<PAGE> 1
1999 SEMI-ANNUAL REPORT
FINANCIAL STATEMENTS
MAS Funds
[MAS FUNDS LOGO]
<PAGE> 2
MAS Funds is pleased to present the Semi-Annual Report for the Portfolios as of
March 31, 1999. Please call your Miller Anderson & Sherrerd service contact at
800-354-8185 with any questions regarding these Financial Statements.
TABLE OF CONTENTS
<TABLE>
<S> <C>
MAS Overview and Statement of Net Assets
Value Portfolio.......................... 1
Equity Portfolio......................... 4
Small Cap Value Portfolio................ 7
Mid Cap Growth Portfolio................. 11
Mid Cap Value Portfolio.................. 14
Small Cap Growth Portfolio............... 18
Fixed Income Portfolio................... 21
Domestic Fixed Income Portfolio.......... 31
High Yield Portfolio..................... 39
Cash Reserves Portfolio.................. 46
Fixed Income Portfolio II................ 49
Mortgage-Backed Securities Portfolio..... 57
Limited Duration Portfolio............... 59
Special Purpose Fixed Income Portfolio... 65
Municipal Portfolio...................... 73
Global Fixed Income Portfolio............ 80
International Fixed Income Portfolio..... 84
Intermediate Duration Portfolio.......... 87
Multi-Market Fixed Income Portfolio...... 95
Balanced Portfolio....................... 103
Multi-Asset-Class Portfolio.............. 113
Statement of Operations..................... 126
Statement of Changes in Net Assets.......... 131
Financial Highlights........................ 138
Notes to Financial Statements............... 154
</TABLE>
THIS SEMI-ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Value Portfolio combines Miller Anderson & Sherrerd's disciplined valuation
process with the judgment gained through considerable experience in low P/E
investing, emphasizing large capitalization stocks from all market sectors. MAS
considers a company's intrinsic worth, projected earnings and other measures to
help determine if its current price makes it a strong candidate for value
investing. MAS also employs a formal sell discipline. Individual positions are
sold when price appreciation or earnings-per-share deterioration raises the
current P/E ratio.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS VALUE
---------------------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 11.78% 11.66% 11.64% 27.34%
ONE YEAR (12.87) (13.02) (13.10) 18.45
FIVE YEARS 17.01 16.89 16.85 26.24
TEN YEARS 15.15 15.09 15.07 18.97
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/6/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
7/17/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (96.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (14.9%)
Bank One Corp. 528,500 $ 29,101
BankAmerica Corp. 493,300 34,839
BankBoston Corp. 290,700 12,591
Chase Manhattan Corp. 737,607 59,977
First Union Corp. 340,413 18,191
PNC Bank Corp. 692,200 38,460
Republic New York Corp. 195,902 9,036
UnionBanCal Corp. 539,100 18,363
Washington Mutual, Inc. 1,006,300 41,133
- -----------------------------------------------------
GROUP TOTAL 261,691
- -----------------------------------------------------
BASIC RESOURCES (6.8%)
Air Products & Chemicals, Inc. 409,600 14,029
IMC Global, Inc. 957,994 19,579
Lubrizol Corp. 1,261,700 28,388
Morton International, Inc. 276,900 10,176
Rohm & Haas Co. 581,468 19,515
Ryerson Tull, Inc. 706,500 10,377
Westvaco Corp. 258,520 5,429
* W.R. Grace & Co. 883,300 10,710
- -----------------------------------------------------
GROUP TOTAL 118,203
- -----------------------------------------------------
CONSUMER DURABLES (13.7%)
Dana Corp. 667,851 25,378
Eastman Kodak Co. 274,600 17,540
Ford Motor Co. 745,130 42,286
General Motors Corp. 936,509 81,359
Goodyear Tire & Rubber Co. 586,813 29,231
Navistar International Corp. 385,000 15,472
Owens Corning 868,541 27,630
- -----------------------------------------------------
GROUP TOTAL 238,896
- -----------------------------------------------------
CONSUMER SERVICES (1.4%)
Service Corp. International 1,221,100 17,401
Standard Register Co. 229,211 6,805
- -----------------------------------------------------
GROUP TOTAL 24,206
- -----------------------------------------------------
ENERGY (3.1%)
Coastal Corp. 165,000 5,445
* Nabors Industries, Inc. 1,144,500 20,816
Tosco Corp. 385,400 9,563
Ultramar Diamond Shamrock
Corp. 869,690 18,807
- -----------------------------------------------------
GROUP TOTAL 54,631
- -----------------------------------------------------
FOOD & TOBACCO (3.6%)
IBP, Inc. 528,103 9,836
Philip Morris Cos., Inc. 443,305 15,599
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
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VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
RJR Nabisco Holdings Corp. 798,890 $ 19,972
Universal Foods Corp. 890,894 18,375
- -----------------------------------------------------
GROUP TOTAL 63,782
- -----------------------------------------------------
HEALTH CARE (10.8%)
Beckman Coulter, Inc. 430,199 18,929
CIGNA Corp. 432,400 36,240
Columbia/HCA Healthcare Corp. 753,761 14,274
* Foundation Health Systems,
Inc., Class A 1,465,884 17,865
* HEALTHSOUTH Corp. 2,792,300 28,970
* Humana, Inc. 958,700 16,538
* Tenet Healthcare Corp. 1,354,900 25,658
United HealthCare Corp. 597,300 31,433
- -----------------------------------------------------
GROUP TOTAL 189,907
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (12.8%)
* AMR Corp. 371,380 21,749
Burlington Northern Santa Fe,
Inc. 275,300 9,050
Case Corp. 866,326 21,983
CNF Transportation, Inc. 74,600 2,821
++ Cummins Engine Co., Inc. 861,086 30,622
Delta Air Lines, Inc. 423,400 29,426
Eaton Corp. 136,702 9,774
* FMC Corp. 274,165 13,537
Harnischfeger Industries, Inc. 976,701 5,555
Kennametal, Inc. 430,472 7,533
Olsten Corp. 1,229,360 7,607
Parker Hannifin Corp. 692,237 23,709
Ryder Systems, Inc. 90,900 2,511
Tecumseh Products Co., Class A 482,276 24,566
TRW, Inc. 317,618 14,452
- -----------------------------------------------------
GROUP TOTAL 224,895
- -----------------------------------------------------
INSURANCE (7.5%)
Allstate Corp. 731,840 27,124
American General Corp. 210,455 14,837
Everest Reinsurance Holdings,
Inc. 538,191 16,785
Hartford Financial Services
Group, Inc. 433,206 24,612
Old Republic International
Corp. 720,700 13,153
ReliaStar Financial Corp. 448,931 19,136
Transatlantic Holdings, Inc. 202,858 15,214
- -----------------------------------------------------
GROUP TOTAL 130,861
- -----------------------------------------------------
RETAIL (7.5%)
Dillard's, Inc., Class A 559,909 14,208
Liz Claiborne, Inc. 983,100 32,074
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
Sears, Roebuck & Co. 446,400 $ 20,172
Springs Industries, Inc.,
Class A 327,618 8,866
* Toys 'R' Us, Inc. 1,189,951 22,386
V.F. Corp. 711,106 33,555
- -----------------------------------------------------
GROUP TOTAL 131,261
- -----------------------------------------------------
TECHNOLOGY (7.9%)
* Arrow Electronics, Inc. 804,000 12,060
Avnet, Inc. 364,900 13,364
First Data Corp. 1,016,500 43,455
International Business
Machines Corp. 283,244 50,205
Tektronix, Inc. 759,517 19,178
- -----------------------------------------------------
GROUP TOTAL 138,262
- -----------------------------------------------------
UTILITIES (6.9%)
Bell Atlantic Corp. 538,900 27,854
Cinergy Corp. 225,207 6,193
DTE Energy Co. 361,340 13,889
Duke Energy Corp. 187,122 10,222
Entergy Corp. 371,345 10,212
GPU, Inc. 313,204 11,686
PECO Energy Co. 234,000 10,823
Southern Co. 481,600 11,227
U.S. West, Inc. 325,600 17,928
- -----------------------------------------------------
GROUP TOTAL 120,034
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,693,674) 1,696,629
- -----------------------------------------------------
STRUCTURED INVESTMENT (2.3%)-SEE NOTE A7
- -----------------------------------------------------
<CAPTION>
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
$51,118) $ 1,610 40,854
- -----------------------------------------------------
CASH EQUIVALENTS (6.6%)
- -----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (6.0%) 105,659 105,659
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (0.6%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99,
to be repurchased at $9,483,
collateralized by various
U.S. Government Obligations,
due 4/1/99-2/28/01, valued
at $9,567 $ 9,482 $ 9,482
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $115,141) 115,141
- -----------------------------------------------------
TOTAL INVESTMENTS (105.8%) (Cost
$1,859,933) 1,852,624
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.8%)
Dividends Receivable 2,522
Interest Receivable 802
Receivable for Investments Sold 53,676
Receivable for Fund Shares Sold 1,781
Receivable for Daily Variation on Futures
Contracts 1,652
Other Assets 143
Payable to Custodian (368)
Payable for Investments Purchased (3,464)
Payable for Fund Shares Redeemed (49,650)
Payable for Investment Advisory Fees (2,623)
Payable for Administrative Fees (129)
Payable for Trustees' Deferred
Compensation Plan-Note F (143)
Payable for Distribution Fees-Adviser
Class (61)
Payable for Shareholder Servicing
Fees-Investment Class (2)
Collateral on Securities Loaned, at Value (105,659)
Other Liabilities (62)
----------
(101,585)
- -----------------------------------------------------
NET ASSETS (100%) $1,751,039
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 102,642,380 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,458,126
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.21
- -----------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 931,303 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 13,217
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.19
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 19,727,693 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 279,696
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.18
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,691,896
Undistributed Net Investment Income
(Loss) 17,426
Undistributed Realized Net Gain (Loss) 48,032
Unrealized Appreciation (Depreciation)
on:
Investment Securities (7,309)
Futures 994
- -----------------------------------------------------
NET ASSETS $1,751,039
- -----------------------------------------------------
</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
(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.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Equity Portfolio is Miller Anderson & Sherrerd's core-strategy common stock
fund, investing mostly in stocks of large companies. MAS employs strategic
economic and market analyses and disciplined valuation methodologies to identify
the best individual stocks. Strategic over- and under-weightings are managed to
maintain a portfolio that is well diversified among industry sectors.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS EQUITY
---------------------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 29.92% 29.81% 29.75% 27.34%
ONE YEAR 12.66 12.50 12.40 18.45
FIVE YEARS 21.87 21.74 21.80 26.24
TEN YEARS 17.43 17.37 17.39 18.97
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/16/98. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (98.7%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (6.0%)
Bank One Corp. 231,600 $ 12,752
BankAmerica Corp. 197,500 13,948
BankBoston Corp. 133,800 5,795
Citigroup, Inc. 150,650 9,623
Wells Fargo Co. 252,500 8,853
- ----------------------------------------------------
GROUP TOTAL 50,971
- ----------------------------------------------------
BASIC RESOURCES (3.5%)
Air Products & Chemicals, Inc. 191,400 6,556
Engelhard Corp. 250,400 4,241
Morton International, Inc. 119,200 4,381
Rohm & Haas Co. 210,600 7,068
Solutia, Inc. 161,100 2,799
* W.R. Grace & Co. 388,100 4,706
- ----------------------------------------------------
GROUP TOTAL 29,751
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.3%)
Anheuser-Busch Cos., Inc. 123,900 9,440
Coca-Cola Co. 122,400 7,512
Gillette Co. 87,700 5,213
PepsiCo, Inc. 150,300 5,890
- ----------------------------------------------------
GROUP TOTAL 28,055
- ----------------------------------------------------
CONSUMER DURABLES (5.1%)
Dana Corp. 112,500 4,275
Ford Motor Co. 196,200 11,134
General Motors Corp. 162,817 14,145
Owens Corning 408,400 12,992
- ----------------------------------------------------
GROUP TOTAL 42,546
- ----------------------------------------------------
CONSUMER SERVICES (5.5%)
* AT&T Corp.-Liberty Media
Group, Class A 168,125 8,847
* Clear Channel Communications,
Inc. 126,200 8,463
* Fox Entertainment Group, Inc.,
Class A 232,400 6,304
* Infinity Broadcasting Corp.,
Class A 245,600 6,324
News Corp., Ltd. ADR 260,900 7,175
Time Warner, Inc. 122,900 8,734
- ----------------------------------------------------
GROUP TOTAL 45,847
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (2.2%)
Ambac Financial Group, Inc. 149,700 8,084
Household International, Inc. 224,100 10,225
- ----------------------------------------------------
GROUP TOTAL 18,309
- ----------------------------------------------------
ENERGY (7.4%)
Atlantic Richfield Co. 70,400 5,139
Chevron Corp. 39,000 3,449
</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>
Coastal Corp. 321,100 $ 10,596
Elf Aquitaine S.A., ADR 50,900 3,426
Halliburton Co. 61,700 2,376
Royal Dutch Petroleum Co. 342,900 17,831
Texaco, Inc. 85,000 4,824
Tosco Corp. 170,400 4,228
Total S.A. ADR 165,300 10,083
- ----------------------------------------------------
GROUP TOTAL 61,952
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.7%)
General Mills, Inc. 80,500 6,083
RJR Nabisco Holdings Corp. 312,380 7,809
- ----------------------------------------------------
GROUP TOTAL 13,892
- ----------------------------------------------------
HEALTH CARE (9.0%)
Abbott Laboratories 132,500 6,203
Aetna, Inc. 156,000 12,948
Baxter International, Inc. 123,500 8,151
Bristol-Myers Squibb Co. 143,244 9,212
Eli Lilly & Co. 73,400 6,230
* Health Management Associates,
Inc., Class A 244,525 2,980
* Lincare Holdings, Inc. 176,700 4,970
Merck & Co., Inc. 162,400 13,022
Mylan Laboratories, Inc. 142,900 3,921
Pfizer, Inc. 54,900 7,617
- ----------------------------------------------------
GROUP TOTAL 75,254
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.4%)
Aeroquip-Vickers, Inc. 101,100 5,794
* Allied Waste Industries, Inc. 259,000 3,739
* AMR Corp. 46,700 2,735
Burlington Northern Santa Fe,
Inc. 102,600 3,373
Case Corp. 115,800 2,938
Cummins Engine Co., Inc. 193,200 6,871
* FMC Corp. 14,000 691
Kennametal, Inc. 61 1
* Loral Space & Communications
Ltd. 275,700 3,980
Parker-Hannifin Corp. 219,400 7,515
Ryder Systems, Inc. 78,000 2,155
Tenneco, Inc. 21,600 604
* United Rentals, Inc. 141,400 4,030
Waste Management, Inc. 243,927 10,824
York International Corp. 210,400 7,430
- ----------------------------------------------------
GROUP TOTAL 62,680
- ----------------------------------------------------
INSURANCE (9.3%)
Ace Ltd. 299,500 9,341
Allstate Corp. 293,362 10,873
Aon Corp. 37,600 2,378
Conseco, Inc. 144,420 4,459
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Everest Reinsurance Holdings,
Inc. 137,900 $ 4,301
MBIA, Inc. 195,100 11,316
ReliaStar Financial Corp. 75 3
Travelers Property Casualty
Corp., Class A 383,100 13,696
UNUM Corp. 237,000 11,272
XL Capital Ltd., Class A 174,800 10,619
- ----------------------------------------------------
GROUP TOTAL 78,258
- ----------------------------------------------------
RETAIL (5.5%)
Circuit City Stores, Inc. 85,800 6,574
* Consolidated Stores Corp. 44,500 1,349
CVS Corp. 177,500 8,431
Dayton-Hudson Corp. 92,300 6,150
Tandy Corp. 167,900 10,714
Wal-Mart Stores, Inc. 145,800 13,441
- ----------------------------------------------------
GROUP TOTAL 46,659
- ----------------------------------------------------
TECHNOLOGY (20.1%)
America Online, Inc. 103,600 15,126
* At Home Corp., Series A 47,700 7,513
* Cisco Systems, Inc. 153,050 16,769
Compaq Computer Corp. 100,700 3,191
* Dell Computer Corp. 83,000 3,393
* Excite, Inc. 20,200 2,828
* General Instrument Corp. 162,400 4,923
Hewlett Packard Co. 58,100 3,940
* Inktomi Corp. 1,100 94
Intel Corp. 94,700 11,281
International Business Machines
Corp. 53,700 9,518
* Microsoft Corp. 531,100 47,600
Motorola, Inc. 147,100 10,775
Northern Telecom Ltd. 115,900 7,200
* Qualcomm, Inc. 87,300 10,858
* Tellabs, Inc. 91,900 8,983
* Unisys Corp. 185,000 5,122
- ----------------------------------------------------
GROUP TOTAL 169,114
- ----------------------------------------------------
UTILITIES (12.7%)
* Airtouch Communications, Inc. 101,000 9,759
Ameritech Corp. 138,700 8,027
AT&T Corp. 197,843 15,790
Carolina Power & Light Co. 103,500 3,913
Columbia Energy Group 85,550 4,470
Energy East Corp. 76,400 4,016
* MCI WorldCom, Inc. 402,017 35,604
PECO Energy Co. 107,600 4,976
SBC Communications, Inc. 159,400 7,512
Southern Co. 46,400 1,082
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Sprint Corp. 98,100 $ 9,626
* Sprint Corp. (PCS Group) 49,100 2,176
- ----------------------------------------------------
GROUP TOTAL 106,951
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $649,215) 830,239
- ----------------------------------------------------
STRUCTURED INVESTMENT (0.9%)-SEE NOTE A7
- ----------------------------------------------------
<CAPTION>
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 7,486
- ----------------------------------------------------
CASH EQUIVALENT (7.4%)
- ----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (7.4%) (Cost
$62,008) 62,008 62,008
- ----------------------------------------------------
TOTAL INVESTMENTS (107.0%) (Cost $720,589) 899,733
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-7.0%)
Dividends Receivable 869
Interest Receivable 146
Receivable for Investments Sold 30,348
Receivable for Fund Shares Sold 39
Other Assets 72
Payable for Investments Purchased (15,955)
Payable for Fund Shares Redeemed (1,985)
Payable for Investment Advisory Fees (1,091)
Payable for Administrative Fees (58)
Payable for Trustees' Deferred
Compensation Plan-Note F (71)
Payable to Custodian (9,027)
Collateral on Securities Loaned, at Value (62,008)
Other Liabilities (38)
--------
(58,759)
- ----------------------------------------------------
NET ASSETS (100%) $840,974
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 42,271,910 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $838,840
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.84
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 53,009 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,051
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.83
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 54,618 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,083
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.83
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $569,208
Undistributed Net Investment Income (Loss) 1,241
Undistributed Realized Net Gain (Loss) 91,381
Unrealized Appreciation (Depreciation) on
Investment Securities 179,144
- ----------------------------------------------------
NET ASSETS $840,974
- ----------------------------------------------------
</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 (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Value Portfolio applies Miller Anderson & Sherrerd's value
investing to small-and medium-sized companies, combining MAS's disciplined
valuation process with the judgment gained through considerable experience in
low P/E investing. The Portfolio keeps sector weights within 5% of the sector
weights of the Russell 2000 Index, with strategic over- and under-weightings
assigned to different economic sectors and industries.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS SMALL CAP VALUE
------------------------- RUSSELL 2000
INSTITUTIONAL# ADVISER@ INDEX
----------------------------------------
<S> <C> <C> <C>
SIX MONTHS 11.13% 11.07% 10.00%
ONE YEAR (13.78) (13.84) (16.26)
FIVE YEARS 15.88 15.86 11.22
TEN YEARS 16.45 16.45 11.46
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
1/22/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
* Total returns are compared to the Russell 2000 Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (92.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (6.1%)
Bank United Corp., Class A 141,700 $ 5,792
Banknorth Group, Inc. 99,100 2,800
Cullen/Frost Bankers, Inc. 24,100 1,155
First Tennessee National Corp. 152,400 5,582
Greenpoint Financial Corp. 119,700 4,160
HUBCO, Inc. 166,500 5,588
Investors Financial Services
Corp. 106,600 3,065
MECH Financial, Inc. 76,600 2,422
Mercantile Bankshares Corp. 157,516 5,828
North Fork Bancorp, Inc. 237,200 5,011
Prime Bancshares, Inc. 104,100 1,477
Reliance Bancorp, Inc. 74,100 2,130
TCF Financial Corp. 88,000 2,288
Trustco Bank Corp. 56,728 1,418
Webster Financial Corp. 27,296 788
- ----------------------------------------------------
GROUP TOTAL 49,504
- ----------------------------------------------------
BASIC RESOURCES (5.1%)
A. Schulman, Inc., Class A 104,800 1,428
Agnico-Eagle Mines Ltd. 944,200 4,957
Ashanti Goldfields Co., Ltd. 416,000 3,640
* Bethlehem Steel Corp. 288,800 2,383
Boise Cascade Corp. 118,800 3,831
Equitable Resources, Inc. 66,700 1,738
* Gaylord Container Corp.,
Class A 722,600 5,420
Inco, Ltd. 354,800 4,723
Lubrizol Corp. 137,400 3,092
P.H. Glatfelter Co. 72,200 808
* Stillwater Mining Co. 209,550 5,527
* Tetra Technologies, Inc. 229,500 1,549
* W.R. Grace & Co. 201,600 2,444
- ----------------------------------------------------
GROUP TOTAL 41,540
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.4%)
* Blyth Industries, Inc. 308,650 7,292
* Suiza Foods Corp. 122,800 4,137
- ----------------------------------------------------
GROUP TOTAL 11,429
- ----------------------------------------------------
CONSUMER DURABLES (2.9%)
D.R. Horton, Inc. 122,300 2,048
* Dura Automotive Systems, Inc. 72,490 2,048
* Hawaii Land & Farming Co.,
Inc. 121,300 45
* Navistar International Corp. 303,900 12,213
Southdown, Inc. 74,000 3,973
* Tower Automotive, Inc. 173,200 3,226
- ----------------------------------------------------
GROUP TOTAL 23,553
- ----------------------------------------------------
CONSUMER SERVICES (6.3%)
* ACNielsen Corp. 173,500 4,706
* Action Performance Cos., Inc. 53,800 1,621
* Bally Total Fitness Holding
Corp. 640,400 15,290
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Corinthian Colleges, Inc. 38,100 $ 838
FelCor Lodging Trust, Inc. 90,300 2,094
* MarketWatch.com, Inc. 15,700 1,160
* RoweCom, Inc. 52,100 2,273
* TV Guide, Inc. 146,600 5,406
* USWeb Corp. 68,700 2,834
* Valassis Communications, Inc. 166,100 8,596
* World Color Press, Inc. 94,800 2,014
* Ziff-Davis, Inc. 219,500 4,719
- ----------------------------------------------------
GROUP TOTAL 51,551
- ----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (3.6%)
* Affiliated Managers Group,
Inc. 44,000 1,144
CMAC Investment Corp. 34,200 1,334
* E*TRADE Group, Inc. 81,900 4,776
Eaton Vance Corp. 152,400 3,067
* Gabelli Asset Management,
Inc., Class A 93,100 1,449
Heller Financial, Inc. 305,300 7,174
* Knight/Trimark Group, Inc. 160,200 10,733
- ----------------------------------------------------
GROUP TOTAL 29,677
- ----------------------------------------------------
ENERGY (8.3%)
Apache Corp. 136,000 3,544
* BJ Services Co. 95,100 2,229
Energen Corp. 147,200 2,199
ENSCO International, Inc. 286,400 3,813
* Global Industries Ltd. 444,900 4,505
* Global Marine, Inc. 413,900 4,863
* Nabors Industries, Inc. 515,000 9,366
* National-Oilwell, Inc. 136,800 1,582
* Noble Drilling Corp. 445,700 7,716
* Ocean Energy, Inc. 725,164 4,940
* Stolt Comex Seaway, S.A. 106,400 1,024
Transocean Offshore, Inc. 107,000 3,083
Ultramar Diamond Shamrock Corp. 324,600 7,019
Union Pacific Resources Group,
Inc. 221,200 2,627
Valero Energy Corp. 231,300 5,754
* Veritas DGC, Inc. 226,900 3,219
- ----------------------------------------------------
GROUP TOTAL 67,483
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (2.9%)
* 800-JR Cigar, Inc. 212,000 1,643
Earthgrains Co. 73,600 1,633
* Fresh Del Monte Produce, Inc. 565,300 10,493
* General Cigar Holdings, Inc. 374,400 3,487
Michael Foods, Inc. 91,200 1,739
* NBTY, Inc. 505,700 2,465
* Omega Protein Corp. 328,400 2,094
Standard Commercial Corp. 75,000 356
- ----------------------------------------------------
GROUP TOTAL 23,910
- ----------------------------------------------------
HEALTH CARE (10.7%)
Alpharma, Inc., Class A 123,600 4,851
* AmeriSource Health Corp.,
Class A 168,600 5,764
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Barr Laboratories, Inc. 46,800 $ 1,427
* Coulter Pharmaceutical, Inc. 109,100 2,373
* Coventry Health Care, Inc. 152,500 1,144
* Cytyc Corp. 191,100 2,651
* Express Scripts, Inc., Class
A 19,200 1,650
* Gilead Sciences, Inc. 9,200 419
* Guilford Pharmaceuticals,
Inc. 361,700 4,114
* Health Management Associates,
Inc., Class A 48,800 595
Henry Schein, Inc. 148,600 3,752
ICN Pharmaceuticals, Inc. 237,300 5,977
* King Pharmaceuticals, Inc. 159,500 4,426
* MedImmune, Inc. 26,700 1,580
* Oxford Health Plans, Inc. 149,900 2,342
* Priority Healthcare Corp.,
Class B 67,000 3,032
* QuardaMed Corp. 423,900 3,232
* STERIS Corp. 440,000 11,715
* Sybron International Corp. 264,200 6,605
Teva Pharmaceutical Industries
Ltd. ADR 98,100 4,654
* Trigon Healthcare, Inc. 112,600 3,856
* U.S. Bioscience, Inc. 313,800 3,413
* Universal Health Services,
Inc., Class B 104,600 4,524
* Varian, Inc. 64,200 2,488
- ----------------------------------------------------
GROUP TOTAL 86,584
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (11.1%)
AAR Corp. 194,400 3,463
* Alliant Techsystems, Inc. 27,600 2,144
* Atlantic Coast Airlines
Holdings, Inc. 80,700 2,270
* Atlas Air, Inc. 296,900 8,554
* Aviation Sales Co. 66,700 2,968
* BE Aerospace, Inc. 158,900 2,344
Case Corp. 86,100 2,185
Cummins Engine Co., Inc. 107,400 3,819
* Data Processing Resources
Corp. 198,200 2,713
Flowserve Corp. 388,900 6,052
Greenbrier Cos., Inc. 104,100 989
* Hanover Compressor Co. 75,800 2,009
* Insurance Auto Auctions, Inc. 201,500 2,443
* Johnstown America Industries,
Inc. 107,800 1,604
Kaydon Corp. 54,300 1,571
Knightsbridge Tankers Ltd. 104,700 1,806
Manitowoc Co. 45,200 1,893
Martin Marietta Materials, Inc. 12,200 696
* Midway Airlines Corp. 20,000 235
New Holland N.V. 218,200 2,237
* Orckit Communications Ltd. 19,700 410
* Pinnacle Holdings, Inc. 53,000 802
* Republic Services, Inc.,
Class A 266,600 4,316
* Safety-Kleen Corp. 304,150 4,030
Skywest, Inc. 136,000 3,927
* Swift Transportation Co.,
Inc. 70,500 1,802
Tecumseh Products Co., Class A 40,900 2,083
Teekay Shipping Corp. 149,000 2,459
* TMP Worldwide, Inc. 88,600 5,742
Tranz Rail Holdings Ltd. ADR 161,500 989
</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>
* Triumph Group, Inc. 78,500 $ 1,845
Wabash National Corp. 482,500 5,609
Werner Enterprises, Inc. 287,125 4,522
- ----------------------------------------------------
GROUP TOTAL 90,531
- ----------------------------------------------------
INSURANCE (2.5%)
Allmerica Financial Corp. 149,400 8,226
Everest Reinsurance Holdings,
Inc. 183,400 5,720
FBL Financial Group, Inc.,
Class A 104,200 1,850
Fremont General Corp. 104,700 1,996
Presidential Life Corp. 100,700 1,806
* Scottish Annuity & Life
Holdings, Ltd. 57,600 562
- ----------------------------------------------------
GROUP TOTAL 20,160
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (4.5%)
AMB Property Corp. 184,100 3,820
Arden Realty, Inc. 106,500 2,370
Camden Property Trust 100,800 2,495
CarrAmerica Realty Corp. 64,000 1,412
Chateau Communities, Inc. 78,308 2,153
Cousins Properties, Inc. 42,000 1,215
Crescent Real Estate Equities
Co. 124,500 2,677
Duke Realty Investments, Inc. 181,751 3,908
General Growth Properties, Inc. 10,800 350
Health Care REIT, Inc. 206,266 4,435
Healthcare Realty Trust, Inc. 59,900 1,138
Home Properties of N.Y., Inc. 102,865 2,379
HRPT Properties Trust 95,000 1,283
New Plan Excel Realty Trust 117,120 2,247
Newhall Land & Farming Co. 33,300 795
Post Properties, Inc. 110,700 3,985
- ----------------------------------------------------
GROUP TOTAL 36,662
- ----------------------------------------------------
RETAIL (5.4%)
* Ames Department Stores, Inc. 110,100 4,088
* AnnTaylor Stores Corp. 67,600 2,987
* BJ's Wholesale Club, Inc. 78,000 2,062
Bob Evans Farms, Inc. 87,200 1,744
Casey's General Stores, Inc. 186,200 2,746
* Dress Barn (The), Inc. 206,900 2,871
* Electronics Boutique Holdings
Corp. 141,200 1,959
* Friendly Ice Cream Corp. 87,700 537
* School Specialty, Inc. 111,100 2,173
* Sunglass Hut International,
Inc. 1,107,000 11,623
* Tweeter Home Entertainment
Group, Inc. 70,300 2,267
* Zale Corp. 246,900 8,441
- ----------------------------------------------------
GROUP TOTAL 43,498
- ----------------------------------------------------
TECHNOLOGY (12.1%)
* Acclaim Entertainment, Inc. 440,900 3,941
Advanced Energy Industries,
Inc. 51,400 1,211
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Advanced Radio Telecom Corp. 474,000 $ 5,451
* Aeroflex, Inc. 117,400 1,673
* Allen Telecom, Inc. 104,000 631
* American Management Systems 38,300 1,307
* BEA Systems, Inc. 339,900 5,311
* Billing Concepts Corp. 65,000 772
* Cherry Corp., Class A 144,100 1,945
* Electroglas, Inc. 126,900 1,634
* Electronics for Imaging, Inc. 253,300 9,879
* Exodus Communications, Inc. 12,000 1,614
* Galileo Technology Ltd. 96,100 2,811
* General Instrument Corp. 84,400 2,558
* GenRad, Inc. 242,600 3,487
* Informix Corp. 766,100 5,650
* Lycos, Inc. 32,500 2,797
* Mercury Interactive Corp. 52,200 1,860
* New Era of Networks, Inc. 23,500 1,592
* Novellus Systems, Inc. 31,900 1,758
* P-Com, Inc. 391,000 2,981
* Pinnacle Systems, Inc. 284,800 12,958
* Rational Software Corp. 95,700 2,566
* REMEC, Inc. 241,100 5,033
* SanDisk Corp. 117,100 3,103
* Security Dynamics
Technologies, Inc. 189,400 3,528
* Spectrian Corp. 138,900 1,632
* Verio, Inc. 136,800 6,310
* Vishay Intertechnology, Inc. 152,800 2,225
- ----------------------------------------------------
GROUP TOTAL 98,218
- ----------------------------------------------------
UTILITIES (9.5%)
* Calpine Corp. 151,500 5,520
Cincinnati Bell, Inc. 262,000 5,879
Commonwealth Energy Systems 117,300 4,516
Eastern Enterprises 67,000 2,437
* IDT Corp. 47,300 851
Illinova Corp. 283,800 6,013
* Metromedia International
Group, Inc. 293,200 1,429
* MetroNet Communications Corp. 30,700 1,689
Midamerican Energy Holdings Co. 360,800 10,103
Minnesota Power & Light Co. 161,200 3,184
Montana Power Co. 98,600 7,253
* NTL, Inc. 63,800 5,192
* Pacific Gateway Exchange,
Inc. 122,800 4,075
Public Service Co. of New
Mexico 83,700 1,423
Rochester Gas & Electric Corp. 43,700 1,120
Suburban Propane Partners LP 38,100 698
* Western Wireless Corp.,
Class A 326,700 11,843
* WinStar Communications, Inc. 109,600 3,983
- ----------------------------------------------------
GROUP TOTAL 77,208
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $741,944) 751,508
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (7.9%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (7.9%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99 to
be repurchased at $64,222,
collateralized by various
U.S. Government Obligations,
due 4/1/99-2/28/01, valued at
$64,789 (Cost $64,213) $ 64,213 $ 64,213
- ----------------------------------------------------
TOTAL INVESTMENTS (100.3%) (Cost $806,157) 815,721
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
Cash 1,450
Dividends Receivable 635
Interest Receivable 8
Receivable for Investments Sold 17,844
Receivable for Fund Shares Sold 889
Other Assets 38
Payable for Investments Purchased (20,701)
Payable for Fund Shares Redeemed (705)
Payable for Investment Advisory Fees (1,496)
Payable for Administrative Fees (54)
Payable for Trustees' Deferred
Compensation Plan-Note F (38)
Other Liabilities (42)
--------
(2,172)
- ----------------------------------------------------
NET ASSETS (100%) $813,549
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 48,671,288 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $813,173
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.71
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 22,523 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 376
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 16.71
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $809,062
Undistributed Net Investment Income (Loss) 2,646
Undistributed Realized Net Gain (Loss) (7,723)
Unrealized Appreciation (Depreciation) on
Investment Securities 9,564
- ----------------------------------------------------
NET ASSETS $813,549
- ----------------------------------------------------
</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.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Growth Portfolio invests in the common stock of small-and
medium-sized companies with superior long-term earnings-growth potential and
rising earnings estimates. MAS's four-part process combines quantitative,
fundamental, and valuation analysis with a strict sell discipline. A
quantitative screen sorts the stocks in each sector based on estimate revision.
MAS then conducts fundamental research on purchase candidates, seeking strong
sales growth, rising profit margins, and high returns on capital. Qualitative
measures, including management quality and strategic positioning, are also
reviewed. This fundamental analysis is coupled with valuation analysis to weed
out the most overvalued securities. Holdings are sold when earnings-estimate-
revisions deteriorate, when our fundamental research uncovers unfavorable
trends, or when their valuations exceed the level that we believe is reasonable
given their growth prospects.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS MID CAP GROWTH
------------------------- S&P MIDCAP
INSTITUTIONAL# ADVISER@ 400 INDEX
--------------------------------------
<S> <C> <C> <C>
SIX MONTHS 44.82% 44.60% 20.01%
ONE YEAR 21.09 20.77 0.45
FIVE YEARS 25.92 25.79 18.20
SINCE INCEPTION 22.78 22.71 17.16
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
* The Mid Cap Growth Portfolio commenced operations on 3/30/90. Total returns
are compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (96.5%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (2.8%)
* Concord EFS, Inc. 222,550 $ 6,134
First Tennessee National Corp. 228,000 8,351
SouthTrust Corp. 48,000 1,791
Zions Bancorp. 76,500 5,087
- ----------------------------------------------------
GROUP TOTAL 21,363
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.1%)
* Beringer Wine Estates
Holdings, Inc., Class B 200,700 7,300
Estee Lauder Cos., Class A 91,000 8,600
- ----------------------------------------------------
GROUP TOTAL 15,900
- ----------------------------------------------------
CONSUMER DURABLES (1.4%)
* Boyds Collection Ltd. 187,400 3,373
Danaher Corp. 144,400 7,545
- ----------------------------------------------------
GROUP TOTAL 10,918
- ----------------------------------------------------
CONSUMER SERVICES (17.0%)
* AT&T Corp.-Liberty Media
Group, Class A 332,593 17,503
* Cinar Films, Inc., Class B 378,100 8,696
* Fox Entertainment Group,
Inc., Class A 186,800 5,067
* Heftel Broadcasting Corp.,
Class A 131,700 5,712
Houghton Mifflin Co. 164,900 7,730
* Imax Corp. 226,700 4,421
* Jones Intercable, Inc.,
Class A 336,600 13,275
* Outdoor Systems, Inc. 339,962 10,199
* Pixar, Inc. 124,500 4,902
* Premier Parks, Inc. 318,900 11,879
* Ticketmaster
Online-CitySearch, Inc.,
Class B 157,000 5,279
* TV Guide, Inc. 320,500 11,818
* USA Networks, Inc. 191,800 6,869
* Valassis Communications, Inc. 114,000 5,900
* Young & Rubicam, Inc. 249,800 10,179
- ----------------------------------------------------
GROUP TOTAL 129,429
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.4%)
* CreditTrust Corp. 63,000 1,244
* E*TRADE Group, Inc. 147,000 8,572
Heller Financial, Inc. 263,200 6,185
Providian Financial Corp. 90,600 9,966
- ----------------------------------------------------
GROUP TOTAL 25,967
- ----------------------------------------------------
ENERGY (4.8%)
* Barrett Resources Corp. 125,600 3,148
* BJ Services Co. 331,000 7,758
* Cooper Cameron Corp. 211,500 7,164
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Smith International, Inc. 176,500 $ 7,060
Valero Energy Corp. 304,100 7,564
* Weatherford International,
Inc. 156,400 4,086
- ----------------------------------------------------
GROUP TOTAL 36,780
- ----------------------------------------------------
INSURANCE (2.7%)
AFLAC, Inc. 248,200 13,511
Protective Life Corp. 198,200 7,507
- ----------------------------------------------------
GROUP TOTAL 21,018
- ----------------------------------------------------
HEALTH CARE (11.6%)
Bergen Brunswig Corp., Class A 338,500 6,770
* Biogen, Inc. 119,000 13,603
* Genentech, Inc. 107,100 9,492
* Health Management Associates,
Inc., Class A 1,219,400 14,862
* Lincare Holdings, Inc. 720,500 20,264
* Medquist, Inc. 217,400 6,522
* Orthodontic Centers of
America, Inc. 253,400 3,991
* STERIS Corp. 229,600 6,113
* VISX, Inc. 59,300 6,378
- ----------------------------------------------------
GROUP TOTAL 87,995
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.6%)
* Allied Waste Industries, Inc. 537,475 7,760
Browning-Ferris Industries,
Inc. 195,200 7,527
Cintas Corp. 97,600 6,380
CNF Transportation, Inc. 251,300 9,502
Comair Holdings, Inc. 268,500 6,343
* Fiserv, Inc. 291,725 15,644
* Loral Space & Communications
Ltd. 411,400 5,940
* United Rentals, Inc. 482,200 13,743
- ----------------------------------------------------
GROUP TOTAL 72,839
- ----------------------------------------------------
RETAIL (6.2%)
* Abercrombie & Fitch Co.,
Class A 71,600 6,587
* Ann Taylor Stores, Inc. 153,100 6,765
* Best Buy Co., Inc. 177,600 9,235
* Hollywood Entertainment Corp. 250,300 4,662
* Office Depot, Inc. 175,400 6,457
* Polo Ralph Lauren Corp. 259,000 5,148
Tandy Corp. 124,600 7,951
- ----------------------------------------------------
GROUP TOTAL 46,805
- ----------------------------------------------------
TECHNOLOGY (24.7%)
* ADC Telecommunications, Inc. 271,300 12,938
Adobe Systems, Inc. 80,900 4,591
* Broadcom Corp., Class A 121,700 7,500
* Citrix Systems, Inc. 139,600 5,322
* Concentric Network Corp. 124,400 9,299
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* eBay, Inc. 37,100 $ 5,094
* Excite, Inc. 69,000 9,660
* General Instrument Corp. 341,000 10,336
* Infoseek Corp. 100,700 7,452
* Inktomi Corp. 119,200 10,222
* Ivillage, Inc. 37,000 3,719
* KLA-Tencor Corp. 105,100 5,104
Linear Technology Corp. 137,800 7,062
* MindSpring Enterprises, Inc. 102,300 8,804
* Network Appliance, Inc. 121,900 6,171
* Network Solutions, Inc.,
Class A 97,400 10,300
* Novell, Inc. 306,000 7,707
* QUALCOMM, Inc. 131,200 16,318
* Rational Software Corp. 402,200 10,784
* Sapient Corp. 72,600 5,182
* Uniphase Corp. 112,200 12,917
* Vitesse Semiconductor Corp. 221,700 11,224
- ----------------------------------------------------
GROUP TOTAL 187,706
- ----------------------------------------------------
UTILITIES (10.2%)
Century Telephone Enterprises,
Inc. 87,800 6,168
Cincinnati Bell, Inc. 358,800 8,051
Frontier Corp. 144,900 7,517
* Globalstar Telecommunications
Ltd. 556,704 7,724
* NEXTLINK Communications,
Inc., Class A 222,100 12,438
* RSL Communications, Ltd.,
Class A 254,000 9,128
* Sprint Corp. 243,300 10,781
* Western Wireless Corp., Class
A 442,100 16,026
- ----------------------------------------------------
GROUP TOTAL 77,833
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $615,935) 734,553
- ----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
<S> <C> <C>
- ----------------------------------------------------
CASH EQUIVALENTS (17.7%)
- ----------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (15.4%) $ 116,837 116,837
- ----------------------------------------------------
REPURCHASE AGREEMENT (2.3%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $17,499,
collateralized by various
U.S. Government Obligations,
due 4/1/99-2/28/01, valued at
$17,654 17,497 17,497
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $134,334) 134,334
- ----------------------------------------------------
TOTAL INVESTMENTS (114.2%) (Cost $750,269) 868,887
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-14.2%)
Cash $ 3
Dividends Receivable 112
Interest Receivable 2
Receivable for Investments Sold 6,571
Receivable for Fund Shares Sold 4,349
Other Assets 26
Payable for Investments Purchased (465)
Payable for Fund Shares Redeemed (816)
Payable for Investment Advisory Fees (865)
Payable for Administrative Fees (50)
Payable for Trustees' Deferred
Compensation Plan-Note F (25)
Payable for Distribution Fees-Adviser
Class (32)
Collateral on Securities Loaned, at Value (116,837)
--------
(108,027)
- ----------------------------------------------------
NET ASSETS (100%) $760,860
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 26,583,236 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $603,950
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 22.72
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 6,948,445 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $156,910
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 22.58
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $514,481
Undistributed Net Investment Income (Loss) (571)
Undistributed Realized Net Gain (Loss) 128,332
Unrealized Appreciation (Depreciation) on
Investment Securities 118,618
- ----------------------------------------------------
NET ASSETS $760,860
- ----------------------------------------------------
</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.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Value Portfolio applies Miller Anderson & Sherrerd's value investing
to medium-sized companies, combining MAS's disciplined valuation process with
the judgment gained through considerable experience in low P/E investing. The
Portfolio keeps sector weights within 5% of the sector weights of the S&P
Mid-Cap 400 Index, with strategic over- and under-weightings assigned to
different economic sectors and industries.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS MID CAP VALUE
--------------------------------------- S&P MIDCAP
INSTITUTIONAL# INVESTMENT< ADVISER@ 400 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 17.90% 17.85% 17.78% 20.01%
ONE YEAR (0.31) (0.41) (0.41) 0.45
SINCE INCEPTION 28.62 28.46 28.59 21.68
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
07/17/98. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25% 12b-1
Fee applicable to the Adviser Class. It is expected that, over time, returns for
the Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Mid Cap Value Portfolio commenced operations on 12/30/94. Total returns
are compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (92.9%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (5.8%)
City National Corp. 26,400 $ 815
Dime Bancorp, Inc. 100,100 2,321
First American Corp. 36,285 1,338
Fleet Financial Group, Inc. 81,900 3,082
Greenpoint Financial Corp. 85,000 2,954
Hibernia Corp., Class A 96,600 1,268
Mellon Bank Corp. 138,100 9,719
Mercantile Bankshares Corp. 115,931 4,289
PNC Bank Corp. 25,700 1,428
Regions Financial Corp. 6,900 239
SouthTrust Corp. 67,200 2,507
UnionBanCal Corp. 53,000 1,805
- ----------------------------------------------------
GROUP TOTAL 31,765
- ----------------------------------------------------
BASIC RESOURCES (1.9%)
Boise Cascade Corp. 37,800 1,219
* Gaylord Container Corp.,
Class A 156,500 1,174
Georgia-Pacific Corp. (Timber
Group) 64,900 1,456
Lubrizol Corp. 81,200 1,827
Solutia, Inc. 196,900 3,421
Witco Corp. 111,600 1,416
- ----------------------------------------------------
GROUP TOTAL 10,513
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.0%)
Dial Corp. 74,100 2,547
* Suiza Foods Corp. 88,100 2,968
- ----------------------------------------------------
GROUP TOTAL 5,515
- ----------------------------------------------------
CONSUMER DURABLES (7.7%)
Arvin Industries, Inc. 80,300 2,705
* Lear Corp. 108,500 4,632
Meritor Automotive, Inc. 41,900 649
* Navistar International Corp. 190,400 7,652
Southdown, Inc. 396,700 21,298
* Tower Automotive, Inc. 282,500 5,262
- ----------------------------------------------------
GROUP TOTAL 42,198
- ----------------------------------------------------
CONSUMER SERVICES (7.9%)
* ACNielsen Corp. 190,000 5,154
* Bally Total Fitness Holding
Corp. 270,900 6,468
* Jones Intercable, Inc., Class A 133,900 5,281
* Journal Register Co. 24,900 299
* Promus Hotel Corp. 16,800 611
* Romac International, Inc. 48,800 415
Royal Caribbean Cruises Ltd. 150,700 5,877
Service Corp. International 78,400 1,117
* Valassis Communications, Inc. 256,800 13,289
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14
<PAGE> 17
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Viad Corp. 60,300 $ 1,677
Washington Post Co., Class B 6,300 3,285
- ----------------------------------------------------
GROUP TOTAL 43,473
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (5.0%)
Ambac Financial Group, Inc. 37,700 2,036
Bear Stearns Co., Inc. 29,950 1,338
* E*TRADE Group, Inc. 67,000 3,907
Heller Financial, Inc. 296,000 6,956
* Knight/Trimark Group, Inc. 59,900 4,013
Old Kent Financial Corp. 75,000 3,169
Paine Webber Group, Inc. 83,000 3,310
Price (T. Rowe) Associates, Inc. 22,800 784
Waddell & Reed Financial, Inc. 87,900 1,802
- ----------------------------------------------------
GROUP TOTAL 27,315
- ----------------------------------------------------
ENERGY (8.2%)
Baker Hughs, Inc. 342,600 8,329
* BJ Services Co. 90,000 2,109
Burlington Resources, Inc. 76,600 3,059
* Cooper Cameron Corp. 121,600 4,119
Halliburton Co. 22,600 870
* Nabors Industries, Inc. 223,200 4,060
* Ocean Energy Corp. 666,160 4,538
Tosco Corp. 467,000 11,588
Transocean Offshore, Inc. 83,700 2,412
Ultramar Diamond Shamrock Corp. 75,800 1,639
Valero Energy Corp. 3,400 85
* Weatherford International, Inc. 76,300 1,993
- ----------------------------------------------------
GROUP TOTAL 44,801
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (3.4%)
Dean Foods Co. 29,200 1,040
Earthgrains Co. 202,200 4,486
* Fresh Del Monte Produce, Inc. 427,400 7,934
Michael Foods, Inc. 76,100 1,451
Quaker Oats Co. 30,300 1,896
Tyson Foods, Inc., Class A 101,200 2,094
- ----------------------------------------------------
GROUP TOTAL 18,901
- ----------------------------------------------------
HEALTH CARE (9.9%)
Alpharma, Inc., Class A 61,100 2,398
Bergen Brunswig Corp., Class A 70,500 1,410
* Health Management Associates,
Inc., Class A 367,000 4,473
* Henry Schein, Inc. 80,900 2,043
ICN Pharmaceuticals, Inc. 212,300 5,347
* Lincare Holdings, Inc. 333,900 9,391
McKesson HBOC, Inc. 66,164 4,367
* STERIS Corp. 176,300 4,694
* Sybron International Corp. 230,100 5,753
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Teva Pharmaceutical Industries
Ltd. ADR 55,800 2,647
* Watson Pharmaceuticals, Inc. 271,900 11,998
- ----------------------------------------------------
GROUP TOTAL 54,521
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.5%)
Aeroquip-Vickers, Inc. 50,900 $ 2,917
* Allied Waste Industries, Inc. 492,900 7,116
* Atlas Air, Inc. 99,600 2,870
Browning-Ferris Industries, Inc. 66,900 2,580
Case Corp. 56,700 1,439
* Casella Waste Systems, Inc.
Class A 55,400 1,250
CNF Transportation, Inc. 67,400 2,549
COMSAT Corp. 39,000 1,128
* Fiserv, Inc. 135,000 7,239
* Gulfstream Aerospace Corp. 60,500 2,624
* Interim Services, Inc. 144,700 2,170
Martin Marietta Materials, Inc. 18,100 1,033
Miller (Herman), Inc. 96,800 1,767
New Holland NV 141,400 1,449
Southwest Airlines Co. 64,950 1,965
Teekay Shipping Corp. 71,600 1,181
- ----------------------------------------------------
GROUP TOTAL 41,277
- ----------------------------------------------------
INSURANCE (5.1%)
Aflac, Inc. 161,800 8,808
Allmerica Financial Corp. 222,600 12,257
ReliaStar Financial Corp. 113,700 4,847
* Scottish Annuity & Life Holding 39,000 380
Travelers Property Casualty
Corp., Class A 52,600 1,881
- ----------------------------------------------------
GROUP TOTAL 28,173
- ----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.7%)
Crescent Real Estate Equities Co. 180,900 3,889
- ----------------------------------------------------
RETAIL (8.6%)
Albertsons, Inc. 26,800 1,456
* Ann Taylor Stores, Inc. 90,600 4,003
* BJ's Wholesale Club, Inc. 201,300 5,322
* Brinker International, Inc. 121,900 3,147
CVS Corp. 109,062 5,180
Family Dollar Stores, Inc. 111,600 2,567
* Federated Department Stores,
Inc. 50,800 2,038
* Jones Apparel Group, Inc. 120,100 3,355
* Kroger Co. 44,400 2,658
* Sunglass Hut International,
Inc. 718,800 7,547
Tandy Corp. 43,100 2,750
TJX Cos., Inc. 165,900 5,641
* Tweeter Home Entertainment
Group, Inc. 57,300 1,848
- ----------------------------------------------------
GROUP TOTAL 47,512
- ----------------------------------------------------
TECHNOLOGY (11.2%)
* Acclaim Entertainment, Inc. 268,400 2,399
* ADC Telecommunications, Inc. 155,000 7,392
* Advanced Energy Industries,
Inc. 10,500 247
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Analog Devices, Inc. 228,500 $ 6,798
* Atmel Corp. 99,300 1,508
* BEA Systems, Inc. 206,100 3,220
* BMC Software, Inc. 72,900 2,702
* Cadence Design Systems, Inc. 264,500 6,811
* Electronic Arts, Inc. 18,000 855
* Electronics for Imaging, Inc. 66,800 2,605
First Data Corp. 65,900 2,817
* General Instrument Corp. 90,000 2,728
* Informix Corp. 509,200 3,755
* Lexmark International Group,
Inc. 11,800 1,319
* NCR Corp. 30,200 1,510
* Network Associates, Inc. 10,700 328
* QUALCOMM, Inc. 49,900 6,206
* Rational Software Corp. 36,500 979
* Sterling Software, Inc. 121,900 2,895
* Storage Technology Corp. 32,000 892
* Tech Data Corp. 42,100 966
* 3Com Corp. 121,600 2,835
- ----------------------------------------------------
GROUP TOTAL 61,767
- ----------------------------------------------------
UTILITIES (9.0%)
Allegheny Energy, Inc. 87,700 2,587
Black Hills Corp. 45,450 969
Carolina Power & Light Co. 75,000 2,836
Cincinnati Bell, Inc. 292,000 6,552
CMS Energy Corp. 32,600 1,306
Columbia Energy Group 98,700 5,157
Florida Progress Corp. 71,600 2,703
Illinova Corp. 69,900 1,481
IPALCO Enterprises, Inc. 66,800 1,465
Kansas City Power & Light Co. 78,100 1,923
Montana Power Co. 30,500 2,244
New Century Energies, Inc. 76,800 2,616
PECO Energy Co. 69,000 3,191
Pinnacle West Capital Corp. 60,300 2,193
Public Service Enterprise Group,
Inc. 79,000 3,017
* Qwest Communications
International, Inc. 51,154 3,688
Texas Utilities Co. 128,100 5,340
- ----------------------------------------------------
GROUP TOTAL 49,268
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $498,724) 510,888
- ----------------------------------------------------
WARRANTS (0.1%)
- ----------------------------------------------------
BANKS (0.1%)
* Golden State Bancorp, Inc.,
Litigation Warrants, expiring
1/1/01 (Cost $400) 77,300 374
- ----------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (7.8%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (7.8%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $43,182,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$43,563 (Cost $43,176) $43,176 $ 43,176
- ----------------------------------------------------
TOTAL INVESTMENTS (100.8%) (Cost $542,300) 554,438
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
Cash 9
Dividends Receivable 281
Interest Receivable 6
Receivable for Investments Sold 15,305
Receivable for Fund Shares Sold 4,369
Other Assets 12
Payable for Investments Purchased (22,027)
Payable for Fund Shares Redeemed (1,311)
Payable for Investment Advisory Fees (998)
Payable for Administrative Fees (35)
Payable for Trustees' Deferred
Compensation Plan-Note F (12)
Payable for Shareholder Servicing
Fee-Investment Class (3)
Payable for Distribution Fee-Adviser Class (2)
Other Liabilities (10)
--------
(4,416)
- ----------------------------------------------------
NET ASSETS (100%) $550,022
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 26,090,832 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $520,026
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.93
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,150,338 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 22,860
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.87
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 357,865 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 7,136
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.94
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $510,078
Undistributed Net Investment Income (Loss) 1,198
Undistributed Realized Net Gain (Loss) 26,608
Unrealized Appreciation (Depreciation) on
Investment Securities 12,138
- ----------------------------------------------------
NET ASSETS $550,022
- ----------------------------------------------------
</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.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Growth Portfolio invests in the common stock of small-sized
companies with superior long-term earnings-growth potential and rising earnings
estimates. MAS's four-part process combines quantitative, fundamental, and
valuation analysis with a strict sell discipline. A quantitative screen sorts
the stocks in each sector based on estimate revision. MAS then conducts
fundamental research on purchase candidates, seeking strong sales growth, rising
profit margins, and high returns on capital. Qualitative measures, including
management quality and strategic positioning, are also reviewed. This
fundamental analysis is coupled with valuation analysis to weed out the most
overvalued securities. Holdings are sold when earnings-estimate-revisions
deteriorate, when our fundamental research uncovers unfavorable trends, or when
their valuations exceed the level that we believe is reasonable given their
growth prospects.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS SMALL RUSSELL 2000
CAP GROWTH INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 137.22% 10.00%
SINCE INCEPTION 103.30 (12.16)
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Small-capitalization stock prices have
experienced a greater degree of market volatility than those of
large-capitalization companies.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Small Cap Growth Portfolio commenced operations on 6/30/98. Total returns
are compared to the Russell 2000 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (94.2%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (2.0%)
* Concord EFS, Inc. 5,000 $ 138
* Net.B@nk, Inc. 5,300 360
- ----------------------------------------------------
GROUP TOTAL 498
- ----------------------------------------------------
BASIC RESOURCES (0.9%)
* Gaylord Container Corp., Class
A 28,900 217
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.9%)
* Beringer Wine Estates Holdings,
Inc., Class B 6,500 237
- ----------------------------------------------------
CONSUMER DURABLES (0.9%)
* Boyds Collection, Ltd. 12,900 232
- ----------------------------------------------------
CONSUMER SERVICES (22.5%)
* Century Communications Corp.,
Class A 7,200 334
* Cinar Films, Inc., Class B 12,000 276
* Citadel Communications Corp. 13,300 442
* Emmis Communications Corp.,
Class A 4,100 205
* Hines Horticulture, Inc. 15,300 126
* Imax Corp. 11,200 219
* Jones Intercable, Inc., Class A 8,800 347
* Lamar Advertising Co. 7,900 268
* MarketWatch.com, Inc. 3,100 229
* Pegasus Communications Corp. 12,100 339
* Pegasus Systems, Inc. 5,100 203
* Pixar, Inc. 6,300 248
* Premier Parks, Inc. 9,700 361
* RoweCom, Inc. 6,400 279
* SFX Entertainment, Inc., Class
A 5,300 342
* Steiner Leisure Ltd. 7,900 243
* THINK New Ideas, Inc. 19,700 308
* TV Guide, Inc. 5,800 214
* Valassis Communications, Inc. 5,900 305
* ValueVision International, Inc. 17,100 211
* Westwood One, Inc. 9,600 274
- ----------------------------------------------------
GROUP TOTAL 5,773
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.8%)
* Creditrust Corp. 5,600 110
* Finet Holdings Corp. 57,900 284
Medallion Financial Corp. 18,100 273
* National Discount Brokers
Group, Inc. 11,000 309
- ----------------------------------------------------
GROUP TOTAL 976
- ----------------------------------------------------
</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>
ENERGY (4.6%)
* Barrett Resources Corp. 9,800 $ 245
* IRI International Corp. 44,000 179
* Nuevo Energy Co. 23,400 316
Santa Fe International Corp. 16,800 314
* Smith International, Inc. 3,500 140
- ----------------------------------------------------
GROUP TOTAL 1,194
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (0.8%)
* Rexall Sundown, Inc. 10,800 207
- ----------------------------------------------------
HEALTH CARE (11.1%)
* Anesta Corp. 9,700 219
Bindley Western Industries, Inc. 10,400 297
* ChiRex, Inc. 6,400 157
* Lincare Holdings, Inc. 16,600 467
* Medical Manager Corp. 11,100 257
* MedQuist, Inc. 8,200 246
* Orthodontic Centers of America,
Inc. 11,300 178
* Priority Healthcare Corp.,
Class B 6,365 288
* STERIS Corp. 5,700 152
* VISX, Inc. 2,600 279
* Xomed Surgical Products, Inc. 7,900 310
- ----------------------------------------------------
GROUP TOTAL 2,850
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.5%)
* Atlantic Coast Airlines
Holdings, Inc. 7,500 211
G & K Services, Inc., Class A 4,700 217
* Insituform Technologies, Inc.,
Class A 15,000 262
* L-3 Communications Holdings,
Inc. 5,800 268
* Quanta Services, Inc. 11,300 287
* TMP Worldwide, Inc. 3,900 253
* U.S. Liquids, Inc. 10,400 224
* United Rentals, Inc. 7,600 217
- ----------------------------------------------------
GROUP TOTAL 1,939
- ----------------------------------------------------
INSURANCE (4.4%)
Annuity & Life Re Holdings. Ltd. 12,400 284
* FPIC Insurance Group, Inc. 5,800 241
* Medical Assurance, Inc. 8,000 224
Mutual Risk Management Ltd. 6,300 241
Protective Life Corp. 3,900 148
- ----------------------------------------------------
GROUP TOTAL 1,138
- ----------------------------------------------------
RETAIL (5.6%)
* AnnTaylor Stores Corp. 5,200 230
* Cheap Tickets, Inc. 10,400 350
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Hollywood Entertainment Corp. 11,300 $ 211
* MarineMax, Inc. 14,200 156
* School Specialty, Inc. 8,300 162
* Tweeter Home Entertainment
Group, Inc. 10,400 335
- ----------------------------------------------------
GROUP TOTAL 1,444
- ----------------------------------------------------
TECHNOLOGY (21.2%)
* ANTEC Corp. 10,000 215
* CFM Technologies, Inc. 23,800 173
* Concentric Network Corp. 5,100 381
* Galileo Technology Ltd. 10,400 304
* Gilat Satellite Networks, Ltd. 4,300 258
* Informix Corp. 23,700 175
* Internet America, Inc. 7,300 216
* IntraNet Solutions, Inc. 27,400 226
* iVillage Inc. 1,100 111
* JDS Fitel, Inc. 3,900 220
* Macromedia, Inc. 7,000 317
* Macrovision Corp. 7,100 263
* MindSpring Enterprises, Inc. 1,900 163
* New Era of Networks, Inc. 3,600 244
* Object Design, Inc. 37,500 192
* PMC-Sierra, Inc. 2,300 164
* RF Micro Devices, Inc. 3,000 287
* Sapient Corp. 4,500 321
* SoftNet Systems, Inc. 10,400 381
* Transaction Systems Architects,
Inc., Class A 6,000 216
* Verio, Inc. 7,400 341
* VerticalNet, Inc. 2,600 270
- ----------------------------------------------------
GROUP TOTAL 5,438
- ----------------------------------------------------
UTILITIES (8.0%)
* Commonwealth Telephone
Enterprises, Inc. 6,300 232
Europolitan Holdings AB 1,700 157
* Intermedia Communications, Inc. 11,400 304
* MetroNet Communications Corp.,
Class B 5,000 275
* NEXTLINK Communications, Inc.,
Class A 4,100 230
* NTL, Inc. 2,300 187
* RSL Communications Ltd., Class
A 8,500 305
* Western Wireless Corp., Class A 10,100 366
- ----------------------------------------------------
GROUP TOTAL 2,056
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $21,940) 24,199
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (4.9%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (4.9%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $1,250,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at $1,261
(Cost $1,250) $ 1,250 $ 1,250
- ----------------------------------------------------
TOTAL INVESTMENTS (99.1%) (Cost $23,190) 25,449
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.9%)
Cash 483
Dividends Receivable 1
Receivable for Investments Sold 592
Receivable for Fund Shares Sold 516
Receivable from Investment Adviser 10
Payable for Investments Purchased (1,277)
Payable for Fund Shares Redeemed (50)
Payable for Investment Advisory Fees (27)
Payable for Administrative Fees (1)
Other Liabilities (10)
-------
237
- ----------------------------------------------------
NET ASSETS (100%) $25,686
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 1,263,262 outstanding shares
to beneficial interest (unlimited
authorization, no par value) $25,686
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 20.33
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital 19,298
Undistributed Net Investments Income (Loss) (26)
Undistributed Realized Net Gain (Gain) 4,155
Unrealized Appreciation (Depreciation) on:
Investment Securities 2,259
- ----------------------------------------------------
NET ASSETS $25,686
- ----------------------------------------------------
</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.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio is Miller Anderson & Sherrerd's primary fixed-income
fund, investing in all sectors of the bond market. MAS constructs a diversified
fund with a maturity and duration structure reflecting long-term views on
interest rates and inflation. MAS selects investments in U.S. Treasuries,
agencies, corporates, mortgages, non-dollar and other fixed-income securities
based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS FIXED INCOME
--------------------------------------- SALOMON
INSTITUTIONAL# INVESTMENT< ADVISER@ BROAD INDEX
------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 1.48% 1.48% 1.31% (0.06)%
ONE YEAR 5.41 5.23 5.14 6.50
FIVE YEARS 7.93 7.85 7.78 7.81
TEN YEARS 9.58 9.54 9.50 9.13
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
10/15/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/7/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25% 12b-1
Fee applicable to the Adviser Class.
Total returns for the Investment and Adviser Classes of the Portfolio reflect
expenses reimbursed by the Adviser for certain periods. Without such
reimbursements, total returns would have been lower.
* Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (121.0%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (54.0%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
9.50%, 10/1/16 Agy $ 1,074 $ 1,161
10.00%,
2/1/10-11/1/20 Agy 20,335 22,129
10.50%, 8/1/09-4/1/26 Agy 2,804 3,081
11.00%, 5/1/11-9/1/20 Agy 3,938 4,405
11.25%,
10/1/11-12/1/15 Agy 1,286 1,439
11.50%,
1/1/11-12/1/15 Agy 175 197
11.75%, 4/1/19 Agy 81 92
12.00%,
10/1/09-2/1/15 Agy 275 314
12.50%, 8/1/13 Agy 18 21
13.00%, 6/1/19 Agy 35 40
14.00%, 8/1/14 Agy 11 13
14.75%, 3/1/10 Agy 24 28
Gold Pools:
9.00%, 7/1/17 Agy 8,303 8,919
9.50%,
10/1/17-12/1/22 Agy 9,746 10,604
10.00%, 6/1/17-3/1/21 Agy 6,211 6,810
10.50%, 8/1/19-4/1/21 Agy 1,198 1,326
April TBA
6.00%, 4/15/29 Agy 419,825 408,280
Federal National
Mortgage Association,
Conventional Pools:
9.00%, 12/1/08-1/1/22 Agy 23,558 25,252
9.50%,
11/1/13-12/1/26 Agy 18,449 20,028
10.00%,
10/0/07-1/1/27 Agy 14,050 15,385
10.50%, 6/1/10-7/1/25 Agy 8,677 9,525
10.75%, 2/1/11 Agy 39 43
11.00%,
1/1/16-11/1/20 Agy 3,398 3,811
11.50%, 1/1/13-2/1/20 Agy 3,758 4,263
12.00%, 8/1/13-4/1/15 Agy 94 108
12.50%, 5/1/12 Agy 785 899
April TBA
6.00%, 4/25/29 Agy 1,367,850 1,329,166
6.50%, 4/25/29 Agy 131,000 127,295
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%,
7/20/27-9/20/27 Tsy 30,103 30,548
6.50%,
10/20/27-1/20/28 Tsy 87,398 88,598
6.875%,
2/20/25-6/20/25 Tsy 96,902 98,594
7.00%,
2/20/25-11/20/25 Tsy 16,474 16,761
7.125%, 7/20/25 Tsy 12,903 13,130
7.50%, 1/20/25 Tsy 10,308 10,488
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
Various Pools:
9.00%,
10/15/15-12/15/21 Tsy $ 33,635 $ 36,027
9.50%,
12/15/17-9/15/22 Tsy 22,899 24,912
10.00%,
11/15/09-10/15/28 Tsy 182,590 200,078
10.50%,
8/15/10-5/15/26 Tsy 16,075 17,765
11.00%,
12/15/09-4/15/28 Tsy 39,537 44,446
11.50%,
7/15/12-9/20/19 Tsy 1,073 1,201
12.00%,
4/15/12-11/15/19 Tsy 17,653 20,219
- -------------------------------------------------------------------
GROUP TOTAL 2,607,401
- -------------------------------------------------------------------
ASSET BACKED CORPORATES (14.4%)
Advanta Mortgage Loan
Trust
Series:
97-3 A2
6.61%, 4/25/12 AAA 9,669 9,660
97-4 A2
6.53%, 9/25/12 AAA 16,917 16,918
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 55 55
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 13,555 13,666
97-D A3
6.20%, 5/15/03 AAA 10,225 10,279
98-A A3
5.90%, 11/15/02 AAA 15,340 15,363
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 20,527 20,540
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 3,865 3,882
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 276 276
+## Citibank Credit Card
Master Trust I,
Series 98-7 A
4.949%, 5/15/02 Aaa 36,450 36,429
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 30,000 30,007
(+) Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R 8,122 5,279
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
Contimortgage Home
Equity Loan Trust,
Series 99-A A1
6.01%, 12/25/13 AAA $ 25,075 $ 25,043
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 6,900 6,936
Daimler Benz Vehicle
Trust, Series 98-A A2
5.23%, 12/20/01 AAA 28,925 28,892
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 13,664 13,683
EQCC Home Equity Loan
Trust,
Series 98-2 A1-F
6.235%, 4/15/08 AAA 19,945 19,975
Federal Home Loan
Mortgage Corp. Pass
Through Notes,
Series T-15 A1
5.83%, 12/25/13 Agy 20,360 20,310
(+) First Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 8,534 8,489
First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 12,282 12,344
First Security Auto
Owner Trust,
Series 98-1 A2
5.18%, 6/15/01 AAA 28,725 28,727
## First USA Credit Card
Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA 22,900 22,907
Ford Credit Auto
Owner Trust, Series
97-B A3
6.05%, 4/15/01 AAA 22,062 22,142
(+) Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 7,312 4,753
Green Tree Home
Improvement Loan
Trust,
Series:
+ 98-E HEA2
5.83%, 2/15/12 Aaa 22,629 22,722
99-A A1
5.59%, 2/15/13 AAA 25,075 25,068
Green Tree Lease
Finance, Series 97-1
A3
6.17%, 9/20/05 AAA 1,490 1,496
</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>
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA $ 23,892 $ 23,857
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 11,943 11,973
97-B A
5.95%, 5/15/03 AAA 10,140 10,174
IMC Home Equity Loan
Trust,
Series:
98-1 A2
6.31%, 12/20/12 AAA 20,050 20,091
98-3 A2
6.27%, 11/20/13 AAA 31,095 31,082
IndyMac Home Equity
Loan,
Series 98-A A1
5.724%, 9/25/20 AAA 21,490 21,465
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 7,125 7,158
MMCA Automobile Trust,
Series 97-1 A3
6.06%, 5/15/01 AAA 575 576
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 12,000 12,325
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 13,727 13,819
Provident Bank Home
Equity Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 22,755 22,771
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 21,450 21,468
Salomon Brothers
Mortgage Securities
VII, Series 98-NC7 A1
6.063%, 12/25/28 AAA 22,026 21,985
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 6,500 6,548
97-1 A
7.35%, 5/15/03 A- 5,275 5,411
</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 $ 13,522 $ 13,575
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 24,447 24,532
- -------------------------------------------------------------------
GROUP TOTAL 694,651
- -------------------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 101,192 2,196
(+) 96-3 A YMA
10/25/26 N/R 101,192 136
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 67,681 1,570
(+) 96-4 A11 I YMA
1/15/28 AAA 71,790 97
96-4 A12 I IO
1.05%, 1/15/28 AAA 14,310 332
(+) 96-4 A12 I YMA
1/15/28 AAA 15,479 23
97-1 A10 I IO
1.10%, 3/15/28 AAA 84,493 1,994
97-1 A10 I YMA
3/15/28 N/R 89,994 126
- -------------------------------------------------------------------
GROUP TOTAL 6,474
- -------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.7%)
Federal Home Loan
Mortgage Corporation,
Series:
1398-I Inv Fl
13.216%, 10/15/07 Agy 2,451 2,875
1415-S Inv Fl IO
22.25%, 11/15/07 Agy 1,947 809
1476-S Inv Fl IO REMIC
PAC
4.595%, 2/15/08 Agy 20,996 2,045
1485-S Inv Fl IO REMIC
4.60%, 3/15/08 Agy 17,793 1,400
1600-SA Inv Fl IO
REMIC
3.00%, 10/15/08 Agy 38,578 2,122
## 1933-FM REMIC
5.75%, 3/15/25 Agy 709 710
## 1933-FO REMIC
5.75%, 3/15/25 Agy 1,401 1,405
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
1950-SC Inv Fl IO
3.00%, 10/15/22 Agy $ 4,990 $ 337
## 2040 FC
5.289%, 2/15/23 Agy 13,169 13,187
## E2 F
5.988%, 2/15/24 Agy 69 69
Federal National
Mortgage Association,
Series:
90-118 S Inv Fl REMIC
33.329%, 9/25/20 Agy 755 1,161
92-186 S Inv Fl IO
REMIC
3.642%, 10/25/07 Agy 35,098 2,699
93-205 H PO REMIC
9/25/23 Agy 19,224 11,663
## 94-50 FD REMIC
5.388%, 3/25/24 Agy 10,218 10,233
94-93 PD PAC-1 (11)
7.25%, 4/25/15 Agy 82 82
96-14 PC PO
12/25/23 Agy 1,077 840
96-54 O PO
11/25/23 Agy 923 699
96-68 SC Inv Fl IO
REMIC
3.163%, 1/25/24 Agy 11,605 1,426
97-30 SI Inv Fl IO
3.063%, 7/25/22 Agy 2,245 150
## 97-43 FM REMIC
5.438%, 7/18/27 Agy 7,495 7,509
97-57 PV IO
8.00%, 9/18/27 Agy 23,139 7,745
## 97-70 FA REMIC,
(PAC) 11
5.388%, 7/18/20 Agy 9,149 9,156
## 98-22 FA REMIC
5.336%, 4/18/22 Agy 25,610 25,585
## 98-40 F
5.238%, 6/17/28 Agy 28,924 28,833
186 IO
8.00%, 8/1/27 Agy 39,774 7,787
191 IO
8.00%, 1/1/28 Agy 26,185 5,380
270-2 IO
8.50%, 9/1/23 Agy 48,391 10,548
274-2 IO
8.50%, 10/1/25 Agy 7,337 1,566
275-2 IO
8.00%, 11/1/26 Agy 24,376 4,719
281-2 IO
9.00%, 11/1/26 Tsy 10,663 2,311
291-2 IO
8.00%, 11/1/27 Agy 50,163 10,040
G92-53 S Inv Fl IO
REMIC
38.813%, 9/25/22 Agy 1,434 1,114
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
## First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA $ 38 $ 8
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO
REMIC
3.50%, 6/16/26 Tsy 1,172 80
96-13 S Inv Fl IO
REMIC
4.15%, 7/16/11 Tsy 521 44
96-17 S Inv Fl IO
REMIC
3.55%, 8/16/26 Tsy 1,889 134
+ Kidder Peabody
Mortgage Assets Trust,
Series 87-B IO
9.50%, 4/22/18 Aaa 61 13
- -------------------------------------------------------------------
GROUP TOTAL 176,484
- -------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.6%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 4,375 4,644
+ Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 Baa3 54 53
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.285%, 5/28/22
(acquired 8/5/92,
cost $4,768) N/R 4,770 4,580
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 2,291 2,438
## Morserv, Inc.,
Series 96-2 1A1
5.79%, 11/25/26 AAA 14,830 14,876
sec.+Prudential Home
Mortgage Securities
Co., Inc., Series
93-17 B1
6.50%, 3/1/23
(acquired 10/13/94,
cost $8) A2 9 9
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 1,664 1,639
- -------------------------------------------------------------------
GROUP TOTAL 28,239
- -------------------------------------------------------------------
</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>
COMMERCIAL MORTGAGES (2.8%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa $ 8,015 $ 8,163
Asset Securitization
Corp.,
Series:
## 95-MD4 A1
7.10%, 8/13/29 AAA 27,597 28,345
96-MD6 A1B
6.88%, 11/13/26 AAA 125 127
96-MD6 A1C
7.04%, 11/13/26 AAA 8,150 8,348
+## 97-D5 PS1 IO
1.574%, 2/14/41 Aaa 93,843 8,741
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 125 133
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 6,200 6,225
1 C
7.527%, 10/15/07 BBB+ 4,681 4,712
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 5,479 6,054
Crystal Run Properties,
Inc.,
Series A
7.393%, 8/15/11 AA 10,925 11,250
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 11/12/21 AAA 2,305 2,389
97-CF1 S IO
1.097%, 3/15/17 AAA 73,949 3,689
## Federal National
Mortgage Association,
Series 93-M2 B IO
2.68%, 11/25/23 Agy 127 1
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.874%, 3/15/21 Aaa 35,388 2,354
97-C2 X IO
1.26%, 4/15/27 Aaa 156,940 10,065
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.038%, 7/13/30 Aaa 36,951 1,621
## Merrill Lynch
Mortgage Investors,
Inc., Series 96-C2 IO
1.547%, 11/21/28 AAA 38,144 2,732
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA $ 6,303 $ 6,385
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 191 192
## 94-MD1 A2
7.666%, 3/15/18 N/R 65 67
94-MD1 A3
8.026%, 3/15/18 N/R 4,314 4,463
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 11,364 11,938
(+) Prime Property
Funding II,
Series 1 A
6.633%, 7/23/03 AA 4,834 4,829
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.219%, 2/25/28 N/R 44,518 2,294
96-CFL X1A IO
1.219%, 2/25/28 N/R 33,076 466
96-CFL X2 IO
1.152%, 2/25/28 N/R 12,243 275
- -------------------------------------------------------------------
GROUP TOTAL 135,858
- -------------------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 7,200 7,486
Mobile Energy Services
8.665%, 1/1/17 CCC 8,738 2,971
- -------------------------------------------------------------------
GROUP TOTAL 10,457
- -------------------------------------------------------------------
FINANCE (9.6%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 10,785 11,216
Associates Corp. of
North America
6.95%, 11/1/18 AA- 3,460 3,519
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 24,325 24,336
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 4,975 4,807
BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 20,510 21,565
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 BBB $ 19,030 $ 19,605
Series B
7.90%, 1/15/27 BBB 4,915 5,015
Chase Manhattan Corp.
6.00%, 2/15/09 A 9,675 9,429
EOP Operating LP
6.763%, 6/15/07 BBB 9,425 9,379
6.80%, 1/15/09 BBB 7,500 7,452
7.25%, 6/15/28 BBB 2,500 2,420
Equifax, Inc.
6.90%, 7/1/28 A- 8,835 8,812
Equitable Companies,
Inc.
6.50%, 4/1/08 A 11,200 11,321
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 16,592 17,179
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A 10,340 9,908
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A 16,395 18,566
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 16,565 17,287
First Union
Institutional Capital,
Series I
8.04%, 12/1/26 BBB+ 19,235 20,227
First Union National
Bank
6.50%, 12/1/28 A 1,880 1,776
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 9,200 9,503
(+) Florida Windstorm
6.70%, 8/25/04 A- 7,430 7,513
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 17,920 17,931
(+) Goldman Sachs Group
LP
6.50%, 2/25/09 A+ 12,635 12,525
HMH Properties,
Series A
7.875%, 8/1/05 BB 19,380 18,922
Lehman Brothers Holdings
8.50%, 8/1/15 A 5,000 5,406
8.80%, 3/1/15 A 5,210 5,822
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 14,770 14,818
7.80%, 11/1/25 A+ 4,845 5,328
Nationsbank Corp.
6.80%, 3/15/28 A 3,580 3,522
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 20,055 19,786
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- $ 6,105 $ 6,125
PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 17,765 18,434
(+) Prime Property
Funding II
6.80%, 8/15/02 A 11,970 11,965
7.00%, 8/15/04 A 8,640 8,647
Prudential Insurance Co.
8.30%, 7/1/25 A- 19,475 22,572
Washington Mutual
Capital
8.206%, 2/1/27 BBB- 8,805 9,238
8.375%, 6/1/27 BBB- 7,500 8,014
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,627 10,787
96 WFP-D
6.95%, 9/1/13 AA- 21,255 21,627
- -------------------------------------------------------------------
GROUP TOTAL 462,304
- -------------------------------------------------------------------
INDUSTRIALS (8.8%)
American Standard Cos.
7.375%, 4/15/05 BB- 10,270 10,058
Browning-Ferris
Industries, Inc.
7.40%, 9/15/35 A- 16,720 14,381
Columbia/HCA Healthcare
Corp.
7.05%, 12/1/27 BB+ 530 415
7.19%, 11/15/15 BB- 10,080 8,356
7.58%, 9/15/25 BB+ 10,540 8,837
7.69%, 6/15/25 BB+ 2,300 1,934
8.70%, 2/10/10 BB+ 1,395 1,381
9.00%, 12/15/14 BB+ 6,515 6,657
Continental Airlines,
Series 97-1 A7
7.461%, 4/1/15 AA+ 4,703 4,907
Continental Cablevision
8.30%, 5/15/06 BBB 11,230 12,406
Cox Communications, Inc.
6.80%, 8/1/28 A- 3,925 3,880
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 1,280 1,301
7.875%, 12/15/07 BB+ 18,145 19,120
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB 10,175 9,691
93-K1 A2
7.43%, 8/15/18 BB 260 245
94-K1 A1
7.60%, 8/15/07 BB 6,419 6,416
94-K2 A2
9.35%, 8/15/19 BB+ 3,890 4,056
Enron Corp.
6.95%, 7/15/28 BBB+ 16,180 15,687
</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>
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ $ 13,120 $ 12,812
(+) Florida Windstorm
7.125%, 2/25/19 AAA 12,970 13,017
Ford Motor Co.
6.625%, 10/1/28 A 13,975 13,527
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 12,870 13,344
7.45%, 3/1/08 BB+ 3,980 4,194
General Motors Corp.
6.75%, 5/1/28 A 13,980 13,752
Harrahs Operating Co.,
Inc.
7.50%, 1/15/09 BBB- 7,785 7,870
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 7,905 8,252
Lenfest Communications,
Inc.
7.625%, 2/15/08 BB+ 13,510 13,933
8.375%, 11/1/05 BB+ 10,900 11,684
(+) Lowe's Companies,
Inc.
6.50%, 3/15/29 A 14,895 14,180
Monsanto Co.
6.60%, 12/1/28 A 23,810 22,737
News America, Inc.
7.28%, 6/30/28 BBB- 19,840 19,885
8.875%, 4/26/23 BBB- 870 1,024
(+) Oxymar
7.50%, 2/15/16 BBB 6,175 5,452
# Rhone-Poulenc Rorer,
Inc., Series 92-A 3
8.62%, 1/5/21 BBB- 8,535 9,152
Saks, Inc.
7.375%, 2/15/19 BB+ 11,605 11,292
(+) Scotia Pacific Co.
LLC
7.71%, 7/20/28 BBB 27,920 22,356
(+) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 14,220 13,663
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 12,355 12,248
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 11,760 11,279
6.95%, 1/15/28 BBB 2,570 2,573
7.57%, 2/1/24 BBB 13,295 14,212
Union Pacific Co.
6.625%, 2/1/29 BBB- 2,615 2,459
Union Pacific Resources
Corp.,
Series E
6.79%, 11/9/07 BBB- 5,450 5,545
USA Waste Services
7.00%, 7/15/28 BBB+ 13,105 13,055
- -------------------------------------------------------------------
GROUP TOTAL 423,225
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Bank of America,
Series A
8.375%, 5/1/07 AAA $ 285 $ 285
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 6/22/94,
cost $146) N/R 154 154
sec.## Magnolia Federal
Bank, Series 84-2
9.12%, 10/1/07
(acquired 5/1/87,
cost $615) N/R 627 643
## Resolution Trust
Corp.,
Series 92-5 C
8.611%, 1/25/26 AA 2,674 2,658
Ryland Acceptance
Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 3,599 3,237
- -------------------------------------------------------------------
GROUP TOTAL 6,977
- -------------------------------------------------------------------
TELEPHONES (1.8%)
AT&T Corp.
6.50%, 3/15/29 AA- 15,550 15,228
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 4,485 5,046
Intermedia
Communications Inc.,
Series B
8.50%, 1/15/08 B 2,705 2,698
8.60%, 6/1/08 B 16,845 16,845
8.875%, 11/1/07 B 2,425 2,446
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 26,935 27,408
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 23,820 18,312
- -------------------------------------------------------------------
GROUP TOTAL 87,983
- -------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (1.1%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ $ 18,249 $ 18,406
99-1 A
6.545%, 8/2/20 AA+ 4,810 4,765
(+) Jet Equipment Trust,
Series:
94-A A11
10.00%, 6/15/12 A 275 334
95-5A C
10.69%, 11/1/13 BBB- 9,065 11,121
Union Pacific Co.
6.625%, 2/1/08 BBB- 12,495 12,606
7.125%, 3/1/28 BBB- 7,290 7,302
- -------------------------------------------------------------------
GROUP TOTAL 54,534
- -------------------------------------------------------------------
U.S. TREASURY SECURITIES (15.2%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy 34,025 45,615
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 200,614 192,965
3.625%, 7/15/02
(Inflation Indexed) Tsy 97,259 96,562
!! 3.625%, 1/15/08
(Inflation Indexed) Tsy 88,986 86,816
4.50%, 1/31/01 Tsy 86,675 85,916
4.75%, 11/15/08 Tsy 91,350 87,996
6.625%, 5/15/07 Tsy 53,650 57,850
7.50%, 2/15/05 Tsy 60,400 66,959
U.S. Treasury Strip
2/15/19 Tsy 45,400 13,752
- -------------------------------------------------------------------
GROUP TOTAL 734,431
- -------------------------------------------------------------------
UTILITIES (0.7%)
CMS Energy Corp.
7.50%, 1/15/09 BB 12,395 12,616
(+) CMS Panhandle
Holdings Co.
7.00%, 7/15/29 BBB- 2,420 2,378
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 10,650 10,859
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB+ 7,804 8,378
- -------------------------------------------------------------------
GROUP TOTAL 34,231
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
YANKEE (7.8%)
(+) Alcoa Aluminio S.A.,
Series 96-1
7.50%, 12/16/08 BBB $ 18,237 $ 16,723
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 17,075 16,078
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 14,930 14,991
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 6,305 5,900
7.75%, 7/15/08 A- 17,215 16,672
Glencore Nickel Property
Ltd.
9.00%, 12/1/14 BB+ 14,370 12,304
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 15,270 12,750
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 28,435 25,273
(+) Hyundai
Semiconductor America
8.25%, 5/15/04 B 2,755 2,358
8.625%, 5/15/07 B 11,032 8,845
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 3,075 3,058
7.75%, 12/15/27 A- 17,545 16,730
Korea Development Bank
7.375%, 9/17/04 BBB- 24,636 24,070
Multicanal S.A.
10.50%, 2/1/07 BB- 4,335 3,881
10.50%, 4/15/18 BB+ 9,415 7,842
National Power Corp.
7.875%, 12/15/06 BB+ 11,140 10,227
8.40%, 12/15/16 BB+ 8,315 7,086
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 16,561 15,856
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 11,245 1,912
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 16,600 15,356
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 23,320 17,011
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 32,735 30,788
# Republic of Argentina,
Series L
5.00%, 3/31/23 BB 1,395 965
Republic of Argentina
Par
# 7.33%, 3/31/23 BB 14,755 10,209
Series L 'Euro'
6.00%, 3/31/23 BB 19,655 13,599
</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>
Republic of Colombia
8.70%, 2/15/16 BBB- $ 19,600 $ 15,892
10.875%, 3/9/04 BBB- 4,270 4,429
Rogers Cablesystems
Ltd., Series B
10.00%, 3/15/05 BB+ 7,500 8,456
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 5,520 5,768
(+) Samsung Electronics
Co.
8.50%, 11/1/02 BB- 1,500 1,475
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB 37,520 29,477
- -------------------------------------------------------------------
GROUP TOTAL 375,981
- -------------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$5,887,514) 5,839,230
- -------------------------------------------------------------------
PREFERRED STOCKS (1.2%)
- -------------------------------------------------------------------
SHARES
------
MORTGAGE-OTHER (1.2%)
(+)+ Home Ownership
Funding Corp.
13.331% (Cost $55,276) Aaa 64,475 58,224
- -------------------------------------------------------------------
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
- -------------------------------------------------------------------
FACE
AMOUNT
(000)
-------
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal
to 1% per annum of the
outstanding notional
balance, indexed to
GNMA ARM pools (Cost
$5,558) N/R $ 94,540 1,051
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
INTEREST RATE CAPS (0.0%)-SEE NOTE A6
- -------------------------------------------------------------------
@(+) Bankers Trust Co.,
terminating 10/15/99,
to receive on 10/15/99
the excess, as
measured on 10/15/98,
of 12 month LIBOR over
6.34% multiplied by
the notional amount. A- $ 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 (21.9%)
- -------------------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (6.8%) 327,958 327,958
- -------------------------------------------------------------------
DISCOUNT NOTES (9.8%)
Federal Home Loan Bank
4.66%, 4/23/99 140,100 139,696
4.78%, 4/15/99 11,100 11,079
Federal Home Loan Mortgage
Corporation
4.75%, 4/14/99 45,720 45,642
4.75%, 5/14/99 50,000 49,715
4.76%, 5/18/99 3,200 3,180
4.76%, 5/26/99 34,600 34,349
4.77%, 4/19/99 50,000 49,881
Federal National Mortgage
Association
4.74%, 4/15/99 50,000 49,908
4.75%, 5/24/99 60,000 59,581
4.76%, 4/28/99 29,000 28,896
- -------------------------------------------------------------------
GROUP TOTAL 471,927
- -------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (5.3%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99,
to be repurchased at
$256,749, collateralized by
various U.S. Government
Obligations, due
4/1/99-2/28/01, valued at
$259,018 $ 256,715 $ 256,715
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,056,600) 1,056,600
- ------------------------------------------------------
TOTAL INVESTMENTS (144.1%) (Cost
$7,008,249) 6,955,105
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-44.1%)
Cash 1,339
Interest Receivable 52,602
Receivable for Investments Sold 13,339
Receivable for Forward Commitments 133,820
Receivable for Fund Shares Sold 7,262
Other Assets 165
Payable for Investments Purchased (690)
Payable for Forward Commitments (1,997,925)
Payable for Fund Shares Redeemed (4,948)
Payable for Investment Advisory Fees (4,517)
Payable for Administrative Fees (329)
Payable for Shareholder Servicing
Fees-Investment Class (4)
Payable for Distribution Fees-Adviser
Class (29)
Payable for Trustees' Deferred
Compensation Plan-Note F (165)
Payable for Daily Variation on Futures
Contracts (704)
Unrealized Loss on Swap Agreements (246)
Collateral on Securities Loaned, at Value (327,958)
Other Liabilities (558)
----------
(2,129,546)
- ------------------------------------------------------
NET ASSETS (100%) $4,825,559
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 396,074,939 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $4,650,620
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.74
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 3,172,331 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 37,274
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.75
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C>
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 11,719,382 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 137,665
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.75
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $4,842,000
Undistributed Net Investment Income (Loss) 83,926
Undistributed Realized Net Gain (Loss) (46,772)
Unrealized Appreciation (Depreciation) on:
Investment Securities (53,144)
Foreign Currency Transactions (8)
Futures and Swaps (443)
- ------------------------------------------------------
NET ASSETS $4,825,559
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of restricted
securities owned at March 31, 1999 was $5,386 or
0.1% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A Security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. rate disclosed is as of March 31, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 1999.
@ 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 March
31, 1999.
IO Interest Only
LIBOR London Interbank Offer Rate
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.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Domestic Fixed Income Portfolio invests in all sectors of the domestic
investment-grade bond market. Miller Anderson & Sherrerd constructs a
diversified fund with a maturity and duration structure reflecting long-term
views on interest rates and inflation. MAS selects investments in U.S.
Treasuries, agencies, corporates, mortgages and other fixed-income securities
based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS DOMESTIC FIXED INCOME
--------------------------- SALOMON
INSTITUTIONAL# ADVISER@ BROAD INDEX
-------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 0.10% 0.10% (0.06)%
ONE YEAR 5.50 5.50 6.50
FIVE YEARS 7.27 7.27 7.81
TEN YEARS 9.45 9.45 9.13
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
3/1/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
On December 19, 1994, shareholders approved a change in the Portfolio's
investment policies to emphasize fixed-income securities of domestic issuers
rated A or higher. Shareholders then voted on May 1, 1997, to permit the
Portfolio to invest a limited portion of its assets in fixed-income securities
of domestic issuers rated BBB at the time of purchase. The Portfolio's
performance pattern may have been affected by these changes.
* Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (124.9%)
<TABLE>
<CAPTION>
- --------------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (69.4%)
Federal Home Loan Mortgage
Corporation, Conventional
Pools:
10.00%, 11/1/20 Agy $ 221 $ 241
11.50%, 8/1/19 Agy 437 494
12.50%, 4/1/14 Agy 21 24
Gold Pools:
10.00%, 6/1/17-3/1/21 Agy 1,204 1,321
12.00%, 11/1/19 Agy 62 70
April TBA
6.00%, 4/15/29 Agy 8,425 8,188
Federal National Mortgage
Association, Conventional
Pools:
9.50%, 2/1/20-8/1/20 Agy 414 449
10.00%, 8/1/18-2/1/25 Agy 666 730
10.50%, 11/1/10-2/1/28 Agy 801 875
11.00%, 9/1/19-9/1/20 Agy 1,274 1,428
11.50%, 11/1/19-9/1/25 Agy 711 805
April TBA
6.00%, 4/25/29 Agy 77,250 75,065
6.50%, 4/25/29 Agy 750 729
Government National Mortgage
Association: Adjustable
Rate Mortgages:
6.00%, 7/20/27-9/20/27 Tsy 6,390 6,485
6.50%, 10/20/27-1/20/28 Tsy 1,214 1,230
6.875%, 4/20/25-6/20/25 Tsy 1,537 1,565
7.00%, 2/20/25-8/20/25 Tsy 816 831
Various Pools:
6.00%, 2/20/27 Tsy 146 148
9.00%, 11/15/17 Tsy 437 470
9.50%, 12/15/17-12/15/21 Tsy 3,308 3,594
10.00%, 8/15/17-10/15/28 Tsy 2,889 3,167
10.50%, 2/15/13-2/15/25 Tsy 1,208 1,335
11.00%, 12/15/09-7/15/20 Tsy 542 609
11.50%, 8/15/13 Tsy 391 444
12.00%, 12/15/12-2/15/15 Tsy 195 222
- ------------------------------------------------------------------
GROUP TOTAL 110,519
- ------------------------------------------------------------------
ASSET BACKED CORPORATES (14.3%)
Advanta Mortgage Loan Trust,
Series 97-4 A2
6.53%, 9/25/12 AAA 813 813
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 34 34
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 131 132
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
Arcadia Automobile
Receivables Trust,
Series 98-A A3
5.90%, 11/15/02 AAA $ 775 $ 776
Banc One Home Equity Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 800 800
BankBoston Home Equity
Loan Trust,
Series 98-2 1A
6.28%, 11/25/10 AAA 549 549
Block Mortgage Finance Inc.,
Series 99-1 A1
5.94%, 9/25/13 AAA 720 719
## Citibank Credit Card
Master Trust I,
Series 99-1 A1
4.949%, 5/15/02 AAA 550 550
Comed Transitional Funding
Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 700 700
Contimortgage Home Equity
Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 775 774
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 142 143
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 162 162
Daimler Benz Vehicle Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 800 799
Delta Funding Home Equity
Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 374 375
EQCC Home Equity Loan Trust,
Series 98-2 A1F
6.235%, 4/15/08 AAA 916 917
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 167 168
First Plus Home Loan Trust,
Series 97-3 A2
6.48%, 9/10/08 AAA
First Security Auto Grantor
Trust, Series:
97-B A
6.14%, 4/15/03 AAA 318 320
98-A A
5.97%, 4/15/04 AAA 541 544
## First USA Credit Card
Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA 375 375
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Auto Owner
Trust, Series 97-B A3
6.05%, 4/15/01 AAA $ 1,234 $ 1,238
General Motors Acceptance
Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 1,186 1,194
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 236 237
+ 98-1 A2
5.85%, 11/1/29 Aaa 375 376
98-C A1
5.95%, 7/15/29 AAA 187 187
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 737 736
(+) Health Care Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 N/R 200 203
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 260 261
Honda Auto Receivables Owner
Trust,
Series 99-1 A2
5.186%, 6/15/01 AAA 625 625
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 400 401
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 138 138
MMCA Automobile Trust,
Series:
97-1 A3
6.06%, 5/15/01 AAA 825 827
99-1 A2
5.43%, 1/15/04 AAA 775 774
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 375 385
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 863 868
Provident Bank Home Equity
Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 609 610
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 450 450
</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>
+## Residential Funding
Mortgage Securities Co.,
Inc., Series 98-HI2 A1
5.696%, 2/25/10 Aaa $ 265 $ 265
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 250 252
97-1 A
7.35%, 5/15/03 A- 600 615
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 917 925
USAA Auto Loan Grantor
Trust, Series 97-1 A
6.00%, 5/15/04 AAA 717 721
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 297 298
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 524 526
- -----------------------------------------------------------------
GROUP TOTAL 22,762
- -----------------------------------------------------------------
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 5,141 112
(+) 96-3 A YMA,
10/25/26 N/R 5,141 7
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 2,943 68
96-4 A12 I IO
1.05%, 1/15/28 AAA 622 15
(+) 96-4 A12 YMA,
1/15/28 AAA 3,565 5
97-1 A10 I IO
1.10%, 3/15/28 AAA 3,662 86
97-1 A10 I YMA,
3/15/28 N/R 3,662 5
- -----------------------------------------------------------------
GROUP TOTAL 298
- -----------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.4%)
Collateralized Mortgage
Obligation Trust, Series
16-Q Inv Fl
12.625%, 3/20/18 AAA 75 80
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
Federal Home Loan Mortgage
Corporation,
Series:
63-SA IO
1.50%, 6/17/27 Agy $ 2,037 $ 70
## 1546-FC REMIC PAC (11)
5.50%, 12/15/21 Agy 316 316
1632-SA Inv Fl REMIC
6.514%, 11/15/23 Agy 300 274
1887-SH
10.325%, 3/15/24 Agy 450 188
1911 C PO
11/15/23 Agy 550 413
## 1933-FM REMIC
5.75%, 3/15/25 Agy 15 15
## 1933-FO REMIC
5.75%, 3/15/25 Agy 28 29
## 1933-FQ REMIC
5.75%, 3/15/25 Agy 29 29
Structured Pass-Through
Securities,
Series T-15 A1
5.83%, 12/25/13 Agy 740 738
Federal National Mortgage
Association,
Series:
191 IO
8.00%, 1/1/28 Agy 2,534 521
## 92-43 FC REMIC
5.538%, 10/25/21 Agy 274 276
96-34 C PO
3/25/23 Agy 425 293
270 2 IO
8.50%, 9/1/23 Agy 614 134
281 2 IO
9.00%, 11/1/26 Agy 715 155
291 2 IO
8.00%, 11/1/27 Agy 680 136
## 94-50 FD REMIC
5.388%, 3/25/24 Agy 203 203
## 94-73 F REMIC
5.438%, 12/25/20 Agy 100 101
96-37 H PO REMIC
0.00%, 8/25/23 Agy
97-53 PI IO
8.00%, 8/18/27 Agy 858 198
## 97-70 FA REMIC PAC (11)
5.388%, 7/18/20 Agy 180 180
## 98-22 FA REMIC
5.336%, 4/18/22 Agy 531 530
## 98-40 F REMIC
5.238%, 6/17/28 Agy 347 345
275-2,
8.00%, 11/1/26 Agy 1,430 277
- -----------------------------------------------------------------
GROUP TOTAL 5,501
- -----------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY
COLLATERAL SERIES (0.1%)
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA $ 85 $ 91
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 80 79
- ---------------------------------------------------------------
GROUP TOTAL 170
- ---------------------------------------------------------------
COMMERCIAL MORTGAGES (3.1%)
American Southwest Financial
Securities Corp.
Series:
## 93-2 S1 IO
1.091%, 1/18/09 N/R 5,615 182
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 175 178
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 205 214
95-MD4 A1
7.10%, 8/13/29 AAA 166 170
## 95-MD4 ACS2 IO
2.247%, 8/13/29 N/R 1,869 271
96-MD6 A1C
7.04%, 11/13/26 AAA 300 307
+## 97-D5 PS1 IO
1.574%, 2/14/41 Aaa 2,655 247
(+) Carousel Center Finance,
Inc., Series 1 B
7.188%, 11/15/07 A 325 331
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 236 261
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 425 433
(+) DLJ Mortgage Acceptance
Corp.,
Series:
96-CF2 A1B
7.29%, 7/12/06 AAA 310 321
97-CF1 S IO
1.097%, 3/15/17 AAA 2,841 142
(+) Forum Financial Corp.,
Series 94-73 F REMIC
7.125%, 5/4/04 AA 375 377
+## GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.874%, 3/15/21 Aaa 2,181 145
97-C2 X IO
1.26%, 4/15/27 Aaa 3,407 219
Merrill Lynch Mortgage
Investors, Inc.,
Series 96-C2 IO
1.547%, 11/21/28 AAA 1,922 138
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
Mortgage Capital Funding,
Inc., Series 95-MC1 A1B
7.60%, 5/25/27 AAA $ 128 $ 129
Nomura Asset Securities
Corp., Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 68 69
## 94-MD1 A2
7.66%, 3/15/18 N/R 125 128
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 382 401
Prime Property Funding,
Series 1A
6.633%, 7/23/03 AA 173 172
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.219%, 2/25/28 N/R 2,306 119
96-CFL X1A IO
1.219%, 2/25/28 N/R 1,735 25
96-CFL X2 IO
1.152%, 2/25/28 N/R 683 15
- ---------------------------------------------------------------
GROUP TOTAL 4,994
- ---------------------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 130 135
- ---------------------------------------------------------------
FINANCE (10.9%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 335 348
Associates Corp. of North
America A
6.00%, 7/15/05 AA- 420 416
BankAmerica Corp.
5.875%, 2/15/09 A+ 110 106
6.25%, 4/1/08 A 240 239
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 335 352
Beneficial Corp.,
Series F
6.47%, 11/17/08 A 310 310
(+) BT Institutional Capital
Trust, Series A
8.09%, 12/1/26 BBB 350 361
Chase Manhattan Corp.
6.00%, 2/15/09 A 415 404
CIT Group, Inc.
5.91%, 11/23/05 A+ 320 313
Citicorp, Series F
6.375%, 11/15/08 A+ 805 803
</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>
EOP Operating LP
6.763%, 6/15/07 BBB $ 165 $ 164
6.80%, 1/15/09 BBB 365 363
7.25%, 6/15/28 BBB 100 97
Equifax, Inc.
6.30%, 7/1/05 A- 210 210
(+) Equitable Co., Inc.
6.50%, 4/1/08 A 290 293
(+) Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 600 621
(+) Farmers Exchange Capital
7.05%, 7/15/28 A 360 345
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A 475 538
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 564 555
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 200 209
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 575 587
++ First Union Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 305 321
First Union National Bank
6.50%, 12/1/28 A 280 265
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 350 362
7.45%, 7/1/04 A- 150 155
(+) Goldman Sachs Group
6.50%, 2/25/09 A+ 450 446
Hartford Life Corp.
7.65%, 6/15/27 A 640 692
Household Finance Corp.
6.375%, 8/1/10 A 495 489
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 710 704
J.P. Morgan & Co., Inc.
6.00%, 1/15/09 AA- 490 473
Merrill Lynch & Co.
6.00%, 2/17/09 AA- 400 387
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 400 401
Nationsbank Corp.
6.80%, 3/15/28 A 155 153
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 350 345
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 805 768
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 625 649
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Prime Property Funding
7.00%, 8/15/04 A $ 400 $ 400
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 640 742
Wachovia Corp.
6.15%, 3/15/09 A+ 765 758
Washington Mutual Capital
8.375%, 6/1/27 BBB- 180 192
Washington Mutual Inc.,
Series A
8.206%, 2/1/27 BBB- 315 331
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 483 490
96 WFP-D
6.95%, 9/1/13 AA- 250 254
- ---------------------------------------------------------------
GROUP TOTAL 17,411
- ---------------------------------------------------------------
INDUSTRIAL (8.7%)
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 317 331
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 635 633
Chrysler Corp.
7.45%, 3/1/27 A+ 325 354
Continental Airlines,
Series 97-1A
7.461%, 4/1/15 AA+ 341 356
Dayton Hudson Corp.
6.65%, 8/1/28 A- 330 321
Enron Corp.,
Series NOV 1A
6.95%, 7/15/28 BBB+ 675 654
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 425 415
(+) Florida Windstorm
7.125%, 2/25/19 AAA 640 642
Ford Motor Co.
6.625%, 10/1/28 A 960 929
General Motors Corp.
6.75%, 5/1/28 A 885 871
Kroger Co.
6.80%, 12/15/18 BBB- 590 578
Lowe's Companies Inc.
(+) 6.50%, 3/15/29 A 405 386
6.875%, 2/15/28 A 380 380
Lucent Technologies, Inc.
6.45%, 3/15/29 A 730 713
(+) Monsanto Co.
6.60%, 12/1/28 A 765 731
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 280 280
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
News America, Inc.
7.75%, 1/20/24 BBB- $ 75 $ 79
7.75%, 2/1/24 BBB- 335 352
8.875%, 4/26/23 BBB- 210 247
(+) Oxymar
7.50%, 2/15/16 BBB 115 102
(+) Scotia Pacific Co. LLC
7.11%, 1/20/14 A 560 492
7.71%, 1/20/28 BBB 390 312
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 200 198
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 290 278
6.95%, 1/15/28 BBB 65 65
7.57%, 2/1/24 BBB 530 567
U.S. Airways Inc.,
Series 98-1 A
6.85%, 1/30/18 AA- 765 764
Union Pacific Corp.
6.625%, 2/1/29 BBB- 500 470
United Technologies Corp.
6.70%, 8/1/28 A+ 530 531
USA Waste Services, Inc.
7.00%, 7/15/28 BBB+ 755 752
- ---------------------------------------------------------------
GROUP TOTAL 13,783
- ---------------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Gemsco Mortgage Pass
Through Certificate,
Series 87-A
8.701%, 11/25/10 AA 187 191
## Resolution Trust Corp.,
Series 92-5 C
8.611%, 1/25/26 AA 26 25
- ---------------------------------------------------------------
GROUP TOTAL 216
- ---------------------------------------------------------------
TELEPHONES (1.5%)
AT&T Corp.
6.50%, 3/15/29 AA- 510 500
Comcast Cable Communications
8.375%, 5/1/07 BBB- 185 208
GTE Corp.
6.94%, 4/15/28 A 910 927
MCI Communications Corp.
6.50%, 4/15/10 BBB+ 70 71
6.95%, 8/15/06 BBB+ 140 146
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 585 595
- ---------------------------------------------------------------
GROUP TOTAL 2,447
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (1.4%)
Burlington Northern Santa Fe
6.70%, 8/1/28 BBB+ $ 635 $ 620
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 337 339
99-1 A
6.545%, 8/2/20 AA+ 155 154
Federal Express Corp.,
Series:
98-1B
6.845%, 1/15/19 AA- 426 424
98-1 C
7.02%, 1/15/16 BBB+ 160 159
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 395 480
- ---------------------------------------------------------------
GROUP TOTAL 2,176
- ---------------------------------------------------------------
U.S. TREASURY SECURITIES (11.0%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 900 1,206
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 2,992 2,878
3.625%, 7/15/02
(Inflation Indexed) Tsy 2,656 2,639
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,768 1,725
4.50%, 1/31/01 Tsy 1,350 1,338
4.75%, 11/15/08 Tsy 3,150 3,034
6.625%, 5/15/07 Tsy 1,750 1,887
U.S. Treasury Strips
0.00%, 2/15/19 Tsy 5,750 1,742
0.00%, 8/15/20 Tsy 3,500 970
- ---------------------------------------------------------------
GROUP TOTAL 17,419
- ---------------------------------------------------------------
UTILITIES (0.7%)
(+) CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 640 629
(+) Edison Mission Energy
Funding Corp.
7.33%, 9/15/08 BBB 420 428
- ---------------------------------------------------------------
GROUP TOTAL 1,057
- ---------------------------------------------------------------
TOTAL FIXED INCOME (Cost $199,113) 198,888
- ---------------------------------------------------------------
PREFERRED STOCK (0.7%)
- ---------------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGES-OTHER (0.7%)
+(+) Home Ownership Funding
Corp.
13.331% (Cost $1,035) Aaa 1,200 1,084
- ------------------------------------------------------
</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>
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 $111) AA- $ 26,200 --
- ---------------------------------------------------------------
CASH EQUIVALENTS (32.5%)
- ---------------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(6.1%) 9,700 $ 9,700
- ---------------------------------------------------------------
DISCOUNT NOTES (24.4%)
Federal Home Loan Bank
4.74%, 4/23/99 7,000 6,980
4.72%, 4/16/99 4,000 3,992
Federal Mortgage Corporation
4.74%, 4/29/99 7,000 6,974
4.76%, 5/18/99 7,000 6,956
Federal National Mortgage
Association
4.75%, 4/12/99 7,000 6,990
4.75%, 5/24/99 3,500 3,476
4.76%, 4/28/99 3,500 3,487
- ---------------------------------------------------------------
GROUP TOTAL 38,855
- ---------------------------------------------------------------
REPURCHASE AGREEMENT (2.0%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to be
repurchased at $3,284,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at $3,313 3,284 3,284
- ---------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost
$51,839) 51,839
- ---------------------------------------------------------------
TOTAL INVESTMENTS (158.1%) (Cost
$252,098) 251,811
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-58.1%)
Cash $ 1
Interest Receivable 1,644
Receivable for Investments Sold 339
Receivable for Forward Commitments 6,460
Receivable for Fund Shares Sold 28
Unrealized Gain on Swap Agreements 36
Receivable for Daily Variations on Future
Contracts 32
Other Assets 5
Payable for Investments Purchased (704)
Payable for Forward Commitments (90,254)
Payable for Fund Shares Redeemed (86)
Payable for Investment Advisory Fees (143)
Payable for Administrative Fees (11)
Payable for Trustees' Deferred Compensation
Plan-Note F (5)
Collateral on Securities Loaned, at Value (9,700)
Other Liabilities (196)
--------
(92,554)
- ------------------------------------------------------
NET ASSETS (100%) $159,257
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 14,458,200 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $158,515
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.96
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C>
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 67,654 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 742
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.96
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $159,119
Undistributed Net Investment Income (Loss) 2,401
Undistributed Realized Net Gain (Loss) (2,127)
Unrealized Appreciation (Depreciation) on:
Investment Securities (287)
Futures and Swaps 151
- ------------------------------------------------------
NET ASSETS $159,257
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future 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
March 31, 1999.
@ Value is less than $500.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. indicated rate is the effective rate at March
31, 1999.
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.
- --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The High Yield Portfolio applies Miller Anderson & Sherrerd's analytical
capabilities to a specialized fixed-income fund, investing primarily in
below-investment-grade corporate bonds selected through study of the
credit-worthiness of the underlying companies. MAS's strategy uses equity and
fixed-income valuation techniques and analyses of economic and industry trends
to determine the Portfolio's structure. Individual securities are selected and
monitored by managers specializing in corporate bonds and using in-depth
financial analysis to uncover opportunities in undervalued issues.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS HIGH YIELD SALOMON
--------------------------------------- HIGH YIELD
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX
-----------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 8.89% 8.88% 8.64% 5.05%
ONE YEAR 1.96 1.85 1.63 1.05
FIVE YEARS 10.98 10.89 10.86 9.85
TEN YEARS 11.43 11.38 11.37 10.98
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. High-yield fixed-income securities,
otherwise known as "junk bonds," represent a much greater risk of default and
tend to be more volatile than higher-rated bonds.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/21/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such reimbursements, total returns would
have been lower.
* Total returns are compared to the Salomon High Yield Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (89.1%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.9%)
(+) Commercial
Financial Services,
Inc., Series 97-5 A1
7.72%, 6/15/05 N/R $ 4,706 $ 3,059
(+)+ Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 2,519 2,497
(+) OHA Auto Grantor
Trust, Series 97-A
11.00%, 9/15/03 BB 3,109 3,014
- ----------------------------------------------------------
GROUP TOTAL 8,570
- ----------------------------------------------------------
CABLE (7.4%)
Adelphia
Communications Corp.
(+) 7.50%, 1/15/04 B+ 3,400 3,387
(+) 8.375%, 2/1/08 B+ 3,500 3,596
Series B
8.375%, 2/1/08 B+ 3,785 3,889
9.875%, 3/1/07 B+ 1,500 1,650
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 8,780 8,923
7.875%, 12/15/07 BB+ 6,600 6,955
9.875%, 5/15/06 BB- 5,270 5,790
Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ 570 588
8.375%, 11/1/05 BB+ 10,085 10,810
# NTL, Inc.
0.00%, 4/1/08 B- GBP 10,150 10,901
Rogers Cablesystems
Ltd.
10.00%, 3/15/05 BB+ $ 10,000 11,275
Series B
10.125%, 9/1/12 BB+ 2,750 3,073
Rogers Communications,
Inc.
9.125%, 1/15/06 BB- 2,075 2,179
- ----------------------------------------------------------
GROUP TOTAL 73,016
- ----------------------------------------------------------
CHEMICALS (1.0%)
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- 10,055 10,344
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 $ 639 $ 313
- ---------------------------------------------------------
COMMERCIAL MORTGAGES (0.7%)
(+)## DLJ Mortgage
Acceptance Corp.,
Series 97-CF2 S IO
0.316%, 10/15/17 N/R 102,411 2,239
(+) Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B C A1
7.929%, 11/1/18 N/R 3,937 2,991
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 96-C1 X2 IO
1.874%, 3/15/21 Aaa 13,961 929
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.219%, 2/25/28 N/R 14,482 746
96-CFL X1A IO
1.219%, 2/25/28 N/R 10,821 153
96-CFL X2 IO
1.152%, 2/25/28 N/R 3,997 90
- ---------------------------------------------------------
GROUP TOTAL 7,148
- ---------------------------------------------------------
COMMUNICATIONS (23.3%)
(+) American Cellular
Corp.
10.50%, 5/15/08 CCC+ 6,570 6,849
American Commercial
Lines LLC, Series B
10.25%, 6/30/08 B 4,430 4,563
AMSC Acquisition Co.,
Inc., Series B
12.25%, 4/1/08 N/R 6,285 3,158
(+) Centennial
Cellular Operating
Co.
10.75%, 12/15/08 CCC+ 4,840 5,179
+ Dial Call
Communications, Inc.
10.25%, 12/15/05 B2 4,785 4,976
Dobson Communications
Corp.
11.75%, 4/15/07 N/R 6,015 6,466
# Dolphin
Telecommunications
0.00%, 6/1/08 CCC+ EUR 8,750 4,577
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) Echostar DBS Corp.
9.375%, 2/1/09 B $ 9,400 $ 9,752
Esprit Telecom Group
plc
11.00%, 6/15/08 B- EUR 2,953 3,374
11.50%, 12/15/07 B- 1,892 2,210
11.50%, 12/15/07 B- $ 2,150 2,291
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 B 8,865 9,879
Globalstar LP/Capital
11.375%, 2/15/04 B 7,625 4,994
Hermes Europe Railtel
(+)10.375%, 1/15/09 B 1,600 1,704
11.50%, 8/15/07 B 5,470 5,990
# Hyperion
Telecommunications,
Inc.
0.00%, 4/15/03 B+ 6,865 5,681
# Intermedia
Communications, Inc.
Series B
0.00%, 7/15/07 B 20,650 15,746
Iridium Capital Corp.,
Series A
13.00%, 7/15/05 CCC+ 8,680 3,732
IXC Communications,
Inc.
9.00%, 4/15/08 CCC+ 1,975 2,054
Level 3
Communications, Inc.
9.125%, 5/1/08 B 5,650 5,664
(+) Metromedia Fiber
Network, Inc.
10.00%, 11/15/08 B 5,120 5,491
Nextel Communications,
Inc.
# 0.00%, 9/15/07 B- 16,650 12,196
# 0.00%, 2/15/08 B- 14,090 9,863
9.75%, 8/15/04 B- 4,200 4,368
NEXTLINK
Communications
# 0.00%, 4/15/08 B 11,595 7,421
(+)10.75%, 11/15/08 B 3,015 3,241
Primus
Telecommunications
Group, Inc.
(+)11.25%, 1/15/09 B- 3,000 3,098
Series B
9.875%, 5/15/08 B- 6,120 5,906
PSINet, Inc.,
Series B
10.00%, 2/15/05 B- 4,015 4,286
# Qwest Communications
International, Inc.
0.00%, 10/15/07 B+ 5,905 4,680
Series B
0.00%, 2/1/08 BB+ 4,995 3,840
+# RCN Corp.
0.00%, 10/15/07 B3 16,300 11,002
</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>
# Rhythms
NetConnections,
Inc.,
Series B
0.00%, 5/15/08 N/R $ 12,960 $ 7,258
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 7,350 7,681
RSL Communications plc
# 0.00%, 3/1/08 B- 6,780 4,475
# 0.00%, 3/1/08 B- EUR 9,689 6,757
9.125%, 3/1/08 B- $ 5,200 5,148
12.00%, 11/1/08 B- 3,000 3,360
12.25%, 11/15/06 B- 300 332
+# Viatel, Inc.
0.00%, 4/15/08 Caa1 7,740 4,741
(+) Vintage Petroleum,
Inc.
9.75%, 6/30/09 B+ 3,030 3,091
# Wam!Net, Inc.,
Series B
0.00%, 3/1/05 N/R 6,325 3,668
- ---------------------------------------------------------
GROUP TOTAL 230,742
- ---------------------------------------------------------
ENERGY (1.8%)
# Husky Oil Ltd.
8.90%, 8/15/28 BB+ 5,100 4,845
(+) R & B Falcon Corp.
9.50%, 12/15/08 BB+ 4,380 3,876
Snyder Oil Corp.
8.75%, 6/15/07 B+ 9,275 9,298
- ---------------------------------------------------------
GROUP TOTAL 18,019
- ---------------------------------------------------------
FINANCIAL (1.6%)
CB Richard Ellis
Service
8.875%, 6/1/06 B+ 980 982
(+)# Fuji JGB
Investments LLC
9.87%, 12/31/49 BB+ 6,850 6,097
(+) Mosaic
10.10%, 7/9/99 N/R 3,700 3,726
(+)# SB Treasury Co.
LLC
9.40%, 12/29/49 BB+ 4,585 4,493
- ---------------------------------------------------------
GROUP TOTAL 15,298
- ---------------------------------------------------------
FOOD & BEVERAGE (0.7%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 7,125 6,876
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
GAMING (3.8%)
Harrahs Operating Co.,
Inc.
7.875%, 12/15/05 BB+ $ 11,035 $ 11,118
(+) Park Place
Entertainment Corp.
7.875%, 12/15/05 BB+ 6,625 6,517
Station Casinos, Inc.
(+) 8.875%, 12/1/08 B+ 6,610 6,800
8.875%, 12/1/08 B+ 3,300 3,399
9.75%, 4/15/07 B+ 7,195 7,600
10.125%, 3/15/06 B+ 1,575 1,671
- ---------------------------------------------------------
GROUP TOTAL 37,105
- ---------------------------------------------------------
GENERAL INDUSTRIAL (6.2%)
Allied Waste of North
America, Series B
7.875%, 1/1/09 BB 3,740 3,651
American Standard Co.
7.375%, 2/1/08 BB- 6,850 6,691
(+) Applied Power,
Inc.
8.75%, 4/1/09 B+ 3,015 3,045
Axia, Inc.
10.75%, 7/15/08 B- 2,975 3,001
CEX Holdings, Inc.
9.625%, 6/1/08 B 6,875 6,463
Geberit International
S.A.
10.125%, 4/15/07 B+ EUR 2,117 2,626
(+) Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B $ 8,100 8,120
Norcal Waste Systems,
Inc.
13.50%, 11/15/05 BB- 11,405 12,660
(+) Nortek, Inc.
8.875%, 8/1/08 B+ 9,900 10,172
(+) Sirona Dental
Systems
9.125%, 7/15/08 B EUR 3,878 4,458
- ---------------------------------------------------------
GROUP TOTAL 60,887
- ---------------------------------------------------------
HEALTH CARE (6.7%)
Columbia/HCA
Healthcare Corp.
6.91%, 6/15/05 BB+ $ 21,200 19,350
7.00%, 7/1/07 BB+ 2,700 2,427
7.15%, 3/30/04 BB+ 5,400 5,092
7.25%, 5/20/08 BB+ 2,630 2,387
7.58%, 9/15/25 BB+ 750 629
7.69%, 6/15/25 BB+ 10,800 9,082
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 6,115 6,039
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
Tenet Healthcare Corp.
(+) 8.125%, 12/1/08 BB- $ 14,075 $ 13,670
8.625%, 1/15/07 BB- 6,100 6,047
Vencor Operating, Inc.
9.875%, 5/1/05 CCC 10,300 1,545
- ---------------------------------------------------------
GROUP TOTAL 66,268
- ---------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (3.3%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 11,740 12,026
HMH Properties,
Series A
7.875%, 8/1/05 BB 15,425 15,060
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 5,225 5,473
- ---------------------------------------------------------
GROUP TOTAL 32,559
- ---------------------------------------------------------
MEDIA & ENTERTAINMENT (3.1%)
Chancellor Media
Corp.,
Series B
8.125%, 12/15/07 B 11,035 11,201
9.00%, 10/1/08 B 9,495 10,171
Outdoor Systems, Inc.
8.875%, 6/15/07 B 9,095 9,732
- ---------------------------------------------------------
GROUP TOTAL 31,104
- ---------------------------------------------------------
METALS (0.8%)
(+) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 B+ 2,500 2,449
Murrin Murrin Holdings
Ltd.
9.375%, 8/31/07 BB- 5,895 5,305
- ---------------------------------------------------------
GROUP TOTAL 7,754
- ---------------------------------------------------------
PACKAGING (3.4%)
Impress Metal
Packaging Holdings
9.875%, 5/29/07 B EUR 5,701 6,865
Norampac, Inc.
9.50%, 2/1/08 B+ $ 10,380 10,795
(+) Pacifica Papers,
Inc.
10.00%, 3/15/09 B+ 8,480 8,724
SD Warren Co.
12.00%, 12/15/04 B+ 4,365 4,725
Tembec Industries, Inc
8.625%, 6/30/09 BB+ 2,135 2,167
- ---------------------------------------------------------
GROUP TOTAL 33,276
- ---------------------------------------------------------
REAL ESTATE/BUILDING (1.0%)
D. R. Horton, Inc.
8.00%, 2/1/09 BB 10,140 9,988
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
RETAIL (5.8%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- $ 7,989 $ 8,600
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 3,329 3,171
93-K1 A2
7.43%, 8/15/18 BB+ 2,565 2,417
94-K1 A1
7.60%, 8/15/07 BB+ 3,510 3,508
94-K1 A2
8.375%, 8/15/15 BB+ 3,625 3,707
94-K2 A2
9.35%, 8/15/19 BB+ 3,360 3,504
HMV Media Group plc
10.875%, 5/15/08 B GBP 750 1,272
Class B
10.875%, 5/15/08 B 5,500 9,326
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ $ 8,000 8,352
Musicland Group, Inc.
9.00%, 6/15/03 B- 4,520 4,565
Series B
9.875%, 3/15/08 B- 8,570 8,763
- ---------------------------------------------------------
GROUP TOTAL 57,185
- ---------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (13.9%)
Asia Pulp & Paper Co.,
Ltd., Series A
12.00%, 2/15/04 CCC+ 3,305 1,586
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 7,285 6,860
(+)# Compania
Energetica
9.125%, 6/26/07 N/R 4,900 3,920
# CTI Holdings S.A.
0.00%, 4/15/08 B 10,405 5,775
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 6,765 5,793
Grupo Minero Mexicano
S.A. de CV, Series A
8.25%, 4/1/08 BB 2,780 2,321
(+) Hyundai
Semiconductor
America
8.625%, 5/15/07 B 5,650 4,530
Indah Kiat Finance
Mauritius
10.00%, 7/1/07 B+ 9,850 5,516
Multicanal S.A.
10.50%, 2/1/07 BB- 5,940 5,317
10.50%, 4/15/18 BB+ 3,005 2,503
(+) National Steel
Corp.
9.875%, 3/1/09 B+ 5,125 5,266
9.875%, 3/1/09 B+ 3,100 3,185
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
(+) NSM Steel, Inc.
12.25%, 2/1/08 CCC $ 5,105 $ 306
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 8,480 6,148
Philippine Long
Distance Telephone
Co.
9.25%, 6/30/06 CCC+ 2,885 2,748
Series E
7.85%, 3/6/07 BB+ 8,565 7,507
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 12,855 7,199
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 10,053 7,314
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 5,660 4,302
(+) RBS Participacos
S.A.
11.00%, 4/1/07 B+ 4,025 2,133
## Republic of
Argentina,
Series L
5.938%, 3/31/05 BB 9,326 7,962
## Republic of
Argentina Pre 4
BOCON, PIK
4.928%, 9/1/02 BB 435 459
5.627%, 9/1/02 BB 2,675 2,822
(+) RG Receivables
Ltd.
9.60%, 2/10/05 BB- 1,556 933
(+) Samsung
Electronics America
9.75%, 5/1/03 BB- 160 164
(+) Samsung
Electronics Co.
7.45%, 10/1/02 BB- 4,140 3,945
Satelites Mexicanos
S.A.
10.125%, 11/1/04 B- 5,395 4,316
(+) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 2,140 1,712
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 17,550 14,567
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB 9,710 7,628
B
6.25%, 12/31/19 BB 3,960 3,111
- ---------------------------------------------------------
GROUP TOTAL 137,848
- ---------------------------------------------------------
TECHNOLOGY (0.1%)
Entex Information
Services, Inc.
12.50%, 8/1/06 B- 1,490 1,069
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (1.3%)
ALPS, Series 96-1 DX
12.75%, 6/15/06 BB- $ 5,904 $ 5,905
(+) Jet Equipment
Trust,
Series:
94-C1
11.79%, 6/15/13 BBB- 3,450 4,385
95-D
11.44%, 11/1/14 BBB- 2,350 2,959
- ---------------------------------------------------------
GROUP TOTAL 13,249
- ---------------------------------------------------------
UTILITIES (2.3%)
AES Corp.
8.50%, 11/1/07 B+ 9,115 8,994
CMS Energy Corp.
7.50%, 1/15/09 BB 8,680 8,835
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 5,000 4,703
- ---------------------------------------------------------
GROUP TOTAL 22,532
- ---------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $904,484) 881,150
- ---------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MEDIA & ENTERTAINMENT (0.1%)
*(+) Paxson
Communications
Corp., PIK, 9.75%
(Cost $1,130) N/R 11,300 1,051
- ---------------------------------------------------------
PREFERRED STOCKS (1.7%)
- ---------------------------------------------------------
COMMUNICATIONS (1.3%)
* Concentric Network
Corp., PIK, Series B
13.50% N/R 52,966 5,720
* IXC Communications,
Inc., PIK, Series B
7.25% CCC+ 5,624 6,074
*(+) Viatel, Inc.,
PIK,
Series A
10.00% N/R 21,560 356
- ---------------------------------------------------------
GROUP TOTAL 12,150
- ---------------------------------------------------------
MEDIA & ENTERTAINMENT (0.4%)
* Paxson
Communications
Corp.,
13.25% CCC+ 50,081 4,169
- ---------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $14,670) 16,319
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
UNITS (0.2%)
- ---------------------------------------------------------
COMMUNICATIONS (0.2%)
(+) OnePoint
Communications Corp.
14.50%, 6/1/08 N/R $ 4,100 $ 2,091
- ---------------------------------------------------------
TOTAL UNITS (Cost $4,100) 2,091
- ---------------------------------------------------------
WARRANTS (0.3%)
- ---------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMUNICATIONS (0.2%)
*(+) American Mobile
Satellite Corp.,
expiring 4/1/08 N/R 62,850 21
*(+) Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 3,235 154
*(+) Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 1,920 110
*@ Nextel
Communications,
Inc., expiring
4/25/99 B- 4,800 --
*(+) OnePoint
Communications
Corp., expiring
6/1/08 N/R 41,000 4
*(+) Rhythms
NetConnections,
Inc., expiring
5/15/08 N/R 518,400 2,073
*(+)@ Wam!Net, Inc.,
expiring 3/1/05 N/R 18,975 --
- ---------------------------------------------------------
GROUP TOTAL 2,362
- ---------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*(+)@ Paxson
Communications
Corp., expiring
6/30/03 N/R 3,616 --
- ---------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.1%)
*(+) NSM Steel, Inc.,
expiring 4/1/08 N/R 3,231,929 3
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 33,920 594
- ---------------------------------------------------------
GROUP TOTAL 597
- ---------------------------------------------------------
TOTAL WARRANTS (Cost $380) 2,959
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (6.8%)
- ---------------------------------------------------------
REPURCHASE AGREEMENTS (6.8%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $69,496
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$69,101 (Cost $67,487) $ 67,487 $ 67,487
- ---------------------------------------------------------
TOTAL INVESTMENTS (98.2%) (Cost $992,251) 971,057
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.8%)
Cash 667
Cash and Foreign Currency Held as Collateral
on Futures Contracts (Cost $496) 496
Interest Receivable 19,132
Receivable for Investments Sold 2,634
Receivable for Fund Shares Sold 1,336
Unrealized Gain on Forward Foreign Currency
Contracts 2,093
Unrealized Gain on Futures Contracts 164
Other Assets 28
Payable for Investments Purchased (6,942)
Payable for Fund Shares Redeemed (1,177)
Payable for Investment Advisory Fees (843)
Payable for Administrative Fees (65)
Payable for Trustees' Deferred Compensation
Plan-Note F (28)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Distribution Fees-Adviser Class (3)
Other Liabilities (2)
--------
17,489
- ---------------------------------------------------------
NET ASSETS (100%) $988,546
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 105,317,115 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $965,091
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.16
- ---------------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 864,976 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 7,938
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.18
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 1,693,219 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 15,517
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.16
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $995,396
Undistributed Net Investment Income (Loss) 21,758
Undistributed Realized Net Gain (Loss) (10,102)
Unrealized Appreciation (Depreciation) on:
Investment Securities (21,194)
Foreign Currency Transactions 2,062
Futures 626
- ---------------------------------------------------------
NET ASSETS $988,546
- ---------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale may
exist.
+ Moody's Investors Service, Inc. rating. Security is
not Rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of
March 31, 1999.
@ Value is less than $500.
EUR Euro
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.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Cash Reserves Portfolio is a money market fund which invests in only the
highest quality short-term investment securities. The fund looks to maximize
current income while preserving capital and liquidity. The Portfolio purchases
cash equivalents with maturities of up to 13 months using high-grade (A1/P1)
commercial paper and other money market securities, such as repurchase
agreements and U.S. Treasury Bills.
<TABLE>
<CAPTION>
SEC 7-DAY YIELDS AT 3/31/99
<S> <C>
AVERAGE YIELD 4.69%
EFFECTIVE YIELD 4.80
</TABLE>
Performance is net of all fees. The table above represents past performance and
is not indicative of future results.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
An investment in the Fund is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the Fund seeks to
preserve the value of your investment at $1.00 per share, it is possible to lose
money by investing in the Fund.
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (59.1%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
FACE
AMOUNT VALUE
MARCH 31, 1999 (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (15.9%)
Abbey National N.A.
4.78%, 4/22/99 $ 2,000 $ 1,994
American Express Credit Corp.
4.79%, 5/5/99 3,000 2,986
Associates Corp. of North
America
4.77%, 5/28/99 $ 4,000 $ 3,970
Bank of America
4.91%, 4/9/99 2,000 1,998
Chase Manhattan Bank
4.89%, 4/30/99 3,000 2,988
CIT Group Holdings, Inc.
4.79%, 6/7/99 2,000 1,990
4.81%, 5/10/99 3,000 2,973
J.P. Morgan & Co.
4.80%, 4/21/99 2,000 1,995
4.90%, 5/20/99 1,500 1,490
SunTrust Corp.
4.81%, 5/10/99 2,000 1,991
4.82%, 5/4/99 3,000 2,984
Wachovia Corp.
4.80%, 5/14/99 3,000 2,983
- ----------------------------------------------------
GROUP TOTAL 30,342
- ----------------------------------------------------
FINANCIAL LEASING & SERVICES (9.5%)
Barclays U.S. Funding Corp.
4.81%, 6/11/99 4,000 3,962
ING U.S. Funding
4.86%, 5/20/99 2,000 1,987
International Lease Finance
Corp.
4.80%, 4/5/99 4,000 3,999
Merrill Lynch & Co.
4.79%, 4/16/99 3,000 2,994
National Rural Utilities
Cooperative Finance Corp.
4.84%, 4/22/99 2,200 2,194
USAA Capital Corp.
4.79%, 5/28/99 3,000 2,977
- ----------------------------------------------------
GROUP TOTAL 18,113
- ----------------------------------------------------
INDUSTRIALS (19.2%)
Abbott Laboratories
4.81%, 4/14/99 4,000 3,994
Ameritech Corp.
4.81%, 4/23/99 4,000 3,988
BellSouth Communications Corp.
4.81%, 5/13/99 3,000 2,983
Daimler-Benz North America
Corp.
4.81%, 4/20/99 2,000 1,995
Emerson Electric Corp.
4.81%, 4/23/99 4,000 3,988
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
Ford Motor Credit Co.
4.74%, 7/13/99 $ 2,000 $ 1,973
4.77%, 7/9/99 4,000 3,945
General Electric Capital Corp.
4.83%, 6/9/99 3,000 2,972
4.84%, 4/14/99 2,000 1,997
General Motors Acceptance Corp.
4.81%, 4/30/99 2,000 1,992
Motorola Credit Corp.
4.80%, 5/20/99 3,000 2,980
Toyota Motor Credit Corp.
4.80%, 5/13/99 4,000 3,978
- ----------------------------------------------------
GROUP TOTAL 36,785
- ----------------------------------------------------
MANUFACTURING & RETAIL TRADE (6.2%)
Coca-Cola Co. (The)
4.80%, 4/13/99 3,000 2,995
Clorox Co.
4.80%, 5/28/99 3,000 2,977
H.J. Heinz Co.
4.82%, 5/12/99 3,000 2,984
Johnson & Johnson Co.
4.85%, 6/28/99 3,000 2,965
- ----------------------------------------------------
GROUP TOTAL 11,921
- ----------------------------------------------------
PERSONAL BANKING & CREDIT (8.3%)
Household Finance Corp.
4.84%, 4/16/99 2,000 1,996
4.84%, 5/6/99 4,000 3,981
Metropolitan Life Insurance Co.
4.83%, 4/26/99 2,000 1,993
4.85%, 4/16/99 3,000 2,994
Prudential Funding Corp.
4.75%, 7/13/99 3,000 2,959
UBS Finance Corp.
4.92%, 5/20/99 2,000 1,987
- ----------------------------------------------------
GROUP TOTAL 15,910
- ----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $113,071) 113,071
- ----------------------------------------------------
CERTIFICATES OF DEPOSIT (12.6%)
- ----------------------------------------------------
COMMERCIAL BANKING & CREDIT (12.6%)
Bank of Austria (NY)
5.04%, 1/12/00 4,000 3,999
## Bayerische Landesbank
4.80%, 6/29/99 2,000 2,000
Commerzbank U.S. Finance, Inc.
5.09%, 2/16/00 3,000 3,000
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
Deutsche Bank
5.02%, 1/12/00 $ 1,000 $ 1,000
5.74%, 4/23/99 1,000 1,000
National Westminster Bank
5.74%, 5/7/99 2,000 2,000
RaboBank
5.00%, 5/28/99 3,000 3,000
5.58%, 8/18/99 3,000 3,006
## Royal Bank of Canada (NY)
4.81%, 6/29/99 2,000 1,999
Societe Generale (NY)
5.80%, 4/27/99 1,000 1,000
Swiss Bank (NY)
5.83%, 4/29/99 2,000 2,000
- ----------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (Cost
$24,004) 24,004
- ----------------------------------------------------
CORPORATE BONDS (15.1%)
- ----------------------------------------------------
FINANCE (8.9%)
## Abbey National N.A.
4.77%, 6/15/99 2,000 2,000
## Bank One Corp.
4.96%, 6/14/99 4,000 3,999
## Citicorp, Series E
4.98%, 9/17/99 4,000 4,000
## First Union Bank
4.94%, 5/17/99 2,000 2,000
## Morgan Guaranty Trust Co.
4.89%, 9/27/99 2,000 2,000
## National Rural Utilities
Cooperative Finance Corp.,
Series C
4.98%, 11/23/99 3,000 3,000
- ----------------------------------------------------
GROUP TOTAL 16,999
- ----------------------------------------------------
INDUSTRIALS (6.2%)
## General Motors Acceptance
Corp.
4.91%, 8/26/99 2,000 2,000
## John Deere Capital Corp.,
Series C
5.02%, 12/8/99 4,000 3,999
Norwest Corp.
5.55%, 8/31/99 4,000 3,999
## PepsiCo, Inc.
4.81%, 8/19/99 2,000 1,999
- ----------------------------------------------------
GROUP TOTAL 11,997
- ----------------------------------------------------
TOTAL CORPORATE BONDS (Cost $28,996) 28,996
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (10.5%)
- ----------------------------------------------------
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $20,083
collateralized by U.S.
Treasury Notes, due 1/31/01,
valued at $20,233 (Cost
$20,080) $ 20,080 $ 20,080
- ----------------------------------------------------
TOTAL INVESTMENTS (97.3%) (Cost $186,151) 186,151
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.7%)
Interest Receivable 783
Receivable for Fund Shares Sold 5,000
Other Assets 5
Dividend Payable (72)
Payable for Fund Shares Redeemed (319)
Payable for Administrative Fees (12)
Payable for Trustees' Deferred
Compensation Plan-Note F (6)
Payable for Investment Advisory Fees (89)
Other Liabilities (30)
--------
5,260
- ----------------------------------------------------
NET ASSETS (100%) $191,411
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
NET ASSETS
Applicable to 191,406,814 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $191,411
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $191,408
Undistributed Net Investment Income (Loss) (4)
Undistributed Realized Net Gain (Loss) 7
- ----------------------------------------------------
NET ASSETS $191,411
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements
## Variable or floating rate security-rate disclosed is as
of March 31, 1999.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio II invests in all sectors of the investment-grade
bond market. Miller Anderson & Sherrerd constructs a diversified fund with a
maturity and duration structure reflecting long-term views on interest rates and
inflation. MAS selects investments in U.S. Treasuries, agencies,
investment-grade corporates, mortgages, non-dollar and other fixed-income
securities based upon relative value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS FIXED SALOMON
INCOME II BROAD INDEX
-----------------------
<S> <C> <C>
SIX MONTHS 0.72% (0.06)%
ONE YEAR 5.94 6.50
FIVE YEARS 7.50 7.81
SINCE INCEPTION 9.46 8.77
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
On May 12, 1997, shareholders approved a change in the Portfolio's investment
policies to allow the Portfolio to invest in fixed-income securities of domestic
issuers rated BBB or higher at the time of purchase. The Portfolio's performance
pattern may have been affected by this change.
* The Fixed Income Portfolio II commenced operations on 8/31/90. Total returns
are compared to the Salomon Broad Investment Grade Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (124.5%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (56.1%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
8.25%, 10/1/06 Agy $ 62 $ 65
10.00%,
9/1/17-11/1/20 Agy 742 809
10.25%, 7/1/09 Agy 176 192
11.00%, 1/1/16 Agy 213 238
11.25%,
9/1/10-12/1/14 Agy 271 303
Gold Pools:
10.00%,
10/1/19-1/1/21 Agy 1,243 1,362
10.50%, 3/1/16 Agy 690 762
April TBA
6.00%, 4/15/29 Agy 57,500 55,919
Federal National
Mortgage Association,
Conventional Pools:
9.00%, 2/1/17 Agy 978 1,049
9.50%, 5/1/28 Agy 2,413 2,620
10.00%, 3/1/20-5/1/22 Agy 2,070 2,263
10.50%,
11/1/17-2/1/28 Agy 760 830
10.75%, 8/1/13 Agy 23 26
11.00%, 4/1/21 Agy 2,277 2,555
11.25%, 8/1/13 Agy 151 169
11.50%, 1/1/17-9/1/25 Agy 521 590
April TBA
6.00%, 4/25/29 Agy 112,675 109,489
6.50%, 4/25/29 Agy 2,400 2,332
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.50%,
10/20/27-1/20/28 Tsy 7,720 7,826
6.875%,
2/20/25-6/20/25 Tsy 7,509 7,642
7.00%,
2/20/25-11/20/25 Tsy 5,004 5,088
7.125%, 7/20/25 Tsy 405 412
Various Pools:
9.00%, 11/15/17 Tsy 2,615 2,815
9.50%,
12/15/17-9/15/28 Tsy 9,998 10,869
10.00%,
11/15/09-10/15/28 Tsy 13,595 14,912
10.50%,
3/15/19-5/15/19 Tsy 77 85
11.00%, 2/15/19 Tsy 12 13
11.00%,
2/15/10-1/20/18 Tsy 893 1,003
- -------------------------------------------------------
GROUP TOTAL 232,238
- -------------------------------------------------------
ASSET BACKED CORPORATES (15.1%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 128 128
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 366 367
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA $ 1,260 $ 1,270
97-D A3
6.20%, 5/15/03 AAA 1,400 1,407
98-A A3
5.90%, 11/15/02 AAA 1,350 1,352
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 2,075 2,076
BankBoston Home Equity
Loan Trust, Series
98-2 A1
6.28%, 11/25/10 AAA 1,414 1,415
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 707 710
+## Citibank Credit Card
Master Trust I,
Series 98-7 A
4.949%, 5/15/02 Aaa 2,750 2,748
COMED Transitional
Funding Trust, Series
98-1 A1
5.38%, 3/25/02 AAA 2,100 2,100
Contimortgage Home
Equity Loan Trust,
Series 99-A A1
6.01%, 12/25/13 AAA 2,200 2,197
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 343 346
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 444 446
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 2,075 2,073
EQCC Home Equity Loan
Trust,
Series:
98-1 A1F
6.21%, 12/15/07 AAA 717 717
98-2 A1F
6.235%, 4/15/08 AAA 1,493 1,495
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 272 272
</TABLE>
<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 $ 713 $ 717
98-A A
5.97%, 4/15/04 AAA 1,392 1,399
## First USA Credit Card
Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA 1,925 1,926
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 801 804
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 1,379 1,389
+ Green Tree Home
Improvement Loan
Trust,
Series 98-E HIA1
5.91%, 8/15/07 Aaa 1,745 1,749
Green Tree Financial
Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 635 637
+ 98-1 A2
5.85%, 4/1/11 Aaa 1,971 1,974
98-C A1
5.95%, 7/15/29 AAA 995 996
99-A A1
5.59%, 2/15/13 AAA 2,075 2,074
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 1,964 1,962
(+) Health Care
Receivables
Securitization
Program, Series 97-1 A
6.815%, 7/1/01 N/R 400 406
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 717 718
Honda Auto Receivables
Owner Trust,
Series 99-1 A2
5.19%, 6/15/01 AAA 1,925 1,924
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 2,425 2,430
IndyMac Home Equity
Loan,
Series 98-A AF1
5.724%, 9/25/20 AAA 1,974 1,972
</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>
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-2 A
6.69%, 9/25/04 AAA $ 400 $ 402
98-1 A
6.19%, 1/25/04 AAA 406 406
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,155
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 756 761
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 4/25/03 AA 1,350 1,351
+ Residential Funding Mortgage
Securities Co., Inc.,
Series 98-HI2 A1
5.696%, 2/25/10 Aaa 1,339 1,338
(+) Team Fleet Financing
Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 475 478
97-1A
7.35%, 5/15/03 A- 1,300 1,333
UCFC Home Equity Loan,
Series:
97-D A2
6.475%, 6/15/12 AAA 1,525 1,529
## 98-A A1
5.016%, 7/15/11 AAA 912 910
98-C A1
5.06%, 12/15/12 AAA 1,855 1,853
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 1,142 1,152
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 2,068 2,079
WFS Financial Owner
Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 911 915
98-A A2
5.783%, 11/20/00 AAA 1,318 1,319
World Omni Automobile
Lease Securitization Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 1,172 1,177
- -------------------------------------------------------
GROUP TOTAL 62,354
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R $ 10,306 $ 224
(+) 96-3 A YMA
10/25/26 N/R 10,306 14
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 5,886 136
(+) 96-4 A11 I YMA
1/15/28 AAA 6,243 8
96-4 A12 I IO
1.05%, 1/15/28 AAA 1,245 29
(+) 96-4 A12 I YMA
1/15/28 AAA 1,370 2
97-1 A10 I IO
1.10%, 3/15/28 AAA 7,323 173
(+) 97-1 A10 I YMA
3/15/28 N/R 7,800 11
- -------------------------------------------------------
GROUP TOTAL 597
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (4.0%)
Federal Home Loan
Mortgage Corporation,
Series:
47-F PAC-1 (12)
10.00%, 6/15/20 Agy 271 286
63-SA Inv Fl IO
1.50%, 6/17/27 Agy 11,718 401
## 1546-FC PAC (11)
5.50%, 12/15/21 Agy 981 981
1632-SA Inv Fl REMIC
6.514%, 11/15/23 Agy 884 807
## 1710-D REMIC
5.45%, 6/15/20 Agy 1,004 1,007
1887-SH Inv Fl IO
10.325%, 3/15/24 Agy 2,550 1,066
1933-FM REMIC
5.75%, 3/15/25 Agy 141 141
1983-IB
8.00%, 8/15/27 Agy 5,350 1,405
## 2040-FC
5.289%, 2/15/23 Agy 869 870
2054-FC REMIC
6.025%, 5/15/28 Agy 1,581 1,575
Federal National
Mortgage Association,
Series:
## 92-43 FC REMIC
5.538%, 10/25/21 Agy 881 886
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
## 94-50 FD REMIC
5.388%, 3/25/24 Agy $ 669 $ 670
96-14 PC PO
12/25/23 Agy 77 60
96-54 O PO
11/25/23 Agy 68 52
## 97-43 FM REMIC
5.438%, 7/18/27 Agy 1,100 1,102
## 97-70 FA REMIC, PAC
(11)
5.388%, 7/18/20 Agy 564 565
## 97-76 FM
5.388%, 9/17/27 Agy 538 538
## 98-22 FA REMIC
5.388%, 4/18/28 Agy 1,752 1,750
186 IO
8.00%, 8/1/27 Agy 1,765 346
191 IO
8.00%, 1/1/28 Agy 5,068 1,041
281-2 IO
9.00%, 11/1/26 Agy 1,900 412
291 2 IO
8.00%, 11/1/27 Agy 3,212 643
- -------------------------------------------------------
GROUP TOTAL 16,604
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.9%)
+## BA Mortgage
Securities, Inc.,
Series 97-1 A2
5.437%, 7/25/26 Aaa 870 870
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 893 950
## Morserv, Inc.,
Series 96-2 1A1
5.79%, 11/25/26 AAA 1,235 1,239
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 289 285
## Ryland Mortgage
Securities Corp. III,
Series 92-A 1A
8.255%, 3/29/30 A- 414 418
- -------------------------------------------------------
GROUP TOTAL 3,762
- -------------------------------------------------------
COMMERCIAL MORTGAGES (3.3%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 873 896
## 93-2 S1 IO
1.091%, 1/18/09 N/R 9,683 315
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 1,050 1,069
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA $ 1,185 $ 1,233
## 95-MD4 ACS2 IO
2.247%, 8/13/29 N/R 2,209 320
96-MD6 A1C
7.04%, 11/13/26 AAA 825 845
+## 97-D5 PS1 IO
1.574%, 2/14/41 Aaa 5,997 559
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 675 720
(+) Carousel Center Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A 1,400 1,424
(+) Creekwood Capital
Corp., Series 95-1A
8.47%, 3/16/15 AA 708 783
(+) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA 1,100 1,133
(+) CVM Finance Corp.
7.19%, 3/1/04 AA 567 578
(+) DLJ Mortgage
Acceptance Corp.,
Series 96-CF2 A1B
7.29%, 11/12/21 AAA 260 269
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.874%, 3/15/21 Aaa 3,403 226
97-C2 X IO
1.26%, 4/15/27 Aaa 10,517 674
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.038%, 7/13/30 Aaa 2,660 117
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.547%, 11/21/28 AAA 3,982 285
Mortgage Capital Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 738 748
## Nomura Asset Securities Corp.,
Series 94-MD1 A2
7.66%, 3/15/18 N/R 750 768
(+) Prime Property
Funding, Series 1A
6.633%, 7/23/03 AA 794 793
- -------------------------------------------------------
GROUP TOTAL 13,755
- -------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 675 702
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
FINANCE (11.1%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ $ 705 $ 733
Associates Corp. of
North America
6.00%, 7/15/05 AA- 1,420 1,406
BankAmerica Capital
Corp.,
5.875%, 2/15/09 A+ 210 203
(+) BankAmerica
Institutional, Series
A
8.07%, 12/31/26 A- 1,545 1,624
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB 1,760 1,813
Chase Manhattan Corp.
6.00%, 2/15/09 A 1,100 1,072
CIT Group, Inc.
5.91%, 11/23/05 A+ 1,845 1,807
EOP Operating LP
6.763%, 6/15/07 BBB 875 871
6.80%, 1/15/09 BBB 385 383
7.25%, 6/15/28 BBB 420 407
Equifax, Inc.
6.30%, 7/1/05 A- 1,210 1,212
Equitable Companies,
Inc.
6.50%, 4/1/08 A 1,170 1,183
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 1,200 1,242
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A 1,440 1,380
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A 975 1,104
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,152 1,134
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 1,610 1,680
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,650 1,683
First Union
Institutional Capital,
Series I
8.04%, 12/1/26 BBB+ 1,250 1,314
First Union National
Bank
6.50%, 12/1/28 A 250 236
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 900 930
7.45%, 7/1/04 A- 200 206
(+) Florida Windstorm
6.70%, 8/25/04 A- 500 506
(+) Goldman Sachs Group,
LP
6.50%, 2/25/09 A+ 845 838
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Hartford Life Corp.
7.65%, 6/15/27 A $ 1,680 $ 1,818
Household Finance Corp.
6.375%, 8/1/10 A 2,605 2,575
J.P. Morgan & Co.
6.00%, 1/15/09 AA- 1,305 1,260
Merrill Lynch & Co.
6.00%, 2/17/09 AA- 800 775
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 875 878
7.80%, 11/1/25 A+ 625 687
Nationsbank Corp.
6.80%, 3/15/28 A 245 241
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 1,245 1,228
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- 750 752
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 2,110 2,013
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 1,425 1,479
(+) Prime Property
Funding II
6.80%, 8/15/02 A 275 275
7.00%, 8/15/04 A 1,380 1,381
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 1,775 2,057
Washington Mutual
Capital
8.206%, 2/1/27 BBB- 415 435
8.375%, 6/1/27 BBB- 990 1,058
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 1,692 1,717
96 WFP-D
6.95%, 9/1/13 AA- 450 458
- -------------------------------------------------------
GROUP TOTAL 46,054
- -------------------------------------------------------
INDUSTRIALS (8.9%)
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 1,745 1,819
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 1,565 1,561
Chrysler Corp.
7.45%, 3/1/27 A+ 1,880 2,047
Cox Communications, Inc.
6.80%, 8/1/28 A- 275 272
Enron Corp.
6.95%, 7/15/28 BBB+ 1,395 1,353
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 1,115 1,089
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,110 1,114
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Ford Motor Co.
6.625%, 10/1/28 A $ 2,360 $ 2,284
General Motors Corp.
6.75%, 5/1/28 A 2,570 2,528
Kroger Co.
6.80%, 12/15/18 BBB- 1,810 1,773
Lowe's Companies, Inc.
(+) 6.50%, 3/15/29 A 665 633
6.875%, 2/15/28 A 1,340 1,339
(+) Monsanto Co.
6.60%, 12/1/28 A 2,050 1,958
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 1,625 1,626
News America, Inc.
7.75%, 1/20/24 BBB- 375 394
7.75%, 2/1/24 BBB- 565 594
8.875%, 4/26/23 BBB- 780 918
(+) Oxymar
7.50%, 2/15/16 BBB 650 574
(+) Scotia Pacific Co.
LLC
7.71%, 7/20/28 BBB 1,940 1,553
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 1,155 1,145
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 900 863
6.95%, 1/15/28 BBB 320 320
7.57%, 2/1/24 BBB 1,145 1,224
Union Pacific Co.
6.625%, 2/1/29 BBB- 1,265 1,189
United Technologies
Corp.
6.70%, 8/1/28 A+ 2,145 2,148
U.S. Airways Corp.,
Series 98-1
6.85%, 1/30/18 AA- 2,085 2,081
USA Waste Services
7.00%, 7/15/28 BBB+ 2,335 2,326
- -------------------------------------------------------
GROUP TOTAL 36,725
- -------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 79 79
California Federal
Savings & Loan,
Series 86-1A
8.80%, 1/1/14 AA 52 52
sec. First Federal
Savings & Loan
Association, Series
92-C
8.75%, 6/1/06
(acquired 12/5/90,
cost $206) AA 7 7
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
## Resolution Trust
Corp., Series 92-5C
8.611%, 1/25/26 AA $ 274 $ 272
Ryland Acceptance
Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 600 539
- -------------------------------------------------------
GROUP TOTAL 949
- -------------------------------------------------------
TELEPHONES 1.7%
AT&T Corp.
6.50%, 3/15/29 AA- 1,325 1,298
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 955 1,075
GTE Corp.
6.94%, 4/15/28 A 2,350 2,394
MCI WorldCom, Inc.
6.50%, 4/15/10 BBB+ 970 985
6.95%, 8/15/06 BBB+ 470 490
6.95%, 8/15/28 BBB+ 800 814
- -------------------------------------------------------
GROUP TOTAL 7,056
- -------------------------------------------------------
TRANSPORTATION (1.6%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB+ 1,600 1,562
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 1,955 1,972
99-1 A
6.545%, 8/2/20 AA+ 410 406
Federal Express Corp.,
Series:
98-1B
6.845%, 1/15/19 AA- 1,113 1,106
98-1C
7.02%, 1/15/16 BBB+ 412 409
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 1,050 1,277
- -------------------------------------------------------
GROUP TOTAL 6,732
- -------------------------------------------------------
</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>
U.S. TREASURY SECURITIES (16.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy $ 2,000 $ 2,681
U.S. Treasury Notes
!! 3.375%, 1/15/07
(Inflation Indexed) Tsy 16,406 15,780
3.625%, 1/15/08
(Inflation Indexed) Tsy 7,955 7,761
3.625%, 7/15/02
(Inflation Indexed) Tsy 7,975 7,918
4.50%, 1/31/01 Tsy 8,000 7,930
4.75%, 11/15/08 Tsy 1,875 1,806
6.625%, 5/15/07 Tsy 10,850 11,699
7.50%, 2/15/05 Tsy 12,500 13,858
U.S. Treasury Strip
2/15/19 Tsy 2,275 689
- -------------------------------------------------------
GROUP TOTAL 70,122
- -------------------------------------------------------
UTILITIES (0.5%)
(+) CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 1,675 1,646
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 500 510
- -------------------------------------------------------
GROUP TOTAL 2,156
- -------------------------------------------------------
YANKEE (3.8%)
(+) Alcoa Aluminio S.A.,
Series 96-1
7.50%, 12/16/08 BBB 945 867
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 1,230 1,235
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 300 281
7.75%, 7/15/08 A- 1,630 1,578
(+) Express Pipeline LP,
Series A
6.47%, 12/31/13 A- 1,912 1,825
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 1,225 1,089
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 925 742
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
(+) Israel Electric
Corp., Ltd.
7.75%, 12/15/27 A- $ 1,830 $ 1,745
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 1,573 1,557
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 931 891
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 800 136
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 760 703
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 1,030 751
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,950 1,834
Republic of Colombia
8.70%, 2/15/16 BBB- 810 657
- -------------------------------------------------------
GROUP TOTAL 15,891
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $518,745) 515,697
- -------------------------------------------------------
PREFERRED STOCK (1.0%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGES-OTHER (1.0%)
(+)+ Home Ownership Funding
Corp., 13.331% (Cost
$3,750) Aaa 4 3,928
- -------------------------------------------------------
CASH EQUIVALENTS (27.4%)
- -------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments Held as
Collateral for Loaned Securities
(12.9%) $ 53,322 53,322
- -------------------------------------------------------
DISCOUNT NOTES (7.4%)
Federal Home Loan Mortgage
Corporation
4.77%, 4/19/99 16,006 15,968
Federal National Mortgage
Association 4.73%, 5/24/99 15,000 14,895
- -------------------------------------------------------
GROUP TOTAL 30,863
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO II (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (7.1%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to be
repurchased at $29,429,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$29,689 $ 29,425 $ 29,425
- -------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $113,610) 113,610
- -------------------------------------------------------
TOTAL INVESTMENTS 152.9% (Cost $636,105) 633,235
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-52.9%)
Interest Receivable 4,336
Receivable for Investments Sold 399
Receivable for Forward Commitments 14,979
Receivable for Fund Shares Sold 10
Unrealized Gain on Swap Agreements 111
Other Assets 14
Payable for Investments Purchased (1,009)
Payable for Forward Commitments (182,558)
Payable for Fund Shares Redeemed (1,359)
Payable for Investment Advisory Fees (384)
Payable for Administrative Fees (28)
Payable for Trustees' Deferred Compensation
Plan-Note F (15)
Payable to Custodian (3)
Payable for Daily Variation on Futures
Contracts (7)
Collateral on Securities Loaned, at Value (53,322)
Other Liabilities (185)
--------
(219,021)
- -------------------------------------------------------
NET ASSETS (100%) $414,214
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 36,948,388 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $414,214
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.21
- -------------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $412,198
Undistributed Net Investment Income (Loss) 7,926
Undistributed Realized Net Gain (Loss) (3,339)
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,870)
Futures and Swaps 299
- -------------------------------------------------------
NET ASSETS $414,214
- -------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1999 was
$7 or 0.0% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is
as of March 31, 1999.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at March
31, 1999.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc., or
Standard & Poor's Corporation.
REMIC Real Estate Mortgage Investment Conduit
PAC Planned Amortization Class
PO Principal Only
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.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mortgage-Backed Securities Portfolio invests in a full range of mortgage
securities, collateralized mortgage obligations (CMOs), asset-backed securities,
U.S. Government securities, other fixed-income securities and derivative
instruments. Miller Anderson & Sherrerd selects mortgages that appear most
attractively priced, while managing the Portfolio's prepayment risk, interest
rate sensitivity and yield curve sensitivity.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS
MORTGAGE-BACKED LEHMAN
SECURITIES MORTGAGE INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 2.65% 1.79%
ONE YEAR 4.60 6.27
FIVE YEARS 7.27 7.95
SINCE INCEPTION 7.07 7.29
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Mortgage-Backed Securities Portfolio commenced operations on 1/31/92.
Total returns are compared to the Lehman Brothers Mortgage Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (79.7%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (79.7%)
Federal Home Loan
Mortgage Corporation,
April TBA
6.00%, 4/15/29 Agy $10,850 $10,551
Federal National
Mortgage Association,
April TBA
6.00%, 4/25/99 Agy 5,975 5,806
6.50%, 4/25/99 Agy 400 389
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $16,711) 16,746
- ------------------------------------------------------
CASH EQUIVALENTS (80.5%)
- ------------------------------------------------------
U.S. TREASURY SECURITY (2.4%)
!! U.S. Treasury Bill
4/1/99 Tsy 500 500
- ------------------------------------------------------
REPURCHASE AGREEMENT (78.1%)
Chase Securities, Inc. 4.80%, dated
3/31/99, due 4/1/99, to be
repurchased at $16,417
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/99, valued at $16,562 16,415 16,415
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $16,915) 16,915
- ------------------------------------------------------
TOTAL INVESTMENTS (160.2%) (Cost $33,626) 33,661
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-60.2%)
Cash 29
Interest Receivable 76
Receivable for Investments Sold 4,045
Receivable for Forward Commitments 1,071
Receivable for Daily Variation on Futures
Contracts 5
Other Assets 3
Payable for Forward Commitments (17,816)
Payable for Fund Shares Redeemed (3)
Payable for Investment Advisory Fees (17)
Payable for Administrative Fees (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Other Liabilities (41)
-------
(12,651)
- ------------------------------------------------------
NET ASSETS (100%) $21,010
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MORTGAGE-BACKED
SECURITIES PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,025,305 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $21,010
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.37
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $23,363
Undistributed Net Investment Income (Loss) 407
Undistributed Realized Net Gain (Loss) (2,790)
Unrealized Appreciation (Depreciation) on:
Investment Securities 35
Futures (5)
- ------------------------------------------------------
NET ASSETS $21,010
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
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.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Limited Duration Portfolio has a dual philosophy for achieving its
objective: earn positive real returns and minimize the possibility of a negative
return in a single quarter. Limiting average duration to between one and three
years helps control interest rate risk while allowing for a broad spectrum of
investment opportunities. The Portfolio invests in U.S. Treasury and agency
securities, investment-grade corporate bonds, mortgage-backed securities and
money market instruments, including floating rate notes.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS LIMITED SALOMON
DURATION 1-3 YEAR INDEX
----------------------------
<S> <C> <C>
SIX MONTHS 2.44% 1.43%
ONE YEAR 5.73 6.08
FIVE YEARS 5.97 6.18
SINCE INCEPTION 5.93 5.99
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Limited Duration Portfolio commenced operations on 3/31/92. Total returns
are compared to the Salomon 1-3 Year Treasury/Government Sponsored Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (117.1%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (47.5%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%,
4/1/10-10/1/20 Agy $ 2,579 $ 2,805
10.50%, 12/1/14 Agy 190 209
11.00%,
8/1/15-5/1/20 Agy 152 170
11.50%,
12/1/08-1/1/18 Agy 749 848
Gold Pools:
10.00%,
2/1/21-10/1/21 Agy 191 210
10.50%,
1/1/19-10/1/20 Agy 649 718
11.50%, 8/1/10 Agy 111 124
12.00%,
6/1/15-9/1/15 Agy 380 427
May TBA
6.00%, 5/15/29 Agy 5,650 5,488
June TBA
7.00%, 6/15/29 Agy 19,650 19,883
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 11/1/20 Agy 502 544
10.00%,
12/1/15-9/1/16 Agy 625 685
10.50%,
4/1/15-12/1/16 Agy 395 432
11.00%, 7/1/20 Agy 288 323
11.50%, 11/1/19 Agy 407 461
12.00%,
5/1/14-8/1/20 Agy 190 218
12.50%, 2/1/15 Agy 45 52
April TBA
6.00%, 4/25/29 Agy 20,000 19,434
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%,
7/20/27-9/20/27 Tsy 6,592 6,689
6.50%,
10/20/27-1/20/28 Tsy 2,627 2,663
6.875%,
1/20/25-6/20/25 Tsy 7,877 8,013
7.00%, 3/20/25 Tsy 1,392 1,416
7.50%, 1/20/25 Tsy 4,074 4,145
Various Pools:
9.00%,
7/15/16-1/15/17 Tsy 1,840 1,981
9.50%,
12/15/17-12/15/21 Tsy 2,997 3,258
10.00%,
11/15/09-2/15/28 Tsy 7,408 8,120
10.50%,
11/15/18-5/15/26 Tsy 394 435
11.00%,
1/15/10-1/15/21 Tsy 2,176 2,446
11.50%,
2/15/13-11/15/19 Tsy 1,477 1,677
- ------------------------------------------------------
GROUP TOTAL 93,874
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (25.7%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R $ 357 $ 357
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 66 66
97-A A
6.35%, 10/15/02 AAA 359 360
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 216 217
Associates Manufactured
Housing Pass Through
Certificates,
Series 97-1 A3
6.60%, 6/15/28 AAA 992 994
Capital Auto
Receivables Asset
Trust,
Series 99-1 A2
5.58%, 6/15/02 AAA 2,000 2,002
Case Equipment Loan Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 47 47
95-A B
(+)7.65%, 3/15/02 A 114 114
98-B A3
5.81%, 5/15/03 AAA 2,200 2,204
Champion Home Equity
Loan Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 328 329
96-4 A2
6.66%, 11/25/11 AAA 557 558
CIT Marine Trust,
Series 98-A A2
5.80%, 4/15/10 AAA 1,600 1,594
Contimortgage Home
Equity Loan Trust,
Series 97-4 A3
6.26%, 7/15/12 AAA 1,137 1,139
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 245 246
97-2 A
6.65%, 10/15/02 AAA 325 328
98-2 A
6.09%, 11/15/03 AAA 973 976
Crown Home Equity Loan
Trust,
Series 96-1 A2
6.51%, 6/25/11 AAA 276 275
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Daimler Benz Vehicle Trust,
Series 98-A A3
5.16%, 1/20/03 AAA $ 2,500 $ 2,480
Delta Funding Home
Equity Loan Trust,
Series 96-3 A2
6.525%, 10/25/11 AAA 471 471
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 1,175 1,175
(+) 97-2 A1
6.85%, 11/15/02 AAA 251 251
First Security Auto
Grantor Trust,
Series 99-1 A4
5.74%, 6/15/04 AAA 2,250 2,267
First Union Residential
Securitization Trust,
Series 96-2 A2
6.46%, 9/25/11 AAA 556 555
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 454 454
Ford Credit Auto Owner
Trust,
Series 98-B A4
5.90%, 6/15/02 AAA 2,000 2,013
General Electric Home
Equity Loan Asset-
Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 850 851
Global Rated Eligible
Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 660 429
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 39 39
Harley-Davidson
Eaglemark Motorcycle
Trust,
Series 98-2 A2
5.87%, 4/15/04 AAA 1,400 1,405
(+) Health Care
Receivables
Securitization
Program, Series 97-1
A
6.815%, 7/1/01 N/R 450 456
(+) Honda Auto
Receivables Grantor
Trust,
Series 98-A A
5.50%, 11/15/04 AAA 1,723 1,718
Honda Auto Receivables
Owner Trust,
Series 99-1 A4
5.35%, 10/15/04 AAA 1,100 1,089
</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>
IBM Credit Receivables
Lease Asset Master
Trust,
Series 93-1 A
4.55%, 11/15/00 AAA $ 13 $ 13
Illinois Power Special
Purpose Trust,
Series 98-1 A2
5.26%, 6/25/03 AAA 1,900 1,888
IMC Home Equity Loan Trust,
Series 96-4 A3
6.81%, 7/25/11 AAA 346 346
MMCA Automobile Trust,
Series 99-1 A3
5.50%, 7/15/05 AAA 1,700 1,693
Money Store (The)
Residential Trust,
Series 97-1 A2
6.48%, 6/15/10 AAA 1,570 1,574
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 950 976
Navistar Financial
Corp. Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 1,002 1,004
Newcourt Equipment
Trust Securities,
Series 98-2 A3
5.45%, 10/15/02 AAA 1,700 1,692
Olympic Automobile
Receivables Trust,
Series 94-B B
6.95%, 6/15/01 AAA 106 106
(+) Peco Energy Transition Trust,
Series 99 A A2
5.63%, 3/1/05 AAA 1,500 1,494
Preferred Credit Corp.,
Series 97-1 A3
6.91%, 5/1/07 AAA 780 779
Premier Auto Trust,
Series:
95-4 A4
6.00%, 5/6/00 AAA 26 26
98-5 A3
5.07%, 7/8/02 AAA 1,750 1,734
99-1 A3
5.69%, 11/8/02 AAA 2,000 2,003
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/04 AA 925 926
(+) Team Fleet Financing Corp.,
Series:
96-1A
6.65%, 12/15/02 A- 1,350 1,360
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
97-1A
7.35%, 5/15/03 A- $ 1,475 $ 1,513
98-2A
6.07%, 7/25/02 AA 1,400 1,398
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 521 526
97-B A2
6.70%, 6/8/03 AAA 980 990
+ Vanderbilt Mortgage Finance,
Series 97-B 1A2
6.775%, 12/7/28 Aaa 1,202 1,212
- ------------------------------------------------------
GROUP TOTAL 50,712
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.5%)
Federal Home Loan
Mortgage Corporation,
Series 1931-A SEQ
7.25%, 6/15/21 Agy 84 84
Federal National
Mortgage Association,
Series:
94-93 PD PAC-1(11)
7.25%, 4/25/15 Agy 219 218
## 98-22 FA REMIC
5.336%, 4/18/22 Agy 504 504
275 2 IO
8.00%, 11/1/26 Agy 11,528 2,232
- ------------------------------------------------------
GROUP TOTAL 3,038
- ------------------------------------------------------
COMMERCIAL MORTGAGES (0.7%)
Asset Securitization
Corp.,
Series 97-D5 A1A
6.50%, 2/14/04 AAA 788 795
CBM Funding Corp.,
Series 96-1 A1
7.55%, 2/1/13 AA 80 80
Midland Realty Acceptance Corp.,
Series 96-C2 A1
7.02%, 1/25/29 AA 459 467
- ------------------------------------------------------
GROUP TOTAL 1,342
- ------------------------------------------------------
ENERGY (0.6%)
Enron Corp.
6.625%, 10/15/03 BBB+ 1,160 1,177
- ------------------------------------------------------
FINANCE (20.1%)
American General
Finance Corp.,
5.75%, 11/1/03 A+ 1,455 1,439
Associates Corp. of
North America
5.875%, 7/15/02 AA- 1,810 1,812
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Bank One Corp.
5.625%, 2/17/04 A+ $ 1,430 $ 1,413
BankAmerica Corp.
6.875%, 6/1/03 A+ 1,200 1,238
Beneficial Corp.,
Series:
G
6.45%, 6/19/00 A 670 677
I
6.27%, 7/9/01 A 1,290 1,303
Chase Manhattan Bank,
5.69%, 2/10/04 A+ 1,165 1,153
Chrysler Financial
Corp.
6.375%, 1/28/00 A+ 775 782
Series G
6.61%, 6/16/00 A+ 895 907
CIT Group Holdings
6.25%, 3/28/01 A+ 770 779
6.375%, 10/1/02 A+ 915 928
Countrywide Funding Corp.,
Series A
7.32%, 8/15/00 A 650 663
Dayton Hudson Corp.
6.625%, 3/1/03 A- 1,110 1,135
EOP Operating LP
6.50%, 6/15/04 BBB 1,020 1,013
Equifax, Inc.
6.50%, 6/15/03 A- 970 987
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 A 1,100 1,195
(+) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 1,075 1,097
(+) Florida Property & Casualty
7.375%, 7/1/03 A- 375 387
7.45%, 7/1/04 A- 150 155
(+) Florida Windstorm
6.70%, 8/25/04 A- 425 430
Ford Motor Credit Corp.
+ 6.125%, 4/28/03 A1 1,575 1,589
8.375%, 1/15/00 A 400 410
General Motors
Acceptance Corp.
7.125%, 5/1/01 A 1,705 1,755
(+) Goldman Sachs Group, LP
6.50%, 2/25/09 A+ 500 496
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 891 913
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 1,190 1,180
J.P. Morgan & Co., Inc.
5.75%, 2/25/04 AA 1,575 1,560
Lehman Brothers
Holdings, Inc.
6.625%, 11/15/00 A 725 729
First Union Corp.
6.625%, 6/15/00 A 1,205 1,221
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch & Co.
6.00%, 2/12/03 AA- $ 1,150 $ 1,152
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 1,555 1,572
(+) Nationwide Mutual
Insurance Co.
6.50%, 2/15/04 A+ 1,198 1,205
Norwest Financial, Inc.
5.375%, 9/30/03 A+ 1,265 1,241
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 820 804
(+) Prime Property Funding II
6.80%, 8/15/02 A 785 785
7.00%, 8/15/04 A- 225 225
(+) Prudential
Insurance Co.
6.875%, 4/15/03 A- 1,390 1,423
Smith Barney Holdings
7.00%, 3/15/04 A 960 996
Toyota Motor Credit Corp.
5.50%, 9/17/01 AAA 1,035 1,030
- ------------------------------------------------------
GROUP TOTAL 39,779
- ------------------------------------------------------
INDUSTRIALS (5.5%)
Columbia/HCA Healthcare
6.41%, 6/15/00 BB+ 1,250 1,225
Comdisco, Inc.,
Series G
6.00%, 6/1/00 BBB+ 1,165 1,166
(+) CVS Corp.
5.50%, 2/15/04 A 1,190 1,173
(+) EES Coke Battery Co., Inc.
7.125%, 4/15/02 BBB 430 431
(+) Federated
Department Stores
6.30%, 4/1/09 BBB+ 790 780
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 367 368
(+) Marlin Water Trust
7.09%, 12/15/01 BBB 895 905
May Department Stores
9.875%, 12/1/02 A 810 915
(+) Monsanto Co.
5.375%, 12/1/01 A 1,200 1,188
(+) Scotia Pacific Co.
LLC
6.55%, 1/20/07 A 860 817
Turner Broadcasting
Systems
7.40%, 2/1/04 BBB- 945 996
Waste Management, Inc.
6.125%, 7/15/01 BBB+ 980 985
- ------------------------------------------------------
GROUP TOTAL 10,949
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TAXABLE MUNICIPAL (0.4%)
New York State Power
Authority, Revenue Bonds,
Series B
6.11%, 2/15/11 AAA $ 805 $ 809
- ------------------------------------------------------
TELEPHONES (2.0%)
AT&T Corp.
6.00%, 3/15/09 AA 1,305 1,298
GTE Corp.
9.10%, 6/1/03 A 990 1,104
MCI WorldCom, Inc.
6.125%, 8/15/01 BBB+ 1,575 1,588
- ------------------------------------------------------
GROUP TOTAL 3,990
- ------------------------------------------------------
TRANSPORTATION (0.4%)
Union Pacific Co.
9.625%, 12/15/02 BBB- 625 695
- ------------------------------------------------------
U.S. TREASURY SECURITIES (11.1%)
U.S. Treasury Notes
!! 3.625%, 7/15/02
(Inflation Indexed) Tsy 20,308 20,175
4.50%, 1/31/01 Tsy 1,700 1,685
- ------------------------------------------------------
GROUP TOTAL 21,860
- ------------------------------------------------------
UTILITIES (0.3%)
(+) Edison Mission
Energy Funding Corp.
6.77%, 9/15/03 BBB 531 535
- ------------------------------------------------------
YANKEE (1.3%)
Korea Development Bank
7.375%, 9/17/04 BBB- 470 459
(+) Oil Enterprises
Ltd.
6.239%, 6/30/08 AAA 964 954
(+) Oil Purchase Co.
7.10%, 10/31/02 BBB 486 465
Sony Corp.
6.125%, 3/4/03 A+ 650 655
- ------------------------------------------------------
GROUP TOTAL 2,533
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$231,105) 231,293
- ------------------------------------------------------
PREFERRED STOCK (0.8%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.8%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost
$1,552) Aaa 2 1,625
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- ------------------------------------------------------
@ Bankers Trust Co., terminating
10/15/99, to receive on
10/15/99, the excess, as
measured on 10/15/98, of 12
month LIBOR over 6.34%
multiplied by the notional
amount.
(Premium Paid $370) A- $96,748 $ --
- ------------------------------------------------------
CASH EQUIVALENT (4.2%)
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.2%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to be
repurchased at $8,313,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at $8,387
(Cost $8,312) 8,312 8,312
- ------------------------------------------------------
TOTAL INVESTMENTS (122.1%) (Cost $241,339) 241,230
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-22.1%)
Cash 109
Interest Receivable 1,849
Receivable for Forward Commitments 53,541
Receivable for Fund Shares Sold 50
Receivable for Daily Variation on Futures
Contracts 67
Unrealized Gain on Swap Agreements 21
Other Assets 9
Payable for Forward Commitments (98,235)
Payable for Fund Shares Redeemed (906)
Payable for Investment Advisory Fees (165)
Payable for Administrative Fees (14)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Other Liabilities (51)
--------
(43,734)
- ------------------------------------------------------
NET ASSETS (100%) $197,496
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 19,052,988 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $197,496
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.37
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $200,658
Undistributed Net Investment Income (Loss) 1,013
Undistributed Realized Net Gain (Loss) (4,295)
Unrealized Appreciation (Depreciation) on:
Investment Securities (109)
Futures and Swaps 229
- ------------------------------------------------------
NET ASSETS $197,496
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable of floating rate security-rate disclosed is
as of March 31,1999
@ Value is less than $500.
IO Interest Only
LIBOR London Interbank Offer Rate
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.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Special Purpose Fixed Income Portfolio is designed for use as part of a
balanced investment program. MAS constructs a diversified fund with a maturity
and duration structure reflecting long-term views on interest rates and
inflation. MAS selects investments in U.S. Treasuries, agencies, corporates,
mortgages, non-dollar and other fixed-income securities based upon relative
value in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS SPECIAL PURPOSE SALOMON
FIXED INCOME BROAD INDEX
---------------------------------
<S> <C> <C>
SIX MONTHS 1.68% (0.06)%
ONE YEAR 5.14 6.50
FIVE YEARS 8.09 7.81
SINCE INCEPTION 9.01 7.82
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
* The Special Purpose Fixed Income Portfolio commenced operations on 3/31/92.
Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (116.0%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (46.2%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.50%,
9/1/09-3/1/27 Agy $ 2,521 $ 2,774
11.00%,
12/1/10-9/1/20 Agy 1,474 1,649
11.75%, 12/1/17 Agy 77 88
Gold Pools:
10.50%,
11/1/15-4/1/21 Agy 3,291 3,637
April TBA
6.00%, 4/15/29 Agy $ 23,775 $ 23,121
Federal National Mortgage
Association,
Conventional Pools:
9.00%, 1/1/21 Agy 3,580 3,841
9.50%,
11/1/20-2/1/27 Agy 6,151 6,679
10.00%,
11/1/18-5/1/22 Agy 6,074 6,649
10.50%,
8/1/15-4/1/22 Agy 2,123 2,320
11.00%, 11/1/20 Agy 180 202
12.00%, 11/1/15 Agy 2,285 2,612
12.50%, 9/1/15 Agy 209 240
April TBA
6.00%, 4/25/29 Agy 129,750 126,081
Government National
Mortgage
Association:
Adjustable Rate
Mortgages:
6.50%,
10/20/27-12/20/27 Tsy 8,471 8,587
6.875%,
2/20/25-6/20/25 Tsy 13,222 13,456
7.00%,
2/20/25-3/20/25 Tsy 4,082 4,153
Various Pools:
6.00%, 2/20/27 Tsy 1,068 1,083
9.50%, 4/15/28 Tsy 3,421 3,722
10.00%,
2/15/16-10/15/28 Tsy 7,416 8,120
10.50%,
10/15/15-5/15/26 Tsy 2,360 2,608
11.00%,
1/15/10-5/15/26 Tsy 4,051 4,553
12.00%,
3/15/11-4/15/14 Tsy 42 48
12.50%, 6/15/10 Tsy 72 83
- ------------------------------------------------------
GROUP TOTAL 226,306
- ------------------------------------------------------
ASSET BACKED CORPORATES (14.7%)
Advanta Mortgage Loan Trust,
Series 97-3 A2
6.61%, 4/25/12 AAA 85 85
Arcadia Automobile
Receivables Trust,
Series:
97-D A3
6.20%, 5/15/03 AAA 1,890 1,900
98-A A3
5.90%, 11/15/02 AAA 2,715 2,719
Block Mortgage Finance, Inc.
Series 99-1 A1
5.94%, 9/25/13 AAA 2,787 2,783
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Centex Home Equity
Series 99-1 A1
6.07%, 3/25/18 AAA $ 1,970 $ 1,969
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 36 36
+## Citibank Credit
Card Master Trust I,
Series 98-7 A
4.949%, 5/15/02 Aaa 3,875 3,873
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 2,800 2,801
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC
(11)
4.966%, 3/15/13 AAA 1,812 1,809
Daimler Benz Auto
Grantor Trust,
Series 97-A
6.05%, 3/31/05 AAA 958 963
Daimler Benz Vehicle Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 2,600 2,597
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 1,451 1,453
EQCC Home Equity Loan
Trust,
Series 99-1 A1F
5.77%, 3/20/29 AAA 2,500 2,498
(+) First Mortgage Acceptance
Corp., Loan Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 AAA 1,091 1,086
First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 1,576 1,584
## First USA Credit
Card Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA 2,740 2,741
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 3,808 3,822
Green Tree Financial
Corp.,
Series 97-7 A3
6.18%, 9/15/09 AAA 1,316 1,320
</TABLE>
<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 $ 1,363 $ 1,364
+ Green Tree Home
Improvement Loan
Trust, Series 98-E
HI A1
5.907%, 8/15/07 Aaa 2,150 2,154
Greenpoint
Manufactured
Housing, Series 99-1
A1
5.78%, 12/15/09 AAA 2,455 2,452
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 1,603 1,607
+ 97-B A
5.95%, 5/15/03 AAA 98 98
Honda Auto Receivables
Owner Trust,
Series 99-1 A2
5.186%, 6/15/01 AAA 3,000 2,998
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 2,175 2,179
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 885 889
MMCA Automobile Trust,
Series 97-I A3
6.06%, 5/15/01 AAA 2,775 2,781
(+) National Car
Rental Financing
Ltd., Series 96-1 A4
7.35%, 10/20/03 N/R 1,650 1,695
Nissan Auto
Receivables Grantor
Trust, Series 97-A A
6.15%, 2/15/03 AAA 1,677 1,688
(+) Rental Car Finance Corp.,
Series 97-1 A2
6.45%, 8/25/04 AA 2,765 2,767
+ Residential Funding
Mortgage Securities
Co., Inc., Series
98-HI2 A1
5.696%, 2/25/10 Aaa 1,967 1,965
(+) Securitized
Multiple Asset Rated
Trust, Series 97-3
A1
7.71%, 4/15/06 N/R 1,277 830
(+) Team Fleet Financing Corp.,
Series 96-1 A
6.65%, 12/15/02 A- 1,125 1,133
</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>
(+) Textron Financial
Corp. Receivables
Trust, Series 98-A
A1
5.82%, 2/15/02 AAA $ 1,695 $ 1,698
UCFC Home Equity Loan
Trust,
Series 98-C A1
5.706%, 1/15/13 AAA 2,213 2,211
WFS Financial Owner
Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 1,903 1,910
98-A A2
5.783%, 11/20/00 AAA 1,208 1,210
World Omni Automobile Lease
Securitization Trust,
Series 97-B A2
6.08%, 11/15/03 AAA 2,594 2,603
- ------------------------------------------------------
GROUP TOTAL 72,271
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.3%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 24,000 521
(+) 96-3 A YMA
10/25/26 N/R 24,000 32
Contimortgage Home
Equity Loan Trust,
Series:
(+) 96-4 A11 I IO
1.10%, 1/15/28 AAA 14,231 330
96-4 A11 I YMA
1/15/28 AAA 14,231 19
(+) 96-4 A12 I IO
1.05%, 1/15/28 AAA 3,007 70
96-4 A12 I YMA
1/15/28 AAA 3,007 5
97-1 A10 I IO
1.10%, 3/15/28 AAA 17,850 421
97-1 A10 I YMA
3/15/28 N/R 17,850 25
- ------------------------------------------------------
GROUP TOTAL 1,423
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (4.8%)
Federal Home Loan Mortgage
Corporation,
Series:
83-IB IO
8.00%, 8/15/27 Agy 7,150 1,879
88-22 C PAC (11)
9.50%, 4/15/20 Agy 39 41
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
186 IO
8.00%, 8/1/27 Agy $ 1,814 $ 355
1415-S Inv Fl IO
22.25%, 11/15/07 Agy 597 248
1476-S Inv Fl IO
REMIC PAC
4.595%, 2/15/08 Agy 6,329 617
1485-S Inv Fl IO REMIC
4.60%, 3/15/08 Agy 5,319 419
1546 FC
5.50%, 12/15/21 Agy 1,218 1,219
1600-SA Inv Fl IO REMIC
3.00%, 10/15/08 Agy 11,825 650
##1933-FM REMIC
5.75%, 3/15/25 Agy 90 90
##1933-FO REMIC
5.75%, 3/15/25 Agy 158 158
##2040-FC
5.289%, 2/15/23 Agy 1,614 1,617
Federal National
Mortgage
Association,
Series:
92-186 S Inv Fl IO REMIC
3.642%, 10/25/07 Agy 10,595 815
93-205 H PO REMIC
9/25/23 Agy 2,228 1,350
##94-50 FD Inv Fl REMIC
5.388%, 3/25/24 Agy 1,283 1,285
##94-73 F
5.438%, 12/25/20 Agy 1,166 1,168
96-14 PC PO
12/25/23 Agy 288 224
96-54 O PO
11/25/23 Agy 246 186
96-68 SC Inv Fl IO
REMIC
3.163%, 1/25/24 Agy 3,825 470
##97-43 FM REMIC
5.438%, 7/18/27 Agy 1,799 1,802
97-70 FA Inv Fl REMIC
5.388%, 7/18/20 Agy 1,052 1,053
##97-76 FM
5.388%, 9/17/27 Agy 1,098 1,099
##97-76 FN
5.338%, 9/17/27 Agy 1,075 1,075
##98-22 FA REMIC
5.336%, 4/18/22 Agy 3,211 3,208
191 IO
8.00%, 1/1/28 Agy 6,884 1,415
291 2 IO
8.00%, 11/1/27 Agy 4,691 939
X-97C FC TBA
5.638%, 3/25/24 Agy 483 487
- ------------------------------------------------------
GROUP TOTAL 23,869
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.7%)
American Housing
Trust,
Series: IV 2 C
9.553%, 9/25/20 A $ 201 $ 210
V 1G
9.125%, 4/25/21 AAA 1,030 1,093
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 582 620
## Rural Housing
Trust, Series 87-1
B1 REMIC
3.33%, 10/1/28 A- 138 135
## Ryland Mortgage
Securities Corp.
III, Series 92-A 1A
8.255%, 3/29/30 A- 1,307 1,320
- ------------------------------------------------------
GROUP TOTAL 3,378
- ------------------------------------------------------
COMMERCIAL MORTGAGES (5.0%)
+ American Southwest Financial
Securities Corp., Series 95-C1
A1B
7.40%, 11/17/04 Aaa 2,030 2,067
Asset Securitization Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 2,418 2,484
96-MD6 A1C
7.04%, 11/13/26 AAA 1,845 1,890
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 2,175 2,319
(+) Carousel Center Finance,
Inc.,
Series 1 A1
6.828%, 11/15/07 AA 1,550 1,556
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 1,653 1,827
(+) Crystal Run Properties, Inc.,
Series A
7.393%, 8/15/06 AA 2,125 2,188
(+) DLJ Mortgage
Acceptance Corp.,
Series 96-CF2 A1B
7.29%, 7/15/06 AAA 545 565
+## GMAC Commercial Mortgage
Securities, Inc.,
Series: 96-C1 X2 IO
1.874%, 3/15/21 Aaa 7,831 521
97-C2 X IO
1.26%, 4/15/27 Aaa 21,488 1,378
+## GS Mortgage
Securities
Corp. II,
Series 97-GL X2 IO
1.038%, 7/13/30 Aaa 5,905 259
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
## Merrill Lynch
Mortgage
Investors, Inc.,
Series 96-C2 IO
1.547%, 11/21/28 AAA $ 9,002 $ 645
Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 AAA 1,135 1,174
(+) Park Avenue
Finance Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 907 953
(+) Prime Property
Funding,
Series 1A
6.633%, 7/23/03 AA 1,519 1,518
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 2,300 2,297
## Structured Asset
Securities Corp.,
Series: 96-CFL X1 IO
1.219%, 2/25/28 N/R 10,644 548
96-CFL X1A IO
1.219%, 2/25/28 N/R 7,903 111
96-CFL X2 IO
1.152%, 2/25/28 N/R 2,904 65
- ------------------------------------------------------
GROUP TOTAL 24,365
- ------------------------------------------------------
ENERGY (0.4%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 1,120 1,164
Mobile Energy Services
8.665%, 1/1/17 CCC 1,816 618
- ------------------------------------------------------
GROUP TOTAL 1,782
- ------------------------------------------------------
FINANCE (9.9%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 1,135 1,180
Associates Corp. of
North America
6.95%, 11/1/18 AA- 395 402
BankAmerica Corp.
5.875%, 2/15/09 A+ 685 662
(+) BankAmerica Institutional,
Series A
8.07%, 12/31/26 A- 2,325 2,445
(+) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 BBB 2,680 2,761
Chase Manhattan Corp.
6.00%, 2/15/09 A 1,000 974
EOP Operating LP
6.763%, 6/15/07 BBB 1,420 1,413
6.80%, 1/15/09 BBB 550 546
Equifax, Inc.
6.90%, 7/1/28 A- 890 888
</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>
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A $ 2,740 $ 2,837
(+) Farmers Exchange Capital
7.05%, 7/15/28 A 575 551
(+) Farmers Insurance Exchange
8.625%, 5/1/24 A 2,200 2,491
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 1,900 1,983
First Union Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 2,150 2,261
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 750 775
(+) Florida Windstorm
6.70%, 8/25/04 A- 1,000 1,011
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 1,955 1,956
(+) Goldman Sachs Group, LP
6.50%, 2/25/09 A+ 1,200 1,190
Great Western Financial, Inc.
Series A
8.206%, 2/1/27 BBB- 255 268
HMH Properties,
Series A
7.875%, 8/1/05 BB 2,035 1,987
Lehman Brothers
Holdings, Inc.
8.50%, 8/1/15 A 300 324
8.80%, 3/1/15 A 620 693
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 2,000 2,007
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 2,300 2,269
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA- 1,075 1,078
(+) PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 2,530 2,625
(+) Prime Property Funding II
Series 1A
6.80%, 8/15/02 A 200 200
7.00%, 8/15/04 A 1,945 1,946
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 2,205 2,556
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 1,300 1,389
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- $ 2,995 $ 3,040
96 WFP-D
6.95%, 9/1/13 AA- 1,700 1,730
- ------------------------------------------------------
GROUP TOTAL 48,438
- ------------------------------------------------------
INDUSTRIALS (9.5%)
American Standard Cos.
7.375%, 4/15/05 BB- 1,445 1,415
Browning-Ferris
Industries, Inc.
7.40%, 9/15/35 A- 1,300 1,118
Columbia/HCA Healthcare
7.19%, 11/15/15 BB+ 1,050 870
7.58%, 9/15/25 BB+ 1,145 960
9.00%, 12/15/14 BB+ 785 802
Continental Airlines
7.461%, 4/1/15 AA+ 466 486
Continental
Cablevision
8.30%, 5/15/06 BBB 1,285 1,420
Cox Communications, Inc.
6.80%, 8/1/28 A- 265 262
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 1,810 1,907
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 445 423
93-K1 A2
7.43%, 8/15/18 BB+ 275 259
94-K1 A2
8.375%, 8/15/15 BB+ 1,075 1,099
94-K2 A2
9.35%, 8/15/19 BB+ 1,335 1,392
Enron Corp.
6.95%, 7/15/28 BBB+ 1,755 1,702
(+) Federated
Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 1,330 1,299
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,325 1,330
Ford Motor Co.
6.625%, 10/1/28 A 1,420 1,375
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 1,615 1,675
General Motors Corp.
6.75%, 5/1/28 A 1,570 1,544
Harrahs Operating Co., Inc.
7.50%, 1/15/09 BBB- 635 642
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 1,330 1,372
8.375%, 11/1/05 BB+ 1,315 1,410
(+) Lowe's Companies,
Inc.
6.50%, 3/15/29 A 1,415 1,347
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Monsanto Co.
6.60%, 12/1/28 A $ 2,355 $ 2,249
News America, Inc.
7.28%, 6/30/28 BBB- 2,355 2,360
(+) Oxymar
7.50%, 2/15/16 BBB 1,490 1,316
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 2,175 2,332
Saks, Inc.
7.375%, 2/15/19 BB+ 970 944
(+) Scotia Pacific Co.
LLC
7.71%, 7/20/28 BBB 3,305 2,646
(+) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 1,575 1,513
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 1,430 1,418
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 2,055 1,971
7.57%, 2/1/24 BBB 840 898
Union Pacific Co.
6.625%, 2/1/29 BBB- 970 912
Union Pacific Resources Corp.,
Series E
6.79%, 11/9/07 BBB- 415 422
USA Waste Services
7.00%, 7/15/28 BBB+ 1,470 1,464
- ------------------------------------------------------
GROUP TOTAL 46,554
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec. First Federal Savings & Loan
Association,
Series 92-C
8.75%, 6/1/06
(acquired 8/24/92-
11/28/94, cost
$178) AA 8 8
## Resolution Trust
Corp., Series 92-5 C
8.611%, 1/25/26 AA 728 723
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,121 1,008
sec. Shearson American Express,
Series A CMO
9.625%, 12/1/12
(acquired 8/24/92-
5/28/93, cost $936) AA 139 139
- ------------------------------------------------------
GROUP TOTAL 1,878
- ------------------------------------------------------
TELEPHONES (1.6%)
AT&T Corp.
6.50%, 3/15/29 AA- 1,580 1,547
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 480 540
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Intermedia
Communications,
Inc.,
# 0.00%, 5/15/06 B $ 355 $ 307
Series B
8.50%, 1/15/08 B 280 279
8.60%, 6/1/08 B 1,550 1,550
MCI Worldcom, Inc.
6.95%, 8/15/28 BBB+ 1,565 1,593
# Qwest Communications
International, Inc.
0.00%, 2/1/08 BB+ 2,475 1,903
- ------------------------------------------------------
GROUP TOTAL 7,719
- ------------------------------------------------------
TRANSPORTATION (1.2%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 2,138 2,156
(+) Jet Equipment
Trust, Series 95-C
10.69%, 5/1/15 BBB- 2,080 2,552
Union Pacific Co.
6.625%, 2/1/08 BBB- 975 983
7.125%, 3/1/28 BBB- 495 496
- ------------------------------------------------------
GROUP TOTAL 6,187
- ------------------------------------------------------
U.S. TREASURY SECURITIES (12.5%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 22,433 21,578
3.625%, 7/15/02
(Inflation Indexed) Tsy 7,271 7,224
!! 3.625%, 1/15/08
(Inflation Indexed) Tsy 11,026 10,757
4.50%, 1/31/01 Tsy 9,050 8,971
4.75%, 11/15/08 Tsy 6,975 6,719
6.625%, 5/15/07 Tsy 5,525 5,957
- ------------------------------------------------------
GROUP TOTAL 61,206
- ------------------------------------------------------
UTILITIES (0.7%)
CMS Energy Corp.
7.50%, 1/15/09 BB 1,270 1,293
(+) Edison Mission
Energy Funding
Corp., Series B
7.33%, 9/15/08 BBB 1,225 1,249
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB+ 1,007 1,081
- ------------------------------------------------------
GROUP TOTAL 3,623
- ------------------------------------------------------
YANKEE (8.1%)
(+) Alcoa Aluminio
S.A., Series 96-1
7.50%, 12/16/08 BBB 2,447 2,244
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 2,395 2,255
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- $ 1,460 $ 1,466
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 410 384
7.75%, 7/15/08 A- 1,985 1,922
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 1,605 1,374
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 1,525 1,273
(+) Hutchison Whampoa Financial,
Series B
7.45%, 8/1/17 A 2,790 2,480
(+) Hyundai
Semiconductor
America
8.625%, 5/15/07 B 1,500 1,203
(+) Israel Electric Corp., Ltd.
7.25%, 12/15/06 A- 545 542
7.75%, 12/15/27 A- 1,505 1,435
Korea Development Bank
7.375%, 9/17/04 BBB- 1,470 1,436
Multicanal S.A.
10.50%, 4/15/18 BB+ 1,100 916
National Power Corp.
7.875%, 12/15/06 BB+ 1,100 1,010
8.40%, 12/15/16 BB+ 1,490 1,270
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 1,781 1,705
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 1,900 323
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 1,695 1,568
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB+ 2,595 1,893
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 3,615 3,400
# Republic of
Argentina Par,
7.33%, 3/31/23 BB 3,630 2,511
Republic of Colombia
8.70%, 2/15/16 BBB- 2,210 1,792
10.875%, 3/9/04 BBB- 260 270
Rogers Cablesystems
Ltd., Series B
10.00%, 3/15/05 BB+ 1,450 1,635
(+) Samsung
Electronics Co.
8.50%, 11/1/02 BB- 290 285
United Mexican States Par Bond,
Series A
6.25%, 12/31/19 BB 3,830 3,009
- ------------------------------------------------------
GROUP TOTAL 39,601
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$572,517) 568,600
- ------------------------------------------------------
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCK (1.9%)
- ------------------------------------------------------
MORTGAGES-OTHER (1.9%)
(+)+ Home Ownership
Funding Corp.,
13.331%, (Cost
$8,964) Aaa 10,400 $ 9,392
- ------------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
@ J.P. Morgan and Co.,
terminating 10/15/99,
to receive on 10/15/99
the excess, as measured
on 10/15/98, of 12
month LIBOR over 6.34%
multiplied by the notional
amount (Premium Paid $492) AA- $116,600 --
- ------------------------------------------------------
STRUCTURED INVESTMENT (0.1%)-SEE NOTE A7
- ------------------------------------------------------
Morgan Guaranty Trust
Company, 11/20/05; monthly
payments equal to 1% per
annum of the outstanding
notional balance, indexed
to GNMA ARM pools
(Cost $1,438) N/R 24,318 270
- ------------------------------------------------------
CASH EQUIVALENTS (16.6%)
- ------------------------------------------------------
Short-term Investments Held as
Collateral for
Loaned Securities (5.2%) 25,506
- ------------------------------------------------------
DISCOUNT NOTE (4.9%)
Federal Home Loan Mortgage Corp.
4.77%, 4/29/99 24,000 23,902
- ------------------------------------------------------
REPURCHASE AGREEMENT (6.5%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $32,122,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$32,406 32,118 32,118
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $81,526) 81,526
- ------------------------------------------------------
TOTAL INVESTMENTS (134.6%) (Cost $664,937) 659,788
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-34.6%)
Cash $ 271
Interest Receivable 5,688
Receivable for Investments Sold 2,233
Receivable for Forward Commitments 16,839
Unrealized Gain on Swap Agreements 169
Other Assets 27
Payable for Forward Commitments (166,150)
Payable for Fund Shares Redeemed (2,258)
Payable for Investment Advisory Fees (462)
Payable for Administrative Fees (34)
Payable for Trustees' Deferred Compensation
Plan-Note F (27)
Payable for Daily Variation on Futures
Contracts (181)
Collateral on Securities Loaned, at Value (25,506)
Other Liabilities (172)
--------
(169,563)
- ------------------------------------------------------
NET ASSETS (100%) $490,225
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 41,637,765 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $490,225
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.77
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $493,238
Undistributed Net Investment Income (Loss) 8,017
Undistributed Realized Net Gain (Loss) (5,703)
Unrealized Appreciation (Depreciation) on:
Investment Securities (5,149)
Futures and Swaps (178)
- ------------------------------------------------------
NET ASSETS $490,225
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1999 was
$147 or 0.0% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon increases in increments to
maturity.
Rate disclosed is as of March 31,1999.
Maturity date disclosed is the ultimate maturity.
## Variable of floating rate security-rate disclosed
is as of March 31, 1999.
@ 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
March 31, 1999.
IO Interest Only
LIBOR London Interbank Offer Rate
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.
- --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Municipal Portfolio invests in debt obligations issued by state and local
governments or their agencies and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio will be invested in municipal
securities. Taxable securities are included only in cases where MAS believes
they will improve the fund's risk/reward profile on an after-tax basis.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
LEHMAN LEHMAN
5 YEAR 10 YEAR BLENDED
MAS MUNICIPAL MUNICIPAL MUNICIPAL
MUNICIPAL INDEX INDEX INDEX
---------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 2.88% 1.87% 1.22% 1.55%
ONE YEAR 6.51 5.72 6.27 6.00
FIVE YEARS 8.47 6.10 7.63 7.49
SINCE INCEPTION 7.68 5.79 7.23 7.00
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
The Portfolio was initially focused on long-term securities. On April 15, 1996,
shareholders approved a change in the Portfolio's investment policies to
emphasize fixed-income securities of shorter duration. On October 2, 1998,
shareholders approved a change in the Portfolio's investment policies to specify
that generally at least 80% of its income will be exempt from regular federal
income tax. The Portfolio's performance pattern may have been affected by these
changes.
* The Municipal Portfolio commenced operations on 10/1/92. Total returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices, as well as the Blended Municipal Index, an
unmanaged index comprised of the Lehman Long Municipal Index from 10/1/92 to
3/31/96 and 50% Lehman 10 Year Municipal Index and 50% Lehman 5 Year Municipal
Index thereafter. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (118.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (92.7%)
Alabama Drinking Water
Finance Authority
Revenue Bonds,
Series A (AMBAC)
4.60%, 8/15/10 AAA $ 1,415 $ 1,416
Aldine, TX Independent
School District
(PSFG)
Zero Coupon,
2/15/07 AAA 750 530
Aliquippa School
District, PA
Zero Coupon, 6/1/12 A 685 360
Allegheny County, PA
Hospital Development
Authority Revenue
Bonds,
Series A (MBIA)
4.625%, 8/1/12 AAA 1,000 974
Series B (MBIA)
4.85%, 12/15/12 AAA 1,100 1,100
+ Amarillo, TX Health
Facility Corp.
Revenue Bonds (FSA)
5.50%, 1/1/10 Aaa 1,275 1,361
Anchorage Alaska,
General Obligation
Bonds, Series A
4.70%, 4/1/12 AAA 1,000 994
Arkansas State
Development Finance
Authority Home
Mortgage Revenue
Bonds, Series B-1
4.90%, 7/1/29 AAA 5 5
Berks County, PA
(FGIC)
Zero Coupon
5/15/19 AAA 1,250 442
11/15/20 AAA 1,000 335
Berks County, PA Solid
Waste Authority
(FGIC)
6.00%, 4/1/11 AAA 170 182
Bradford, PA Area
School District
(FGIC)
4.60%, 10/1/10 AAA 250 250
+ Bucks County, PA
Water & Sewer
Authority Revenue
Bonds Series B
5.50%, 2/1/08 Aaa 150 156
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
California Housing &
Finance Agency
Revenue Bonds (MBIA)
5.30%, 8/1/14 AAA $ 135 $ 139
Center Township, PA
Sewer Authority
Revenue Bonds,
Series A (MBIA)
Zero Coupon,
4/15/17 AAA 615 245
Series A
6.00%, 4/15/03 AAA 500 528
Central MI University
Revenue Bonds, TBA
(FGIC)
4.65%, 10/1/11 AAA 1,345 1,344
Charleston County, SC,
Resource Recovery
Revenue Bonds
(AMBAC)
5.15%, 1/1/09 AAA 1,000 1,048
Chicago IL, General
Obligation Bonds,
Series A (FGIC)
4.90%, 1/1/14 AAA 1,000 998
Chicago IL, Tax
Increment Revenue
Bonds (AMBAC)
4.70%, 11/15/13 AAA 1,000 979
Clark County, WA
Public Utility
District No. 001
Revenue Bonds (FSA),
4.90%, 1/1/15 AAA 1,605 1,591
Cleveland, OH Airport
Special Revenue
Bonds
5.50%, 12/1/08 BB 750 764
Clinton County, PA
Industrial
Development
Authority
6.25%, 11/15/06 BB 150 155
Colorado Health
Facilities Revenue
Bonds, Series A
Zero Coupon, 7/15/20 AAA 1,000 318
Council Rock, PA
School District
(FGIC)
4.60%, 11/15/12 AAA 1,000 988
Delaware County, PA
Industrial Development
Authority Revenue
Bonds,
Series A
6.50%, 1/1/08 A- 200 214
Detroit, MI Downtown
Development
Authority Tax
Increment Revenue
Bonds (MBIA)
4.65%, 7/1/10 AAA 1,330 1,323
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Du Page & Will Counties, IL
Community School
District No. 204,
General Obligation
Bonds (FSA)
4.80%, 12/30/13 AAA $ 1,150 $ 1,144
Duneland, IN School
Building Corp.
Revenue Bonds (MBIA)
4.85%, 8/1/13 AAA 1,045 1,038
East Detroit, MI
School District
General Obligation
Bonds (FGIC)
4.55%, 5/1/11 AAA 1,075 1,065
Elizabeth Forward, PA
School District,
Series B (MBIA)
Zero Coupon, 9/1/11 AAA 1,250 692
Ephrata, PA Area
School District,
Series C TBA (FGIC)
4.60%, 10/15/11 AAA 1,000 991
Erie, PA Sewer
Authority Revenue
Bonds, Series A
(AMBAC)
5.00%, 6/1/11 AAA 455 465
+ Essex County, NJ
Utility Authority
Revenue Bonds,
Series A (FSA)
4.80%, 4/1/14 Aaa 1,005 1,003
Fort Worth, TX
Independent School
District (PSFG)
Zero Coupon, 2/15/08 AAA 940 631
Georgia State Housing
& Financing
Authority, Series A
A2 (FHA)
5.875%, 12/1/19 AAA 105 109
Girard Area, PA School
District (FGIC)
Zero Coupon
10/1/18 AAA 700 262
10/1/19 AAA 250 88
+ Grand Haven, MI Area
Public Schools, TBA
4.70%, 5/1/12 Aaa 1,300 1,296
+ Grand Traverse
County, MI Hospital
Revenue Bonds,
(AMBAC) Series A
4.625%, 7/1/10 Aaa 1,835 1,821
Hamilton County, IN
Redevelopment
Authority Revenue
Bonds (MBIA)
4.90%, 8/1/13 AAA 1,160 1,152
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Houston, TX Housing
Finance &
Development Corp.,
Single Family
Mortgage Revenue
Bonds, Series B-1
8.00%, 6/1/14 A $ 500 $ 528
Houston, TX Water &
Sewer Systems
Revenue Bonds,
Series A (FSA)
Zero Coupon 12/1/21 AAA 6,510 2,012
Zero Coupon,
12/1/22 AAA 2,150 630
+ Howard Suamico, WI
School District
General Obligation
Bonds (FSA)
4.60%, 3/1/12 Aaa 360 356
4.75%, 3/1/14 Aaa 1,115 1,102
Huron Valley, MI
School District TBA
(FGIC)
4.65%, 5/1/11 AAA 1,095 1,094
+ Idaho Housing &
Finance Association,
Single Family
Mortgage Revenue
Bonds, Series H-2
5.40%, 7/1/27 Aaa 195 199
Illinois Development
Finance Authority
Revenue Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,221
Indiana State
University Revenue
Bonds, Series I
(FGIC)
5.20%, 10/1/12 AAA 1,640 1,689
Indiana Transportation
Finance Authority
Highway Revenue
Bonds (AMBAC)
Zero Coupon, 12/1/16 AAA 1,695 688
Indianapolis Airport
Authority Revenue
Bonds
7.10%, 1/15/17 BBB 375 419
Intermountain Power
Agency, UT, Power
Supply Revenue
Bonds, Series A
Zero Coupon, 7/1/17 A+ 1,750 692
Series B (MBIA)
6.50%, 7/1/09 AAA 300 350
Jefferson Parish, LA
School Board Sales &
Use Tax Revenue
Bonds (FSA)
Zero Coupon, 9/1/06 AAA 1,000 728
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Kane & De Kalb
Counties, IL Unit
School District
(AMBAC)
Zero Coupon, 12/1/09 AAA $ 725 $ 443
Kelloggsville, MI
Public School
District (FGIC)
5.00%, 5/1/12 AAA 1,290 1,315
King County, WA
Liberty System
Facility Revenue
Bonds (AMBAC)
4.85%, 12/1/13 AAA 1,110 1,110
Lackawanna County, PA
General Obligation
Bond,
Series A (FGIC)
4.80%, 1/1/13 AAA 1,010 1,000
+ Lehigh County, PA
General Purpose
Authority Revenue
Bonds, Lehigh Valley
Health Networks,
Series C (MBIA)
4.90%, 7/1/11 Aaa 1,195 1,203
Lehigh County, PA
General Purpose
Authority Revenue
Bonds, Horizons
Health Systems,
Inc., Series B
8.25%, 7/1/13 N/R 250 253
Long Island, NY Power
Authority Electric
System Revenue
Bonds,
Series A (FSA)
Zero Coupon, 12/1/15 AAA 2,535 1,113
Louisiana Public
Facilities Authority
Hospital Revenue
Bonds Series A (FSA)
5.50%, 7/1/10 AAA 2,700 2,880
Maine Municipal Bond Bank,
Series C (FSA)
5.10%, 11/1/12 AAA 1,130 1,159
Michigan State
Hospital Finance
Authority Revenue
Bonds, Series A
(MBIA)
5.00%, 2/15/12 AAA 1,000 1,012
Midland, TX
Independent School
District (PSFG)
Zero Coupon, 8/15/06 AAA 750 546
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<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 $ 464
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds
6.95%, 1/1/20 D 280 98
Montour, PA School
District (MBIA)
Zero Coupon, 1/1/13 AAA 300 150
Nebraska Investment
Finance Authority
Revenue Bonds,
Series D
5.80%, 3/1/20 AAA 230 239
+ Nevada Housing
Division,
Series C
5.65%, 4/1/27 Aaa 220 228
New Jersey Economic
Development
Authority Revenue
Bonds, Series A
Zero Coupon, 4/1/12 N/R 625 280
New York City, NY
General Obligation
Series G
5.00%, 8/1/12 (MBIA) AAA 1,000 1,018
Inverse Bonds
##22.46%, 10/1/03 A- 350 568
New York City, NY
Industrial
Development Agency
Revenue Bonds (FSA)
6.00%, 11/1/15 AAA 2,250 2,418
New York State
Dormitory Authority
Revenue Bonds
5.10%, 2/15/11
(FSA) AAA 825 850
Series E
5.10%, 2/15/11
(FSA) AAA 1,250 1,287
Series H
5.125%, 7/1/11
(FGIC) AAA 1,000 1,038
Noblesville, IN High
School Building
Corp. (AMBAC)
Zero Coupon, 2/15/19 AAA 1,850 659
North Carolina Housing
& Finance Agency
Revenue Bonds,
Series:
JJ
5.75%, 3/1/23 AA 200 206
RR
5.00%, 9/1/22 AA 1,795 1,817
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ North Carolina
Medical Care
Commission Hospital
Revenue Bonds
(AMBAC)
4.60%, 10/1/10 Aaa $ 1,685 $ 1,676
North Carolina Medical
Care Commission
Hospital Revenue
Bonds (MBIA)
4.70%, 10/1/12 AAA 1,435 1,414
+ North Hempstead, NY
General Obligation
Bonds,
Series B (FGIC)
5.00%, 3/1/12 Aaa 890 910
Okemos, MI Public School District
(MBIA)
Zero Coupon, 5/1/15 AAA 900 402
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 478
Orange County, FL
Housing & Finance
Authority, Single
Family Mortgage
Revenue Bonds,
Series B
5.10%, 9/1/27 AAA 475 476
Parkland, PA School
District (FGIC)
4.60%, 9/1/10 AAA 250 251
Penn Hills Township,
PA
Zero Coupon, 6/1/12 N/R 1,615 776
Series B
Zero Coupon,
12/1/13 N/R 500 219
Pennsylvania
Convention Center
Authority
6.25%, 9/1/04 BBB 250 266
6.70%, 9/1/16
(FGIC) AAA 500 601
Pennsylvania Housing &
Finance Authority,
Series:
47
5.20%, 4/1/27 AA+ 360 366
48
5.375%, 10/1/16 AA+ 290 298
50A
5.35%, 10/1/08 AA+ 195 202
51
5.65%, 4/1/20 AA+ 245 254
52B
5.55%, 10/1/12 AA+ 495 511
Philadelphia, PA
Authority For
Industrial
Development Revenue
Bonds, Series A
6.50%, 10/1/27 N/R 320 341
</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>
Philadelphia, PA Gas
Works
5.80%, 7/1/01 BBB $ 200 $ 208
+ Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 130 160
Philadelphia, PA
Hospitals & Higher
Education Facilities
Authority Revenue
Bonds
6.15%, 7/1/05 BBB+ 50 55
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 260 290
Plymouth County, MA
Correctional
Facility (AMBAC)
4.70%, 4/1/11 AAA 1,000 1,002
Port Authority, NY &
NJ Special
Obligation Revenue
Bonds
7.00%, 10/1/07 N/R 700 774
Port Seattle, WA
Revenue Bonds
(AMBAC)
4.875%, 8/1/10 AA- 1,475 1,508
Rhode Island Clean
Water Protection
Revenue Bonds,
Series A (AMBAC)
4.50%, 10/1/12 AAA 1,395 1,362
Robinson Township, PA
6.90%, 5/15/18 AAA 110 129
Rock Island, IL School
District, General
Obligation Bonds
(FSA)
5.00%, 12/1/11 AAA 1,000 1,020
+ Rose Tree Media, PA
School District,
General Obligation
Bonds (FGIC)
4.60%, 2/15/13 Aaa 1,025 1,005
## San Bernardino County, CA,
Series A (MBIA)
6.825%, 7/1/16 AAA 1,600 1,672
Savannah, GA Economic
Development
Authority Revenue
Bonds
7.40%, 4/1/26 N/R 310 341
Scranton, PA Health &
Welfare Authority
6.625%, 7/1/09 AAA 120 133
</TABLE>
<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 $ 144
B
Zero Coupon, 10/1/06 A 390 280
St. Tammany Parish
Wide School
District, LA,
General Obligation
Bonds Series A (FSA)
5.00%, 3/1/12 AAA 1,160 1,183
Steel Valley, PA
Allegheny County
Zero Coupon, 11/1/17 A 650 249
Steel Valley, PA
School District
Zero Coupon, 11/1/11 A 1,170 637
Stroudsburg, PA Area
School District
General Obligation
Bonds (FGIC)
4.95%, 10/1/11 AAA 1,000 1,022
Terrebonne Parish, LA
Hospital Service
District Revenue
Bonds (AMBAC)
4.95%, 4/1/10 AAA 1,330 1,352
Tippecanoe County, IN
School Building
Corp. Revenue Bonds
(FSA)
4.90%, 7/5/14 AAA 1,000 995
Trinity River
Authority, TX,
Regional Wastewater
System Revenue Bonds
(FSA)
4.60%, 8/1/11 AAA 1,600 1,592
+ Trinity, PA Area
School District
General Obligation
Bonds, Series B
(FSA)
5.20%, 11/1/12 Aaa 2,350 2,420
+ Tyler, TX Health
Facilities
Development Corp.,
Series A
5.25%, 7/1/02 Baa2 425 436
Upper Darby Township,
PA (AMBAC)
Zero Coupon, 7/15/11 AAA 525 292
Washington County,
West PA Power Co.
4.95%, 3/1/03 A 150 155
+ Washington State
Healthcare
Facilities Authority
Revenue Bonds
(AMBAC)
5.125%, 11/15/11 Aaa 1,000 1,030
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
West Texas Municipal
Power Agency Revenue
Bonds (MBIA)
4.90%, 2/15/11 AAA $ 1,520 $ 1,533
+ Whatcom County, WA
School District
General Obligation
Bonds Series A
(FGIC)
4.90%, 12/1/10 Aaa 1,780 1,812
+ Winnebago County, IL
School District
General Obligation
Bonds (FSA)
Zero Coupon, 1/1/14 Aaa 3,600 1,720
Wisconsin Housing &
Economic Development
Authority Home
Ownership Revenue
Bonds,
Series E
5.125%, 9/1/26 AA 1,730 1,751
Wisconsin State Health
& Educational
Facilities
Authority Revenue
Bonds (AMBAC)
5.625%, 2/15/12 AAA 1,000 1,074
+ Series B (MBIA)
4.95%, 6/1/12 Aaa 1,255 1,261
- ------------------------------------------------------
GROUP TOTAL 106,177
- ------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (21.3%)
Federal Home Loan
Mortgage
Corporation,
April TBA
6.00%, 4/15/29 Agy 9,425 9,166
Federal National
Mortgage
Association,
April TBA
6.00%, 4/25/29 Agy 5,000 4,859
November TBA
6.00%, 10/15/28 Agy 10,700 10,397
- ------------------------------------------------------
GROUP TOTAL 24,422
- ------------------------------------------------------
ASSET BACKED CORPORATES (0.4%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 449 449
- ------------------------------------------------------
YANKEE (4.1%)
(+)++ Hutchison
Whampoa Financial
7.45%, 8/1/17 A 525 467
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Korea Development Bank
7.375%, 9/17/04 BBB- $ 1,110 $ 1,084
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 315 291
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 570 536
## Republic of
Argentina,
Series L 'Euro'
6.00%, 3/31/23 BB 1,070 740
(+) Samsung
Electronics Co.
7.45%, 10/1/02 BB- 750 715
United Mexican States
Par Bond,
Series B
6.25%, 12/31/19 BB 990 778
- ------------------------------------------------------
GROUP TOTAL 4,611
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$131,603) 135,659
- ------------------------------------------------------
CASH EQUIVALENTS (11.0%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MONEY MARKET INSTRUMENTS (9.5%)
Dreyfus Basic Municipal Money
Market Fund 5,422,218 5,422
Vanguard Municipal Money Market
Fund 5,418,084 5,418
- ------------------------------------------------------
GROUP TOTAL 10,840
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C>
REPURCHASE AGREEMENT (1.5%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $1,788,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$1,804 $ 1,788 1,788
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $12,628) 12,628
- ------------------------------------------------------
TOTAL INVESTMENTS (129.5%) (Cost $144,231) 148,287
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-29.5%)
Interest Receivable $ 1,377
Receivable for Investments Sold 5
Receivable for Forward Commitments 10,052
Receivable for Fund Shares Sold 10
Receivable for Daily Variation on Futures
Contracts 86
Other Assets 18
Payable for Investments Purchased (10,729)
Payable for Forward Commitments (34,458)
Payable for Investment Advisory Fees (41)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred Compensation
Plan-Note F (5)
Payable to Custodian (32)
Other Liabilities (17)
--------
(33,742)
- ------------------------------------------------------
NET ASSETS (100%) $114,545
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 9,542,754 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $114,545
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.00
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $109,816
Undistributed Net Investments Income 126
Undistributed Realized Net Loss (305)
Unrealized Appreciation (Depreciation) on:
Investment Securities 4,056
Futures 852
- ------------------------------------------------------
NET ASSETS $114,545
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable of floating rate security-rate disclosed
is as of March 31, 1999
AMBAC American Municipal Bond Assurance Corporation
FGIC Financial Guaranty Insurance Corporation
FHA Federal Housing Administration
FSA Financial Security Assurance
MBIA Municipal Bond Insurance Association
N/R Not rated by Moody's Investors Service, Inc.,
Standard & Poor's Corporation.
PSFG Permanent School Fund Guaranteed
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.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Global Fixed Income Portfolio invests in high-grade fixed-income securities
around the world, including the United States. Miller Anderson & Sherrerd
manages the duration, country, and currency exposure of the portfolio by
combining research on relative values with analyses of economic, interest rate,
and exchange rate trends. Particular attention is paid to prospective inflation
and real interest rates. The Portfolio will tend to invest in those countries
offering the highest real interest rates and steepest yield curves, after
adjusting for differences in the fiscal soundness of each country. Foreign
currency exposure is handled as a separate management decision and foreign
currencies which MAS judges to be significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS GLOBAL SALOMON WORLD
FIXED INCOME GOV'T BOND INDEX
-------------------------------
<S> <C> <C>
SIX MONTHS
0.82% (0.45)%
ONE YEAR
8.81 9.98
FIVE YEARS
6.98 7.00
SINCE INCEPTION
7.17 6.81
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Global Fixed Income Portfolio commenced operations on 4/30/93. Total
returns are compared to the Salomon World Government Bond Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.6%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.0%)
Federal National Mortgage
Association-Global
6.50%, 7/10/02 Agy AUD 1,050 $ 688
- --------------------------------------------------------
BRITISH POUND (6.8%)
Orange plc
8.625%, 8/1/08 B+ GBP 235 407
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA 390 709
8.50%, 7/16/07 AAA 1,700 3,458
- --------------------------------------------------------
GROUP TOTAL 4,574
- --------------------------------------------------------
CANADIAN DOLLAR (4.8%)
(+)@ Global Econ2 EI
Zero Coupon, 1/1/50 AA (1)600 --
(+)@ Global Econ2 PIP
Zero Coupon, 1/1/50 AA (1)600 --
Government of Canada
7.50%, 3/1/01 AAA CAD 3,050 2,118
10.00%, 6/1/08 AAA 1,175 1,057
- --------------------------------------------------------
GROUP TOTAL 3,175
- --------------------------------------------------------
DANISH KRONE (2.9%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 3,590 608
9.00%, 11/15/00 AAA 8,175 1,294
- --------------------------------------------------------
GROUP TOTAL 1,902
- --------------------------------------------------------
EURO (27.8%)
Colt Telecom Group plc
7.625%, 7/31/08 B EUR 345 382
Government of France O.A.T.
8.50%, 10/25/19 AAA 1,395 2,237
## GMAC Global Bond
3.50% 9/25/02 A- 716 768
Government of Germany
+ 5.75%, 8/22/00 Aaa 1,285 1,442
8.375%, 5/21/01 AAA 3,518 4,219
6.25%, 1/4/24 AAA 251 321
6.50%, 7/4/27 AAA 3,280 4,341
Hypothekenbank in Essen AG
4.00%, 4/19/09 AAA 625 658
Kreditanstalt Fuer
Wiederaufbau
5.00%, 1/4/09 AAA 575 657
</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>
Republic of Italy BTPS
9.50%, 2/1/06 AA EUR 591 $ 853
10.00%, 8/1/03 AA 1,212 1,650
+ Spanish Government
5.15%, 7/30/09 Aa2 631 722
- --------------------------------------------------------
GROUP TOTAL 13,448 18,250
- --------------------------------------------------------
GREEK DRACHMA (1.2%)
Hellenic Republic
8.80%, 6/19/07 A GRD 210,000 811
- --------------------------------------------------------
JAPANESE YEN (10.6%)
Credit Locale de
France
6.00%, 10/31/01 AA+ JPY 75,000 724
European Investment Bank
3.00%, 9/20/06 AAA 88,000 829
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 746
Federal National Mortgage
Association Global Bond
1.75%, 3/26/08 Agy 100,000 857
+ Government of Japan
0.90%, 12/22/08 Aa1 410,000 3,180
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 54,000 617
- --------------------------------------------------------
GROUP TOTAL 6,953
- --------------------------------------------------------
SOUTH AFRICAN RAND (0.8%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 3,500 512
- --------------------------------------------------------
SWEDISH KRONA (2.1%)
Swedish Government
6.00%, 2/9/05 AAA SEK 5,100 692
13.00%, 6/15/01 AA+ 4,575 672
- --------------------------------------------------------
GROUP TOTAL 1,364
- --------------------------------------------------------
UNITED STATES DOLLAR (27.1%)
AGENCY FIXED RATE MORTGAGE (2.1%)
Government National
Mortgage Association
10.50%, 5/15/18 Tsy $ 1,258 1,390
- --------------------------------------------------------
FINANCE (7.4%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 160 166
BankAmerica Corp.
5.875%, 2/15/09 A- 45 43
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
(+) BankAmerica
Institutional,
Series A
8.07% 12/31/26 A+ $ 350 $ 368
(+) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 BBB 425 438
Chase Manhattan Corp.
6.00%, 2/15/09 A 135 132
EOP Operating LP
6.763%, 6/15/07 BBB 140 139
6.80%, 1/15/09 BBB 125 124
(+) Farmers Exchange Capital
7.05%, 7/15/28 A 305 292
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 200 209
First Union
Institutional
Capital I
8.04%, 12/1/26 BBB+ 275 289
(+) Goldman Sachs Group, L.P.
6.50%, 2/25/09 A+ 135 134
GS Escrow Corp.
7.125%, 8/1/05 BB+ 250 250
Lehman Brothers Holdings
8.80%, 3/1/15 A 85 95
8.50%, 8/1/15 A 35 38
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 300 296
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 425 442
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 300 348
Washington Mutual Capital
8.375%, 6/1/27 BBB- 100 107
Great Western
Financial Inc.,
Series A
8.206%, 2/1/27 BBB- 130 136
(+) World Financial Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 775 789
- --------------------------------------------------------
GROUP TOTAL 4,835
- --------------------------------------------------------
INDUSTRIALS (7.2%)
Browning-Ferris Industries, Inc.
7.40%, 9/15/35 A- 175 150
Columbia/HCA Healthcare
6.91%, 6/15/05 BB+ 185 169
7.19%, 11/15/15 BB+ 85 70
7.50% 12/15/23 BB+ 125 104
Continental Airlines,
Series 97-1 A,
7.461%, 4/1/15 AA+ 63 65
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ $ 245 $ 249
Enron Corp.
6.95%, 7/15/28 BBB+ 245 238
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 180 176
(+) Florida Windstorm
7.125%, 2/25/19 AAA 270 271
Ford Motor Co.
6.625%, 10/1/28 A 200 194
Harrahs Operating Co., Inc.
7.50%, 1/15/09 BBB- 95 96
(+) HMH Properties,
Inc.
8.375%, 2/15/06 BB 260 261
Kroger Co.
6.80%, 12/15/18 BBB- 280 274
(+) Lowe's Companies,
Inc.
6.50%, 3/15/29 A 180 171
(+) Monsanto Co.
6.60%, 12/1/28 A 295 282
News America Holdings
8.875%, 4/26/23 BBB- 285 336
# Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 215 231
Saks, Inc.
7.375%, 2/15/19 BB+ 130 127
(+) Scotia Pacific Co.
LLC
7.71%, 1/20/14 BBB 410 328
(+) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 220 211
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 190 188
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 265 254
6.95%, 1/15/28 BBB 35 35
7.57%, 2/1/24 BBB 90 96
USA Waste Services,
Inc.
7.00%, 7/15/28 BBB+ 145 144
- --------------------------------------------------------
GROUP TOTAL 4,720
- --------------------------------------------------------
TELECOMMUNICATIONS (1.3%)
AT&T Corp.
6.50%, 3/15/29 AA- 215 211
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 160 180
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 435 442
- --------------------------------------------------------
GROUP TOTAL 833
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.9%)
Continental Airlines,
Series 98-1 A
6.648% 9/15/17 AA+ $ 257 $ 260
Union Pacific Co.
7.125% 2/1/28 BBB- 310 310
- --------------------------------------------------------
GROUP TOTAL 570
- --------------------------------------------------------
U.S. TREASURY SECURITIES (11.7%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy 2,100 2,816
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,648 1,585
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,591 1,552
6.75% 5/31/99 Tsy 250 251
7.50% 2/15/05 Tsy 1,325 1,469
- --------------------------------------------------------
GROUP TOTAL 7,673
- --------------------------------------------------------
UTILITIES (0.6%)
CMS Energy Corp.
7.50%, 1/15/09 BB 185 188
(+) Edison Mission
Energy Funding
Corp.,
Series B
7.33%, 9/15/08 BBB 225 230
- --------------------------------------------------------
GROUP TOTAL 418
- --------------------------------------------------------
YANKEE (5.3%)
(+) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB 388 355
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 300 282
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 210 211
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 50 47
7.75%, 7/15/08 A- 270 261
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A 295 262
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 75 75
7.75%, 12/15/27 A- 230 219
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 202 194
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 235 217
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB+ 375 274
Republic of Colombia
8.70%, 2/15/16 BBB- 240 195
10.875%, 3/9/04 BBB- 75 78
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Rogers Cablesystems
Ltd.,
Series B
10.00%, 3/15/05 BB+ $ 185 $ 209
United Mexican States
Par Bond,
Series A
6.25% 12/31/19 BB 740 581
- --------------------------------------------------------
GROUP TOTAL 3,460
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $63,590) 62,128
- --------------------------------------------------------
PREFERRED STOCKS (2.2%)
- --------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (2.2%)
(+)+ Home Ownership Funding
Corp.
13.331%
(Cost $1,358) Aaa 1,575 1,422
- --------------------------------------------------------
CASH EQUIVALENTS (2.1%)
- --------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENTS (2.1%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99,
to be repurchased at $472,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at $476 $ 472 472
Goldman Sachs & Co. 4.78%, dated
3/31/99, due 4/1/99, to be
repurchased at $471,
collateralized by U.S.
Treasury Bonds, 10.75%, due
5/15/03, valued at $603 471 471
Merrill Lynch & Co., Inc. 4.70%,
dated 3/31/99, due 4/1/99, to
be repurchased at $471,
collateralized by U.S.
Treasury Notes, 6.875%, due
3/31/00, valued at $480 471 471
- --------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $1,414) 1,414
- --------------------------------------------------------
FOREIGN CURRENCY (0.0%)
- --------------------------------------------------------
@ Swedish Krona (Cost $0) SEK 3 --
- --------------------------------------------------------
TOTAL INVESTMENTS (98.9%) (Cost $66,362) 64,964
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- --------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (1.1%)
Cash and Foreign Currency Held as Collateral
on Futures Contracts (Cost $56) $ 56
Interest Receivable 1,372
Receivable for Investments Sold 796
Receivable for Fund Shares Sold 103
Unrealized Gain on Futures Contracts 28
Unrealized Gain on Swap Agreements 3
Other Assets 4
Payable for Investments Purchased (836)
Payable for Fund Shares Redeemed (94)
Payable for Investment Advisory Fees (63)
Payable for Administrative Fees (4)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Unrealized Loss on Forward Foreign Currency
Contracts (215)
Payable to Custodian (383)
Other Liabilities (23)
-------
740
- --------------------------------------------------------
NET ASSETS (100%) $65,704
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 6,251,029 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $65,704
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.51
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $65,302
Undistributed Net Investment Income (Loss) (1,105)
Undistributed Realized Net Gain (Loss) 3,075
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,398)
Foreign Currency Transactions (232)
Futures and Swaps 62
- --------------------------------------------------------
NET ASSETS $65,704
- --------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as
of March 31, 1999.
(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.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Fixed Income Portfolio invests in high-grade foreign
fixed-income securities. Miller Anderson & Sherrerd manages the duration,
country, and currency exposure of the Portfolio by combining research on
relative values with analyses of economic, interest rate, and exchange rate
trends. Particular attention is paid to prospective inflation and real interest
rates. The Portfolio will tend to invest in those countries offering the highest
real interest rates and steepest yield curves, after adjusting for differences
in the fiscal soundness of each country. Foreign currency exposure is handled as
a separate management decision and foreign currencies which MAS judges to be
significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS SALOMON WORLD
INTERNATIONAL GOV'T BOND
FIXED INCOME EX-U.S. INDEX
------------------------------
<S> <C> <C>
SIX MONTHS (0.14)% 0.17%
ONE YEAR 10.90 11.63
SINCE INCEPTION 6.78 6.75
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The International Fixed Income Portfolio commenced operations on 4/29/94.
Total returns are compared to the Salomon World Government Bond Ex-U.S. Index,
an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (84.8%)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (0.9%)
Federal National
Mortgage
Association-Global
6.50%, 7/10/02 Agy AUD 1,690 $ 1,107
- ----------------------------------------------------
BRITISH POUND (11.4%)
Orange plc
8.63%, 8/1/08 B+ GBP 505 875
United Kingdom
Treasury Bills
8.00%, 6/10/03 AAA 3,255 5,920
8.50%, 7/16/07 AAA 3,415 6,946
- ----------------------------------------------------
GROUP TOTAL 13,741
- ----------------------------------------------------
CANADIAN DOLLAR (3.7%)
@ Global Econ2 EI
Zero Coupon, 1/1/50 AAA (1)1,400 --
@ Global Econ2 PIP
Zero Coupon, 1/1/50 AAA (1)1,400 --
Government of Canada
7.50%, 3/1/01 AAA CAD 990 687
8.75%, 12/1/05 AAA 1,550 1,242
9.75%, 6/1/21 AAA 580 602
10.00%, 6/1/08 AAA 2,175 1,957
- ----------------------------------------------------
GROUP TOTAL 4,488
- ----------------------------------------------------
DANISH KRONE (3.9%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 13,410 2,273
9.00%, 11/15/00 AAA 15,500 2,453
- ----------------------------------------------------
GROUP TOTAL 4,726
- ----------------------------------------------------
EURO (43.3%)
Colt Telecom Group plc
7.63%, 7/31/08 B EUR 741 820
## GMAC Global Bond
3.14%, 9/25/02 A- 1,145 1,229
Government of Finland
9.50%, 3/15/04 AAA 2,173 2,975
Government of France
O.A.T.
8.50%, 3/28/00 AAA 4,912 5,593
8.50%, 10/25/19 AAA 2,150 3,447
Government of
Germany
5.75%, 8/22/00 AAA 3,664 4,111
6.25%, 1/4/24 AAA 3,695 4,720
6.50%, 7/4/27 AAA 3,655 4,837
7.00%, 1/13/00 AAA 1,057 1,179
7.50%, 9/9/04 AAA 803 1,036
8.375%, 5/21/01 AAA 2,512 3,013
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Hypothekenbank in
Essen AG
4.00%, 4/19/09 AAA EUR 1,660 $ 1,748
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 2,664 3,389
Kredit fuer
Wiederaufbau
5.00%, 1/4/09 AAA 1,049 1,200
Netherlands Government
8.25%, 2/15/07 AAA 3,484 4,831
Republic of Italy BTPS
10.00%, 8/1/03 AA 2,173 2,960
Spanish Government
+5.15%, 7/30/09 Aa2 1,130 1,293
10.10%, 2/28/01 AAA 3,116 3,807
- ----------------------------------------------------
GROUP TOTAL 52,188
- ----------------------------------------------------
GREEK DRACHMA (1.4%)
Hellenic Republic
8.80%, 6/19/07 A GRD 445,000 1,719
- ----------------------------------------------------
JAPANESE YEN (11.4%)
!! Credit Locale de
France
6.00%, 10/31/01 AA+ JPY 311,000 3,002
European Investment
Bank
3.00%, 9/20/06 AAA 203,000 1,914
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 290,000 2,704
+ Government of Japan
0.90%, 12/22/08 Aa1 641,000 4,971
!! International Bank
for Reconstruction &
Development
6.75%, 6/18/01 AAA 121,000 1,166
- ----------------------------------------------------
GROUP TOTAL 13,757
- ----------------------------------------------------
SOUTH AFRICAN RAND (0.8%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 6,250 915
- ----------------------------------------------------
SWEDISH KRONA (3.1%)
Swedish Government
6.00%, 2/9/05 AAA SEK 14,100 1,912
13.00%, 6/15/01 AA+ 12,625 1,855
- ----------------------------------------------------
GROUP TOTAL 3,767
- ----------------------------------------------------
</TABLE>
<TABLE>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
UNITED STATES DOLLAR (4.8%)
CORPORATE (0.3%)
(+) Florida Winstorm
7.125%, 2/25/19 AAA $ 330 $ 331
- ----------------------------------------------------
U.S. TREASURY SECURITIES (4.5%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy 1,385 1,857
U.S. Treasury Notes
5.875%, 11/15/05 Tsy 990 1,018
7.50%, 2/15/05 Tsy 2,350 2,605
- ----------------------------------------------------
GROUP TOTAL 5,811
- ----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$103,896) 102,219
- ----------------------------------------------------
CASH EQUIVALENTS (13.3%)
- ----------------------------------------------------
DISCOUNT NOTES (11.9%)
Federal Home Loan Bank
4.76%, 4/23/99 Agy 5,000 4,985
Federal Home Loan
Mortgage Corporation,
4.80, 4/6/99 Agy 3,400 3,398
Federal National Mortgage
Association,
4.77%, 4/5/99 Agy 6,000 5,997
- ----------------------------------------------------
GROUP TOTAL 14,380
- ----------------------------------------------------
REPURCHASE AGREEMENTS (1.4%)
Chase Securities, Inc.
4.80%, dated 3/31/99, due
4/1/99, to be repurchased
at $548, collateralized by
various U.S. Government
Obligations, due
4/1/99-2/28/01, valued at
$553 548 548
Goldman Sachs & Co. 4.78%
dated 3/31/99, due 4/1/99,
to be repurchased at $547,
collateralized by U.S.
Treasury Bonds, 10.75%,
due 5/15/03, valued at
$700 547 547
Merrill Lynch & Co., Inc.
4.70%, dated 3/31/99, due
4/1/99, to be repurchased
at $547, collateralized by
U.S. Treasury Notes,
6.875%, due 3/31/00,
valued at $557 547 547
- ----------------------------------------------------
GROUP TOTAL 1,642
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $16,022) 16,022
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
FOREIGN CURRENCY (0.0%)
- ----------------------------------------------------
British Pound GBP 1 $ 2
Canadian Dollar CAD 48 32
@ Danish Krone DKK 2 --
@ Swedish Krona SEK 1 --
- ----------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $32) 34
- ----------------------------------------------------
TOTAL INVESTMENTS (98.1%) (Cost $119,950) 118,275
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.9%)
Foreign Currency Held as Collateral on
Futures Contracts (Cost $1,987) 1,987
Interest Receivable 2,209
Receivable for Investments Sold 1,942
Receivable for Fund Shares Sold 25
Unrealized Gain on Futures Contracts 266
Unrealized Gain on Forward Foreign
Currency Contracts 162
Other Assets 8
Payable to Custodian (1,360)
Payable for Investments Purchased (1,696)
Payable for Fund Shares Redeemed (1,064)
Payable for Investment Advisory Fees (127)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred
Compensation Plan-Note F (8)
Other Liabilities (22)
--------
2,314
- ----------------------------------------------------
NET ASSETS (100%) $120,589
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C> <C>
NET ASSETS
Applicable to 11,827,329 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $120,589
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.20
- ----------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $121,986
Undistributed Net Investment Income (Loss) (4,876)
Undistributed Realized Net Gain (Loss) 4,762
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,677)
Foreign Currency Transactions 105
Futures 289
- ----------------------------------------------------
NET ASSETS $120,589
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale may
exist.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate security-rate disclosed is as
of March 31, 1999.
(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.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Intermediate Duration Portfolio invests in all sectors and maturities of the
bond market, while limiting average duration to between two and five years.
Miller Anderson & Sherrerd utilizes a value-based investment philosophy to
actively manage the duration and yield curve structure of the Portfolio by
understanding long-term trends in real interest rates and inflation. MAS selects
investments in U.S. Treasuries, agencies, investment-grade corporate bonds,
mortgages, foreign and other fixed-income securities based upon relative value
in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS LEHMAN
INTERMEDIATE INTERMEDIATE
DURATION GOV'T/CORP. INDEX
--------------------------------
<S> <C> <C>
SIX MONTHS 1.09% 0.11%
ONE YEAR 5.92 6.57
SINCE INCEPTION 8.04 7.77
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Intermediate Duration Portfolio commenced operations on 10/3/94. Total
returns are compared to the Lehman Brothers Intermediate Government/Corporate
Bond Index, an unmanaged market index. Returns for periods less than one year
are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (117.2%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (46.8%)
Federal Home Loan
Mortgage
Corporation,
Conventional Pools:
10.50%,
5/1/19-10/1/19 Agy $ 41 $ 45
11.00%, 7/1/13 Agy 77 86
11.50%, 3/1/13 Agy 54 61
Gold Pools:
9.50%, 12/1/22 Agy 316 344
10.00%, 6/1/17 Agy 264 289
April TBA
6.00%, 4/15/29 Agy 13,025 12,663
Federal National
Mortgage
Association,
Conventional Pools:
9.50%,
8/1/21-12/1/21 Agy 1,464 1,589
10.00%,
2/1/21-1/1/27 Agy 211 232
10.50%, 12/1/10 Agy 62 68
12.00%, 8/1/12 Agy 24 28
April TBA
6.00%, 4/25/29 Agy 16,700 16,227
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.50%
10/20/27-1/20/28 Tsy 1,747 1,771
6.875%,
4/20/25-6/20/25 Tsy 1,684 1,715
7.00%,
3/20/25-11/20/25 Tsy 1,895 1,927
Various Pools:
6.00%, 2/20/27 Tsy 227 231
6.625%, 9/20/27 Tsy 477 485
9.50%,
11/15/16-12/15/21 Tsy 2,159 2,345
10.00%,
1/15/16-2/15/28 Tsy 4,049 4,441
10.50%,
3/15/06-2/15/18 Tsy 435 481
11.00%,
3/15/10-8/15/27 Tsy 1,327 1,491
11.50%, 6/15/13 Tsy 79 89
12.00%,
12/15/12-5/15/14 Tsy 61 69
12.50%, 12/15/10 Tsy 17 20
- ------------------------------------------------------
GROUP TOTAL 46,697
- ------------------------------------------------------
ASSET BACKED CORPORATES (17.7%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 14 14
AFG Receivables Trust,
Series:
95-A A
6.15%, 9/15/00 A 56 56
97-A A
6.35%, 10/15/02 AAA 156 156
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Americredit Automobile
Receivables Trust,
Series:
96-B A
6.50%, 1/12/02 AAA $ 571 $ 570
## 98-B A2
4.987%, 6/12/01 AAA 84 84
Associates
Manufactured Housing
Pass Through
Certificates,
Series 97-1 A3
6.60%, 6/15/28 AAA 402 403
Case Equipment Loan
Trust,
Series:
95-A A
7.30%, 3/15/02 AAA 7 7
(+) 95-A B
7.65%, 3/15/02 A 43 43
Chevy Chase Auto
Receivables Trust,
Series:
97-4 A
6.25%, 6/15/04 AAA 231 232
98-1 A
5.97%, 10/20/04 AAA 737 739
## Citibank Credit
Card Master Trust I,
Series 98-7 A
4.949%, 5/15/02 AAA 850 849
Comed Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 500 500
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC(11)
4.966%, 3/15/13 AAA 571 570
CPS Auto Grantor
Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 167 167
97-2 A
6.65%, 10/15/02 AAA 258 260
98-1 A
6.00%, 8/15/03 AAA 710 712
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 148 149
Federal Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 97-A A
7.35%, 4/15/19 AAA 321 329
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA $ 325 $ 325
(+) 97-2 A1
6.85%, 11/15/02 AAA 209 209
First Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B A1
7.629%, 11/1/18 A 87 87
First Security Auto
Grantor Trust,
Series:
97-B A
6.14%, 4/15/03 AAA 241 243
98-A A
5.97%, 4/15/04 AAA 773 777
Fleetwood Credit Corp,
Series 92-A A
7.10%, 2/15/07 AAA 339 339
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 3/15/01 AAA 583 585
General Electric Home
Equity Loan Asset-
Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 375 375
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 429 432
(+) Global Rated
Eligible Asset
Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 341 222
Green Tree Lease
Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 352 353
Greenwich Capital
Acceptance, Inc.,
Series 95-B A1
6.00%, 8/10/20 AAA 25 25
(+) Health Care
Receivables
Securitization
Program,
Series 97-1 A
6.815%, 7/1/01 N/R 250 254
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 236 236
97-B A
5.95%, 5/15/03 AAA 285 286
</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>
IBM Credit Receivables
Lease Asset Master
Trust,
Series 93-1 A
4.55%, 11/15/00 AAA $ 7 $ 7
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA 172 173
97-2 A
6.69%, 9/25/04 AAA 138 138
98-1 A
6.19%, 1/25/05 AAA 178 179
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 375 376
Navistar Financial
Corp. Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 475 476
Nissan Auto
Receivables Grantor
Trust,
Series 97-A A
6.15%, 2/17/03 AAA 378 380
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA 22 22
94-B B
6.95%, 6/15/01 AAA 73 73
Onyx Acceptance
Grantor Trust,
Series:
97-2 A
6.35%, 10/15/02 AAA 298 300
97-3 A
6.35%, 1/15/04 AAA 191 193
Premier Auto Trust,
Series 95-4 A4
6.00%, 5/6/00 AAA 10 10
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/04 AA 450 450
+ Residential Funding
Mortgage Securities
Co., Inc.,
Series 98-HI2 A1
5.696%, 2/25/10 Aaa 432 432
(+) Team Fleet
Financing Corp.,
Series 97-1 A
7.35%, 5/15/03 A- 300 308
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Union Acceptance
Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA $ 352 $ 355
96-C A2
6.51%, 11/8/02 AAA 662 667
97-B A2
6.70%, 6/8/03 AAA 550 556
97-A A2
6.375%, 10/8/03 AAA 725 731
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.07%, 5/15/04 AAA 243 244
WFS Financial Owner
Trust,
Series 97-C A3
6.01%, 3/20/02 AAA 594 597
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 399 400
- ------------------------------------------------------
GROUP TOTAL 17,655
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (5.6%)
Federal Home Loan
Mortgage
Corporation,
Series:
1632-SA Inv Fl REMIC
6.514%, 11/15/23 Agy 65 59
## 1710-D REMIC
5.45%, 6/15/20 Agy 454 455
1983-IB IO PAC
8.00%, 7/15/27 Agy 1,050 276
## 2054-FC REMIC
6.025%, 5/15/28 Agy 486 484
Federal National
Mortgage
Association,
Series:
## 94-50 FD REMIC
5.388%, 3/25/24 Agy 264 264
96-14 PC PO
12/25/23 Agy 18 14
96-20 E PO
11/25/22 Agy 250 176
96-54 O PO
11/25/23 Agy 15 11
## 97-24 FG REMIC
5.488%, 9/18/22 Agy 112 111
## 97-43 FM REMIC
5.438%, 7/18/27 Agy 176 176
97-53 PI IO PAC
8.00%, 8/18/27 1,423 328
## 97-70 FA REMIC, PAC (11)
5.388%, 7/18/20 Agy 169 169
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
## 97-76 FM
5.388%, 9/17/27 Agy $ 233 $ 234
## 98-22 FA REMIC
5.336%, 4/18/28 Agy 1,154 1,153
191 IO
8.00%, 1/1/28 Agy 591 122
270 2 IO
8.50%, 9/1/23 Agy 1,228 268
275 2 IO
8.00%, 11/1/26 Agy 2,668 517
281 2 IO
9.00%, 11/1/26 Agy 1,118 242
291 2 IO
8.00%, 11/1/27 Agy 1,040 208
## Government National
Mortgage Association
Series 97-13 SB IO
3.00%, 9/16/27 Tsy 3,750 370
- ------------------------------------------------------
GROUP TOTAL 5,637
- ------------------------------------------------------
COMMERCIAL MORTGAGES (2.5%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 A1B
7.40%, 11/17/04 Aaa 50 51
Asset Securitization
Corp.,
Series:
+ 95-MD4 A1
7.10%, 8/13/29 Aaa 686 705
96-MD6 A1B
6.88%, 11/13/26 AAA 250 255
96-MD6 A1C
7.04%, 11/13/26 AAA 100 102
+## 97-D5 PS1 IO
1.574%, 2/14/41 Aaa 2,016 188
Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 137 142
(+) Carousel Center
Finance, Inc.,
Series 1 C
7.527%, 10/15/07 BBB+ 67 68
(+) DLJ Mortgage
Acceptance Corp.,
Series:
96-CF2 A1B
7.29%, 7/15/06 AAA 85 88
97-CF1 S IO
1.097%, 5/15/30 AAA 1,273 64
Federal National
Mortgage
Association,
Series 93-M2 B IO
2.68%, 11/25/23 Agy 407 5
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Forum Financial
Corp.,
Series 1 A1
7.125%, 5/15/04 AA $ 250 $ 251
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.273%, 4/15/29 Aaa 3,604 231
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.038%, 7/13/30 Aaa 984 43
Lehman Large Loan,
Series 97-LL1 A1
6.79%, 6/12/04 AAA
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.547%, 11/21/28 AAA 425 30
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 85 86
(+) Park Avenue
Finance Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 191 201
- ------------------------------------------------------
GROUP TOTAL 2,510
- ------------------------------------------------------
ENERGY (0.2%)
Enron Corp.
6.625%, 10/15/03 BBB+ 165 167
- ------------------------------------------------------
FINANCE (15.9%)
American General Corp.
6.625%, 2/15/29 AA- 385 370
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 225 234
Associates Corp. of
North America
6.00%, 4/15/03 AA- 70 70
6.00%, 7/15/05 AA- 270 267
Series H
6.73%, 3/27/03 AA- 475 488
BankAmerica Corp.
5.875%, 2/15/09 A+ 140 135
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 455 478
Beneficial Corp.,
Series H
6.575%, 12/16/02 A 175 178
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB $ 500 $ 515
Chase Manhattan Corp.
6.00%, 2/15/09 A 270 263
Chrysler Financial
Corp.
6.375%, 1/28/00 A+ 200 202
6.62%, 6/16/00 A 325 329
CIT Group Holdings
6.375%, 10/1/02 A+ 400 406
Countrywide Funding
Corp.
Series:
A
7.32%, 8/15/00 A 175 178
B
6.55%, 4/14/00 A 175 177
D
6.05%, 3/1/01 A 75 75
EOP Operating LP
6.763%, 6/15/07 BBB 370 368
Equifax, Inc.
6.30%, 7/1/05 A- 460 461
Equitable Companies,
Inc.
6.50%, 4/1/08 A 295 298
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A 250 259
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A 330 316
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A 300 340
(+) First Chicago NBD
Corp.,
Series A
7.95%, 12/1/26 A- 425 444
(+) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A 350 357
First Union
Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 400 421
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 129
7.45%, 7/1/04 A- 100 103
Ford Motor Credit
Corp.
6.125%, 4/28/03 A 700 706
General Motors
Acceptance Corp.,
Medium Term Note
6.75%, 6/10/02 A 575 590
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Goldman Sachs
Group L.P.
6.50%, 2/25/09 A+ $ 200 $ 198
Hartford Life Corp.
7.65%, 6/15/27 A 415 449
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 441 452
Household Finance
Corp.
6.08%, 3/8/06 A 356 354
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 635 630
International Lease
Finance Corp.
6.00%, 5/15/02 A+ 610 613
J.P. Morgan & Co.,
Inc.
6.00%, 1/15/09 AA- 355 343
Lehman Brothers
Holding Corp.
6.50%, 7/18/00 A 375 377
6.625%, 11/15/00 A 100 101
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 445 450
7.45%, 11/1/23 A+ 325 326
Norwest Financial,
Inc.
5.625%, 2/3/09 A+ 510 486
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 300 311
(+) Prime Property
Funding II
6.80%, 8/15/02 A 490 490
7.00%, 8/15/04 A 120 120
Washington Mutual
Inc.,
Series A
8.206%, 2/1/27 BBB- 235 247
8.60%, 2/1/02 BBB+ 195 208
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 242 245
96 WFP-D
6.95%, 9/1/13 AA- 350 356
- ------------------------------------------------------
GROUP TOTAL 15,913
- ------------------------------------------------------
INDUSTRIALS (8.1%)
Becton, Dickinson &
Co.
6.70%, 8/1/28 A+ 330 329
Columbia/HCA
Healthcare
6.41%, 6/15/00 BB+ 210 206
Comdisco, Inc.,
Series G
6.29%, 6/30/03 BBB+ 395 393
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Cox Communications,
Inc.
6.80%, 8/1/28 A- $ 85 $ 84
Dayton Hudson Corp.
6.65%, 8/1/28 A- 235 229
(+) EES Coke Battery
Co., Inc.
7.125%, 4/15/02 BBB 150 150
Enron Corp.,
Series NOV
6.95%, 7/15/28 BBB+ 385 373
(+) Federated
Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 270 264
(+) Florida Windstorm
7.125%, 2/25/19 AAA 270 271
Kroger Co.
6.80%, 12/15/18 BBB- 460 451
(+) Lowe's Companies,
Inc.
6.50%, 3/15/29 A 165 157
6.875%, 2/15/28 A 305 305
(+) Monsanto Co.
6.60%, 12/1/28 A 485 463
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 450 450
News America, Inc.
6.625%, 1/9/08 BBB- 530 534
(+) Scotia Pacific
Co., LLC
6.55%, 1/20/07 A 459 436
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 305 302
Time Warner Cos., Inc.
6.95%, 1/15/28 BBB 185 185
7.57%, 2/1/24 BBB 445 476
U.S. Airways Inc.,
Series 98-1 A
6.85%, 1/30/18 AA- 540 539
Union Pacific Corp.
6.625%, 2/1/29 BBB- 335 315
United Technologies
Corp.
6.70%, 8/1/28 A+ 655 656
USA Waste Services
7.00%, 7/15/28 BBB+ 520 518
- ------------------------------------------------------
GROUP TOTAL 8,086
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Resolution Trust
Corp.,
Series 92-5 C
8.611%, 1/25/26 AA 51 51
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TAXABLE MUNICIPAL (0.4%)
New York State Power
Authority Revenue
Bonds,
Series B
6.11%, 2/15/11 AA- $ 400 $ 402
- ------------------------------------------------------
TELEPHONES (2.1%)
AT&T Corp.
6.50%, 3/15/29 AA- 325 318
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 255 287
GTE Corp.
6.94%, 4/15/28 A 660 673
MCI Worldcom, Inc.
6.50%, 4/15/10 BBB+ 600 609
6.95%, 8/15/28 BBB+ 165 168
- ------------------------------------------------------
GROUP TOTAL 2,055
- ------------------------------------------------------
TRANSPORTATION (0.9%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB+ 425 415
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 510 514
- ------------------------------------------------------
GROUP TOTAL 929
- ------------------------------------------------------
U.S. TREASURY SECURITIES (12.8%)
U.S. Treasury Notes
!! 3.375%, 1/15/07
(Inflation Indexed) Tsy 2,006 1,930
3.625%, 7/15/02
(Inflation Indexed) Tsy 6,372 6,326
4.50%, 1/31/01 Tsy 2,000 1,983
7.50%, 2/15/05 Tsy 2,250 2,494
- ------------------------------------------------------
GROUP TOTAL 12,733
- ------------------------------------------------------
UTILITIES (0.5%)
(+) CMS Panhandle
Holdings Co.
7.00%, 7/15/29 BBB- 405 398
(+) Edison Mission
Energy Funding
Corp.,
Series B
7.33%, 9/15/08 BBB 100 102
- ------------------------------------------------------
GROUP TOTAL 500
- ------------------------------------------------------
</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>
YANKEE (3.6%)
(+) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB $ 373 $ 342
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 335 336
Empresa Nacional
Electricidad
7.75%, 7/15/08 A- 415 402
(+) Hutchinson Whampoa
Financial,
Series B
7.45%, 8/1/17 A 385 342
Israel Electric Corp.,
Ltd.
7.25%, 12/15/06 A- 60 60
7.75%, 12/15/27 A- 265 253
(+) Oil Enterprises
Ltd.
6.239%, 6/30/08 AAA 510 505
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 202 194
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 325 301
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB+ 580 423
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 515 484
- ------------------------------------------------------
GROUP TOTAL 3,642
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $116,978) 116,977
- ------------------------------------------------------
PREFERRED STOCK (0.6%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER
(+)+ Home Ownership
Funding Corp.,
13.331%
(Cost $560) Aaa 650 587
- ------------------------------------------------------
INTEREST RATE CAP 0.0%-SEE NOTE A6
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
@ J.P. Morgan and Co.
terminating
10/15/99, to receive
on 10/15/99 the
excess, as measured
on 10/15/98, of 12
month LIBOR over
6.34% multiplied by
the notional amount.
(Premium Paid $85) AA- $ 26,200 --
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000)! (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (10.1%)
- ------------------------------------------------------
DISCOUNT NOTE (5.0%)
Federal Home Loan Bank
4.78%, 04/15/1999 $ 5,000 $ 4,991
- ------------------------------------------------------
REPURCHASE AGREEMENT (5.1%)
Chase Securities, Inc.
4.80%, dated
3/31/99, due 4/1/99,
to be repurchased at
$5,126 collateralized by
various U.S. Government
Obligations, due
4/1/99-2/28/01,
valued at $5,171 5,125 5,125
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $10,116) 10,116
- ------------------------------------------------------
TOTAL INVESTMENTS (127.9%) (Cost $127,739) 127,680
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (27.9%)
Interest Receivable 1,047
Receivable for Investments Sold 422
Receivable for Forward Commitments 3,189
Unrealized Gain on Swap Agreements 20
Receivable for Daily Variation on Futures
Contracts 16
Other Assets 3
Payable for Investments Purchased (217)
Payable for Forward Commitments (32,085)
Payable for Fund Shares Redeemed (30)
Payable for Investment Advisory Fees (96)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred Compensation
Plan-Note F (3)
Payable to Custodian (74)
Other Liabilities (47)
--------
(27,862)
- ------------------------------------------------------
NET ASSETS (100%) $ 99,818
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 9,840,392 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 99,818
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.14
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $100,311
Undistributed Net Investment Income (Loss) 523
Undistributed Realized Net Gain (Loss) (1,233)
Unrealized Appreciation (Depreciation) on:
Investment Securities (59)
Futures and Swaps 276
- ------------------------------------------------------
NET ASSETS $ 99,818
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is
as of March 31, 1999.
@ Value is less than $500.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1999.
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.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Market Fixed Income Portfolio combines a broad array of both domestic
and international fixed income securities to maximize active management
opportunities within a single fixed-income strategy. The Portfolio will include
the most attractively valued securities from four major areas: domestic
investment-grade bonds, international bonds, high-yield bonds, and emerging
markets debt. MAS constructs a diversified fund with a maturity and duration
structure reflecting long-term views on interest rates and inflation, and
controls risk through diversification within and among these four major areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS
MULTI-MARKET SALOMON SALOMON WORLD 60/20/12/8
FIXED BROAD GOV'T BOND BLENDED
INCOME INDEX EX-U.S. INDEX INDEX
---------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 3.55% (0.06)% 0.17% 2.01%
ONE YEAR 3.12 6.50 11.63 5.53
SINCE INCEPTION 4.21 7.21 7.01 6.34
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments. High-yield fixed income securities, otherwise known as "junk
bonds," represent a much greater risk of default and tend to be more volatile
than higher-rated bonds.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Multi-Market Fixed Income Portfolio commenced operations on 10/1/97. Total
returns are compared to the Salomon Broad Investment Grade Index and the Salomon
World Government Bond Ex-U.S. Index, both unmanaged market indices, as well as
the 60/20/12/8 Blended Index, an unmanaged index comprised of 60% Salomon Broad
Investment Grade Index, 20% Salomon World Government Bond Ex-U.S. Index (one
half hedged into U.S. dollars), 12% Salomon High Yield Index, and 8% J.P. Morgan
Emerging Markets Bond Index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (97.3%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (55.1%)
- -----------------------------------------------------
FIXED INCOME SECURITIES (55.1%)
- -----------------------------------------------------
AGENCY FIXED RATE MORTGAGES (34.1%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
11.00%, 5/1/20 Agy $ 368 $ 411
April TBA
6.00%, 4/15/29 Agy 11,000 10,697
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 7/1/16 Agy 12 13
10.00%,
10/1/16-4/1/27 Agy 580 635
April TBA
6.00%, 4/15/29 Agy 21,725 21,107
Government National
Mortgage Association,
Various Pools:
10.50%, 8/15/20 Tsy 399 441
- -----------------------------------------------------
GROUP TOTAL 33,304
- -----------------------------------------------------
ASSET BACKED CORPORATES (0.5%)
Advanta Mortgage Loan Trust,
Series 97-3 A2
6.61%, 4/25/12 AAA 67 67
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 3 3
(+) Commercial
Financial Services,
Inc., Series 97-5 A1
7.72%, 6/15/05 N/R 90 59
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 87 87
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 50 50
(+) Securitized
Multiple Asset Rated
Trust,
Series 97-6 A1
7.71%, 4/15/06 N/R 139 90
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 100 101
- -----------------------------------------------------
GROUP TOTAL 457
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R $ 766 $ 17
(+) 96-3 A YMA
10/25/26 N/R 766 1
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 512 12
96-4 A11 I YMA
1/15/28 AAA 510 1
(+) 96-4 A12 I IO
1.05%, 1/15/28 AAA 109 2
@(+) 96-4 A12 I YMA
1/15/28 AAA 109 --
97-1 A10 I IO
1.10%, 3/15/28 AAA 638 15
97-1 A10 I YMA
3/15/28 N/R 636 1
- ----------------------------------------------------
GROUP TOTAL 49
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (0.1%)
Federal Home Loan
Mortgage Corporation,
Series:
1398-I Inv Fl REMIC
13.216%, 10/15/07 Agy 20 23
1415-S Inv Fl IO
22.25%, 11/15/07 Agy 15 6
1476-S Inv Fl IO
REMIC PAC
4.595%, 2/15/08 Agy 159 16
1485-S Inv Fl IO
REMIC
4.60%, 3/15/08 Agy 135 11
1600-SA Inv Fl IO
REMIC
3.00%, 10/15/08 Agy 293 16
1950-SC Inv Fl IO
3.00%, 10/15/22 Agy 10 1
Federal National
Mortgage Association,
Series:
90-118 S Inv Fl
33.329%, 9/25/20 Agy 6 9
92-186 S Inv Fl IO
3.642%, 10/25/07 Agy 265 20
96-14 PC PO
12/25/23 Agy 7 6
96-54 O PO
11/25/23 Agy 8 6
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
96-68 SC Inv Fl IO
REMIC
3.163%, 1/25/24 Agy $ 90 $ 11
@ 97-30 Inv Fl IO
REMIC
3.063%, 7/25/22 Agy 5 --
G92-53 S Inv Fl IO
REMIC
38.813%, 9/25/22 Agy 11 9
Government National
Mortgage Association
Series:
96-12 S Inv Fl IO
REMIC
3.50%, 6/16/26 Tsy 9 1
@ 96-13 S Inv Fl IO
REMIC
3.55%, 8/16/26 Tsy 5 --
@ 96-17 S Inv Fl IO
REMIC
4.15%, 7/16/11 Tsy 5 --
@ First Boston Mortgage
Securities Corp.,
Series 87-B IO
8.985%, 4/25/17 AAA (2)-- --
@ Kidder Peabody
Mortgage Assets
Trust,
Series 87-B A2 IO
9.50%, 4/22/18 AAA (2)-- --
- ----------------------------------------------------
GROUP TOTAL 135
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.1%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 33 35
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 17 18
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 16 13
- ----------------------------------------------------
GROUP TOTAL 66
- ----------------------------------------------------
COMMERCIAL MORTGAGES (0.7%)
+ American Southwest
Financial Securities
Corp.,
Series 95-C1 AIB
7.40%, 11/17/04 Aaa 60 61
Asset Securitization
Corp. Series 96-MD6
A1C
7.04%, 11/13/26 AAA 60 61
(+) Crystal Run
Properties, Inc.,
7.393%, 8/15/11 AA 100 103
</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>
(+) DLJ Mortgage
Acceptance Corp.
Series:
96-CF2 AIB
7.29%, 7/15/06 AAA $ 15 $ 16
97-CF1 S IO
1.097%, 5/15/30 AAA 549 27
+## GMAC Commercial
Mortgage Securities,
Inc.
Series:
96-C1 X2 IO
1.874%, 3/15/21 Aaa 249 17
97-C2 X IO
1.273%, 4/15/29 Aaa 2,271 146
@## LB Commercial
Conduit Mortgage
Trust,
Series 96-C2 A
7.416%, 10/25/26 N/R (2)-- --
## Merrill Lynch
Mortgage Investors,
Inc.
Series 96-C2 IO
1.547%, 11/21/28 AAA 288 21
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 57 57
Nomura Asset Securities
Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 35 36
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 96 101
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.219%, 2/25/28 N/R 335 17
96-CFL X1A IO
1.219%, 2/25/28 N/R 249 3
96-CFL X2 IO
1.152%, 2/25/28 N/R 92 2
- ----------------------------------------------------
GROUP TOTAL 668
- ----------------------------------------------------
FINANCE (5.0%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 130 135
Associates Corp. of
North America
6.00%, 7/15/05 AA- 200 198
6.95%, 11/1/18 AA- 110 112
BankAmerica Corp.
5.875%, 2/15/09 A+ 590 570
</TABLE>
<TABLE>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 BBB $ 360 $ 371
Chase Manhattan Corp.
6.00%, 2/15/09 A 195 190
EOP Operating LP
6.763%, 6/15/07 BBB 555 552
First Union
Institutional
Capital, Series I
8.04%, 12/1/26 BBB+ 180 189
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 100 103
(+) Florida Windstorm
6.70%, 8/25/04 A- 505 511
Great Western
Financial, Inc.,
Series A
8.206%, 2/1/27 BBB- 150 158
Lehman Brothers
Holdings
8.50%, 8/1/15 A 50 54
8.80%, 3/1/15 A 125 140
Merrill Lynch & Co.,
Inc.
6.50%, 7/15/18 AA- 135 129
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 135 140
(+) Prime Property
Funding II
6.80%, 8/15/02 A 410 410
7.00%, 8/15/04 A 50 50
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 300 348
Washington Mutual
Capital
8.375%, 6/1/27 BBB- 310 331
(+) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 250 254
- ----------------------------------------------------
GROUP TOTAL 4,945
- ----------------------------------------------------
INDUSTRIALS (4.9%)
Browning-Ferris
Industries, Inc.
7.40%, 9/15/35 A- 255 219
Continental Cablevision
8.30%, 5/15/06 BBB 235 260
(+) Federated
Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 260 254
(+) Florida Windstorm
7.125%, 2/25/19 AAA 265 266
Harrahs Operating Co.,
Inc.
7.50%, 1/15/09 BBB- 130 131
Kroger Co.
6.80%, 12/15/18 BBB- 170 167
(+) Lowe's Companies Inc.
6.50%, 3/15/29 A 270 257
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
(+) Monsanto Co.
6.60%, 12/1/28 A $ 420 $ 401
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 425 425
News America Holdings
7.75%, 1/20/24 BBB- 185 194
8.875%, 4/26/23 BBB- 525 618
Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 60 64
(+) Scotia Pacific Co.
LLC
7.11%, 7/20/28 A 395 347
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 255 253
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 350 336
6.95%, 1/15/28 BBB 75 75
7.57%, 2/1/24 BBB 145 155
Union Pacific Co.
6.625%, 2/1/29 BBB- 295 277
USA Waste Services
7.00%, 7/15/28 BBB+ 90 90
- ----------------------------------------------------
GROUP TOTAL 4,789
- ----------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 10/10/97,
cost $1) N/R 1 1
sec.## Magnolia Federal
Bank,
Series 84-2
9.12%, 10/1/07
(acquired 10/1/97,
cost $5) N/R 5 5
## Resolution Trust
Corp.,
Series 92-5 C
8.611%, 1/25/26 AA 21 20
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 28 25
- ----------------------------------------------------
GROUP TOTAL 51
- ----------------------------------------------------
TELEPHONES (1.0%)
AT&T Corp.
6.50%, 3/15/29 AA- 315 308
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 90 101
MCI Worldcom, Inc.
6.95%, 8/15/28 BBB+ 550 560
- ----------------------------------------------------
GROUP TOTAL 969
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.4%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ $ 366 $ 369
- ----------------------------------------------------
U.S. TREASURY SECURITIES (5.4%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 2,544 2,447
3.625%, 7/15/02
(Inflation Indexed) Tsy 1,019 1,012
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,237 1,207
7.50%, 2/15/05 Tsy 550 610
- ----------------------------------------------------
GROUP TOTAL 5,276
- ----------------------------------------------------
UTILITIES (0.4%)
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 102
Enron Corp.
6.95%, 7/15/28 BBB+ 335 325
- ----------------------------------------------------
GROUP TOTAL 427
- ----------------------------------------------------
YANKEE (2.3%)
(+) Alcoa Aluminio
S.A.,
Series 96-1
7.50%, 12/16/08 BBB 136 124
Cable & Wireless
Communications Plc
6.75%, 12/1/08 A- 290 291
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 52
7.75%, 7/15/08 A- 280 271
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 450 400
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 40 40
7.75%, 12/15/27 A- 270 257
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 202 194
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 300 278
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 225 164
(+) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 175 165
- ----------------------------------------------------
GROUP TOTAL 2,236
- ----------------------------------------------------
TOTAL U.S. FIXED INCOME SECURITIES
(Cost $54,376) 53,741
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL FIXED INCOME (12.9%)
- ----------------------------------------------------
FIXED INCOME SECURITIES (12.9%)
- ----------------------------------------------------
BRITISH POUND (3.2%)
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA GBP 225 $ 409
8.50%, 7/16/07 AAA 1,350 2,746
- ----------------------------------------------------
GROUP TOTAL 3,155
- ----------------------------------------------------
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 1,484
- ----------------------------------------------------
GROUP TOTAL 2,456
- ----------------------------------------------------
EURO (7.0%)
Government of France
O.A.T.
8.50%, 3/28/00 AAA EUR 1,095 1,247
Government of Germany
6.50%, 7/4/27 AAA 1,373 1,817
7.50%, 9/9/04 AAA 882 1,138
Republic of Italy BTPS
9.50%, 2/1/06 AA 1,795 2,589
- ----------------------------------------------------
GROUP TOTAL 6,791
- ----------------------------------------------------
SOUTH AFRICAN RAND (0.2%)
Republic of South
Africa
13.00%, 8/31/10 BBB+ ZAR 1,150 168
- ----------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME
(Cost $12,599) 12,570
- ----------------------------------------------------
HIGH YIELD (17.3%)
- ----------------------------------------------------
FIXED INCOME SECURITIES (17.3%)
- ----------------------------------------------------
ASSET BACKED CORPORATES (0.1%)
(+)+ Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 $ 86 86
- ----------------------------------------------------
CABLE (2.4%)
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 715 753
Lenfest Communications,
Inc.
7.625%, 02/15/08 BB+ 370 382
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
# NTL, Inc.
9.75%, 4/1/08 B- $ 1,250 $ 850
Rogers Cablesystems
Ltd.,
Series B
10.00%, 03/15/05 BB+ 215 242
- ----------------------------------------------------
GROUP TOTAL 2,227
- ----------------------------------------------------
COMMUNICATIONS (6.9%)
+ Dial Call
Communications, Inc.
10.25%, 12/15/05 B2 170 177
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 B 420 468
Globalstar LP/Capital
11.375%, 2/15/04 B 390 255
# Intermedia
Communications, Inc.,
Series B
0.00%, 7/15/07 B 1,235 942
Iridium LLC/Capital
Corp.,
Series A
13.00%, 7/15/05 CCC+ 600 258
IXC Communications,
Inc.
9.00%, 4/15/08 CCC+ 850 884
Level 3 Communications,
Inc.
9.125%, 5/1/08 B 985 987
Nextel Communications, Inc.
# 0.00%, 9/15/07 B- 1,600 1,172
9.75%, 8/15/04 B- 235 244
Primus Telecommunications Group,
Series B
9.875%, 5/15/08 B- 210 203
Qwest Communications
International, Inc.,
Series B
(+) 7.50%, 11/1/08 BB+ 110 114
# 0.00%, 2/1/08 BB+ 395 304
+# RCN Corp.
0.00%, 10/15/07 B3 450 304
0.00%, 2/15/08 B3 175 109
# RSL Communications
plc
0.00%, 3/1/08 B- 500 330
- ----------------------------------------------------
GROUP TOTAL 6,751
- ----------------------------------------------------
ENERGY (0.4%)
Mobile Energy Services
8.665%, 1/1/17 CCC 92 31
Snyder Oil Corp.
8.75%, 6/15/07 B+ 400 401
- ----------------------------------------------------
GROUP TOTAL 432
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
FINANCE (0.6%)
(+) Fuji JGB
Investments LLC,
Series A
9.87%, 12/31/49 BB+ $ 380 $ 338
(+) SB Treasury Co.
LLC,
Series A
9.40%, 12/29/49 BB+ 260 255
- --------------------------------------------------------
GROUP TOTAL 593
- --------------------------------------------------------
GAMING (0.3%)
Station Casinos, Inc.
10.125%, 3/15/06 B+ 275 292
- --------------------------------------------------------
HEALTHCARE (1.4%)
Columbia/HCA Healthcare
Corp.
7.15%, 3/30/04 BB+ 250 236
7.19%, 11/15/15 BB+ 320 265
7.58%, 9/15/25 BB+ 240 201
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 250 247
Tenet Healthcare Corp.
(+) 8.125%, 12/1/08 BB- 250 243
8.625%, 1/15/07 BB- 125 124
Vencor Operating, Inc.
9.875%, 5/1/05 CCC 320 48
- --------------------------------------------------------
GROUP TOTAL 1,364
- --------------------------------------------------------
HOTELS, LODGING, & RESTAURANTS (1.0%)
HMH Properties,
Series A
7.875%, 8/1/05 BB 1,000 976
- --------------------------------------------------------
INDUSTRIALS (1.7%)
American Standard Cos.
7.375% , 4/15/05 BB- 255 250
CEX Holdings, Inc.,
Series B
9.625%, 6/1/08 B 275 259
Geberit International
S.A.
10.125%, 4/15/07 B+ EUR 115 143
(+) Nortek, Inc.
8.875%, 8/1/08 B+ $ 1,000 1,027
- --------------------------------------------------------
GROUP TOTAL 1,679
- --------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
@Entertainment, Inc.
14.5%, 2/1/09 B 220 98
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
METALS (0.3%)
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ $ 180 $ 154
Impress Metal Packaging
Holdings Ltd.
9.875%, 5/29/07 B EUR 95 114
- --------------------------------------------------------
GROUP TOTAL 268
- --------------------------------------------------------
RETAIL (1.5%)
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ $ 64 61
94-K A1
7.60%, 8/15/07 BB+ 158 158
94-K2 A2
9.35%, 8/15/19 BB+ 130 136
HMV Media Group, plc
10.875%, 5/15/08 B GBP 150 254
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ $ 590 616
Saks Inc.
7.375%, 2/15/19 BB+ 240 234
- --------------------------------------------------------
GROUP TOTAL 1,459
- --------------------------------------------------------
SUPERMARKETS (0.2%)
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 205 213
- --------------------------------------------------------
UTILITIES (0.5%)
CMS Energy Corp.
7.50%, 1/15/09 BB 250 254
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB+ 190 204
- --------------------------------------------------------
GROUP TOTAL 458
- --------------------------------------------------------
TOTAL HIGH YIELD (Cost $ 16,985) 16,896
- --------------------------------------------------------
EMERGING MARKETS (13.2%)
- --------------------------------------------------------
FIXED INCOME SECURITIES (13.2%)
Asia Pulp & Paper Co.,
Ltd.,
Series A
12.00%, 2/15/04 CCC+ 150 72
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 345 325
## Banco Nacional de
Densen Economico
15.224%, 6/16/08 BB- 350 293
</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>
+ Bulgaria Government,
Series:
A
2.50%, 7/28/12 B2 $ 300 $ 172
## A
5.875%, 7/28/11 B2 300 202
## PDI
5.875%, 7/28/24 B2 150 102
Cellco Finance NV
15.00%, 8/1/05 CCC+ 190 185
CIA International
Telecommunications
10.375%, 8/1/04 BB ARP 330 256
Export-Import Bank of Korea
6.50%, 2/10/02 BB+ $ 300 289
## Ecuador Global Bond
6.00%, 2/28/25 N/R 250 119
Grupo Minero Mexicano
S.A. de CV, Series A
8.25%, 4/1/08 BB 365 305
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 100 80
Korea Development Bank
7.375%, 9/17/04 BBB- 215 210
## Morocco Restructuring &
Consolidation Agreement,
Series A
6.063%, 1/1/09 N/R 130 106
Multicanal S.A.
10.50%, 4/15/18 BB+ 145 121
National Power Corp.
7.875%, 12/15/06 BB+ 85 78
8.40%, 12/15/16 BB+ 55 47
## Nigeria Promissory Notes,
Series RC
5.092%, 1/5/10 N/R 160 66
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 100 17
Peru Reduction Bond
3.75%, 3/7/17 BB 400 238
## Petroleos Mexicanos
9.50%, 9/15/27 BB 240 215
9.875%, 7/15/05 BB 120 112
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 155 87
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 355 258
Reliance Industries Ltd.
10.50%, 8/6/46 BB 250 218
+ Republic of Argentina
Bonos del Tesoro, Series 2
8.75%, 5/9/02 Ba3 210 193
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
## Republic of Argentina
Pre 4 BOCON, PIK
4.928%, 9/1/02 BB $ 75 $ 79
Republic of Argentina
7.33%, 3/31/23 BB 595 412
11.75%, 4/7/09 BB 250 243
12.125%, 2/25/19 BB- 350 347
## Republic of Argentina,
Series L
5.938%, 3/31/05 BB 977 837
Republic of Brazil
9.375%, 4/7/08 BB+ 280 215
Republic of Brazil Debt
Conversion Bond, Series L
5.00%, 4/15/14 B+ 436 276
6.188%, 4/15/12 BB- 1,340 781
## Republic of Brazil,
Series EI-L
6.125%, 4/15/06 B+ 643 466
Republic of Colombia
8.70%, 2/15/16 BBB- 265 215
10.875%, 3/9/04 BBB- 70 73
## 10.986%, 8/13/05 BBB- 460 422
Republic of Panama PDI
## 5.938%, 7/17/16 BB+ 64 51
9.375%, 4/1/29 BB+ 150 150
## Republic of Philippines,
Series B
5.962%, 6/1/08 BB+ 250 221
Republic of Philippines
9.875%, 1/15/19 BB+ 150 150
## Republic of Venezuela Debt
Conversion Bond,
Series DL
5.938%, 12/18/07 B+ 214 151
(+) RG Receivables Ltd.
9.60%, 2/10/05 BB- 146 87
11.00%, 7/24/18 CCC- 1,140 295
(+) Samsung Electronics Co.
7.45%, 10/1/02 BB- 545 519
TV Azteca S.A.
10.125%, 2/15/04 B+ 125 106
Series B
10.50%, 2/15/07 B+ 135 112
United Mexican States Global
Bond
6.25%, 12/31/19 BB 565 444
10.375%, 2/17/09 N/R 1,200 1,244
11.375%, 9/15/16 BB 530 573
- ----------------------------------------------------
TOTAL EMERGING MARKET (Cost $13,375) 12,835
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (0.6%)
- ----------------------------------------------------
COMMUNICATIONS (0.1%)
* IXC Communications, Inc.,
Series B PIK
7.25% CCC+ 100 $ 108
- ----------------------------------------------------
MORTGAGES-OTHER (0.5%)
(+)+ Home Ownership Funding Corp.
13.331% Aaa 500 452
- ----------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $528) 560
- ----------------------------------------------------
CASH EQUIVALENT (31.7%)
- ----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C>
REPURCHASE AGREEMENT (31.7%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99,
to be repurchased at
$30,900, collateralized by
various U.S. Government
Obligations, due
4/1/99-2/28/01, valued at
$31,173 (Cost $30,896) $ 30,896 30,896
- ----------------------------------------------------
TOTAL INVESTMENTS (130.8%) (Cost $128,759) 127,498
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-30.8%)
Cash 14
Cash and Foreign Currency Held as
Collateral on Futures Contracts
(Cost $18) 18
Interest Receivable 1,276
Receivable for Withholding Tax Reclaim 13
Receivable for Investments Sold 1,252
Receivable for Forward Commitments 5,936
Unrealized Gain on Forward Foreign
Currency Contracts 84
Unrealized Gain on Futures Contracts 2
Unrealized Gain on Swap Agreements 8
Other Assets 1
Payable for Investments Purchased (683)
Payable for Forward Commitments (37,797)
Payable Investment Advisory Fees (107)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred
Compensation Plan-Note F (2)
Other Liabilities (23)
--------
(30,014)
- ----------------------------------------------------
NET ASSETS (100%) $ 97,484
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 9,924,859 outstanding shares
of beneficial interest (unlimited
Authorization, no par value) $ 97,484
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.82
- ----------------------------------------------------
NET ASSETS CONSISTS OF:
Paid in Capital $ 98,634
Undistributed Net Investment Income (Loss) 1,578
Undistributed Realized Net Gain (Loss) (1,575)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,261)
Foreign Currency Transactions 75
Futures and Swaps 33
- ----------------------------------------------------
NET ASSETS $ 97,484
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 1999 was
$6 or 0.0% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1999.
(2) Face amount is less than $500
@ Value is less than $500.
ARP Argentine Peso
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at March 31,
1999.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc.,
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.
- --------------------------------------------------------------------------------
102
<PAGE> 105
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Balanced Portfolio provides ongoing asset allocation management with Miller
Anderson & Sherrerd's core equity and fixed-income management strategies. The
Portfolio considers a 60% equity/40% fixed-income mix as a neutral, or
starting-point investment. As expected future returns increase in one asset
class versus the other, the mix between asset classes will change.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MAS BALANCED SALOMON 60/40
--------------------------------------- S&P 500 BROAD BLENDED
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX INDEX INDEX
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS 16.64% 16.58% 16.58% 27.34% (0.06)% 16.11%
ONE YEAR 10.46 10.24 10.16 18.45 6.50 14.33
FIVE YEARS 16.41 16.31 16.28 26.24 7.81 18.83
SINCE INCEPTION 14.14 14.07 14.04 21.62 7.33 15.93
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/4/97. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/1/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25% 12b-1
Fee applicable to the Adviser Class.
Total returns for the Adviser Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* The Balanced Portfolio commenced operations on 12/31/92. Total returns are
compared to the S&P 500 Index and the Salomon Broad Investment Grade Index,
both unmanaged market indices, as well as the 60/40 Blended Index, an
unmanaged index comprised of 60% S&P 500 Index and 40% Salomon Broad
Investment Grade Index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (50.2%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (21.8%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%, 9/1/17 Agy $ 383 $ 418
10.50%, 8/1/19-12/1/19 Agy 791 869
11.00%, 5/1/20-9/1/20 Agy 580 648
12.00%, 3/1/15 Agy 270 307
Gold Pools:
9.50%, 12/1/22 Agy 531 578
10.00%, 12/1/19 Agy 1,089 1,191
April TBA
6.00%, 4/15/29 Agy 32,975 32,068
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 11/1/20 Agy 1,196 1,298
10.00%, 1/1/10-1/1/20 Agy 596 653
10.50%, 8/1/12-4/1/22 Agy 3,361 3,670
11.50%, 9/1/25 Agy 36 41
12.50%, 9/1/15 Agy 146 167
April TBA
6.00%, 4/25/29 Agy 38,300 37,217
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.50%, 10/20/27-1/20/28 Tsy 3,643 3,693
6.875%, 2/20/25-6/20/25 Tsy 3,853 3,920
7.00%, 2/20/25-11/20/25 Tsy 1,944 1,976
Various Pools:
9.50%, 11/15/17-11/15/21 Tsy 2,389 2,601
10.00%, 11/15/09-10/15/28 Tsy 5,566 6,098
10.50%, 2/15/18-12/15/20 Tsy 797 879
11.00%, 5/15/26 Tsy 659 740
- ------------------------------------------------------
GROUP TOTAL 99,032
- ------------------------------------------------------
ASSET BACKED CORPORATES (6.6%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 988 988
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 640 645
97-D A3
6.20%, 5/15/03 AAA 975 980
98-A A3
5.90%, 11/15/02 AAA 825 826
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 612 613
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Block Mortgage Finance Co.,
Series 99-1 A1
5.94%, 8/26/13 AAA $ 836 $ 835
CIT Group Home Equity
Loan Trust,
Series 97-1 A3
6.25%, 9/15/01 AAA 10 10
## Citibank Credit
Card Master Trust I,
Series 98-7 A
4.949%, 5/15/02 AAA 1,250 1,249
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 950 950
Contimortgage Home
Equity Loan Trust,
Series:
99-A A1
6.01%, 12/25/23 AAA 975 974
99-1 A
4.966%, 3/15/13 AAA 673 672
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 273 274
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 925 924
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 515 516
EQCC Home Equity Loan
Trust,
Series:
98-1 A1F
6.21%, 12/15/07 AAA 276 276
98-2 A1F
6.235%, 4/15/08 AAA 678 679
(+) First Merchants
Auto Receivables
Corp., Series 97-2 A1
6.85%, 11/15/02 AAA 272 272
(+) First Mortgage
Acceptance Corp.,
Loan Receivables
Trust, Series 96-B A1
7.629%, 11/1/18 A 349 347
First Security Auto
Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 439 441
98-A A
5.97%, 4/15/04 AAA 603 606
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
## First USA Credit
Card Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA $ 875 $ 875
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 704 707
(+) Global Rated
Eligible Asset
Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 250 163
Green Tree Financial Corp.,
Series:
+ 98-1 A2
5.85%, 4/1/11 Aaa 525 527
98-C A1
5.95%, 7/15/29 AAA 435 436
+ 98-E H1A1
5.907%, 12/15/24 Aaa 766 768
99-A A1
5.59%, 2/15/13 AAA 1,000 1,000
99-2 A1
5.60%, 3/1/30 AAA 1,400 1,400
Green Tree Home Equity
Loan Trust,
Series 98-A A2
6.04%, 6/15/29 AAA 950 953
Greenpoint
Manufactured Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 761 760
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 443 444
Honda Auto Receivables
Owner Trust, Series
99-1 A2
5.186%, 6/16/01 AAA 950 949
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 250 251
Money Store (The) Home
Equity Trust,
Series 96-B A5
7.18%, 12/15/14 AAA 285 285
(+) National Car
Rental Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 425 437
Nissan Auto
Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/17/03 AAA 1,049 1,056
</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>
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA $ 775 $ 776
+ Residential Funding
Mortgage Securities
Co., Inc.,
Series 98-H12 A1
5.696%, 2/25/10 Aaa 656 655
Salomon Brothers
Mortgage Securities VII,
Series 98-NC7 A1
6.063%, 12/25/28 AAA 826 825
(+) Securitized
Multiple Asset Rated
Trust,
Series 97-3 A1
7.71%, 4/15/06 N/R 296 192
(+) Team Fleet
Financing Corp.,
Series 96-1 A
6.65%, 12/15/02 A- 300 302
## UCFC Home Equity
Loan,
Series 98-C A1
5.706%, 12/15/12 AAA 843 842
Union Acceptance
Corp.,
Series 96-C A2
6.51%, 11/8/02 AAA 745 751
WFS Financial Owner
Trust,
Series:
97-CA3
6.10%, 3/20/02 AAA 533 535
98-A A2
5.783%, 11/20/00 AAA 579 580
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/15/03 AAA 723 726
- ------------------------------------------------------
GROUP TOTAL 30,272
- ------------------------------------------------------
ASSET-BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 6,775 147
(+) 96-3 A YMA
10/15/26 N/R 6,775 9
(+) Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 3,926 91
96-4 A11 I YMA
1/15/28 AAA 3,926 5
96-4 A12 I IO
1.05%, 1/15/28 AAA 830 19
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
96-4 A12 I YMA
1/15/28 AAA $ 830 $ 1
97-1 A10 IO
1.10%, 3/15/28 AAA 4,806 114
97-1 A10 I YMA
3/15/28 N/R 4,806 7
- ------------------------------------------------------
GROUP TOTAL 393
- ------------------------------------------------------
COLLATERAL MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.0%)
Federal Home Loan
Mortgage Corporation,
Series:
1415-S Inv Fl IO
22.25%, 11/15/07 Agy 235 98
1476-S Inv Fl IO
REMIC PAC
4.595%, 2/15/08 Agy 2,422 236
1485-S Inv Fl IO
REMIC
4.60%, 3/15/08 Agy 2,120 167
1546-FC
5.50%, 12/15/21 Agy 451 451
1600-SA Inv Fl IO REMIC
3.00%, 10/15/08 Agy 3,878 213
## 1710-D
5.45%, 6/15/20 Agy 622 623
## 1933-FO REMIC
5.75%, 3/15/25 Agy 71 71
## 2031-F
5.389%, 10/15/26 Agy 466 466
## 2040-FC
5.289%, 2/15/23 Agy 460 460
## 2054-FC
6.025%, 5/15/28 Agy 663 661
Federal National
Mortgage Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy 287 302
92-186 S Inv Fl IO
3.642%, 10/25/07 Agy 4,088 314
## 94-50 FD REMIC
5.388%, 3/25/24 Agy 364 366
## 94-97 FC TBA
5.638%, 3/25/24 Agy 171 173
96-14 PC PO
12/25/23 Agy 66 52
96-54 O PO
11/25/23 Agy 57 43
96-68 SC Inv Fl IO
REMIC
3.163%, 1/25/24 Agy 1,250 154
## 97-43 FM REMIC
5.438%, 7/18/27 Agy 623 624
## 97-53 PI IO
8.00%, 8/18/27 Agy 2,403 555
## 97-70 FA REMIC
PAC(11)
5.48%, 7/18/20 Agy 308 308
## 97-76 FM
5.48%, 9/17/27 Agy 336 336
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
## 97-76 FN
5.338%, 9/17/27 Agy $ 330 $ 330
## 98-22 FA REMIC
5.336%, 4/18/22 Agy 902 901
191 IO
8.00%, 1/1/28 Agy 873 179
270 2 IO
8.50%, 9/1/23 Agy 2,233 487
281 IO
9.00%, 11/1/26 Agy 905 196
291 2 IO
8.00%, 11/1/27 Agy 1,760 352
- ------------------------------------------------------
GROUP TOTAL 9,118
- ------------------------------------------------------
COLLATERAL MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL
SERIES (0.2%)
American Housing
Trust, Series V 1G
9.125%, 4/25/21 AAA 201 214
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 191 188
## Ryland Mortgage
Securities Corp.
III, Series 92-A 1A
8.255%, 3/29/30 A- 359 363
- ------------------------------------------------------
GROUP TOTAL 765
- ------------------------------------------------------
COMMERCIAL MORTGAGES (1.7%)
American Southwest
Financial Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 995 1,021
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 650 662
Asset Securitization
Corp.,
Series:
95-MD4 A1
7.10%, 8/13/29 AAA 1,278 1,312
96-MD6 A1C
7.04%, 11/13/26 AAA 575 589
+## 97-D5 PS1 IO
1.574%, 2/14/41 Aaa 3,294 307
(+) Carousel Center Finance,
Inc.,
Series 1 A1
6.828%, 11/15/07 AA 525 527
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 543 600
(+) DLJ Mortgage Acceptance
Corp.,
Series 96-CF2 A1B
7.29%, 11/12/21 AAA 165 171
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.874%, 3/15/21 Aaa $ 2,181 $ 145
97-C2 X IO
1.273%, 4/15/29 Aaa 6,024 386
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.038%, 7/13/30 Aaa 1,673 74
## Merrill Lynch
Mortgage Investors,
Inc.,
Series 96-C2 IO
1.547%, 11/21/28 AAA 2,669 191
## Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 525 543
(+) Prime Property
Funding,
Series 1A
6.633%, 7/23/03 AA 483 483
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 799
- ------------------------------------------------------
GROUP TOTAL 7,810
- ------------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 340 353
Mobile Energy Services
8.665%, 1/1/17 CCC 470 160
- ------------------------------------------------------
GROUP TOTAL 513
- ------------------------------------------------------
FINANCE (3.6%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 390 406
(+) BankAmerica Corp.
5.875%, 2/15/09 A+ 220 213
BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 925 973
(+) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 BBB 965 994
Chase Manhattan Corp.
6.00%, 2/15/09 A 395 385
EOP Operating LP
6.763%, 6/15/07 BBB 395 393
6.80%, 1/15/09 BBB 150 149
7.25%, 6/15/28 BBB 200 194
Equifax, Inc.
6.90%, 7/1/28 A- 400 399
Equitable Companies, Inc.
6.50%, 4/1/08 A 420 425
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A $ 700 $ 725
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A 325 311
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A 725 821
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 740 772
First Union Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 625 657
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 200 207
(+) Florida Windstorm
6.70%, 8/25/04 A- 550 556
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 695 695
(+) Goldman Sachs Group LP
6.50%, 2/25/09 A+ 425 421
Lehman Brothers
Holdings
8.80%, 3/1/15 A 245 274
8.50%, 8/1/15 A 125 135
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 600 602
7.80%, 11/1/25 A+ 250 275
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 775 765
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA- 300 301
(+) PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 725 752
(+) Prime Property
Funding II
6.80%, 8/15/02 A 210 210
7.00%, 8/15/04 A 540 540
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 855 991
Washington Mutual
Capital
8.206%, 2/1/27 BBB- 65 68
8.375%, 6/1/27 BBB- 375 401
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- $ 821 $ 833
96 WFP-D
6.95%, 9/1/13 AA- 525 534
- ------------------------------------------------------
GROUP TOTAL 16,377
- ------------------------------------------------------
INDUSTRIALS (3.9%)
American Standard Cos.
7.375%, 4/15/05 BB- 430 421
Browning-Ferris
Industries, Inc.
7.40%, 9/15/35 A- 520 447
Columbia/HCA
Healthcare
7.05%, 12/1/27 BB+ 125 98
7.19%, 11/15/15 BB+ 250 207
7.50%, 12/15/23 BB+ 305 253
7.58%, 9/15/25 BB+ 320 268
9.00%, 12/15/14 BB+ 225 230
Continental Cablevision
8.30%, 5/15/06 BBB 475 525
Cox Communications, Inc.
6.80%, 8/1/28 A- 90 89
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 670 706
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 127 121
94-K2 A2
9.35%, 8/15/19 BB+ 550 573
Enron Corp.
6.95%, 7/15/28 BBB+ 900 873
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 525 513
(+) Florida Windstorm
7.125%, 2/25/19 AAA 525 527
Ford Motor Co.
6.625%, 10/1/28 A 555 537
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 765 793
7.45%, 3/1/08 BB+ 110 116
General Motors Corp.
6.75%, 5/1/28 A 580 571
Harrahs Operating Co., Inc.
7.50%, 1/15/09 BBB- 235 238
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 650 681
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 350 365
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Lenfest
Communications, Inc.
7.625%, 2/15/08 BB+ $ 425 $ 438
8.375%, 11/1/05 BB+ 415 445
(+) Lowe's Companies, Inc.
6.50%, 3/15/29 A 545 519
(+) Monsanto Co.
6.60%, 12/1/28 A 810 773
News America, Inc.
7.28%, 6/30/28 BBB- 885 887
(+) Oxymar
7.50%, 2/15/16 BBB 470 415
# Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 400 429
Saks, Inc.
7.375%, 2/15/19 BB+ 580 564
(+) Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 1,205 965
(+) Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ 595 572
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 525 520
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 650 623
7.57%, 2/1/24 BBB 505 540
Union Pacific Co.
6.625%, 2/1/29 BBB- 405 381
USA Waste Services
7.00%, 7/15/28 BBB+ 530 528
- ------------------------------------------------------
GROUP TOTAL 17,751
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.0%)
## Resolution Trust
Corp., Series 92-5 C3
8.611%, 1/25/26 AA 188 187
Ryland Acceptance
Corp. IV, Series 79-A
6.65%, 7/1/11 AA 65 59
- ------------------------------------------------------
GROUP TOTAL 246
- ------------------------------------------------------
TELEPHONES (0.7%)
AT&T Corp.
6.50%, 3/15/29 AA- 625 612
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 170 191
Intermedia
Communications, Inc.
# 0.00%, 5/15/06 B 130 112
Series B
8.50%, 1/15/08 B 105 105
8.60%, 6/1/08 B 500 500
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 1,025 1,043
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Qwest
Communications
International, Inc.
7.50%, 11/1/08 BB+ $ 235 $ 245
Series B
#0.00%, 2/1/08 BB+ 720 554
- ------------------------------------------------------
GROUP TOTAL 3,362
- ------------------------------------------------------
TRANSPORTATION (0.6%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 846 853
99-1 A
6.545%, 8/2/20 AA+ 195 193
(+) Jet Equipment
Trust, Series 95-5A C
10.69%, 11/1/13 BBB- 675 828
Union Pacific Corp.
6.625%, 2/1/08 BBB- 345 348
7.125%, 3/1/28 BBB- 335 336
- ------------------------------------------------------
GROUP TOTAL 2,558
- ------------------------------------------------------
U.S. TREASURY SECURITIES (5.4%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 7,721 7,427
3.625%, 7/15/02
(Inflation Indexed) Tsy 3,647 3,621
3.625%, 1/15/08
(Inflation Indexed) Tsy 4,095 3,996
4.50%, 1/31/01 Tsy 3,500 3,469
4.75%, 11/15/08 Tsy 3,800 3,661
6.625%, 5/15/07 Tsy 2,200 2,372
- ------------------------------------------------------
GROUP TOTAL 24,546
- ------------------------------------------------------
UTILITIES (0.3%)
CMS Energy Corp.
7.50%, 1/15/09 BB 485 494
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 375 382
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB+ 332 356
- ------------------------------------------------------
GROUP TOTAL 1,232
- ------------------------------------------------------
YANKEE (3.2%)
(+) Alcoa Aluminio S.A.,
Series 96-1
7.50%, 12/16/08 BBB 688 631
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 865 814
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 545 547
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- $ 120 $ 112
7.75%, 7/15/08 A- 800 775
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 655 561
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 585 488
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 1,170 1,040
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 400 321
(+) Israel Electric
Corp., Ltd.
7.25%, 12/15/06 A- 135 134
7.75%, 12/15/27 A- 575 548
Korea Development Bank
7.375%, 9/17/04 BBB- 1,005 982
Multicanal S.A.
10.50%, 4/15/18 BB+ 330 275
National Power Corp.
7.875%, 12/15/06 BB+ 450 413
8.40%, 12/15/16 BB+ 350 298
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 567 542
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 545 93
(+) Petroliam Nasional
Bhd.
7.125%, 10/18/06 BBB- 575 532
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB+ 840 613
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,180 1,110
Republic of Argentina Par
#7.33%, 3/31/23 BB 685 474
Series L 'Euro'
6.00%, 3/31/23 BB 765 529
Republic of Colombia
8.70%, 2/15/16 BBB- 805 653
10.875%, 3/9/04 BBB- 165 171
Rogers Cablesystems
Ltd.,
Series B
10.00%, 3/15/05 BB+ 400 451
United Mexican States
Par Bond,
Series:
A
6.25%, 12/31/19 BB 985 774
B
6.25%, 12/31/19 BB 660 519
- ------------------------------------------------------
GROUP TOTAL 14,400
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES
(Cost $229,711) 228,375
- ------------------------------------------------------
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS (57.4%)
- ------------------------------------------------------
BASIC RESOURCES (2.1%)
Air Products & Chemicals, Inc. 65,400 $ 2,240
Engelhard Corp. 77,900 1,320
Morton International, Inc. 34,400 1,264
Rohm & Haas Co. 68,200 2,289
Solutia, Inc. 52,600 914
* W.R. Grace & Co. 117,200 1,421
- ------------------------------------------------------
GROUP TOTAL 9,448
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.9%)
Anheuser-Busch Cos., Inc. 37,200 2,834
Coca-Cola Co. 36,800 2,258
Gillette Co. 27,200 1,617
PepsiCo, Inc. 46,000 1,803
- ------------------------------------------------------
GROUP TOTAL 8,512
- ------------------------------------------------------
CONSUMER DURABLES (2.9%)
Dana Corp. 33,000 1,254
Ford Motor Co. 60,000 3,405
General Motors Corp. 52,752 4,583
Owens Corning 127,000 4,040
- ------------------------------------------------------
GROUP TOTAL 13,282
- ------------------------------------------------------
CONSUMER SERVICES (3.2%)
AT&T Corp.-Liberty Media Group,
Class A 56,319 2,964
* Clear Channel Communications,
Inc. 39,200 2,629
* Fox Entertainment Group, Inc.,
Class A 70,900 1,923
Infinity Broadcasting Corp.,
Class A 75,000 1,931
News Corp., Ltd. ADR 82,400 2,266
Time Warner, Inc. 37,500 2,665
- ------------------------------------------------------
GROUP TOTAL 14,378
- ------------------------------------------------------
ENERGY (4.2%)
Atlantic Richfield Co. 21,500 1,569
Chevron Corp. 11,800 1,044
Coastal Corp. 109,300 3,607
Elf Aquitaine S.A., ADR 15,600 1,050
Halliburton Co. 18,800 724
Royal Dutch Petroleum Co., NY
Shares 105,500 5,486
Texaco, Inc. 25,900 1,470
Tosco Corp. 51,800 1,285
Total ADR 50,300 3,068
- ------------------------------------------------------
GROUP TOTAL 19,303
- ------------------------------------------------------
FINANCIAL SERVICES (10.2%)
Ace Ltd. 93,200 2,907
Allstate Corp. 95,454 3,538
Ambac Financial Group, Inc. 45,100 2,435
Aon Corp. 11,500 727
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Bank One Corp. 71,650 $ 3,945
BankAmerica Corp. 60,602 4,280
BankBoston Corp. 41,900 1,815
Citigroup, Inc. 46,850 2,993
Conseco, Inc. 44,297 1,368
Everest Reinsurance Holdings,
Inc. 42,700 1,332
Household International, Inc. 76,700 3,499
MBIA, Inc. 59,500 3,451
Travelers Property Casualty
Corp., Class A 124,900 4,465
UNUM Corp. 76,100 3,619
Wells Fargo Co. 75,000 2,630
XL Capital Ltd., Class A 58,800 3,572
- ------------------------------------------------------
GROUP TOTAL 46,576
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (0.9%)
General Mills, Inc. 25,600 1,934
RJR Nabisco Holdings Corp. 94,120 2,353
- ------------------------------------------------------
GROUP TOTAL 4,287
- ------------------------------------------------------
HEALTH CARE (5.2%)
Abbott Laboratories 41,700 1,952
Aetna, Inc. 49,400 4,100
Baxter International, Inc. 38,400 2,535
Bristol-Myers Squibb Co. 44,600 2,868
Eli Lilly & Co. 22,800 1,935
* Health Management Associates,
Inc., Class A 77,050 939
* Lincare Holdings, Inc. 55,800 1,569
Merck & Co., Inc. 51,900 4,162
Mylan Labs, Inc. 44,500 1,221
Pfizer, Inc. 17,800 2,470
- ------------------------------------------------------
GROUP TOTAL 23,751
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (4.4%)
Aeroquip-Vickers, Inc. 31,000 1,777
* Allied Waste Industries, Inc. 81,800 1,181
* AMR Corp. 14,700 861
Burlington Northern Santa Fe,
Inc. 31,700 1,042
Case Corp. 63,100 1,601
Cummins Engine Co., Inc. 53,900 1,917
* FMC Corp. 9,200 454
* Loral Space & Communications
Ltd. 83,000 1,198
Parker-Hannifin Corp. 69,800 2,391
Ryder Systems, Inc. 24,400 674
Tenneco, Inc. 6,500 182
* United Rentals, Inc. 42,900 1,223
Waste Management, Inc. 78,627 3,489
York International Corp. 61,100 2,157
- ------------------------------------------------------
GROUP TOTAL 20,147
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
RETAIL (3.2%)
Circuit City Stores, Inc. 26,700 $ 2,046
* Consolidated Stores Corp. 13,800 418
CVS Corp. 55,500 2,636
Dayton-Hudson Corp. 28,000 1,866
Tandy Corp. 52,500 3,350
Wal-Mart Stores, Inc. 46,300 4,268
- ------------------------------------------------------
GROUP TOTAL 14,584
- ------------------------------------------------------
TECHNOLOGY (11.8%)
America Online, Inc. 32,200 4,701
* At Home Corp., Series A 14,600 2,300
* Cisco Systems, Inc. 50,225 5,503
Compaq Computer Corp. 31,000 982
* Dell Computer Corp. 25,300 1,034
* Excite, Inc. 6,200 868
* General Instrument Corp. 49,000 1,485
Hewlett Packard Co. 17,400 1,180
* Inktomi Corp. 300 26
Intel Corp. 31,600 3,764
International Business Machines
Corp. 16,900 2,996
* Microsoft Corp. 170,200 15,254
Motorola, Inc. 47,600 3,487
Northern Telecom Ltd. 35,000 2,174
* Qualcomm, Inc. 27,200 3,383
* Tellabs, Inc. 27,900 2,727
* Unisys Corp. 56,800 1,573
- ------------------------------------------------------
GROUP TOTAL 53,437
- ------------------------------------------------------
UTILITIES (7.4%)
* Airtouch Communications, Inc. 31,900 3,082
Ameritech Corp. 41,700 2,413
* AT&T Corp. 63,692 5,083
Carolina Power & Light Co. 32,200 1,218
Columbia Energy Group 27,600 1,442
Energy East Corp. 23,800 1,251
* MCI WorldCom, Inc. 125,593 11,123
PECO Energy Co. 33,000 1,526
SBC Communications, Inc. 48,000 2,262
Southern Co. 14,500 338
Sprint Corp. 32,850 3,224
* Sprint Corp. (PCS Group) 16,325 724
- ------------------------------------------------------
GROUP TOTAL 33,686
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $207,805) 261,391
- ------------------------------------------------------
PREFERRED STOCK (0.6%)
- ------------------------------------------------------
<CAPTION>
RATINGS
(STANDARD
& POOR'S)
---------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.6%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost $2,607) Aaa 3,025 2,732
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<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 $ --
- ------------------------------------------------------
STRUCTURED INVESTMENTS (0.4%)-SEE NOTE A7
- ------------------------------------------------------
(b) Merrill Lynch & Co., Inc.
Single Stock Linked Note,
3.00% plus dividends on
Case Corp. stock,
8/13/99 N/R 70 1,776
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 7,804 87
- ------------------------------------------------------
TOTAL STRUCTURED INVESTMENTS (Cost $2,688) 1,863
- ------------------------------------------------------
CASH EQUIVALENTS (11.6%)
- ------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned
Securities (5.5%) 25,095 25,095
- ------------------------------------------------------
DISCOUNT NOTES (3.9%)
Federal Home Loan Bank
4.70%, 4/16/99 Agy 9,000 8,982
Federal Home Loan Mortgage
Corporation,
4.80%, 4/29/99 Agy 9,000 8,967
- ------------------------------------------------------
GROUP TOTAL 17,949
- ------------------------------------------------------
REPURCHASE AGREEMENT (2.2%)
Chase Securities, Inc. 4.80%,
dated 3/31/99, due 4/1/99, to
be repurchased at $9,829,
collateralized by various U.S.
Government Obligations, due
4/1/99-2/28/01, valued at
$9,916. 9,828 9,828
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $52,872) 52,872
- ------------------------------------------------------
TOTAL INVESTMENTS (120.2%) (Cost $495,833) 547,233
- ------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-20.2%)
Dividends Receivable $ 281
Interest Receivable 2,144
Receivable for Investments Sold 5,360
Receivable for Forward Commitments 5,484
Receivable for Fund Shares Sold 326
Unrealized Gain on Swap Agreements 51
Other Assets 20
Payable to Custodian (181)
Payable for Investments Purchased (4,768)
Payable for Forward Commitments (74,709)
Payable for Fund Shares Redeemed (350)
Payable for Investment Advisory Fees (502)
Payable for Administrative Fees (31)
Payable for Trustees' Deferred Compensation
Plan-Note F (20)
Payable for Distribution Fees-Adviser Class (6)
Payable for Daily Variation Margin on
Futures Contracts (71)
Collateral on Securities Loaned, at Value (25,095)
Other Liabilities (94)
--------
(92,161)
- ------------------------------------------------------
NET ASSETS (100%) $455,072
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 30,431,827 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $426,060
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 14.00
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 37,066 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 519**
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.99
- ------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,038,660 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 28,493
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.98
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $385,139
Undistributed Net Investment Income (Loss) 4,244
Undistributed Realized Net Gain (Loss) 14,402
Unrealized Appreciation (Depreciation) on:
Investment Securities 51,400
Futures and Swaps (113)
- ------------------------------------------------------
NET ASSETS $455,072
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
** Represents $518,519 of net assets.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
(+) 144A Security. Certain conditions for public sale
may exist.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31,1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1999.
@ Value is less than $500.
ADR American Depositary Receipt
(b) Security is linked to the performance of the common
stock of Case Corp.
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1999.
IO Interest Only
LIBOR London Interbank Offer Rate
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.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Asset-Class Portfolio provides global asset allocation management with
a level of international diversification that is appropriate for U.S.-oriented
investors. Miller Anderson & Sherrerd manages investments in five asset classes,
and considers a benchmark consisting of 50% U.S. equities, 14% foreign equities,
24% U.S. fixed-income, 6% foreign fixed-income and 6% high yield to be a
neutral, or starting-point investment. Allocations are based on a value-driven
approach which favors those equity markets offering the highest risk-adjusted
expected returns and those bond markets offering the highest real interest rates
and steepest yield curves.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/99*
<TABLE>
<CAPTION>
MSCI
EAFE- 50/24/
MAS MULTI-ASSET CLASS SALOMON MSCI GDP 14/6/6
---------------------------- S&P 500 BROAD EAFE WEIGHTED BLENDED
INSTITUTIONAL# INVESTMENT< INDEX INDEX INDEX INDEX INDEX
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
SIX MONTHS 16.46% 16.37% 27.34% (0.06)% 22.34% 24.10% 17.01%
ONE YEAR 7.21 7.05 18.45 6.50 6.06 10.24 13.53
SINCE INCEPTION 15.59 15.47 27.33 8.17 8.01 10.48 18.10
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results. Foreign investments are subject to certain
risks such as currency fluctuations, economic instability, and political
developments. High-yield fixed-income securities, otherwise known as "junk
bonds," represent a much greater risk of default and tend to be more volatile
than higher-rated bonds.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
6/10/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by
the Adviser for certain periods. Without such waivers and/or reimbursements,
total returns would have been lower.
* The Multi-Asset-Class Portfolio commenced operations on 7/29/94. Total returns
are compared to the S&P 500 Index, the Salomon Broad Investment Grade Index,
the Morgan Stanley Capital International EAFE Index, and the Morgan Stanley
Capital International EAFE-GDP Weighted Index (for comparison only), all
unmanaged market indices, as well as the 50/24/14/6/6 Blended Index, an
unmanaged index comprised of 50% S&P 500 Index, 24% Salomon Broad Investment
Grade Index, 14% MSCI EAFE Index, 6% Salomon High Yield Index and 6% Salomon
World Government Bond Ex-U.S. Index. Prior to 1/1/99, the above blend
reflected 14% MSCI EAFE-GDP Weighted Index instead of 14% MSCI EAFE Index. The
benchmark was changed because the MSCI EAFE Index has become more
representative of the portfolio's investment opportunities than the MSCI
EAFE-GDP Weighted Index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
U.S. EQUITY (43.3%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
MARCH 31, 1999 SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (43.3%)
- ------------------------------------------------------
BANKS (2.8%)
Bank One Corp. 22,800 $ 1,255
BankAmerica Corp. 18,300 1,292
BankBoston Corp. 13,100 567
Citigroup, Inc. 14,650 936
Wells Fargo Co. 23,400 821
- ------------------------------------------------------
GROUP TOTAL 4,871
- ------------------------------------------------------
BASIC RESOURCES (1.6%)
Air Products & Chemicals, Inc. 19,800 678
Engelhard Corp. 24,300 412
Morton International Inc. 10,300 378
Rohm & Haas Co. 18,500 621
Solutia, Inc. 16,400 285
* W.R. Grace & Co. 35,700 433
- ------------------------------------------------------
GROUP TOTAL 2,807
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.5%)
Anheuser-Busch Cos., Inc. 11,400 869
Coca-Cola Co. 11,300 694
Gillette Co. 8,700 517
PepsiCo, Inc. 14,200 556
- ------------------------------------------------------
GROUP TOTAL 2,636
- ------------------------------------------------------
CONSUMER DURABLES (2.4%)
Dana Corp. 14,500 551
Ford Motor Co. 18,400 1,044
General Motors Corp. 16,088 1,398
Owens Corning 39,700 1,263
- ------------------------------------------------------
GROUP TOTAL 4,256
- ------------------------------------------------------
CONSUMER SERVICES (2.1%)
* AT&T Corp.-Liberty Media Group,
Class A 16,035 844
* Clear Channel Communications, Inc. 12,000 805
* Fox Entertainment Group, Inc.,
Class A 21,900 594
* Infinity Broadcasting Corp., Class
A 22,900 590
Time Warner, Inc. 11,600 824
- ------------------------------------------------------
GROUP TOTAL 3,657
- ------------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (1.0%)
Ambac Financial Group, Inc. 13,800 745
Household International, Inc. 23,900 1,091
- ------------------------------------------------------
GROUP TOTAL 1,836
- ------------------------------------------------------
ENERGY (1.8%)
Atlantic Richfield Co. 6,700 489
Chevron Corp. 3,700 327
Coastal Corp. 29,300 967
Elf Aquitaine S.A., ADR 4,800 323
Halliburton Co. 5,900 227
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
Texaco, Inc. 8,000 $ 454
Tosco Corp. 16,100 400
- ------------------------------------------------------
GROUP TOTAL 3,187
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (0.7%)
General Mills, Inc. 7,800 589
RJR Nabisco Holdings Corp. 28,840 721
- ------------------------------------------------------
GROUP TOTAL 1,310
- ------------------------------------------------------
HEALTH CARE (4.1%)
Abbott Laboratories 12,600 590
Aetna, Inc. 15,000 1,245
Baxter International, Inc. 12,000 792
Bristol-Myers Squibb Co. 13,900 894
Eli Lilly and Co. 7,100 603
* Health Management Associates, Inc.,
Class A 23,075 281
* Lincare Holdings, Inc. 16,600 467
Merck & Co., Inc. 15,600 1,251
Mylan Laboratories, Inc. 13,900 381
Pfizer Inc. 5,600 777
- ------------------------------------------------------
GROUP TOTAL 7,281
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (3.9%)
Aeroquip-Vickers, Inc. 9,700 556
* Allied Waste Industries, Inc. 25,100 362
* AMR Corp. 4,200 246
Burlington Northern Santa Fe, Inc. 10,100 332
Case Corp. 38,500 977
Cummins Engine Co., Inc. 20,200 718
* FMC Corp. 2,800 138
* Loral Space & Communications Ltd. 27,100 391
Parker-Hannifin Corp. 21,400 733
Ryder System, Inc. 7,600 210
Tenneco, Inc. 2,000 56
* United Rentals, Inc. 13,400 382
Waste Management, Inc. 24,085 1,069
York International Corp. 18,900 668
- ------------------------------------------------------
GROUP TOTAL 6,838
- ------------------------------------------------------
INSURANCE (3.4%)
Allstate Corp. 28,700 1,064
Aon Corp. 3,600 228
Conseco, Inc. 16,290 503
Everest Reinsurance Holdings, Inc. 13,500 421
MBIA, Inc. 18,500 1,073
Travelers Property Casualty Corp.,
Class A 42,000 1,501
UNUM Corp. 23,200 1,103
- ------------------------------------------------------
GROUP TOTAL 5,893
- ------------------------------------------------------
RETAIL (2.6%)
Circuit City Group 8,300 636
* Consolidated Stores Corp. 4,300 130
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
CVS Corp. 17,200 $ 817
Dayton Hudson Corp. 8,800 586
Tandy Corp. 16,300 1,040
Wal-Mart Stores, Inc. 13,900 1,282
- ------------------------------------------------------
GROUP TOTAL 4,491
- ------------------------------------------------------
TECHNOLOGY (9.4%)
America Online, Inc. 10,100 1,475
* At Home Corp., Series A 4,600 725
* Cisco Systems, Inc. 15,025 1,646
Compaq Computer Corp. 9,600 304
* Dell Computer Corp. 8,000 327
* Excite, Inc. 1,900 266
* General Instrument Corp. 15,300 464
Hewlett-Packard Co. 5,300 359
Intel Corp. 9,800 1,167
International Business Machines Corp. 5,300 939
* Microsoft Corp. 52,000 4,661
Motorola, Inc. 14,600 1,070
Northern Telecom Ltd. 10,700 665
* QUALCOMM, Inc. 8,500 1,057
* Tellabs, Inc. 8,800 860
* Unisys Corp. 17,700 490
- ------------------------------------------------------
GROUP TOTAL 16,475
- ------------------------------------------------------
UTILITIES (6.0%)
* Airtouch Communications, Inc. 9,600 928
Ameritech Corp. 12,800 741
AT&T Corp. 19,501 1,556
Carolina Power & Light Co. 10,000 378
Columbia Energy Group 5,650 295
Energy East Corp. 7,400 389
* MCI WorldCom, Inc. 40,715 3,606
PECO Energy Co. 10,300 476
SBC Communications, Inc. 14,700 693
Southern Co. 4,500 105
Sprint Corp. 11,300 1,109
* Sprint Corp. (PCS Group) 5,700 252
- ------------------------------------------------------
GROUP TOTAL 10,528
- ------------------------------------------------------
TOTAL U.S. COMMON STOCK (Cost $61,262) 76,066
- ------------------------------------------------------
U.S. FIXED INCOME (36.4%)
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT
& POOR'S) (000)
--------- -------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (17.1%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%, 6/1/19 Agy $ 32 35
10.50%, 4/1/19 Agy 176 194
11.00%, 9/1/16 Agy 67 75
11.50%, 7/1/15-8/1/15 Agy 110 123
</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>
Gold Pools:
9.50%, 12/1/16 Agy $ 119 $ 130
10.00%, 1/1/21 Agy 249 272
11.50%, 1/1/16 Agy 101 113
April TBA
6.00%, 4/15/29 Agy 14,500 14,101
Federal National
Mortgage Association,
Conventional Pools:
10.00%, 5/1/22 Agy 551 603
10.50%, 12/1/09-6/1/19 Agy 176 193
11.00%, 11/1/20 Agy 86 97
12.50%, 3/1/15 Agy 23 26
April TBA
6.00%, 4/25/29 Agy 6,900 6,705
Government National Mortgage
Association: Adjustable Rate
Mortgages:
6.50%, 10/20/27-12/20/27 Tsy 967 981
6.875%, 4/20/25-6/20/25 Tsy 731 744
7.00%, 3/20/25-11/20/25 Tsy 1,157 1,177
Various Pools:
6.00%, 2/20/27 Tsy 123 124
9.50%, 11/15/17-12/15/21 Tsy 1,719 1,870
10.00%, 6/15/03-8/15/20 Tsy 385 423
10.50%, 1/15/16-5/15/26 Tsy 1,130 1,249
11.00%, 12/15/09-8/15/19 Tsy 531 596
11.50%, 8/15/11-12/15/17 Tsy 141 160
12.00%, 11/15/12-10/15/15 Tsy 88 101
- ------------------------------------------------------
GROUP TOTAL 30,092
- ------------------------------------------------------
ASSET BACKED CORPORATES (4.2%)
Advanta Mortgage Loan
Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA 107 106
97-4 A2
6.53%, 9/25/12 AAA 148 148
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 175 176
97-D A3
6.20%, 5/15/03 AAA 200 201
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 400 400
Block Mortgage Finance,
Inc.,
Series 99-1 A1
5.94%, 9/25/13 AAA 372 371
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Centex Home Equity,
Series 99-1 A1
6.07%, 3/25/18 AAA $ 271 $ 271
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 288 290
CIT Group Home
Equity Loan Trust,
Series 97-1 A3
6.25%, 9/15/11 AAA 3 3
+## Citibank Credit Card Master
Trust I,
Series 98-7A
4.949%, 5/15/02 Aaa 450 450
Comed Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 500 500
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC (11)
4.966%, 3/15/13 AAA 571 570
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 68 69
Daimler Benz Vehicle Trust,
Series 98-2 A2B PAC (11)
5.23%, 12/20/01 AAA 500 499
(+) Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 97-A A
7.35%, 4/15/19 AAA 220 226
First Security Auto Grantor
Trust,
Series 97-B A
6.14%, 4/15/03 AAA 110 110
First Security Auto
Owner Trust,
Series 98-1 A2
5.182%, 6/15/01 AAA 250 250
## First USA Credit Card
Master Trust,
Series 97-10 A
5.026%, 9/17/03 AAA 650 650
Ford Credit Auto Owner
Trust,
Series 97-B A3
6.05%, 4/15/01 AAA 243 244
Green Tree Financial Corp.,
Series 99-1 A2
5.43%, 11/1/06 AAA 275 275
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Honda Auto Receivables
Grantor Trust,
Series:
99-1 A2
5.85%, 2/15/03 AAA $ 509 $ 510
99-1 A2
5.95%, 5/15/03 AAA 80 80
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 700 701
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 63 63
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 105 106
(+)+ Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 Aaa 200 200
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 124 124
- ------------------------------------------------------
GROUP TOTAL 7,593
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (1.3%)
Federal Home Loan
Mortgage Corporation,
Series:
## 1546-FC REMIC PAC (11)
5.50%, 12/15/21 Agy 139 140
1632-SA Inv Fl REMIC
6.514%, 11/15/23 Agy 75 68
## 1710-D REMIC
5.45%, 6/15/20 Agy 179 180
1911 C PO
11/15/23 Agy 100 75
## 1933-FM REMIC
5.75%, 3/15/25 Agy 6 6
## 1933-FO REMIC
5.75%, 3/15/25 Agy 10 10
2054-FC REMIC
6.025%, 5/15/28 Agy 197 196
Federal National Mortgage
Association,
Series:
92-89 SQ Inv Fl IO PAC (11)
4071.956%, 6/25/22 Agy (2)-- 16
## 94-50 FD REMIC
5.388%, 3/25/24 Agy 81 81
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
96-34 C PO
3/25/23 Agy $ 225 $ 155
## 97-43 FM REMIC
5.438%, 7/18/27 Agy 208 209
97-53 PI IO PAC
8.00%, 8/18/27 Agy 760 175
## 97-70 FA REMIC PAC (11)
5.388%, 7/18/20 Agy 62 62
## 97-76 FM
5.388%, 9/17/27 Agy 98 98
## 97-76 FN
5.338%, 9/17/27 Agy 95 95
## 98-22 FA REMIC
5.336%, 4/18/22 Agy 212 212
191 IO
8.00%, 1/1/28 Agy 1,014 208
291 2 I0
8.00%, 11/1/27 Agy 533 107
## Government National Mortgage
Association
Series 97-13 SB IO
3.00%, 9/16/27 Tsy 1,800 178
- ------------------------------------------------------
GROUP TOTAL 2,271
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.4%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 112 119
+## BA Mortgage
Securities, Inc.,
Series 97-1 A2
5.437%, 7/25/26 Aaa 237 237
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 160 170
## Morserv, Inc.,
Series 96-2 1A1
5.79%, 11/25/26 AAA 206 207
- ------------------------------------------------------
GROUP TOTAL 733
- ------------------------------------------------------
COMMERCIAL MORTGAGES (0.8%)
American Southwest
Financial Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 105 107
+ 95-C1 A1B
7.40%, 11/17/04 Aaa 150 153
</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>
## Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA $ 114 $ 119
95-MD4 A1
7.10%, 8/13/29 AAA 213 219
## 95-MD4 A CS2 IO
2.247%, 8/13/29 N/R 765 111
96-MD6 A1C
7.04%, 11/13/26 AAA 125 128
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 100 107
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 100 100
(+) DLJ Mortgage
Acceptance Corp.,
Series 96-CF2 A1B
7.29%, 7/12/06 AAA 135 140
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.26%, 4/15/27 Aaa 1,506 96
Mortgage Capital
Funding, Inc.,
Series 95-MC1 A1B
7.60%, 5/25/27 AAA 71 72
- ------------------------------------------------------
GROUP TOTAL 1,352
- ------------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 100 104
Mobile Energy Services
8.665%, 1/1/17 CCC 90 31
- ------------------------------------------------------
GROUP TOTAL 135
- ------------------------------------------------------
FINANCE (2.8%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 100 104
Associates Corp. of
North America
6.95%, 11/1/18 AA- 165 168
BankAmerica Corp.
5.875%, 2/15/09 A+ 50 48
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 200 210
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 BBB 225 232
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Chase Manhattan Corp.
6.00%, 2/15/09 A $ 110 $ 107
EOP Operating LP
6.763%, 6/15/07 BBB 240 239
Equifax, Inc.
6.90%, 7/1/28 A- 100 100
Equitable Companies, Inc.
6.50%, 4/1/08 A 170 172
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 135 140
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A 290 278
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 180 188
First Union
Institutional
Capital,
Series I
8.04%, 12/1/26 BBB+ 225 236
(+) Florida Windstorm
6.70%, 8/25/04 A- 175 177
(+) Goldman Sachs Group, L.P.
6.50%, 2/25/09 A+ 105 104
GS Escrow Corp.
7.125%, 8/1/05 BB+ 195 195
HMH Properties,
Series A
7.875%, 8/1/05 BB 240 234
Lehman Brothers Holdings
8.50%, 8/1/15 A 15 16
8.80%, 3/1/15 A 75 84
(+) Metropolitan Life
Insurance Co.
7.80%, 11/1/25 A+ 250 275
NationsBank Corp.
6.80%, 3/15/28 A 25 24
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 250 247
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 150 156
(+) Prime Property
Funding II
6.80%, 8/15/02 A 85 85
7.00%, 8/15/04 A 165 165
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 175 203
Washington Mutual Capital
8.375%, 6/1/27 BBB- 155 166
Washington Mutual Inc., Series A
8.206%, 2/1/27 BBB- 25 26
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) World Financial Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- $ 242 $ 245
96 WFP-D
6.95%, 9/1/13 AA- 250 254
- ------------------------------------------------------
GROUP TOTAL 4,878
- ------------------------------------------------------
INDUSTRIALS (2.7%)
American Standard Cos.
7.375%, 4/15/05 BB- 120 118
Browning-Ferris
Industries, Inc.
7.40%, 9/15/35 A- 140 120
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 80 66
7.50%, 12/15/23 BB+ 145 120
7.58%, 9/15/25 BB+ 75 63
9.00%, 12/15/14 BB+ 50 51
Continental Cablevision
8.30%, 5/15/06 BBB 150 166
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 205 216
DR Structured Finance,
Series:
93-K1 A2
7.43%, 8/15/18 BB+ 180 170
94-K1 A1
7.60%, 8/15/07 BB+ 75 75
94-K2 A2
9.35%, 8/15/19 BB+ 30 31
Enron Corp.
6.95%, 7/15/28 BBB+ 175 170
(+) Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 135 132
(+) Florida Windstorm
7.125%, 2/25/19 AAA 135 136
Ford Motor Co.
6.625%, 10/1/28 A 160 155
Fred Meyer, Inc.
7.375%, 3/1/05 BB+ 230 239
General Motors Corp.
6.75%, 5/1/28 A 180 177
Harrahs Operating Co., Inc.
7.50%, 1/15/09 BBB- 70 71
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 50 52
Lenfest Communications,
Inc.
7.625%, 2/15/08 BB+ 135 139
8.375%, 11/1/05 BB+ 100 107
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Lowe's Companies, Inc.
6.50%, 3/15/29 A $ 145 $ 138
(+) Monsanto Co.
6.60%, 12/1/28 A 225 215
News America, Inc.
7.28%, 6/30/28 BBB- 280 281
(+) Oxymar
7.50%, 2/15/16 BBB 100 88
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 100 107
Saks, Inc.
7.375%, 2/15/19 BB+ 105 102
(+) Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 385 308
(+) Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 195 187
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB 165 164
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 35 34
6.95%, 1/15/28 BBB 85 85
7.57%, 2/1/24 BBB 180 192
Union Pacific Corp.
6.625%, 2/1/29 BBB- 185 174
USA Waste Services
7.00%, 7/15/28 BBB+ 140 139
- ------------------------------------------------------
GROUP TOTAL 4,788
- ------------------------------------------------------
TELEPHONES (0.5%)
AT&T Corp.
6.50%, 3/15/29 AA- 160 157
Comcast Cable
Communications
8.375%, 5/1/07 BBB- 45 51
# Intermedia
Communications, Inc.,
Series B
0.00%, 5/15/06 B 40 35
0.00%, 7/15/07 B 45 34
8.50%, 1/15/08 B 35 35
8.60%, 6/1/08 B 85 85
8.875%, 11/1/07 B 30 30
MCI WorldCom, Inc.
6.95%, 8/15/28 BBB+ 320 326
(+) Qwest Communications
International, Inc.,
7.50%, 11/1/08 BB+ 25 26
# Series B
0.00%, 2/1/08 BB+ 205 157
- ------------------------------------------------------
GROUP TOTAL 936
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 121
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.3%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ $ 257 $ 260
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 125 152
Union Pacific Corp.
7.125%, 2/1/28 BBB- 95 95
- ------------------------------------------------------
GROUP TOTAL 507
- ------------------------------------------------------
U.S. TREASURY SECURITIES (3.7%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 75 101
U.S. Treasury Notes
!! 3.375%, 1/15/07
(Inflation Indexed) Tsy 2,635 2,534
3.625%, 1/15/08
(Inflation Indexed) Tsy 781 763
3.625%, 7/15/02
(Inflation Indexed) Tsy 739 734
4.50%, 1/31/01 Tsy 750 743
6.625%, 5/15/07 Tsy 1,475 1,590
7.50%, 2/15/05 Tsy 100 111
- ------------------------------------------------------
GROUP TOTAL 6,576
- ------------------------------------------------------
UTILITIES (0.2%)
CMS Energy Corp.
7.50%, 1/15/09 BB 145 148
(+) Edison Mission
Energy Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 102
Niagara Mohawk Power,
Series G
7.75%, 10/1/08 BB+ 111 119
- ------------------------------------------------------
GROUP TOTAL 369
- ------------------------------------------------------
YANKEE (2.2%)
(+) Alcoa Aluminio S.A.,
Series 96-1
7.50%, 12/16/08 BBB 160 147
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 235 221
Cable & Wireless
Communications plc
6.75%, 12/1/08 A- 150 151
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 51
7.75%, 7/15/08 A- 220 213
Glencore Nickel
Property, Ltd.
9.00%, 12/1/14 BB+ 205 176
</TABLE>
<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 $ 170 $ 142
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 325 289
(+) Hyundai
Semiconductor America
8.25%, 5/15/04 B 110 94
(+) Israel Electric Corp., Ltd.
7.25%, 12/15/06 A- 30 30
7.75%, 12/15/27 A- 140 134
Korea Development Bank
7.375%, 9/17/04 BBB- 270 264
Multicanal S.A.
Series C
10.50%, 4/15/18 BB+ 95 79
National Power Corp.
7.875%, 12/15/06 BB+ 105 96
8.40%, 12/15/16 BB+ 90 77
(+) Paiton Energy
Funding
9.34%, 2/15/14 CCC 100 17
(+) Petroliam Nasional Bhd.
7.125%, 10/18/06 BBB- 125 116
(+) Petrozuata Finance, Inc.
8.22%, 4/1/17 BB+ 305 222
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 345 325
## Republic of Argentina
Par,
Series L 'Euro'
6.00%, 3/31/23 BB 180 125
# Republic of Argentina
Par,
Series L B
7.33%, 3/31/23 BB 200 138
Republic of Colombia
8.70%, 2/15/16 BBB- 220 178
10.875%, 3/9/04 BBB- 35 36
Rogers Cablesystems Ltd.,
Series B
10.00%, 3/15/05 BB+ 80 90
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 25 26
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB 460 361
- ------------------------------------------------------
GROUP TOTAL 3,798
- ------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $64,228) 64,028
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 122
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL FIXED INCOME (2.1%)
- ------------------------------------------------------
FIXED INCOME SECURITIES (2.1%)
- ------------------------------------------------------
AUSTRALIAN DOLLAR (0.0%)
Federal National Mortgage
Association Global
6.50%, 7/10/02 Agy AUD 85 $ 56
- ------------------------------------------------------
BRITISH POUND (0.2%)
United Kingdom Treasury
Bill
8.00%, 6/10/03 AAA GBP 30 54
8.50%, 7/16/07 AAA 165 336
- ------------------------------------------------------
GROUP TOTAL 390
- ------------------------------------------------------
CANADIAN DOLLAR (0.1%)
Government of Canada
7.50%, 3/1/01 AAA CAD 205 142
9.75%, 6/1/21 AAA $ 15 16
- ------------------------------------------------------
GROUP TOTAL 158
- ------------------------------------------------------
DANISH KRONE (0.1%)
Kingdom of Denmark
8.00%, 5/15/03 AAA DKK 160 27
9.00%, 11/15/00 AAA 600 95
- ------------------------------------------------------
GROUP TOTAL 122
- ------------------------------------------------------
EURO (1.2%)
Government of France O.A.T.
8.50%, 10/25/19 AAA EUR 140 224
Government of Germany
5.75%, 8/22/00 AAA 201 225
+ 6.00%, 1/4/07 Aaa 28 35
6.25%, 1/4/24 AAA 170 217
6.50%, 7/4/27 AAA 102 135
7.125%, 1/29/03 AAA 87 107
7.50%, 9/9/04 AAA 138 178
8.375%, 5/21/01 AAA 153 184
7.125% 4/12/200 AAA 89 114
+ Kredit fuer Wiederaufbau
5.00%, 1/4/09 Aaa 38 44
Republic of Italy BTPS
9.50%, 2/1/06 AA 68 98
10.00%, 8/1/03 AA 160 218
- ------------------------------------------------------
GROUP TOTAL 1,779
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
GREEK DRACHMA (0.0%)
Hellenic Republic
8.80%, 6/19/07 A GRD 14,500 $ 56
- ------------------------------------------------------
JAPANESE YEN (0.5%)
European Investment Bank
3.00%, 9/20/06 AAA JPY 4,000 38
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA $30,000 279
+ Federal National
Mortgage Association,
Series E
1.75%, 3/26/08 Aaa 10,000 86
+ Government of Japan
0.90%, 12/22/08 Aa 25,000 194
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 41,000 395
- ------------------------------------------------------
GROUP TOTAL 992
- ------------------------------------------------------
SOUTH AFRICAN RAND (0.0%)
Republic of South Africa
13.00%, 8/31/10 BBB+ ZAR 225 33
- ------------------------------------------------------
SWEDISH KRONA (0.1%)
Swedish Government
6.00%, 2/9/05 AAA SEK 500 68
13.00%, 6/15/01 AA+ 500 73
- ------------------------------------------------------
GROUP TOTAL 141
- ------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME
(Cost $3,589) 3,727
- ------------------------------------------------------
INTERNATIONAL EQUITY (3.1%)
- ------------------------------------------------------
COMMON STOCK (3.1%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
AUSTRALIA (0.4%)
News Corp., Ltd. ADR 24,700 679
- ------------------------------------------------------
BERMUDA (1.2%)
Ace Ltd. 29,500 920
XL Capital Ltd., Class A 18,300 1,112
- ------------------------------------------------------
GROUP TOTAL 2,032
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
FRANCE (0.5%)
Total S.A. ADR 15,700 $ 958
- ------------------------------------------------------
NETHERLANDS (1.0%)
Royal Dutch Petroleum Co.,
NY Shares 32,300 1,679
- ------------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $5,150) 5,348
- ------------------------------------------------------
HIGH YIELD (7.3%)
- ------------------------------------------------------
FIXED INCOME SECURITIES (7.3%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.1%)
(+) Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R $ 136 88
+(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 86 85
(+) OHA Auto Grantor Trust,
Series 97-A
11.00%, 9/15/03 BB 89 87
- ------------------------------------------------------
GROUP TOTAL 260
- ------------------------------------------------------
CABLE (0.6%)
(+) Adelphia
Communications Corp.
8.375%, 2/1/08 B+ 125 128
Series B
8.375%, 2/1/08 B+ 20 21
9.875%, 3/1/07 B+ 40 44
CSC Holdings, Inc.
9.875%, 5/15/06 BB- 250 275
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 160 172
# NTL, Inc.,
Series B
0.00%, 4/1/08 B- 150 161
Rogers Cablesystems Ltd.,
Series B
10.00%, 3/15/05 BB+ 50 56
10.125%, 9/1/12 BB+ 175 196
Rogers
Communications, Inc.
9.125%, 1/15/06 BB- 50 52
- ------------------------------------------------------
GROUP TOTAL 1,105
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
CHEMICALS (0.1%)
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- $ 150 $ 154
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 16 8
- ------------------------------------------------------
COMMERCIAL MORTGAGES (0.2%)
(+) CBM Funding Corp.,
Series 96-1B D
8.645%, 2/1/08 AA 125 124
(+)## DLJ Mortgage Acceptance
Corp.,
Series 97-CF2 S IO
0.316%, 10/15/17 N/R 3,943 86
(+) Federal Mortgage Acceptance
Corp., Loan Receivables Trust,
Series 96-B C1
7.929%, 11/1/18 N/R 97 74
- ------------------------------------------------------
GROUP TOTAL 284
- ------------------------------------------------------
COMMUNICATIONS (1.8%)
(+) American Cellular Corp.
10.50%, 5/15/08 CCC+ 100 104
(+) American Mobile
Satellite Corp.,
Series B
12.25%, 4/1/08 N/R 215 108
Dobson Communications Corp.
11.75%, 4/15/07 N/R 75 81
# Dolphin Telecommunications
0.00%, 6/1/08 CCC+ 110 57
(+) Echostar DBS Corp.
9.375%, 2/1/09 B 125 130
Esprit Telecom Group plc
11.00%, 6/15/08 B- 64 73
Globalstar LP/Capital
(+) 11.375%, 2/15/04 B 100 65
11.50%, 6/1/05 B 20 13
Hermes Europe Railtel
11.50%, 8/15/07 B 100 109
# Hyperion Telecommunications,
Inc.,
0.00%, 4/15/03 B 100 83
# Intermedia Communications,
Inc., Series B
0.00%, 7/15/07 B 275 210
Iridium Capital Corp.,
Series A
13.00%, 7/15/05 CCC+ 85 36
Level 3 Communications, Inc.
9.125%, 5/1/08 B 75 75
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Metromedia Fiber
Network, Inc.
10.00%, 11/15/08 B $ 65 $ 70
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- 340 249
0.00%, 2/15/08 B- 300 210
# NEXTLINK
Communications
0.00%, 4/15/08 B 345 221
(+) Primus
Telecommunications
Group, Inc.
11.25%, 1/15/09 B- 125 129
PSINet, Inc.,
Series B
10.00%, 2/15/05 B- 140 149
# Qwest Communications
International, Inc.
0.00%, 10/15/07 B+ 150 119
+# RCN Corp.
0.00%, 10/15/07 B3 225 152
(+)# Rhythms
NetConnections,
Inc.,
Series B
0.00%, 5/15/08 N/R 110 62
Rogers Cantel, Inc.
8.30%, 10/1/07 BB+ 75 78
RSL Communications
plc
# 0.00%, 3/15/08 B- 332 232
12.00%, 11/1/08 B- 30 34
12.25%, 11/15/06 B- 17 19
+# Viatel, Inc.
0.00%, 4/15/08 Caa1 135 83
(+) Vintage Petroleum, Inc.
9.75%, 6/30/09 B+ 50 51
# Wam!Net, Inc.
0.00%, 3/1/05 N/R 225 130
- ------------------------------------------------------
GROUP TOTAL 3,132
- ------------------------------------------------------
ENERGY (0.2%)
CMS Energy Corp.
7.50%, 1/15/28 BB 130 133
## Husky Oil Ltd.
8.90%, 8/15/28 BB+ 75 71
Snyder Oil Corp.
8.75%, 6/15/07 B+ 125 125
- ------------------------------------------------------
GROUP TOTAL 329
- ------------------------------------------------------
FOOD & BEVERAGES (0.1%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 120 116
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
GAMING (0.3%)
Harrahs Operating Co., Inc.
7.875%, 12/15/05 BB+ $ 250 $ 252
(+) Park Place Entertainment
Corp.
7.875%, 12/15/05 BB+ 100 98
Station Casinos, Inc.
(+) 8.875%, 12/1/08 B+ 135 139
10.125%, 3/15/06 B+ 100 106
- ------------------------------------------------------
GROUP TOTAL 595
- ------------------------------------------------------
HEALTH CARE (0.5%)
Columbia/HCA Healthcare
Corp.
6.91%, 6/15/05 BB+ 260 237
7.00%, 7/1/07 BB+ 120 108
7.69%, 6/15/25 BB+ 220 185
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 100 99
Tenet Healthcare Corp.
(+) 8.125%, 12/1/08 BB- 60 58
8.625%, 1/15/07 BB- 240 238
- ------------------------------------------------------
GROUP TOTAL 925
- ------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (0.3%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 180 184
HMH Properties,
Series A
7.875%, 8/1/05 BB 200 195
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 100 105
- ------------------------------------------------------
GROUP TOTAL 484
- ------------------------------------------------------
INDUSTRIAL (0.5%)
Allied Waste of North
America,
Series B
7.875%, 1/1/09 BB 100 98
American Standard Cos.
7.375%, 2/1/08 BB- 75 73
(+) Applied Power, Inc.
8.75%, 4/1/09 B+ 45 45
CEX Holdings, Inc.,
Series B
9.625%, 6/1/08 B 125 118
Geberit International
S.A.
10.125%, 4/15/07 B+ 66 83
(+) Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 75 75
Norcal Waste Systems,
Inc.
13.50%, 11/15/05 BB- 135 150
(+) Nortek, Inc.
8.875%, 8/1/08 B+ 120 123
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 125
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) R & B Falcon Corp.
9.50%, 12/15/08 BB+ $ 50 $ 44
Vencor Operating, Inc.
9.875%, 5/1/05 CCC 165 25
- ------------------------------------------------------
GROUP TOTAL 834
- ------------------------------------------------------
MEDIA & ENTERTAINMENT (0.2%)
Chancellor Media Corp.
9.00%, 10/1/08 B 150 161
Series B
8.125%, 12/15/07 B 90 91
Outdoor Systems, Inc.
8.875%, 6/15/07 B 75 80
- ------------------------------------------------------
GROUP TOTAL 332
- ------------------------------------------------------
METALS (0.2%)
(+) EES Coke Battery Co., Inc.
9.382%, 4/15/07 B+ 100 98
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B 153 185
- ------------------------------------------------------
GROUP TOTAL 283
- ------------------------------------------------------
PACKAGING (0.2%)
Norampac, Inc.
9.50%, 2/1/08 B+ 146 152
(+) Pacifica Papers,
Inc.
10.00%, 3/15/09 B+ 125 129
SD Warren Co.
12.00%, 12/15/04 B+ 130 141
Tembec Industries, Inc.
8.625%, 6/30/09 BB+ 30 30
- ------------------------------------------------------
GROUP TOTAL 452
- ------------------------------------------------------
REAL ESTATE (0.1%)
D. R. Horton, Inc.
8.00%, 2/1/09 BB 165 163
- ------------------------------------------------------
RETAIL (0.5%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 235 253
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 260 247
94-K1 A2
8.375%, 8/15/15 BB+ 100 102
HMV Media Group plc,
Series B
10.25%, 5/15/08 B 145 150
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Musicland Group, Inc.,
Series B
9.875%, 3/15/08 B- $ 120 $ 123
- ------------------------------------------------------
GROUP TOTAL 875
- ------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (1.1%)
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 280 264
# CTI Holdings S.A.
0.00%, 4/15/08 B 150 83
Global Crossing Holdings
Ltd.
9.625%, 5/15/08 B 130 145
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 100 80
Multicanal S.A.
10.50%, 2/1/07 BB- 150 134
Multicanal S.A.,
Series C
10.50%, 4/15/18 BB+ 100 83
(+) National Steel Corp.
9.875%, 3/1/09 B+ 110 113
(+) NSM Steel, Inc.
12.25%, 2/1/08 D 75 5
# Occidente y Caribe Cellular
0.00%, 3/15/04 B 185 134
Philippine Long
Distance Telephone Co.,
Series E
7.85%, 3/6/07 BB+ 150 131
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 380 213
Quezon Power Ltd.
8.86%, 6/15/17 BB+ 80 61
## Republic of Argentina
4.928%, 9/1/02 BB 85 90
Satelites Mexicanos S.A.
10.125%, 11/1/04 BB 135 108
(+) Total Access Communication
PCL (Convertible)
2.00%, 5/31/06 BBB- 50 40
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 300 249
- ------------------------------------------------------
GROUP TOTAL 1,933
- ------------------------------------------------------
TELEPHONES (0.0%)
(+) Centennial Cellular
Operating Co.
10.75%, 12/15/08 CCC+ 65 70
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 126
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.2%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- $ 135 $ 135
American Commercial
Lines LLC,
Series B
10.25%, 6/30/08 B 70 72
(+) Jet Equipment Trust,
Series 94-C1
11.79%, 6/15/13 BBB- 150 190
- ------------------------------------------------------
GROUP TOTAL 397
- ------------------------------------------------------
UTILITIES (0.1%)
AES Corp.
8.50%, 11/1/07 B+ 110 109
- ------------------------------------------------------
TOTAL HIGH YIELD (Cost $13,373) 12,840
- ------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.0%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMUNICATIONS (0.0%)
(+) Viatel, Inc. N/R 699 11
- ------------------------------------------------------
*(+) MEDIA & ENTERTAINMENT
(0.0%)
Paxson Communications
Corp. PIK N/R 309 29
- ------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $30) 40
- ------------------------------------------------------
PREFERRED STOCKS (0.4%)
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.3%)
*(+) Home Ownership
Funding Corp. N/R 600 542
- ------------------------------------------------------
COMMUNICATIONS (0.1%)
* IXC Communications, Inc.,
Series B PIK
12.5% CCC+ 95 103
- ------------------------------------------------------
MEDIA AND ENTERTAINMENT (0.0%)
*(+) Paxson
Communications Corp. N/R 741 61
- ------------------------------------------------------
TOTAL PREFERRED STOCK (Cost $674) 706
- ------------------------------------------------------
WARRANTS (0.0%)
- ------------------------------------------------------
COMMUNICATIONS (0.0%)
* American Mobile
Satellite
Corp., expiring 4/1/08 N/R 2,150 1
* Globalstar
Telecommunications
Ltd., expiring 2/15/04 N/R 125 6
*(+) Iridium World
Communications
Ltd., expiring 7/15/05 N/R 70 4
*@ Nextel
Communications,
expiring 4/25/99 N/R 75 --
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Rhythms NetConnection
expiring 5/15/08 N/R 1,000 $ 4
*(+) Wam!Net, Inc.,
expiring 3/1/05 N/R 6,750 13
- ------------------------------------------------------
GROUP TOTAL 28
- ------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.0%)
*(+)@ NSM Steel, Inc.,
expiring 4/1/08 N/R 47,482 --
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 740 13
@ Republic of Venezuela
0.00%, 4/15/20 N/R 1 --
- ------------------------------------------------------
GROUP TOTAL 13
- ------------------------------------------------------
TOTAL WARRANTS (Cost $14) 41
- ------------------------------------------------------
INTEREST RATE CAP (0.0%)-SEE NOTE A6
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
@ J.P. Morgan and Co.
terminating 10/15/99, to
receive on 10/15/99 the
excess, as measured on
10/15/98, of the 12 month
LIBOR over 6.43% multiplied
by the notional amount
(Premium Paid $32) A- $ 7,600 --
- ---------------------------------------------------
CASH EQUIVALENT (6.1%)
- ---------------------------------------------------
REPURCHASE AGREEMENT (6.1%)
Chase Securities, Inc.
4.80%, dated 3/31/99, due
4/1/99, to be repurchased
at $10,697 collateralized
by various U.S. Government
Obligation, due
4/1/99-2/28/01, valued at
$10,782 (Cost $10,696) $10,696 $ 10,696
- ---------------------------------------------------
FOREIGN CURRENCY (0.0%)
- ---------------------------------------------------
<S> <C> <C> <C>
Australian Dollar AUD 6 4
@ Brazilian Real BRL (2)-- --
Canadian Dollar CAD 13 8
Danish Krone DKK 76 11
Israeli Shekel ISS 24 6
@ New Zealand Dollar NZD (2)-- --
@ Norwegian Kroner NOK (2)-- --
Philippine Peso PHP 15 1
Singapore Dollar SGD 4 2
South African Rand ZAR 29 5
@ South Korean Won KRW (2)-- --
Swiss Franc CHF 5 4
- ---------------------------------------------------
TOTAL FOREIGN CURRENCY (Cost $41) 41
- ---------------------------------------------------
TOTAL INVESTMENTS (98.7%) (Cost $159,089) 173,533
- ---------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
124
<PAGE> 127
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (1.3%)
Cash $ 303
Cash and Foreign Currency Held as
Collateral on Futures Contracts (Cost
$22,429) 22,429
Dividends Receivable 105
Interest Receivable 985
Receivable for Withholding Tax Reclaim 14
Receivable for Investments Sold 1,606
Receivable for Forward Commitments 773
Receivable for Fund Shares Sold 116
Unrealized Gain on Forward Foreign
Currency Contracts 46
Unrealized Gain on Swap Agreements 13
Other Assets 9
Payable for Investments Purchased (2,048)
Payable for Forward Commitments (21,572)
Payable for Fund Shares Redeemed (49)
Payable for Administrative Fees (12)
Payable for Investment Advisory Fees (275)
Payable for Shareholder Servicing
Fees-Investment Class (2)
Payable for Trustees' Deferred
Compensation Plan-Note F (9)
Unrealized Loss on Futures Contracts (123)
Other Liabilities (56)
--------
2,253
- ---------------------------------------------------
NET ASSETS (100%) $175,786
- ---------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------
NET ASSETS
Applicable to 13,499,582 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $168,675
- ---------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.49
- ---------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------
NET ASSETS
Applicable to 569,741 outstanding
shares of beneficial interest
(unlimited
authorization, no par value) $ 7,111
- ---------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.48
- ---------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $150,088
Undistributed Net Investment Income
(Loss) 1,304
Undistributed Realized Net Gain (Loss) 10,185
Unrealized Appreciation (Depreciation)
on: Investment Securities 14,444
Foreign Currency (136)
Futures and Swaps (99)
- ---------------------------------------------------
NET ASSETS $175,786
- ---------------------------------------------------
</TABLE>
- ---------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 1999.
(2) Face amount is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 1999.
IO Interest Only
N/R Not rated by Moody's Investors Services, 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
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.
- --------------------------------------------------------------------------------
125
<PAGE> 128
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAP MID CAP MID CAP
VALUE EQUITY VALUE GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
Six Months Ended March 31, 1999
(In Thousands)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 23,898 $ 5,636 $ 4,175 $ 494 $ 2,701
Interest 1,450 501 1,738 933 980
- --------------------------------------------------------------------------------------------------------------------------------
Total Income 25,348 6,137 5,913 1,427 3,681
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 6,036 2,218 2,926 1,568 1,946
Administrative Fee--Note C 964 355 312 250 208
Custodian Fee--Note E 290 69 67 79 21
Audit Fee 17 9 10 8 8
Legal Fee 24 6 6 3 3
Filing & Registration Fees 34 8 17 21 19
Shareholder Servicing Fee--Investment Class
shares--Note D 16 1 -- -- 16
Distribution Fees--Adviser Class shares--Note D 401 1 -- 130 8
Other Expenses 138 27 30 16 43
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 7,920 2,694 3,368 2,075 2,272
- --------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (122) (62) (18) (79) (21)
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 7,798 2,632 3,350 1,996 2,251
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 17,550 3,505 2,563 (569) 1,430
- --------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 89,931 98,440 (2,164) 132,251 35,845
Futures (36,089) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 53,842 98,440 (2,163) 132,251 35,845
- --------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 225,785 131,985 78,163 94,078 44,676
Futures (2,624) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 223,161 131,985 78,163 94,078 44,676
- --------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 277,003 230,425 76,000 226,329 80,521
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $294,553 $233,930 $78,563 $225,760 $81,951
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 129
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL DOMESTIC
CAP FIXED FIXED HIGH
GROWTH INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------
Six Months Ended March 31, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 1 $ 2,611 $ 46 $ 154
Interest 14 164,644 3,930 42,550
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 15 167,255 3,976 42,704
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $ 35 9,065 229 1,586
Less: Waived Fees (22) 13 -- -- --
Administrative Fee--Note C 3 1,933 49 338
Custodian Fee--Note E 7 104 21 30
Audit Fee 10 20 7 11
Legal Fee -- 31 1 5
Filing & Registration Fees 8 66 11 22
Shareholder Servicing Fee--Investment
Class shares--Note D -- 32 -- 7
Distribution Fees--Adviser Class
shares--Note D -- 167 -- 16
Other Expenses 3 117 4 22
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 44 11,535 322 2,037
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (3) (104) (19) (30)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 41 11,431 303 2,007
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (26) 155,824 3,673 40,697
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 4,331 (29,919) (2,088) (7,782)
Foreign Currency Transactions -- 715 -- 116
Futures -- (1,027) 178 (498)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 4,331 (30,231) (1,910) (8,164)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 2,578 (52,368) (1,986) 34,611
Foreign Currency Transactions -- (723) -- 3,438
Futures and Swaps -- 228 123 2,198
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) 2,578 (52,863) (1,863) 40,247
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 6,909 (83,094) (3,773) 32,083
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $6,883 $ 72,730 $ (100) $72,780
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MORTGAGE-
CASH FIXED BACKED LIMITED
RESERVES INCOME SECURITIES DURATION
PORTFOLIO PORTFOLIO II PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Six Months Ended March 31, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ -- $ 142 $ 17 $ 58
Interest 4,511 13,657 990 7,335
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 4,511 13,799 1,007 7,393
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B $218 776 $ 46 353
Less: Waived Fees (32) 186 -- (10) 36 --
Administrative Fee--Note C 70 165 10 94
Custodian Fee--Note E 15 6 4 6
Audit Fee 5 9 7 7
Legal Fee 1 3 -- 2
Filing & Registration Fees 7 6 4 6
Other Expenses 6 12 2 8
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 290 977 63 476
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (11) (6) (1) (4)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 279 971 62 472
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 4,232 12,828 945 6,921
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 7 (2,981) (956) (2,024)
Foreign Currency Transactions -- 63 -- --
Futures and Swaps -- 832 (39) 851
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 7 (2,086) (995) (1,173)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities -- (7,379) 212 (2,464)
Foreign Currency Transactions -- (63) -- --
Futures and Swaps -- (669) 444 2,150
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) -- (8,111) 656 (314)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 7 (10,197) (339) (1,487)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $4,239 $ 2,631 $ 606 $ 5,434
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 131
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED FIXED FIXED
INCOME MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------
Six Months Ended March 31, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ -- $ -- $ 68 $ --
Interest 16,996 2,550 1,816 3,181
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 16,996 2,550 1,884 3,181
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 954 $187 131 268
Less: Waived Fees -- (69) 118 -- --
Administrative Fee--Note C 203 40 28 57
Custodian Fee--Note E 36 10 8 20
Audit Fee 14 10 10 12
Legal Fee 4 1 -- 1
Filing & Registration Fees 6 9 5 6
Other Expenses 15 66 3 7
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,232 254 185 371
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (14) (4) (1) (1)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,218 250 184 370
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 15,778 2,300 1,700 2,811
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (2,494) (229) 1,393 1,928
Foreign Currency Transactions 95 -- 1,310 2,948
Futures (1,845) 402 441 (24)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (4,244) 173 3,144 4,852
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (4,292) (68) (3,248) (6,866)
Foreign Currency Transactions (95) -- (859) (782)
Futures and Swaps 995 2,196 3 (115)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (3,392) 2,128 (4,104) (7,763)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (7,636) 2,301 (960) (2,911)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 8,142 $4,601 $ 740 $ (100)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $1 and $12 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 132
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MULTI-MARKET MULTI-
DURATION FIXED INCOME BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------
Six Months Ended March 31, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 21 $ 16 $ 1,575 $ 586
Interest 3,518 3,903 6,709 2,575
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 3,539 3,919 8,284 3,161
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 204 217 981 $578
Less: Waived Fees -- -- -- (26) 552
Administrative Fee--Note C 43 39 175 71
Custodian Fee--Note E 2 6 32 37
Audit Fee 7 9 16 16
Legal Fee 1 1 3 1
Filing & Registration Fees 6 3 13 8
Shareholder Servicing Fee--Investment
Class shares--Note D -- -- 1 5
Distribution Fees--Adviser Class
shares--Note D -- -- 33 --
Other Expenses 4 3 48 11
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 267 278 1,302 701
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (2) (1) (26) (1)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 265 277 1,276 700
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 3,274 3,642 7,008 2,461
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (806) (265) 15,485 9,453
Foreign Currency Transactions (11) (208) 31 300
Futures 174 45 92 780
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (643) (428) 15,608 10,533
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities (1,463) (69) 44,104 14,600
Foreign Currency Transactions -- 231 (32) (164)
Futures and Swaps 80 (2) (135) 61
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) (1,383) 160 43,937 14,497
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (2,026) (268) 59,545 25,030
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 1,248 $3,374 $66,553 $27,491
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $15 and $11 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.
- --------------------------------------------------------------------------------
130
<PAGE> 133
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 63,524 $ 17,550 $ 10,969 $ 3,505 $ 6,115 $ 2,563
Realized Net Gain (Loss) 453,240 53,842 245,032 98,440 117,795 (2,163)
Change in Unrealized
Appreciation (Depreciation) (1,045,358) 223,161 (254,737) 131,985 (285,570) 78,163
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (528,594) 294,553 1,264 233,930 (161,660) 78,563
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (62,553) (11,942) (12,881) (4,390) (5,031) (2,892)
Realized Net Gain (306,482) (346,188) (356,453) (222,761) (118,223) (101,623)
INVESTMENT CLASS:
Net Investment Income (484) (120) (20) (9) -- --
Realized Net Gain (2,354) (3,540) (597) (609) -- --
ADVISER CLASS +:
Net Investment Income (5,679) (1,312) (1) (2) -- --
Realized Net Gain (27,923) (52,186) -- (124) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (405,475) (415,288) (369,952) (227,895) (123,254) (104,515)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 752,802 212,144 125,772 64,543 114,435 115,601
In Lieu of Cash Distributions 313,748 311,252 360,707 218,164 121,720 103,439
Redeemed (1,493,928) (1,250,395) (558,392) (322,590) (131,908) (96,638)
INVESTMENT CLASS: --
Issued 12,467 1,715 242 122 -- --
In Lieu of Cash Distributions 1,920 2,690 615 616 -- --
Redeemed (11,550) (14,847) (510) (1,668) -- --
ADVISER CLASS +:
Issued 292,374 26,953 460 571 -- 370
In Lieu of Cash Distributions 29,311 48,160 1 126 -- --
Redeemed (98,912) (103,933) (44) (9) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (201,768) (766,261) (71,149) (40,125) 104,247 122,772
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (1,135,837) (886,996) (439,837) (34,090) (180,667) 96,820
NET ASSETS:
Beginning of Period 3,773,872 2,638,035 1,314,901 875,064 897,396 716,729
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $2,638,035 $1,751,039 $875,064 $840,974 $716,729 $813,549
=================================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ 13,250 $ 17,426 $ 2,137 $ 1,241 $ 2,975 $ 2,646
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 40,398 14,109 5,161 3,147 5,384 6,734
In Lieu of Cash Distributions 17,599 22,148 17,555 12,397 6,169 6,346
Shares Redeemed (80,941) (84,566) (24,600) (15,964) (6,231) (5,663)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (22,944) (48,309) (1,884) (420) 5,322 7,417
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 659 110 11 6 -- --
In Lieu of Cash Distributions 107 191 30 35 -- --
Shares Redeemed (613) (989) (22) (87) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 153 (688) 19 (46) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 15,459 1,774 20 30 -- 23
In Lieu of Cash Distributions 1,645 3,432 -- 7 -- --
Shares Redeemed (5,498) (6,975) (2) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 11,606 (1,769) 18 37 -- 23
================================================================================================================================
</TABLE>
+ The Equity Portfolio and the Small Cap Value Portfolio began offering Adviser
Class shares on January 16, 1998 and January 22, 1999, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP SMALL CAP
GROWTH VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
June 30,
Year Ended Six Months Year Ended Six Months 1998* to Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ (674) $ (569) $ 1,401 $ 1,430 $ (4) $ (26)
Realized Net Gain (Loss) 102,056 132,251 27,317 35,845 (176) 4,331
Change in Unrealized
Appreciation (Depreciation) (104,691) 94,078 (79,622) 44,676 (319) 2,578
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (3,309) 225,760 (50,904) 81,951 (499) 6,883
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income -- (2) (439) (1,451) -- --
Realized Net Gain (66,908) (77,567) (24,048) (31,726) -- --
INVESTMENT CLASS:
Net Investment Income -- -- (13) (32) -- --
Realized Net Gain -- -- (915) (1,377) -- --
ADVISER CLASS+:
Net Investment Income -- -- -- (8) -- --
Realized Net Gain (316) (14,328) -- (355) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (67,224) (91,897) (25,415) (34,949) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 273,476 195,545 307,936 134,235 3,618 16,746
Issued due to
Reorganization--Note L -- -- 43,226 -- -- --
In Lieu of Cash Distributions 64,517 71,047 23,811 31,686 -- --
Redeemed (291,506) (208,414) (102,105) (110,875) (115) (947)
INVESTMENT CLASS:
Issued -- -- 24,500 1,795 -- --
In Lieu of Cash Distributions -- -- 918 1,251 -- --
Redeemed -- -- (5,250) (1,060) -- --
ADVISER CLASS+:
Issued 73,812 86,700 269 3,590 -- --
Issued due to
Reorganization--Note L -- -- 7,086 -- -- --
In Lieu of Cash Distributions 310 14,192 -- 363 -- --
Redeemed (17,226) (13,086) (1,235) (2,300) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 103,383 145,984 299,156 58,685 3,503 15,799
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 32,850 279,847 222,837 105,687 3,004 22,682
NET ASSETS:
Beginning of Period 448,163 481,013 221,498 444,335 -- 3,004
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $481,013 $760,860 $444,335 $550,022 $3,004 $25,686
=================================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ -- $ (571) $ 1,259 $ 1,198 $ -- $ (26)
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 12,802 9,395 14,975 6,909 363 979
Shares Issued due to
Reorganization--Note L -- -- 1,981 -- -- --
In Lieu of Cash Distributions 3,693 3,801 1,280 1,662 -- --
Shares Redeemed (13,871) (9,703) (5,123) (5,696) (12) (66)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 2,624 3,493 13,113 2,875 351 913
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 1,195 93 -- --
In Lieu of Cash Distributions -- -- 49 66 -- --
Shares Redeemed -- -- (256) (53) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- 988 106 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS+:
Shares Issued 3,486 4,059 14 184 -- --
Shares Issued due to
Reorganization--Note L -- -- 325 -- -- --
In Lieu of Cash Distributions 18 764 -- 19 -- --
Shares Redeemed (806) (627) (68) (117)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 2,698 4,196 271 86 -- --
=================================================================================================================================
</TABLE>
+ The Mid Cap Value Portfolio began offering Adviser Class shares on July 17,
1998.
* Commencement of Operations
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 135
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
===============================================================================================
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 269,463 $ 155,824 $ 5,183 $ 3,673 $ 55,020 $ 40,697
Realized Net Gain (Loss) 96,110 (30,231) 2,147 (1,910) 18,260 (8,164)
Change in Unrealized
Appreciation (Depreciation) (53,419) (52,863) 266 (1,863) (86,841) 40,247
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 312,154 72,730 7,596 (100) (13,561) 72,780
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (236,264) (136,916) (6,010) (1,994) (48,720) (34,227)
Realized Net Gain (49,292) (112,821) (907) (2,430) (14,043) (17,535)
INVESTMENT CLASS:
Net Investment Income (1,481) (1,374) -- -- (867) (397)
Realized Net Gain (297) (1,138) -- -- (243) (168)
ADVISER CLASS:
Net Investment Income (5,636) (3,826) -- -- (744) (389)
Realized Net Gain (1,121) (3,280) -- -- (180) (185)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (294,091) (259,355) (6,917) (4,424) (64,797) (52,901)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 1,950,102 552,875 18,578 108,583 459,733 378,399
In Lieu of Cash
Distributions 247,290 229,198 5,689 4,146 45,671 36,134
Redeemed (809,245) (576,999) (45,858) (25,730) (250,421) (171,639)
INVESTMENT CLASS:
Issued 50,811 14,890 -- -- 9,943 3,408
In Lieu of Cash
Distributions 1,337 1,981 -- -- 756 521
Redeemed (13,110) (26,624) -- -- (9,038) (7,454)
ADVISER CLASS:
Issued 76,130 19,334 -- 912 20,784 15,773
In Lieu of Cash
Distributions 4,436 5,276 -- -- 805 508
Redeemed (26,749) (13,009) -- (172) (14,409) (11,591)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 1,481,002 206,922 (21,591) 87,739 263,824 244,059
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,499,065 20,297 (20,912) 83,215 185,466 263,938
NET ASSETS:
Beginning of Period 3,306,197 4,805,262 96,954 76,042 539,142 724,608
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $4,805,262 $4,825,559 $76,042 $159,257 $724,608 $988,546
=================================================================================================================================
Undistributed net investment
income (loss) included in
end of period net assets $ 70,218 $ 83,926 $ 722 $ 2,401 $ 16,074 $ 21,758
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 161,426 46,801 1,653 9,744 47,739 42,225
In Lieu of Cash
Distributions 20,656 19,492 514 376 4,720 4,139
Shares Redeemed (66,995) (48,776) (4,095) (2,334) (25,893) (19,227)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class
Shares Outstanding 115,087 17,517 (1,928) 7,786 26,566 27,137
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 4,202 1,263 -- -- 1,014 389
In Lieu of Cash
Distributions 112 168 -- -- 78 59
Shares Redeemed (1,089) (2,263) -- -- (916) (834)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 3,225 (832) -- -- 176 (386)
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued 6,305 1,632 -- 84 2,125 1,771
In Lieu of Cash
Distributions 370 448 -- -- 83 58
Shares Redeemed (2,211) (1,099) -- (16) (1,495) (1,275)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 4,464 981 -- 68 713 554
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
MORTGAGE-
CASH FIXED BACKED
RESERVES INCOME SECURITIES
PORTFOLIO PORTFOLIO II PORTFOLIO
------------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 6,810 $ 4,232 $ 20,027 $ 12,828 $ 2,683 $ 945
Realized Net Gain (Loss) 7 8,000 (2,086) 801 (995)
Change in Unrealized
Appreciation (Depreciation) -- -- 1,693 (8,111) (1,284) 656
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 6,810 4,239 29,720 2,631 2,200 606
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (6,810) (4,236) (17,747) (11,026) (2,821) (1,273)
Realized Net Gain -- -- (2,552) (9,302) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,810) (4,236) (20,299) (20,328) (2,821) (1,273)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 443,318 288,963 253,821 15,672 3,623 2,128
In Lieu of Cash
Distributions 6,171 3,736 15,405 17,541 1,749 1,130
Redeemed (379,725) (269,519) (61,386) (45,225) (14,164) (10,253)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 69,764 23,180 207,840 (12,012) (8,792) (6,995)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 69,764 23,183 217,261 (29,709) (9,413) (7,662)
NET ASSETS:
Beginning of Period 98,464 168,228 226,662 443,923 38,085 28,672
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 168,228 $ 191,411 $ 443,923 $ 414,214 $ 28,672 $ 21,010
=================================================================================================================================
Undistributed net investment
income (loss) included in
end of period net assets $ -- $ (4) $ 6,124 $ 7,926 $ 735 $ 407
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 443,316 288,964 22,215 1,387 342 204
In Lieu of Cash
Distributions 6,171 3,736 1,362 1,556 167 110
Shares Redeemed (379,724) (269,519) (5,375) (3,967) (1,335) (1,003)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding 69,763 23,181 18,202 (1,024) (826) (689)
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 137
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
SPECIAL
LIMITED PURPOSE
DURATION FIXED INCOME MUNICIPAL
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 12,691 $ 6,921 $ 37,148 $ 15,778 $ 3,859 $ 2,300
Realized Net Gain (Loss) 186 (1,173) 14,006 (4,244) 4,194 173
Change in Unrealized
Appreciation (Depreciation) 40 (314) (12,611) (3,392) (2,429) 2,128
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 12,917 5,434 38,543 8,142 5,624 4,601
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (10,732) (9,639) (36,197) (16,609) (3,613) (2,491)
Realized Net Gain -- -- (11,303) (14,872) -- --
INVESTMENT CLASS:
Net Investment Income -- -- (44) -- -- --
Realized Net Gain -- -- (26) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (10,732) (9,639) (47,570) (31,481) (3,613) (2,491)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 123,334 9,920 164,289 32,470 50,641 22,079
Issued due to
Reorganization--Note L -- -- -- -- -- 22,605
In Lieu of Cash Distributions 9,953 8,860 42,398 28,783 2,974 1,593
Redeemed (38,331) (69,790) (138,208) (99,958) (48,464) (16,124)
INVESTMENT CLASS:
Issued -- -- 40 -- -- --
In Lieu of Cash Distributions -- -- 71 -- -- --
Redeemed -- -- (1,339) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 94,956 (51,010) 67,251 (38,705) 5,151 30,153
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 97,141 (55,215) 58,224 (62,044) 7,162 32,263
NET ASSETS:
Beginning of Period 155,570 252,711 494,045 552,269 75,120 82,282
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $252,711 $197,496 $552,269 $490,225 $82,282 $114,545
=================================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ 3,731 $ 1,013 $ 8,848 $ 8,017 $ 317 $ 126
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 11,856 956 13,380 2,736 4,287 1,976
Shares Issued due to
Reorganization--Note L -- -- -- -- -- 1,898
In Lieu of Cash Distributions 962 857 3,481 2,439 253 133
Shares Redeemed (3,673) (6,736) (11,247) (8,336) (4,109) (1,346)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 9,145 (4,923) 5,614 (3,161) 431 2,661
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 3 -- -- --
In Lieu of Cash Distributions -- -- 6 -- -- --
Shares Redeemed -- -- (109) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- (100) -- -- --
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
135
<PAGE> 138
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
INTER-
GLOBAL NATIONAL INTERMEDIATE
FIXED INCOME FIXED INCOME DURATION
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income $ 3,594 $ 1,700 $ 6,737 $ 2,811 $ 6,312 $ 3,274
Realized Net Gain (Loss) (1,107) 3,144 (1,275) 4,852 1,767 (643)
Change in Unrealized
Appreciation (Depreciation) 3,607 (4,104) 9,247 (7,763) 901 (1,383)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 6,094 740 14,709 (100) 8,980 1,248
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (2,686) (2,797) (5,448) (4,450) (5,383) (4,567)
Realized Net Gain (1,005) (1,208) (1,362) (2,919) (822) (2,363)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (3,691) (4,005) (6,810) (7,369) (6,205) (6,930)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 7,414 4,824 20,599 12,266 75,860 7,897
In Lieu of Cash Distributions 3,258 3,545 6,158 6,680 3,468 4,586
Redeemed (18,734) (11,234) (37,095) (41,201) (37,331) (23,874)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (8,062) (2,865) (10,338) (22,255) 41,997 (11,391)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (5,659) (6,130) (2,439) (29,724) 44,772 (17,073)
NET ASSETS:
Beginning of Period 77,493 71,834 152,752 150,313 72,119 116,891
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $71,834 $65,704 $150,313 $120,589 $116,891 $99,818
=================================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ (8) $ (1,105) $ (3,237) $ (4,876) $ 1,816 $ 523
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 709 434 2,087 1,114 7,276 772
In Lieu of Cash Distributions 317 327 634 622 336 448
Shares Redeemed (1,795) (1,023) (3,724) (3,896) (3,551) (2,324)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (769) (262) (1,003) (2,160) 4,061 (1,104)
=================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 139
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
MULTI-MARKET MULTI-ASSET-
FIXED INCOME BALANCED CLASS
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
October 1,
1997* to Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 4,058 $ 3,642 $13,231 $ 7,008 $ 5,504 $ 2,461
Realized Net Gain (Loss) (984) (428) 42,000 15,608 14,673 10,533
Change in Unrealized
Appreciation (Depreciation) (1,313) 160 (46,784) 43,937 (20,666) 14,497
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 1,761 3,374 8,447 66,553 (489) 27,491
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (2,487) (3,745) (12,012) (5,906) (4,749) (1,956)
Realized Net Gain -- -- (38,845) (38,112) (18,905) (13,405)
In Excess of Realized Net
Gain (53) -- -- -- -- --
INVESTMENT CLASS:
Net Investment Income -- -- (77) (7) (138) (74)
Realized Net Gain -- -- (454) (45) (567) (506)
ADVISER CLASS:
Net Investment Income -- -- (908) (347) -- --
Realized Net Gain -- -- (3,340) (2,479) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,540) (3,745) (55,636) (46,896) (24,359) (15,941)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 97,376 190 96,379 37,242 23,993 7,159
Issued due to
Reorganization--Note L -- -- 4,938 -- -- --
In Lieu of Cash Distributions 2,521 1,372 50,795 43,963 21,649 14,697
Redeemed (2,056) (769) (69,316) (55,900) (29,755) (29,338)
INVESTMENT CLASS:
Issued -- -- 914 259 1,489 53
In Lieu of Cash Distributions -- -- 531 52 705 580
Redeemed -- -- (4,648) (261) (191) (187)
ADVISER CLASS:
Issued -- -- 5,523 2,435 -- --
Issued due to
Reorganization--Note L -- -- 241 -- -- --
In Lieu of Cash Distributions -- -- 4,247 2,824 -- --
Redeemed -- -- (9,570) (2,637) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 97,841 793 80,034 27,977 17,890 (7,036)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 97,062 422 32,845 47,634 (6,958) 4,514
NET ASSETS:
Beginning of Period -- 97,062 374,593 407,438 178,230 171,272
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $97,062 $97,484 $407,438 $455,072 $171,272 $175,786
=================================================================================================================================
Undistributed net investment
income (loss) included in end
of period net assets $ 1,681 $ 1,578 $ 3,496 $ 4,244 $ 873 $ 1,304
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 9,793 19 6,793 2,733 1,889 580
Shares Issued due to
Reorganization--Note L -- -- 334 -- -- --
In Lieu of Cash Distributions 253 142 3,799 3,373 1,826 1,253
Shares Redeemed (204) (78) (4,951) (4,087) (2,355) (2,387)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 9,842 83 5,975 2,019 1,360 (554)
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 64 19 115 4
In Lieu of Cash Distributions -- -- 40 4 59 50
Shares Redeemed -- -- (329) (19) (15) (15)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- (225) 4 159 39
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued -- -- 383 177 -- --
Shares Issued due to
Reorganization--Note L -- -- 16 -- -- --
In Lieu of Cash Distributions -- -- 319 217 -- --
Shares Redeemed -- -- (672) (191) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding -- -- 46 203 -- --
=================================================================================================================================
</TABLE>
* Commencement of Operations
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 140
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
VALUE PORTFOLIO ------------------------------------------------------------ March 31,
1994 1995 1996 1997++ 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.76 $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 15.16
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.31 0.30 0.34 0.34 0.16
Net Realized and Unrealized Gain (Loss) on
Investments 0.59 3.34 2.20 5.75 (3.38) 1.58
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.89 3.65 2.50 6.09 (3.04) 1.74
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.29) (0.31) (0.32) (0.30) (0.36) (0.08)
Realized Net Gain (0.73) (1.08) (1.46) (1.03) (1.81) (2.61)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.02) (1.39) (1.78) (1.33) (2.17) (2.69)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 15.16 $ 14.21
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.45% 32.58% 18.41% 41.25% (16.41%) 11.78%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $981,337 $1,271,586 $1,844,740 $3,542,772 $2,288,236 $1,458,126
Ratio of Expenses to Average Net Assets
(1) 0.61% 0.60% 0.61% 0.62% 0.60% 0.62%*
Ratio of Net Investment Income to Average
Net Assets 2.40% 2.43% 2.07% 1.93% 1.76% 1.49%*
Portfolio Turnover Rate 54% 56% 53% 46% 56% 19%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.61%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
--------------------------------------------------
May 6, Year Ended Six Months
1996** to September 30, Ended
September 30, --------------- March 31,
1996 1997++ 1998 1999
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.97 $ 15.60 $ 20.36 $15.15
- ---------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.31 0.31 0.14
Net Realized and Unrealized Gain (Loss)
on Investments 0.59 5.75 (3.38) 1.59
- ---------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 6.06 (3.07) 1.73
- ---------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.33) (0.08)
Realized Net Gain -- (1.03) (1.81) (2.61)
- ---------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) (2.14) (2.69)
- ---------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 20.36 $ 15.15 $14.19
- ---------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% (16.55%) 11.66%
- ---------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,244 $29,847 $ 24,527 $13,217
Ratio of Expenses to Average Net Assets
(2) 0.76%* 0.80% 0.75% 0.77%*
Ratio of Net Investment Income to
Average Net Assets 2.05%* 1.75% 1.62% 1.35%*
Portfolio Turnover Rate 53% 46% 56% 19%
- ---------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO
OF EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.09% N/A N/A
Ratio Including Expense Offsets 0.75%* 0.79% 0.74% 0.76%*
- --------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
------------------------------------------------
July 17, Year Ended Six Months
1996*** to September 30, Ended
September 30, ------------------ March 31,
1996 1997++ 1998 1999
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.11 $ 15.61 $ 20.35 $ 15.13
- -------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.30 0.29 0.10
Net Realized and Unrealized Gain (Loss)
on Investments 1.49 5.74 (3.38) 1.62
- -------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.50 6.04 (3.09) 1.72
- -------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.27) (0.32) (0.06)
Realized Net Gain -- (1.03) (1.81) (2.61)
- -------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.30) (2.13) (2.67)
- -------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.61 $ 20.35 $ 15.13 $ 14.18
- -------------------------------------------------------------------------------------------------
TOTAL RETURN 10.63% 40.87% (16.66%) 11.64%
- -------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 15,493 $201,253 $325,272 $ 279,696
Ratio of Expenses to Average Net Assets (2) 0.86%* 0.90% 0.85% 0.87%*
Ratio of Net Investment Income to
Average Net Assets 1.66%* 1.63% 1.52% 1.23%*
Portfolio Turnover Rate 53% 46% 56% 19%
- -----------------------------------------------------------------------------------------------------
(2) 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
Ratio Including Expense Offsets 0.85%* 0.89% 0.84% 0.86%*
- -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser 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.
- --------------------------------------------------------------------------------
138
<PAGE> 141
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
EQUITY PORTFOLIO ------------------------------------------------------------ March 31,
1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.82 $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 20.44
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.52 0.50 0.36 0.24 0.09
Net Realized and Unrealized Gain (Loss) on
Investments 0.41 4.55 3.26 8.22 (1.04) 5.25
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.85 5.07 3.76 8.58 (0.80) 5.34
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.41) (0.52) (0.50) (0.40) (0.28) (0.11)
Realized Net Gain (2.21) (1.17) (2.02) (4.40) (7.93) (5.83)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.62) (1.69) (2.52) (4.80) (8.21) (5.94)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 20.44 $ 19.84
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.11% 26.15% 16.48% 38.46% (2.66%) 29.92%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,193,017 $1,597,632 $1,442,261 $1,312,547 $872,662 $ 838,840
Ratio of Expenses to Average Net Assets (1) 0.60% 0.61% 0.60% 0.60% 0.61% 0.61%*
Ratio of Net Investment Income to Average
Net Assets 2.10% 2.39% 1.95% 1.30% 0.94% 0.79%*
Portfolio Turnover Rate 41% 67% 67% 85% 77% 61%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.59%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
------------------------------------------------ --------------------------------
April 10, Year Ended Six Months January 16, Six Months
1996** to September 30, Ended 1998*** to Ended
September 30, ---------------- March 31, September 30, March 31,
1996 1997 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31 $ 25.66 $ 29.42 $ 20.42 $ 20.50 $ 20.42
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.34 0.20 0.04 0.10 0.07
Net Realized and Unrealized Gain
(Loss) on Investments 1.24 8.17 (1.03) 5.29 (0.09) 5.25
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51 (0.83) 5.33 0.01 5.32
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35) (0.24) (0.09) (0.09) (0.08)
Realized Net Gain -- (4.40) (7.93) (5.83) -- (5.83)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75) (8.17) (5.92) (0.09) (5.91)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42 $ 20.42 $ 19.83 $ 20.42 $ 19.83
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12% (2.78%) 29.81% (0.02%) 29.75%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 113 $ 2,354 $ 2,029 $ 1,051 $ 373 $ 1,083
Ratio of Expenses to Average Net
Assets (2) 0.75%* 0.80% 0.76% 0.76%* 0.88%* 0.85%
Ratio of Net Investment Income to
Average Net Assets 1.83%* 1.12% 0.78% 0.65%* 0.65%* 0.50%*
Portfolio Turnover Rate 67% 85% 77% 61% 77% 61%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A N/A
Ratio Including Expense Offsets 0.75%* 0.80% 0.74% 0.75%* 0.82%* 0.84%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
139
<PAGE> 142
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
SMALL CAP VALUE PORTFOLIO ---------------------------------------------------- March 31,
1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.55 $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 17.37
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.16 0.19 0.18 0.15 0.16 0.05
Net Realized and Unrealized Gain (Loss) on
Investments 1.14 2.49 3.62 8.39 (4.33) 1.82
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 2.68 3.80 8.54 (4.17) 1.87
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.24) (0.14) (0.20) (0.11) (0.14) (0.07)
Realized Net Gain (0.94) (1.93) (2.24) (3.10) (3.29) (2.46)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.18) (2.07) (2.44) (3.21) (3.43) (2.53)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 17.37 $ 16.71
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 8.04% 18.39% 24.00% 48.81% (18.34%) 11.13%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $308,156 $430,368 $585,457 $897,396 $716,729 $813,173
Ratio of Expenses to Average Net Assets (1) 0.88% 0.87% 0.86% 0.86% 0.86% 0.87%*
Ratio of Net Investment Income to Average Net
Assets 0.91% 1.20% 0.99% 0.70% 0.71% 0.66%*
Portfolio Turnover Rate 162% 119% 145% 107% 163% 121%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.86%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
-----------------------
January 22,
1999**, to
March 31,
1999
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.32
- ------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Realized and Unrealized Gain (Loss) on Investments (0.61)
- ------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.61)
- ------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.71
- ------------------------------------------------------------------------------------
TOTAL RETURN (3.52)%
- ------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 376
Ratio of Expenses to Average Net Assets (1) 1.12%*
Ratio of Net Investment Income to Average Net Assets 0.28%*
Portfolio Turnover Rate 121%
- ------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 1.10%*
- ------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
140
<PAGE> 143
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
MID CAP GROWTH PORTFOLIO ------------------------------------------------ 1999
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.56 $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 18.62
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.02 0.03 0.01 (0.01) (0.03) (0.01)
Net Realized and Unrealized Gain (Loss) on
Investments (0.58) 4.21 4.70 4.75 0.24 7.60
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.56) 4.24 4.71 4.74 0.21 7.59
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.01) (0.03) (0.03) -- -- --
Realized Net Gain (1.70) (1.90) (2.75) (3.43) (3.43) (3.49)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.71) (1.93) (2.78) (3.43) (3.43) (3.49)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 18.62 $ 22.72
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (3.28%) 30.56% 28.81% 28.05% 2.00% 44.82%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $302,995 $373,547 $403,281 $446,963 $429,955 $ 603,950
Ratio of Expenses to Average Net Assets (1) 0.60% 0.61% 0.60% 0.63% 0.62% 0.62%*
Ratio of Net Investment Income to Average Net
Assets 0.12% 0.21% 0.04% (0.07%) (0.13%) (0.14%)*
Portfolio Turnover Rate 55% 129% 141% 134% 172% 119%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.60%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
-------------------------------------------------------
January 31, Year Six Months
1997** to Ended Ended
September 30, September 30, March 31,
1997 1998 1999
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04 $ 21.81 $ 18.55
- -------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) (0.03) (0.03)
Net Realized and Unrealized Gain (Loss) on Investments 4.79 0.20 7.55
- -------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77 0.17 7.52
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Realized Net Gain -- (3.43) (3.49)
- -------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (3.43) (3.49)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81 $ 18.55 $ 22.58
- -------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99% 1.79% 44.60%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200 $ 51,058 $ 156,910
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.87% 0.87%*
Ratio of Net Investment Income to Average Net Assets (0.41%)* (0.25%) (0.40%)*
Portfolio Turnover Rate 134% 172% 119%
- -------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%* 0.84% 0.85%*
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
141
<PAGE> 144
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
December 30, Year Ended September 30, Six Months
1994** to --------------------------- Ended
September 30, March 31,
MID CAP VALUE PORTFOLIO 1995 1996 1997++ 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45 $ 14.49 $ 21.80 $ 18.12
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55# 0.11 0.05 0.08 0.05
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 2.52 8.37 (1.53) 3.13
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42 (1.45) 3.18
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55) (0.10) (0.04) (0.06)
Realized Net Gain -- (1.04) (1.01) (2.19) (1.31)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59) (1.11) (2.23) (1.37)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 14.49 $ 21.80 $ 18.12 $ 19.93
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40% (6.92%) 17.90%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260 $420,555 $ 520,026
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.90% 0.90% 0.87%*
Ratio of Net Investment Income to Average Net Assets 10.13%*# 1.61% 0.28% 0.40% 0.56%*
Portfolio Turnover Rate 639%# 377% 184% 213% 129%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.88%* 0.88% 0.88% 0.88% 0.86%*
- ---------------------------------------------------------------------------------------------------------------------------------
</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 Six Months July 17, Six Months
1996*** to September 30, Ended 1998**** to Ended
September 30, ---------------- March 31, September 30, March 31,
1996 1997++ 1998++ 1999 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 13.77 $ 14.48 $ 21.75 $ 18.05 $ 21.82 $ 18.12
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.05 0.04 0.01 0.03
Net Realized and Unrealized
Gain (Loss) on Investments 0.67 8.36 (1.53) 3.12 (3.71) 3.13
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 8.37 (1.48) 3.16 (3.70) 3.16
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.09) (0.03) (0.03) -- (0.03)
Realized Net Gain -- (1.01) (2.19) (1.31) -- (1.31)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.10) (2.22) (1.34) -- (1.34)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48 $ 21.75 $ 18.05 $ 19.87 $ 18.12 $ 19.94
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05% (7.08%) 17.85% (16.96%) 17.78%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 127 $ 1,238 $18,861 $ 22,860 $ 4,919 $ 7,136
Ratio of Expenses to Average
Net Assets (2) 1.03%* 1.09% 1.05% 1.02%* 1.24%* 1.14%*
Ratio of Net Investment Income
to Average Net Assets 0.86%* 0.04% 0.25% 0.41%* 0.25%* 0.29%*
Portfolio Turnover Rate 377% 184% 213% 129% 213% 129%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A N/A
Ratio Including Expense
Offsets 1.03%* 1.07% 1.03% 1.01%* 1.17%* 1.13%*
- ---------------------------------------------------------------------------------------------------------------------------------
</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
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------
June 30, Six Months
1998** to Ended
September 30, March 31,
SMALL CAP GROWTH PORTFOLIO 1998 1999
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 8.57
- ------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.01) (0.02)
Net Realized and Unrealized Gain (Loss) on Investments (1.42) 11.78
- ------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (1.43) 11.76
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.57 $ 20.33
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN (14.30%) 137.22%
- ------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,004 $ 25,686
Ratio of Expenses to Average Net Assets (1) 1.16%* 1.23%*
Ratio of Net Investment Income (Loss) to Average Net
Assets (0.46%)* (0.72%)*
Portfolio Turnover Rate 67% 190%
- ------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 3.67%* 0.68%*
Ratio Including Expense Offsets 1.15%* 1.15%*
- ------------------------------------------------------------------------------------------------------
</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 Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------------
Six Months
FIXED INCOME PORTFOLIO Year Ended September 30, Ended
-------------------------------------------------------- March 31,
1994 1995 1996 1997++ 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.86 $ 10.93 $ 11.82 $ 11.83 $ 12.22 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.77 0.80 0.78 0.80 0.78 0.39
Net Realized and Unrealized Gain
(Loss) on Investments (1.28) 0.69 0.08 0.50 0.14 (0.21)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.51) 1.49 0.86 1.30 0.92 0.18
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.82) (0.60) (0.79) (0.78) (0.75) (0.36)
Realized Net Gain (0.47) -- (0.06) (0.13) (0.17) (0.30)
In Excess of Realized Net Gain (0.13) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.42) (0.60) (0.85) (0.91) (0.92) (0.66)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.93 $ 11.82 $ 11.83 $ 12.22 $ 12.22 $ 11.74
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.43%) 14.19% 7.63% 11.47% 7.90% 1.48%
- ---------------------------------------------------------------------------------------------------------------------------------
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 $4,650,620
Ratio of Expenses to Average Net
Assets (1) 0.49% 0.49% 0.48% 0.49% 0.48% 0.47%*
Ratio of Net Investment Income to
Average Net Assets 6.79% 7.28% 6.77% 6.73% 6.49% 6.46%*
Portfolio Turnover Rate 100% 140% 162% 179% 121% 54%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.46%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
------------------------------------------ -------------------------------------------------
October 15, Year Six Months November 7, Year Six Months
1996** to Ended Ended 1996*** to Ended Ended
September 30, September 30, March 31, September 30, September 30, March 31,
1997++ 1998++ 1999 1997++ 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 11.80 $ 12.22 $ 12.22 $ 12.04 $ 12.22 $ 12.23
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.75 0.76 0.37 0.70 0.75 0.37
Net Realized and
Unrealized Gain (Loss)
on Investments 0.40 0.14 (0.19) 0.20 0.14 (0.20)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 1.15 0.90 0.18 0.90 0.89 0.17
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.73) (0.35) (0.59) (0.71) (0.35)
Realized Net Gain (0.13) (0.17) (0.30) (0.13) (0.17) (0.30)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.90) (0.65) (0.72) (0.88) (0.65)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 12.22 $ 12.22 $ 11.75 $ 12.22 $ 12.23 $ 11.75
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 7.72% 1.48% 7.79% 7.63% 1.31%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL
DATA
Net Assets, End of
Period (Thousands) $ 9,527 $ 48,944 $ 37,274 $ 76,683 $ 131,303 $ 137,665
Ratio of Expenses to
Average Net Assets (2) 0.66%* 0.63% 0.62%* 0.77%* 0.73% 0.72%*
Ratio of Net Investment
Income to Average Net
Assets 6.57%* 6.31% 6.35%* 6.50%* 6.22% 6.20%*
Portfolio Turnover Rate 179% 121% 54% 179% 121% 54%
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL
INFORMATION ON THE
RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due
to Expense
Reimbursement/Waiver 0.12%* N/A N/A 0.01%* N/A N/A
Ratio Including Expense
Offsets 0.65%* 0.62% 0.61%* 0.76%* 0.72% 0.71%*
- ---------------------------------------------------------------------------------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
144
<PAGE> 147
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
DOMESTIC FIXED INCOME PORTFOLIO ---------------------------------------------- 1999
1994 1995 1996 1997 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.99 $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.40
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.94 0.52 0.56 0.74 0.73 0.30
Net Realized and Unrealized Gain (Loss) on
Investments (1.23) 0.87 (0.09) 0.33 0.32 (0.29)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.29) 1.39 0.47 1.07 1.05 0.01
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.95) (0.23) (0.57) (0.67) (0.79) (0.24)
Realized Net Gain (0.73) -- -- (0.02) (0.13) (0.21)
In Excess of Realized Net Gain (0.15) -- (0.04) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.83) (0.23) (0.61) (0.69) (0.92) (0.45)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.40 $ 10.96
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (2.87%) 14.33% 4.41% 10.20% 9.83% 0.10%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,521 $ 36,147 $95,362 $ 96,954 $76,042 $ 158,515
Ratio of Expenses to Average Net Assets (1) 0.50% 0.51% 0.52% 0.51% 0.51% 0.53%*
Ratio of Net Investment Income to Average Net
Assets 7.65% 6.80% 5.73% 6.48% 6.32% 5.99%*
Portfolio Turnover Rate 78% 313% 168% 217% 145% 51%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.03%*
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50% 0.49%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
----------------
March 1,
1999** to
March 31,
1999
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.85
- --------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10
Net Realized and Unrealized Gain (Loss) on Investments 0.01
- --------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.11
- --------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.96
- --------------------------------------------------------------------------------------
TOTAL RETURN 1.01%
- --------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 742
Ratio of Expenses to Average Net Assets (1) 0.76%
Ratio of Net Investment Income to Average Net Assets 16.27%*
Portfolio Turnover Rate 51%
- --------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.03%
Ratio Including Expense Offsets 0.73%
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
145
<PAGE> 148
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------
Year Ended September 30,
------------------------------------------------ Six Months
Ended
1994 1995 1996 1997++ 1998++ March 31,
HIGH YIELD PORTFOLIO 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.49 $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 8.99
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.75 0.90 0.88 0.86 0.85 0.40
Net Realized and Unrealized Gain (Loss) on
Investments (0.42) 0.19 0.28 0.87 (0.93) 0.36
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.33 1.09 1.16 1.73 (0.08) 0.76
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.69) (0.85) (0.92) (0.87) (0.82) (0.40)
Realized Net Gain (0.16) (0.08) -- (0.03) (0.26) (0.19)
In Excess of Realized Net Gain -- (0.05) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.85) (0.98) (0.92) (0.90) (1.08) (0.59)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 8.99 $ 9.16
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.57% 13.58% 13.83% 19.90% (1.17%) 8.89%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $182,969 $220,785 $289,810 $523,899 $703,110 $ 965,091
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.49% 0.51% 0.50% 0.48%*
Ratio of Net Investment Income to Average Net
Assets 9.01% 10.68% 10.04% 9.05% 8.74% 9.63%*
Portfolio Turnover Rate 112% 96% 115% 96% 75% 17%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 0.01%
Ratio Including Expense Offsets N/A 0.49% 0.48% 0.50% 0.48% 0.47%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
----------------------------------------------- ------------------------------------------
May 21, Year Ended Six Months January 31, Year Six Months
1996** to September 30, Ended 1997***to Ended Ended
September 30, -------------- March 31, September 30, September 30, March 31,
1996 1997++ 1998++ 1999 1997++ 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.06 $ 9.31 $ 10.16 $ 9.00 $ 9.39 $ 10.15 $ 8.99
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.31 0.84 0.83 0.59 0.56 0.83 0.46
Net Realized and
Unrealized Gain
(Loss) on Investments 0.16 0.88 (0.93) 0.17 0.59 (0.93) 0.28
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 0.47 1.72 (0.10) 0.76 1.15 (0.10) 0.74
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.80) (0.39) (0.39) (0.80) (0.38)
Realized Net Gain -- (0.03) (0.26) (0.19) -- (0.26) (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (1.06) (0.58) (0.39) (1.06) (0.57)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 9.31 $ 10.16 $ 9.00 $ 9.18 $ 10.15 $ 8.99 $ 9.16
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% (1.37%) 8.88% 12.63% (1.37%) 8.64%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL
DATA
Net Assets, End of
Period (Thousands) $ 5,139 $ 10,916 $11,262 $ 7,938 $ 4,327 $ 10,236 $ 15,517
Ratio of Expenses to
Average Net Assets
(2) 0.62%* 0.70% 0.65% 0.63%* 0.78%* 0.75% 0.73%*
Ratio of Net Investment
Income to Average Net
Assets 11.06%* 8.84% 8.58% 9.53%* 8.68%* 8.55% 9.44%*
Portfolio Turnover Rate 115% 96% 75% 17% 96% 75% 17%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 0.01%* N/A N/A 0.01%*
Ratio Including Expense
Offsets 0.61%* 0.69% 0.63% 0.62%* 0.76%* 0.73% 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.
- --------------------------------------------------------------------------------
146
<PAGE> 149
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
Institutional Class
----------------------------------------------------------
Six Months
Year Ended September 30, Ended
--------------------------------------------- March 31,
1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.034 0.055 0.052 0.052 0.053 0.024
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.034 0.055 0.052 0.052 0.053 0.024
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.034) (0.055) (0.052) (0.052) (0.053) (0.024)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 3.40% 5.57% 5.35% 5.32% 5.47% 0.00%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $37,933 $44,624 $78,497 $98,464 $168,228 $ 191,411
Ratio of Expenses to Average Net Assets (1) 0.32% 0.33% 0.33% 0.33% 0.32% 0.33%*
Ratio of Net Investment Income to Average Net Assets 3.70% 5.45% 5.19% 5.20% 5.33% 4.85%*
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.05%*
Ratio Including Expense Offsets N/A 0.32% 0.32% 0.32% 0.32% 0.32%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
</TABLE>
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO II
Institutional Class
-------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------ March 31,
1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.97 $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.69
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.63 0.71 0.70 0.74 0.61 0.35
Net Realized and Unrealized Gain (Loss) on
Investments (1.16) 0.71 (0.03) 0.39 0.40 (0.27)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.53) 1.42 0.67 1.13 1.01 0.08
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.67) (0.51) (0.66) (0.79) (0.66) (0.30)
Realized Net Gain (0.21) -- (0.08) (0.11) (0.12) (0.26)
In Excess of Realized Net Gain (0.14) -- (0.03) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.02) (0.51) (0.77) (0.90) (0.78) (0.56)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.69 $ 11.21
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.76%) 14.13% 6.12% 10.58% 9.23% 0.72%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $129,902 $176,945 $191,740 $226,662 $443,923 $ 414,214
Ratio of Expenses to Average Net Assets (1) 0.51% 0.51% 0.50% 0.50% 0.50% 0.47%*
Ratio of Net Investment Income to Average Net
Assets 6.07% 6.75% 6.06% 6.54% 6.19% 6.20%*
Portfolio Turnover Rate 137% 153% 165% 182% 92% 61%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.47%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
147
<PAGE> 150
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------
Year Ended September 30, Six Months
-------------------------------------------- Ended
March 31,
MORTGAGE-BACKED SECURITIES PORTFOLIO 1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.95 $ 9.95 $ 10.49 $ 10.42 $ 10.76 $ 10.56
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.72 0.68 0.91 0.81 0.38
Net Realized and Unrealized Gain (Loss) on
Investments (0.83) 0.47 (0.07) 0.16 (0.24) (0.12)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.31) 1.19 0.61 1.07 0.57 0.26
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.45) (0.65) (0.68) (0.73) (0.77) (0.45)
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) (0.45)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.95 $ 10.49 $ 10.42 $ 10.76 $ 10.56 $ 10.37
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (2.95%) 12.52% 6.10% 10.70% 5.53% 2.65%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $119,518 $49,766 $50,925 $38,085 $28,672 $ 21,010
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.50% 0.50% 0.50% 0.51%*
Ratio of Net Investment Income to Average Net Assets 5.30% 6.35% 6.46% 7.79% 6.94% 7.56%*
Portfolio Turnover Rate 220% 107% 116% 164% 168% 70%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.08%*
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------
Year Ended September 30, Six Months
------------------------------------------------ Ended
March 31,
LIMITED DURATION PORTFOLIO 1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.72 $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.54
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.56 0.58 0.62 0.59 0.32
Net Realized and Unrealized Gain (Loss) on
Investments (0.52) 0.22 (0.03) 0.08 0.03 (0.07)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.04 0.78 0.55 0.70 0.62 0.25
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.51) (0.55) (0.58) (0.59) (0.57) (0.42)
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) (0.42)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.54 $ 10.37
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.40% 7.95% 5.47% 6.98% 6.13% 2.44%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $62,775 $100,186 $123,227 $155,570 $252,711 $ 197,496
Ratio of Expenses to Average Net Assets (1) 0.41% 0.43% 0.43% 0.43% 0.42% 0.41%*
Ratio of Net Investment Income to Average Net
Assets 4.16% 5.96% 5.65% 6.15% 5.89% 5.89%*
Portfolio Turnover Rate 192% 119% 174% 130% 107% 57%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets N/A 0.42% 0.42% 0.42% 0.41% 0.40%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
# Amount is less than 0.01%
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
148
<PAGE> 151
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------
Year Ended September 30, Six Months
------------------------------------------------ Ended
March 31,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO 1994 1995 1996 1997++ 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.40 $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.33
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.80 0.91 0.83 0.85 0.84 0.39
Net Realized and Unrealized Gain (Loss) on
Investments (1.28) 0.75 0.08 0.52 0.03 (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.48) 1.66 0.91 1.37 0.87 0.20
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.78) (0.65) (0.88) (0.87) (0.85) (0.39)
Realized Net Gain (0.53) - (0.30) (0.18) (0.27) (0.37)
In Excess of Realized Net Gain (0.09) - - - - -
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.40) (0.65) (1.18) (1.05) (1.12) (0.76)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.33 $ 11.77
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.00%) 14.97% 7.74% 11.78% 7.31% 1.68%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $384,731 $390,258 $447,646 $492,784 $552,269 $ 490,225
Ratio of Expenses to Average Net Assets (1) 0.50% 0.49% 0.49% 0.49% 0.49% 0.48%*
Ratio of Net Investment Income to Average Net
Assets 6.66% 7.33% 6.75% 6.88% 6.89% 6.21%*
Portfolio Turnover Rate 100% 143% 151% 198% 105% 80%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.48%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
++ Per share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------
Year Ended September 30, Six Months
--------------------------------------------- Ended
March 31,
MUNICIPAL PORTFOLIO 1994 1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.15 $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.96
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.51 0.59 0.51 0.53 0.54 0.24
Net Realized and Unrealized Gain (Loss) on
Investments (1.01) 0.71 0.49 0.40 0.28 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.50) 1.30 1.00 0.93 0.82 0.31
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.54) (0.59) (0.52) (0.52) (0.50) (0.27)
In Excess of Net Investment Income (0.07) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.61) (0.59) (0.52) (0.52) (0.50) (0.27)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.96 $ 12.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (4.64%) 13.37% 9.46% 8.47% 7.20% 2.88%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $38,549 $36,040 $54,536 $75,120 $82,282 $ 114,545
Ratio of Expenses to Average Net Assets (1) 0.50% 0.50% 0.51% 0.51% 0.52% 0.51%*
Ratio of Net Investment Income to Average Net Assets 4.98% 5.64% 4.66% 4.70% 4.58% 4.60%*
Portfolio Turnover Rate 34% 58% 78% 54% 140% 41%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.14%*
Ratio Including Expense Offsets N/A 0.50% 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
149
<PAGE> 152
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
GLOBAL FIXED INCOME PORTFOLIO
Institutional Class
----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
-------------------------------------------- March 31,
1994 1996 1997++ 1998 1999
1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.67 $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 11.03
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.58 0.71 0.63 0.60 0.55 0.26
Net Realized and Unrealized Gain (Loss) on
Investments (0.61) 0.81 0.09 (0.22) 0.38 (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.52 0.72 0.38 0.93 0.11
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.41) (0.67) (0.71) (0.59) (0.39) (0.44)
Realized Net Gain (0.03) -- (0.05) (0.16) (0.15) (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.44) (0.67) (0.76) (0.75) (0.54) (0.63)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 11.03 $ 10.51
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.29%) 15.54% 6.83% 3.53% 9.18% 0.82%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $43,066 $55,147 $67,282 $77,493 $71,834 $65,704
Ratio of Expenses to Average Net Assets (1) 0.57% 0.58% 0.60% 0.57% 0.56% 0.53%*
Ratio of Net Investment Income to Average Net Assets 5.48% 6.34% 5.25% 5.65% 5.11% 4.89%*
Portfolio Turnover Rate 117% 118% 133% 137% 88% 32%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets N/A 0.56% 0.58% 0.57% 0.56% 0.53%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
++ Per Share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME PORTFOLIO
Institutional Class
------------------------------------------------------------------------------
April 29, Year Ended September 30, Six Months
1994** to -------------------------------------- Ended
September 30, 1995 1996 1997 1998 March 31,
1994 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.05 $ 11.01 $ 10.77 $ 10.19 $ 10.75
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.21 0.67 0.52 0.50 0.45 0.16
Net Realized and Unrealized Gain (Loss) on
Investments (0.11) 0.92 0.12 (0.44) 0.56 (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.59 0.64 0.06 1.01 0.01
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.05) (0.63) (0.80) (0.38) (0.36) (0.34)
Realized Net Gain -- -- (0.08) (0.26) (0.09) (0.22)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.05) (0.63) (0.88) (0.64) (0.45) (0.56)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.05 $ 11.01 $ 10.77 $ 10.19 $ 10.75 $ 10.20
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.01% 16.36% 6.13% 0.44% 10.38% (0.14%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $66,879 $127,882 $143,137 $152,752 $150,313 $120,589
Ratio of Expenses to Average Net Assets
(1) 0.60%* 0.54% 0.53% 0.53% 0.52% 0.52%*
Ratio of Net Investment Income to Average
Net Assets 5.83%* 6.35% 5.39% 5.27% 4.59% 3.93%*
Portfolio Turnover Rate 31% 140% 124% 107% 75% 27%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets N/A 0.54% 0.53% 0.53% 0.52% 0.52%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
150
<PAGE> 153
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
INTERMEDIATE DURATION PORTFOLIO
Institutional Class
-------------------------------------------------------------------
October 3, Year Ended September 30, Six Months
1994** to --------------------------- Ended
September 30, 1996 1997++ 1998 March 31,
1995 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.68 $ 10.28 $ 10.48 $ 10.68
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.60 0.61 0.58 0.32
Net Realized and Unrealized Gain (Loss) on
Investments 0.42 0.03 0.27 0.28 (0.21)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88 0.86 0.11
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53) (0.56) (0.43)
Realized Net Gain -- (0.38) (0.15) (0.10) (0.22)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.68) (0.66) (0.65)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48 $ 10.68 $ 10.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93% 8.57% 1.09%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119 $116,891 $99,818
Ratio of Expenses to Average Net Assets (1) 0.52%* 0.56% 0.55% 0.52% 0.49%*
Ratio of Net Investment Income to Average Net Assets 6.56%* 6.17% 5.93% 5.84% 6.04%*
Portfolio Turnover Rate 168% 251% 204% 131% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.52%* 0.52% 0.52% 0.51% 0.49%*
- ---------------------------------------------------------------------------------------------------------------------------------
</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>
MULTI-MARKET FIXED INCOME PORTFOLIO
Institutional Class
----------------------------------
October 1, Six Months
1997** to Ended
September 30, March 31,
1998 1999
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.86
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.37
Net Realized and Unrealized Gain (Loss) on Investments (0.29) (0.03)
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.27 0.34
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40) (0.38)
Realized Net Gain -- --
In Excess of Realized Net Gain (0.01) --
- ----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.41) (0.38)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.86 $ 9.82
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 2.72% 3.55%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $97,062 $97,484
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58%*
Ratio of Net Investment Income to Average Net Assets 6.48%* 7.53%*
Portfolio Turnover Rate 163% 34%
- ----------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.05%* N/A
Ratio Including Expense Offsets 0.58%* 0.57%*
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
151
<PAGE> 154
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
BALANCED PORTFOLIO Institutional Class
-----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
---------------------------------------------------- March 31,
1994 1995 1996 1997 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.84 $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 13.46
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.47 0.54 0.53 0.51 0.48 0.22
Net Realized and Unrealized Gain (Loss) on
Investments (0.45) 1.78 1.15 2.91 (0.11) 1.89
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.02 2.32 1.68 3.42 0.37 2.11
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.47) (0.50) (0.54) (0.49) (0.21)
Realized Net Gain (0.15) (0.07) (0.43) (1.39) (1.72) (1.36)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.58) (0.54) (0.93) (1.93) (2.21) (1.57)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 13.46 $ 14.00
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.19% 21.37% 13.47% 27.44% 2.85% 16.64%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $309,596 $334,630 $300,868 $343,284 $382,339 $426,060
Ratio of Expenses to Average Net Assets (1) 0.58% 0.58% 0.57% 0.58% 0.59% 0.58%*
Ratio of Net Investment Income to Average
Net Assets 4.06% 4.55% 3.85% 3.56% 3.36% 3.23%*
Portfolio Turnover Rate 75% 95% 110% 145% 100% 58%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.57%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
------------------------------------------ --------------------------------------------------
April 4, Year Six Months November 1, Year Six Months
1997** to Ended Ended 1996*** to Ended Ended
September 30, September 30, March 31, September 30, September 30, March 31,
1997 1998++ 1999 1997 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 13.11 $ 15.30 $ 13.45 $ 14.05 $ 15.30 $ 13.43
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.30 0.46 0.20 0.42 0.44 0.21
Net Realized and
Unrealized Gain (Loss)
on Investments 2.09 (0.13) 1.90 2.60 (0.12) 1.89
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 2.39 0.33 2.10 3.02 0.32 2.10
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.46) (0.20) (0.38) (0.47) (0.19)
Realized Net Gain -- (1.72) (1.36) (1.39) (1.72) (1.36)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (2.18) (1.56) (1.77) (2.19) (1.55)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 15.30 $ 13.45 $ 13.99 $ 15.30 $ 13.43 $ 13.98
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 2.56% 16.58% 23.82% 2.49% 16.58%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL
DATA
Net Assets, End of
Period (Thousands) $ 3,943 $ 445 $ 519 $27,366 $24,654 $28,493
Ratio of Expenses to
Average Net Assets (2) 0.73%* 0.74% 0.73%* 0.85%* 0.84% 0.83%*
Ratio of Net Investment
Income to Average Net
Assets 3.32%* 3.24% 3.05%* 3.24%* 3.11% 2.98%*
Portfolio Turnover Rate 145% 100% 58% 145% 100% 58%
- ---------------------------------------------------------------------------------------------------------------------------------
(2) 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 0.03%* N/A N/A
Ratio Including
Expense Offsets 0.70%* 0.72% 0.73%* 0.84%* 0.82% 0.82%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
++ 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.
- --------------------------------------------------------------------------------
152
<PAGE> 155
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 1999 are unaudited)
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS PORTFOLIO Institutional Class
----------------------------------------------------------------------------
July 29, Year Ended September 30, Six Months
1994** to ------------------------------------------ Ended
September 30, 1995 1996 1997++ 1998++ March 31,
1994 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 11.74
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.44 0.46 0.38 0.38 0.17
Net Realized and Unrealized Gain (Loss)
on Investments (0.10) 1.33 1.05 2.57 (0.45) 1.68
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 1.77 1.51 2.95 (0.07) 1.85
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.40) (0.42) (0.51) (0.34) (0.14)
Realized Net Gain -- -- (0.15) (1.08) (1.49) (0.96)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (0.40) (0.57) (1.59) (1.83) (1.10)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 11.74 $ 12.49
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (0.30%) 18.28% 13.75% 26.50% (0.46%) 16.46%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 51,877 $96,839 $129,558 $173,155 $165,039 $ 168,675
Ratio of Expenses to Average Net Assets
(1) 0.58%* 0.58% 0.58% 0.74% 0.78% 0.77%*
Ratio of Net Investment Income to
Average Net Assets 4.39%* 4.56% 3.82% 3.07% 2.98% 2.76%*
Portfolio Turnover Rate 20% 112% 122% 141% 107% 54%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.04%*
Ratio Including Expense Offsets N/A 0.58% 0.58% 0.74% 0.78% 0.78%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Commencement of Operations
</TABLE>
<TABLE>
<CAPTION>
Investment Class
----------------------------------------------------------
June 10, Year Ended September 30, Six Months
1996*** to ------------------------ Ended
September 30, March 31,
1996 1997++ 1998++ 1999
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.17 $12.27 $13.63 $ 11.74
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.36 0.36 0.16
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57 (0.45) 1.68
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93 (0.09) 1.84
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49) (0.31) (0.14)
Realized Net Gain -- (1.08) (1.49) (0.96)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57) (1.80) (1.10)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.27 $13.63 $11.74 $ 12.48
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32% (0.61%) 16.37%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,074 $5,075 $6,233 $ 7,111
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.96% 0.93% 0.92%*
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.85% 2.86% 2.61%*
Portfolio Turnover Rate 122% 141% 107% 54%
- -------------------------------------------------------------------------------------------------------------------------------
(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% 0.04%*
Ratio Including Expense Offsets 0.73%* 0.96% 0.93% 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.
- --------------------------------------------------------------------------------
153
<PAGE> 156
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940 as
an open-end investment company. At March 31, 1999, the Fund was comprised of
twenty-three active portfolios (each referred to as a "Portfolio"). The Funds
offer up to three different classes of shares for certain Portfolios --
Institutional Class shares, Investment Class shares and Adviser Class shares.
The Small Cap Value and Domestic Fixed Income Portfolios began offering Adviser
Class shares on January 22, 1999 and March 1, 1999, 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 invests in
one or more repurchase agreement. This joint repurchase agreement is
covered by the same collateral requirements as discussed above.
- --------------------------------------------------------------------------------
154
<PAGE> 157
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 fluctuation in interest rates. When a Portfolio
writes an interest rate floor, it agrees to make periodic interest payments
to the holder of the interest rate floor based on a notional principal
amount to the extent that
- --------------------------------------------------------------------------------
155
<PAGE> 158
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 in the
interest income account on the Statement of Operations. Realized gains or
losses from these agreements are disclosed in the Statement of Operations.
Because there is no organized market for these agreements, the value
reported in the Statement of Net Assets may differ from that which would be
realized in the event the Portfolio terminated its position in the
agreement. Entering into these agreements involves, to varying degrees,
elements of interest rate and market risk in excess of the amount recognized
in the Statement of Net Assets. Such risks involve the possibility that
there may be no liquid market for these agreements and that there may be
adverse changes in 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. 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
- --------------------------------------------------------------------------------
156
<PAGE> 159
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
equivalent of amounts actually received or paid.
A forward foreign currency contract is an agreement between two parties to
buy or sell currency at a set price on a future date. Each Portfolio (except
the Mid Cap Growth, Domestic Fixed Income, Cash Reserves, Mortgage-Backed
Securities, and Limited Duration Portfolios) may enter into forward foreign
currency contracts to protect securities and related receivables and
payables against future changes in foreign exchange rates. Fluctuations in
the value of such contracts are recorded as unrealized appreciation or
depreciation; realized gains or losses, which are disclosed in the Statement
of Operations, include net gains or losses on contracts which have been
terminated by settlements. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms
of their contracts and are generally limited to the amount of unrealized
gain on the contract, if any, at the date of default. Risks may also arise
from unanticipated movements in the value of the foreign currency relative
to the U.S. dollar.
At March 31, 1999, 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 possibly
lower levels of governmental supervision and regulation of foreign
securities markets and the possibility of political or economic instability.
10. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Municipal
Portfolio which are declared and paid monthly, Small Cap Value, Mid Cap
Growth, Mid Cap Value, and Small Cap Growth Portfolios which are declared
and paid annually, and Cash Reserves Portfolio which are declared daily and
paid monthly. The Limited Duration and Intermediate Duration Portfolios
declared monthly dividends from net investment income starting in January
1, 1999. 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. Perma-
- --------------------------------------------------------------------------------
157
<PAGE> 160
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
nent 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.
11. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
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. Most expenses of the Fund can be directly attributed to a
particular Portfolio. Expenses which cannot be directly attributed are
apportioned among the Portfolios on the basis of their relative net assets.
Income, expenses (other than class specific expenses) and realized and
unrealized gains or losses are allocated to each class of shares based upon
their relative net assets.
B. INVESTMENT ADVISORY FEE. Under the terms of an Investment Advisory
Agreement, each Portfolio pays Miller Anderson & Sherrerd, LLP ("MAS" or the
"Adviser"), wholly owned by indirect subsidiaries of Morgan Stanley Dean Witter
& Co., for investment advisory services performed at a fee calculated by
applying a quarterly rate based on an annual percentage rate to each
Portfolio's average daily net assets for the quarter. For the six months ended
March 31, 1999 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 -- -- --
Mid Cap Growth 0.500 -- -- --
Mid Cap Value 0.750 -- -- --
Small Cap Growth 1.000 1.15 -- --
Fixed Income 0.375 -- -- --
Domestic Fixed Income 0.375 0.50 -- 0.75
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 -- --
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.
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
- --------------------------------------------------------------------------------
158
<PAGE> 161
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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. The Chase Manhattan Bank serves as custodian for the Fund in
accordance with a custodian agreement.
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 six months ended March 31, 1999
by the Portfolios were $89,000.
Expenses for the six months ended March 31, 1999 include legal fees paid to
Morgan, Lewis & Bockius LLP. A partner of that firm is secretary of the Fund.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the six months ended March 31, 1999,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
----------------------
Portfolio Purchases Sales
--------- ---------- ----------
<S> <C> <C>
Value $ 434,272 $1,431,328
Equity 530,085 754,168
Small Cap Value 908,555 868,295
Mid Cap Growth 784,912 713,711
Mid Cap Value 652,842 625,477
Small Cap Value Growth 29,578 14,969
Fixed Income 3,553,373 3,226,894
Domestic Fixed Income 182,837 73,521
High Yield 318,390 130,839
Cash Reserves -- --
Fixed Income II 322,952 325,093
Mortgage-Backed Securities 25,023 77,162
Limited Duration 165,559 235,554
Special Purpose Fixed Income 514,900 602,014
Municipal 64,511 52,487
Global Fixed Income 20,875 20,432
International Fixed Income 33,038 52,612
Intermediate Duration 60,270 90,066
Multi-Market Fixed Income 38,876 32,962
Balanced 283,533 290,274
Multi-Asset-Class 99,397 134,499
</TABLE>
- --------------------------------------------------------------------------------
159
<PAGE> 162
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At March
31, 1999, 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 $1,859,933 $227,098 $(234,407) $ (7,309)
Equity 720,589 209,010 (29,866) 179,144
Small Cap Value 806,157 85,723 (76,159) 9,564
Mid Cap Growth 750,269 150,500 (31,882) 118,618
Mid Cap Value 542,300 41,923 (29,785) 12,138
Small Cap Growth 23,190 2,972 (713) 2,259
Fixed Income 7,008,249 46,798 (99,942) (53,144)
Domestic Fixed Income 252,098 1,436 (1,723) (287)
High Yield 992,251 28,857 (50,051) (21,194)
Cash Reserves 186,151 -- -- --
Fixed Income II 636,105 3,199 (6,069) (2,870)
Mortgage-Backed
Securities 33,626 54 (19) 35
Limited Duration 241,339 786 (895) (109)
Special Purpose Fixed
Income 664,937 7,087 (12,236) (5,149)
Municipal 144,231 4,389 (333) 4,056
Global Fixed Income 66,362 929 (2,327) (1,398)
International Fixed
Income 119,918 1,960 (3,637) (1,677)
Intermediate Duration 127,739 923 (982) (59)
Multi-Market Fixed
Income 128,759 1,724 (2,985) (1,261)
Balanced 495,833 65,727 (14,327) 51,400
Multi-Asset-Class 159,048 19,863 (5,419) 14,444
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at March 31, 1999, 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>
HIGH YIELD
Purchases
US$ 1,472 EUR 1,340 5/25/99 US$ 1,453 US$ (19)
------------
Sales
EUR 365 US$ 423 4/13/99 US$ 395 US$ 28
EUR 2,450 2,853 4/26/99 2,653 200
EUR 3,960 4,597 4/27/99 4,288 309
EUR 14,625 16,946 4/27/99 15,837 1,109
EUR 5,350 6,147 4/30/99 5,794 353
EUR 1,160 1,316 5/10/99 1,257 59
EUR 4,010 4,487 5/25/99 4,349 138
GBP 13,320 21,419 6/3/99 21,503 (84)
------------
US$ 2,112
------------
US$ 2,093
============
</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>
GLOBAL FIXED INCOME
Purchases
US$ 649 JPY 80,000 3/8/99 US$ 675 US$ 26
4,716 EUR 4,135 4/2/99 4,471 (245)
2,245 EUR 1,955 4/8/99 2,115 (130)
719 JPY 87,000 4/8/99 736 17
79 NZD 150 4/9/99 80 1
520 ECU 475 4/26/99 514 (6)
1,069 GRD 325,000 4/29/99 1,074 5
900 GBP 550 5/4/99 888 (12)
4,309 EUR 4,000 5/10/99 4,334 25
435 AUD 670 5/17/99 425 (10)
656 AUD 1,060 6/2/99 672 16
701 NZD 1,325 6/2/99 709 8
997 GBP 610 6/2/99 985 (12)
685 JPY 80,000 6/8/99 682 (3)
1,527 EUR 1,420 6/9/99 1,541 14
784 CAD 1,195 6/15/99 793 9
3,647 JPY 424,000 6/17/99 3,619 (28)
1,199 EUR 1,095 6/28/99 1,190 (9)
------------
US$ (334)
------------
Sales
JPY 80,000 US$ 668 3/8/99 US$ 676 US$ (8)
NZD 1,488 786 3/23/99 796 (10)
EUR 4,135 4,445 4/2/99 4,471 (26)
NZD 150 80 4/9/99 80 --
EUR 1,975 2,284 4/26/99 2,139 145
DKK 2,695 421 4/29/99 393 28
CHF 2,495 1,818 4/29/99 1,695 123
JPY 87,000 722 5/10/99 739 (17)
SEK 3,840 489 5/12/99 469 20
CAD 2,210 1,464 6/2/99 1,467 (3)
JPY 78,000 663 6/2/99 664 (1)
NZD 1,325 694 6/2/99 709 (15)
GBP 1,610 2,574 6/2/99 2,599 (25)
JPY 285,000 2,338 6/8/99 2,430 (92)
------------
US$ 119
------------
US$ (215)
============
INTERNATIONAL FIXED INCOME
Purchases
US$ 4,321 EUR 3,700 4/8/99 US$ 4,002 US$ (319)
8,128 EUR 7,240 4/8/99 7,832 (296)
8,695 EUR 7,815 4/8/99 8,454 (241)
6,634 JPY 803,000 4/8/99 6,783 149
8,578 JPY 1,038,000 4/8/99 8,768 190
369 NZD 695 4/9/99 372 3
2,220 GRD 675,000 4/29/99 2,231 11
3,241 GBP 1,980 5/4/99 3,197 (44)
2,649 GBP 1,620 5/5/99 2,616 (33)
1,614 AUD 2,485 5/17/99 1,577 (37)
1,424 AUD 2,300 6/2/99 1,459 35
3,433 GBP 2,100 6/2/99 3,390 (43)
1,434 NZD 2,710 6/2/99 1,451 17
2,033 EUR 1,890 6/9/99 2,051 18
2,647 CAD 4,035 6/15/99 2,678 31
4,419 EUR 4,035 6/28/99 4,385 (34)
------------
US$ (593)
------------
</TABLE>
- --------------------------------------------------------------------------------
160
<PAGE> 163
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
---------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- -------- --------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C> <C>
Sales
NZD 695 US$ 370 4/9/99 US$ 372 US$ (2)
EUR 6,690 7,787 4/26/99 7,244 543
SEK 6,940 899 4/26/99 847 52
CHF 4,650 3,389 4/29/99 3,159 230
EUR 2,230 2,575 4/30/99 2,415 160
SEK 5,130 654 5/12/99 627 27
CAD 885 586 6/2/99 587 (1)
JPY 170,000 1,444 6/2/99 1,448 (4)
NZD 2,710 1,419 6/2/99 1,451 (32)
GBP 6,885 11,009 6/2/99 11,115 (106)
GBP 505 813 6/3/99 815 (2)
JPY 335,000 2,746 6/8/99 2,856 (110)
------------
US$ 755
------------
US$ 162
============
MULTI-MARKET FIXED INCOME
Purchases
US$ 2,887 EUR 2,595 4/8/99 US$ 2,807 US$ (80)
16 NZD 30 4/9/99 16 --
487 AUD 750 5/17/99 476 (11)
486 AUD 785 6/2/99 498 12
238 NZD 450 6/2/99 241 3
484 EUR 450 6/9/99 488 4
------------
US$ (72)
------------
Sales
NZD 30 US$ 16 4/9/99 US$ 16 US$ --
EUR 75 87 4/13/99 81 6
EUR 1,140 1,282 4/26/99 1,234 48
EUR 1,245 1,445 4/27/99 1,348 97
CHF 1,350 984 4/29/99 917 67
JPY 160,000 1,330 6/1/99 1,363 (33)
CAD 2,315 1,533 6/2/99 1,537 (4)
JPY 58,000 493 6/2/99 494 (1)
NZD 450 236 6/2/99 241 (5)
GBP 1,040 1,663 6/2/99 1,679 (16)
GBP 510 821 6/3/99 824 (3)
------------
US$ 156
------------
NET US$ 84
============
MULTI-ASSET-CLASS
Purchases
US$ 522 JPY 59,668 1/29/99 US$ 504 US$ (18)
359 EUR 320 4/8/99 346 (13)
86 EUR 80 4/20/99 87 1
72 GRD 22,000 4/29/99 72 --
123 GBP 75 5/4/99 121 (2)
29 AUD 45 5/17/99 29 --
43 AUD 70 6/2/99 44 1
25 GBP 15 6/2/99 24 (1)
45 NZD 85 6/2/99 46 1
22 EUR 20 6/9/99 22 --
89 CAD 135 6/15/99 90 1
------------
US$ (30)
------------
</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>
Sales
JPY 59,668 US$ 524 1/29/99 US$ 504 US$ 20
EUR 80 94 4/20/99 87 7
EUR 30 35 4/26/99 32 3
EUR 165 192 4/26/99 179 13
EUR 90 105 4/27/99 98 7
EUR 225 261 4/27/99 243 18
CHF 135 99 4/29/99 92 7
EUR 145 167 4/30/99 157 10
SEK 355 45 5/12/99 43 2
JPY 11,000 91 6/1/99 93 (2)
CAD 65 43 6/2/99 43 --
JPY 5,000 42 6/2/99 42 --
NZD 85,000 45 6/2/99 46 (1)
GBP 135 216 6/2/99 218 (2)
GBP 100 160 6/3/99 161 (1)
JPY 15,000 123 6/8/99 128 (5)
------------
US$ 76
------------
NET US$ 46
============
</TABLE>
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DKK -- Danish Krone
EUR -- European Currency Unit
GBP -- British Pound
GRD -- Greek Drachma
JPY -- Japanese Yen
NZD -- New Zealand Dollar
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At March 31, 1999, 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:
FIXED INCOME
Municipal Bond
Index 1,070 US$ 132,245 Jun-99 759
U.S. Treasury 5 yr.
Note 175 US$ 19,502 Jun-99 88
U.S. Treasury Long
Bond 593 US$ 71,494 Jun-99 (1,120)
DOMESTIC FIXED
INCOME
Municipal Bond
Index 18 US$ 2,225 Jun-99 13
U.S. Treasury 5 yr.
Note 5 US$ 557 Jun-99 --
FIXED INCOME II
Municipal Bond
Index 105 US$ 12,977 Jun-99 74
LIMITED DURATION
U.S. Treasury 2 yr.
Note 155 US$ 32,519 Jun-99 (15)
U.S. Treasury 5 yr.
Note 40 US$ 4,458 Jun-99 (21)
SPECIAL PURPOSE
FIXED INCOME
Municipal Bond
Index 131 US$ 16,191 Jun-99 93
U.S. Treasury Long
Bond 251 US$ 30,261 Jun-99 (474)
MUNICIPAL
Municipal Bond
Index 164 US$ 20,269 Jun-99 266
</TABLE>
- --------------------------------------------------------------------------------
161
<PAGE> 164
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
GLOBAL FIXED INCOME
Japanese Yen 10 yr.
Bond 1 JPY 1,096 Jun-99 28
U.S. Treasury Long
Bond 25 US$ 3,014 Jun-99 (47)
INTERNATIONAL FIXED
INCOME
Japanese Yen 10 yr.
Bond 12 JPY 1,590,000 Jun-99 338
Italian 10 yr. LIF 61 EUR 6,915 Jun-99 (72)
INTERMEDIATE
DURATION
U.S. Treasury 2 yr.
Note 23 US$ 4,825 Jun-99 (6)
U.S. Treasury 5 yr.
Note 183 US$ 20,393 Jun-99 (122)
U.S. Treasury 10
yr. Note 39 US$ 4,473 Jun-99 17
Municipal Bond
Index 28 US$ 3,461 Jun-99 20
BALANCED
Municipal Bond
Index 48 US$ 5,933 Jun-99 34
U.S. Treasury Long
Bond 114 US$ 13,744 Jun-99 (215)
MULTI-ASSET CLASS
U.S. Long Bond 6 US$ 723 Jun-99 (11)
Hang Seng Index 14 JPY 7,627 Apr-99 8
Euro Future 77 EUR 3,196 Jun-99 86
IBEX Plus Index 13 EUR 1,260 Apr-99 (77)
MIB 30 Index 17 EUR 3,112 Jun-99 (25)
Municipal Bond
Index 15 US$ 1,854 Jun-99 11
Nikkei 225 Index 61 JPY 960,750 Jun-99 72
OMX Index 81 SEK 5,980 Apr-99 15
DAX Index 32 EUR 3,893 Jun-99 (222)
FTSE 100 Index 29 EUR 1,831 Jun-99 20
Sales:
VALUE S&P 500 Index 295 US$ 95,381 Jun-99 994
FIXED INCOME
90 Day Euro 62 US$ 14,664 Jun-99-
Mar-01 (162)
U.S. Treasury 2 yr.
Note 379 US$ 79,513 Jun-99 87
U.S. Treasury 10
yr. Note 356 US$ 40,829 Jun-99 151
DOMESTIC FIXED
INCOME
U.S. Treasury 2 yr.
Note 26 US$ 5,455 Jun-99 6
U.S. Treasury Long
Bond 72 US$ 8,681 Jun-99 96
HIGH YIELD
U.K. Long Gilt 76 GBP 14,390 Jun-99 164
U.S. Treasury Long
Bond 170 US$ 20,496 Jun-99 462
FIXED INCOME II
U.S. Treasury 5 yr.
Note 148 US$ 16,493 Jun-99 102
U.S. Treasury 10
yr. Note 10 US$ 1,147 Jun-99 7
U.S. Treasury 10
yr. Note 22 US$ 2,652 Jun-99 5
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
MORTGAGE-BACKED
SECURITIES
U.S. Treasury Long
Bond 21 US$ 2,532 Jun-99 (5)
LIMITED DURATION
U.S. Treasury 10
yr. Note 280 US$ 32,113 Jun-99 181
U.S. Treasury Long
Bond 23 US$ 2,773 Jun-99 63
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 10
yr. Note 50 US$ 5,734 Jun-99 34
MUNICIPAL
U.S. Treasury 10
yr. Note 177 US$ 20,300 Jun-99 141
U.S. Treasury Long
Bond 213 US$ 25,680 Jun-99 446
GLOBAL FIXED INCOME
U.S. Treasury 5 yr.
Note 45 US$ 5,015 Jun-99 31
U.S. Treasury 10
yr. Note 49 US$ 5,620 Jun-99 47
INTERNATIONAL FIXED
INCOME
U.S. Treasury 10
yr. Note 23 US$ 2,638 Jun-99 23
INTERMEDIATE
DURATION
U.S. Treasury Long
Bond 144 US$ 17,361 Jun-99 347
MULTI-MARKET FIXED
INCOME
U.K. Long Guilt 1 GBP 189 Jun-99 2
U.S. Treasury 2 yr.
Note 30 US$ 6,294 Jun-99 7
U.S. Treasury 5 yr.
Note 20 US$ 2,229 Jun-99 14
U.S. Treasury Long
Bond 10 US$ 1,206 Jun-99 2
BALANCED
U.S. Treasury 5 yr.
Note 10 US$ 1,114 Jun-99 (7)
U.S. Treasury 10
yr. Note 47 US$ 5,390 Jun-99 24
MULTI-ASSET CLASS
U.S. Treasury 10
yr. Note 17 US$ 1,950 Jun-99 11
</TABLE>
<TABLE>
<S> <C> <C>
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
- --------------------------------------------------------------------------------
162
<PAGE> 165
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
5. SWAP AGREEMENTS: At March 31, 1999, 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. $732
$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. 115
$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. 328
$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. 20
$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. (504)
$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. (937)
---------
$(246)
=========
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. $24
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. 2
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- ---------------------------------------------------------------
<C> <S> <C>
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. $10
--------
$36
========
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. $54
$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. 9
$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. 48
---------
$111
=========
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. $6
$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. 15
--------
$21
========
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. $122
$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. 13
</TABLE>
- --------------------------------------------------------------------------------
163
<PAGE> 166
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- ---------------------------------------------------------------
<C> <S> <C>
$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. $34
---------
$169
=========
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. $1
$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. 2
-------
$3
=======
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. $3
$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. 17
--------
$20
========
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. $3
$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. 5
-------
$8
=======
</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. $34
$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. 5
$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. 12
--------
$51
========
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. $7
$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. 2
$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. 4
--------
$13
========
</TABLE>
LIBOR -- London Interbank Offer Rate
- --------------------------------------------------------------------------------
164
<PAGE> 167
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
H. CAPITAL LOSS CARRY FORWARD. At March 31, 1999, the following Portfolios had
available for Federal income tax purposes unused capital losses, all of which
will expire on the indicated dates:
<TABLE>
<CAPTION>
Expiration Date
September 30,
(000)
---------------
Portfolio 2003 2004
--------- ------ -----
<S> <C> <C>
Mortgage-Backed Securities $1,753 $ --
Limited Duration 3,735 172
Municipal -- 73
</TABLE>
I. IN-KIND TRANSACTIONS. For the six months ended March 31, 1999, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
--------- -------
<S> <C>
Value $ 990
Fixed Income (258)
International Fixed Income (640)
</TABLE>
J. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the six months ended March 31,
1999, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
--------- -------------
<S> <C>
Value $ 87
Equity 58
Mid Cap Growth 268
Fixed Income 364
Domestic Fixed Income 4
Fixed Income II 21
Special Purpose Fixed Income 11
Balanced 23
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at March 31,
1999, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
--------- ---------- ----------
<S> <C> <C>
Value $101,132 $105,659
Equity 60,505 62,008
Mid Cap Growth 114,705 116,837
Fixed Income 321,871 327,958
Domestic Fixed Income 9,502 9,700
Fixed Income II 52,252 53,322
Special Purpose Fixed
Income 24,980 25,506
Balanced 24,602 25,095
</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 $354,000 and $177,000 respectively, for the six months ended March 31,
1999.
K. OTHER. At March 31, 1999, 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 Portfolio are insured by certain
companies specializing in the insurance of municipal debt obligations. At March
31, 1999, approximately 74.7% of the net assets of the Municipal Portfolio are
covered by such insurance. Listed below are the insurers that insure
obligations constituting more than 10% of the Portfolios' net assets:
<TABLE>
<CAPTION>
Municipal
---------
<S> <C>
AMBAC 16.3%
FGIC 17.9
FSA 24.9
MBIA 14.6
</TABLE>
At March 31, 1999, 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.
- --------------------------------------------------------------------------------
165
<PAGE> 168
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 20.1% 41.5% 70.6%
Equity -- 99.9 94.4
Small Cap Value 10.5 -- 95.4
Mid Cap Growth 36.8 -- 86.3
Mid Cap Value 11.4 69.5 95.4
Small Cap Growth 44.6 -- --
Fixed Income -- 45.1 74.4
Domestic Fixed Income 52.3 -- 100.0
High Yield -- 89.6 77.8
Cash Reserves 44.2 -- --
Fixed Income II 29.3 -- --
Mortgage-Backed
Securities 88.6 -- --
Limited Duration 24.0 -- --
Special Purpose Fixed
Income -- -- --
Municipal 26.5 -- --
Global Fixed Income 64.6 -- --
International Fixed
Income 45.2 -- --
Intermediate Duration 52.6 -- --
Multi-Market Fixed
Income 82.2 -- --
Balanced 29.3 91.1 93.8
Multi-Asset-Class 33.3 94.6 --
</TABLE>
L. 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 Total Net
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>
Mid Cap MSIF Small Cap
Value Value Equity $50,312 $500,983 $551,295 $5,387
Balanced MSIF Balanced 5,179 456,995 462,174 586
</TABLE>
On December 4, 1998, the Municipal Portfolio, as listed below ("Acquiring
Fund"), acquired substantially all of the assets and liabilities of the PA
Municipal Portfolio, also listed below ("Acquired Fund"), in a tax-free
reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan
of reorganization approved by the Trustees' and shareholders of the Acquired
Fund. The net assets of the PA Municipal Portfolio Institutional Class shares
were exchanged for 1,898,026 Institutional Class shares of the Municipal
Portfolio. Net assets as of the reorganization date were as follows:
<TABLE>
<CAPTION>
Total Total Net
Net Total Net Assets of Acquired
Assets of Assets of Acquiring Fund
Acquiring Acquired Acquired Acquiring Fund After Unrealized
Fund Fund Fund Fund Acquisition Appreciation
- --------- --------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Municipal PA $22,605,495 $85,020,241 $107,625,736 $1,659,412
Municipal
</TABLE>
M. SUBSEQUENT EVENTS: On January 20, 1999, the management of MAS Funds voted to
liquidate the Emerging Markets Value and International Equity
- --------------------------------------------------------------------------------
166
<PAGE> 169
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Portfolios effective March 26, 1999. On February 25, 1999, the Trustees of the
MAS Funds approved a proposal by the Fund's management to liquidate the
Mortgage-Backed Securities Portfolio effective April 29, 1999.
On April 30, 1999, shareholders of the Cash Reserves Portfolio approved a
sub-advisory agreement between MAS and Morgan Stanley Dean Witter Advisors Inc.
("MSDW Advisors"). MSDW Advisors began managing the Portfolio pursuant to this
agreement on May 3, 1999.
- --------------------------------------------------------------------------------
167
<PAGE> 170
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 Dean Witter
& Co. ("MSDW"); Portfolio Manager and member of the Executive Committee, Miller
Anderson & Sherrerd, LLP; Director, MAS Fund Distribution, Inc.; formerly
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, IKON
Office Solutions, Inc.; Director, Knight-Ridder, Inc.; formerly Director, Union
Carbide Corporation.
JOSEPH P. HEALY
Trustee; Headmaster, Ethical Culture Fieldston School; Trustee, Springside
School; formerly Headmaster, Haverford School; Dean, Hobart College; Associate
Dean, William & Mary College.
JOSEPH J. KEARNS
Trustee; Investment Consultant; Chief Financial 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, MSDW; Head of Mutual Funds, Miller Anderson &
Sherrerd, LLP; Director, MAS Fund Distribution, Inc.
LORRAINE TRUTEN, CFA
Vice-President, MAS Funds; Principal, MSDW; Head of Mutual Fund Services, Miller
Anderson & Sherrerd, LLP; President, MAS Fund Distribution, Inc.
JAMES A. GALLO
Treasurer, MAS Funds; Vice-President, MSDW; Head of Fund Administration, Miller
Anderson & Sherrerd, LLP; formerly Manager, Investment Accounting and then Vice
President and Director of Investment Accounting, PFPC, Inc.
JOHN H. GRADY, JR.
Secretary, MAS Funds; Partner, Morgan, Lewis & Bockius, LLP.
RICHARD J. SHOCH
Assistant Secretary, MAS Funds; Vice President, MSDW; Fund Compliance Officer,
Miller Anderson & Sherrerd, LLP; formerly Fund Legal Administrator and then
Counsel, Vice President and Assistant Secretary, SEI Corporation.
*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.
MAS Fund Distribution, Inc. serves as General Distribution Agent for MAS Funds.
- --------------------------------------------------------------------------------
168
<PAGE> 171
- --------------------------------------------------------------------------------
MILLER ANDERSON & SHERRERD, LLP Investment Adviser: (610) 940-5000
One Tower Bridge, MAS Funds: (800) 354-8185
West Conshohocken, PA 19428-2899
MAS
- ---------
MAS FUNDS
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.
