURCHASE AGREEMENT (3.7%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $3,043,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$3,073 $3,043 3,043
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $10,225) 10,225
- ------------------------------------------------------
TOTAL INVESTMENTS (136.8%) (Cost $108,453) 112,576
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-36.8%)
Interest Receivable 861
Receivable for Forward Commitments 14,319
Other Assets 2
Payable for Investments Purchased (7,738)
Payable for Forward Commitments (37,352)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (61)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Payable for Daily Variation on Futures
Contracts (287)
Payable to Custodian (5)
Other Liabilities (24)
--------
(30,294)
- ------------------------------------------------------
NET ASSETS (100%) $ 82,282
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 6,881,931 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 82,282
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.96
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 79,663
Undistributed Net Investment Income (Loss) 317
Undistributed Realized Net Gain (Loss) (478)
Unrealized Appreciation (Depreciation) on:
Investment Securities 4,123
Futures (1,343)
- ------------------------------------------------------
NET ASSETS $ 82,282
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed
is as of September 30, 1998.
AMBAC American Municipal Bond Assurance Corporation
FGIC Financial Guaranty Insurance Corporation
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PSFG Permanent School Fund Guarantee
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (120.1%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (94.7%)
Aliquippa School District, PA
Zero Coupon, 6/1/12 A $ 685 $ 362
Arkansas State Development Finance
Authority Home Mortgage Revenue
Bonds, Series B-1
4.90%, 7/1/29 AAA 270 275
Berks County, PA (FGIC)
Zero Coupon
5/15/19 AAA 1,000 342
+++ 11/15/20 AAA 1,250 459
Berks County, PA Solid
Waste
Authority (FGIC)
6.00%, 4/1/11 AAA 170 184
Bethel Park, PA
Municipal Sewer
Authority Revenue
Bonds (FGIC)
4.75%, 9/1/12 AAA 500 505
Bradford, PA
Area School District
(FGIC)
4.60%, 10/1/10 AAA 250 254
(+) Bucks County, PA Water
& Sewer Authority
Revenue Bonds Series B
5.50%, 2/1/08 Aaa 170 177
Center Township, PA
Sewer Authority
Revenue Bonds,
Series A (MBIA)
Zero Coupon, 4/15/17 AAA 615 249
Series A
6.00%, 4/15/03 AAA 500 544
Clinton County, PA
Industrial
Development Authority
6.25%, 11/15/06 BB 150 158
Delaware County, PA
Industrial Development
Authority Revenue
Bonds,
Series A
6.50%, 1/1/08 A 200 227
Elizabeth Forward, PA
School
District, Series B
(MBIA)
Zero Coupon, 9/1/11 AAA 400 222
Erie, PA Sewer
Authority Revenue
Bonds,
Series A, (AMBAC)
5.00%, 6/1/11 AAA 455 474
Georgia State Housing &
Financing Authority,
Series A A2 (FHA)
5.875%, 12/1/19 AAA 105 110
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
- -------------------------------------------------------
<S> <C> <C> <C>
Girard Area, PA
School District (FGIC)
Zero Coupon
10/1/18 AAA $ 700 $ 263
10/1/19 AAA 250 89
Hawaii State Housing
Finance & Development
Corp., Single Family
Mortgage Revenue
Bonds, Series A
4.90%, 7/1/28 AA 125 127
(+) Hillsborough County,
FL Housing & Finance
Authority, Single
Family Mortgage
Revenue Bonds
4.50%, 4/1/30 Aaa 275 282
Houston, TX Housing
Finance & Development
Corp., Single Family
Mortgage Revenue
Bonds,
Series B-1
8.00%, 6/1/14 A 175 190
Houston, TX Water &
Sewer
Systems Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/22 AAA 2,150 660
(+) Idaho Housing & Finance
Association, Single Family
Mortgage Revenue Bonds, Series
H-2
5.40%, 7/1/27 Aaa 215 223
Intermountain Power
Agency, UT,
Series B (MBIA)
6.50%, 7/1/09 AAA 300 358
Iowa Finance Authority
Single
Family Revenue Bonds,
Series G
4.95%, 1/1/21 AAA 200 204
Kane & De Kalb Counties,
IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 200 123
Lehigh County, PA
General
Purpose Authority
Revenue
Bonds, Horizons Health
Systems, Inc.,
Series B
8.25%, 7/1/13 N/R 250 259
(+) Lehigh County, PA
General
Purpose Authority
Revenue Bonds,
Lehigh Valley Health
Network, Series C
(MBIA)
4.90%, 7/1/11 Aaa 275 281
Long Island, NY Power
Authority Electric
System Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/15 AAA 600 267
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Minnesota State Housing
& Finance Agency, Single
Family
Mortgage Revenue
Bonds,
Series E
5.05%, 7/1/24 AA+ $ 460 $ 475
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 CCC 100 52
Montour, PA School
District (MBIA)
Zero Coupon, 1/1/13 AAA 300 154
Nebraska Investment
Finance
Authority Revenue
Bonds,
Series D
5.80%, 3/1/20 AAA 245 257
(+) Nevada Housing
Division, Series C
5.65%, 4/1/27 Aaa 240 251
New York City, NY
Industrial
Development Agency
Revenue
Bonds (FSA)
6.00%, 11/1/15 AAA 775 845
## New York City, NY
General
Obligation Inverse
Bonds
20.36%, 10/1/03 A- 100 170
(+) New York State
Mortgage Agency
Revenue Bonds,
Series 65
5.00%, 4/1/20 Aa2 550 567
North Carolina Housing &
Finance Agency Revenue
Bonds,
Series:
JJ
5.75%, 3/1/23 AA 240 251
RR
5.00%, 9/1/22 AA 545 556
Orange County, FL
Housing &
Finance Authority,
Single
Family Mortgage
Revenue
Bonds, Series B
5.10%, 9/1/27 AAA 510 521
Parkland, PA School
District
(FGIC)
4.60%, 9/1/10 AAA 250 254
Penn Hills Township, PA
Zero Coupon, 6/1/12 N/R 450 217
Series B
Zero Coupon, 12/1/13 N/R 500 222
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB 250 269
6.70%, 9/1/16 (FGIC) AAA 500 612
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Pennsylvania Housing &
Finance Authority,
Series:
47
5.20%, 4/1/27 AA+ $ 375 $ 387
48
5.375%, 10/1/16 AA+ 300 311
50A
5.35%, 10/1/08 AA+ 205 215
51
5.65%, 4/1/20 AA+ 245 256
52B
5.55%, 10/1/12 AA+ 495 516
59A
4.95%, 4/1/25 AA+ 550 564
(+) Perkiomen Valley, PA
School District
4.70%, 2/1/09 Aaa 550 568
Philadelphia, PA
Authority
For Industrial
Development
Revenue Bonds,
Series A
6.50%, 10/1/27 N/R 100 109
Philadelphia, PA Gas
Works
5.80%, 7/1/01 BBB 200 210
Philadelphia, PA General
Obligation, Series A
(FGIC)
5.125%, 5/15/03 AAA 100 105
(+) Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 130 161
(+) Philadelphia, PA
Hospitals &
Higher Education
Facilities
Authority Revenue
Bonds
6.15%, 7/1/05 Baa2 50 56
Philadelphia, PA School
District Series A
(MBIA)
5.20%, 7/1/03 AAA 200 211
Philadelphia, PA Water &
Wastewater Revenue
Bonds (FGIC)
5.15%, 6/15/04 AAA 550 581
Pittsburgh, PA General
Obligation (AMBAC)
6.50%, 4/1/11 AAA 260 294
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 250 282
Robinson Township, PA
6.90%, 5/15/18 AAA 110 131
San Bernardino County,
CA,
Series A (MBIA)
7.40%, 7/1/16 AAA 450 471
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 120 135
</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>
Southeastern Area
Schools,
PA, Revenue Bonds
Series:
A
Zero Coupon, 10/1/06 A $ 200 $ 143
B
Zero Coupon, 10/1/06 A 390 279
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 430 235
(+) Trinity, PA Area
School
District, General
Obligation
Bonds Series B
5.20%, 11/1/12 Aaa 550 576
Upper Darby Township, PA
(AMBAC)
Zero Coupon, 7/15/11 AAA 525 293
Washington County, West
PA
Power Co.
4.95%, 3/1/03 A 150 156
Wisconsin Housing &
Economic
Development Authority
Home
Ownership Revenue
Bonds,
Series E
5.125%, 9/1/26 AA 530 541
- -------------------------------------------------------
GROUP TOTAL 21,372
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (21.3%)
Federal Home Loan
Mortgage Corporation,
October TBA
6.00%, 10/15/28 Agy 1,275 1,275
November TBA
6.00%, 11/15/28 Agy 1,600 1,599
6.50%, 11/25/28 Agy 1,250 1,272
Federal National
Mortgage Association,
November TBA
6.50%, 11/25/28 Agy 650 660
- -------------------------------------------------------
GROUP TOTAL 4,806
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.6%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 144 144
- -------------------------------------------------------
YANKEE (3.5%)
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 100 71
Korea Development Bank
7.375%, 9/17/04 BB+ 285 224
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 100 65
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
## Republic of Argentina
Par,
Series L 'Euro'
5.50%, 3/31/23 BB $ 320 $ 216
United Mexican States
Par
Bond, Series B
6.25%, 12/31/19 BB 295 216
- -------------------------------------------------------
GROUP TOTAL 792
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $25,316) 27,114
- -------------------------------------------------------
CASH EQUIVALENTS (1.9%)
- -------------------------------------------------------
SHARES
-------
MONEY MARKET INSTRUMENTS (1.5%)
Dreyfus PA Municipal
Money Market Fund 162,822 163
Vanguard PA Tax-Free
Money Market Fund 172,705 173
- -------------------------------------------------------
GROUP TOTAL 336
- -------------------------------------------------------
FACE
AMOUNT
(000)
------
REPURCHASE AGREEMENT (0.4%)
Chase Securities, Inc. 5.40%, dated
9/30/98, due 10/1/98, to be
repurchased at $83, collateralized by various
U.S. Government Obligations, due
10/1/98-8/31/00 valued at $84 $ 83 83
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $418) 419
- -------------------------------------------------------
TOTAL INVESTMENTS (122.0%) (Cost $25,734) 27,533
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.0%)
Cash 39
Interest Receivable 314
Receivable for Forward Commitments 5,982
Receivable for Fund Shares Sold 2
Other Assets 1
Payable for Investments Purchased (497)
Payable for Forward Commitments (10,695)
Payable for Administrative Fees (2)
Payable for Investment Advisory Fees (18)
Payable for Daily Variation Margin on Futures
Contracts (58)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (24)
-------
(4,957)
- -------------------------------------------------------
NET ASSETS (100%) $22,576
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
PA MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,885,606 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $22,576
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.97
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $21,154
Undistributed Net Investment Income (Loss) 123
Undistributed Realized Net Gain (Loss) (128)
Undistributed Appreciation (Depreciation) on:
Investment Securities 1,799
Futures (372)
- -------------------------------------------------------
NET ASSETS $22,576
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------
<S> <C> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public
sale may exist.
+++ A portion of these securities was pledged to
cover margin requirements for futures
contracts.
(+) Moody's Investors Service, Inc. rating.
Security is not rated by Standard & Poor's
Corporation.
## Variable or floating rate security-rate
disclosed is as of September 30, 1998.
AMBAC American Municipal Bond Assurance Corporation
FGIC Financial Guaranty Insurance Corporation
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (88.1%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (0.9%)
Federal National Mortgage
Association-Global
6.50%, 7/10/02 Agy AUD 1,050 $ 652
- --------------------------------------------------------
BRITISH POUND (8.8%)
Orange plc
8.625%, 8/1/08 B+ GBP 235 379
United Kingdom Treasury
Bills
8.00%, 6/10/03 AAA 390 741
8.50%, 7/16/07 AAA 2,440 5,171
- --------------------------------------------------------
GROUP TOTAL 6,291
- --------------------------------------------------------
CANADIAN DOLLAR (7.3%)
(-)@ 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 3,050 2,117
8.75%, 12/1/05 AAA 1,750 1,410
9.75%, 6/1/21 AA+ 640 661
10.00%, 6/1/08 AAA 1,175 1,062
- --------------------------------------------------------
GROUP TOTAL 5,250
- --------------------------------------------------------
DANISH KRONE (2.8%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 3,590 648
9.00%, 11/15/00 AA+ 8,175 1,404
- --------------------------------------------------------
GROUP TOTAL 2,052
- --------------------------------------------------------
FRENCH FRANC (2.2%)
Government of France
O.A.T.
8.50%, 10/25/19 AAA FRF 5,800 1,557
- --------------------------------------------------------
GERMAN MARK (23.4%)
Colt Telecom Group plc
7.625%, 7/31/08 B DEM 675 364
## GMAC Global Bond
3.50%, 9/25/02 A- 1,400 830
Government of Germany
(+) 5.75%, 8/22/00 Aaa 3,100 1,933
(+) 6.00%, 1/5/06 Aaa 640 433
6.25%, 1/4/24 AAA 3,280 2,384
6.50%, 7/4/27 AAA 2,790 2,099
7.375%, 1/3/05 AAA 1,830 1,310
7.50%, 9/9/04 AAA 2,185 1,561
8.375%, 5/21/01 AAA 7,730 5,186
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- --------------------------------------------------------
- --------------------------------------------------------
<S> <C> <C> <C>
Kredit fuer Wiederaufbau
5.00%, 1/4/09 AAA DEM 1,125 $ 712
- --------------------------------------------------------
GROUP TOTAL 16,812
- --------------------------------------------------------
GREEK DRACHMA (1.1%)
Hellenic Republic
8.80%, 6/19/07 A GRD 210,000 761
- --------------------------------------------------------
ITALIAN LIRA (7.2%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 3,795,000 3,049
10.00%, 8/1/03 AA 2,830,000 2,159
- --------------------------------------------------------
GROUP TOTAL 5,208
- --------------------------------------------------------
JAPANESE YEN (3.6%)
Credit Locale de France
6.00%, 10/31/01 AAA JPY 75,000 639
European Investment Bank
3.00%, 9/20/06 AAA 88,000 749
Export-Import Bank of Japan
2.875%, 7/28/05 AAA 80,000 661
+++ International Bank
for Reconstruction
& Development
6.75%, 6/18/01 AAA 64,000 548
- --------------------------------------------------------
GROUP TOTAL 2,597
- --------------------------------------------------------
SOUTH AFRICAN RAND (0.7%)
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 3,500 470
- --------------------------------------------------------
SPANISH PESETA (1.0%)
(+) Spanish Government
5.15%, 7/30/09 Aa2 ESP 105,000 756
- --------------------------------------------------------
SWEDISH KRONA (2.0%)
Swedish Government
6.00%, 2/9/05 AAA SEK 5,100 701
13.00%, 6/15/01 AA+ 4,575 709
- --------------------------------------------------------
GROUP TOTAL 1,410
- --------------------------------------------------------
UNITED STATES DOLLAR (27.1%)
AGENCY FIXED RATE MORTGAGE (2.3%)
Government National Mortgage
Association
10.50%, 5/15/18 Tsy $ 1,513 1,685
- --------------------------------------------------------
CORPORATE (12.2%)
Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 160 173
Associates Corp. of
North America
6.00%, 7/15/05 AA- 240 248
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
(-) BankAmerica Institutional,
Series A
8.07%, 12/31/26 A- $ 350 $ 377
Becton Dickinson & Co.
7.00%, 8/1/27 A+ 50 55
BT Institutional Capital
Trust, Series A
8.09%, 12/1/26 BBB+ 425 403
(-) CBS Corp.
7.15%, 5/20/05 BB+ 200 209
Columbia/HCA Healthcare
6.91%, 6/15/05 BBB 185 180
7.50%, 12/15/23 BBB 125 110
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 160 188
Cox Communications, Inc.
6.80%, 8/1/28 A- 105 109
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 260 286
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 240 248
(-) Edison Mission Energy
Funding Corp, Series B
7.33%, 9/15/08 BBB 225 241
EOP Operating LP
6.763%, 6/15/07 BBB 140 141
(-) Farmers Exchange Capital
7.05%, 7/15/28 BBB+ 305 307
First Chicago NBD Corp,
Series A
7.95%, 12/1/26 A- 200 216
First Union Institutional
Capital I
8.04%, 12/1/26 BBB+ 275 300
Great Western Financial,
Series A
8.206%, 2/1/27 BBB- 130 141
(-) GS Escrow Corp.
7.125%, 8/1/05 BB+ 250 249
GTE Corp.
6.94%, 4/15/28 A 200 213
HMH Properties,
Series A
7.875%, 8/1/05 BB 255 258
MCI Worldcom, Inc.
6.95%, 8/15/28 BBB+ 480 504
Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 300 304
News America Holdings
8.875%, 4/26/23 BBB- 240 288
Philip Morris Cos., Inc.
7.00%, 7/15/05 A 150 161
(-) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 425 455
Prudential Insurance Co.
8.30%, 7/1/25 A $ 300 353
</TABLE>
<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- 215 $ 236
(-) Scotia Pacific
Co. LLC
7.71%, 1/20/14 BBB 410 387
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 30 35
7.125%, 2/15/28 BBB- 75 81
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 220 223
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 35 36
7.57%, 2/1/24 BBB- 90 100
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 100 110
World Financial
Properties, Series
96 WFP-D
6.95%, 9/1/13 AA- 775 818
- --------------------------------------------------------
GROUP TOTAL 8,743
- --------------------------------------------------------
U.S. TREASURY SECURITIES (8.3%)
+++ U.S. Treasury Bond
8.75%, 8/15/20 Tsy 1,200 1,752
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 1,648 1,622
3.625%, 1/15/08
(Inflation
Indexed) Tsy 1,591 1,595
6.75%, 5/31/99 Tsy 1,000 1,013
- --------------------------------------------------------
GROUP TOTAL 5,982
- --------------------------------------------------------
YANKEE (4.3%)
(-) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 392 349
(-) AST Research,
Inc.
7.45%, 10/1/02 BB- 300 225
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 50 43
7.75%, 7/15/08 A- 270 239
Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 295 210
Israel Electric Corp., Ltd.
(-) 7.25%,
12/15/06 A- 75 73
7.75%, 12/15/27 A- 230 216
(-) Oil Purchase Co.
7.10%, 4/30/02 BBB 230 225
(-) Petroliam Nasional Bhd.
7.125%, 10/18/06 BBB- 335 218
</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>
Petrozuata Finance, Inc.
8.22%, 4/1/17 BBB- $ 375 $ 311
(-) Reliance Industries Ltd.,
Series A
8.25%, 1/15/27 BB+ 250 180
Republic of Colombia
8.70%, 2/15/16 BBB- 240 152
(-) Samsung Electronics Co.
7.45%, 10/1/02 BB- 100 73
United Mexican States
Par Bond, Series A
6.25%, 12/31/19 BB 740 542
- --------------------------------------------------------
GROUP TOTAL 3,056
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $61,614) 63,282
- --------------------------------------------------------
PREFERRED STOCKS (2.8%)
- --------------------------------------------------------
SHARES
------
INDUSTRIALS (0.6%)
(-) Entertainment Properties
14.253% BBB- 300 281
(-) Tier One Properties
11.095% A 150 146
- --------------------------------------------------------
GROUP TOTAL 427
- --------------------------------------------------------
MORTGAGES-OTHER (2.2%)
(-)(+) Home Ownership Funding
Corp.
13.331% Aaa 1,575 1,578
- --------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,823) 2,005
- --------------------------------------------------------
CASH EQUIVALENTS (7.4%)
- --------------------------------------------------------
FACE
AMOUNT
(000)
-------
REPURCHASE AGREEMENTS (7.4%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $1,779,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$1,797 $ 1,779 1,779
Goldman Sachs & Co. 5.00%, dated
9/30/98, due 10/1/98, to be
repurchased at $1,779,
collateralized by U.S.
Treasury Bonds, 10.375%, due
11/15/09, valued at $1,835 1,779 1,779
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch & Co., Inc. 5.00%,
dated 9/30/98, due 10/1/98, to
be repurchased at $1,779,
collateralized by Federal
National Mortgage Association
Medium Term Note, 5.56%, due
9/15/00, valued at $1,803 $ 1,779 $ 1,779
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $5,337) 5,337
- --------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- --------------------------------------------------------
Australian Dollar AUD 34 20
Canadian Dollar CAD 1 1
German Mark DEM 24 14
@ Italian Lira ITL 51 --
South African Rand ZAR 228 39
@ Swedish Krona SEK 3 --
- --------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $74) 74
- --------------------------------------------------------
TOTAL INVESTMENTS (98.4%) (Cost $68,848) 70,698
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.6%)
Cash 396
Cash and Foreign Currency Held as Collateral on
Futures Contracts (Cost $63) 63
Dividends Receivable 67
Interest Receivable 1,313
Receivable for Investments Sold 8
Receivable for Fund Shares Sold 158
Unrealized Gain on Forward Foreign Currency
Contracts 598
Unrealized Gain on Futures Contracts 16
Unrealized Gain on Swap Agreements 44
Other Assets 3
Payable for Investments Purchased (1,263)
Payable for Fund Shares Redeemed (157)
Payable for Investment Advisory Fees (64)
Payable for Administrative Fees (5)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Other Liabilities (38)
-------
1,136
- --------------------------------------------------------
NET ASSETS (100%) $71,834
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSET
Applicable to 6,512,512 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $71,834
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.03
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $68,167
Undistributed Net Investment Income (Loss) (8)
Undistributed Realized Net Gain (Loss) 1,139
Undistributed Appreciation (Depreciation) on:
Investment Securities 1,850
Foreign Currency Transactions 626
Futures and Swaps 60
- --------------------------------------------------------
NET ASSETS (100%) $71,834
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
<S> <C> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A Security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's 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 September 30,
1998. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 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.
- --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (84.8%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ---------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (0.8%)
Federal National Mortgage
Association-Global
6.50%, 7/10/02 Agy AUD 1,960 $ 1,217
- ---------------------------------------------------------
BRITISH POUND (13.9%)
Orange plc
8.63%, 8/1/08 B+ GBP 505 815
United Kingdom
Treasury Bills
8.00%, 6/10/03 AAA 3,780 7,184
8.50%, 7/16/07 AAA 6,090 12,906
- ---------------------------------------------------------
GROUP TOTAL 20,905
- ---------------------------------------------------------
CANADIAN DOLLAR (7.0%)
(-)@ Global Econ2 EI
Zero Coupon,
11/1/98 AAA (1)1,400 --
(-)@ Global Econ2 PIP
Zero Coupon,
11/1/98 AAA (1)1,400 --
Government of Canada
7.50%, 3/1/01 AAA CAD 1,175 816
8.75%, 12/1/05 AAA 5,800 4,673
9.75%, 6/1/21 AA+ 2,700 2,789
10.00%, 6/1/08 AAA 2,525 2,282
- ---------------------------------------------------------
GROUP TOTAL 10,560
- ---------------------------------------------------------
DANISH KRONE (3.9%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 15,610 2,820
9.00%, 11/15/00 AA+ 18,000 3,091
- ---------------------------------------------------------
GROUP TOTAL 5,911
- ---------------------------------------------------------
FINNISH MARKKA (2.5%)
Government of Finland
9.50%, 3/15/04 AA- FIM 15,000 3,743
- ---------------------------------------------------------
FRENCH FRANC (4.8%)
Government of France O.A.T.
8.50%, 10/25/19 AAA FRF 37,400 7,153
- ---------------------------------------------------------
GERMAN MARK (26.0%)
Colt Telecom Group
plc
7.63%, 7/31/08 B DEM 1,450 782
## GMAC Global Bond
3.50%, 9/25/02 A- 2,600 1,542
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C> <C>
Government of Germany
5.75%, 8/22/00 AAA DEM 6,670 $ 4,159
+++ 6.25%, 1/4/24 AAA 10,090 7,334
6.50%, 7/4/27 AAA 5,935 4,464
7.00%, 1/13/00 AAA 2,400 1,500
7.375%, 1/3/05 AAA 7,600 5,439
7.50%, 9/9/04 AAA 6,025 4,303
8.375%, 5/21/01 AAA 5,705 3,827
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 6,050 4,252
Kredit fuer Wiederaufbau
5.00%, 1/4/09 AAA 2,385 1,510
- ---------------------------------------------------------
GROUP TOTAL 39,112
- ---------------------------------------------------------
GREEK DRACHMA (1.1%)
Hellenic Republic
8.80%, 6/19/07 TBA A GRD 445,000 1,612
- ---------------------------------------------------------
ITALIAN LIRA (4.4%)
Republic of Italy
BTPS
9.50%, 2/1/06 AAA ITL 2,655,000 2,133
10.00%, 8/1/03 AA 5,945,000 4,535
- ---------------------------------------------------------
GROUP TOTAL 6,668
- ---------------------------------------------------------
JAPANESE YEN (6.5%)
+++ Credit Locale de France
6.00%, 10/31/01 AAA JPY 361,000 3,076
European Investment Bank
3.00%, 9/20/06 AAA 236,000 2,010
Export-Import Bank of Japan
2.875%, 7/28/05 AAA 420,000 3,470
+++ International Bank
for
Reconstruction &
Development
6.75%, 6/18/01 AAA 140,000 1,198
- ---------------------------------------------------------
GROUP TOTAL 9,754
- ---------------------------------------------------------
NETHERLANDS GUILDER (4.7%)
Netherlands
Government
8.25%, 2/15/07 AAA NLG 10,350 7,126
- ---------------------------------------------------------
SOUTH AFRICAN RAND (0.7%)
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 7,250 974
- ---------------------------------------------------------
SPANISH PESETA (4.3%)
Spanish Government
(+) 5.15%, 7/30/09 Aa2 ESP 218,000 1,571
10.10%, 2/28/01 AAA 610,000 4,934
- ---------------------------------------------------------
GROUP TOTAL 6,505
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ---------------------------------------------------------
<S> <C> <C> <C>
SWEDISH KRONA (3.0%)
Swedish Government
6.00%, 2/9/05 AAA SEK 16,400 $ 2,253
13.00%, 6/15/01 AA+ 14,625 2,266
- ---------------------------------------------------------
GROUP TOTAL 4,519
- ---------------------------------------------------------
U.S. TREASURY SECURITY (1.2%)
U.S. Treasury Note
5.875%, 11/15/05 Tsy $ 1,650 1,797
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $122,367) 127,556
- ---------------------------------------------------------
CASH EQUIVALENTS (7.0%)
- ---------------------------------------------------------
COMMERCIAL PAPER (2.7%)
Commerzbank AG
5.52%, 10/16/98 4,000 3,991
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (4.3%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $2,165,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$2,187 2,165 2,165
Goldman Sachs & Co. 5.00%, dated
9/30/98, due 10/1/98, to be
repurchased at $2,165,
collateralized by U.S.
Treasury Bonds, 10.375%, due
11/15/09, valued at $2,233 2,165 2,165
Merrill Lynch & Co., Inc. 5.00%,
dated 9/30/98, due 10/1/98, to
be repurchased at $2,165,
collateralized by Federal
National Mortgage Association
Medium Term Note, 5.56%, due
9/15/00 valued at $2,194 2,165 2,165
- ---------------------------------------------------------
GROUP TOTAL 6,495
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $10,486) 10,486
- ---------------------------------------------------------
FOREIGN CURRENCY (0.1%)
- ---------------------------------------------------------
Canadian Dollar CAD 2 2
@ Danish Krone DKK 1 --
@ French Franc FRF 1 --
German Mark DEM 25 15
@ Italian Lira ITL 111 --
Japanese Yen JPY 7,076 52
@ Spanish Peseta ESP 15 --
@ Swedish Krona SEK 1 --
- ---------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $70) 69
- ---------------------------------------------------------
TOTAL INVESTMENTS (91.9%) (Cost $132,923) 138,111
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (8.1%)
Cash $ 1,708
Foreign Currency Held as Collateral on Futures
Contracts (Cost $88) 88
Interest Receivable 3,558
Receivable for Investments Sold 21,184
Receivable for Fund Shares Sold 802
Unrealized Gain on Futures Contracts 404
Unrealized Gain on Forward Foreign Currency
Contracts 740
Other Assets 6
Payable for Investments Purchased (12,698)
Payable for Fund Shares Redeemed (3,402)
Payable for Investment Advisory Fees (140)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Other Liabilities (32)
--------
12,202
- ---------------------------------------------------------
NET ASSETS (100%) $150,313
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 13,987,396 outstanding shares of beneficial
interest (unlimited authorization, no par
value) $150,313
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.75
- ---------------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $144,241
Undistributed Net Investment Income (Loss) (3,237)
Undistributed Realized Net Gain (Loss) 2,829
Unrealized Appreciation (Depreciation) on:
Investment Securities 5,189
Foreign Currency Transactions 887
Futures 404
- ---------------------------------------------------------
NET ASSETS $150,313
- ---------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A Security. Certain conditions for public sale
may exist.
(+) Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate security-rate disclosed
is as of September 30, 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.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (127.9%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (56.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
9.50%, 12/1/22 Agy $ 395 $ 431
10.00%, 6/1/17 Agy 325 357
Gold Pools:
10.50%,
5/1/19-10/1/19 Agy 85 94
11.00%, 7/1/13 Agy 79 89
11.50%, 3/1/13 Agy 167 190
October TBA
6.00%, 10/15/28 Agy 6,500 6,500
6.50%, 10/15/28 Agy 2,000 2,036
7.50%, 10/15/28 Agy 6,025 6,208
November TBA
6.00%, 11/15/28 Agy 9,925 9,920
6.50%, 11/25/28 Agy 2,700 2,747
Federal National
Mortgage Association,
Conventional Pools:
9.50%,
8/1/21-12/1/21 Agy 1,745 1,899
10.00%,
2/1/21-1/1/27 Agy 262 287
10.50%, 12/1/10 Agy 65 72
12.00%, 8/1/12 Agy 25 29
October TBA
6.00%, 10/25/28 Agy 4,625 4,603
6.50%, 10/25/28 Agy 1,200 1,220
November TBA
6.00%, 11/15/28 Agy 3,125 3,109
6.50%, 11/25/28 Agy 11,250 11,433
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.875%, 5/20/25 TBA Tsy 121 123
6.875%,
4/20/25-6/20/25 Tsy 1,695 1,719
7.00%,
3/20/25-11/20/25 Tsy 2,407 2,438
Various Pools:
9.50%,
11/15/16-12/15/21 Tsy 2,822 3,084
10.00%,
1/15/16-2/15/28 Tsy 4,882 5,391
10.50%,
3/15/06-2/15/18 Tsy 527 586
11.00%,
3/15/10-8/15/27 Tsy 1,579 1,779
11.50%, 6/15/13 Tsy 87 99
12.00%,
12/15/12-5/15/14 Tsy 71 81
12.50%, 12/15/10 Tsy 23 26
- ------------------------------------------------------
GROUP TOTAL 66,550
- ------------------------------------------------------
ASSET BACKED CORPORATES (21.3%)
(-) ACC Automobile
Receivables Trust,
Series 97-C A
6.40%, 3/17/04 AAA 375 378
Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 28 27
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A $ 101 $ 101
96-B A
6.60%, 4/15/01 A 100 100
97-A A
6.35%, 10/15/02 AAA 211 213
Americredit Automobile
Receivables Trust,
Series:
96-B A
6.50%, 1/12/02 AAA 126 127
## 98-B A2
5.675%, 6/12/01 N/R 625 625
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 360 366
97-D A3
6.20%, 5/15/03 AAA 725 735
98-A A3
5.90%, 11/15/02 AAA 550 554
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 19 19
95-A B
7.65%, 3/15/02 A 52 53
Chevy Chase Auto
Receivables Trust,
Series:
97-4 A
6.25%, 6/15/04 AAA 298 301
98-1 A
5.97%, 10/20/04 AAA 467 470
(+)## Citibank Credit
Card Master Trust I
Series 98-7 A
5.60%, 5/15/02 Aaa 850 850
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC(11)
5.62%, 3/15/13 AAA 700 699
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA $ 221 $ 222
97-2 A
6.65%, 10/15/02 AAA 326 329
98-1 A
6.00%, 8/15/03 AAA 861 866
(-) Credit Card
Receivables
Trust, Series 98-IA A
6.478%, 12/22/04 AAA 267 273
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 202 203
(-) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series:
96-B A1
7.629%, 11/1/18 A 90 91
97-A A
7.35%, 4/15/19 AAA 336 355
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 325 326
(-) 97-2 A1
6.85%, 11/15/02 AAA 288 290
First Plus Home Loan
Trust,
Series:
96-4 A3
6.28%, 3/10/09 AAA 250 250
98-4 A1
5.65%, 10/12/09 AAA 676 674
First Security Auto Grantor
Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 336 339
98-A A
5.97%, 4/15/04 AAA 1,012 1,025
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 410 411
Ford Credit Auto
Owner Trust,
Series:
96-A A3
6.50%, 11/15/99 AAA 105 105
96-B
6.55%, 2/15/02 A 175 177
97-B A3
6.05%, 4/15/01 AAA 600 604
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 635 641
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
General Electric Home
Equity Loan
Asset-Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA $ 375 $ 378
(-) Global Rated
Eligible Asset
Trust, Series 98-A A1
7.45%, 3/15/06 A 354 361
Green Tree Lease
Finance, Series 97-1
A3
6.17%, 9/20/05 AAA 407 410
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 109 109
(-) Health Care
Receivables
Securitization
Program, Series 97-1
A
6.815%, 7/1/01 N/R 250 255
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 335 337
97-B A
5.95%, 5/15/03 AAA 386 388
IBM Credit Receivables
Lease Asset Master Trust,
Series 93-1 A
4.55%, 11/15/00 AAA 19 19
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA 239 240
97-2 A
6.69%, 9/25/04 AAA 179 180
98-1 A
6.19%, 1/25/05 AAA 225 225
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 375 377
Navistar Financial
Corp. Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 545 548
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/15/03 AAA 536 540
Old Stone Credit Corp.
Home Equity Trust,
Series 92-3 B1
6.35%, 9/25/07 AAA 39 40
</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>
Olympic Automobile
Receivables Trust,
Series:
94-A A
5.65%, 1/15/01 AAA $ 48 $ 48
94-B B
6.95%, 6/15/01 AAA 108 108
94-B A2
6.85%, 6/15/01 AAA 33 33
Onyx Acceptance
Grantor Trust,
Series:
97-2 A
6.35%, 10/15/03 AAA 394 398
97-3 A
6.35%, 1/15/04 AAA 246 249
Premier Auto Trust,
Series 95-4 A4
6.00%, 5/6/00 AAA 251 251
(-) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 450 464
(+) Residential Funding
Mortgage Securities
Co., Inc., Series
98-HI2 A1
5.696%, 2/25/10 Aaa 682 681
(-) Team Fleet
Financing Corp.,
Series:
97-1A
7.35%, 5/15/03 A- 300 314
98-3A
6.13%, 10/25/04 AA 425 435
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 451 454
96-C A2
6.51%, 11/8/02 AAA 800 804
97-A A2
6.375%, 10/8/03 AAA 725 734
97-B A2
6.70%, 6/8/03 AAA 550 560
USAA Auto Loan Grantor
Trust, Series 97-1 A
6.00%, 5/15/04 AAA 345 346
WFS Financial Owner
Trust, Series 97-C A3
6.10%, 3/20/02 AAA 770 774
World Omni Automobile
Lease Securitization Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 400 402
- ------------------------------------------------------
GROUP TOTAL 24,915
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (5.3%)
Federal Home Loan
Mortgage Corporation,
Series:
## 1386-D REMIC
6.125%, 10/15/07 Agy $ 416 $ 418
1632-SA Inv Fl REMIC
5.443%, 11/15/23 Agy 65 63
## 1710-D REMIC
6.075%, 6/15/20 Agy 659 664
## 2030-F REMIC
6.09%, 2/15/28 Agy 697 703
## 2054-FC REMIC
5.99%, 5/15/28 Agy 500 505
Federal National
Mortgage Association,
Series:
## 94-50 FD REMIC
6.138%, 3/25/24 Agy 353 354
96-14 PC PO
12/25/23 Agy 23 22
96-54 O PO
11/25/23 Agy 18 16
## 97-13 SB IO
2.313%, 9/16/27 Agy 3,750 395
## 97-24 FG REMIC
6.238%, 9/18/22 Agy 171 172
## 97-43 FM REMIC
6.188%, 7/18/27 Agy 266 268
## 97-70 FA REMIC,
PAC (11)
6.138%, 7/18/20 Agy 190 191
## 97-76 FM
6.138%, 9/17/27 Agy 307 310
## 98-22 FA REMIC
5.99%, 4/18/28 Agy 1,558 1,563
191 IO
8.00%, 1/1/28 Agy 784 100
291 2 IO
8.00%, 11/1/27 Agy 1,395 176
## Government National
Mortgage Association
Series 97-13 F
6.188%, 9/16/27 Tsy 317 319
- ------------------------------------------------------
GROUP TOTAL 6,239
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (4.7%)
(+) 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 138 148
95-MD4 A1
7.10%, 8/13/29 AAA 693 736
96-MD6 A1B
6.88%, 11/13/26 AAA 250 264
96-MD6 A1C
7.04%, 11/13/26 AAA 100 108
(+)## 97-D5 PS1 IO
1.571%, 2/14/41 Aaa 2,029 209
(-) Carousel Center
Finance, Inc.,
Series 1 C
7.527%, 11/15/07 BBB+ 72 74
(-) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 85 91
## 96-CF2 S IO
1.638%, 11/12/21 N/R 616 45
97-CF1 S IO
1.093%, 3/15/17 AAA 1,281 76
(+) First Union-Lehman
Brothers Commercial
Mortgage, Series
97-C1 A2
7.30%, 12/18/06 Aaa 375 406
(-) Forum Finance
7.125%, 5/15/04 AA 250 267
(+) GMAC Commercial
Mortgage Securities, Inc.,
Series:
97-C1 A2
6.853%, 9/15/06 Aaa 500 531
## 97-C2 X IO
1.214%, 4/15/27 Aaa 3,626 257
(+) GS Mortgage Securities
Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 350 377
## 97-GL X2 IO
1.068%, 7/13/30 Aaa 991 49
(+)## LB Commercial
Conduit Mortgage
Trust, Series 96-C2 A
7.428%, 10/25/26 Aaa 92 100
Lehman Large Loan,
Series 97-LLI A1
6.79%, 6/12/04 AAA 539 578
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
## Merrill Lynch
Mortgage Investors,
Inc.,
Series:
95-C1 IO
2.165%, 5/25/15 N/R $2,238 $ 102
96-C2 IO
1.541%, 11/21/28 N/R 435 35
(+) Midland Realty
Acceptance
Corp., Series 96-C2 A2
7.233%, 1/25/29 Aaa 100 107
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 126 130
(+) 97-MC1 A3
7.288%, 7/20/27 Aaa 375 406
(-) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 194 210
(+) Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 150 160
- ------------------------------------------------------
GROUP TOTAL 5,518
- ------------------------------------------------------
FINANCE (14.9%)
American General
Finance
Corp., Series D
6.35%, 9/19/00 A+ 270 276
(-) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 225 243
Associates Corp. of
North America
6.00%, 4/15/03 AA- 70 72
6.00%, 7/15/05 AA- 270 279
Series H
6.73%, 3/27/03 AA- 475 500
(-) BankAmerica
Institutional, Series
A
8.07%, 12/31/26 A- 455 490
Bankers Trust New York
Corp.
6.625%, 7/30/99 A 150 150
Beneficial Corp.,
Series:
H
6.575%, 12/16/02 A 175 182
I
6.27%, 7/9/01 A 450 460
(-) BT Institutional
Capital
Trust, Series A
8.09%, 12/1/26 BBB+ 500 474
Caterpillar Financial Services
Corp.
Series F
5.97%, 3/3/03 A 870 890
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Chase Manhattan Bank
5.875%, 8/4/99 A+ $ 575 $ 578
Chrysler Financial
Corp.
6.375%, 1/28/00 A 200 203
6.62%, 6/16/00 A 325 333
Chubb Corp.
6.15%, 8/15/05 AA+ 655 691
CIT Group Holdings
6.375%, 10/1/02 AA- 400 415
Countrywide Funding
Corp.
Series:
A
7.32%, 8/15/00 A 175 181
B
6.55%, 4/14/00 A 175 178
D
6.05%, 3/1/01 A 75 76
(-) EOP Operating LP
6.763%, 6/15/07 BBB 370 373
Equifax, Inc.
6.30%, 7/1/05 A- 460 482
Equitable Companies,
Inc.
6.50%, 4/1/08 A 245 259
(-) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 250 268
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 330 332
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 300 358
(-) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 425 458
(-) First Hawaiian
Bank, Series A
6.93%, 12/1/03 A 350 370
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 400 436
(-) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 135
7.45%, 7/1/04 A 100 108
(-) Florida Windstorm
6.70%, 8/25/04 A- 350 368
Ford Motor Credit Corp.
6.125%, 4/28/03 A 1,031 1,068
General Motors Acceptance
Corp., Medium Term Note
6.65%, 5/24/00 A 100 103
6.75%, 6/10/02 A 575 602
Great Western
Financial, Inc.,
Series A
8.60%, 2/1/02 BBB+ 195 213
8.206%, 2/1/27 BBB- 235 254
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 441 459
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Household Finance Corp.
6.08%, 3/8/06 A $ 380 $ 383
(-) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 635 663
International Lease
Finance Corp
6.00%, 5/15/02 A+ 610 624
Lehman Brothers
Holding Corp.
6.50%, 7/18/00 A 375 370
6.625%, 11/15/00 A 100 99
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 325 332
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 300 321
(-) Prime Property
Funding II
6.80%, 8/15/02 A 490 500
7.00%, 8/15/04 A 120 124
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 246 261
96 WFP-D
6.95%, 9/1/13 AA- 350 369
- ------------------------------------------------------
GROUP TOTAL 17,363
- ------------------------------------------------------
FLOATING RATE NOTES (1.5%)
## Student Loan
Marketing
Association,
Series:
95-1 A1
5.702%, 4/26/04 AAA 523 520
96-1 A1
5.317%, 7/26/04 AAA 1,172 1,167
- ------------------------------------------------------
GROUP TOTAL 1,687
- ------------------------------------------------------
INDUSTRIALS (4.9%)
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 330 349
Columbia/HCA Healthcare
6.41%, 6/15/00 BBB 210 208
Comdisco, Inc., Series G,
6.29%, 6/30/03 BBB+ 395 406
Cox Communications,
Inc.
6.80%, 8/1/28 A- 130 135
(-) EES Coke Battery
Co., Inc.
7.125%, 4/15/02 BBB 170 172
Lafarge Corp.
6.375%, 7/15/05 A- 300 315
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 450 467
News America, Inc.
6.625%, 1/9/08 BBB- 520 533
Philip Morris Cos.,
Inc.
6.375%, 2/1/06 A 55 57
7.00%, 7/15/05 A 185 199
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(-) Scotia Pacific Co.,
LLC
6.55%, 1/20/07 A $ 475 $ 489
Sears Roebuck
Acceptance Corp.
6.86%, 8/6/01 A- 70 73
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 185 192
7.57%, 2/1/24 BBB- 445 494
United Technologies
Corp.
6.70%, 8/1/28 A+ 655 695
USA Waste Services
7.00%, 7/15/28 BBB+ 520 528
Williams Cos., Inc.
6.20%, 8/1/02 BBB- 380 389
- ------------------------------------------------------
GROUP TOTAL 5,701
- ------------------------------------------------------
RATED NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Resolution Trust
Corp., Series 92-5 C
8.613%, 1/25/26 AA 62 62
- ------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (0.2%)
Federal National
Mortgage Association
Series:
## 93-M2 B IO
2.597%, 11/25/23 Agy 525 8
96-20 E PO
11/25/22 Agy 250 229
- ------------------------------------------------------
GROUP TOTAL 237
- ------------------------------------------------------
TAXABLE MUNICIPAL (0.3%)
New York State Power
Authority Revenue Bonds
Series B
6.11%, 2/15/11 AA- 400 413
- ------------------------------------------------------
TELEPHONES (2.1%)
Comcast Cable Communications
8.375%, 5/1/07 BBB- 255 300
GTE Corp.
6.94%, 4/15/28 A 760 810
MCI WorldCom, Inc.
6.50%, 4/15/10 BBB+ 600 638
6.95%, 8/15/28 BBB+ 165 173
TCI Communications,
Inc.
6.375%, 5/1/03 BBB- 520 544
- ------------------------------------------------------
GROUP TOTAL 2,465
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.9%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB $ 425 $ 433
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 515 568
- ------------------------------------------------------
GROUP TOTAL 1,001
- ------------------------------------------------------
U.S. TREASURY SECURITIES (11.3%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 2,524 2,484
3.625%, 7/15/02
(Inflation
Indexed) Tsy 5,579 5,599
+++ 6.375%, 3/31/01 Tsy 4,200 4,396
6.875%, 7/31/99 Tsy 750 763
- ------------------------------------------------------
GROUP TOTAL 13,242
- ------------------------------------------------------
UTILITIES (0.1%)
(-) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 107
- ------------------------------------------------------
YANKEE (3.4%)
(-) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 377 336
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 300 225
Empresa Nacional Electridad
7.75%, 7/15/08 A- 415 367
(-) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A+ 285 202
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 60 59
7.75%, 12/15/27 A- 265 249
(-) Oil Enterprises
Ltd.
6.239%, 6/30/08 AAA 530 537
(-) Oil Purchase Co.
7.10%, 4/30/02 BBB 230 225
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 325 211
(-) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB- 580 481
(-) Ras Laffan
Liquified Natural Gas
Co.
7.628%, 9/15/06 BBB+ 560 497
8.294%, 3/15/14 BBB+ 365 304
Sony Corp.
6.125%, 3/4/03 A 325 333
- ------------------------------------------------------
GROUP TOTAL 4,026
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$148,105) 149,526
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCK (0.6%)
- ------------------------------------------------------
MORTGAGE-OTHER (0.6%)
(-)(+) Home Ownership
Funding Corp.
13.331% (Cost $583) Aaa 650 $ 651
- ------------------------------------------------------
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 $85) $25,000 --
- ------------------------------------------------------
CASH EQUIVALENTS (12.5%)
- ------------------------------------------------------
COMMERCIAL PAPER (9.4%)
Canadian Imperial Bank Holdings
5.52%, 10/7/98 2,000 1,998
CIT Group Holdings
5.51%, 10/13/98 3,000 2,995
First Chicago Finance
5.52%, 10/2/98 3,000 3,000
Suntrust Corp.
5.51%, 10/9/98 3,000 2,996
- ------------------------------------------------------
GROUP TOTAL 10,989
- ------------------------------------------------------
REPURCHASE AGREEMENT (3.1%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $3,672,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$3,708 3,671 3,671
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $14,660) 14,660
- ------------------------------------------------------
TOTAL INVESTMENTS (141.0%) (Cost $163,433) 164,837
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-41.0%)
Cash $ 104
Dividends Receivable 22
Interest Receivable 1,096
Receivable for Investments Sold 25
Receivable for Forward Commitments 35,562
Unrealized Gain on Swap Agreements 248
Other Assets 2
Payable for Investments Purchased (1,950)
Payable for Forward Commitments (82,772)
Payable for Fund Shares Redeemed (50)
Dividends Payable (3)
Payable for Investment Advisory Fees (121)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Payable for Daily Variation on Futures
Contracts (31)
Other Liabilities (68)
--------
(47,946)
- ------------------------------------------------------
NET ASSETS (100%) $116,891
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 10,944,175 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $116,891
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.68
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $111,702
Undistributed Net Investment Income (Loss) 1,816
Undistributed Realized Net Gain (Loss) 1,773
Unrealized Appreciation (Depreciation) on:
Investment Securities 1,404
Futures and Swaps 196
- ------------------------------------------------------
NET ASSETS $116,891
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(-) 144A security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed
is as of September 30, 1998.
@ Value is less than $500.
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.8%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (53.5%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (53.5%)
- -------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (20.4%)
Federal Home Loan Mortgage
Corporation Conventional
Pools:
11.00%, 5/1/20 Agy $ 466 $ 521
October TBA
6.00%, 10/15/28 Agy 10,800 10,800
November TBA
6.00%, 11/15/28 Agy 3,875 3,873
Federal National Mortgage
Association Conventional
Pools:
9.50%, 7/1/16 Agy 14 16
10.00%,
10/1/16-4/1/27 Agy 714 784
October TBA
6.50%, 10/25/28 Agy 3,200 3,254
Government National
Mortgage Association
Various Pools:
10.50%, 2/15/20 Tsy 479 534
- -------------------------------------------------------
GROUP TOTAL 19,782
- -------------------------------------------------------
ASSET BACKED CORPORATES (1.3%)
Advanta Mortgage Loan
Trust, Series 97-3
A2
6.61%, 4/25/12 AAA 95 95
Arcadia Automobile
Receivables Trust,
Series 97-C A4
6.375%, 1/15/03 AAA 115 117
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 90 91
(-) Commercial
Financial Services,
Inc.,
Series 97-5 A1
7.72%, 6/15/05 A 92 94
(-) Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 194 199
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
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
- -------------------------------------------------------
<S> <C> <C> <C>
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 123 123
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA $ 65 $ 65
(-) Securitized
Multiple Asset
Rated Trust, Series
97-6 A1
7.71%, 4/15/06 A 141 144
Security Pacific Home
Equity Trust,
Series 91-A B
10.50%, 3/10/06 A+ 5 5
WFS Financial Owner
Trust, Series 97-C
A3
6.10%, 3/20/02 AAA 130 131
- -------------------------------------------------------
GROUP TOTAL 1,264
- -------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 1,044 24
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 21
(-) 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 $1) AAA 219 --
97-1 A10 I IO
1.10%, 3/15/28 AAA 840 22
(-) 97-1 A10 I YMA
3/15/28 N/R 1,195 2
- -------------------------------------------------------
GROUP TOTAL 77
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.2%)
Federal Home Loan
Mortgage
Corporation,
Series:
1398-I Inv Fl REMIC
14.14%, 10/15/07 Agy 20 26
1415-S Inv Fl IO
19.125%, 11/15/07 Agy 19 7
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
1476-S Inv Fl IO
REMIC PAC
4.339%, 2/15/08 Agy $ 188 $ 16
1485-S Inv Fl IO
REMIC
3.975%, 3/15/08 Agy 170 12
1600-SA Inv Fl IO
REMIC
2.375%, 10/15/08 Agy 365 18
1950-SC Inv Fl IO
2.375%, 10/15/22 Agy 10 1
Federal National
Mortgage
Association,
Series:
90-118 S Inv Fl
28.579%, 9/25/20 Agy 7 11
92-186 S Inv Fl IO
3.339%, 10/25/07 Agy 352 23
96-14 PC PO
12/25/23 Agy 9 9
96-54 O PO
11/25/23 Agy 9 8
96-68 SC Inv Fl IO
REMIC
2.413%, 1/25/24 Agy 90 11
@ 97-30 Inv Fl IO
REMIC
2.313%, 7/25/22 Agy 5 --
G92-53 S Inv Fl IO
REMIC
32.063%, 9/25/22 Agy 16 11
Government National
Mortgage
Association
Series:
96-12 S Inv Fl IO
REMIC
2.813%, 6/16/26 Tsy 12 1
@ 96-13 S Inv Fl IO
REMIC
3.65%, 7/16/11 Tsy 7 --
@ 96-17 S Inv Fl IO
REMIC
2.863%, 8/16/26 Tsy 6 --
(+)Kidder Peabody
Mortgage Assets
Trust,
Series:
@ 87-B A1 PO
4/22/18 Aaa 1 --
@ 87-B A2 IO
9.50%, 4/22/18 Aaa 1 --
- -------------------------------------------------------
GROUP TOTAL 154
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.1%)
American Housing
Trust,
Series V 1G
9.125%, 4/25/21 AAA 39 41
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.285%, 5/28/22 N/R $ 29 $ 28
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 19 21
Prudential Home
Mortgage Securities
Co., Inc., Series
90-5 A3
9.50%, 5/25/05 AAA 1 1
Rural Housing Trust,
Series 87-1 B1
REMIC
3.33%, 10/1/28 A- 22 21
- -------------------------------------------------------
GROUP TOTAL 112
- -------------------------------------------------------
COMMERCIAL MORTGAGES (1.5%)
(+) American Southwest
Financial
Securities Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 60 62
Asset Securitization
Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 60 64
(-) Crystal Run
Properties, Inc.,
Series 1-A
7.393%, 8/15/11 AA 100 107
DLJ Mortgage
Acceptance Corp.,
Series:
## 95-CF2 S2 IO
1.642%, 12/17/27 BBB 360 27
(-) 96-CF2 A1B
7.29%, 11/12/21 AAA 15 16
(-)## 96-CF2 S IO
1.638%, 11/12/21 N/R 285 20
(-) 97-CF1 S IO
1.097%, 3/15/17 AAA 553 33
(+) GMAC Commercial
Mortgage
Securities, Inc.,
Series:
## 96-C1 X2 IO
1.916%, 3/15/21 Aaa 259 19
97-C1 A2
6.853%, 9/15/06 Aaa 115 122
## 97-C2 X IO
1.273%, 4/15/27 Aaa 2,287 162
(+) GS Mortgage
Securities
Corp. II,
Series 97-GL A2D
6.94%, 7/13/30 Aaa 115 124
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<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
7.428%, 10/25/26 Aaa $ 92 $ 100
@ 98-C1 IO
1.198%, 2/18/28 Aaa 2 --
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.541%, 11/21/28 N/R 296 24
(+) Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 50 54
Mortgage Capital
Funding, Inc.,
Series:
95-MC1 A1B
7.60%, 5/25/27 AAA 84 87
(+) 97-MC1 A3
7.288%, 7/20/27 Aaa 105 114
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 97 105
(+) Salomon Brothers
Mortgage
Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 100 107
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.447%, 2/25/28 N/R 402 22
96-CFL X1A IO
1.337%, 2/25/28 N/R 349 7
96-CFL X2 IO
1.169%, 2/25/28 N/R 97 2
- -------------------------------------------------------
GROUP TOTAL 1,415
- -------------------------------------------------------
FINANCE (3.5%)
(-) Anthem Insurance
Cos., Inc., Series
A
9.00%, 4/1/27 BBB+ 130 141
Associates Corp. of
North America
6.00%, 7/15/05 AA- 305 315
(-) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 360 341
First Union
Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 180 196
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(-) Florida Property
& Casualty
7.375%, 7/1/03 A- $ 100 $ 108
(-) Florida Windstorm
6.70%, 8/25/04 A- 505 531
Great Western
Financial, Inc.,
Series A
8.206%, 2/1/27 BBB- 150 162
Merrill Lynch & Co.,
Inc.
6.50%, 7/15/18 AA- 135 130
(-) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 135 144
(-) Prime Property
Funding II
6.80%, 8/15/02 A 410 418
7.00%, 8/15/04 A 50 52
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 300 353
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 265 293
(-) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 250 264
- -------------------------------------------------------
GROUP TOTAL 3,448
- -------------------------------------------------------
INDUSTRIALS (3.1%)
Continental
Cablevision
8.30%, 5/15/06 BBB 190 215
Cox Communications,
Inc.
6.80%, 8/1/28 A- 100 104
(-) EOP Operating LP
6.763%, 6/15/07 BBB 555 560
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 425 441
News America Holdings
7.75%, 1/20/24 BBB- 185 198
8.875%, 4/26/23 BBB- 525 629
Philip Morris Cos.,
Inc.
7.00%, 7/15/05 A 125 134
# Rhone-Poulenc
Rorer, Inc., Series
92-A 3
8.62%, 1/5/21 BBB- 60 66
(-) Scotia Pacific
Co. LLC
7.11%, 1/20/28 A 395 408
TCI Communications,
Inc.
7.875%, 2/15/26 BBB- 40 47
Time Warner Cos.,
Inc.
6.95%, 1/15/28 BBB- 75 78
7.57%, 2/1/24 BBB- 145 161
- -------------------------------------------------------
GROUP TOTAL 3,041
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
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
8.613%, 1/25/26 AA 25 25
Ryland Acceptance
Corp. IV, Series
79-A
6.65%, 7/1/11 AA 31 30
- -------------------------------------------------------
GROUP TOTAL 62
- -------------------------------------------------------
TELEPHONES (0.1%)
TCI Communications,
Inc.
7.125%, 2/15/28 BBB- 100 109
- -------------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 370 408
- -------------------------------------------------------
U.S. TREASURY SECURITIES (20.0%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 3,579 3,522
3.625%, 7/15/02
(Inflation
Indexed) Tsy 1,019 1,023
3.625%, 1/15/08
(Inflation
Indexed) Tsy 1,237 1,241
6.375%, 3/31/01 Tsy 1,000 1,047
+++ 7.50%, 2/15/05 Tsy 10,750 12,574
- -------------------------------------------------------
GROUP TOTAL 19,407
- -------------------------------------------------------
UTILITIES (1.0%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 230 271
(-) Edison Mission
Energy Funding
Corp.,
Series B
7.33%, 9/15/08 BBB 100 107
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 605 635
- -------------------------------------------------------
GROUP TOTAL 1,013
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
YANKEE (1.7%)
(-) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB $ 137 $ 122
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 47
7.75%, 7/15/08 A- 280 248
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 205 146
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 40 39
7.75%, 12/15/27 A- 270 253
(-) Oil Purchase Co.
7.10%, 10/31/02 BBB 230 225
(-) Petroliam
Nasional Bhd.
7.125%, 10/18/06 BBB- 400 260
(-) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BBB- 225 186
(-) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 140 117
- -------------------------------------------------------
GROUP TOTAL 1,643
- -------------------------------------------------------
TOTAL U.S. FIXED INCOME SECURITIES (Cost
$50,974) 51,935
- -------------------------------------------------------
INTERNATIONAL FIXED INCOME (10.7%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (10.7%)
- -------------------------------------------------------
BRITISH POUND (1.4%)
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA GBP 225 428
8.50%, 7/16/07 AAA 435 922
- -------------------------------------------------------
GROUP TOTAL 1,350
- -------------------------------------------------------
CANADIAN DOLLAR (2.5%)
Government of Canada
7.50%, 3/1/01 AAA CAD 1,400 972
10.00%, 6/1/08 AAA 1,650 1,491
- -------------------------------------------------------
GROUP TOTAL 2,463
- -------------------------------------------------------
FRENCH FRANC (1.4%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA FRF 7,180 1,373
- -------------------------------------------------------
GERMAN MARK (2.3%)
Government of Germany
6.50%, 7/4/27 AAA DEM 1,385 1,042
7.50%, 9/9/04 AAA 1,725 1,232
- -------------------------------------------------------
GROUP TOTAL 2,274
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
ITALIAN LIRA (2.9%)
Republic of Italy
BTPS
9.50%, 2/1/06 AAA ITL 3,475,000 $ 2,792
- -------------------------------------------------------
SOUTH AFRICAN RAND (0.2%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 1,150 154
- -------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost
$9,894) 10,406
- -------------------------------------------------------
HIGH YIELD (17.4%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (17.4%)
- -------------------------------------------------------
ASSET BACKED CORPORATES (0.1%)
(-)(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 $ 128 127
- -------------------------------------------------------
CABLE (2.2%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 715 740
(-) Lenfest
Communications,
Inc.
7.625%, 2/15/08 BB+ 370 373
(-)# NTL, Inc.
0.00%, 4/1/08 B- 1,250 750
Rogers Cablesystems
Ltd., Series B
10.00%, 3/15/05 BB+ 215 234
- -------------------------------------------------------
GROUP TOTAL 2,097
- -------------------------------------------------------
COMMUNICATIONS (6.9%)
(+)# Dial Call
Communications,
Inc.
0.00%, 12/15/05 B2 170 169
(-) Global Crossing
Holdings Ltd.
9.625%, 5/15/08 N/R 1,000 980
Globalstar LP/Capital
11.375%, 2/15/04 B 490 333
# Intermedia
Communications,
Inc., Series B
0.00%, 7/15/07 B 1,235 889
Iridium LLC/Capital
Corp., Series A
13.00%, 7/15/05 B- 600 519
IXC Communications,
Inc.
9.00%, 4/15/08 CCC+ 950 936
Level 3
Communications,
Inc.
9.125%, 5/1/08 B 985 933
# Nextel
Communications,
Inc.
0.00%, 8/15/04 CCC+ 235 226
0.00%, 9/15/07 CCC 1,750 1,111
Primus
Telecommunications
Group, Series B
9.875%, 5/15/08 B- 210 182
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
# Qwest
Communications
International,
Inc.,
Series B
0.00%, 2/1/08 BB+ $ 395 $ 294
(+)# RCN Corp.
0.00%, 10/15/07 B3 90 49
Series B
0.00%, 2/15/08 B3 175 91
- -------------------------------------------------------
GROUP TOTAL 6,712
- -------------------------------------------------------
CONSUMER MANUFACTURING (0.1%)
Revlon Worldwide,
Series B
Zero Coupon,
3/15/01 B- 165 127
- -------------------------------------------------------
ENERGY (0.5%)
Mobile Energy
Services
8.665%, 1/1/17 CCC 92 34
Snyder Oil Corp.
8.75%, 6/15/07 B+ 400 408
- -------------------------------------------------------
GROUP TOTAL 442
- -------------------------------------------------------
FINANCE (0.3%)
# Fuji JGB Investment
LLC,
Series A
9.87%, 12/31/49 BB+ 180 85
(-)# SB Treasury Co.
LLC,
Series A
9.40%, 12/29/49 BBB- 260 229
- -------------------------------------------------------
GROUP TOTAL 314
- -------------------------------------------------------
GAMING (0.6%)
Grand Casinos, Inc.
10.125%, 2/1/03 BB 155 164
Station Casinos, Inc.
9.625%, 6/1/03 B+ 450 443
- -------------------------------------------------------
GROUP TOTAL 607
- -------------------------------------------------------
HEALTHCARE (1.1%)
Columbia/HCA
Healthcare
7.58%, 9/15/25 BBB 240 211
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 250 234
Tenet Healthcare
Corp.
(-) 8.125%,
12/1/08 BB- 250 252
8.625%, 1/15/07 B+ 125 130
Vencor Operating,
Inc.
9.875%, 5/1/05 B- 320 256
- -------------------------------------------------------
GROUP TOTAL 1,083
- -------------------------------------------------------
</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>
HOTELS, LODGING & RESTAURANTS (1.0%)
HMH Properties,
Series A
7.875%, 8/1/05 BB $ 1,000 $ 1,012
- -------------------------------------------------------
INDUSTRIALS (1.7%)
American Standard
Cos.
7.375%, 4/15/05 BB- 295 300
(-) CEX Holdings,
Inc.
9.625%, 6/1/08 B 275 263
Geberit International
S.A.
10.125%, 4/15/07 N/R DEM 100 66
(-) Nortek, Inc.
8.875%, 8/1/08 B+ $ 1,000 970
- -------------------------------------------------------
GROUP TOTAL 1,599
- -------------------------------------------------------
MEDIA & ENTERTAINMENT (0.7%)
CBS Corp.
7.15%, 5/20/05 BB+ 250 261
Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 175 188
Viacom, Inc.
8.00%, 7/7/06 BB- 240 243
- -------------------------------------------------------
GROUP TOTAL 692
- -------------------------------------------------------
METALS (0.3%)
Impress Metal
Packaging Holdings
9.875%, 5/29/07 B DEM 185 111
Murrin Murrin
Holdings Ltd.
9.375%, 8/31/07 BB- $ 180 150
- -------------------------------------------------------
GROUP TOTAL 261
- -------------------------------------------------------
RETAIL (0.9%)
DR Structured
Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 66 63
94-K1 A1
7.60%, 8/15/07 BB 164 166
94-K2 A2
9.35%, 8/15/19 BB 130 135
(-) HMV Media Group
plc
10.875%, 5/15/08 B GBP 150 207
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB $ 140 149
Southland Corp.
5.00%, 12/15/03 BB+ 210 174
- -------------------------------------------------------
GROUP TOTAL 894
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
SUPERMARKETS (0.3%)
Fred Meyer, Inc.
7.375%, /1/05 BB+ $ 300 $ 313
- -------------------------------------------------------
UTILITIES (0.7%)
CalEnergy Co., Inc.
8.48%, 9/15/28 BB+ 190 198
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- 190 203
# H
0.00%, 7/1/10 BB- 330 239
- -------------------------------------------------------
GROUP TOTAL 640
- -------------------------------------------------------
TOTAL HIGH YIELD (Cost $17,004) 16,920
- -------------------------------------------------------
EMERGING MARKETS (11.2%)
- -------------------------------------------------------
FIXED INCOME SECURITIES (11.2%)
- -------------------------------------------------------
(+)## Acindar Industry,
Series E
11.555%, 11/12/98 B2 200 194
Asia Pulp & Paper
Co., Ltd., Series A
12.00%, 2/15/04 B+ 150 57
(-) AST Research,
Inc.
7.45%, 10/1/02 BB- 345 258
(+) Bulgaria
Government,
Series:
## A
6.688%, 7/28/24 B2 150 96
# A
2.50%, 7/28/12 B2 300 138
## PDI
6.688%, 7/28/11 B2 300 177
(-) Cellco Finance NV
15.00%, 8/1/05 CCC+ 190 154
CIA International
Telecommunications
(-) 10.375%,
8/1/04 BB 500 300
Comtel, Series S
10.75%, 9/26/04 N/R 280 189
(-) Globo
Communicacoes
Participoes
10.50%, 12/20/06 BB- 435 228
Grupo Minero
Mexicano S.A. de
CV,
Series A
8.25%, 4/1/08 BB 160 133
(-) Hyundai
Semiconductor
America
8.625%, 5/15/07 B 100 70
Korea Development
Bank
7.375%, 9/17/04 BB+ 215 169
Korea Electric Power
Corp.
6.375%, 12/1/03 BB+ 200 144
7.75%, 4/1/13 B+ 165 106
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(-) Multicanal S.A.
10.50%, 4/15/18 BB+ $ 145 $ 95
National Power Corp.
7.875%, 12/15/06 BB+ 85 59
8.40%, 12/15/16 BB+ 55 33
(-) Paiton Energy
Funding
9.34%, 2/15/14 CCC 100 23
Pera Financial
Services
9.375%, 10/15/02 N/R 300 194
# Peru Reduction Bond
3.25%, 3/7/17 BB 250 113
## Petroleos
Mexicanos
11.157%, 7/15/05 BB 190 164
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 155 68
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 355 213
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 140 89
Republic of Argentina
Global Bond,
Series BGL5
11.375%, 1/30/17 BB 580 534
Republic of Argentina
Global Bond
9.75%, 9/19/27 BB 440 363
## Republic of
Argentina,
Series L
6.188%, 3/31/05 BB 846 669
(+)# Republic of
Argentina Pre 4
BOCON, PIK
0.00%, 9/1/02 Ba3 75 81
## Republic of
Argentina Par,
Series L 'Euro'
5.50%, 3/31/23 BB 595 401
## Republic of Brazil
Debt Conversion
Bond,
Series L
6.688%, 4/15/12 BB- 1,840 925
Republic of Brazil
9.375%, 4/7/08 BB- 280 174
## Republic of
Brazil,
Series EI-L
6.625%, 4/15/06 BB- 262 151
Republic of Colombia
7.625%, 2/15/07 BBB- 400 276
8.70%, 2/15/16 BBB- 265 168
## Republic of Korea
8.875%, 4/15/08 BB+ 325 280
## Republic of Panama
PDI
6.688%, 7/17/16 BB+ 63 45
Republic of Panama
8.875%, 9/30/27 BB+ 320 269
## Republic of
Venezuela Debt
Conversion Bond,
Series DL
6.625%, 12/18/07 B+ 226 129
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(-) RG Receivables
Ltd.
9.60%, 2/10/05 BB- $ 158 $ 112
(-) Russian
Federation
11.00%, 7/24/18 CCC- 1,140 200
(-) Samsung
Electronics Co.
7.45%, 10/1/02 BB- 150 110
TV Azteca S.A.
10.125%, 2/15/07 B+ 125 94
Series B
10.50%, 2/15/07 B+ 135 97
United Mexican States
Global Bond
8.625%, 3/12/08 BB 550 466
11.375%, 9/15/16 BB 500 476
11.50%, 5/15/26 BB 1,000 970
United Mexican States
Par Bond, Series B
6.25%, 12/31/19 BB 565 414
- -------------------------------------------------------
TOTAL EMERGING MARKETS (Cost $13,501) 10,868
- -------------------------------------------------------
PREFERRED STOCKS (0.6%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMUNICATIONS (0.1%)
* IXC Communications, Inc.,
Series B, PIK
12.50% CCC+ 91 97
- -------------------------------------------------------
MORTGAGES-OTHER (0.5%)
(-)(+) Home Ownership
Funding Corp.,
13.331% Aaa 500 501
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $546) 598
- -------------------------------------------------------
CASH EQUIVALENT (24.4%)
- -------------------------------------------------------
FACE
AMOUNT
(000)
-------
REPURCHASE AGREEMENT (24.4%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $23,638,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$23,871 (Cost $23,634) $ 23,634 23,634
- -------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- -------------------------------------------------------
British Pound (Cost $1) GBP 1 1
- -------------------------------------------------------
TOTAL INVESTMENTS (117.8%) (Cost $115,554) 114,362
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-17.8%)
Cash $ 40
Cash and Foreign Currency Held as
Collateral on Futures Contracts (Cost
$55) 55
Dividends Receivable 17
Interest Receivable 1,342
Receivable for Withholding Tax Reclaim 50
Receivable for Investments Sold 117
Receivable for Forward Commitments 3,837
Unrealized Gain on Swap Agreements 113
Other Assets 1
Payable for Investments Purchased (951)
Payable for Forward Commitments (21,499)
Payable for Fund Shares Redeemed (17)
Payable Investment Advisory Fees (98)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Unrealized Loss on Forward Foreign Currency
Contracts (161)
Unrealized Loss on Futures Contracts (79)
Other Liabilities (60)
----------
(17,300)
- -------------------------------------------------------
NET ASSETS (100%) $97,062
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 9,841,917 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $97,062
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.86
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSISTS OF:
Paid in Capital $ 97,841
Undistributed Net Investment Income (Loss) 1,681
Undistributed Realized Net Gain (Loss) (1,147)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,192)
Foreign Currency Transactions (155)
Futures and Swaps 34
- -------------------------------------------------------
NET ASSETS $97,062
- -------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at September 30, 1998
was $7 or 0.0% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security
(-) 144A security. Certain conditions for public sale
may exist.
+++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
(+) Moody's 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 September 30,
1998. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed
is as of September 30, 1998.
@ Value is less than $500.
Inv F1 Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PAC Planned Amortization Class
PIK Payment-In Kind Security
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note
A8 to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (60.7%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1998 & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (26.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%,
9/1/17-12/1/19 Agy $ 470 $ 513
10.50%, 8/1/19 Agy 361 399
11.00%,
5/1/20-9/1/20 Agy 719 803
12.00%, 3/1/15 Agy 304 345
Gold Pools:
9.50%, 12/1/22 Agy 664 725
10.00%, 12/1/19 Agy 1,330 1,462
October TBA
6.00%, 10/15/28 Agy 24,700 24,699
6.50%, 10/15/28 Agy 700 712
7.50%, 10/15/28 Agy 11,500 11,850
November TBA
6.00%, 11/15/28 Agy 11,300 11,294
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 11/1/20 Agy 1,398 1,522
10.00%,
1/1/10-1/1/20 Agy 737 809
10.50%,
8/1/12-4/1/22 Agy 4,683 5,206
11.50%, 9/1/25 Agy 43 48
12.50%, 9/1/15 Agy 170 195
October TBA
6.00%, 10/25/28 Agy 8,850 8,808
6.50%, 10/25/28 Agy 7,300 7,424
November TBA
6.00%, 11/15/28 Agy 3,125 3,109
6.50%, 11/25/28 Agy 10,850 11,027
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.875%,
2/20/25-11/20/25 Tsy 6,947 7,033
Various Pools:
9.50%,
11/15/17-11/15/21 Tsy 1,786 1,958
10.00%,
11/15/09-10/15/28 Tsy 6,831 7,544
10.50%,
2/15/18-12/15/20 Tsy 953 1,059
11.00%, 5/15/26 Tsy 785 884
- -------------------------------------------------------
GROUP TOTAL 109,428
- -------------------------------------------------------
ASSET BACKED CORPORATES (6.0%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 1,055 1,055
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 640 651
98-A A3
5.90%, 11/15/02 AAA 825 831
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
CIT Group Home Equity
Loan Trust, Series
97-1 A3
6.25%, 9/15/01 AAA $ 339 $ 340
+ Citibank Credit Card
Master Trust I Series
98-7 A
5.60%, 5/15/02 Aaa 1,250 1,251
Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC
5.62%, 3/15/13 AAA 825 824
(-) Credit Card
Receivables Trust,
Series 98-IA A
6.478%, 12/22/04 AAA 364 372
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 373 375
Empire Funding Home
Loan Owner Trust,
Series:
97-4 A2
7.16%, 5/25/12 AAA 675 686
97-4 A3
7.11%, 7/25/14 AAA 475 488
EQCC Home Equity Loan
Trust,
Series 98-1 A1F
6.21%, 12/15/07 AAA 571 571
(-) First Merchants
Auto Receivables
Corp., Series 97-2 A1
6.85%, 11/15/02 AAA 375 377
(-) First Mortgage
Acceptance Corp.,
Loan Receivables
Trust, Series 96-B A1
7.629%, 11/1/18 A 360 364
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA 380 380
97-3 A3
6.57%, 10/10/10 AAA 375 377
97-4 A2
6.30%, 8/10/09 AAA 425 425
97-4 A3
6.40%, 8/10/11 AAA 375 377
First Security Auto
Grantor
Trust, Series 97-B A
6.14%, 4/15/03 N/R 611 616
First USA Credit Card
Master Trust, Series
97-10 A
5.672%, 9/17/03 AAA 875 875
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA 725 730
</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>
(-) Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 A $ 260 $ 265
(+)Green Tree Financial
Corp., Series:
98-1 A2
5.85%, 10/2/08 Aaa 670 671
98-C A1
5.95%, 7/15/29 AAA 751 754
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 631 633
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 325 327
(-) National Car Rental
Financing Ltd., Series
96-1 A4
7.35%, 10/20/03 N/R 425 449
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/17/03 AAA 641 645
(-) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 775 799
Residential Funding
Mortgage Securities
Co., Inc., Series
98-HI2 A1
5.696%, 2/25/10 AAA 1,034 1,033
(-) Securitized Multiple
Asset Rated Trust,
Series 97-3 A1
7.71%, 4/15/06 A 301 306
Security Pacific Home
Equity Trust, Series
91-A B
10.50%, 3/10/06 A+ 18 18
Southern Pacific Secured
Assets Corp., Series
98-H1 A1
5.746%, 1/25/29 AAA 1,058 1,057
(-) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 300 306
98-3 A
6.13%, 10/25/04 AA 725 742
## UCFC Home Equity
Loan, Series 98-C A1
5.65%, 12/15/12 AAA 1,000 1,000
</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 $ 690 $ 694
98-A A2
5.783%, 11/20/00 AAA 1,450 1,453
98-A A3
5.90%, 5/20/02 AAA 825 830
World Omni Automobile
Lease Securitization
Trust, Series 97-B A2
6.08%, 11/15/03 AAA 725 729
- -------------------------------------------------------
GROUP TOTAL 24,676
- -------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 8,387 194
sec. 96-3 A YMA
10/25/26 (acquired
12/24/96, cost $15) N/R 8,007 11
sec. Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28
(acquired 12/16/96,
cost $147) AAA 5,022 125
(-) 96-4 A11 I YMA
1/15/28 (acquired
12/16/96, cost $15) AAA 6,202 9
96-4 A12 I IO
1.05%, 1/15/28
(acquired 12/16/96,
cost $57) AAA 1,181 29
96-4 A12 I YMA
1/15/28 (acquired
12/16/96, cost $5) AAA 1,673 2
97-1 A10 I IO
1.10%, 3/15/28
(acquired 6/26/97,
cost $177) AAA 6,087 157
(-) 97-1 A10 I YMA
3/15/28 (acquired
6/26/97, cost $14) N/R 7,517 11
- -------------------------------------------------------
GROUP TOTAL 538
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.9%)
Federal Home Loan
Mortgage Corporation,
Series:
1415-S Inv Fl IO
19.125%, 11/15/07 Agy $ 284 $ 104
1476-S Inv Fl IO REMIC PAC
4.339%, 2/15/08 Agy 2,768 228
1485-S Inv Fl IO REMIC
3.975%, 3/15/08 Agy 2,581 178
1546-FC
6.125%, 12/15/21 Agy 505 510
1600-SA Inv Fl IO REMIC
2.375%, 10/15/08 Agy 4,617 231
## 1710-D
6.075%, 6/15/20 Agy 901 908
## 1933-FM REMIC
6.375%, 3/15/25 Agy 86 86
## 1933-FO REMIC
6.375%, 3/15/25 Agy 151 152
## 2030-F
6.09%, 2/15/28 Agy 1,018 1,026
2031-F
6.04%, 10/15/26 Agy 576 577
## 2040-FC
5.94%, 2/15/23 Agy 649 652
## 2054-FC
6.025%, 5/15/28 Agy 683 689
Federal National
Mortgage Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy 370 388
92-186 S Inv Fl IO
3.339%, 10/25/07 Agy 4,923 323
## 94-50 FD REMIC
6.138%, 3/25/24 Agy 488 490
## 94-97 FC TBA
6.388%, 3/25/24 Agy 228 230
96-14 PC PO 12/25/23 Agy 85 79
96-54 O PO 11/25/23 Agy 66 60
96-68 SC Inv Fl IO REMIC
2.413%, 1/25/24 Agy 1,250 153
## 97-43 FM REMIC,
6.188%, 7/18/27 Agy 943 950
## 97-70 FA REMIC
PAC(11)
6.138%, 7/18/20 Agy 347 349
## 97-76 FM
6.138%, 9/17/27 Agy 442 446
## 97-76 FN
6.088%, 9/17/27 Agy 435 438
## 98-22 FA REMIC
5.99%, 4/18/22 Agy 1,218 1,221
191 IO
8.00%, 1/1/28 Agy 1,231 157
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
291 2 IO
8.00%, 11/1/27 Agy $ 2,360 $ 298
Government National
Mortgage Association,
Series 97-13 F TBA
6.188%, 9/16/27 Agy 917 924
- -------------------------------------------------------
GROUP TOTAL 11,847
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.3%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 235 250
sec. First Boston
Mortgage Corp.,
Series 92-4 B1
8.125%, 10/25/22
(acquired 2/26/93
cost $3) A 3 3
## Kidder Peabody
Funding
Corp., Series 92-4 B2
8.285%, 5/28/22 N/R 103 102
Prudential Home
Mortgage Securities Co., Inc.,
Series 90-5 A3
9.50%, 5/25/05 AAA 14 14
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 326 318
## Ryland Mortgage
Securities Corp. III,
Series 92-A 1A
8.262%, 3/29/30 A- 411 418
- -------------------------------------------------------
GROUP TOTAL 1,105
- -------------------------------------------------------
COMMERCIAL MORTGAGES (2.9%)
American Southwest
Financial Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 1,094 1,163
(+) 95-C1 A1B
7.40%, 11/17/04 Aaa 650 673
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 1,291 1,370
96-MD6 A1C
7.04%, 11/13/26 AAA 575 618
(+)## 97-D5 PS1 IO
1.571%, 2/14/41 Aaa 3,315 341
(-) Carousel Center Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 525 544
(-) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 548 636
</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>
(-) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA $ 165 $ 177
## 96-CF2 S IO
1.638%, 11/12/21 N/R 1,637 118
(+)## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.888%, 3/15/21 Aaa 2,346 172
97-C2 X IO
1.273%, 4/15/29 Aaa 6,100 433
(+)GS Mortgage
Securities Corp. II,
Series:
97-GL A2D
6.94%, 7/13/30 Aaa 650 700
## 97-GL X2 IO
1.068%, 7/13/30 Aaa 1,682 83
(+)## LB Commercial
Conduit Mortgage
Trust,
Series:
96-C2 A
7.428%, 10/25/26 Aaa 597 647
98-C1 IO
1.198%, 2/18/28 Aaa 5 1
Merrill Lynch Mortgage
Investors, Inc.,
Series:
95-C1 IO
2.185%, 5/25/15 N/R 4,613 210
## 96-C2 IO
1.541%, 11/21/28 N/R 2,720 220
(+)Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 475 510
(+)Mortgage Capital
Funding, Inc., Series
97-MC1 A3
7.288%, 7/20/27 Aaa 800 866
Nomura Asset Securities Corp.,
Series 94-MD1 A3
7.526%, 3/15/18 N/R 525 560
(-) Prime Property
Funding Series 1A
6.633%, 7/23/03 AA 483 492
(+)Salomon Brothers
Mortgage Securities,
Series 97-TZH A2
7.174%, 3/24/22 Aa2 350 373
(-) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 840
- -------------------------------------------------------
GROUP TOTAL 11,747
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.1%)
(-) Excel Paralubes
Funding
7.43%, 11/1/15 A- $ 340 $ 355
Mobile Energy Services
8.665%, 1/1/17 CCC 478 177
- -------------------------------------------------------
GROUP TOTAL 532
- -------------------------------------------------------
FINANCE (4.0%)
(-) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 390 422
Associates Corp.
of North America
6.00%, 7/15/05 AA- 715 738
(-) BT Institutional
Capital
Trust, Series A
8.09%, 12/1/26 BBB+ 965 915
(-) BankAmerica Institutional,
Series A
8.07%, 12/1/26 A- 925 997
(-) EOP Operating LP
6.763%, 6/15/07 BBB 595 600
Equifax, Inc.
6.90%, 7/1/28 A 400 412
Equitable Companies,
Inc.
6.50%, 4/1/08 A 195 206
(-) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 700 752
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 325 327
(-) Farmers Insurance
Exchange
8.625%, 5/1/24 BBB+ 725 865
(-) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 740 798
First Union
Institutional
Capital Series I
8.04%, 12/1/26 BBB+ 625 681
(-) Florida Property & Casualty
7.375%, 7/1/03 A- 200 215
(-) Florida Windstorm
6.70%, 8/25/04 A- 800 842
Great Western Financial
Series A
8.206%, 2/1/27 BBB- 65 70
(-) GS Escrow Corp.
7.125%, 8/1/05 BB+ 695 691
HMH Properties,
Series A
7.875%, 8/1/05 BB 760 769
(-) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 AA- 600 613
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 775 785
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
(-) New York Life Insurance Co.
7.50%, 12/15/23 AA $ 300 $ 317
PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 725 775
(-) Prime Property
Funding II
6.80%, 8/15/02 A 210 214
7.00%, 8/15/04 A 540 560
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 855 1,005
Washington Mutual Capital
8.375%, 6/1/27 BBB- 375 414
(-) World Financial Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 835 886
96 WFP-D
6.95%, 9/1/13 AA- 525 554
- -------------------------------------------------------
GROUP TOTAL 16,423
- -------------------------------------------------------
INDUSTRIALS (3.7%)
American Standard Cos.
7.375%, 2/1/08 BB- 510 519
Becton, Dickinson & Co.
7.00%, 8/1/27 A+ 145 159
CalEnergy Co., Inc.
8.48%, 9/15/28 BB+ 390 406
CBS Corp.
7.15%, 5/20/05 BB+ 625 653
Columbia/HCA Healthcare
7.50%, 12/15/23 BBB 305 268
7.58%, 9/15/25 BBB 320 282
9.00%, 12/15/14 BBB 225 244
Continental Cablevision
8.30%, 5/15/06 BBB 475 538
Cox Communications,
Inc.
6.80%, 8/1/28 A- 300 311
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 670 694
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 131 125
94-K2 A2
9.35%, 8/15/19 BB 550 569
Ford Motor Co.
6.50%, 8/1/18 A+ 110 111
6.625%, 10/1/28 A 390 394
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 785 819
General Motors Corp.
6.75%, 5/1/28 A 580 593
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 650 670
Intermedia
Communications, Inc.
Series B
8.50%, 1/15/08 B 105 104
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB $ 300 $ 319
Lenfest Communications,
Inc.
(-) 7.625%, 2/15/08 BB+ 425 429
8.375%, 11/1/05 BB+ 565 592
News America, Inc.
7.28%, 6/30/28 BBB- 885 899
(-) Oxymar
7.50%, 2/15/16 BBB 470 480
+++Paramount
Communications, Inc.
8.25%, 8/1/22 BB+ 675 724
Philip Morris Cos.,
Inc.
7.00%, 7/15/05 A 300 322
Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB- 400 440
Scotia Pacific Co., LLC
7.71%, 7/20/28 BBB 1,205 1,137
Southland Corp.
5.00%, 12/15/03 BB+ 485 403
TCI Communications, Inc.
7.875%, 2/15/26 BBB- 90 106
(-) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 595 603
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 145 151
7.57%, 2/1/24 BBB- 505 560
United Technologies
Corp.
6.70%, 8/1/28 A+ 540 573
- -------------------------------------------------------
GROUP TOTAL 15,197
- -------------------------------------------------------
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
8.613%, 1/25/26 AA 229 227
Ryland Acceptance Corp.
IV, Series 79-A
6.65%, 7/1/11 AA 71 69
- -------------------------------------------------------
GROUP TOTAL 297
- -------------------------------------------------------
TELEPHONES (1.0%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 480 565
GTE Corp.
6.94%, 4/15/28 A 660 703
Intermedia
Communications, Inc.
#0.00%, 5/15/06 B 130 107
Series B
8.60%, 6/1/08 B 305 303
</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>
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ $ 1,420 $ 1,490
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 720 535
TCI Communications,
Inc.
7.125%, 2/15/28 BBB- 205 222
- -------------------------------------------------------
GROUP TOTAL 3,925
- -------------------------------------------------------
TRANSPORTATION (0.6%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 855 942
(-) Jet Equipment
Trust,
Series 95-C
10.69%, 5/1/15 BBB 675 894
Union Pacific Corp.
6.625%, 2/1/08 BBB- 600 619
- -------------------------------------------------------
GROUP TOTAL 2,455
- -------------------------------------------------------
U.S. TREASURY SECURITIES (8.5%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 4,150 6,060
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 11,428 11,246
3.625%, 7/15/02
(Inflation Indexed) Tsy 2,624 2,633
3.625%, 1/15/08
(Inflation Indexed) Tsy 3,081 3,090
5.50%, 4/15/00 Tsy 1,603 1,626
6.25%, 4/30/01 Tsy 1,500 1,568
6.375%, 3/31/01 Tsy 8,000 8,374
- -------------------------------------------------------
GROUP TOTAL 34,597
- -------------------------------------------------------
UTILITIES (0.3%)
(-) Edison Mission
Energy Funding Corp,
Series B
7.33%, 9/15/08 BBB 375 403
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- 332 354
# H
0.00%, 7/1/10 BB- 475 344
- -------------------------------------------------------
GROUP TOTAL 1,101
- -------------------------------------------------------
YANKEE (3.3%)
(-) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 695 619
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 865 648
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- $ 120 $ 102
7.75%, 7/15/08 A- 800 708
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ 425 355
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 460 384
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 1,040 739
(-) Hyundai
Semiconductor America
8.625%, 5/15/07 B 400 281
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 135 132
7.75%, 12/15/27 A- 575 540
Korea Development Bank
7.375%, 9/17/04 BB+ 1,005 790
(-) Multicanal S.A.
10.50%, 4/15/18 BB+ 330 217
National Power Corp.
7.875%, 12/15/06 BB+ 450 311
8.40%, 12/15/16 BB+ 350 212
(-) Oil Purchase Co.
7.10%, 4/30/02 BBB 413 405
(-) Paiton Energy
Funding
9.34%, 2/15/14 CCC 545 125
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 790 514
(-) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BBB- 840 696
(-) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 1,000 834
(-) Reliance Industries
Ltd.
9.375%, 6/24/26 BB+ 250 204
Republic of Argentina
Par
# 5.75%, 3/31/23 BB 685 462
Series L 'Euro'
5.50%, 3/31/23 BB 1,430 964
Republic of Colombia
8.70%, 2/15/16 BBB- 805 511
Republic of Korea
8.875%, 4/15/08 BB+ 295 254
Rogers Cablesystems
Ltd.
10.00%, 3/15/05 BB+ 400 435
(-) Samsung Electronics
Co.
7.45%, 10/1/02 BB- 360 264
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
United Mexican States
Par Bond
Series:
A
6.25%, 12/31/19 BB $ 660 $ 483
B
6.25%, 12/31/19 BB 1,875 1,373
- -------------------------------------------------------
GROUP TOTAL 13,562
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$246,791) 247,430
- -------------------------------------------------------
COMMON STOCKS (46.5%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
BANKS (2.3%)
Banc One Corp. 36,750 1,566
BankBoston Corp. 107,600 3,551
Bankers Trust Corp. 550 33
Chase Manhattan Corp. 65,900 2,850
Citicorp 13,500 1,255
Fleet Financial Group, Inc. 700 51
Mellon Bank Corp. 400 22
PNC Bank Corp. 850 38
Zions Bancorp. 1,500 61
- -------------------------------------------------------
GROUP TOTAL 9,427
- -------------------------------------------------------
BASIC RESOURCES (1.9%)
Air Products & Chemicals, Inc. 53,300 1,586
Bowater, Inc. 28,400 1,012
Millenium Chemicals, Inc. 1,600 30
Olin Corp. 700 20
PPG Industries, Inc. 8,100 442
Praxair, Inc. 30,100 984
Rohm & Haas Co. 66,600 1,852
Solutia, Inc. 33,100 747
* W.R. Grace & Co. 103,100 1,282
- -------------------------------------------------------
GROUP TOTAL 7,955
- -------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.0%)
Anheuser-Busch Cos., Inc. 48,300 2,608
Dial Corp. 35,200 726
PepsiCo, Inc. 28,000 824
- -------------------------------------------------------
GROUP TOTAL 4,158
- -------------------------------------------------------
CONSUMER DURABLES (3.7%)
Ford Motor Co. 101,100 4,745
General Motors Corp. 69,752 3,815
Goodyear Tire & Rubber Co. 26,400 1,356
LucasVarity plc ADR 89,500 2,797
Meritor Automotive, Inc. 2,783 42
* Navistar International Corp. 1,200 27
Owens Corning 67,900 2,211
Philips Electronics N.V.
(New York Shares) 300 16
- -------------------------------------------------------
GROUP TOTAL 15,009
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
CONSUMER SERVICES (2.5%)
* Clear Channel Communications,
Inc. 33,800 $ 1,606
* Liberty Media Group, Class A 55,488 2,036
News Corp., Ltd. ADR 80,500 1,801
Nielsen Media Research, Inc. 2,233 23
* R.H. Donnelley Corp. 1,620 20
Service Corp. International 55,700 1,775
* Tele-Communications, Inc., Class
A 57,259 2,240
* Tele-Communications TCI Ventures
Group, Class A 39,086 701
- -------------------------------------------------------
GROUP TOTAL 10,202
- -------------------------------------------------------
CREDIT & FINANCE (1.1%)
Ambac Financial Group, Inc. 61,300 2,942
Household International, Inc. 41,200 1,545
- -------------------------------------------------------
GROUP TOTAL 4,487
- -------------------------------------------------------
ENERGY (1.4%)
Ashland, Inc. 1,400 65
Coastal Corp. 78,500 2,649
* Nabors Industries, Inc. 46,200 702
Phillips Petroleum Co. 27,300 1,232
Transocean Offshore, Inc. 7,100 246
USX-Marathon Group 23,400 829
- -------------------------------------------------------
GROUP TOTAL 5,723
- -------------------------------------------------------
FOOD, TOBACCO & OTHER (1.9%)
General Mills, Inc. 25,000 1,750
Philip Morris Cos., Inc. 88,525 4,078
RJR Nabisco Holdings Corp. 72,820 1,834
- -------------------------------------------------------
GROUP TOTAL 7,662
- -------------------------------------------------------
HEALTH CARE (4.3%)
Abbott Laboratories 40,800 1,772
American Home Products Corp. 43,800 2,294
Bausch & Lomb, Inc. 550 22
Baxter International, Inc. 59,800 3,558
Bristol-Myers Squibb Co. 16,200 1,683
* Health Management Associates,
Inc., Class A 75,250 1,373
* HEALTHSOUTH Corp. 79,800 843
* Lincare Holdings, Inc. 54,600 2,116
Merck & Co., Inc. 11,600 1,503
Mylan Labs, Inc. 31,100 917
* Tenet Healthcare Corp. 47,000 1,351
- -------------------------------------------------------
GROUP TOTAL 17,432
- -------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (3.7%)
* Allied Waste Industries, Inc. 80,000 1,870
Aeroquip-Vickers, Inc. 23,400 673
* AMR Corp. 14,300 793
Case Corp. 68,200 1,483
* Continental Airlines, Class B 1,800 68
Cordant Technologies, Inc. 1,700 72
Cummins Engine Co., Inc. 58,200 1,731
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
* FMC Corp. 33,600 $ 1,732
Harris Corp. 1,750 56
* Litton Industries, Inc. 1,000 60
* Loral Space & Communications
Ltd. 67,800 1,000
Northrop Grumman Corp. 400 29
Ogden Corp. 1,600 46
Steelcase, Inc. 600 11
* UAL Corp. 200 13
Waste Management, Inc. 63,727 3,063
York International Corp. 67,500 2,253
- -------------------------------------------------------
GROUP TOTAL 14,953
- -------------------------------------------------------
INSURANCE (3.5%)
Allstate Corp. 32,054 1,336
American General Corp. 750 48
Conseco, Inc. 94,597 2,891
Everest Reinsurance Holdings, Inc. 53,800 2,008
EXEL Ltd.-Class A 5,000 315
Hartford Financial Services Group,
Inc. 33,700 1,599
Lincoln National Corp. 950 78
Loews Corp. 15,600 1,316
St. Paul Cos., Inc. 1,300 42
Travelers Property Casualty Corp.,
Class A 72,100 2,303
UNUM Corp. 44,700 2,221
- -------------------------------------------------------
GROUP TOTAL 14,157
- -------------------------------------------------------
MID CAP GROWTH (1.5%)
* AES Corp. 800 30
* Allied Waste Industries, Inc. 4,200 98
America Online, Inc. 1,700 189
* American Disposal Services, Inc. 2,000 78
* American Tower Corp., Class A 2,900 74
* Arterial Vascular Engineering,
Inc. 2,100 78
* At Home Corp., Series A 2,100 101
* Beringer Wine Estates Holdings,
Inc., Class B 1,600 61
* BMC Software, Inc. 2,300 138
* Borders Group, Inc. 3,200 71
* Broadcom Corp., Class A 1,000 71
* Cablevision Systems Corp., Class
A 2,600 112
* Cellular Communications
International, Inc. 1,550 84
* Cinar Films, Inc., Class B 4,800 86
Cintas Corp. 2,400 120
Comcast Corp., Class A Special 2,100 99
* Computer Horizons Corp. 2,300 57
* Compuware Corp. 2,000 118
* Concord EFS, Inc. 3,100 80
Computer Sciences Corp. 1,600 87
CVS Corp. 3,300 145
Danaher Corp. 1,800 54
* Diamond Technology Partners,
Inc. 1,700 28
Earthgrains Co. (The) 1,900 59
* eBay, Inc. 1,300 59
* EEX Corp. 9,300 45
Estee Lauder Cos., Class A 1,300 67
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
FINOVA Group, Inc. 1,600 $ 80
* Fiserv, Inc. 2,700 124
* General Instrument Corp. 4,200 91
* Global Crossing Ltd. 2,600 54
* Globalstar Telecommunications
Ltd. 8,280 96
HBO & Co. 2,200 64
* Health Management Associates,
Inc., Class A 9,743 178
* Heftel Broadcasting Corp., Class
A 1,900 72
* Imax Corp. 3,400 68
* Intermedia Communications, Inc. 2,600 64
* J. Ray McDermott, S.A. 600 18
* Jacor Communications, Inc. 2,400 122
Koninklijke Ahold NV ADR 2,500 73
* Lason, Inc. 1,000 51
* Level 3 Communications, Inc. 2,100 67
* Liberty Media Group, Class A 3,071 113
* Lincare Holdings, Inc. 4,800 186
Linear Technology Corp. 1,500 75
Loral Space & Communications Ltd. 2,800 41
* Mail-Well, Inc. 4,100 35
* MAPICS, Inc. 3,300 73
* Metro-Goldwyn-Mayer, Inc. 2,600 36
* Micro Warehouse, Inc. 2,700 41
* Micron Electronics, Inc. 4,200 74
* Network Associates, Inc. 1,618 57
Newcourt Credit Group, Inc. 1,700 44
* NEXTLINK Communications, Inc.,
Class A 1,900 44
* Novell, Inc. 7,500 92
* Ocean Energy, Inc. 2,700 35
Omnipoint Corp. 2,800 21
* ONIX Systems, Inc. 3,900 34
* Orbital Sciences Corp. 900 25
* Orthodontic Centers of America,
Inc. 4,300 72
* Outdoor Systems, Inc. 4,275 83
* Pixar, Inc. 1,800 70
* Premier Parks, Inc. 2,500 44
Prologis Trust 2,800 63
Providian Financial Corp. 1,400 119
* Qwest Communications
International, Inc. 1,898 59
* Rational Software Corp. 5,200 87
* Rental Service Corp. 1,500 27
Ross Stores, Inc. 1,500 43
* Safeway, Inc. 2,300 107
* SFX Entertainment, Inc., Class A 1,000 31
Stewart Enterprises, Inc., Class A 4,100 69
* Tele-Communications TCI Ventures
Group, Class A 7,618 137
* Tellabs, Inc. 1,000 40
* Trans World Entertainment Corp. 3,750 68
* United Rentals, Inc. 4,600 110
* United Video Satellite Group,
Inc. 5,000 74
* Western Wireless Corp., Class A 4,500 80
* Yahoo! Inc. 500 65
- -------------------------------------------------------
GROUP TOTAL 5,985
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
RETAIL (2.6%)
* Consolidated Stores Corp. 68,000 $ 1,334
CVS Corp. 50,800 2,226
Dayton-Hudson Corp. 35,900 1,283
J.C. Penney Co., Inc. 650 29
* Jones Apparel Group, Inc. 19,600 450
* Office Depot, Inc. 57,100 1,281
Ross Stores, Inc. 47,600 1,363
Wal-Mart Stores, Inc. 45,300 2,475
- -------------------------------------------------------
GROUP TOTAL 10,441
- -------------------------------------------------------
TECHNOLOGY (7.4%)
* BMC Software, Inc. 55,400 3,327
* Cisco Systems, Inc. 49,125 3,037
Compaq Computer Corp. 69,900 2,211
* General Instrument Corp. 56,300 1,217
Intel Corp. 30,900 2,650
International Business Machines
Corp. 11,800 1,510
* Micron Technology, Inc. 33,600 1,023
* Microsoft Corp. 85,000 9,355
* Network Associates, Inc. 43,650 1,549
Northern Telecom Ltd. 37,600 1,203
* SCI Systems, Inc. 27,200 733
* Tellabs, Inc. 22,200 884
Texas Instruments, Inc. 1,000 53
Xerox Corp. 17,200 1,458
* Yahoo! Inc. 100 13
- -------------------------------------------------------
GROUP TOTAL 30,223
- -------------------------------------------------------
UTILITIES (4.7%)
* Airtouch Communications, Inc. 31,200 1,778
Ameritech Corp. 38,200 1,810
AT&T Corp. 1,200 70
Bell Atlantic Corp. 1,300 63
Carolina Power & Light Co. 29,300 1,353
Columbia Energy Group 17,200 1,008
Energy East Corp. 16,100 821
* MCI WorldCom, Inc. 122,694 5,997
NIPSCO Industries, Inc. 2,200 72
Pinnacle West Capital Corp. 1,500 67
SBC Communications, Inc. 52,600 2,337
Southern Co. 46,800 1,378
Sprint Corp. 32,150 2,315
Texas Utilities Co. 1,350 63
U.S. West, Inc. 1,400 74
- -------------------------------------------------------
GROUP TOTAL 19,206
- -------------------------------------------------------
VALUE (3.0%)
Aeroquip-Vickers, Inc. 7,000 201
Air Products & Chemicals, Inc. 1,000 30
American General Corp. 4,000 256
* AMR Corp. 1,400 78
* Arrow Electronics, Inc. 3,000 39
Avnet, Inc. 1,200 44
Banc One Corp. 4,300 183
Beckman Coulter, Inc. 2,000 103
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
Bell Atlantic Corp. 3,200 $ 155
Cabot Oil & Gas Corp., Class A 4,900 122
Case Corp. 13,200 287
Chase Manhattan Corp. 4,202 182
Chubb Corp. 900 57
CIGNA Corp. 3,500 231
Citicorp 800 74
Columbia/HCA Healthcare Corp. 2,100 42
Crestar Financial Corp. 41 2
CSX Corp. 1,400 59
Cummins Engine Co., Inc. 8,700 259
Delta Air Lines, Inc. 1,500 146
Dillard's, Inc., Class A 3,900 110
Duke Energy Corp. 1,388 92
Eaton Corp. 1,000 63
Entergy Corp. 4,500 138
First Union Corp. 6,298 322
* FMC Corp. 2,100 108
Ford Motor Co. 7,800 366
* Foundation Health Systems, Inc.,
Class A 6,060 57
General Motors Corp. 4,696 257
Goodyear Tire & Rubber Co. 4,500 231
GPU, Inc. 5,500 234
Harnischfeger Industries, Inc. 3,600 41
Hartford Financial Services Group,
Inc. 3,600 171
IBP, Inc. 5,400 109
IMC Global, Inc. 3,000 58
Inland Steel Industries, Inc. 3,300 72
International Business Machines
Corp. 2,200 282
Kennametal, Inc. 1,966 53
Liz Claiborne, Inc. 4,400 115
Lubrizol Corp. (The) 2,300 61
Mallinckrodt, Inc. 3,600 73
* Nabors Industries, Inc. 3,700 56
NationsBank Corp. 57,100 3,055
* Octel Corp. 650 9
Old Republic International Corp. 5,875 132
Olsten Corp. 7,500 43
Owens Corning 3,700 120
Parker Hannifin Corp. 3,500 104
Philip Morris Cos., Inc. 9,000 415
Phillips Petroleum Co. 2,900 131
PNC Bank Corp. 2,900 130
ReliaStar Financial Corp. 3,579 140
Republic New York Corp. 2,900 114
RJR Nabisco Holdings Corp. 6,700 169
Rohm & Haas Co. 7,500 209
Sears, Roebuck & Co. 4,200 186
Springs Industries, Inc., Class A 2,500 87
Standard Register Co. 4,000 109
Tecumseh Products Co., Class A 5,500 270
Tektronix, Inc. 4,750 74
* Tenet Healthcare Corp. 3,700 106
* Toys 'R' Us, Inc. 5,300 86
Transatlantic Holdings, Inc. 1,900 157
TRW, Inc. 2,500 111
Tupperware Corp. 2,700 32
Ultramar Diamond Shamrock Corp. 4,200 95
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
United HealthCare Corp. 4,600 $ 161
Universal Corp. 400 14
* Venator Group, Inc. 8,600 75
V.F. Corp. 4,800 178
Washington Mutual, Inc. 4,800 162
* W.R. Grace & Co. 4,000 50
YPF S.A. ADR 4,500 117
- -------------------------------------------------------
GROUP TOTAL 12,460
- -------------------------------------------------------
TOTAL COMMON STOCKS (Cost $181,969) 189,480
- -------------------------------------------------------
PREFERRED STOCKS (0.9%)
- -------------------------------------------------------
++RATINGS
(STANDARD
& POOR'S)
---------
INDUSTRIALS (0.2%)
(-) Entertainment Properties,
14.253% BBB- 575 538
Tier One Properties,
11.095% A 250 244
- -------------------------------------------------------
GROUP TOTAL 782
- -------------------------------------------------------
MORTGAGE-OTHER (0.7%)
(-)+ Home Ownership Funding Corp.
13.331% Aaa 3,025 3,032
- -------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $3,464) 3,814
- -------------------------------------------------------
STRUCTURED INVESTMENTS (0.4%)-SEE NOTE A7
- -------------------------------------------------------
FACE
AMOUNT
(000)
-------
(b) Merrill Lynch &
Co., Inc. Single
Stock Linked Note,
3.00% plus dividends
on Case Corp. stock,
8/13/99 N/R $ 70 1,522
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments
equal to 1% per annum
of the outstanding
notional balance
indexed to GNMA ARM
pools N/R 9,224 128
- -------------------------------------------------------
TOTAL STRUCTURED INVESTMENTS (Cost $2,704) 1,650
- -------------------------------------------------------
</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 $150) AA- $35,500 $ --
- -------------------------------------------------------
CASH EQUIVALENTS (18.3%)
- -------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(7.8%) 31,621 31,621
- -------------------------------------------------------
COMMERCIAL PAPER (3.7%)
Ford Motor Credit Co.
5.52%, 10/9/98 5,000 4,994
General Electric Capital Corp.
5.51%, 10/6/98 5,000 4,996
Prudential Funding Corp.
5.50%, 10/15/98 5,000 4,989
- -------------------------------------------------------
GROUP TOTAL 14,979
- -------------------------------------------------------
REPURCHASE AGREEMENT (6.8%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $27,650,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$27,922 27,646 27,646
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $74,246) 74,246
- -------------------------------------------------------
TOTAL INVESTMENTS (126.8%) (Cost $509,324) 516,620
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)+
- -------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-26.8%)
Cash $ 191
Dividends Receivable 372
Interest Receivable 2,278
Receivable for Investments Sold 2,192
Receivable for Forward Commitments 34,030
Receivable for Fund Shares Sold 722
Unrealized Gain on Forward Foreign Currency
Contracts 31
Receivable for Daily Variation Margin on
Futures Contracts 8
Unrealized Gain on Swap Agreements 314
Other Assets 14
Payable for Investments Purchased (3,490)
Payable for Forward Commitments (112,158)
Payable for Fund Shares Redeemed (1,407)
Payable for Investment Advisory Fees (489)
Payable for Administrative Fees (27)
Payable for Distribution Fee-Adviser Class (5)
Payable for Deferred Trustees' Compensation
Plan-Note F (14)
Collateral on Securities Loaned, at Value (31,621)
Other Liabilities (123)
---------
(109,182)
- -------------------------------------------------------
NET ASSETS (100%) $ 407,438
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 28,412,967 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 382,339
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.46
- -------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 33,072 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 445
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.45
- -------------------------------------------------------
ADVISER CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 1,835,318 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 24,654
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.43
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 357,162
Undistributed Net Investments Income (Loss) 3,496
Undistributed Realized Net Gain (Loss) 39,430
Unrealized Appreciation (Depreciation) on:
Investment Securities 7,296
Foreign Currency Transactions 32
Futures and Swaps 22
- -------------------------------------------------------
NET ASSETS $ 407,438
- -------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
(sec.) Restricted Security-Total market value of
restricted securities owned at September 30,
1998 was $347 or 0.1% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security
(-) 144A security. Certain conditions for public
sale may exist.
+++ 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 September
30, 1998. Maturity date disclosed is the
ultimate maturity.
## Variable or floating rate security-rate
disclosed is as of September 30, 1998.
@ Value is less than $500.
ADR American Depositary Receipt
(b) Security is linked to the performance of the
common stock of Case Corp.
CMO Collateralized mortgage obligation
Inv F1 Inverse Floating Rate-Interest rate fluctuates
with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
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.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
STATEMENT OF NET ASSETS
U.S. EQUITY (36.2%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
SEPTEMBER 30, 1998 SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (36.2%)
- ----------------------------------------------------
BANKS (2.3%)
Banc One Corp. 11,900 $ 507
BankBoston Corp. 34,300 1,132
Chase Manhattan Corp. 21,230 918
Citicorp 4,100 381
NationsBank Corp. 18,100 969
- ----------------------------------------------------
GROUP TOTAL 3,907
- ----------------------------------------------------
BASIC RESOURCES (1.4%)
Air Products & Chemicals, Inc. 17,000 506
Bowater, Inc. 9,200 328
* Octel Corp. 3,725 51
Praxair, Inc. 9,800 320
Rohm & Haas Co. 20,800 578
Solutia, Inc. 10,800 244
* W.R. Grace & Co. 33,300 414
- ----------------------------------------------------
GROUP TOTAL 2,441
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.8%)
Anheuser-Busch Cos., Inc. 15,300 826
Dial Corp. 11,400 235
PepsiCo, Inc. 9,300 274
- ----------------------------------------------------
GROUP TOTAL 1,335
- ----------------------------------------------------
CONSUMER DURABLES (2.8%)
Ford Motor Co. 32,400 1,521
General Motors Corp. 21,988 1,203
Goodyear Tire & Rubber Co. 9,300 478
LucasVarity plc ADR 28,300 884
Owens Corning 21,200 690
- ----------------------------------------------------
GROUP TOTAL 4,776
- ----------------------------------------------------
CONSUMER SERVICES (2.0%)
* Clear Channel Communications,
Inc. 12,400 589
* Liberty Media Group, Class A 21,993 807
News Corp., Ltd. ADR 25,600 573
Service Corp. International 19,500 622
*@ TCI Satellite Entertainment,
Inc., Class A 100 --
* Tele-Communications, Inc.,
Class A 15,506 607
* Tele-Communications TCI
Ventures Group, Class A 10,688 192
- ----------------------------------------------------
GROUP TOTAL 3,390
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
- ----------------------------------------------------
<S> <C> <C>
CREDIT & FINANCE/
INVESTMENT COMPANIES (0.8%)
Ambac Financial Group, Inc. 19,600 $ 941
Household International, Inc. 13,200 495
- ----------------------------------------------------
GROUP TOTAL 1,436
- ----------------------------------------------------
ENERGY (1.0%)
Coastal Corp. 24,000 810
* Nabors Industries, Inc. 14,900 226
Phillips Petroleum Co. 8,000 361
Transocean Offshore, Inc. 2,300 80
USX-Marathon Group, Inc. 7,600 269
- ----------------------------------------------------
GROUP TOTAL 1,746
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.4%)
General Mills, Inc. 8,100 567
Philip Morris Cos., Inc. 28,700 1,322
RJR Nabisco Holdings Corp. 23,640 595
- ----------------------------------------------------
GROUP TOTAL 2,484
- ----------------------------------------------------
HEALTH CARE (3.3%)
Abbott Laboratories 13,000 565
American Home Products Corp. 14,100 738
Baxter International, Inc. 19,000 1,131
Bristol-Myers Squibb Co. 5,200 540
* Health Management Associates,
Inc., Class A 23,875 436
* HEALTHSOUTH Corp. 28,800 304
* Lincare Holdings, Inc. 17,400 674
Merck & Co., Inc. 3,800 492
Mylan Laboratories, Inc. 9,500 280
* Tenet Healthcare Corp. 14,800 426
- ----------------------------------------------------
GROUP TOTAL 5,586
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (3.2%)
Aeroquip-Vickers, Inc. 8,700 250
* Allied Waste Industries, Inc. 26,100 610
* AMR Corp. 4,600 255
Case Corp. 46,300 1,007
Cummins Engine Co., Inc. 24,200 720
* FMC Corp. 10,700 552
Loral Space & Communications Ltd. 21,900 323
Waste Management, Inc. 20,285 975
York International Corp. 21,500 717
- ----------------------------------------------------
GROUP TOTAL 5,409
- ----------------------------------------------------
INSURANCE (2.7%)
Allstate Corp. 10,400 433
Conseco, Inc. 30,090 920
Exel Ltd., Class A 2,400 151
Everest Reinsurance Holdings,
Inc. 17,400 649
Hartford Financial Services
Group, Inc. 11,300 536
Loews Corp. 5,000 422
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
Travelers Property Casualty
Corp., Class A 23,300 $ 744
UNUM Corp. 14,300 711
- ----------------------------------------------------
GROUP TOTAL 4,566
- ----------------------------------------------------
MID CAP GROWTH (1.2%)
BMC Software, Inc. 5,800 348
* Borders Group, Inc. 6,300 140
Cintas Corp. 4,400 221
Danaher Corp. 6,400 192
Estee Lauder Cos., Class A 3,300 169
* Globalstar Telecommunications
Ltd. 12,988 150
Health Management Associates,
Inc., Class A 12,705 232
* Lincare Holdings, Inc. 9,900 384
Linear Technology Corp. 1,300 65
* Loral Space & Communications
Ltd. 8,500 125
- ----------------------------------------------------
GROUP TOTAL 2,026
- ----------------------------------------------------
RETAIL (1.9%)
* Consolidated Stores Corp. 21,600 424
CVS Corp. 16,200 710
Dayton Hudson Corp. 11,600 415
* Jones Apparel Group, Inc. 6,300 144
* Office Depot, Inc. 18,200 408
Ross Stores, Inc. 14,500 415
Wal-Mart Stores, Inc. 14,500 792
- ----------------------------------------------------
GROUP TOTAL 3,308
- ----------------------------------------------------
TECHNOLOGY (5.5%)
* BMC Software, Inc. 17,000 1,021
* Cisco Systems, Inc. 15,525 960
Compaq Computer Corp. 22,300 705
* General Instrument Corp. 17,700 383
Intel Corp. 10,200 875
International Business Machines
Corp. 3,700 473
* Micron Technology, Inc. 10,900 332
* Microsoft Corp. 25,900 2,850
* Network Associates, Inc. 14,200 504
Northern Telecom Ltd. 12,200 390
* SCI Systems, Inc. 9,100 245
* Tellabs, Inc. 6,900 275
Xerox Corp. 5,200 441
- ----------------------------------------------------
GROUP TOTAL 9,454
- ----------------------------------------------------
UTILITIES (3.7%)
* Airtouch Communications, Inc. 10,000 570
Ameritech Corp. 12,200 578
Carolina Power & Light Co. 9,600 444
Columbia Energy Group 5,650 331
Energy East Corp. 5,200 265
* MCI WorldCom, Inc. 42,215 2,063
SBC Communications, Inc. 19,500 867
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
Southern Co. 15,300 $ 450
Sprint Corp. 11,800 850
- ----------------------------------------------------
GROUP TOTAL 6,418
- ----------------------------------------------------
VALUE (2.2%)
* Arrow Electronics, Inc. 27,900 366
Case Corp. 12,100 263
Chase Manhattan Corp. 15,400 666
* Federated Department Stores,
Inc. 22,000 800
Great Lakes Chemical Corp. 16,500 642
IMC Global, Inc. 22,200 430
Mallinckrodt, Inc. 20,500 417
* Maxicare Health Plans, Inc. 33,000 103
- ----------------------------------------------------
GROUP TOTAL 3,687
- ----------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $62,586) 61,969
- ----------------------------------------------------
U.S. FIXED INCOME (44.4%)
- ----------------------------------------------------
FIXED INCOME SECURITIES (44.4%)
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
----------- ---------- ------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (24.1%)
Federal Home Loan
Mortgage Corporation
Conventional Pools:
10.00%, 6/1/19 Agy $ 32 35
10.50%, 4/1/19 Agy 207 227
11.00%, 9/1/16 Agy 83 93
11.50%,
7/1/15-8/1/15 Agy 120 136
Gold Pools:
9.50%, 12/1/16 Agy 158 172
10.00%, 1/1/21 Agy 342 376
11.50%, 1/1/16 Agy 106 119
October TBA
6.00%, 10/15/28 Agy 19,725 19,724
6.50%, 10/15/28 Agy 500 509
7.50%, 10/15/28 Agy 4,150 4,276
November TBA
6.00%, 11/15/28 Agy 800 800
6.50%, 11/25/28 Agy 150 153
Federal National
Mortgage Association
Conventional Pools:
10.00%, 5/1/22 Agy 679 745
10.50%,
12/1/09-6/1/19 Agy 195 217
11.00%, 11/1/20 Agy 100 112
12.50%, 3/1/15 Agy 23 27
October TBA
6.00%, 10/25/28 Agy 3,200 3,185
6.50%, 10/25/28 Agy 1,700 1,728
November TBA
6.50%, 11/25/28 Agy 1,450 1,474
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
Government National Mortgage
Association: Adjustable Rate
Mortgages:
6.875%,
4/20/25-6/20/25 Tsy $ 574 $ 581
6.875%, 5/20/25 TBA Tsy 191 193
7.00%,
3/20/25-11/20/25 Tsy 1,474 1,492
Various Pools:
9.50%,
11/15/17-12/15/21 Tsy 2,092 2,291
10.00%,
5/15/16-8/15/20 Tsy 553 609
10.50%,
1/15/16-5/15/26 Tsy 1,324 1,477
11.00%,
7/15/10-12/15/17 Tsy 377 426
11.50%,
1/15/13-12/15/17 Tsy 101 114
12.00%, 11/15/12 Tsy 7 8
- ----------------------------------------------------------
GROUP TOTAL 41,299
- ----------------------------------------------------------
ASSET BACKED CORPORATES (4.3%)
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 150 151
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 175 178
97-D A3
6.20%, 5/15/03 AAA 200 203
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 373 377
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/01 AAA 90 91
(+)## Citibank Credit
Card Master Trust I
Series 98-7 A
5.60%, 5/15/02 Aaa 450 450
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC
(11)
5.62%, 3/15/13 AAA 700 699
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 93 94
(-) Federal Mortgage
Acceptance Corp.
Loan Receivables
Trust, Series 97-A A
7.35%, 4/15/19 AAA 230 243
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
First Plus Home Loan
Trust,
Series:
97-3 A2
6.48%, 9/10/08 AAA $ 100 $ 100
97-3 A3
6.57%, 10/10/10 AAA 100 100
98-3 A1
5.706%, 3/10/08 AAA 532 531
First Security Auto
Grantor Trust,
Series 97-B A
6.14%, 4/15/03 N/R 153 154
## First USA Credit
Card Master Trust,
Series 97-10 A
5.672%, 9/17/03 AAA 650 650
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 250 252
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 725 727
97-B A
5.95%, 5/15/03 AAA 108 109
IMC Home Equity Loan
Trust, Series 98-1
A2
6.31%, 12/20/12 AAA 700 703
(-) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 81 82
Nissan Auto
Receivables Grantor
Trust,
Series 97-A A
6.15%, 2/15/03 AAA 149 150
(-) Rental Car Finance
Corp., Series 97-1
A2
6.45%, 8/25/05 AA 200 206
WFS Financial Owner
Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 160 161
97-D A4
6.25%, 3/20/03 AAA 725 735
- ----------------------------------------------------------
GROUP TOTAL 7,296
- ----------------------------------------------------------
CABLE (0.0%)
Rogers Cablesystems
Ltd., Series B
10.00%, 3/15/05 BB+ 80 87
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (1.5%)
Federal Home Loan
Mortgage Corporation
Series:
## 1546-FC REMIC PAC
(11)
6.125%, 12/15/21 Agy $ 156 $ 158
1632-SA Inv Fl
REMIC
5.443%, 11/15/23 Agy 75 73
## 1710-D REMIC
6.075%, 6/15/20 Agy 260 262
## 1933-FM REMIC
6.375%, 3/15/25 Agy 20 20
## 1933-FO REMIC
6.375%, 3/15/25 Agy 34 34
## 2030-F REMIC
6.09%, 2/15/28 Agy 364 367
2054-FC REMIC
6.025%, 5/15/28 Agy 203 205
Federal National
Mortgage Association
Series:
92-89 SQ Inv Fl IO
PAC (11)
3321.956%, 6/25/22 Agy (2)-- 19
## 94-50 FD REMIC
6.138%, 3/25/24 Agy 109 109
## 97-43 FM REMIC
6.188%, 7/18/27 Agy 316 318
## 97-70 FA REMIC,
PAC (11)
6.138%, 7/18/20 Agy 70 71
## 97-76 FM
6.138%, 9/17/27 Agy 128 129
## 97-76 FN
6.088%, 9/17/27 Agy 125 126
## 98-22 FA REMIC
5.99%, 4/18/22 Agy 287 287
191 IO
8.00%, 1/1/28 Agy 397 50
291-2 IO
8.00%, 11/1/27 Agy 715 90
## Government National
Mortgage Association
Series:
97-13 F TBA
6.188%, 9/16/27 Tsy 178 180
97-13 SB IO
2.313%, 9/16/27 Tsy 1,800 190
- ----------------------------------------------------------
GROUP TOTAL 2,688
- ----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.6%)
American Housing
Trust, Series V 1G
9.125%, 4/25/21 AAA 131 139
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
(+)## BA Mortgage
Securities, Inc.,
Series 97-1 A2,
6.148%, 7/25/26 Aaa $ 394 $ 396
Mid-State Trust II,
Series 88-2 A4
9.625%,, 4/1/03 AAA 179 194
## Morserv, Inc.
Series, 96-2 1A1
6.538%, 11/25/26 AAA 265 267
- ----------------------------------------------------------
GROUP TOTAL 996
- ----------------------------------------------------------
COMMERCIAL MORTGAGES (1.2%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 115 122
(+) 95-C1 A1B
7.40%, 11/17/04 Aaa 150 155
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 115 124
95-MD4 A1
7.10%, 8/13/29 AAA 215 228
## 95-MD4 A CS2 IO
2.354%, 8/13/29 N/R 736 121
96-MD6 A1C
7.04%, 11/13/26 AAA 125 134
Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 100 112
(-) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 100 104
(-) DLJ Mortgage
Acceptance Corp.
Series 96-CF2 A1B
7.29%, 11/12/21 AAA 135 145
(+) First Union-Lehman
Brothers Commercial
Mortgage Trust,
Series 97-C1 A2
7.30%, 12/18/06 Aaa 175 190
(+)## GMAC Commercial
Mortgage Securities,
Inc., Series 97-C2 X
IO
1.273%, 4/15/27 Aaa 1,514 107
(+) GS Mortgage
Securities Corp. II,
Series 97-GL A2D
6.94%, 7/13/30 Aaa 100 108
</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>
(+)## LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.428%, 10/25/26 Aaa $ 161 $ 174
(+) Midland Realty
Acceptance Corp.,
Series 96-C2 A2
7.233%, 1/25/29 Aaa 100 107
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 105 109
- ----------------------------------------------------------
GROUP TOTAL 2,040
- ----------------------------------------------------------
ENERGY (0.1%)
(-) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 104
Mobile Energy Services
8.665%, 1/1/17 CCC 92 34
- ----------------------------------------------------------
GROUP TOTAL 138
- ----------------------------------------------------------
FINANCE (2.5%)
(-) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 100 108
Associates Corp. of
North America
6.00%, 7/15/05 AA- 220 227
BankAmerica Capital
Corp.,
Series 2
8.00%, 12/15/26 A 60 64
(-) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 200 216
(-) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB+ 225 213
(-) EOP Operating LP
6.763%, 6/15/07 BBB 240 242
Equifax, Inc.
6.90%, 7/1/28 A 100 103
Equitable Companies,
Inc.
6.50%, 4/1/08 A 140 148
(-) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 100 107
Farmers Exchange
Capital
7.05%, 7/15/28 BBB+ 290 292
(-) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 180 194
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 225 245
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
(-) Florida Windstorm
6.70%, 8/25/04 A- $ 175 $ 184
Great Western
Financial,
Series A
8.206%, 2/1/27 BBB- 25 27
(-) GS Escrow Corp.
7.125%, 8/1/05 BB+ 195 194
HMH Properties,
Series A
7.875%, 8/1/05 BB 240 243
(-) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 250 253
PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 150 160
(-) Prime Property
Funding II,
6.80%, 8/15/02 A 85 87
7.00%, 8/15/04 A 165 171
(-) Prudential
Insurance Co.
8.30%, 7/1/25 A 175 206
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 155 171
(-) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 246 261
96 WFP-D
6.95%, 9/1/13 AA- 250 264
- ----------------------------------------------------------
GROUP TOTAL 4,380
- ----------------------------------------------------------
INDUSTRIALS (2.6%)
American Standard Cos.
7.375%, 4/15/05 BB- 145 148
Becton Dickinson & Co.
7.00%, 8/1/27 A+ 45 49
CalEnergy Co., Inc.
8.48%, 9/15/28 BB+ 125 130
CBS Corp.
7.15%, 5/20/05 BB+ 190 198
Columbia/HCA
Healthcare
7.50%, 12/15/23 BBB 145 128
7.58%, 9/15/25 BBB 75 66
9.00%, 12/15/14 BBB 50 54
Continental
Cablevision
8.30%, 5/15/06 BBB 150 170
Cox Communications,
Inc.
6.80%, 8/1/28 A- 90 93
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 205 212
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
DR Structured Finance,
Series:
93-K1 A2
7.43%, 8/15/18 BB $ 180 $ 162
94-K1 A1
7.60%, 8/15/07 BB 78 79
94-K2 A2
9.35%, 8/15/19 BB 30 31
Ford Motor Co.
6.50%, 8/1/18 A+ 35 35
6.625%, 10/1/28 A 120 121
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 240 250
General Motors Corp.
6.75%, 5/1/28 A 180 184
Intermedia
Communications, Inc.
Series B
8.50%, 1/15/08 B 35 35
Lenfest
Communications,
Inc.
(-) 7.625%, 2/15/08 BB+ 175 177
8.375%, 11/1/05 BB+ 100 105
News America, Inc.
7.28%, 6/30/28 BBB- 280 285
(-) Oxymar
7.50%, 2/15/16 BBB 100 102
Paramount
Communications,
Inc.
8.25%, 8/1/22 BB+ 255 273
Philip Morris Cos.,
Inc.
7.00%, 7/15/05 A 70 75
# Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB- 100 110
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 385 363
Southland Corp.
5.00%, 12/15/03 BB+ 120 100
TCI Communications,
Inc.
7.875%, 2/15/26 BBB- 25 30
(-) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 195 198
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB- 85 88
7.57%, 2/1/24 BBB- 275 305
United Technologies
Corp.
6.70%, 8/1/28 A+ 170 181
- ----------------------------------------------------------
GROUP TOTAL 4,537
- ----------------------------------------------------------
STRIPPED MORTGAGE BACKED SECURITIES- AGENCY COLLATERAL
SERIES (0.2%)
Federal Home Loan
Mortgage
Corporation,
Series 1911 C PO
11/15/23 Agy 100 91
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage
Association, Series
96-34 C PO
3/25/23 Agy $ 225 $ 191
- ----------------------------------------------------------
GROUP TOTAL 282
- ----------------------------------------------------------
TELEPHONES (0.7%)
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 145 171
GTE Corp.
6.94%, 4/15/28 A 205 218
# Intermedia
Communications
of Florida, Inc.
0.00%, 5/15/06 B 40 33
# Intermedia
Communications,
Inc., Series B
0.00%, 7/15/07 B 45 32
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 440 462
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 205 152
TCI Communications,
Inc.
7.125%, 2/15/28 BBB- 65 71
- ----------------------------------------------------------
GROUP TOTAL 1,139
- ----------------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 260 286
(-) Jet Equipment
Trust, Series 94-A
A11
10.00%, 6/15/12 A+ 125 168
Union Pacific Corp.
6.625%, 2/1/08 BBB- 175 181
- ----------------------------------------------------------
GROUP TOTAL 635
- ----------------------------------------------------------
U.S. TREASURY SECURITIES (3.8%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation
Indexed) Tsy 3,693 3,634
3.625%, 7/15/02
(Inflation
Indexed) Tsy 739 742
3.625%, 1/15/08
(Inflation
Indexed) Tsy 1,035 1,038
+++ 6.25%, 4/30/01 Tsy 1,000 1,045
- ----------------------------------------------------------
GROUP TOTAL 6,459
- ----------------------------------------------------------
UTILITIES (0.2%)
(-) Edison Mission
Energy Funding
Corp.,
Series B
7.33%, 9/15/08 BBB 100 107
</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>
Niagara Mohawk Power,
Series:
G
7.75%, 10/1/08 BB- $ 111 $ 118
# H
0.00%, 7/1/10 BB- 161 117
- ----------------------------------------------------------
GROUP TOTAL 342
- ----------------------------------------------------------
YANKEE (2.2%)
(-) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 162 144
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 235 176
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 47
7.75%, 7/15/08 A- 220 195
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 205 171
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 135 113
(-) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A+ 325 231
(-) Hyundai
Semiconductor
America
8.25%, 5/15/04 B 110 80
(-) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 30 29
7.75%, 12/15/27 A- 140 131
Korea Development Bank
7.375%, 9/17/04 BB+ 365 287
(-) Multicanal S.A.
10.50%, 4/15/18 BB+ 95 62
National Power Corp.
7.875%, 12/15/06 BB+ 105 73
8.40%, 12/15/16 BB+ 90 55
(-) Paiton Energy
Funding
9.34%, 2/15/14 CCC 100 23
(-) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 225 146
(-) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BBB- 305 253
(-) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 315 262
# Republic of
Argentina Par,
Series L
5.75%, 3/31/23 BB 645 435
Republic of Colombia
8.70%, 2/15/16 BBB- 220 140
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 25 24
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
(-) Samsung
Electronics Co.
7.45%, 10/1/02 BB- $ 150 $ 110
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB 710 520
- ----------------------------------------------------------
GROUP TOTAL 3,707
- ----------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $75,765) 76,025
- ----------------------------------------------------------
PREFERRED STOCK (0.4%)
- ----------------------------------------------------------
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.4%)
(-)(+) Home Ownership
Funding Corp.,
13.331% (Cost $540) Aaa 600 601
- ----------------------------------------------------------
INTERNATIONAL FIXED INCOME (2.8%)
- ----------------------------------------------------------
FIXED INCOME SECURITIES (2.8%)
- ----------------------------------------------------------
FACE
AMOUNT
(000)
-------
AUSTRALIAN DOLLAR (0.0%)
Federal National
Mortgage
Association - Global
6.50%, 7/10/02 Agy AUD 85 53
- ----------------------------------------------------------
BRITISH POUND (0.4%)
United Kingdom
Treasury Bills
8.00%, 6/10/03 AAA GBP 30 57
8.50%, 7/16/07 AAA 265 561
- ----------------------------------------------------------
GROUP TOTAL 618
- ----------------------------------------------------------
CANADIAN DOLLAR (0.3%)
Government of Canada
7.50%, 3/1/01 AAA CAD 235 163
8.75%, 12/1/05 AAA 225 181
9.75%, 6/1/21 AA+ 100 104
- ----------------------------------------------------------
GROUP TOTAL 448
- ----------------------------------------------------------
DANISH KRONE (0.1%)
Kingdom of Denmark
8.00%, 5/15/03 AA+ DKK 275 50
9.00%, 11/15/00 AA+ 600 103
- ----------------------------------------------------------
GROUP TOTAL 153
- ----------------------------------------------------------
GERMAN MARK (1.1%)
Government of Germany
(+)5.75%, 8/22/00 Aaa DEM 510 318
(+)6.00%, 1/5/06 Aaa 175 118
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
(+)6.00%, 1/4/07 Aaa DEM 155 $ 106
6.25%, 1/4/24 AAA 430 313
6.50%, 7/4/27 AAA 190 143
7.125%, 1/29/03 AAA 170 116
7.50%, 9/9/04 AAA 480 343
8.375%, 5/21/01 AAA 300 201
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 175 123
Kredit fuer
Wiederaufbau
5.00%, 1/4/09 AAA 75 47
- ----------------------------------------------------------
GROUP TOTAL 1,828
- ----------------------------------------------------------
GREEK DRACHMA (0.0%)
Hellenic Republic
8.80%, 6/19/07 A GRD 14,500 52
- ----------------------------------------------------------
ITALIAN LIRA (0.3%)
Republic of Italy BTPS
9.50%, 2/1/06 AAA ITL 315,000 253
10.00%, 8/1/03 AA 410,000 313
- ----------------------------------------------------------
GROUP TOTAL 566
- ----------------------------------------------------------
JAPANESE YEN (0.5%)
European Investment
Bank
3.00%, 9/20/06 AAA JPY 4,000 34
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 30,000 248
International Bank for
Reconstruction &
Development
4.75%, 12/20/04 N/R 15,200 138
6.75%, 6/18/01 AAA 52,000 445
- ----------------------------------------------------------
GROUP TOTAL 865
- ----------------------------------------------------------
SOUTH AFRICAN RAND (0.0%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 225 30
- ----------------------------------------------------------
SWEDISH KRONA (0.1%)
Swedish Government
6.00%, 2/9/05 AAA SEK 500 69
13.00%, 6/15/01 AA+ 500 78
- ----------------------------------------------------------
GROUP TOTAL 147
- ----------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $4,558) 4,760
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
INTERNATIONAL EQUITY (11.9%)
- ----------------------------------------------------
COMMON STOCKS (11.9%)
- ----------------------------------------------------
ARGENTINA (0.4%)
Telefonica de Argentina S.A.
ADR 10,700 $ 315
YPF S.A. ADR 12,800 333
- ----------------------------------------------------
GROUP TOTAL 648
- ----------------------------------------------------
BRAZIL (0.2%)
* Telebras ADR Preferred Block 4,600 324
Telesp Celular S.A., Class B 1,592,000 66
- ----------------------------------------------------
GROUP TOTAL 390
- ----------------------------------------------------
CZECH REPUBLIC (0.1%)
* SPT Telecom a.s. 16,000 206
- ----------------------------------------------------
FRANCE (2.4%)
Credit Local de France 6,100 770
Groupe Danone S.A. 3,150 829
Lafarge S.A. 6,346 562
Lagardere S.C.A. 9,000 257
Rhone-Poulenc 13,300 558
Scor 12,110 720
Suez Lyonnaise des Eaux 2,130 363
- ----------------------------------------------------
GROUP TOTAL 4,059
- ----------------------------------------------------
GERMANY (2.0%)
Berliner Kraft-und Licht,
Class A 2,100 101
Deutsche Bank AG 7,150 380
Deutsche Lufthansa AG 32,000 650
Deutsche Telekom AG 22,150 689
Henkel KGaA 7,240 527
RWE AG 11,300 526
Springer (Axel) Verlag AG 770 461
- ----------------------------------------------------
GROUP TOTAL 3,334
- ----------------------------------------------------
GREECE (0.0%)
Hellenic Telecommunication
Organization S.A. TBA 3,882 93
- ----------------------------------------------------
HONG KONG (0.3%)
Smartone Telecommunications 183,000 500
- ----------------------------------------------------
INDIA (0.1%)
* Jardine Fleming India Fund,
Inc. 25,300 131
- ----------------------------------------------------
ISRAEL (0.1%)
* Bank Hapoalim Ltd. 39,000 95
- ----------------------------------------------------
</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>
ITALY (0.8%)
Banca di Roma 411,000 $ 735
* Banca Popolare di Verona 2,000 168
Telecom Italia S.p.A. 111,004 531
- ----------------------------------------------------
GROUP TOTAL 1,434
- ----------------------------------------------------
JAPAN (1.1%)
Bridgestone Corp. 21,000 423
Nintendo Corp., Ltd. 4,000 376
Nippon Telegraph & Telephone
Corp. 36 262
Nissan Motor Co., Ltd. 79,000 220
Promise Co., Ltd. 6,100 275
Takefuji Corp. 7,000 353
- ----------------------------------------------------
GROUP TOTAL 1,909
- ----------------------------------------------------
NETHERLANDS (0.2%)
ING Groep N.V. 3,409 154
Philips Electronics N.V. 2,900 156
- ----------------------------------------------------
GROUP TOTAL 310
- ----------------------------------------------------
NORWAY (0.1%)
Christiania Bank OG
Kreditkasse 83,100 262
- ----------------------------------------------------
SINGAPORE (0.1%)
* Creative Technology Ltd. 12,800 115
Natsteel Electronics Ltd. 54,000 118
- ----------------------------------------------------
GROUP TOTAL 233
- ----------------------------------------------------
SPAIN (0.8%)
Corporacion Bancaria de Espana
S.A. 15,600 311
Endesa S.A. 26,000 586
Telefonica S.A. 11,909 435
- ----------------------------------------------------
GROUP TOTAL 1,332
- ----------------------------------------------------
SWEDEN (0.8%)
Astra AB, Class A 25,000 427
Nordbanken Holding AB 54,100 311
Pharmacia & Upjohn, Inc. SDS 12,600 633
- ----------------------------------------------------
GROUP TOTAL 1,371
- ----------------------------------------------------
SWITZERLAND (0.4%)
CIE Financiere Richemont AG 300 385
Swissair AG (Registered) 1,405 290
- ----------------------------------------------------
GROUP TOTAL 675
- ----------------------------------------------------
UNITED KINGDOM (1.6%)
Allied Domecq plc 48,725 352
Burmah Castrol plc 12,426 177
Hanson plc 56,900 361
Imperial Tobacco Group plc 42,800 453
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)+
- ----------------------------------------------------
<S> <C> <C>
LucasVarity plc 163,000 $ 501
National Westminister Bank plc 17,576 236
Somerfield plc 45,000 320
United Assurance Group plc 35,300 353
- ----------------------------------------------------
GROUP TOTAL 2,753
- ----------------------------------------------------
UNITED STATES (0.4%)
* Global TeleSystems Group,
Inc. 17,000 574
* The India Fund, Inc. 25,100 154
- ----------------------------------------------------
GROUP TOTAL 728
- ----------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $19,296) 20,463
- ----------------------------------------------------
HIGH YIELD (6.2%)
- ----------------------------------------------------
FIXED INCOME SECURITIES (6.2%)
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.2%)
(-) Commercial
Financial Services,
Inc.,
Series 97-5 A1
7.72%, 6/15/05 A $ 138 140
(-)(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 128 127
(-) OHA Auto Grantor
Trust, Series 97-A
11.00%, 9/15/03 BB 96 94
- --------------------------------------------------------
GROUP TOTAL 361
- --------------------------------------------------------
CABLE (0.3%)
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 200 210
Rogers Cablesystems
Ltd. Series B
10.00%, 3/15/05 BB+ 100 109
Rogers Cablesystems
Ltd.
10.125%, 9/1/12 BB+ 175 189
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 50 50
- --------------------------------------------------------
GROUP TOTAL 558
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.0%)
(+) Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 20 10
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 122
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (0.2%)
CBM Funding Corp.,
Series 96-1B D
8.645%, 2/1/08 AA $ 125 $ 133
(-)(+)## DLJ Mortgage
Acceptance Corp.
Series 97-CF2 S IO
0.355%, 10/15/17 Aaa 3,965 96
Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust, Series 96-B C
1
7.929%, 11/1/18 N/R 97 75
- ----------------------------------------------------------
GROUP TOTAL 304
- ----------------------------------------------------------
COMMUNICATIONS (1.1%)
# Dolphin
Telecommunications
0.00%, 6/1/08 B- 110 52
(-) Esprit Telecom
Group plc
11.00%, 6/15/08 B- DEM 125 64
Flag Ltd.
8.25%, 1/30/08 B+ $ 70 66
(-) Global Crossing
Holdings Ltd.
9.625%, 5/15/08 N/R 50 49
Globalstar LP/Capital
11.375%, 2/15/04 B 125 85
Hermes Europe Railtel
11.50%, 8/15/07 B 30 32
# Intermedia
Communications, Inc.
Series B
0.00%, 7/15/07 B 250 180
Iridium Capital Corp.,
Series A
13.00%, 7/15/05 B- 100 86
Level 3 Communications,
Inc.
9.125%, 5/1/08 B 75 71
# Nextel
Communications, Inc.
0.00%, 9/15/07 CCC 400 254
# NEXTLINK
Communications
0.00%, 4/15/08 B 345 198
PSINet, Inc.,
Series B
10.00%, 2/15/05 B- 140 140
Qwest Communications
International Inc.,
Series B
10.875%, 4/1/07 B+ 65 75
(+)# RCN Corp.
0.00%, 10/15/07 B3 300 163
RSL Communications plc
# 0.00%, 3/15/08 B- 450 129
12.25%, 11/15/06 B- 17 18
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
(-)(+)# Viatel, Inc.
# 0.00%, 4/15/08 Caa1 $ 135 $ 65
# Wam!Net, Inc.
0.00%, 3/1/05 N/R 225 123
- ----------------------------------------------------------
GROUP TOTAL 1,850
- ----------------------------------------------------------
ENERGY (0.1%)
Snyder Oil Corp.
8.75%, 6/15/07 B+ 200 204
- ----------------------------------------------------------
FINANCE (0.5%)
# Fuji JGB Investments
LLC
Series A
9.87% 12/31/49 BB+ 525 249
(-)# SB Treasury Co.
LLC
Series A
9.40%, 12/29/49 BBB- 545 480
Western Financial Bank
8.875%, 8/1/07 BB+ 100 83
- ----------------------------------------------------------
GROUP TOTAL 812
- ----------------------------------------------------------
FOOD & BEVERAGE (0.1%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 120 117
- ----------------------------------------------------------
GAMING (0.2%)
Grand Casinos, Inc.
10.125%, 12/1/03 BB 160 170
Station Casinos, Inc.
10.125%, 3/15/06 B+ 100 99
- ----------------------------------------------------------
GROUP TOTAL 269
- ----------------------------------------------------------
HEALTH CARE (0.3%)
Columbia/HCA Healthcare
6.91%, 6/15/05 BBB 240 234
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 100 94
Tenet Healthcare Corp.
8.625%, 1/15/07 B+ 240 249
- ----------------------------------------------------------
GROUP TOTAL 577
- ----------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (0.1%)
HMH Properties,
Series A
7.875%, 8/1/05 BB 135 137
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 100 103
- ----------------------------------------------------------
GROUP TOTAL 240
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIAL (0.4%)
American Standard Cos.
7.375%, 2/1/08 BB- $ 205 $ 207
Geberit International
S.A.
10.125%, 4/15/07 N/R 130 86
Navistar Financial
Corp.,
Series B
9.00%, 6/1/02 B+ 35 36
Norcal Waste Systems,
Inc.
13.50%, 11/15/05 BB- 100 110
(-) Nortek, Inc.
8.875%, 8/1/08 B+ 120 116
Vencor Operating, Inc.
9.875%, 5/1/05 B- 165 132
- ----------------------------------------------------------
GROUP TOTAL 687
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
Outdoor Systems, Inc.
8.875%, 6/15/07 B 100 103
- ----------------------------------------------------------
METALS (0.2%)
(-) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 BB- 100 98
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B 300 180
- ----------------------------------------------------------
GROUP TOTAL 278
- ----------------------------------------------------------
PACKAGING (0.3%)
(-) CEX Holdings, Inc.
9.625%, 6/1/08 B 125 119
Chancellor Media Corp.
Series B
8.125%, 12/15/07 B 65 63
(-) 9.00%, 10/1/08 B 50 51
Norampac, Inc.
9.50%, 2/1/08 B+ 205 202
SD Warren Co.
12.00%, 12/15/04 B+ 130 142
- ----------------------------------------------------------
GROUP TOTAL 577
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
RETAIL (0.7%)
(-) CA FM Lease Trust
8.50%, 7/15/17 BBB- $ 239 $ 269
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 329 315
94-K2 A2
9.35%, 8/15/19 BB 200 207
Musicland Group, Inc.,
Series B
9.875%, 3/15/08 CCC+ 120 115
Southland Corp.
5.00%, 12/15/03 BB+ 376 312
- ----------------------------------------------------------
GROUP TOTAL 1,218
- ----------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.9%)
(-) AST Research, Inc.
7.45%, 10/1/02 BB- 280 210
(-)# CTI Holdings S.A.
0.00%, 4/15/08 B 150 64
(-) Cathay
International Ltd.
13.00%, 4/15/08 BB- 165 95
(-) Hyundai
Semiconductor America
8.625%, 5/15/07 B 100 70
Korea Electric Power
Corp.
7.75%, 4/1/13 B+ 65 42
Multicanal S.A.
10.50%, 2/1/07 BB- 150 101
(-) 10.50%, 4/15/18 BB+ 100 67
(-) NSM Steel, Inc.
12.25%, 2/1/08 CCC 75 34
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 185 134
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 BB 380 167
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 250 159
(+)# Republic of
Argentina Pre 4
BOCON, PIK
0.00%, 9/1/02 B3 85 92
(-) Satelites Mexicanos
S.A.
10.125%, 11/1/04 B- 210 142
(-) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 50 34
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 260 186
- ----------------------------------------------------------
GROUP TOTAL 1,597
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
TECHNOLOGY (0.1%)
(-) American Cellular
Corp.
10.50%, 5/15/08 CCC+ $ 100 $ 97
AMSC Acquisition Co.,
Inc.,
Series B
12.25%, 4/1/08 N/R 215 125
- ----------------------------------------------------------
GROUP TOTAL 222
- ----------------------------------------------------------
TRANSPORTATION (0.2%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 144 144
(-) Jet Equipment
Trust,
Series 94-C1
11.79%, 6/15/13 BBB- 150 208
- ----------------------------------------------------------
GROUP TOTAL 352
- ----------------------------------------------------------
UTILITIES (0.2%)
AES Corp.
8.50%, 11/1/07 B+ 185 174
(-) American
Communication Lines
LLC
10.25%, 6/30/08 B 70 69
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB- 35 37
- ----------------------------------------------------------
GROUP TOTAL 280
- ----------------------------------------------------------
TOTAL HIGH YIELD (Cost $11,868) 10,616
- ----------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.0%)
- ----------------------------------------------------------
SHARES
------
MEDIA & ENTERTAINMENT (0.0%)
* Paxson Communications
Corp., PIK
9.75% (Cost $30) N/R 300 30
- ----------------------------------------------------------
PREFERRED STOCKS (0.2%)
- ----------------------------------------------------------
COMMUNICATIONS (0.1%)
* IXC Communications,
Inc.,
Series B PIK
7.25% CCC+ 80 85
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
Sinclair Capital
11.625% B 1,300 137
- ----------------------------------------------------------
UTILITIES (0.0%)
* Paxson Communications
Corp.,
13.25% N/R 700 67
- ----------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $279) 289
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
WARRANTS (0.0%)
- --------------------------------------------------------
COMMUNICATIONS (0.0%)
*(-) Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 125 $ 4
*(-) Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 70 10
*(-) Wam!Net, Inc.,
expiring 3/1/05 N/R 675 3
- --------------------------------------------------------
GROUP TOTAL 17
- --------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*@ Paxson
Communications Corp.,
expiring 6/30/03 N/R 96 --
- --------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.0%)
*(-)@ NSM Steel, Inc.,
expiring 2/1/08 N/R 47,482 --
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 740 31
- --------------------------------------------------------
GROUP TOTAL 31
- --------------------------------------------------------
TECHNOLOGY (0.0%)
*(-) American Mobile
Satellite Corp.,
expiring 4/1/08 N/R 2,150 1
* Concentric Network
Corp., expiring
12/15/07 N/R 1,000 9
- --------------------------------------------------------
GROUP TOTAL 10
- --------------------------------------------------------
TOTAL WARRANTS (Cost $14) 58
- --------------------------------------------------------
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
6.43% multiplied by
the notional amount
(Premium Paid $32) AA- $ 7,600 --
- --------------------------------------------------------
CASH EQUIVALENTS (16.1%)
- --------------------------------------------------------
REPURCHASE AGREEMENT (16.1%)
Chase Securities, Inc. 5.40%,
dated 9/30/98, due 10/1/98, to
be repurchased at $27,577,
collateralized by various U.S.
Government Obligations, due
10/1/98-8/31/00, valued at
$27,848 (Cost $27,572) 27,572 27,572
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 125
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)+
- --------------------------------------------------------
<S> <C> <C> <C>
FOREIGN CURRENCY (1.0%)
- --------------------------------------------------------
Australian Dollar AUD 3 $ 2
Austrian Schilling ATS 125 11
Belgian Franc BEF 24 1
British Pound GBP 64 108
Canadian Dollar CAD 21 14
Danish Krone DKK 22 3
@ French Franc FRF 1 --
German Mark DEM 948 568
Greek Drachma GRD 1,705 6
Hong Kong Dollar HKD 12 2
Italian Lira ITL 974,051 590
Japanese Yen JPY 61,980 454
Netherlands Guilder NLG 29 15
@ Phillipines Peso PHP 15 --
Singapore Dollar SGD 4 2
South African Rand ZAR 15 2
Spanish Peseta ESP 1,306 9
Swedish Krona SEK 156 20
Swiss Franc CHF 4 3
- --------------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $1,790) 1,810
- --------------------------------------------------------
TOTAL INVESTMENTS (119.2%) (Cost $204,330) 204,193
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-19.2%)
Cash 276
Dividends Receivable 167
Interest Receivable 1,014
Receivable for Withholding Tax Reclaim 17
Unrealized Gain on Forward Foreign Currency
Contracts 23
Receivable for Investments Sold 878
Receivable for Forward Commitments 6,066
Receivable for Fund Shares Sold 6
Unrealized Gain on Swap Agreements 91
Other Assets 6
Payable for Investments Purchased (2,057)
Payable for Forward Commitments (37,596)
Payable for Fund Shares Redeemed (1,150)
Payable for Administrative Fees (11)
Payable for Investment Advisory Fees (276)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Unrealized Loss on Futures Contracts (266)
Payable for Closed Forward Foreign Currency
Contracts (27)
Other Liabilities (75)
---------
(32,921)
- --------------------------------------------------------
NET ASSETS (100%) $ 171,272
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- --------------------------------------------------------
- --------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 14,054,249 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 165,039
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.74
- --------------------------------------------------------
INVESTMENT CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 530,939 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 6,233
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.74
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 157,124
Undistributed Net Investment Income (Loss) 873
Undistributed Realized Net Gain (Loss) 13,563
Unrealized Appreciation (Depreciation) on:
Investment Securities (157)
Foreign Currency 28
Futures and Swaps (159)
- --------------------------------------------------------
NET ASSETS $ 171,272
- --------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security.
(-) 144A security. Certain conditions for public
sale may exist.
+++ 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.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September
30, 1998. Maturity date disclosed is the
ultimate maturity.
## Variable or floating rate security-rate
disclosed is as of September 30, 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
Fl with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at September 30, 1998.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PAC Planned Amortization Class
PCL Public Company Limited
PIK Payment-in-Kind Security
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
SDS Swedish Depositary Shares
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.
- --------------------------------------------------------------------------------
123
<PAGE> 126
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL INTER-
CAP NATIONAL MID CAP
VALUE EQUITY VALUE EQUITY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended September 30, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (+)
Dividends $ 64,214 $ 15,164 $ 9,819 $ 10,999 $ 875
Interest 21,927 2,700 3,727 1,022 1,585
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 86,141 17,864 13,546 12,021 2,460
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 18,304 5,809 6,499 2,821 2,551
Administrative Fee--Note C 2,930 931 694 451 408
Custodian Fee--Note E 185 186 102 440 119
Audit Fee 41 26 20 55 17
Legal Fee 60 16 13 7 5
Shareholder Servicing Fee--Investment Class
shares--Note D 42 3 -- 1 --
Distribution Fees--Adviser Class shares--Note D 908 -- -- -- 67
Brazilian Tax Expense -- -- -- 80 --
Other Expenses 332 110 122 66 86
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 22,802 7,081 7,450 3,921 3,253
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (185) (186) (19) (215) (119)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 22,617 6,895 7,431 3,706 3,134
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 63,524 10,969 6,115 8,315 (674)
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 444,168 245,032 117,795 41,046 102,056
Foreign Currency Transactions -- -- -- (568) --
Futures 9,072 -- -- (855) --
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 453,240 245,032 117,795 39,623 102,056
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities(++) (1,045,028) (254,737) (285,570) (86,002) (104,691)
Foreign Currency Transactions -- -- -- (23) --
Futures (330) -- -- (985) --
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (1,045,358) (254,737) (285,570) (87,010) (104,691)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (592,118) (9,705) (167,775) (47,387) (2,635)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (528,594) $ 1,264 $(161,660) $(39,072) $ (3,309)
=================================================================================================================================
</TABLE>
(+) Net of $1,255 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.
- --------------------------------------------------------------------------------
124
<PAGE> 127
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING SMALL DOMESTIC
MID CAP MARKETS CAP FIXED FIXED
VALUE VALUE GROWTH INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
June 30,
Year Ended Year Ended 1998* to Year Ended Year Ended
September 30, September 30, September 30, September 30, September 30,
(In Thousands) 1998 1998 1998 1998 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (+)
Dividends $ 3,052 $ 281 $ -- $ 1,267 $ 44
Interest 1,557 99 5 288,213 5,549
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 4,609 380 5 289,480 5,593
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,700 $111 $8 15,592 $307
Less: Waived Fees -- (92) 19 (8) -- -- (7) 300
Administrative Fee--Note C 288 12 1 3,327 66
Custodian Fee--Note E 70 95 4 327 14
Audit Fee 21 41 9 51 15
Legal Fee 33 -- -- 62 1
Filing & Registration Fees 105 1 15 407 13
Shareholder Servicing
Fee--Investment Class
shares--Note D 22 -- -- 43 --
Distribution Fees--Adviser Class
shares--Note D 3 -- -- 264 --
Country Tax Expense -- 5 -- -- --
Other Expenses 36 6 1 271 8
Reimbursement of Expenses--Note B -- -- (21) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 3,278 179 9 20,344 417
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (70) -- -- (327) (7)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,208 179 9 20,017 410
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,401 201 (4) 269,463 5,183
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 27,755 (3,159) (176) 96,498 2,198
Foreign Currency Transactions -- (35) -- 2,921 --
Futures and Swaps (438) (177) -- (3,309) (51)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 27,317 (3,371) (176) 96,110 2,147
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities (++) (79,622) (5,471) (319) (56,019) 236
Foreign Currency Transactions -- (8) -- 1,249 --
Futures and Swaps -- (18) -- 1,351 30
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) (79,622) (5,497) (319) (53,419) 266
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (52,305) (8,868) (495) 42,691 2,413
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $(50,904) $(8,667) $(499) $312,154 $7,596
=================================================================================================================================
</TABLE>
* Commencement of Operations
(+) Net of $18 withholding tax for the Emerging Markets Value Portfolio.
(++) Net of foreign capital gains tax of $42 on unrealized gains for the
Emerging Markets Value Portfolio.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 128
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-
HIGH CASH FIXED BACKED LIMITED
YIELD RESERVES INCOME SECURITIES DURATION
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Year Ended September 30, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 1,459 $ -- $ 153 $ 68 $ 48
Interest 56,657 7,219 21,457 2,808 13,537
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 58,116 7,219 21,610 2,876 13,585
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,363 $320 1,213 $145 647
Less: Waived Fees -- (68) 252 -- (27) 118 --
Administrative Fee--Note C 504 102 259 31 173
Custodian Fee--Note E 72 11 44 12 16
Audit Fee 23 11 18 17 16
Legal Fee 8 2 4 -- 3
Shareholder Servicing Fee--Investment Class
shares--Note D 18 -- -- -- --
Distribution Fees--Adviser Class
shares--Note D 26 -- -- -- --
Other Expenses 154 37 89 16 53
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 3,168 415 1,627 194 908
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (72) (6) (44) (1) (14)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,096 409 1,583 193 894
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 55,020 6,810 20,027 2,683 12,691
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 21,381 -- 7,972 1,242 466
Foreign Currency Transactions (491) -- 194 -- --
Futures and Swaps (2,630) -- (166) (441) (280)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 18,260 -- 8,000 801 186
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (84,504) -- 487 (943) 1,952
Foreign Currency Transactions (1,319) -- 95 -- --
Futures and Swaps (1,018) -- 1,111 (341) (1,912)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (86,841) -- 1,693 (1,284) 40
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (68,581) -- 9,693 (483) 226
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $(13,561) $6,810 $29,720 $ 2,200 $12,917
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 129
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED PA FIXED FIXED
INCOME MUNICIPAL MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------
Year Ended September 30, 1998
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (+)
Dividends $ 1,154 $ -- $ -- $ 62 $ --
Interest 38,594 4,280 1,429 3,927 7,506
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 39,748 4,280 1,429 3,989 7,506
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,045 $ 316 $ 103 264 551
Less: Waived Fees -- (34) 282 (27) 76 -- --
Administrative Fee--Note C 436 67 22 57 118
Custodian Fee--Note E 50 17 2 23 45
Audit Fee 28 20 20 32 26
Legal Fee 9 7 2 1 2
Shareholder Servicing Fee--Investment Class
Shares--Note D 1 -- -- -- --
Other Expenses 67 41 16 19 29
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,636 434 138 396 771
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (36) (13) (1) (1) (2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,600 421 137 395 769
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 37,148 3,859 1,292 3,594 6,737
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 15,485 4,771 1,294 75 (36)
Foreign Currency Transactions 461 -- -- (1,445) (3,063)
Futures and Swaps (1,940) (577) (67) 263 1,824
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 14,006 4,194 1,227 (1,107) (1,275)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (12,359) (696) (187) 2,603 7,724
Foreign Currency Transactions 183 -- -- 1,011 1,427
Futures and Swaps (435) (1,733) (567) (7) 96
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (12,611) (2,429) (754) 3,607 9,247
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 1,395 1,765 473 2,500 7,972
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $38,543 $ 5,624 $1,765 $ 6,094 $14,709
=================================================================================================================================
</TABLE>
(+) Net of $12 and $35 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MULTI-MARKET MULTI-
DURATION FIXED INCOME BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
October 1,
Year Ended 1997* to Year Ended Year Ended
September 30, September 30, September 30, September 30,
(In Thousands) 1998 1998 1998 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (+)
Dividends $ 17 $ 43 $ 3,154 $ 1,719
Interest 6,843 4,378 12,413 5,239
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 6,860 4,421 15,567 6,958
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 405 $283 1,781 $1,203
Less: Waived Fees -- (28) 255 -- (78) 1,125
Administrative Fee--Note C 86 50 317 148
Custodian Fee--Note E 17 11 66 79
Audit Fee 15 18 38 47
Legal Fee 2 1 42 2
Filing & Registration Fees 22 27 45 21
Shareholder Servicing Fee--Investment Class
shares--Note D -- -- 3 9
Distribution Fees--Adviser Class shares--Note -- -- 69 --
Brazilian Tax Expense -- -- -- 2
Other Expenses 18 5 41 23
Reimbursement of Expenses--Note B -- (2) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 565 365 2,402 1,456
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (17) (2) (66) (2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 548 363 2,336 1,454
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 6,312 4,058 13,231 5,504
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 1,795 (1,251) 42,399 15,224
Foreign Currency Transactions 82 481 105 173
Futures (110) (214) (504) (724)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 1,767 (984) 42,000 14,673
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 697 (1,192) (47,003) (20,403)
Foreign Currency Transactions 7 (155) 51 (96)
Futures and Swaps 197 34 168 (167)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 901 (1,313) (46,784) (20,666)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 2,668 (2,297) (4,784) (5,993)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $8,980 $ 1,761 $ 8,447 $ (489)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
(+) Net of $15 and $60 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.
- --------------------------------------------------------------------------------
128
<PAGE> 131
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
--------------------- --------------------- -------------------
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 53,714 $ 63,524 $ 18,000 $ 10,969 $ 4,831 $ 6,115
Realized Net Gain (Loss) 375,983 453,240 379,936 245,032 113,081 117,795
Change in Unrealized Appreciation
(Depreciation) 516,078 (1,045,358) 58,032 (254,737) 175,057 (285,570)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting
from Operations 945,775 (528,594) 455,968 1,264 292,969 (161,660)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (43,078) (62,553) (21,326) (12,881) (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) (484) (19) (20) -- --
Realized Net Gain (851) (2,354) (298) (597) -- --
ADVISER CLASS (+):
Net Investment Income (894) (5,679) -- (1) -- --
Realized Net Gain (1,156) (27,923) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (181,769) (405,475) (256,608) (369,952) (95,822) (123,254)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 1,576,439 752,802 122,058 125,772 125,463 114,435
In Lieu of Cash Distributions 156,287 313,748 250,540 360,707 94,545 121,720
Redeemed (769,989) (1,493,928) (701,366) (558,392) (105,216) (131,908)
INVESTMENT CLASS:
Issued 21,268 12,467 2,983 242 -- --
In Lieu of Cash Distributions 1,086 1,920 316 615 -- --
Redeemed (6,754) (11,550) (1,364) (510) -- --
ADVISER CLASS (+):
Issued 172,033 292,374 -- 460 -- --
In Lieu of Cash Distributions 1,868 29,311 -- 1 -- --
Redeemed (11,849) (98,912) -- (44) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 1,140,389 (201,768) (326,833) (71,149) 114,792 104,247
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,904,395 (1,135,837) (127,473) (439,837) 311,939 (180,667)
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 $2,638,035 $1,314,901 $ 875,064 $ 897,396 $ 716,729
=================================================================================================================================
Undistributed net investment income
(loss) included in end of period
net assets $ 18,442 $ 13,250 $ 4,070 $ 2,137 $ 2,064 $ 2,975
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 90,227 40,398 4,762 5,161 6,240 5,384
In Lieu of Cash Distributions 9,563 17,599 10,687 17,555 5,253 6,169
Shares Redeemed (44,093) (80,941) (27,052) (24,600) (5,376) (6,231)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 55,697 (22,944) (11,603) (1,884) 6,117 5,322
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 1,187 659 113 11 -- --
In Lieu of Cash Distributions 66 107 14 30 -- --
Shares Redeemed (380) (613) (51) (22) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 873 153 76 19 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS (+):
Shares Issued 9,462 15,459 -- 20 -- --
In Lieu of Cash Distributions 112 1,645 -- -- -- --
Shares Redeemed (676) (5,498) -- (2) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares Outstanding 8,898 11,606 -- 18 -- --
=================================================================================================================================
</TABLE>
(+) The Equity Portfolio began offering Adviser Class shares on January 16,
1998.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 132
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
NATIONAL MID CAP MID CAP
EQUITY GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
------------------- ------------------- ------------------
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 11,704 $ 8,315 $ (284) $ (674) $ 344 $ 1,401
Realized Net Gain (Loss) 43,465 39,623 66,879 102,056 24,403 27,317
Change in Unrealized Appreciation
(Depreciation) 79,914 (87,010) 29,836 (104,691) 38,391 (79,622)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 135,083 (39,072) 96,431 (3,309) 63,138 (50,904)
- ---------------------------------------------------------------------------------------------------------------------------------
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 (+):
Net Investment Income -- -- -- -- -- --
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 96,568 100,648 72,700 273,476 137,940 307,936
Issued due to Reorganization--Note M -- -- -- -- -- 43,226
In Lieu of Cash Distributions 21,690 52,265 65,823 64,517 4,424 23,811
Redeemed (213,704) (261,421) (123,453) (291,506) (30,955) (102,105)
INVESTMENT CLASS:
Issued 325 88 -- -- 854 24,500
In Lieu of Cash Distributions 9 54 -- -- 10 918
Redeemed (6) (110) -- -- -- (5,250)
ADVISER CLASS (+):
Issued -- -- 1,813 73,812 -- 269
Issued due to Reorganization--Note M -- -- -- -- -- 7,086
In Lieu of Cash Distributions -- -- -- 310 -- --
Redeemed -- -- (800) (17,226) -- (1,235)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (95,118) (108,476) 16,083 103,383 112,273 299,156
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 14,445 (203,842) 44,882 32,850 170,922 222,837
NET ASSETS:
Beginning of Period 635,941 650,386 403,281 448,163 50,576 221,498
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 650,386 $ 446,544 $ 448,163 $ 481,013 $221,498 $ 444,335
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 9,914 $ 5,910 $ -- $ -- $ 310 $ 1,259
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 6,875 7,041 4,220 12,802 8,139 14,975
Shares Issued due to
Reorganization--Note M -- -- -- -- -- 1,981
In Lieu of Cash Distributions 1,662 3,872 3,909 3,693 290 1,280
Shares Redeemed (15,096) (17,928) (7,311) (13,871) (1,808) (5,123)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (6,559) (7,015) 818 2,624 6,621 13,113
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 22 6 -- -- 47 1,195
In Lieu of Cash Distributions 1 4 -- -- 1 49
Shares Redeemed -- (7) -- -- -- (256)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding 23 3 -- -- 48 988
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS (+):
Shares Issued -- -- 98 3,486 -- 14
Shares Issued due to
Reorganization--Note M -- -- -- -- -- 325
In Lieu of Cash Distributions -- -- -- 18 -- --
Shares Redeemed -- -- (43) (806) -- (68)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- -- 55 2,698 -- 271
=================================================================================================================================
</TABLE>
(+) The Mid Cap Growth and the Mid Cap Value Portfolios began offering Adviser
Class shares on January 31, 1997 and July 17, 1998, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130
<PAGE> 133
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING SMALL CAP FIXED
MARKETS VALUE GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Year Ended June 30, Year Ended
September 30, 1998* to September 30,
----------------- September 30, ---------------------
(In Thousands) 1997 1998 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 390 $ 201 $ (4) $ 169,154 $ 269,463
Realized Net Gain (Loss) 2,998 (3,371) (176) 62,863 96,110
Change in Unrealized Appreciation (Depreciation) 2,027 (5,497) (319) 38,362 (53,419)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 5,415 (8,667) (499) 270,379 312,154
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (572) (109) -- (149,960) (236,264)
Realized Net Gain (2,288) (2,059) -- (20,590) (49,292)
INVESTMENT CLASS (+):
Net Investment Income -- -- -- (341) (1,481)
Realized Net Gain -- -- -- (47) (297)
ADVISER CLASS (++):
Net Investment Income -- -- -- (1,187) (5,636)
Realized Net Gain -- -- -- (61) (1,121)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,860) (2,168) -- (172,186) (294,091)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 5,587 3,142 3,618 1,506,277 1,950,102
In Lieu of Cash Distributions 2,586 2,122 -- 141,335 247,290
Redeemed (20,904) (7,528) (115) (314,144) (809,245)
INVESTMENT CLASS (+):
Issued -- -- -- 10,498 50,811
In Lieu of Cash Distributions -- -- -- 305 1,337
Redeemed -- -- -- (1,587) (13,110)
ADVISER CLASS (++):
Issued -- -- -- 82,302 76,130
In Lieu of Cash Distributions -- -- -- 587 4,436
Redeemed -- -- -- (7,715) (26,749)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (12,731) (2,264) 3,503 1,417,858 1,481,002
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (10,176) (13,099) 3,004 1,516,051 1,499,065
NET ASSETS:
Beginning of Period 32,984 22,808 -- 1,790,146 3,306,197
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 22,808 $ 9,709 $3,004 $3,306,197 $4,805,262
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 91 $ 51 $ -- $ 57,872 $ 70,218
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 488 365 363 126,596 161,426
In Lieu of Cash Distributions 249 231 -- 12,016 20,656
Shares Redeemed (1,762) (861) (12) (26,436) (66,995)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional Class
Shares Outstanding (1,025) (265) 351 112,176 115,087
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS (+):
Shares Issued -- -- -- 886 4,202
In Lieu of Cash Distributions -- -- -- 26 112
Shares Redeemed -- -- -- (133) (1,089)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class
Shares Outstanding -- -- -- 779 3,225
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS (++):
Shares Issued -- -- -- 6,870 6,305
In Lieu of Cash Distributions -- -- -- 50 370
Shares Redeemed -- -- -- (645) (2,211)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser Class
Shares Outstanding -- -- -- 6,275 4,464
=================================================================================================================================
</TABLE>
* Commencement of Operations
(+) The Fixed Income Portfolio began offering Investment Class shares on
October 15, 1996.
(++) The Fixed Income Portfolio began offering Adviser Class shares on
November 7, 1996.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOMESTIC
FIXED HIGH CASH
INCOME YIELD RESERVES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
-------------------- ---------------------- ----------------------
(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 (Loss) $ 6,619 $ 5,183 $ 37,581 $ 55,020 $ 4,812 $ 6,810
Realized Net Gain (Loss) 1,892 2,147 15,044 18,260 -- --
Change in Unrealized Appreciation
(Depreciation) 1,312 266 24,005 (86,841) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 9,823 7,596 76,630 (13,561) 4,812 6,810
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (6,034) (6,010) (34,334) (48,720) (4,812) (6,810)
Realized Net Gain (179) (907) (1,171) (14,043) -- --
INVESTMENT CLASS:
Net Investment Income -- -- (628) (867) -- --
Realized Net Gain -- -- (20) (243) -- --
ADVISER CLASS (+):
Net Investment Income -- -- (66) (744) -- --
Realized Net Gain -- -- -- (180) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,213) (6,917) (36,219) (64,797) (4,812) (6,810)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 32,103 18,578 294,848 459,733 334,996 443,318
In Lieu of Cash Distributions 5,270 5,689 21,776 45,671 4,389 6,171
Redeemed (39,391) (45,858) (121,867) (250,421) (319,418) (379,725)
INVESTMENT CLASS:
Issued -- -- 12,531 9,943 -- --
In Lieu of Cash Distributions -- -- 451 756 -- --
Redeemed -- -- (8,118) (9,038) -- --
ADVISER CLASS (+):
Issued -- -- 5,616 20,784 -- --
In Lieu of Cash Distributions -- -- 66 805 -- --
Redeemed -- -- (1,521) (14,409) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (2,018) (21,591) 203,782 263,824 19,967 69,764
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,592 (20,912) 244,193 185,466 19,967 69,764
NET ASSETS:
Beginning of Period 95,362 96,954 294,949 539,142 78,497 98,464
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 96,954 $ 76,042 $ 539,142 $ 724,608 $ 98,464 $ 168,228
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 1,805 $ 722 $ 11,795 $ 16,074 $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 2,909 1,653 30,974 47,739 334,996 443,316
In Lieu of Cash Distributions 484 514 2,349 4,720 4,389 6,171
Shares Redeemed (3,553) (4,095) (12,813) (25,893) (319,418) (379,724)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares Outstanding (160) (1,928) 20,510 26,566 19,967 69,763
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 1,307 1,014 -- --
In Lieu of Cash Distributions -- -- 49 78 -- --
Shares Redeemed -- -- (833) (916) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- -- 523 176 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS (+):
Shares Issued -- -- 577 2,125 -- --
In Lieu of Cash Distributions -- -- 7 83 -- --
Shares Redeemed -- -- (158) (1,496) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding -- -- 426 712 -- --
=================================================================================================================================
</TABLE>
(+) The High Yield Portfolio began offering Adviser Class shares on January 31,
1997.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 135
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-
FIXED BACKED LIMITED
INCOME SECURITIES DURATION
PORTFOLIO II PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
------------------- ------------------ -------------------
(In Thousands) 1997 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 13,537 $ 20,027 $ 4,031 $ 2,683 $ 8,360 $ 12,691
Realized Net Gain (Loss) 4,333 8,000 1,189 801 372 186
Change in Unrealized Appreciation
(Depreciation) 3,019 1,693 (44) (1,284) 510 40
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 20,889 29,720 5,176 2,200 9,242 12,917
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (13,889) (17,747) (3,646) (2,821) (7,415) (10,732)
Realized Net Gain (1,963) (2,552) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (15,852) (20,299) (3,646) (2,821) (7,415) (10,732)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 74,512 253,821 1,046 3,623 59,060 123,334
In Lieu of Cash Distributions 11,590 15,405 2,618 1,749 6,560 9,953
Redeemed (56,217) (61,386) (18,034) (14,164) (35,104) (38,331)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 29,885 207,840 (14,370) (8,792) 30,516 94,956
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 34,922 217,261 (12,840) (9,413) 32,343 97,141
NET ASSETS:
Beginning of Period 191,740 226,662 50,925 38,085 123,227 155,570
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 226,662 $ 443,923 $ 38,085 $ 28,672 $ 155,570 $ 252,711
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 4,574 $ 6,124 $ 1,007 $ 735 $ 2,361 $ 3,731
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 6,638 22,215 99 342 5,709 11,856
In Lieu of Cash Distributions 1,045 1,362 252 167 637 962
Shares Redeemed (4,981) (5,375) (1,695) (1,335) (3,383) (3,673)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares Outstanding 2,702 18,202 (1,344) (826) 2,963 9,145
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
PURPOSE PA
FIXED INCOME MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
--------------------- ------------------ --------------------
(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 (Loss) $ 33,308 $ 37,148 $ 3,020 $ 3,859 $ 1,328 $ 1,292
Realized Net Gain (Loss) 14,952 14,006 15 4,194 8 1,227
Change in Unrealized Appreciation
(Depreciation) 5,261 (12,611) 2,297 (2,429) 797 (754)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 53,521 38,543 5,332 5,624 2,133 1,765
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (33,514) (36,197) (2,960) (3,613) (1,330) (1,212)
Realized Net Gain (6,885) (11,303) -- -- -- --
INVESTMENT CLASS:
Net Investment Income (68) (44) -- -- -- --
Realized Net Gain (12) (26) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (40,479) (47,570) (2,960) (3,613) (1,330) (1,212)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 90,134 164,289 20,270 50,641 7,972 4,538
In Lieu of Cash Distributions 35,130 42,398 2,235 2,974 888 615
Redeemed (93,136) (138,208) (4,293) (48,464) (10,690) (10,591)
INVESTMENT CLASS:
Issued 414 40 -- -- -- --
In Lieu of Cash Distributions 80 71 -- -- -- --
Redeemed (47) (1,339) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 32,575 67,251 18,212 5,151 (1,830) (5,438)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 45,617 58,224 20,584 7,162 (1,027) (4,885)
NET ASSETS:
Beginning of Period 448,428 494,045 54,536 75,120 28,488 27,461
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $494,045 $ 552,269 $75,120 $82,282 $ 27,461 $ 22,576
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 9,955 $ 8,848 $ 71 $ 317 $ 20 $ 123
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 7,318 13,380 1,774 4,287 698 384
In Lieu of Cash Distributions 2,902 3,481 195 253 77 52
Shares Redeemed (7,553) (11,247) (375) (4,109) (935) (894)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 2,667 5,614 1,594 431 (160) (458)
- ---------------------------------------------------------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
134
<PAGE> 137
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
GLOBAL NATIONAL INTERMEDIATE
FIXED INCOME FIXED INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
---------------- ----------------- ------------------
(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 (Loss) $ 4,355 $ 3,594 $ 7,708 $ 6,737 $ 2,639 $ 6,312
Realized Net Gain (Loss) (183) (1,107) (5,420) (1,275) 681 1,767
Change in Unrealized Appreciation
(Depreciation) (1,626) 3,607 (2,334) 9,247 680 901
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 2,546 6,094 (46) 14,709 4,000 8,980
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (4,111) (2,686) (5,327) (5,448) (1,772) (5,383)
Realized Net Gain (1,137) (1,005) (3,700) (1,362) (349) (822)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (5,248) (3,691) (9,027) (6,810) (2,121) (6,205)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 14,273 7,414 44,423 20,599 73,710 75,860
In Lieu of Cash Distributions 4,700 3,258 8,576 6,158 930 3,468
Redeemed (6,060) (18,734) (34,311) (37,095) (16,417) (37,331)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 12,913 (8,062) 18,688 (10,338) 58,223 41,997
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 10,211 (5,659) 9,615 (2,439) 60,102 44,772
NET ASSETS:
Beginning of Period 67,282 77,493 143,137 152,752 12,017 72,119
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $77,493 $ 71,834 $152,752 $150,313 $ 72,119 $116,891
=================================================================================================================================
Undistributed net investment income (loss)
included in end of period net assets $ 1,414 $ (8) $ (372) $ (3,237) $ 1,188 $ 1,816
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 1,308 709 4,363 2,087 7,235 7,276
In Lieu of Cash Distributions 439 317 817 634 91 336
Shares Redeemed (579) (1,795) (3,475) (3,724) (1,612) (3,551)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional
Class Shares Outstanding 1,168 (769) 1,705 (1,003) 5,714 4,061
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
135
<PAGE> 138
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-MARKET MULTI-ASSET-
FIXED INCOME BALANCED CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
October 1, Year Ended Year Ended
1997* to September 30, September 30,
September 30, ------------------ ------------------
(In Thousands) 1998 1997 1998 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 4,058 $ 12,032 $ 13,231 $ 4,632 $ 5,504
Realized Net Gain (Loss) (984) 45,178 42,000 18,881 14,673
Change in Unrealized Appreciation (Depreciation) (1,313) 24,679 (46,784) 11,636 (20,666)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 1,761 81,889 8,447 35,149 (489)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A11
INSTITUTIONAL CLASS:
Net Investment Income (2,487) (12,124) (12,012) (5,893) (4,749)
Realized Net Gain -- (30,896) (38,845) (11,866) (18,905)
In Excess of Realized Net Gain (53) -- -- -- --
INVESTMENT CLASS (+):
Net Investment Income -- (26) (77) (143) (138)
Realized Net Gain -- -- (454) (275) (567)
ADVISER CLASS:
Net Investment Income -- (416) (908) -- --
Realized Net Gain -- (1,236) (3,340) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,540) (44,698) (55,636) (18,177) (24,359)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 97,376 43,464 96,379 75,946 23,993
Issued due to Reorganization--Note M -- -- 4,938 -- --
In Lieu of Cash Distributions 2,521 42,958 50,795 16,451 21,649
Redeemed (2,056) (79,189) (69,316) (65,247) (29,755)
INVESTMENT CLASS (+):
Issued -- 3,910 914 1,103 1,489
In Lieu of Cash Distributions -- 26 531 418 705
Redeemed -- (460) (4,648) (45) (191)
ADVISER CLASS:
Issued -- 26,300 5,523 -- --
Issued due to Reorganization--Note M -- -- 241 -- --
In Lieu of Cash Distributions -- 1,653 4,247 -- --
Redeemed -- (2,128) (9,570) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 97,841 36,534 80,034 28,626 17,890
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 97,062 73,725 32,845 45,598 (6,958)
NET ASSETS:
Beginning of Period -- 300,868 374,593 132,632 178,230
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 97,062 $374,593 $407,438 $178,230 $171,272
=================================================================================================================================
Undistributed net investment income (loss) included
in end of period net assets $ 1,681 $ 3,747 $ 3,496 $ 1,202 $ 873
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 9,793 3,110 6,793 6,059 1,889
Shares Issued due to Reorganization--Note M -- -- 334 -- --
In Lieu of Cash Distributions 253 3,271 3,799 1,403 1,826
Shares Redeemed (204) (5,724) (4,951) (5,319) (2,355)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional Class
Shares Outstanding 9,842 657 5,975 2,143 1,360
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS (+):
Shares Issued -- 287 64 90 115
In Lieu of Cash Distributions -- 2 40 36 59
Shares Redeemed -- (31) (329) (4) (15)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class
Shares Outstanding -- 258 (225) 122 159
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued -- 1,812 383 -- --
Shares Issued due to Reorganization--Note M -- -- 16 -- --
In Lieu of Cash Distributions -- 126 319 -- --
Shares Redeemed -- (149) (672) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser Class Shares
Outstanding -- 1,789 46 -- --
=================================================================================================================================
</TABLE>
* Commencement of Operations
(+) The Balanced Portfolio began offering Investment Class shares on April 4,
1997.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 139
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------
VALUE PORTFOLIO Year Ended September 30,
----------------------------------------------------------------
1994 1995 1996 1997++ 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 20.37
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.31 0.30 0.34 0.34
Net Realized and Unrealized Gain (Loss) on
Investments 0.59 3.34 2.20 5.75 (3.38)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.89 3.65 2.50 6.09 (3.04)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.29) (0.31) (0.32) (0.30) (0.36)
Realized Net Gain (0.73) (1.08) (1.46) (1.03) (1.81)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.02) (1.39) (1.78) (1.33) (2.17)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 15.16
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.45% 32.58% 18.41% 41.25% (16.41%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $981,337 $1,271,586 $1,844,740 $3,542,772 $2,288,236
Ratio of Expenses to Average Net Assets (1) 0.61% 0.60% 0.61% 0.62% 0.60%
Ratio of Net Investment Income to Average Net
Assets 2.40% 2.43% 2.07% 1.93% 1.76%
Portfolio Turnover Rate 54% 56% 53% 46% 56%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.60% 0.60% 0.61% 0.59%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
-----------------------------------------------------------------------------
May 6, Year Ended July 17,
1996** to September 30, 1996*** to Year Ended
September ----------------- September September 30,
30, 1997++ 1998 30, -----------------
1996 1996 1997++ 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <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 0.31 0.01 0.30 0.29
Net Realized and Unrealized Gain
(Loss) on Investments 0.59 5.75 (3.38) 1.49 5.74 (3.38)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 6.06 (3.07) 1.50 6.04 (3.09)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.33) -- (0.27) (0.32)
Realized Net Gain -- (1.03) (1.81) -- (1.03) (1.81)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) (2.14) -- (1.30) (2.13)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $15.60 $ 20.36 $ 15.15 $ 15.61 $ 20.35 $ 15.13
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% (16.55%) 10.63% 40.87% (16.66%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $9,244 $29,847 $24,527 $15,493 $201,253 $325,272
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% 1.62% 1.66%* 1.63% 1.52%
Portfolio Turnover Rate 53% 46% 56% 53% 46% 56%
- ---------------------------------------------------------------------------------------------------------------------------------
(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>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
++ Per share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 140
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------------
EQUITY PORTFOLIO Year Ended September 30,
-----------------------------------------------------------------------
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 29.45
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.52 0.50 0.36 0.24
Net Realized and Unrealized Gain (Loss) on
Investments 0.41 4.55 3.26 8.22 (1.04)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.85 5.07 3.76 8.58 (0.80)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.41) (0.52) (0.50) (0.40) (0.28)
Realized Net Gain (2.21) (1.17) (2.02) (4.40) (7.93)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.62) (1.69) (2.52) (4.80) (8.21)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 20.44
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.11% 26.15% 16.48% 38.46% (2.66%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,193,017 $1,597,632 $1,442,261 $1,312,547 $872,662
Ratio of Expenses to Average Net Assets (1) 0.60% 0.61% 0.60% 0.60% 0.61%
Ratio of Net Investment Income to Average Net
Assets 2.10% 2.39% 1.95% 1.30% 0.94%
Portfolio Turnover Rate 41% 67% 67% 85% 77%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.60% 0.60% 0.59% 0.59%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
April 10, Year Ended January 16,
1996** to September 30, 1998*** to
September 30, ---------------- September 30,
1996 1997 1998 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.20 0.10
Net Realized and Unrealized Gain (Loss) on
Investments 1.24 8.17 (1.03) (0.09)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51 (0.83) 0.01
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35) (0.24) (0.09)
Realized Net Gain -- (4.40) (7.93) --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75) (8.17) (0.09)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42 $ 20.42 $ 20.42
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12% (2.78%) (0.02%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113 $ 2,354 $ 2,029 $ 373
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.80% 0.76% 0.88%*
Ratio of Net Investment Income to Average Net
Assets 1.83%* 1.12% 0.78% 0.65%*
Portfolio Turnover Rate 67% 85% 77% 77%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.74% 0.82%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138
<PAGE> 141
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
SMALL CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
Year Ended September 30, 1998
----------------------------------------------------
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 24.97
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.16 0.19 0.18 0.15 0.16
Net Realized and Unrealized Gain (Loss) on Investments 1.14 2.49 3.62 8.39 (4.33)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 2.68 3.80 8.54 (4.17)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (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 (1.18) (2.07) (2.44) (3.21) (3.43)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 17.37
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.04% 18.39% 24.00% 49.81% (18.34%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $308,156 $430,368 $585,457 $897,396 $716,729
Ratio of Expenses to Average Net Assets (1) 0.88% 0.87% 0.86% 0.86% 0.86%
Ratio of Net Investment Income to Average Net Assets 0.91% 1.20% 0.99% 0.70% 0.71%
Portfolio Turnover Rate 162% 119% 145% 107% 163%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.87% 0.86% 0.86% 0.86%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
139
<PAGE> 142
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1994 1995 1996 1997++ 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.18 $ 14.52 $ 12.51 $ 13.24 $ 15.67
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.19 0.31 0.25 0.26
Net Realized and Unrealized Gain (Loss) on
Investments 1.63 (0.75) 0.77 2.71 (1.51)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.75 (0.56) 1.08 2.96 (1.25)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (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 (0.41) (1.45) (0.35) (0.53) (1.47)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.52 $ 12.51 $ 13.24 $ 15.67 $ 12.95
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.33% (3.36%) 8.87% 23.16% (8.36%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,132,867 $1,160,986 $635,706 $649,755 $445,983
Ratio of Expenses to Average Net Assets (1) 0.64% 0.70% 0.69% 0.66% 0.68%
Ratio of Net Investment Income to Average Net Assets 0.89% 1.90% 1.88% 1.81% 1.47%
Portfolio Turnover Rate 69% 112% 78% 62% 75%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.66% 0.65% 0.63% 0.64%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
April 10, Year Year
1996** to Ended Ended
September 30, September 30, September 30,
1996 1997++ 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.24
Net Realized and Unrealized Gain (Loss) on Investments 0.12 2.69 (1.51)
- ------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.92 (1.27)
- ------------------------------------------------------------------------------------------------------------------------
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 $12.91
- ------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.61% 22.85% (8.51%)
- ------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 235 $ 631 $ 561
Ratio of Expenses to Average Net Assets (2) 0.81%* 0.89% 0.83%
Ratio of Net Investment Income to Average Net Assets 1.81%* 1.60% 1.38%
Portfolio Turnover Rate 78% 62% 75%
- ------------------------------------------------------------------------------------------------------------------------
(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% 0.79%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
- -----------------------------------------------------------------
* Annualized
++ Per share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
140
<PAGE> 143
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
MID CAP GROWTH PORTFOLIO
Institutional Class
-----------------------------------------------------
Year Ended September 30,
------------------------------------------------
1994 1995 1996 1997 1998
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 21.84
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.02 0.03 0.01 (0.01) (0.03)
Net Realized and Unrealized Gain (Loss) on Investments (0.58) 4.21 4.70 4.75 0.24
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.56) 4.24 4.71 4.74 0.21
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.01) (0.03) (0.03) -- --
Realized Net Gain (1.70) (1.90) (2.75) (3.43) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.71) (1.93) (2.78) (3.43) (3.43)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 18.62
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (3.28%) 30.56% 28.81% 28.05% 2.00%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $302,995 $373,547 $403,281 $446,963 $429,955
Ratio of Expenses to Average Net Assets (1) 0.60% 0.61% 0.60% 0.63% 0.62%
Ratio of Net Investment Income (Loss) to Average Net
Assets 0.12% 0.21% 0.04% (0.07%) (0.13%)
Portfolio Turnover Rate 55% 129% 141% 134% 172%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.60% 0.60% 0.61% 0.60%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
-------------------------------
January 31, Year
1997** to Ended
September 30, September 30,
1997 1998
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04 $ 21.81
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) (0.03)
Net Realized and Unrealized Gain (Loss) on Investments 4.79 0.20
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77 0.17
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Realized Net Gain -- (3.43)
- ----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (3.43)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81 $ 18.55
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99% 1.79%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200 $51,058
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.87%
Ratio of Net Investment Income (Loss) to Average Net
Assets (0.41%)* (0.25%)
Portfolio Turnover Rate 134% 172%
- ----------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%* 0.84%
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Adviser Class shares
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
141
<PAGE> 144
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
MID CAP VALUE PORTFOLIO
Institutional Class
-------------------------------------------------
December 30,
1994** to Year Ended September 30,
September 30, ---------------------------
1995 1996 1997++ 1998++
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.55(!) 0.11 0.05 0.08
Net Realized and Unrealized Gain (Loss) on Investments 2.90 2.52 8.37 (1.53)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42 (1.45)
- -------------------------------------------------------------------------------------------------------------------------
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 $ 18.12
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40% (6.92%)
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260 $420,555
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.90% 0.90%
Ratio of Net Investment Income to Average Net Assets 10.13%*(!) 1.61% 0.28% 0.40%
Portfolio Turnover Rate 639%(!) 377% 184% 213%
- -------------------------------------------------------------------------------------------------------------------------
(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% 0.88%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Commencement of Operations
(!) 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 Adviser Class
------------------------------------------------------
May 10, Year Ended July 17,
1996*** to September 30, 1998**** to
September 30, ---------------- September 30,
1996 1997++ 1998++ 1998++
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77 $ 14.48 $ 21.75 $ 21.82
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.05 0.01
Net Realized and Unrealized Gain (Loss) on Investments 0.67 8.36 (1.53) (3.71)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 8.37 (1.48) (3.70)
- -------------------------------------------------------------------------------------------------------------------------------
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 $ 18.05 $ 18.12
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05% (7.08%) (16.96%)
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 127 $ 1,238 $18,861 $ 4,919
Ratio of Expenses to Average Net Assets (2) 1.03%* 1.09% 1.05% 1.24%*
Ratio of Net Investment Income to Average Net Assets 0.86%* 0.04% 0.25% 0.25%*
Portfolio Turnover Rate 377% 184% 213% 213%
- -------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 1.03%* 1.07% 1.03% 1.17%*
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
*** Initial offering of Investment Class shares
**** Initial offering of Adviser Class shares
- ------------------------------------------------------------------
* Annualized
++ Per share amounts for the years ended September 30, 1997 and
September 30, 1998, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
142
<PAGE> 145
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
EMERGING MARKETS VALUE PORTFOLIO
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
February 28, Year Ended September 30,
1995** to -------------------------
September 30, 1996 1997 1998
1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.13
Net Realized and Unrealized Gain (Loss) on Investments 1.53 0.45 1.73 (5.18)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.63 0.64 1.89 (5.05)
- --------------------------------------------------------------------------------------------------------------------------
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 $ 6.17
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.30% 6.21% 18.08% (43.83%)
- --------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $42,459 $32,984 $22,808 $ 9,709
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% 1.36%
Portfolio Turnover Rate 63% 108% 64% 104%
- --------------------------------------------------------------------------------------------------------------------------
(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% 0.62%
Ratio Including Expense Offsets 1.18%* 1.18% N/A 1.18%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
143
<PAGE> 146
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
SMALL CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
--------------------
June 30,
1998** to
September 30,
1998
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
- ----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.01)
Net Realized and Unrealized Gain (Loss) on Investments (1.42)
- ----------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (1.43)
- ----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.57
- ----------------------------------------------------------------------------------------
TOTAL RETURN (14.30%)
- ----------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,004
Ratio of Expenses to Average Net Assets (1) 1.16%*
Ratio of Net Investment Income (Loss) to Average Net
Assets (0.46%)*
Portfolio Turnover Rate 67%
- ----------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 3.67%*
Ratio Including Expense Offsets 1.15%*
- ----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
144
<PAGE> 147
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO
Institutional Class
------------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1994 1995 1996 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.86 $ 10.93 $ 11.82 $ 11.83 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.77 0.80 0.78 0.80 0.78
Net Realized and Unrealized Gain (Loss) on
Investments (1.28) 0.69 0.08 0.50 0.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.51) 1.49 0.86 1.30 0.92
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.82) (0.60) (0.79) (0.78) (0.75)
Realized Net Gain (0.47) -- (0.06) (0.13) (0.17)
In Excess of Realized Net Gain (0.13) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.42) (0.60) (0.85) (0.91) (0.92)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.93 $ 11.82 $ 11.83 $ 12.22 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.43%) 14.19% 7.63% 11.47% 7.90%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,194,957 $1,487,409 $1,790,146 $3,219,987 $4,625,015
Ratio of Expenses to Average Net Assets (1) 0.49% 0.49% 0.48% 0.49% 0.48%
Ratio of Net Investment Income to Average Net
Assets 6.79% 7.28% 6.77% 6.73% 6.49%
Portfolio Turnover Rate 100% 140% 162% 179% 121%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.48% 0.48% 0.48% 0.47%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
- ---------------------------------------------------------------------------------------------------------------------------------
October 15, Year November 7, Year
1996** to Ended 1996*** to Ended
September 30, September 30, September 30, September 30,
1997++ 1998++ 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <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 0.76 0.70 0.75
Net Realized and Unrealized Gain (Loss)
on Investments 0.40 0.14 0.20 0.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 0.90 0.90 0.89
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.73) (0.59) (0.71)
Realized Net Gain (0.13) (0.17) (0.13) (0.17)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.90) (0.72) (0.88)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.22 $ 12.22 $ 12.23
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 7.72% 7.79% 7.63%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,527 $48,944 $76,683 $131,303
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%* 6.31% 6.50%* 6.22%
Portfolio Turnover Rate 179% 121% 179% 121%
- ---------------------------------------------------------------------------------------------------------------------------------
(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>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
++ Per share amounts for the years ended September 30, 1997 and
September 30, 1998, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
145
<PAGE> 148
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
DOMESTIC FIXED INCOME PORTFOLIO
Institutional Class
------------------------------------------------------------
Year Ended September 30,
---------------------------------------------------
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 11.27
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.94 0.52 0.56 0.74 0.73
Net Realized and Unrealized Gain (Loss) on
Investments (1.23) 0.87 (0.09) 0.33 0.32
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.29) 1.39 0.47 1.07 1.05
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.95) (0.23) (0.57) (0.67) (0.79)
Realized Net Gain (0.73) -- -- (0.02) (0.13)
In Excess of Realized Net Gain (0.15) -- (0.04) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.83) (0.23) (0.61) (0.69) (0.92)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.40
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (2.87%) 14.33% 4.41% 10.20% 9.83%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,521 $36,147 $95,362 $96,954 $76,042
Ratio of Expenses to Average Net Assets (1) 0.50% 0.51% 0.52% 0.51% 0.51%
Ratio of Net Investment Income to Average Net Assets 7.65% 6.80% 5.73% 6.48% 6.32%
Portfolio Turnover Rate 78% 313% 168% 217% 145%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.03% 0.09% 0.01% 0.01% 0.01%
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
146
<PAGE> 149
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
HIGH YIELD PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
------------------------------------------------
1994 1995 1996 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 10.15
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.75 0.90 0.88 0.86 0.85
Net Realized and Unrealized Gain (Loss) on Investments (0.42) 0.19 0.28 0.87 (0.93)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.33 1.09 1.16 1.73 (0.08)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.69) (0.85) (0.92) (0.87) (0.82)
Realized Net Gain (0.16) (0.08) -- (0.03) (0.26)
In Excess of Realized Net Gain -- (0.05) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.85) (0.98) (0.92) (0.90) (1.08)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 8.99
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.57% 13.58% 13.83% 19.90% (1.17%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $182,969 $220,785 $289,810 $523,899 $703,110
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.49% 0.51% 0.50%
Ratio of Net Investment Income to Average Net Assets 9.01% 10.68% 10.04% 9.05% 8.74%
Portfolio Turnover Rate 112% 96% 115% 96% 75%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.49% 0.48% 0.50% 0.48%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
May 21, Investment Class January 31, Year
1996** to Year Ended 1997*** to Ended
September September 30, September September
30, --------------- 30, 30,
1996 1997++ 1998++ 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.83 0.56 0.83
Net Realized and Unrealized Gain (Loss) on
Investments 0.16 0.88 (0.93) 0.59 (0.93)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.72 (0.10) 1.15 (0.10)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.80) (0.39) (0.80)
Realized Net Gain -- (0.03) (0.26) -- (0.26)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (1.06) (0.39) (1.06)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 10.16 $ 9.00 $ 10.15 $ 8.99
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% (1.37%) 12.63% (1.37%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $5,139 $10,916 $11,262 $ 4,327 $10,236
Ratio of Expenses to Average Net Assets (2) 0.62%* 0.70% 0.65% 0.78%* 0.75%
Ratio of Net Investment Income to Average Net Assets 11.06%* 8.84% 8.58% 8.68%* 8.55%
Portfolio Turnover Rate 115% 96% 75% 96% 75%
- ---------------------------------------------------------------------------------------------------------------------------------
(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>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
++ Per share amounts for the years ended September 30, 1997 and
September 30, 1998, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
147
<PAGE> 150
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
Institutional Class
--------------------------------------------------
Year Ended September 30,
--------------------------------------------
1994 1995 1996 1997 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- -----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.034 0.055 0.052 0.052 0.053
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.034 0.055 0.052 0.052 0.053
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.034) (0.055) (0.052) (0.052) (0.053)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.40% 5.57% 5.35% 5.32% 5.47%
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $37,933 $44,624 $78,497 $98,464 $168,228
Ratio of Expenses to Average Net Assets (1) 0.32% 0.33% 0.33% 0.33% 0.32%
Ratio of Net Investment Income to Average Net Assets 3.70% 5.45% 5.19% 5.20% 5.33%
- -----------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction of Ratio due to Expense Reimbursement/Waiver 0.14% 0.11% 0.09% 0.07% 0.05%
Ratio Including Expense Offsets N/A 0.32% 0.32% 0.32% 0.32%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO II
Institutional Class
------------------------------------------------------
Year Ended September 30,
------------------------------------------------
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.46
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.63 0.71 0.70 0.74 0.61
Net Realized and Unrealized Gain (Loss) on Investments (1.16) 0.71 (0.03) 0.39 0.40
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.53) 1.42 0.67 1.13 1.01
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.67) (0.51) (0.66) (0.79) (0.66)
Realized Net Gain (0.21) -- (0.08) (0.11) (0.12)
In Excess of Realized Net Gain (0.14) -- (0.03) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.02) (0.51) (0.77) (0.90) (0.78)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.69
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.76%) 14.13% 6.12% 10.58% 9.23%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $129,902 $176,945 $191,740 $226,662 $443,923
Ratio of Expenses to Average Net Assets (1) 0.51% 0.51% 0.50% 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 6.07% 6.75% 6.06% 6.54% 6.19%
Portfolio Turnover Rate 137% 153% 165% 182% 92%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.49% 0.49% 0.49% 0.49%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
148
<PAGE> 151
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------
MORTGAGE-BACKED SECURITIES PORTFOLIO Year Ended September 30,
-------------------------------------------------------
1994 1995 1996 1997 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.76
- -----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.72 0.68 0.91 0.81
Net Realized and Unrealized Gain (Loss) on Investments (0.83) 0.47 (0.07) 0.16 (0.24)
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.31) 1.19 0.61 1.07 0.57
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.45) (0.65) (0.68) (0.73) (0.77)
Realized Net Gain (0.21) -- -- -- --
In Excess of Realized Net Gain (0.03) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.69) (0.65) (0.68) (0.73) (0.77)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.95 $ 10.49 $ 10.42 $ 10.76 $ 10.56
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (2.95%) 12.52% 6.10% 10.70% 5.53%
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $119,518 $49,766 $50,925 $38,085 $28,672
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of Net Investment Income to Average Net Assets 5.30% 6.35% 6.46% 7.79% 6.94%
Portfolio Turnover Rate 220% 107% 116% 164% 168%
- -----------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.01% 0.01% 0.04% 0.04% 0.07%
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
LIMITED DURATION PORTFOLIO Year Ended September 30,
-----------------------------------------------------------
1994 1995 1996 1997 1998
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.49
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.56 0.58 0.62 0.59
Net Realized and Unrealized Gain (Loss) on Investments (0.52) 0.22 (0.03) 0.08 0.03
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.04 0.78 0.55 0.70 0.62
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.51) (0.55) (0.58) (0.59) (0.57)
Realized Net Gain (0.04) -- -- -- --
In Excess of Realized Net Gain (0.02) (0.01) -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.57) (0.56) (0.58) (0.59) (0.57)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.54
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.40% 7.95% 5.47% 6.98% 6.13%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $62,775 $100,186 $123,227 $155,570 $252,711
Ratio of Expenses to Average Net Assets (1) 0.41% 0.43% 0.43% 0.43% 0.42%
Ratio of Net Investment Income to Average Net Assets 4.16% 5.96% 5.65% 6.15% 5.89%
Portfolio Turnover Rate 192% 119% 174% 130% 107%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A 0.02% N/A 0.00%# N/A
Ratio Including Expense Offsets N/A 0.42% 0.42% 0.42% 0.41%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
# Amount is less than 0.01%
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
149
<PAGE> 152
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
SPECIAL PURPOSE FIXED INCOME PORTFOLIO Year Ended September 30,
-----------------------------------------------------------
1994 1995 1996 1997++ 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.58
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.80 0.91 0.83 0.85 0.84
Net Realized and Unrealized Gain (Loss) on Investments (1.28) 0.75 0.08 0.52 0.03
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.48) 1.66 0.91 1.37 0.87
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.78) (0.65) (0.88) (0.87) (0.85)
Realized Net Gain (0.53) -- (0.30) (0.18) (0.27)
In Excess of Realized Net Gain (0.09) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.40) (0.65) (1.18) (1.05) (1.12)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.33
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.00%) 14.97% 7.74% 11.78% 7.31%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $384,731 $390,258 $447,646 $492,784 $552,269
Ratio of Expenses to Average Net Assets (1) 0.50% 0.49% 0.49% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 6.66% 7.33% 6.75% 6.88% 6.89%
Portfolio Turnover Rate 100% 143% 151% 198% 105%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.48% 0.49% 0.48% 0.48%
- ---------------------------------------------------------------------------------------------------------------------------------
</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> <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%*
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial Offering of Investment Class Shares.
- -----------------------------------------------------------------
++ 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.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
150
<PAGE> 153
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
MUNICIPAL PORTFOLIO ----------------------------------------------------------
Year Ended September 30,
----------------------------------------------------------
1994 1995 1996 1997 1998
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.64
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.51 0.59 0.51 0.53 0.54
Net Realized and Unrealized Gain (Loss) on Investments (1.01) 0.71 0.49 0.40 0.28
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.50) 1.30 1.00 0.93 0.82
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.54) (0.59) (0.52) (0.52) (0.50)
In Excess of Net Investment Income (0.07) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.61) (0.59) (0.52) (0.52) (0.50)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.96
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.64%) 13.37% 9.46% 8.47% 7.20%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $38,549 $36,040 $54,536 $75,120 $82,282
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.51% 0.51% 0.52%
Ratio of Net Investment Income to Average Net Assets 4.98% 5.64% 4.66% 4.70% 4.58%
Portfolio Turnover Rate 34% 58% 78% 54% 140%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.06% 0.09% 0.09% 0.05% 0.04%
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
PA MUNICIPAL PORTFOLIO ---------------------------------------------------------
Year Ended September 30,
---------------------------------------------------------
1994 1995 1996 1997 1998
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.26 $ 10.13 $ 10.91 $ 11.37 $ 11.71
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.58 0.51 0.55 0.56
Net Realized and Unrealized Gain (Loss) on Investments (1.00) 0.77 0.46 0.34 0.22
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.44) 1.35 0.97 0.89 0.78
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.64) (0.57) (0.51) (0.55) (0.52)
In Excess of Realized Net Gain (0.05) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.69) (0.57) (0.51) (0.55) (0.52)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.13 $ 10.91 $ 11.37 $ 11.71 $ 11.97
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.08%) 13.74% 9.03% 8.01% 6.81%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $23,515 $15,734 $28,488 $27,461 $22,576
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.51% 0.51% 0.50%
Ratio of Net Investment Income to Average Net Assets 5.39% 5.56% 4.58% 4.74% 4.72%
Portfolio Turnover Rate 69% 57% 51% 64% 54%
- -------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.09% 0.19% 0.15% 0.09% 0.10%
Ratio Including Expense Offsets N/A N/A 0.50% 0.50% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
151
<PAGE> 154
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
GLOBAL FIXED INCOME PORTFOLIO -------------------------------------------------------
Year Ended September 30,
-------------------------------------------------------
1994 1995 1996 1997++ 1998
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.64
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.58 0.71 0.63 0.60 0.55
Net Realized and Unrealized Gain (Loss) on Investments (0.61) 0.81 0.09 (0.22) 0.38
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.52 0.72 0.38 0.93
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.41) (0.67) (0.71) (0.59) (0.39)
Realized Net Gain (0.03) -- (0.05) (0.16) (0.15)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.44) (0.67) (0.76) (0.75) (0.54)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 11.03
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.29%) 15.54% 6.83% 3.53% 9.18%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $43,066 $55,147 $67,282 $77,493 $71,834
Ratio of Expenses to Average Net Assets (1) 0.57% 0.58% 0.60% 0.57% 0.56%
Ratio of Net Investment Income to Average Net Assets 5.48% 6.34% 5.25% 5.65% 5.11%
Portfolio Turnover Rate 117% 118% 133% 137% 88%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A N/A N/A N/A N/A
Ratio Including Expense Offsets N/A 0.56% 0.58% 0.57% 0.56%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
!! Per Share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
INTERNATIONAL FIXED INCOME PORTFOLIO ----------------------------------------------------------------
April 29,
1994** to Year Ended September 30,
September 30 -----------------------------------------------
1994 1995 1996 1997 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 0.45
Net Realized and Unrealized Gain (Loss) on
Investments (0.11) 0.92 0.12 (0.44) 0.56
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.64 0.06 1.01
- ---------------------------------------------------------------------------------------------------------------------------------
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 $ 10.75
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13% 0.44% 10.38%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137 $152,752 $150,313
Ratio of Expenses to Average Net Assets (1) 0.60%* 0.54% 0.53% 0.53% 0.52%
Ratio of Net Investment Income to Average Net Assets 5.83%* 6.35% 5.39% 5.27% 4.59%
Portfolio Turnover Rate 31% 140% 124% 107% 75%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.52%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
152
<PAGE> 155
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------
October 3,
1994** to Year Ended September 30,
September 30, ----------------------
INTERMEDIATE DURATION PORTFOLIO 1995 1996 1997++ 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <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 0.58
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.03 0.27 0.28
- ---------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88 0.86
- ---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53) (0.56)
Realized Net Gain -- (0.38) (0.15) (0.10)
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.68) (0.66)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48 $ 10.68
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93% 8.57%
- ---------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119 $116,891
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% 5.84%
Portfolio Turnover Rate 168% 251% 204% 131%
- ---------------------------------------------------------------------------------------------------------------------
(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% 0.51%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* 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
September 30,
MULTI-MARKET FIXED INCOME PORTFOLIO 1998
- --------------------------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
- --------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56
Net Realized and Unrealized Gain (Loss) on Investments (0.29)
- --------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.27
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40)
Realized Net Gain --
In Excess of Realized Net Gain (0.01)
- --------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.41)
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.86
- --------------------------------------------------------------------------------------------
TOTAL RETURN 2.72%
- --------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $97,062
Ratio of Expenses to Average Net Assets (1) 0.58%*
Ratio of Net Investment Income to Average Net Assets 6.48%*
Portfolio Turnover Rate 163%
- --------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.05%*
Ratio Including Expense Offsets 0.58%*
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
153
<PAGE> 156
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------
Year Ended September 30,
-------------------------------------------------------
BALANCED PORTFOLIO 1994 1995 1996 1997 1998++
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 15.30
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.47 0.54 0.53 0.51 0.48
Net Realized and Unrealized Gain (Loss) on Investments (0.45) 1.78 1.15 2.91 (0.11)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.02 2.32 1.68 3.42 0.37
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.47) (0.50) (0.54) (0.49)
Realized Net Gain (0.15) (0.07) (0.43) (1.39) (1.72)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.58) (0.54) (0.93) (1.93) (2.21)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 13.46
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.19% 21.37% 13.47% 27.44% 2.85%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $309,596 $334,630 $300,868 $343,284 $382,339
Ratio of Expenses to Average Net Assets (1) 0.58% 0.58% 0.57% 0.58% 0.59%
Ratio of Net Investment Income to Average Net Assets 4.06% 4.55% 3.85% 3.56% 3.36%
Portfolio Turnover Rate 75% 95% 110% 145% 100%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.57% 0.57% 0.56% 0.57%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
----------------------------------------------------------------
April 4, Year November 1, Year
1997** to Ended 1996*** to Ended
September 30, September 30, September 30, September 30,
1997 1998++ 1997 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.46 0.42 0.44
Net Realized and Unrealized Gain (Loss) on
Investments 2.09 (0.13) 2.60 (0.12)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.39 0.33 3.02 0.32
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.46) (0.38) (0.47)
Realized Net Gain -- (1.72) (1.39) (1.72)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (2.18) (1.77) (2.19)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.30 $ 13.45 $ 15.30 $ 13.43
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 2.56% 23.82% 2.49%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,943 $ 445 $ 27,366 $ 24,654
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.74% 0.85%* 0.84%
Ratio of Net Investment Income to Average Net
Assets 3.32%* 3.24% 3.24%* 3.11%
Portfolio Turnover Rate 145% 100% 145% 100%
- ---------------------------------------------------------------------------------------------------------------------------------
(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%* 0.82%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
++ Per share amounts for the year ended September 30, 1998, are
based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
154
<PAGE> 157
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------
July 29,
1994** to Year Ended September 30,
September 30, -----------------------------------
MULTI-ASSET-CLASS PORTFOLIO 1994 1995 1996 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <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 0.38
Net Realized and Unrealized Gain (Loss) on Investments (0.10) 1.33 1.05 2.57 (0.45)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51 2.95 (0.07)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42) (0.51) (0.34)
Realized Net Gain -- -- (0.15) (1.08) (1.49)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57) (1.59) (1.83)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 11.74
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75% 26.50% (0.46%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $51,877 $96,839 $129,558 $173,155 $165,039
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% 2.98%
Portfolio Turnover Rate 20% 112% 122% 141% 107%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.04%
Ratio Including Expense Offsets N/A 0.58% 0.58% 0.74% 0.78%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
<TABLE>
<CAPTION>
Investment Class
-------------------------------------
June 10, Year Ended
1996*** to September 30,
September 30, --------------------
1996 1997++ 1998++
- ----------------------------------------------------------------------------------------------------------
<S> <C> <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 0.36
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57 (0.45)
- ----------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93 (0.09)
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49) (0.31)
Realized Net Gain -- (1.08) (1.49)
- ----------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57) (1.80)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.27 $ 13.63 $ 11.74
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32% (0.61%)
- ----------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,074 $ 5,075 $ 6,233
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% 2.86%
Portfolio Turnover Rate 122% 141% 107%
- ----------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.08%* 0.55% 0.04%
Ratio Including Expense Offsets 0.73%* 0.96% 0.93%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
*** Initial offering of Investment Class shares.
- -----------------------------------------------------------------
* Annualized
++ Per share amount for the years ended September 30, 1997 and
September 30, 1998, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
155
<PAGE> 158
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At September 30, 1998, the Fund was
comprised of twenty-six active portfolios (each referred to as a "Portfolio").
The Multi-Market Fixed Income and Small Cap Growth Portfolios commenced
operations on October 1, 1997 and June 30, 1998, respectively. The Funds offer
up to three different classes of shares for certain Portfolios -- Institutional
Class shares, Investment Class shares and Adviser Class shares. Effective
February 1998, the Emerging Markets Portfolio was renamed the Emerging Markets
Value Portfolio.
The Equity and Mid Cap Value Portfolios began offering Adviser Class shares on
January 16, 1998 and July 17, 1998, respectively. 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
- --------------------------------------------------------------------------------
156
<PAGE> 159
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
invests in one or more repurchase agreement. This joint repurchase
agreement is covered by the same collateral requirements as discussed
above.
4. FUTURES: Futures contracts (secured by cash and securities deposited with
brokers as "initial margin") are valued based upon their quoted daily
settlement prices; changes in initial settlement value (represented by cash
paid to or received from brokers as "variation margin") are accounted for
as unrealized appreciation (depreciation). When futures contracts are
closed, the difference between the opening value at the date of purchase
and the value at closing is recorded as realized gains or losses in the
Statement of Operations.
Futures contracts may be used by each Portfolio, except the Cash Reserves
Portfolio, in order to hedge against unfavorable changes in the value of
securities or to attempt to realize profits from the value of the
underlying securities.
Futures contracts involve market risk in excess of the amounts recognized
in the Statement of Net Assets. Risks arise from the possible movements in
security values underlying these instruments. The change in value of
futures contracts primarily corresponds with the value of their underlying
instruments, which may not correlate with the change in value of the hedged
investments. In addition, there is the risk that a Portfolio may not be
able to enter into a closing transaction because of an illiquid secondary
market.
5. SWAP AGREEMENTS: Each Portfolio, except the Cash Reserves 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 appreciation or depreciation 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 payments to be received, if any, at the date
of 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 fluctu-
- --------------------------------------------------------------------------------
157
<PAGE> 160
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
ations 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 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 any premium paid by a Portfolio is recorded as an asset.
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 as interest
income in the Statement of Operations. Realized gains or losses from these
agreements are disclosed in the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would be
realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount
recognized in the Statement of Net Assets. Such risks involve the
possibility that there may be no liquid market for these agreements and
that there may be adverse changes in interest rates or the index underlying
these transactions. 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, equity
securities, 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 with the custodian. Securities held in segregated accounts
cannot be sold while this strategy is outstanding, unless replaced with
other assets. As a result, there is a possibility that as asset segregation
reaches certain levels, a portfolio may lose some flexibility in managing
its investments, responding to shareholder redemption requests, or meeting
other current obligations.
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
- --------------------------------------------------------------------------------
158
<PAGE> 161
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
sell, and the writer the obligation to buy, the instrument at the exercise
price. A Portfolio may purchase a put option to protect its holdings in the
underlying instrument, or a similar instrument, against a substantial
decline in the market value of such instrument by giving the Portfolio the
right to sell the instrument at the option exercise price. Possible losses
from purchased options cannot exceed the total amount invested.
10. FOREIGN EXCHANGE AND FORWARD 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 a 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 September 30, 1998, the net assets of certain Portfolios were
substantially comprised of foreign-currency denominated securities and
foreign 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, the
components of realized and unrealized foreign currency gains (losses)
representing foreign exchange changes on investments is 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, Emerging
Markets Value, and Small Cap Growth Port-
- --------------------------------------------------------------------------------
159
<PAGE> 162
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
folios which are declared and paid annually, and Cash Reserves Portfolio
which are declared daily and paid monthly. Net realized capital gains are
distributed at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences are primarily due to differing book and tax treatments in the
timing of the recognition of gains or losses on securities, forwards and
futures, including Post October Losses and permanent differences such as
gain (loss) on in-kind redemptions (Note J), foreign currency transactions
and gains on certain equity securities designated as issued by "passive
foreign investment companies".
Permanent book and tax differences relating to shareholder distributions
may result in reclassifications to undistributed net investment income
(loss), undistributed realized net gain (loss) and paid in capital.
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 year ended
September 30, 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 -- --
Small Cap Growth 0.700 1.15 -- --
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 0.93 --
</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.
- --------------------------------------------------------------------------------
160
<PAGE> 163
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 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,
and receives fees in connection with these services, pursuant to separate
Distribution and Shareholder Servicing Plans (the "Plans") in accordance with
Rule 12b-1 under the Investment Company Act of 1940.
Under the Plans, the Distributor is entitled to distribution fees and
shareholder servicing fees for Adviser Class and Investment Class shares,
respectively. The distribution fee is an asset-based fee to support
distribution efforts and/or servicing of accounts. The Adviser Class of shares
pays an annual 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, served as custodian for certain of the Fund's assets held outside of the
United States in accordance with a custodian agreement. MSTC was a wholly owned
subsidiary of Morgan Stanley Dean Witter & Co. Effective October 1, 1998, MSTC
is now part of Chase Manhattan Bank.
For the year ended September 30, 1998, the following Portfolios incurred
custody fees and had amounts payable to MSTC at September 30, 1998:
<TABLE>
<CAPTION>
MSTC Custody
Custody Fees Fees Payable
Incurred to MSTC
(000) (000)
------------- -------------
<S> <C> <C>
International Equity $149 $30
Emerging Markets Value 87 4
Global Fixed Income 22 4
International Fixed Income 39 7
Multi-Asset-Class 50 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 of up to 100% of their total fees earned as a Trustee of
the Fund. These deferred amounts are invested in the Portfolios selected by the
Trustee. Total Trustees fees incurred, for the year ended September 30, 1998 by
the Portfolios were $259,000.
Expenses for the year ended September 30, 1998, include legal fees paid to
Morgan, Lewis & Bockius LLP. A partner of that firm is secretary of the Fund.
- --------------------------------------------------------------------------------
161
<PAGE> 164
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the year ended September 30, 1998,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- --------- ---------- ----------
<S> <C> <C>
Value $1,788,123 $1,860,274
Equity 841,296 1,236,545
Small Cap Value 1,286,195 1,342,796
International Equity 398,481 596,076
Mid Cap Growth 842,369 827,237
Mid Cap Value 888,032 699,354
Emerging Markets Value 14,369 18,698
Small Cap Growth 5,059 1,882
Fixed Income 8,162,779 5,571,037
Domestic Fixed Income 129,788 127,956
High Yield 683,126 442,628
Cash Reserves -- --
Fixed Income II 640,927 315,797
Mortgage-Backed Securities 99,229 77,590
Limited Duration 398,179 234,903
Special Purpose Fixed Income 821,569 619,726
Municipal 163,398 134,829
PA Municipal 16,202 17,448
Global Fixed Income 56,205 55,747
International Fixed Income 100,297 86,525
Intermediate Duration 242,000 158,107
Multi-Market Fixed Income 190,590 95,509
Balanced 475,303 397,301
Multi-Asset-Class 207,540 192,837
</TABLE>
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At
September 30, 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 $3,076,581 $239,189 $(472,389) $(233,200)
Equity 946,343 148,062 (102,625) 45,437
Small Cap Value 793,963 53,085 (126,510) (73,425)
International Equity 434,785 56,776 (26,907) 29,869
Mid Cap Growth 580,399 64,061 (43,297) 20,764
Mid Cap Value 494,242 18,030 (59,339) (41,309)
Emerging Markets
Value 12,840 434 (3,820) (3,386)
Small Cap Growth 3,268 123 (456) (333)
Fixed Income 6,887,490 110,604 (111,410) (806)
Domestic Fixed Income 105,622 3,587 (1,890) 1,697
High Yield 773,414 13,196 (69,120) (55,924)
Cash Reserves 167,666 -- -- --
Fixed Income II 684,080 9,885 (5,376) 4,509
Mortgage-Backed
Securities 52,695 416 (593) (177)
Limited Duration 336,968 3,306 (951) 2,355
Special Purpose Fixed
Income 771,953 13,899 (14,777) (878)
Municipal 108,453 4,475 (352) 4,123
PA Municipal 25,765 1,864 (96) 1,768
Global Fixed Income 68,774 3,405 (1,555) 1,850
International Fixed
Income 132,853 7,707 (2,518) 5,189
Intermediate Duration 163,439 2,410 (1,012) 1,398
</TABLE>
<TABLE>
<CAPTION>
(000)
----------------------------------------------------
Portfolio Cost Appreciation Depreciation Net
--------- ---------- ------------ ------------ ---------
<S> <C> <C> <C> <C>
Multi-Market Fixed
Income $ 115,557 $ 2,518 $ (3,714) $ (1,196)
Balanced 509,616 35,125 (28,121) 7,004
Multi-Asset-Class 202,671 14,190 (14,478) (288)
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at September 30, 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$ 1,281 CZK 38,737 10/1/98 US$ 1,279 US$ (2)
18,559 JPY 2,673,583 1/6/99 19,867 1,308
------------
US$ 1,306
------------
Sales
AUD 826 US$ 493 10/1/98 US$ 489 US$ 4
JPY 299,164 2,231 10/1/98 2,191 40
MXP 457 45 10/1/98 45 --
JPY 224,836 1,652 10/2/98 1,647 5
NLG 173 91 10/2/98 92 (1)
JPY 2,673,583 19,440 1/6/99 19,867 (427)
------------
(379)
------------
NET US$ 927
============
FIXED INCOME
Purchases
US$ 68,014 DEM 121,920 10/29/98 US$ 73,152 US$ 5,138
------------
Sales
DEM 121,920 US$ 68,729 10/29/98 US$ 73,152 US$ (4,423)
------------
NET US$ 715
------------
HIGH YIELD
Purchases
US$ 13,777 GBP 8,110 10/2/98 US$ 13,784 US$ 7
Sales
GBP 4,100 US$ 6,781 10/2/98 US$ 6,968 US$ (187)
GBP 2,485 4,011 10/2/98 4,223 (212)
GBP 1,265 2,118 10/2/98 2,150 (32)
GBP 260 438 10/2/98 442 (4)
DEM 5,520 3,062 10/6/98 3,308 (246)
ECU 2,640 2,934 10/22/98 3,112 (178)
DEM 9,675 5,411 11/30/98 5,813 (402)
GBP 8,110 13,730 12/2/98 13,736 (6)
DEM 3,150 1,869 12/18/98 1,895 (26)
DEM 4,700 2,806 12/18/98 2,827 (21)
DEM 7,760 4,623 12/22/98 4,668 (45)
DEM 8,400 5,004 12/22/98 5,053 (49)
DEM 3,985 2,383 12/22/98 2,397 (14)
------------
US$ (1,422)
------------
NET US$ (1,415)
============
FIXED INCOME II
Purchases
US$ 6,002 DEM 10,760 10/29/98 US$ 6,456 US$ 454
------------
Sales
DEM 10,760 US$ 6,066 10/29/98 US$ 6,456 US$ (390)
------------
NET US$ 64
============
</TABLE>
- --------------------------------------------------------------------------------
162
<PAGE> 165
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
------ --- ------- ------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
SPECIAL PURPOSE FIXED INCOME
Purchases
US$ 9,037 DEM 16,200 10/29/98 US$ 9,720 US$ 683
------------
Sales
DEM 16,200 US$ 9,132 10/29/98 US$ 9,720 US$ (588)
------------
NET US$ 95
============
GLOBAL FIXED INCOME
Purchases
US$ 1,056 AUD 1,775 10/2/98 US$ 1,052 US$ (4)
481 SEK 3,765 10/2/98 480 (1)
357 JPY 47,000 10/16/98 345 (12)
5,171 DEM 9,205 10/23/98 5,521 350
375 ESP 56,750 10/23/98 400 25
1,715 DEM 3,055 10/26/98 1,833 118
1,024 SEK 8,010 10/26/98 1,023 (1)
708 DEM 1,240 10/29/98 744 36
1,121 GRD 325,000 10/29/98 1,124 3
610 CAD 915 10/30/98 600 (10)
1,118 GBP 690 11/5/98 1,171 53
1,230 DEM 2,140 11/9/98 1,285 55
385 DEM 645 11/9/98 387 2
1,141 SEK 8,900 11/13/98 1,137 (4)
3,609 JPY 517,000 11/17/98 3,814 205
2,406 ESP 365,000 11/19/98 2,576 170
624 ITL 1,105,000 11/20/98 670 46
1,168 DEM 1,965 11/27/98 1,181 13
1,967 JPY 262,000 12/18/98 1,942 (25)
------------
US$ 1,019
------------
Sales
AUD 1,775 US$ 1,100 10/2/98 US$ 1,053 US$ 47
SEK 3,765 473 10/2/98 481 (8)
DEM 4,300 2,540 10/23/98 2,579 (39)
DEM 3,055 1,759 10/26/98 1,833 (74)
SEK 8,010 1,010 10/26/98 1,023 (13)
DEM 1,240 699 10/29/98 744 (45)
FRF 3,130 526 11/5/98 560 (34)
DEM 380 225 11/9/98 228 (3)
SEK 12,740 1,572 11/13/98 1,628 (56)
DEM 5,265 3,153 11/25/98 3,164 (11)
DEM 1,965 1,098 11/27/98 1,181 (83)
ESP 103,000 718 11/27/98 727 (9)
CHF 4,285 3,094 11/30/98 3,125 (31)
AUD 375 223 12/2/98 223 --
CAD 1,005 659 12/2/98 659 --
GBP 810 1,334 12/2/98 1,372 (38)
GBP 215 359 12/2/98 364 (5)
DKK 2,695 406 12/3/98 425 (19)
GBP 415 691 12/3/98 703 (12)
CAD 3,220 2,128 12/8/98 2,110 18
ITL 810,000 485 12/22/98 491 (6)
---------
US$ (421)
------------
NET US$ 598
============
INTERNATIONAL FIXED INCOME
Purchases
US$ 5,679 AUD 9,525 10/2/98 US$ 5,647 US$ (32)
2,849 SEK 22,305 10/2/98 2,846 (3)
10,698 JPY 1,410,000 10/16/98 10,354 (344)
14,115 DEM 25,125 10/23/98 15,070 955
7,693 DEM 13,805 10/26/98 8,282 589
1,248 SEK 9,760 10/26/98 1,247 (1)
2,586 DEM 4,325 10/29/98 2,595 9
2,315 GRD 675,000 10/29/98 2,333 18
2,390 CAD 3,585 10/30/98 2,350 (40)
1,487 JPY 195,000 10/30/98 1,435 (52)
2,625 GBP 1,620 11/5/98 2,748 123
3,039 DEM 5,235 11/9/98 3,142 103
1,782 CAD 2,705 11/17/98 1,773 (9)
3,825 JPY 548,000 11/17/98 4,042 217
5,747 ESP 872,000 11/19/98 6,154 407
</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>
US$ 3,208 ITL 5,680,000 11/20/98 US$ 3,444 US$ 236
1,837 JPY 240,000 11/24/98 1,772 (65)
6,885 DEM 11,615 11/27/98 6,979 94
1,536 CAD 2,340 12/2/98 1,534 (2)
239 CAD 365 12/8/98 239 --
488 AUD 820 12/17/98 487 (1)
7,795 JPY 1,038,000 12/18/98 7,695 (100)
5,004 FRF 28,240 12/22/98 5,066 62
------------
US$ 2,164
------------
Sales
JPY 7,080 US$ 53 10/1/98 US$ 52 US$ 1
AUD 9,525 5,874 10/2/98 5,647 227
SEK 22,305 2,801 10/2/98 2,846 (45)
DEM 19,970 11,807 10/23/98 11,978 (171)
SEK 16,700 2,106 10/26/98 2,133 (27)
DEM 5,245 2,957 10/29/98 3,147 (190)
JPY 195,000 1,386 10/30/98 1,435 (49)
NLG 4,910 2,467 10/30/98 2,611 (144)
SEK 5,130 633 11/13/98 656 (23)
CAD 2,705 1,775 11/17/98 1,773 2
JPY 240,000 1,677 11/24/98 1,772 (95)
DEM 12,400 7,425 11/25/98 7,447 (22)
DEM 11,615 6,489 11/27/98 6,979 (490)
ESP 197,000 1,373 11/27/98 1,391 (18)
CHF 10,335 7,462 11/30/98 7,538 (76)
CAD 2,340 1,491 12/2/98 1,534 (43)
CAD 5,850 3,835 12/2/98 3,834 1
GBP 3,235 5,328 12/2/98 5,479 (151)
GBP 815 1,360 12/2/98 1,381 (21)
GBP 870 1,449 12/3/98 1,474 (25)
CAD 3,415 2,202 12/8/98 2,239 (37)
ITL 3,580,000 2,144 12/22/98 2,172 (28)
------------
US$ (1,424)
------------
NET US$ 740
============
MULTI-MARKET FIXED INCOME
Purchases
US$ 528 AUD 880 10/2/98 US$ 522 US$ (6)
1,110 AUD 1,865 10/2/98 1,106 (4)
255 GBP 150 10/2/98 255 --
1,063 DEM 1,850 11/9/98 1,110 47
980 SEK 7,645 11/13/98 977 (3)
919 CAD 1,395 11/17/98 914 (5)
494 ESP 75,000 11/19/98 529 35
1,969 AUD 3,310 12/17/98 1,964 (5)
------------
US$ 59
------------
Sales
AUD 2,745 US$ 1,706 10/2/98 US$ 1,627 US$ 79
GBP 150 248 10/2/98 255 (7)
DEM 1,500 844 11/5/98 900 (56)
JPY 105,000 730 11/12/98 774 (44)
SEK 7,645 943 11/13/98 977 (34)
FRF 8,180 1,367 11/27/98 1,465 (98)
CHF 1,485 1,072 11/30/98 1,083 (11)
GBP 150 254 12/2/98 254 --
GBP 360 600 12/3/98 610 (10)
CAD 3,710 2,416 12/8/98 4,432 (16)
DEM 1,080 643 12/22/98 649 (6)
ITL 2,205,000 1,320 12/22/98 1,337 (17)
------------
US$ (220)
------------
NET US$ (161)
============
BALANCED
Purchases
US$ 2,962 DEM 5,310 10/29/98 US$ 3,186 US$ 224
------------
Sales
DEM 5,310 US$ 2,993 10/29/98 US$ 3,186 US$ (193)
------------
NET US$ 31
============
</TABLE>
- --------------------------------------------------------------------------------
163
<PAGE> 166
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>
MULTI-ASSET-CLASS
Purchases
US$ 176 AUD 295 10/2/98 US$ 175 US$ (1)
76 JPY 10,000 10/16/98 74 (2)
177 DEM 315 10/23/98 189 12
184 DEM 330 10/26/98 198 14
70 SEK 550 10/26/98 70 --
75 GRD 22,000 10/29/98 76 1
63 CAD 95 10/30/98 62 (1)
170 GBP 105 11/5/98 178 8
151 SEK 1,175 11/13/98 150 (1)
21 JPY 3,000 11/17/98 22 1
263 ESP 40,000 11/19/98 282 19
130 ITL 230,000 11/20/98 139 9
120 JPY 16,000 12/18/98 118 (2)
395 FRF 2,230 12/22/98 400 5
------------
US$ 62
------------
Sales
AUD 295 US$ 182 10/2/98 US$ 175 US$ 7
JPY 65,595 482 10/2/98 481 1
DEM 75 42 10/6/98 45 (3)
ECU 60 67 10/22/98 71 (4)
DEM 25 15 10/23/98 15 --
DEM 250 149 10/26/98 150 (1)
SEK 550 69 10/26/98 70 (1)
FRF 555 94 10/30/98 99 (5)
SEK 1,530 189 11/13/98 196 (7)
DEM 370 221 11/25/98 222 (1)
CHF 335 242 11/30/98 244 (2)
DEM 315 176 11/30/98 189 (13)
CAD 415 272 12/2/98 272 --
GBP 125 206 12/2/98 212 (6)
GBP 30 50 12/3/98 51 (1)
JPY 9,000 68 12/8/98 67 1
DEM 175 104 12/22/98 105 (1)
DEM 395 236 12/22/98 238 (2)
ITL 108,000 65 12/22/98 66 (1)
------------
US$ (39)
------------
NET US$ 23
============
</TABLE>
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
CZK -- Czech Koruna
DEM -- German Mark
DKK -- Danish Krone
ECU -- European Currency Unit
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound
GRD -- Greek Drachma
ITL -- Italian Lira
JPY -- Japanese Yen
MXP -- Mexican Peso
NLG -- Netherlands Guilder
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At September 30, 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
Nikkei 225
Index 155 JPY 2,069,250 Dec-98 U.S.$ (985)
FIXED INCOME
Municipal Bond
Index 1,070 US$ 137,361 Dec-98 2,284
U.S. Treasury 2 yr.
Note 96 US$ 20,410 Dec-98 190
U.S. Treasury Long
Bond 2,802 US$ 368,375 Dec-98 4,717
DOMESTIC
FIXED INCOME
Municipal Bond
Index 18 US$ 2,311 Dec-98 39
U.S. Treasury Long
Bond 26 US$ 3,418 Dec-98 24
FIXED INCOME II
Municipal Bond
Index 105 US$ 13,479 Dec-98 232
U.S. Treasury Long
Bond 213 US$ 28,003 Dec-98 251
MORTGAGE-BACKED SECURITIES
U.S. Treasury
2 yr. Note 2 US$ 425 Dec-98 7
U.S. Treasury Long
Bond 3 US$ 394 Dec-98 7
LIMITED DURATION
U.S. Treasury
2 yr. Note 230 US$ 48,900 Dec-98 532
SPECIAL PURPOSE
FIXED INCOME
Municipal Bond
Index 131 US$ 16,817 Dec-98 286
U.S. Treasury
2 yr. Note 304 US$ 64,633 Dec-98 706
U.S. Treasury Long
Bond 584 US$ 76,778 Dec-98 1,974
MUNICIPAL
Municipal Bond
Index 113 US$ 14,506 Dec-98 250
PA MUNICIPAL
Municipal Bond
Index 50 US$ 6,419 Dec-98 111
GLOBAL FIXED INCOME
Japanese Yen 10 yr.
Bond 1 JPY 138,860 Dec-98 33
INTERNATIONAL
FIXED INCOME
Japanese Yen 10 yr.
Bond 11 JPY 1,527,460 Dec-98 363
Italian 10 yr. LIF 61 ITL 13,633,500 Dec-98 41
INTERMEDIATE
DURATION
U.S. Treasury
2 yr. Note 51 US$ 10,843 Dec-98 119
U.S. Treasury
5 yr. Note 83 US$ 9,541 Dec-98 289
Municipal Bond
Index 28 US$ 3,595 Dec-98 61
</TABLE>
- --------------------------------------------------------------------------------
164
<PAGE> 167
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>
BALANCED
Municipal Bond
Index 48 US$ 6,162 Dec-98 US$ 105
U.S. Treasury Long
Bond 126 US$ 16,565 Dec-98 248
MULTI-ASSET CLASS
Nikkei 225 Index 30 JPY 400,500 Dec-98 (199)
MIB 30 Index 4 ITL 1,118,280 Dec-98 (67)
Municipal Bond
Index 15 US$ 1,926 Dec-98 32
U.S. Treasury Long
Bond 18 US$ 2,366 Dec-98 15
Sales:
VALUE
S&P 500 510 US$ 130,815 Dec-98 3,618
FIXED INCOME
90 Day Euro 85 US$ 20,248 Dec-98- (350)
March 01
U.S. Treasury 5 yr.
Note 3,824 US$ 439,581 Dec-98 (1,893)
U.S. Treasury 10
yr. Note 2,720 US$ 330,310 Dec-98 (15,316)
DOMESTIC FIXED INCOME
U.S. Treasury
5 yr. Note 77 US$ 8,851 Dec-98 (42)
U.S. Treasury 10
yr. Note 41 US$ 4,979 Dec-98 (186)
HIGH YIELD
U.K. Long Gilt 76 GBP 8,814 Dec-98 (524)
U.S. Treasury Long
Bond 170 US$ 22,350 Dec-98 (1,048)
FIXED INCOME II
U.S. Treasury 5 yr.
Note 468 US$ 53,798 Dec-98 (256)
U.S. Treasury 10
yr. Note 30 US$ 3,643 Dec-98 (90)
LIMITED DURATION
U.S. Treasury 10
yr. Note 487 US$ 59,140 Dec-98 (2,693)
U.S. Treasury Long
Bond 13 US$ 1,709 Dec-98 (80)
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury
5 yr. Note 468 US$ 53,798 Dec-98 (256)
U.S. Treasury 10
yr. Note 867 US$ 105,286 Dec-98 (4,793)
MUNICIPAL
U.S. Treasury 10
yr. Note 117 US$ 14,208 Dec-98 (553)
U.S. Treasury Long
Bond 204 US$ 26,820 Dec-98 (1,040)
PA MUNICIPAL
U.S. Treasury 10
yr. Note 7 US$ 850 Dec-98 (34)
U.S. Treasury Long
Bond 72 US$ 9,466 Dec-98 (449)
GLOBAL FIXED INCOME
U.S. Treasury 10
yr. Note 6 US$ 729 Dec-98 (17)
INTERMEDIATE
DURATION
U.S. Treasury 10
yr. Note 35 US$ 4,250 Dec-98 (111)
U.S. Treasury Long
Bond 76 US$ 9,992 Dec-98 (410)
</TABLE>
<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.K. Long Gilt 1 GBP 116 Dec-98 US$ (8)
U.S. Treasury Long
Bond 17 US$ 2,235 Dec-98 (71)
BALANCED
U.S. Treasury
5 yr. Note 200 US$ 22,991 Dec-98 (110)
U.S. Treasury 10
yr. Note 95 US$ 11,537 Dec-98 (535)
MULTI-ASSET CLASS
U.S. Treasury
5 yr. Note 58 US$ 6,667 Dec-98 (31)
</TABLE>
<TABLE>
<S> <C> <C>
GBP -- British Pound
ITL -- Italian Lira
JPY -- Japanese Yen
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At September 30, 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. $1,274
$50,000 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 3,267
$51,000 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. 3,098
$11,000 Agreement with Bankers Trust
Company terminating August 28,
2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 6.03% semiannually. 663
$19,000 Agreement with Bankers Trust
Company terminating September
17, 2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 5.64% semiannually. 575
</TABLE>
- --------------------------------------------------------------------------------
165
<PAGE> 168
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- ---------------------------------------------------------------
<C> <S> <C>
$31,000 Agreement with Bankers Trust
Company terminating September
21, 2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 5.59% semiannually. $820
---------
$9,697
=========
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. $55
$900 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. 42
$1,500 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 98
--------
$195
=========
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. $93
$4,300 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. 261
$7,300 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 477
--------
$831
=========
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
MORTGAGE-BACKED SECURITIES
$7,800 Agreement with Salomon Brothers
terminating July 1, 1999 to pay
monthly if positive (receive if
negative), the total rate of
return on the Salomon Brothers
Benchmark Yield Curve Average
2-Year Index based on the
previous month's return and to
receive 1 month LIBOR less 45
basis points. $(112)
$2,750 Agreement with Bankers Trust
Company terminating July 21,
1999 pay 1 month LIBOR monthly
and to receive fixed rate at
6.12% semiannually. 23
$400 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 6.04% semiannually. 24
$7,400 Agreement with Bankers Trust
Company terminating September
8, 2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 5.83% semiannually. (333)
$7,400 Agreement with Bankers Trust
Company terminating September
9, 2008 to pay mid market of 10
year swap spread monthly and to
receive fixed rate at 0.71%
semiannually. (65)
---------
$(463)
=========
LIMITED DURATION
$2,800 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $170
$2,300 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 150
--------
$320
=========
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. $212
</TABLE>
- --------------------------------------------------------------------------------
166
<PAGE> 169
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- ---------------------------------------------------------------
<C> <S> <C>
$6,000 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 6.04% semiannually. $365
$5,100 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 333
--------
$910
=========
GLOBAL FIXED INCOME
$300 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $18
$400 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 26
-------
$44
=========
INTERMEDIATE DURATION
$1,400 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 6.04% semiannually. $85
$2,500 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 163
--------
$248
=========
MULTI-MARKET FIXED INCOME
$1,000 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $61
$800 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 52
--------
$113
=========
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
<C> <S> <C>
BALANCED
$7,000 Agreement with Bankers Trust
Company terminating July 21,
1999 to pay 1 month LIBOR
monthly and to receive fixed
rate at 6.12% semiannually. $59
$2,200 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
monthly and to receive fixed
rate at 6.04% semiannually. 134
$1,850 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 121
--------
$314
=========
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. $13
$700 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. 42
$550 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. 36
-------
$91
=========
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At September 30, 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 2006
--------- ------ ---- ----
<S> <C> <C> <C>
Mortgage-Backed Securities $1,753 $ -- $--
Limited Duration 3,735 172 --
Municipal -- 73 --
PA Municipal 1 -- 23
</TABLE>
- --------------------------------------------------------------------------------
167
<PAGE> 170
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
I. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1998, the following Portfolios may elect to defer capital
losses occurring between November 1, 1997 and September 30, 1998 up to the
following amounts:
<TABLE>
<CAPTION>
Portfolio (000)
--------- ------
<S> <C>
Small Cap Growth $ 162
Limited Duration 500
Municipal 1,715
PA Municipal 373
Multi-Market Fixed Income 1,013
</TABLE>
The International Equity and International Fixed Income Portfolios may elect to
defer net foreign currency losses occurring between November 1, 1997 and
September 30, 1998 up to the amount of $743,000 and $2,156,000, respectively.
J. IN-KIND TRANSACTIONS. For the year ended September 30, 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
Fixed Income 346
High Yield 297
Special Purpose Fixed Income 298
Municipal 4,203
PA Municipal 1,103
</TABLE>
K. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the year ended September 30,
1998, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
--------- ---------
<S> <C>
Value $345
Equity 200
International Equity 214
Mid Cap Growth 530
Fixed Income 120
Domestic Fixed Income 4
Fixed Income II 10
Special Purpose Fixed Income 29
Balanced 54
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at September
30, 1998, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
--------- ---------- ----------
<S> <C> <C>
Value $235,770 $251,040
Equity 98,803 106,300
International Equity 33,544 35,575
Mid Cap Growth 118,957 125,995
Fixed Income 166,707 169,536
Fixed Income II 53,697 55,040
Special Purpose Fixed
Income 11,334 11,503
Balanced 30,343 31,621
</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 $881,000 and $436,000, respectively, for the year ended September 30,
1998.
L. OTHER. At September 30, 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 September 30, 1998, approximately 74.1% and 38.4% 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 18.2 % --
FGIC 16.1 16.2 %
FSA 25.0 --
MBIA 12.7 --
</TABLE>
- --------------------------------------------------------------------------------
168
<PAGE> 171
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
At September 30, 1998, the Fund had Portfolios with otherwise unaffiliated
record owners of 10% or greater. Investment activities of these shareholders
could have a material impact on these Portfolios. These Portfolios and the
aggregate percentage of such owners was as follows:
<TABLE>
<CAPTION>
Percentage
of Ownership
------------------------------------
Institutional Investment Adviser
Portfolios Class Class Class
---------- ------------- ---------- -------
<S> <C> <C> <C>
Value 19.4% 39.9% 77.9%
Equity -- 97.2 94.0
Small Cap Value 11.0 -- --
International Equity 15.0 88.6 --
Mid Cap Growth 22.1 -- 79.1
Mid Cap Value -- 71.5 97.6
Emerging Markets
Value 60.9 -- --
Small Cap Growth 42.8 -- --
Fixed Income -- 40.6 75.6
Domestic Fixed Income 48.0 -- --
High Yield -- 76.5 85.6
Cash Reserves 34.1 -- --
Fixed Income II 27.8 -- --
Mortgage-Backed
Securities 83.8 -- --
Limited Duration 24.6 -- --
Special Purpose Fixed
Income -- -- --
Municipal 10.9 -- --
PA Municipal 44.3 -- --
Global Fixed Income 59.8 -- --
International Fixed
Income 58.2 -- --
Intermediate Duration 45.5 -- --
Multi-Market Fixed
Income 82.5 -- --
Balanced 29.2 91.1 96.9
Multi-Asset-Class 29.2 93.4 --
</TABLE>
M. REORGANIZATION. On July 20, 1998, certain MAS Funds, as listed below (each
an "Acquiring Fund"), acquired substantially all of the assets and liabilities
of certain Portfolios of the Morgan Stanley Institutional Fund, Inc. ("MSIF"),
also listed below (each an "Acquired Fund"), in a tax-free reorganization in
exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization
approved by the Directors and shareholders of the Acquired Funds. The net
assets of the MSIF Small Cap Value Equity Portfolio Class A shares and Class B
shares were exchanged for 1,981,041 Institutional Class shares and 324,731
Adviser Class shares, respectively, of the MAS Mid Cap Value Portfolio. The net
assets of the MSIF Balanced Portfolio Class A shares and Class B shares were
exchanged for 334,315 Institutional Class shares and 16,324 Adviser Class
shares, respectively, of the MAS Balanced Portfolio. Net assets as of the
reorganization date were as follows:
<TABLE>
<CAPTION>
Total Net
Total Net Total Net Assets of Acquired
Assets of Assets of Acquiring Fund
Acquired Acquiring Fund After Unrealized
Acquiring Acquired Fund Fund Acquisition Appreciation
Fund Fund (000) (000) (000) (000)
- --------- ---------- --------- --------- ----------- ------------
<S> <C> <C> <C> <C> <C>
MSIF Small
Mid Cap Cap Value
Value Equity $ 50,312 $ 500,983 $ 551,295 $5,387
MSIF
Balanced Balanced 5,179 456,995 462,174 586
</TABLE>
N. SUBSEQUENT EVENT. On September 10, 1998, the Fund filed a Proxy
Statement/Prospectus with the Securities and Exchange Commission for the
purpose of presenting a proposal to the shareholders of the PA Municipal
Portfolio seeking their approval to transfer its net assets to the Municipal
Portfolio. A special meeting of the shareholders of the Portfolio is expected
to be held during the fourth quarter of 1998 to vote on the proposal.
- --------------------------------------------------------------------------------
169
<PAGE> 172
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
MAS Funds
In our opinion, the accompanying statements of net assets (excluding Standard &
Poor's ratings) and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of each of the twenty-four (24) Portfolios of the MAS
Funds listed in the accompanying table of contents (hereafter referred to as the
"Fund") at September 30, 1998, the results of each of their operations, the
changes in each of their net assets and the financial highlights for each of the
periods indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
September 30, 1998 by correspondence with the custodians and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 1998
- --------------------------------------------------------------------------------
170
<PAGE> 173
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION: (UNAUDITED)
Each Portfolio hereby designates the following amount as long-term capital gain
dividends for the purpose of the dividend paid deduction on its federal income
tax return.
<TABLE>
<CAPTION>
LONG-TERM LONG-TERM
CAPITAL GAINS -- 20% CAPITAL GAINS -- 28%
FUND (000) (000)
- -------------------------------------- -------------------- --------------------
<S> <C> <C>
Value $115,259 $119,559
Equity 96,750 187,809
Small Cap Value 27,094 19,620
International Equity 23,248 8,582
Mid Cap Growth 26,635 32,554
Mid Cap Value 2 230
Emerging Markets Value 1,885 --
Fixed Income 5,966 --
Domestic Fixed Income 70 --
High Yield 2,226 735
Fixed Income II 213 --
Special Purpose Fixed Income 2,269 1,276
International Fixed 219 103
Balanced 14,139 19,014
Multi-Asset-Class 8,033 4,842
</TABLE>
For the year ended September 30, 1998, the percentage of dividends that qualify
for the 70% dividend received deduction for corporate shareholders for each
Portfolio were:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT
- ------------------------------------------------------------ --------
<S> <C>
Value 41.6%
Equity 25.0
Small Cap Value 9.1
Mid Cap Growth 5.1
Mid Cap Value 5.5
High Yield 2.5
Balanced 15.1
Multi-Asset-Class 13.7
</TABLE>
Foreign taxes accrued during the fiscal year ended September 30, 1998 amounting
to $1,257,000, $20,000* and $35,000 for the International Equity Portfolio,
Emerging Markets Value Portfolio and the International Fixed Income Portfolio,
respectively, are expected to be passed through to shareholders as foreign tax
credits on Form 1099-DIV for the year ending December 31, 1998. In addition, for
the year ended September 30, 1998, gross income derived from sources within
foreign countries amounted to $12,623,000, $309,000* and $7,587,000 for the
International Equity Portfolio, Emerging Markets Value Portfolio and the
International Fixed Income Portfolio, respectively.
For the fiscal year ended September 30, 1998**, the percentage of exempt
interest dividends paid by the Municipal Portfolio and the PA Municipal
Portfolio was 91.0% and 93.1%, respectively.
For the year ended September 30, 1998**, the percentage of income earned from
direct U.S. treasury obligations was as follows:
<TABLE>
<CAPTION>
INCOME
FUND EARNED
- ------------------------------------------------------------ --------
<S> <C>
Fixed Income 23.1%
Domestic Fixed Income 19.5
Fixed Income II 22.6
Mortgage-Backed Securities 11.4
Limited Duration 28.3
Special Purpose 18.9
Municipal 11.2
PA Municipal 10.1
Global Fixed Income 26.2
International Fixed Income 10.3
Intermediate Duration 30.2
Multi-Market Fixed Income 27.6
Balanced 16.6
Multi-Asset-Class 17.8
</TABLE>
* Amount is based on October 31 tax year end.
** Amounts for the period ending December 31, 1998 will be provided with Form
1099-DIV to be mailed in January 1999.
- --------------------------------------------------------------------------------
171
<PAGE> 174
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. HEALY
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.
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[MAS 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.
