<PAGE> 1
1999 Annual Report
MAS LOGO
MSDW PORTFOLIO LISTING
MAS LOGO
<PAGE> 2
MAS Funds is pleased to present the Annual Report for the Portfolios as of
September 30, 1999. Please call your Miller Anderson & Sherrerd service
representative at 800-354-8185 with any questions regarding these Financial
Statements.
TABLE OF CONTENTS
<TABLE>
<S> <C>
MAS Overview and Statement of Net Assets
Value Portfolio............................. 1
Equity Portfolio......................... 3
Small Cap Value Portfolio................ 6
Mid Cap Growth Portfolio................. 9
Mid Cap Value Portfolio.................. 11
Small Cap Growth Portfolio............... 14
Fixed Income Portfolio................... 16
Domestic Fixed Income Portfolio.......... 25
High Yield Portfolio..................... 33
Cash Reserves Portfolio.................. 39
Fixed Income II Portfolio................ 41
Limited Duration Portfolio............... 49
Special Purpose Fixed Income Portfolio... 54
Municipal Portfolio...................... 61
Global Fixed Income Portfolio............ 67
International Fixed Income Portfolio..... 71
Intermediate Duration Portfolio.......... 73
Multi-Market Fixed Income Portfolio...... 79
Balanced Portfolio....................... 87
Multi-Asset-Class Portfolio.............. 96
Statement of Operations..................... 109
Statement of Changes in Net Assets.......... 114
Financial Highlights........................ 121
Notes to Financial Statements............... 138
Report of Independent Accountants........... 149
</TABLE>
THIS ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (97.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BANKS (13.9%)
Bank of America Corp. 401,600 $ 22,364
Bank One Corp. 398,100 13,859
BankBoston Corp. 269,300 11,681
Chase Manhattan Corp. 633,006 47,713
First Union Corp. 271,013 9,638
KeyCorp 489,500 12,635
PNC Bank Corp. 582,400 30,685
Washington Mutual, Inc. 1,293,100 37,823
- ---------------------------------------------------------
GROUP TOTAL 186,398
- ---------------------------------------------------------
BASIC RESOURCES (6.4%)
Eastman Chemical Co. 39,400 1,576
Engelhard Corp. 1,034,100 18,808
IMC Global, Inc. 831,994 12,116
Lubrizol Corp. 802,000 20,601
Solutia, Inc. 658,800 11,776
* W.R. Grace & Co. 907,700 14,580
Weyerhaeuser Co. 114,100 6,575
- ---------------------------------------------------------
GROUP TOTAL 86,032
- ---------------------------------------------------------
CONSUMER DURABLES (11.3%)
Dana Corp. 533,051 19,790
Ford Motor Co. 735,530 36,914
General Motors Corp. 1,017,609 64,046
Owens Corning 700,041 15,182
Whirlpool Corp. 246,200 16,080
- ---------------------------------------------------------
GROUP TOTAL 152,012
- ---------------------------------------------------------
CONSUMER SERVICES (0.7%)
Service Corp. International 916,500 9,681
- ---------------------------------------------------------
ENERGY (4.1%)
* Nabors Industries, Inc. 895,800 22,395
Tosco Corp. 206,600 5,216
Transocean Offshore, Inc. 313,200 9,592
Ultramar Diamond Shamrock Corp. 700,590 17,865
- ---------------------------------------------------------
GROUP TOTAL 55,068
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (3.4%)
IBP, Inc. 375,903 9,280
Nabisco Group Holdings Corp. 1,005,390 15,081
R.J. Reynolds Tobacco Holdings,
Inc. 212,230 5,730
Universal Foods Corp. 665,294 15,260
- ---------------------------------------------------------
GROUP TOTAL 45,351
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
HEALTH CARE (10.5%)
Beckman Coulter, Inc. 335,999 $ 15,162
Columbia/HCA Healthcare Corp. 405,261 8,586
* Foundation Health Systems, Inc.,
Class A 882,184 8,326
* Health Management Associates,
Inc., Class A 545,700 4,024
* HEALTHSOUTH Corp. 8,511,100 51,599
*@ LifePoint Hospitals, Inc. 1 --
* Tenet Healthcare Corp. 2,002,000 35,160
*@ Triad Hospitals, Inc. 1 --
United HealthCare Corp. 268,500 13,073
* Wellpoint Health Networks, Inc. 101,700 5,797
- ---------------------------------------------------------
GROUP TOTAL 141,727
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (18.7%)
* AMR Corp. 507,480 27,658
Burlington Northern Santa Fe, Inc. 262,400 7,216
CNF Transportation, Inc. 126,200 4,701
Cooper Industries, Inc. 304,200 14,221
Cummins Engine Co., Inc. 796,686 39,685
Delta Air Lines, Inc. 562,100 27,262
Eaton Corp. 184,102 15,890
* FMC Corp. 306,665 14,797
* Navistar International Corp. 351,700 16,354
Parker-Hannifin Corp. 532,837 23,878
Ryder System, Inc. 387,200 7,889
Tecumseh Products Co., Class A 396,476 19,873
TRW, Inc. 400,618 19,931
Waste Management, Inc. 584,600 11,253
- ---------------------------------------------------------
GROUP TOTAL 250,608
- ---------------------------------------------------------
INSURANCE (5.7%)
Ace Ltd. 803,800 13,614
Allstate Corp. 572,740 14,283
American General Corp. 158,355 10,006
Everest Reinsurance Holdings, Inc. 377,291 8,984
Hartford Financial Services Group,
Inc. 339,106 13,861
ReliaStar Financial Corp. 476,743 15,852
- ---------------------------------------------------------
GROUP TOTAL 76,600
- ---------------------------------------------------------
RETAIL (6.0%)
Dillard's, Inc., Class A 251,009 5,099
Liz Claiborne, Inc. 756,600 23,454
* Office Depot, Inc. 772,400 7,869
Springs Industries, Inc., Class A 61,518 2,088
* Toys 'R' Us, Inc. 806,551 12,098
V.F. Corp. 987,006 30,597
- ---------------------------------------------------------
GROUP TOTAL 81,205
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (7.1%)
* Arrow Electronics, Inc. 608,000 $ 10,716
Avnet, Inc. 337,200 14,162
First Data Corp. 609,500 26,742
International Business Machines
Corp. 124,088 15,061
* Quantum Corp.-DLT & Storage
Systems 1,017,500 14,309
Xerox Corp. 328,200 13,764
- ---------------------------------------------------------
GROUP TOTAL 94,754
- ---------------------------------------------------------
UTILITIES (9.4%)
Bell Atlantic Corp. 431,700 29,059
Cinergy Corp. 167,607 4,745
Coastal Corp. 141,100 5,776
DTE Energy Co. 257,740 9,311
Duke Energy Corp. 140,422 7,741
Entergy Corp. 264,345 7,650
GPU, Inc. 235,204 7,674
GTE Corp. 244,200 18,773
PECO Energy Co. 198,900 7,459
Southern Co. 333,300 8,582
U.S. West, Inc. 345,400 19,709
- ---------------------------------------------------------
GROUP TOTAL 126,479
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,401,253) 1,305,915
- ---------------------------------------------------------
CASH EQUIVALENT (3.0%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (3.0%)
Chase Securities, Inc. 5.20% dated
9/30/99, due 10/1/99, to be
repurchased at $40,318,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at
$40,357 (Cost $40,312) $40,312 40,312
- ---------------------------------------------------------
TOTAL INVESTMENTS (100.2%) (Cost $1,441,565) 1,346,227
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.2%)
Dividends Receivable $ 1,474
Interest Receivable 6
Receivable for Investments Sold 7,403
Receivable for Fund Shares Sold 1,140
Investments Held as Collateral for Loaned
Securities 120,570
Other Assets 164
Payable for Fund Shares Redeemed (10,335)
Payable for Investment Advisory Fees (2,038)
Payable for Administrative Fees (96)
Payable for Distribution Fees-Adviser Class (56)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (163)
Collateral on Securities Loaned, at Value (120,570)
Other Liabilities (213)
----------
(2,715)
- ---------------------------------------------------------
NET ASSETS (100%) $1,343,512
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 79,408,494 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $1,079,356
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.59
- ---------------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 712,385 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 9,673
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.58
- ---------------------------------------------------------
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 18,758,517 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 254,483
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.57
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,317,498
Undistributed Net Investment Income (Loss) 5,140
Undistributed Realized Net Gain (Loss) 116,212
Unrealized Appreciation (Depreciation) on
Investment Securities (95,338)
- ---------------------------------------------------------
NET ASSETS $1,343,512
- ---------------------------------------------------------
</TABLE>
+ See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (97.0%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BANKS (4.9%)
Bank of America Corp. 171,200 $ 9,534
BankBoston Corp. 154,100 6,684
Chase Manhattan Corp. 67,200 5,065
PNC Bank Corp. 94,300 4,969
Wells Fargo Co. 130,400 5,167
- ---------------------------------------------------------
GROUP TOTAL 31,419
- ---------------------------------------------------------
BASIC RESOURCES (3.5%)
Engelhard Corp. 403,500 7,338
International Paper Co. 65,000 3,124
Temple-Inland, Inc. 49,500 2,995
Weyerhaeuser Co. 53,200 3,066
* W.R. Grace & Co. 347,900 5,588
- ---------------------------------------------------------
GROUP TOTAL 22,111
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.4%)
Anheuser-Busch Cos., Inc. 89,100 6,243
Clorox Co. 72,300 2,765
Coca-Cola Co. 87,000 4,181
Gillette Co. 69,000 2,342
- ---------------------------------------------------------
GROUP TOTAL 15,531
- ---------------------------------------------------------
CONSUMER DURABLES (3.7%)
Ford Motor Co. 140,600 7,056
General Motors Corp. 162,317 10,216
Owens Corning 306,600 6,650
- ---------------------------------------------------------
GROUP TOTAL 23,922
- ---------------------------------------------------------
CONSUMER SERVICES (6.3%)
* AT&T Corp.-Liberty Media Group,
Class A 256,750 9,532
* Clear Channel Communications, Inc. 74,100 5,919
* Fox Entertainment Group, Inc.,
Class A 166,400 3,515
* Infinity Broadcasting Corp., Class
A 206,600 6,056
* MediaOne Group, Inc. 71,400 4,877
News Corp., Ltd. ADR 184,700 4,929
Time Warner, Inc. 88,570 5,381
- ---------------------------------------------------------
GROUP TOTAL 40,209
- ---------------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (3.5%)
Citigroup, Inc. 122,225 5,378
Federal Home Loan Mortgage Corp. 156,400 8,133
Household International, Inc. 226,500 9,088
- ---------------------------------------------------------
GROUP TOTAL 22,599
- ---------------------------------------------------------
ENERGY (7.1%)
Atlantic Richfield Co. 49,900 4,422
* BJ Services Co. 162,100 5,157
Chevron Corp. 78,900 7,002
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
* Global Marine, Inc. 133,600 $ 2,196
Halliburton Co. 91,500 3,751
Royal Dutch Petroleum Co.,
NY Shares 141,700 8,369
* Smith International, Inc. 38,100 1,543
Texaco, Inc. 82,600 5,214
Tosco Corp. 48,300 1,220
Total S.A. ADR 79,100 5,018
Transocean Offshore, Inc. 52,000 1,593
- ---------------------------------------------------------
GROUP TOTAL 45,485
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (0.8%)
General Mills, Inc. 59,000 4,786
- ---------------------------------------------------------
HEALTH CARE (8.3%)
Abbott Laboratories 94,400 3,469
Aetna, Inc. 114,900 5,659
American Home Products Corp. 38,200 1,585
Baxter International, Inc. 89,600 5,398
Bristol-Myers Squibb Co. 104,644 7,064
Eli Lilly & Co. 43,400 2,778
* Lincare Holdings, Inc. 124,800 3,327
Merck & Co., Inc. 187,500 12,152
Pfizer, Inc. 127,200 4,571
Warner Lambert Co. 105,200 6,983
- ---------------------------------------------------------
GROUP TOTAL 52,986
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (5.4%)
* AMR Corp. 49,100 2,676
Burlington Northern Santa Fe, Inc. 118,600 3,262
Cummins Engine Co., Inc. 106,100 5,285
Parker-Hannifin Corp. 102,500 4,593
Ryder System, Inc. 156,700 3,193
Textron, Inc. 46,300 3,582
* United Rentals, Inc. 134,700 2,930
Waste Management, Inc. 197,927 3,810
York International Corp. 146,000 5,247
- ---------------------------------------------------------
GROUP TOTAL 34,578
- ---------------------------------------------------------
INSURANCE (6.3%)
Ace Ltd. 405,200 6,863
Ambac Financial Group, Inc. 157,400 7,457
Aon Corp. 180,600 5,339
Everest Reinsurance Holdings, Inc. 144,800 3,448
MBIA, Inc. 143,300 6,681
ReliaStar Financial Corp. 75 2
Travelers Property Casualty Corp.,
Class A 173,000 5,104
XL Capital Ltd., Class A 124,600 5,607
- ---------------------------------------------------------
GROUP TOTAL 40,501
- ---------------------------------------------------------
RETAIL (7.5%)
* Best Buy Co., Inc. 34,400 2,135
CVS Corp. 164,800 6,726
Dayton-Hudson Corp. 99,800 5,994
Dollar General Corp. 188,075 5,807
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
Home Depot, Inc. 33,400 $ 2,292
* Kroger Co. 125,600 2,771
* Safeway, Inc. 91,800 3,494
Tandy Corp. 100,800 5,210
Wal-Mart Stores, Inc. 285,500 13,579
- ---------------------------------------------------------
GROUP TOTAL 48,008
- ---------------------------------------------------------
TECHNOLOGY (25.8%)
* America Online, Inc. 76,800 7,987
* At Home Corp., Series A 104,836 4,344
* BMC Software, Inc. 69,800 4,995
* Cisco Systems, Inc. 233,500 16,009
Computer Associates International,
Inc. 87,000 5,329
* Dell Computer Corp. 59,000 2,467
Electronic Data Systems Corp. 69,600 3,684
* General Instrument Corp. 113,300 5,453
Hewlett Packard Co. 41,800 3,846
Intel Corp. 176,000 13,079
International Business Machines
Corp. 74,300 9,018
* JDS Uniphase Corp. 42,500 4,837
* Microsoft Corp. 371,400 33,635
Motorola, Inc. 64,400 5,667
Nortel Networks Corp. 119,100 6,074
* Oracle Systems Corp. 171,600 7,808
* Qualcomm, Inc. 61,200 11,578
* Quantum Corp.-DLT & Storage
Systems 146,000 2,053
* Quantum Corp.-Hard Disk Drive 72,950 543
SAP AG 135,800 5,127
* Tellabs, Inc. 103,100 5,870
* Unisys Corp. 111,600 5,036
- ---------------------------------------------------------
GROUP TOTAL 164,439
- ---------------------------------------------------------
UTILITIES (11.5%)
Ameritech Corp. 98,800 6,638
* AT&T Corp. 185,012 8,048
Carolina Power & Light Co. 87,500 3,095
Coastal Corp. 152,100 6,227
Energy East Corp. 149,700 3,556
* MCI WorldCom, Inc. 263,017 18,904
PECO Energy Co. 77,800 2,918
SBC Communications, Inc. 113,500 5,796
Sprint Corp. (FON Group) 143,300 7,774
* Sprint Corp. (PCS Group) 35,800 2,669
Vodafone Group plc ADR 31,450 7,477
- ---------------------------------------------------------
GROUP TOTAL 73,102
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $522,493) 619,676
- ---------------------------------------------------------
CASH EQUIVALENTS (6.3%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
Short-term Investments Held as
Collateral for Loaned Securities
(3.7%) $23,436 23,436
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- ---------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (2.6%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $16,724,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $16,740 $16,722 $ 16,722
- ---------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $40,158) 40,158
- ---------------------------------------------------------
TOTAL INVESTMENTS (103.3%) (Cost $562,651) 659,834
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.3%)
Cash 695
Dividends Receivable 601
Interest Receivable 2
Receivable for Investments Sold 37,036
Receivable for Fund Shares Sold 275
Other Assets 82
Payable for Investments Purchased (4,044)
Payable for Fund Shares Redeemed (31,231)
Payable for Investment Advisory Fees (917)
Payable for Administrative Fees (45)
Payable for Trustees' Deferred Compensation
Plan-Note F (82)
Collateral on Securities Loaned, at Value (23,436)
Other Liabilities (68)
--------
(21,132)
- ---------------------------------------------------------
NET ASSETS (100%) $638,702
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 32,071,185 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $635,593
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.82
- ---------------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 49,806 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 986
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.80
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 107,277 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 2,123
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.79
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $357,522
Undistributed Net Investment Income (Loss) 798
Undistributed Realized Net Gain (Loss) 183,199
Unrealized Appreciation (Depreciation) on
Investment Securities 97,183
- ---------------------------------------------------------
NET ASSETS $638,702
- ---------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (89.6%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BANKS (6.2%)
Bank United Corp., Class A 162,100 $ 5,248
Banknorth Group, Inc. 128,200 3,830
Cullen/Frost Bankers, Inc. 81,700 2,043
First Tennessee National Corp. 132,700 3,732
Greenpoint Financial Corp. 57,200 1,519
Hudson United Bancorp 455,700 14,041
Investors Financial Services Corp. 105,600 3,630
MECH Financial, Inc. 73,800 2,435
Mercantile Bankshares Corp. 129,808 4,016
Prime Bancshares, Inc. 100,300 2,282
Reliance Bancorp, Inc. 48,500 1,825
Sovereign Bancorp, Inc. 375,200 3,412
TCF Financial Corp. 256,800 7,335
Trustco Bank Corp. 56,228 1,661
@ Union Planters Corp. 3 --
- ---------------------------------------------------------
GROUP TOTAL 57,009
- ---------------------------------------------------------
BASIC RESOURCES (8.0%)
Agnico-Eagle Mines Ltd. 715,500 5,545
AK Steel Holding Corp. 104,800 1,913
* American National Can Group, Inc. 373,100 5,900
CK Witco Corp. 228,640 3,330
Equitable Resources, Inc. 89,500 3,384
Freeport-McMoRan Copper & Gold, Inc. 342,500 5,330
* Gaylord Container Corp., Class A 647,800 4,615
Inco, Ltd. 470,500 10,057
* Lone Star Technologies, Inc. 209,500 4,190
Lubrizol Corp. 132,500 3,404
M.A. Hanna Co. 195,200 2,220
P.H. Glatfelter Co. 69,700 1,146
RPM, Inc. 195,500 2,383
Schulman, Inc., Class A 23,400 405
* Steel Dynamics, Inc. 159,100 2,496
* Stillwater Mining Co. 94,150 2,530
* Tetra Technologies, Inc. 221,300 2,254
Wellman, Inc. 447,300 8,079
* W.R. Grace & Co. 258,000 4,144
- ---------------------------------------------------------
GROUP TOTAL 73,325
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.0%)
* Beringer Wine Estates Holdings,
Inc., Class B 110,000 4,517
* Blyth Industries, Inc. 92,150 2,586
Tupperware Corp. 106,900 2,165
- ---------------------------------------------------------
GROUP TOTAL 9,268
- ---------------------------------------------------------
CONSUMER DURABLES (0.9%)
Callaway Golf Co. 180,700 2,202
* Hawaii Land & Farming Co., Inc. 112,100 51
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
* Lear Corp. 72,700 $ 2,558
* Tower Automotive, Inc. 173,500 3,438
- ---------------------------------------------------------
GROUP TOTAL 8,249
- ---------------------------------------------------------
CONSUMER SERVICES (5.5%)
* ACNielsen Corp. 167,400 3,798
* Adelphia Communications Corp. 58,100 3,417
* Bally Total Fitness Holding Corp. 651,400 19,908
* Corinthian Colleges, Inc. 36,800 695
FelCor Lodging Trust, Inc. REIT 122,500 2,144
* Snyder Communications, Inc. 304,800 4,629
* Sylvan Learning Systems, Inc. 102,200 1,980
* Valassis Communications, Inc. 209,050 9,185
* VerticalNet, Inc. 31,000 1,147
* World Color Press, Inc. 93,900 3,498
- ---------------------------------------------------------
GROUP TOTAL 50,401
- ---------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (2.9%)
Arthur J. Gallagher & Co. 34,100 1,816
Eaton Vance Corp. 146,900 4,701
E.W. Blanch Holdings, Inc. 27,400 1,784
Heller Financial, Inc. 229,600 5,166
* Knight/Trimark Group, Inc. 293,800 8,704
Radian Group, Inc. 64,300 2,761
Southwest Securities Group, Inc. 65,600 1,771
- ---------------------------------------------------------
GROUP TOTAL 26,703
- ---------------------------------------------------------
ENERGY (8.2%)
* BJ Services Co. 127,500 4,056
Energen Corp. 71,900 1,456
ENSCO International, Inc. 466,300 8,423
* Global Industries Ltd. 754,400 6,130
* Global Marine, Inc. 505,600 8,311
* Grey Wolf, Inc. 218,100 654
* Nabors Industries, Inc. 328,500 8,213
* National-Oilwell, Inc. 282,300 4,640
* Ocean Energy, Inc. 857,264 8,733
* Patterson Energy, Inc. 212,000 3,220
* Precision Drilling Corp. 128,100 2,970
* Smith International, Inc. 59,700 2,418
* Stolt Comex Seaway, S.A. 105,400 1,192
Union Pacific Resources Group, Inc. 517,300 8,309
Valero Energy Corp. 84,000 1,617
* Veritas DGC, Inc. 224,800 4,327
- ---------------------------------------------------------
GROUP TOTAL 74,669
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.7%)
* 800-JR Cigar, Inc. 209,400 2,225
Earthgrains Co. 72,800 1,611
* Fresh Del Monte Produce, Inc. 511,200 5,719
* General Cigar Holdings, Inc. 351,200 2,370
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
* NBTY, Inc. 789,600 $ 6,021
* Rexall Sundown, Inc. 575,800 7,089
- ---------------------------------------------------------
GROUP TOTAL 25,035
- ---------------------------------------------------------
HEALTH CARE (7.9%)
* Affymetrix, Inc. 19,300 1,900
Alpharma, Inc., Class A 220,500 7,787
* AmeriSource Health Corp., Class A 211,000 4,998
* Apria Healthcare Group, Inc. 172,100 2,883
* Caremark Rx, Inc. 955,600 5,375
* Cell Pathways, Inc. 34,800 335
* Coventry Health Care, Inc. 351,200 3,336
* Dura Pharmaceuticals, Inc. 158,800 2,213
* Gilead Sciences, Inc. 93,300 5,989
* Guilford Pharmaceuticals, Inc. 358,300 5,464
* Henry Schein, Inc. 128,000 1,824
ICN Pharmaceuticals, Inc. 325,900 5,601
* Medquist, Inc. 44,300 1,481
* Mid Atlantic Medical Services,
Inc. 317,900 2,841
* SICOR, Inc. 133,200 529
* Sybron International Corp. 185,400 4,983
Teva Pharmaceutical Industries Ltd.
ADR 118,900 5,982
* Trigon Healthcare, Inc. 130,700 3,774
* Ventiv Health, Inc. 23,300 230
* Wesley Jessen VisionCare, Inc. 140,900 4,394
- ---------------------------------------------------------
GROUP TOTAL 71,919
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.9%)
* Alliant Techsystems, Inc. 52,800 3,660
* Aviation Sales Co. 49,100 933
* BE Aerospace, Inc. 273,900 3,270
Briggs & Stratton Corp. 32,500 1,897
Case Corp. 53,900 2,685
Cordant Technologies, Inc. 23,800 724
Cummins Engine Co., Inc. 75,300 3,751
Flowserve Corp. 5,300 88
Manitowoc Co., Inc. 136,800 4,668
Martin Marietta Materials, Inc. 30,400 1,214
* Midwest Express Holdings, Inc. 77,000 2,017
* Navistar International Corp. 123,900 5,761
New Holland NV 592,100 9,474
Newport News Shipbuilding, Inc. 102,600 3,315
* Republic Services, Inc., Class A 172,400 1,875
Robbins & Myers, Inc. 115,300 1,787
Stewart & Stevenson Services, Inc. 820,700 10,772
Tecumseh Products Co., Class A 43,800 2,195
Teekay Shipping Corp. 143,700 2,245
* Titan Corp. 494,100 7,103
* Transportation Technologies
Industries, Inc. 103,900 1,799
USFreightways Corp. 77,600 3,676
Wabash National Corp. 520,000 10,563
Werner Enterprises, Inc. 192,925 3,400
* WESCO International, Inc. 79,600 1,124
* Wisconsin Central Transportation
Corp. 48,500 664
- ---------------------------------------------------------
GROUP TOTAL 90,660
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
INSURANCE (1.4%)
Allmerica Financial Corp. 29,900 $ 1,424
Everest Reinsurance Holdings, Inc. 93,700 2,231
FBL Financial Group, Inc., Class A 100,400 2,071
HSB Group, Inc. 76,200 2,681
Presidential Life Corp. 93,800 1,606
ReliaStar Financial Corp. 86,400 2,873
- ---------------------------------------------------------
GROUP TOTAL 12,886
- ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (3.5%)
AMB Property Corp. 300,700 6,371
Arden Realty, Inc. 38,100 829
Camden Property Trust 97,300 2,615
CarrAmerica Realty Corp. 61,700 1,354
Chateau Communities, Inc. 75,508 1,963
Cousins Properties, Inc. 40,500 1,374
Duke Realty Investments, Inc. 306,766 5,982
Health Care REIT, Inc. 206,159 4,123
Home Properties of N.Y., Inc. 101,322 2,704
Post Properties, Inc. 109,600 4,309
- ---------------------------------------------------------
GROUP TOTAL 31,624
- ---------------------------------------------------------
RETAIL (3.9%)
* Cheap Tickets, Inc. 38,600 1,250
* Ann Taylor Stores, Inc. 87,800 3,589
Casey's General Stores, Inc. 133,300 1,787
* Dress Barn (The), Inc. 124,800 2,289
* Friendly Ice Cream Corp. 82,300 406
* REX Stores Corp. 77,800 2,412
* Sunglass Hut International, Inc. 1,331,600 14,065
* Yankee Candle Co., Inc. 110,800 2,140
* Zale Corp. 199,200 7,632
- ---------------------------------------------------------
GROUP TOTAL 35,570
- ---------------------------------------------------------
TECHNOLOGY (20.1%)
* Adtran, Inc. 121,000 4,636
* Aeroflex, Inc. 321,200 3,915
* Applied Science and Technology,
Inc. 64,100 1,322
* BEA Systems, Inc. 93,700 3,309
Belden, Inc. 108,600 2,226
* BigStar Entertainment, Inc. 134,500 891
* BroadVision, Inc. 35,100 4,670
* Cherry Corp., Class A 135,200 1,724
* Clarify, Inc. 66,300 3,336
* Complete Business Solutions, Inc. 235,000 3,217
* Corel Corp. 301,000 2,229
* Creo Products, Inc. 147,500 3,623
* Cybersource Corp. 49,100 2,719
* Digital Microwave Corp. 696,700 10,929
ECI Telecom Ltd. 284,100 7,014
* Electronics for Imaging, Inc. 63,600 3,269
* ETEC Systems, Inc. 19,300 726
* FileNET Corp. 198,900 2,126
* GaSonics International Corp. 250,600 4,135
* GenRad, Inc. 461,700 8,830
* Go2Net, Inc. 41,700 2,700
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
* GoTo.com, Inc. 17,200 $ 897
* Harbinger Corp. 199,300 3,363
* Informix Corp. 252,400 2,003
* IONA Technologies plc 82,600 1,064
* LTX Corp. 1,072,500 14,680
* Maxtor Corp. 918,100 6,054
* Mercury Interactive Corp. 48,700 3,144
* Network Associates, Inc. 50,500 966
* Optimal Robotics Corp. 163,600 2,945
* Peerless Systems Corp. 100,600 1,333
* Pinnacle Systems, Inc. 659,900 27,963
* Powerwave Technologies, Inc. 176,100 8,491
* PRI Automation, Inc. 94,700 3,421
* PSINet, Inc. 226,000 8,129
* Quokka Sports, Inc. 74,900 520
* Rational Software Corp. 199,600 5,844
* SpeedFam-IPEC, Inc. 296,700 3,560
* Unify Corp. 231,600 5,211
* Verity, Inc. 36,900 2,539
* WebTrends Corp. 47,400 2,112
* Westell Technologies, Inc. 64,200 522
* WorldGate Communications, Inc. 40,200 920
- ---------------------------------------------------------
GROUP TOTAL 183,227
- ---------------------------------------------------------
UTILITIES (7.5%)
* Calpine Corp. 33,600 2,858
Eastern Enterprises 64,600 3,000
* Hyperion Telecommunications, Inc. 207,900 5,158
Illinova Corp. 119,800 3,362
* ITC DeltaCom, Inc. 92,100 2,533
* McLeodUSA, Inc. 313,500 13,343
MidAmerican Energy Holdings Co. 481,800 14,213
* NSTAR 74,035 2,869
Potomac Electric Power Co. 462,100 11,755
Public Service Co. of New Mexico 83,000 1,515
RGS Energy Group, Inc. 43,200 1,058
Suburban Propane Partners LP 36,800 750
* Voicestream Wireless Corp. 97,000 5,987
- ---------------------------------------------------------
GROUP TOTAL 68,401
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $801,936) 818,946
- ---------------------------------------------------------
CASH EQUIVALENT (10.0%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (10.0%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $91,271,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $91,359
(Cost $91,258) $91,258 91,258
- ---------------------------------------------------------
TOTAL INVESTMENTS (99.6%) (Cost $893,194) 910,204
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (0.4%)
Cash $ 4,134
Dividends Receivable 394
Interest Receivable 13
Receivable for Investments Sold 20,122
Receivable for Fund Shares Sold 424
Other Assets 45
Payable for Investments Purchased (17,949)
Payable for Fund Shares Redeemed (1,706)
Payable for Investment Advisory Fees (1,746)
Payable for Administrative Fees (60)
Payable for Distribution Fees-Adviser Class (4)
Payable for Trustees' Deferred Compensation
Plan-Note F (45)
Other Liabilities (80)
--------
3,542
- ---------------------------------------------------------
NET ASSETS (100%) $913,746
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 48,214,647 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $897,629
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.62
- ---------------------------------------------------------
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 865,466 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 16,117
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.62
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $825,825
Undistributed Net Investment Income (Loss) 5,379
Undistributed Realized Net Gain (Loss) 65,532
Unrealized Appreciation (Depreciation) on
Investment Securities 17,010
- ---------------------------------------------------------
NET ASSETS $913,746
- ---------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (94.0%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BANKS (2.8%)
* Concord EFS, Inc. 372,300 $ 7,679
First Tennessee National Corp. 203,700 5,729
National Commerce Bancorp. 405,900 8,917
Zions Bancorp. 124,200 6,846
- ---------------------------------------------------------
GROUP TOTAL 29,171
- ---------------------------------------------------------
BASIC RESOURCES (0.4%)
* CK Witco Corp. 94,101 1,370
* Cytec Industries, Inc. 121,700 2,921
- ---------------------------------------------------------
GROUP TOTAL 4,291
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (2.4%)
* Beringer Wine Estates Holdings,
Inc., Class B 230,400 9,461
Dial Corp. 294,700 7,515
Estee Lauder Cos., Inc., Class A 209,900 8,199
- ---------------------------------------------------------
GROUP TOTAL 25,175
- ---------------------------------------------------------
CONSUMER DURABLES (1.6%)
Danaher Corp. 177,200 9,336
* SPX Corp. 86,700 7,868
- ---------------------------------------------------------
GROUP TOTAL 17,204
- ---------------------------------------------------------
CONSUMER SERVICES (18.7%)
* AT&T Corp.-Liberty Media Group,
Class A 487,386 18,094
Cablevision Systems Corp., Class A 110,700 8,053
* Cinar Corp., Class B 417,400 12,626
* Citadel Communications Corp. 216,300 7,381
* DoubleClick, Inc. 70,600 8,410
* Fox Entertainment Group, Inc.,
Class A 314,400 6,642
* Hispanic Broadcasting Corp. 151,200 11,510
Houghton Mifflin Co. 190,000 7,719
* Imax Corp. 328,900 6,578
* Insight Communications Co., Inc. 233,400 6,681
* Jones Intercable, Inc., Class A 298,000 16,111
* Liberty Digital, Inc., Class A 351,300 8,190
* Premier Parks, Inc. 422,900 12,264
* Sinclair Broadcast Group, Inc.,
Class A 214,700 1,946
* TV Guide, Inc. 335,100 13,111
* Univision Communications, Inc.,
Class A 164,000 13,345
* USA Networks, Inc. 279,700 10,838
* Valassis Communications, Inc. 309,250 13,588
Young & Rubicam, Inc. 289,700 12,747
- ---------------------------------------------------------
GROUP TOTAL 195,834
- ---------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (2.3%)
Allied Capital Corp. 324,500 7,281
Charles Schwab Corp. 177,100 5,966
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
Heller Financial, Inc. 301,700 $ 6,788
* Knight/Trimark Group, Inc.,
Class A 146,800 4,349
- ---------------------------------------------------------
GROUP TOTAL 24,384
- ---------------------------------------------------------
ENERGY (5.5%)
* Barrett Resources Corp. 104,800 3,871
* BJ Services Co. 220,200 7,005
* Cooper Cameron Corp. 153,300 5,787
Devon Energy Corp. 203,000 8,412
EOG Resources, Inc. 383,000 8,139
* Forest Oil Corp. 474,900 8,103
* Grey Wolf, Inc. 2,056,400 6,169
* Nabors Industries, Inc. 391,900 9,798
- ---------------------------------------------------------
GROUP TOTAL 57,284
- ---------------------------------------------------------
HEALTH CARE (7.4%)
* Biogen, Inc. 186,700 14,714
* Foundation Health Systems, Inc.,
Class A 483,000 4,558
* Genentech, Inc. 65,000 9,510
* Lincare Holdings, Inc. 683,400 18,217
* MedImmune, Inc. 70,700 7,046
* MedQuist, Inc. 275,300 9,206
* MiniMed, Inc. 75,600 7,428
* VISX, Inc. 92,500 7,316
- ---------------------------------------------------------
GROUP TOTAL 77,995
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (7.7%)
Cintas Corp. 190,100 10,990
CNF Transportation, Inc. 186,300 6,940
* Dycom Industries, Inc. 271,100 11,437
* Fiserv, Inc. 334,387 10,868
General Dynamics Corp. 165,500 10,333
* Loral Space & Communications
Ltd. 372,600 6,404
* TMP Worldwide, Inc. 180,300 10,976
* United Rentals, Inc. 607,400 13,211
- ---------------------------------------------------------
GROUP TOTAL 81,159
- ---------------------------------------------------------
RETAIL (6.4%)
* Abercrombie & Fitch Co., Class A 190,100 6,476
* barnesandnoble.com, Inc. 357,500 6,904
* Cheap Tickets, Inc. 349,800 11,325
Dollar General Corp. 366,700 11,322
* eBay, Inc. 63,200 8,915
* eToys, Inc. 170,400 11,342
Tandy Corp. 207,500 10,725
- ---------------------------------------------------------
GROUP TOTAL 67,009
- ---------------------------------------------------------
TECHNOLOGY (27.5%)
Adobe Systems, Inc. 114,100 12,950
* ANTEC Corp. 162,700 8,643
* Applied Micro Circuits Corp. 207,500 11,828
* At Home Corp., Class A 201,950 8,368
* Broadcom Corp., Class A 83,300 9,080
* Citrix Systems, Inc. 180,800 11,198
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
* General Instrument Corp. 173,700 $ 8,359
* Inktomi Corp. 94,900 11,391
* JDS Uniphase Corp. 178,600 20,327
* KLA-Tencor Corp. 161,900 10,524
Linear Technology Corp. 164,700 9,681
* Maxim Integrated Products, Inc. 161,300 10,177
* Network Solutions Inc., Class A 126,600 11,631
* PMC-Sierra, Inc. 128,300 11,868
* PSINet, Inc. 248,900 8,953
* QLogic Corp. 109,900 7,679
* QUALCOMM, Inc. 90,000 17,027
* Rational Software Corp. 348,100 10,193
* Sapient Corp. 121,700 11,470
* Teradyne, Inc. 264,400 9,320
* USWeb Corp. 230,600 7,913
* Verio, Inc. 256,800 7,961
* VERITAS Software Corp. 150,300 11,413
* Xilinx, Inc. 180,900 11,855
* Yahoo Japan Corp. 40 14,618
* Yahoo! Inc. 74,919 13,457
- ---------------------------------------------------------
GROUP TOTAL 287,884
- ---------------------------------------------------------
UTILITIES (11.3%)
* Calpine Corp. 114,500 9,740
* Global Crossing Ltd. 633,040 16,776
* Globalstar Telecommunications
Ltd. 250,904 5,771
* McLeodUSA, Inc., Class A 479,800 20,421
* Nextel Communications, Inc.,
Class A 152,600 10,348
* NEXTLINK Communications, Inc.,
Class A 281,200 14,578
* VoiceStream Wireless Corp. 365,200 22,540
* Western Wireless Corp., Class A 398,300 17,861
- ---------------------------------------------------------
GROUP TOTAL 118,035
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $858,400) 985,425
- ---------------------------------------------------------
CASH EQUIVALENT (12.9%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (12.9%)
Chase Securities, Inc. 5.20%,
dated 9/30/99, due 10/1/99, to
be repurchased at $135,604,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at
$135,734 (Cost $135,584) $ 135,584 135,584
- ---------------------------------------------------------
TOTAL INVESTMENTS (106.9%) (Cost $993,984) 1,121,009
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-6.9%)
Cash $ 1,305
Dividends Receivable 150
Interest Receivable 20
Receivable for Investments Sold 14,415
Receivable for Fund Shares Sold 13,720
Other Assets 31
Payable for Investments Purchased (98,883)
Payable for Fund Shares Redeemed (1,423)
Payable for Investment Advisory Fees (1,145)
Payable for Administrative Fees (61)
Payable for Distribution Fees-Adviser Class (51)
Payable for Trustees' Deferred Compensation
Plan-Note F (31)
Other Liabilities (85)
----------
(72,038)
- ---------------------------------------------------------
NET ASSETS (100%) $1,048,971
- ---------------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 30,484,235 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 785,659
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 25.77
- ---------------------------------------------------------
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 10,287,803 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 263,312
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 25.59
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 729,758
Undistributed Net Investment Income (Loss) 2
Undistributed Realized Net Gain (Loss) 192,186
Unrealized Appreciation (Depreciation) on
Investment Securities 127,025
- ---------------------------------------------------------
NET ASSETS $1,048,971
- ---------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (88.4%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BANKS (6.0%)
Charter One Financial, Inc. 179,760 $ 4,157
Comerica, Inc. 139,900 7,082
Dime Bancorp, Inc. 150,800 2,639
First Security Corp. 156,300 3,717
GreenPoint Financial Corp. 42,200 1,121
KeyCorp. 93,600 2,416
Marshall & Ilsley Corp. 53,400 3,047
Mellon Bank Corp. 316,000 10,665
Mercantile Bankshares Corp. 117,489 3,635
Old Kent Financial Corp. 78,750 2,924
Pacific Century Financial Corp. 9,400 192
SouthTrust Corp. 100,900 3,620
UnionBanCal Corp. 53,000 1,921
- ---------------------------------------------------------
GROUP TOTAL 47,136
- ---------------------------------------------------------
BASIC RESOURCES (4.2%)
AK Steel Holding Corp. 79,300 1,447
* American National Can Group, Inc. 331,000 5,234
Barrick Gold Corp. 73,200 1,592
CK Witco Corp. 258,684 3,767
* Cytec Industries, Inc. 34,300 823
Engelhard Corp. 103,100 1,875
* Gaylord Container Corp., Class A 581,500 4,143
Georgia-Pacific Corp. (Timber Group) 64,900 1,485
Lubrizol Corp. 81,200 2,086
M.A. Hanna Co. 156,800 1,784
RPM, Inc. 149,600 1,823
USX-U.S. Steel Group, Inc. 140,600 3,621
* W.R. Grace & Co. 185,900 2,986
- ---------------------------------------------------------
GROUP TOTAL 32,666
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.1%)
* Suiza Foods Corp. 20,700 776
- ---------------------------------------------------------
CONSUMER DURABLES (4.2%)
Arvin Industries, Inc. 48,800 1,510
Johnson Controls, Inc. 29,400 1,950
Meritor Automotive, Inc. 41,900 875
Southdown, Inc. 117,000 6,259
* SPX Corp. 113,900 10,336
* Tower Automotive, Inc. 627,200 12,426
- ---------------------------------------------------------
GROUP TOTAL 33,356
- ---------------------------------------------------------
CONSUMER SERVICES (8.6%)
* ACNielsen Corp. 219,100 4,971
* Bally Total Fitness Holding Corp. 537,800 16,437
* Jones Intercable, Inc., Class A 112,600 6,087
Royal Caribbean Cruises Ltd. 301,300 13,559
Service Corp. International 78,400 828
* Snyder Communications, Inc. 420,100 6,380
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
* Valassis Communications, Inc. 373,450 $ 16,408
Washington Post Co., Class B 6,300 3,217
- ---------------------------------------------------------
GROUP TOTAL 67,887
- ---------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (2.6%)
Bear Stearns Co., Inc. 107,650 4,138
Edwards (A.G.), Inc. 28,600 754
FINOVA Group, Inc. 65,200 2,380
Heller Financial, Inc. 376,600 8,473
* Knight/Trimark Group, Inc., Class
A 162,900 4,826
- ---------------------------------------------------------
GROUP TOTAL 20,571
- ---------------------------------------------------------
ENERGY (9.0%)
Baker Hughes, Inc. 34,100 989
* BJ Services Co. 178,300 5,672
Burlington Resources, Inc. 38,800 1,426
* Cooper Cameron Corp. 219,800 8,297
ENSCO International, Inc. 43,200 780
* Global Industries Ltd. 221,600 1,801
* Global Marine, Inc. 673,400 11,069
Halliburton Co. 92,000 3,772
* Nabors Industries, Inc. 511,300 12,782
* Ocean Energy, Inc. 743,360 7,573
* Precision Drilling Corp. 89,400 2,073
* Smith International, Inc. 119,100 4,824
Tosco Corp. 232,200 5,863
Ultramar Diamond Shamrock Corp. 48,400 1,234
* Weatherford International, Inc. 76,300 2,442
- ---------------------------------------------------------
GROUP TOTAL 70,597
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (2.5%)
Dean Foods Co. 29,200 1,272
Earthgrains Co. 202,200 4,474
* Fresh Del Monte Produce, Inc. 427,100 4,778
IBP, Inc. 152,400 3,762
Quaker Oats Co. 58,800 3,638
Tyson Foods, Inc., Class A 101,200 1,664
- ---------------------------------------------------------
GROUP TOTAL 19,588
- ---------------------------------------------------------
HEALTH CARE (8.2%)
Alpharma, Inc., Class A 153,900 5,435
* AmeriSource Health Corp., Class A 148,000 3,506
* Caremark Rx, Inc. 337,400 1,898
* Centocor, Inc. 88,800 5,200
* Gilead Sciences, Inc. 71,700 4,602
* Health Management Associates,
Inc., Class A 67,000 494
* Henry Schein, Inc. 432,600 6,165
ICN Pharmaceuticals, Inc. 400,700 6,887
* Lincare Holdings, Inc. 515,100 13,731
McKesson HBOC, Inc. 99,200 2,877
* STERIS Corp. 71,600 984
* Sybron International Corp. 132,200 3,553
Teva Pharmaceutical Industries Ltd.
ADR 77,600 3,904
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
* Ventiv Health, Inc. 32,233 $ 318
* Watson Pharmaceuticals, Inc. 167,800 5,128
- ---------------------------------------------------------
GROUP TOTAL 64,682
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (9.5%)
Airborne Freight Corp. 25,800 543
* Atlas Air, Inc. 154,700 3,384
Canadian National Railway Co. 138,200 4,189
COMSAT Corp. 17,594 521
Cummins Engine Co., Inc. 51,400 2,560
* Fiserv, Inc. 277,100 9,006
Flowserve Corp. 12,600 210
General Dynamics Corp. 83,800 5,232
Martin Marietta Materials, Inc. 282,100 11,266
* Navistar International Corp. 115,300 5,362
New Holland NV 620,100 9,922
* Newpark Resources, Inc. 68,200 529
* Republic Services, Inc., Class A 307,900 3,348
Southwest Airlines Co. 97,425 1,480
Stewart & Stevenson Services, Inc. 185,100 2,429
Tecumseh Products Co., Class A 61,200 3,068
Teekay Shipping Corp. 71,600 1,119
* United Rentals, Inc. 190,300 4,139
York International Corp. 179,900 6,465
- ---------------------------------------------------------
GROUP TOTAL 74,772
- ---------------------------------------------------------
INSURANCE (2.1%)
Allmerica Financial Corp. 40,400 1,924
Ambac Financial Group, Inc. 65,100 3,084
Aon Corp. 120,300 3,556
HSB Group, Inc. 54,100 1,904
ReliaStar Financial Corp. 130,000 4,322
Travelers Property Casualty Corp.,
Class A 52,600 1,552
- ---------------------------------------------------------
GROUP TOTAL 16,342
- ---------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (0.2%)
Crescent Real Estate Equities Co. 87,200 1,570
- ---------------------------------------------------------
RETAIL (6.5%)
* Ames Department Stores, Inc. 77,200 2,461
* Ann Taylor Stores, Inc. 92,000 3,760
* barnesandnoble.com, Inc. 86,300 1,667
* Barnes & Noble, Inc. 29,100 757
* Best Buy Co., Inc. 33,400 2,073
* BJ's Wholesale Club, Inc. 149,600 4,422
* Brinker International, Inc. 121,900 3,306
Dollar General Corp. 111,125 3,431
Family Dollar Stores, Inc. 111,600 2,358
* Jones Apparel Group, Inc. 59,900 1,722
* Kroger Co. 217,000 4,788
* ShopKo Stores, Inc. 77,600 2,250
* Sunglass Hut International, Inc. 1,291,900 13,646
TJX Cos., Inc. 174,100 4,886
- ---------------------------------------------------------
GROUP TOTAL 51,527
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (17.0%)
* ADC Telecommunications, Inc. 64,800 $ 2,718
* Altera Corp. 330,000 14,314
* Analog Devices, Inc. 90,400 4,633
* Atmel Corp. 222,000 7,506
* Burr-Brown Corp. 48,200 1,904
* Complete Business Solutions, Inc. 251,500 3,442
* Creo Products, Inc. 127,600 3,134
ECI Telecom Ltd. 250,200 6,177
* Electroglas, Inc. 88,300 2,064
* Electronics for Imaging, Inc. 52,200 2,683
First Data Corp. 96,400 4,230
* Flextronics International Ltd. 14,500 844
Galileo International, Inc. 213,600 8,597
* GoTo.com, Inc. 17,300 902
* Informix Corp. 184,700 1,466
* LTX Corp. 523,600 7,167
* National Semiconductor Corp. 244,100 7,445
* Network Associates, Inc. 416,600 7,967
* NetZero, Inc. 162,000 4,212
* NOVA Corp. 21,000 525
* Pinnacle Systems, Inc. 295,300 12,513
* PRI Automation, Inc. 82,300 2,973
* PSINet, Inc. 152,900 5,500
* Quantum Corp.-DLT & Storage
Systems 279,100 3,925
* Rational Software Corp. 225,400 6,600
* Saville Systems Ireland plc ADR 170,300 2,501
* Sterling Software, Inc. 121,900 2,438
* SunGard Data Systems, Inc. 202,600 5,331
- ---------------------------------------------------------
GROUP TOTAL 133,711
- ---------------------------------------------------------
UTILITIES (7.7%)
Allegheny Energy, Inc. 87,700 2,790
Black Hills Corp. 45,450 1,060
CMS Energy Corp. 32,600 1,106
Columbia Energy Group 98,700 5,466
Florida Progress Corp. 71,600 3,311
Illinova Corp. 69,900 1,962
IPALCO Enterprises, Inc. 66,800 1,298
* McLeodUSA, Inc., Class A 201,200 8,564
* MidAmerican Energy Holdings Co. 168,300 4,965
New Century Energies, Inc. 76,800 2,568
PECO Energy Co. 69,000 2,588
Pinnacle West Capital Corp. 60,300 2,193
Potomac Electric Power Co. 217,600 5,535
PP&L Resources, Inc. 113,400 3,069
Public Service Enterprise Group,
Inc. 79,000 3,051
Texas Utilities Co. 128,100 4,780
* Western Wireless Corp., Class A 103,300 4,632
* WinStar Communications, Inc. 31,800 1,242
- ---------------------------------------------------------
GROUP TOTAL 60,180
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $712,292) 695,361
- ---------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE)!
(000) (000
- ---------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (10.0%)
- ---------------------------------------------------------
REPURCHASE AGREEMENT (10.0%)
Chase Securities, Inc., 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $78,650,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $78,726
(Cost $78,639) $78,639 $ 78,639
- ---------------------------------------------------------
TOTAL INVESTMENTS 98.4% (Cost $790,931) 774,000
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.6%)
Cash 975
Dividends Receivable 297
Interest Receivable 11
Receivable for Investments Sold 18,123
Receivable for Fund Shares Sold 13,269
Other Assets 16
Payable for Investments Purchased (17,480)
Payable for Fund Shares Redeemed (716)
Payable for Investment Advisory Fees (1,497)
Payable for Administrative Fees (51)
Payable for Shareholder Servicing
Fees-Investment Class (3)
Payable for Distribution Fees-Adviser Class (8)
Payable for Trustees' Deferred Compensation
Plan-Note F (16)
Other Liabilities (72)
--------
12,848
- ---------------------------------------------------------
NET ASSETS (100%) $786,848
- ---------------------------------------------------------
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 32,959,634 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $721,015
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.88
- ---------------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 1,155,935 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 25,197
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.80
- ---------------------------------------------------------
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 1,858,576 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 40,636
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 21.86
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $700,069
Undistributed Net Investment Income (Loss) 3,056
Undistributed Realized Net Gain (Loss) 100,654
Unrealized Appreciation (Depreciation) on
Investment Securities (16,931)
- ---------------------------------------------------------
NET ASSETS $786,848
- ---------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO
STATEMENT OF NET ASSETS
COMMON STOCKS (88.1%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
BEVERAGE & PERSONAL PRODUCTS (0.8%)
* Beringer Wine Estates Holdings,
Inc., Class B 18,100 $ 743
- ---------------------------------------------------------
CONSUMER SERVICES (18.3%)
* 4Kids Entertainment, Inc. 33,500 1,047
* APT Satellite Holdings Ltd. ADR 144,000 666
Asia Satellite Telecommunications
Holdings Ltd. ADR 29,900 762
* Chris-Craft Industries, Inc. 16,800 943
* Cinar Films, Inc., Class B 35,200 1,065
* Citadel Communications Corp. 34,700 1,184
* Imax Corp. 35,900 718
* Insight Communications Co., Inc.,
Class A 37,100 1,062
* Jones Intercable, Inc., Class A 21,800 1,179
* Lamar Advertising Co., Class A 19,900 985
* Radio One, Inc., Class A 21,400 888
* Sinclair Broadcast Group, Inc.,
Class A 21,400 194
* TCI Satellite Entertainment, Inc.,
Class A 274,200 1,097
* THQ, Inc. 27,100 1,169
* Valassis Communications, Inc. 25,000 1,098
* ValueVision International, Inc.,
Class A 35,000 910
* VerticalNet, Inc. 27,500 1,017
* Westwood One, Inc. 25,000 1,128
- ---------------------------------------------------------
GROUP TOTAL 17,112
- ---------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.5%)
Allied Capital Corp. 46,300 1,039
Annuity & Life RE Holdings, Ltd. 28,100 699
* InsWeb Corp. 32,300 634
Medallion Financial Corp. 42,100 852
- ---------------------------------------------------------
GROUP TOTAL 3,224
- ---------------------------------------------------------
ENERGY (6.3%)
* Barrett Resources Corp. 17,900 661
Cross Timbers Oil Co. 88,200 1,191
* Evergreen Resources, Inc. 34,200 823
* Forest Oil Corp. 38,900 664
* Grey Wolf, Inc. 230,300 691
* Spinnaker Exploration Co. 44,600 580
* TransCoastal Marine Services, Inc. 103,100 593
* Tuboscope, Inc. 53,900 670
- ---------------------------------------------------------
GROUP TOTAL 5,873
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (0.7%)
* The Topps Co., Inc. 82,900 622
- ---------------------------------------------------------
HEALTH CARE (4.9%)
* ChiRex, Inc. 31,900 823
* Lincare Holdings, Inc. 25,700 685
* MedQuist, Inc. 23,000 769
* Pharmacyclics, Inc. 24,500 1,002
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
* PolyMedica Corp. 27,800 $ 646
* Xomed Surgical Products, Inc.,
Class A 11,700 667
- ---------------------------------------------------------
GROUP TOTAL 4,592
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (8.4%)
* Dycom Industries, Inc. 23,700 1,000
* Insituform Technologies, Inc.,
Class A 37,800 945
* MasTec, Inc. 24,100 709
Pentair, Inc. 20,300 814
* The Titan Corp. 73,200 1,052
* TMP Worldwide, Inc. 20,100 1,224
* United Rentals, Inc. 32,900 716
* ViaSat, Inc. 75,300 1,346
- ---------------------------------------------------------
GROUP TOTAL 7,806
- ---------------------------------------------------------
RETAIL (4.8%)
* AnnTaylor Stores, Inc. 19,300 789
* Cheap Tickets, Inc. 34,900 1,130
* InterTAN, Inc. 44,700 877
* Too, Inc. 58,000 1,040
* Ultimate Electronics, Inc. 41,700 652
- ---------------------------------------------------------
GROUP TOTAL 4,488
- ---------------------------------------------------------
TECHNOLOGY (28.9%)
* Agile Software Corp. 15,000 960
* AirGate PCS, Inc. 63,700 1,585
* ANTEC Corp. 29,100 1,546
* Burr-Brown Corp. 31,400 1,240
* CommScope, Inc. 26,800 871
* Cymer, Inc. 21,000 728
* DSP Communications, Inc. 40,800 775
* Digital Insight Corp. 7,300 109
* Fairchild Semiconductor Corp.,
Class A 48,200 1,133
* Harbinger Corp. 66,700 1,126
* Harmonic, Inc. 9,900 1,295
* Hybrid Networks, Inc. 51,800 401
* Macromedia, Inc. 24,200 989
* Macrovision Corp. 20,000 888
* Netro Corp. 28,700 786
* Network Solutions, Inc., Class A 14,700 1,351
* Orbotech, Ltd. 15,000 928
* Proxim, Inc. 17,000 782
* Quest Software, Inc. 16,800 781
* RF Micro Devices, Inc. 21,900 1,002
* Sapient Corp. 15,400 1,451
* Sawtek, Inc. 31,100 1,088
* SDL, Inc. 13,500 1,030
* Semtech Corp. 24,600 901
* SoftNet Systems, Inc. 40,600 990
* TranSwitch Corp. 22,050 1,257
* Verio, Inc. 30,900 958
- ---------------------------------------------------------
GROUP TOTAL 26,951
- ---------------------------------------------------------
UTILITIES (11.5%)
* Aerial Communications, Inc. 33,200 901
* Calpine Corp. 9,600 817
</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>
* Clearnet Communications, Inc.,
Class A 54,100 $ 977
* CoreComm Ltd. 27,050 891
* Hyperion Telecommunications, Inc.,
Class A 50,500 1,253
KN Energy, Inc. 47,300 1,061
* Omnipoint Corp. 22,400 1,252
Potomac Electric Power Co. 23,600 600
* Versatel Telecom International NV
ADR 58,700 631
* VoiceStream Wireless Corp. 19,300 1,191
* Western Wireless Corp., Class A 25,000 1,121
- ---------------------------------------------------------
GROUP TOTAL 10,695
- ---------------------------------------------------------
TOTAL COMMON STOCKS (Cost $70,264) 82,106
- ---------------------------------------------------------
CASH EQUIVALENT (10.5%)
- ---------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (10.5%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99 to be
repurchased at $9,803,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01 valued at $9,813
(Cost $9,802) $9,802 9,802
- ---------------------------------------------------------
TOTAL INVESTMENTS (98.6%) (Cost $80,066) 91,908
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.4%)
Dividends Receivable 1
Interest Receivable 2
Receivable for Investments Sold 3,562
Receivable for Fund Shares Sold 793
Payable to Custodian (486)
Payable for Investments Purchased (2,353)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (163)
Payable for Administrative Fees (5)
Other Liabilities (29)
-------
1,321
- ---------------------------------------------------------
NET ASSETS (100%) $93,229
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 2,888,521 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $93,229
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 32.28
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $66,041
Undistributed Realized Net Gain (Loss) 15,346
Unrealized Appreciation (Depreciation) on
Investment Securities 11,842
- ---------------------------------------------------------
NET ASSETS $93,229
- ---------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (130.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (68.4%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
9.50%, 10/1/16-10/1/17 Agy $ 1,299 $ 1,391
10.00%, 2/1/10-3/1/21 Agy 18,068 19,521
10.50%, 8/1/19-4/1/26 Agy 3,200 3,510
11.00%, 5/1/11-9/1/20 Agy 3,136 3,499
11.25%,
10/1/11-12/1/15 Agy 1,155 1,288
11.50%, 1/1/11-12/1/15 Agy 138 155
11.75%, 4/1/19 Agy 56 63
12.00%, 10/1/09-2/1/15 Agy 241 270
12.50%, 8/1/13 Agy 18 20
13.00%, 6/1/19 Agy 31 35
14.00%, 8/1/14 Agy 10 11
14.75%, 3/1/10 Agy 19 21
Gold Pools:
9.00%, 7/1/17 Agy 6,652 7,056
9.50%, 1/1/21-12/1/22 Agy 7,538 8,102
10.00%, 6/1/17-10/1/20 Agy 2,618 2,844
October TBA
6.00%, 10/1/29 Agy 738,025 688,821
Federal National
Mortgage Association,
Conventional Pools:
6.00%, 4/1/29 Agy 340,278 317,792
9.00%, 12/1/08-1/1/22 Agy 19,282 20,397
9.50%, 11/1/13-12/1/26 Agy 15,097 16,211
10.00%, 10/1/07-1/1/27 Agy 11,039 11,970
10.50%, 6/1/10-7/1/25 Agy 6,807 7,472
10.75%, 2/1/11 Agy 36 40
11.00%, 1/1/16-11/1/20 Agy 2,670 2,984
11.50%, 7/15/12-2/1/20 Agy 3,151 3,557
12.00%, 8/1/13-4/1/15 Agy 91 104
12.50%, 5/1/12 Agy 653 747
October TBA
6.00%, 10/1/29 Agy 808,975 754,409
November TBA
6.00%, 11/1/29 Agy 207,375 193,193
6.50%, 11/1/29 Agy 130,000 124,509
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.125%,
10/20/27-12/20/27 Tsy 60,802 61,105
6.375%,
2/20/25-6/20/25 Tsy 60,549 61,031
6.50%, 1/20/28 Tsy 6,924 6,959
6.625%,
7/20/27-9/20/27 Tsy 22,090 22,281
6.875%,
1/20/25-6/20/25 Tsy 26,804 27,023
7.00%,
2/20/25-11/20/25 Tsy 13,529 13,650
7.125%, 7/20/25 Tsy 10,554 10,654
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
- ------------------------------------------------------------
<S> <C> <C> <C>
Various Pools:
9.00%,
12/15/21-11/15/24 Tsy $ 26,496 $ 28,072
9.50%,
12/15/17-9/15/22 Tsy 18,097 19,456
10.00%,
11/15/09-10/15/28 Tsy 144,186 156,709
10.50%,
8/15/10-5/15/26 Tsy 12,788 14,071
11.00%,
12/15/09-4/15/28 Tsy 32,075 35,909
11.50%,
4/15/13-9/20/19 Tsy 779 869
12.00%,
4/15/12-11/15/19 Tsy 14,449 16,483
October TBA
7.00%, 10/15/29 Tsy 435,250 427,154
- ------------------------------------------------------------
GROUP TOTAL 3,091,418
- ------------------------------------------------------------
ASSET BACKED CORPORATES (21.4%)
Advanta Mortgage Loan Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA 1,225 1,221
97-4 A2
6.53%, 9/25/12 AAA 6,546 6,523
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 26 26
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 15,510 15,501
97-D A3
6.20%, 5/15/03 AAA 9,331 9,317
98-A A3
5.90%, 11/15/02 AAA 15,070 15,027
Banc One Home Equity Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 16,995 16,865
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 12,643 12,593
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 22,850 22,840
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 32,316 32,049
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 2,817 2,814
CIT RV Trust, Series 99-A
A1
5.33%, 12/15/05 AAA 30,241 30,099
## Citibank Credit Card
Master Trust I,
Series 98-7 A
5.279%, 5/15/02 AAA 35,805 35,782
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA $ 13,031 $ 12,993
(+)++ Commercial
Financial Services,
Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R 8,100 2,025
Contimortgage Home Equity
Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 19,944 19,784
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 4,659 4,652
Daimler Benz Vehicle
Trust, Series 98-A A2
5.23%, 12/20/01 AAA 21,000 20,935
Delta Funding Home Equity
Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 10,203 10,166
EQCC Home Equity
Loan Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 8,914 8,890
99-2 A1F
6.05%, 1/25/10 AAA 21,577 21,445
99-3 A1F
6.548%, 4/25/10 AAA 37,765 37,648
Federal Home Loan
Mortgage Corp. Pass
Through Notes, Series
T-15 A1
5.83%, 12/25/13 Agy 15,492 15,407
(+) First Mortgage
Acceptance Corp.
Loan Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 8,023 7,221
First Security Auto
Grantor Trust, Series
97-B A
6.10%, 4/15/03 AAA 8,320 8,311
First Security Auto Owner
Trust,
Series:
98-1 A2
5.182%, 6/15/01 AAA 10,714 10,699
99-2 A2
5.492%, 5/15/02 AAA 14,735 14,679
## First USA Credit Card
Master Trust,
Series 97-10 A
5.471%, 9/17/03 AAA 25,270 25,254
</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 $ 11,117 $ 11,117
98-A A3
5.65%, 10/15/01 AAA 26,253 26,193
99-C A3
5.77%, 11/15/01 AAA 46,300 46,127
99-D A3
6.20%, 4/15/02 AAA 48,000 47,987
(+)++ Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 7,241 1,810
Green Tree Financial Corp.,
Series 99-4 A2
5.97%, 5/1/31 AAA 22,240 22,187
Green Tree Home Equity
Loan Trust,
Series:
99-A A1
5.59%, 2/15/13 AAA 18,800 18,745
99-C A1
5.99%, 7/15/30 AAA 36,807 36,731
+ Green Tree Home
Improvement Loan Trust,
Series 98-E HEA2
5.83%, 2/15/12 Aaa 14,213 14,183
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 905 904
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 20,062 19,844
Honda Auto Lease Trust,
Series 99-A A2
5.875%, 10/15/01 AAA 28,075 28,026
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 16,727 16,677
97-B A
5.95%, 5/15/03 AAA 6,829 6,809
IMC Home Equity
Loan Trust,
Series:
98-1 A2
6.31%, 12/20/12 AAA 17,212 17,153
98-3 A2
6.27%, 11/20/13 AAA 2,173 2,173
## IndyMac Home Equity
Loan, Series 98-A AF1
5.47%, 9/25/20 AAA 12,180 12,167
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA $ 5,118 $ 5,101
MMCA Automobile Trust,
Series 97-1 A3
6.06%, 5/15/01 AAA 270 270
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 12,275 12,262
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 8,681 8,675
Nissan Auto Receivables
Owner Trust,
Series 99-A A2
6.12%, 9/15/03 AAA 35,000 34,914
Oakwood Mortgage
Investors Inc.,
Series:
97-A A2
6.40%, 5/15/27 AAA 415 414
+ 99-B A1
5.023%, 5/15/09 Aaa 35,685 35,645
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 3,450 3,440
Provident Bank Home
Equity Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 13,732 13,677
(+) Rental Car Finance Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 21,260 20,830
Salomon Brothers Mortgage
Securities VII,
Series 98-NC7 A1
6.063%, 1/25/29 AAA 12,200 12,138
(+) Team Fleet Financing Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 6,500 6,456
97-1 A
7.35%, 5/15/03 A- 5,775 5,817
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 6,771 6,767
98-C A2
5.524%, 8/20/01 AAA 24,743 24,697
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA 25,805 25,798
- ------------------------------------------------------------
GROUP TOTAL 966,500
- ------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& 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 $ 82,024 $ 1,600
(+) 96-3 A YMA
10/25/26 N/R 82,024 84
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 53,603 1,120
(+) 96-4 A11 I YMA
1/15/28 AAA 53,603 69
96-4 A12 I IO
1.05%, 1/15/28 AAA 11,123 247
(+) 96-4 A12 I YMA
1/15/28 AAA 11,123 12
97-1 A10 I IO
1.10%, 3/15/28 AAA 66,900 1,432
97-1 A10 I YMA
3/15/28 N/R 66,900 84
- ------------------------------------------------------------
GROUP TOTAL 4,648
- ------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.7%)
Federal Home Loan
Mortgage Corporation,
Series:
1398-I Inv Fl
11.564%, 10/15/07 Agy 2,451 2,694
1415-S Inv Fl IO
20.063%, 11/15/07 Agy 1,630 563
1476-S Inv Fl IO
REMIC PAC
4.746%, 2/15/08 Agy 17,605 1,616
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 14,645 980
1600-SA Inv Fl IO REMIC
2.563%, 10/15/08 Agy 32,817 1,378
1950 Inv FI IO
2.563%, 10/15/22 Agy 4,806 261
E2 F
5.988%, 2/15/24 Agy 51 51
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl REMIC
30.36%, 9/25/20 Agy $ 631 $ 935
92-186 S Inv Fl IO
3.75%, 10/25/07 Agy 29,638 2,075
96-14 PC PO
12/25/23 Agy 852 582
96-68 SC Inv Fl IO REMIC
2.694%, 1/25/24 Agy 11,400 967
97-30 SI Inv Fl IO
2.594%, 7/25/22 Agy 3,664 201
97-57 PV IO
8.00%, 9/18/27 Agy 22,729 8,078
## 97-70 FA REMIC, (PAC) 11
5.856%, 7/18/20 Agy 6,004 6,012
## 98-22 FA REMIC
5.781%, 4/18/22 Agy 19,081 19,007
99-42 SA Inv Fl IO
2.818%, 10/25/28 Agy 197,183 9,997
186 IO
8.00%, 8/1/27 Agy 31,183 8,541
191 IO
8.00%, 1/1/28 Agy 20,589 5,841
270 2 IO
8.50%, 9/1/23 Agy 45,507 12,223
274 2 IO
8.50%, 10/1/25 Agy 5,646 1,512
275 2 IO
8.00%, 11/1/26 Agy 18,943 5,106
281 2 IO
9.00%, 11/1/26 Agy 8,161 2,048
291 2 IO
8.00%, 11/1/27 Agy 39,535 11,008
296 2 IO
8.00%, 4/1/24 Agy 38,666 10,397
G92-53 S Inv Fl IO REMIC
34.594%, 9/25/22 Agy 1,127 812
G99-34 SC Inv Fl IO REMIC
3.22%, 9/16/19 Agy 77,348 4,857
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 31 7
Government National Mortgage
Association,
Series:
96-12 S Inv Fl IO REMIC
3.063%, 6/16/26 Tsy 969 59
96-13 S Inv Fl IO REMIC
3.713%, 7/16/11 Tsy 445 31
96-17 S Inv Fl IO REMIC
3.113%, 8/16/26 Tsy 1,541 97
99-32 Inv Fl IO REMIC
2.75%, 7/16/27 Tsy 90,500 4,498
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
+ Kidder Peabody Mortgage
Assets Trust,
Series 87 B IO CMO
9.50%, 4/22/18 Aaa $ 43 $ 279
- ------------------------------------------------------------
GROUP TOTAL 122,713
- ------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.4%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 3,648 3,812
+ Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 Baa3 38 38
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.285%, 5/28/22
(acquired 8/5/92-
3/17/99, cost $3,566) N/R 3,568 3,373
## Morserv, Inc.
Series 96-2 1A1
6.189%, 11/25/26 AAA 10,722 10,695
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 464 460
- ------------------------------------------------------------
GROUP TOTAL 18,378
- ------------------------------------------------------------
COMMERCIAL MORTGAGES (1.8%)
Asset Securitization Corp.,
Series:
96-MD6 A1B
6.88%, 11/13/26 AAA 125 124
96-MD6 A1C
7.04%, 11/13/26 AAA 8,005 7,869
+## 97-D5 PS1 IO
1.59%, 2/14/41 Aaa 91,562 8,198
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 125 129
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 6,090 6,026
1 C
7.527%, 10/15/07 BBB+ 4,227 4,209
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 5,196 5,461
(+) Crystal Run Property,
Inc.,
Series A
7.393%, 8/15/11 AA 12,305 12,314
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA $ 72,108 $ 3,184
+## GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.85%, 3/15/21 Aaa 31,426 2,071
97-C2 X IO
1.202%, 4/15/27 Aaa 153,344 9,415
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
0.93%, 7/13/30 Aaa 36,089 1,458
Nomura Asset
Securities Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 186 185
## 94-MD1 A2
7.862%, 3/15/18 N/R 65 66
94-MD1 A3
8.026%, 3/15/18 N/R 4,239 4,338
(+) Park Avenue Finance Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 11,005 11,030
(+) Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 4,661 4,585
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.573%, 2/25/28 N/R 35,323 1,827
96-CFL X1A IO
1.096%, 2/25/28 N/R 28,060 289
96-CFL X2 IO
1.159%, 2/25/28 N/R 11,513 241
- ------------------------------------------------------------
GROUP TOTAL 83,019
- ------------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 BB- 6,870 6,444
)Mobile Energy Services
8.665%, 1/1/17 D 8,204 2,174
- ------------------------------------------------------------
GROUP TOTAL 8,618
- ------------------------------------------------------------
FINANCE (8.5%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 10,520 10,138
Associates Corp. of
North America
6.95%, 11/1/18 AA- 3,300 3,111
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ 4,990 4,560
</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- $ 18,105 $ 17,522
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 15,685 14,909
Chase Manhattan Corp.
6.00%, 2/15/09 A 9,230 8,507
EOP Operating LP
6.763%, 6/15/07 BBB 4,015 3,759
6.80%, 1/15/09 BBB 4,390 4,068
7.25%, 6/15/28 BBB 2,385 2,073
7.50%, 4/19/29 BBB 8,890 7,959
Equitable Companies, Inc.
6.50%, 4/1/08 A 10,680 10,159
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A 17,222 16,883
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 11,325 9,870
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 15,855 16,441
(+) First Chicago NBD Corp., Series
A
7.95%, 12/1/26 A- 10,740 10,224
First Union
Institutional Capital I
8.04%, 12/1/26 BBB+ 18,345 17,602
First Union National Bank
6.50%, 12/1/28 A 1,880 1,591
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 8,205 8,207
(+) Florida Windstorm
6.70%, 8/25/04 A- 4,435 4,334
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 17,095 15,881
HMH Properties,
Series A
7.875%, 8/1/05 BB 16,665 15,332
Household Finance Corp.
5.875%, 2/1/09 A 15,990 14,436
Lehman Brothers
Holdings
8.50%, 8/1/15 A 5,585 5,746
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 14,235 13,023
7.80%, 11/1/25 A+ 6,845 6,754
Nationsbank Corp.
6.80%, 3/15/28 A 6,270 5,622
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 19,125 17,404
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
(+) New England Mutual,
Series DTC
7.875%, 2/15/24 A+ $ 1,000 $ 995
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- $ 6,105 $ 5,615
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 6,240 5,716
(+) PNC Institutional Capital,
Series A
7.95%, 12/15/26 BBB+ 16,940 16,005
(+) Prime Property
Funding II
6.80%, 8/15/02 A 11,420 11,239
7.00%, 8/15/04 A 8,240 7,999
(+) Prudential Insurance Co.
8.30%, 7/1/25 A 18,575 19,447
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 7,150 7,002
Washington Mutual, Inc.
Series A
8.206%, 2/1/27 BBB- 9,475 9,111
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,251 9,879
96 WFP-D
6.95%, 9/1/13 AA- 25,245 24,235
- ------------------------------------------------------------
GROUP TOTAL 383,358
- ------------------------------------------------------------
INDUSTRIALS (10.6%)
Albertson's, Inc.
7.45%, 8/1/29 A 19,020 18,882
Allied Waste Industries,
Inc.
7.40%, 9/15/35 A- 16,235 11,937
American Standard Cos.
7.375%, 4/15/05 BB- 4,480 4,242
Columbia/HCA
Healthcare Corp.
7.19%, 11/15/15 BB+ 9,615 7,752
7.58%, 9/15/25 BB+ 10,125 8,085
7.69%, 6/15/25 BB+ 2,235 1,835
8.70%, 2/10/10 BB+ 1,355 1,294
9.00%, 12/15/14 BB+ 6,215 5,976
Comcast Cable
Communications
6.20%, 11/15/08 BBB 14,570 13,379
Conoco, Inc.
6.95%, 4/15/29 A- 21,765 20,228
Continental Airlines,
Series 97-1 A
7.461%, 4/1/15 AA+ 4,430 4,361
Cox Communications, Inc.
6.80%, 8/1/28 BBB+ 3,745 3,271
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 1,215 1,165
7.875%, 12/15/07 BB+ 17,305 17,276
Delphi Automotive Systems
7.125%, 5/1/29 BBB 20,640 18,667
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ $ 9,113 $ 8,326
93-K1 A2
7.43%, 8/15/18 BB+ 480 423
94-K1 A1
7.60%, 8/15/07 BB+ 5,600 5,437
94-K2 A2
9.35%, 8/15/19 BB+ 3,790 3,781
Enron Corp.
6.95%, 7/15/28 BBB+ 13,725 12,110
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 18,570 16,516
(+) Florida Windstorm
7.125%, 2/25/19 AAA 18,345 17,254
Ford Motor Co.
6.625%, 10/1/28 A 20,060 17,867
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 12,275 12,271
7.45%, 3/1/08 BBB- 3,795 3,764
Host Marriott LP
8.375%, 2/15/06 BB 700 658
International Game
Technology
8.375%, 5/15/09 BB+ 11,170 10,691
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 7,540 7,615
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 13,120 13,074
8.375%, 11/1/05 BB+ 14,810 15,373
Lowe's Companies, Inc.
6.50%, 3/15/29 A 23,215 20,130
(+) Monsanto Co.
6.60%, 12/1/28 A 22,710 19,842
News America Holdings
7.75%, 2/1/24 BBB- 3,296 3,117
8.875%, 4/26/23 BBB- 830 882
News America, Inc.
7.28%, 6/30/28 BBB- 18,925 16,877
(+) Oxymar
7.50%, 2/15/16 BBB- 5,965 4,512
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 8,140 8,103
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 11,680 11,895
Saks, Inc.
7.375%, 2/15/19 BB+ 11,180 9,508
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 27,115 18,980
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 8,670 8,807
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 13,560 12,391
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 11,785 10,559
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB $ 14,655 $ 12,841
6.95%, 1/15/28 BBB 875 801
7.57%, 2/1/24 BBB 12,680 12,498
Union Pacific Corp.
6.625%, 2/1/29 BBB- 2,495 2,141
Series E
6.79%, 11/9/07 BBB- 5,200 5,000
USA Waste Services
7.00%, 7/15/28 BBB 15,685 12,316
(+) Waste Management, Inc.
7.375%, 5/15/29 BBB 6,545 5,381
- ------------------------------------------------------------
GROUP TOTAL 480,091
- ------------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 1 1
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 6/22/94,
cost $123) N/R 130 130
sec.## Magnolia Federal
Bank, Series 84-2
9.12%, 10/1/07
(acquired 5/1/87, cost
$150) N/R 153 156
## Resolution Trust
Corp., Series 92-5C CMO
8.60%, 1/25/26 AA 2,154 2,140
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 3,180 3,121
- ------------------------------------------------------------
GROUP TOTAL 5,548
- ------------------------------------------------------------
TELEPHONES (2.5%)
++ AT&T Corp.
6.50%, 3/15/29 AA- 24,145 21,396
Comcast Cable
Communications
8.375%, 5/1/07 BBB 4,275 4,498
GTE Corp.
6.94%, 4/15/28 A 13,460 12,592
Intermedia
Communications Inc.,
Series B
8.50%, 1/15/08 B 2,625 2,277
8.60%, 6/1/08 B 16,360 14,192
8.875%, 11/1/07 B 2,355 2,087
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 29,645 27,727
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
# Nextel Communications, Inc.
0.00%, 9/15/07 B- $ 15,975 $ 11,781
Qwest Communications
International, Inc.,
7.50%, 11/1/08 BB+ 130 129
Series B
# 0.00%, 2/1/08 BB+ 23,440 17,639
- ------------------------------------------------------------
GROUP TOTAL 114,318
- ------------------------------------------------------------
TRANSPORTATION (1.1%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 17,210 16,056
99-1 A
6.545%, 8/2/20 AA+ 4,590 4,226
(+) Jet Equipment Trust,
Series:
94-A A11
10.00%, 6/15/12 A 560 636
95-5A C
10.69%, 11/1/13 BBB- 8,650 9,948
Union Pacific Corp.
6.625%, 2/1/08 BBB- 11,920 11,323
7.125%, 2/1/28 BBB- 6,955 6,369
- ------------------------------------------------------------
GROUP TOTAL 48,558
- ------------------------------------------------------------
U.S. TREASURY SECURITIES (4.8%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 85,490 81,616
3.625%, 7/15/02
(Inflation Indexed) Tsy 12,109 12,018
!! 3.625%, 1/15/08
(Inflation Indexed) Tsy 31,647 30,609
4.50%, 1/31/01 Tsy 80,870 79,771
6.25%, 1/31/02 Tsy 11,820 11,960
- ------------------------------------------------------------
GROUP TOTAL 215,974
- ------------------------------------------------------------
UTILITIES (1.5%)
CMS Energy Corp.
7.50%, 1/15/09 BB 15,410 14,218
CMS Panhandle
Holdings Co.
7.00%, 7/15/29 BBB- 2,305 2,051
(+) Edison Mission Energy
Funding Corp.,
Series B
7.33%, 9/15/08 BBB 10,155 9,883
El Paso Energy
6.75%, 5/15/09 BBB 7,230 6,848
Enron Corp
6.95%, 7/15/28 BBB+ 6,140 5,417
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Florida Power & Light Co.
7.625%, 9/15/06 A+ $ 17,310 $ 17,593
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 10,785 10,407
- ------------------------------------------------------------
GROUP TOTAL 66,417
- ------------------------------------------------------------
YANKEE (6.4%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A 16,265 14,673
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 17,145 16,482
(+) Bayer
Hypo-Vereinsbank
8.741%, 6/30/31 A 11,300 11,203
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 6,015 5,447
7.75%, 7/15/08 A- 16,420 15,443
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ 13,705 11,683
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 14,560 12,294
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 21,305 18,362
(+) Hyundai Semiconductor
America
8.25%, 5/15/04 B 2,755 2,305
8.625%, 5/15/07 B 10,707 8,339
(+) Israel Electric Corp., Ltd.
7.75%, 12/15/27 A- 16,010 14,086
(+) Multicanal S.A.
10.50%, 2/1/07 BB- 245 200
10.50%, 4/15/18 BB+ 9,145 7,058
13.125%, 4/15/09 BB+ 3,970 3,735
National Power Corp.
8.40%, 12/15/16 BB+ 5,260 4,240
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 13,598 12,754
(+) Oil Purchase Co. II
10.73%, 1/31/04 BBB 2,535 2,460
(+) Orange plc
8.75%, 6/1/06 BB- 14,130 14,233
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 11,075 1,883
(+) Petrozuata Finance, Inc.
8.22%, 4/1/17 BB+ 23,215 16,522
Province of Quebec
7.50%, 9/15/29 A+ 16,600 16,698
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 31,220 28,568
Republic of Argentina
11.75%, 4/7/09 BB 14,335 13,876
Republic of Colombia
8.70%, 2/15/16 BBB- 18,355 13,517
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB $ 28,515 $ 21,030
Series B
6.25%, 12/31/19 BB 795 586
- ------------------------------------------------------------
GROUP TOTAL 287,677
- ------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $6,054,789) 5,897,235
- ------------------------------------------------------------
PREFERRED STOCK (1.2%)
- ------------------------------------------------------------
<CAPTION>
SHARES
--------
<S> <C> <C> <C>
MORTGAGE-OTHER (1.2%)
(+)+ Home Ownership
Funding Corp.
13.331% (Cost $52,531) Aaa 63,325 52,324
- ------------------------------------------------------------
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 A6
- ------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
Morgan Guaranty Trust
Company, 11/20/05;
monthly payments equal to
1% per annum of the
outstanding notional
balance, indexed to GNMA
ARM pools (Cost $5,305) N/R $ 80,539 1,454
- ------------------------------------------------------------
CASH EQUIVALENTS (15.5%)
- ------------------------------------------------------------
DISCOUNT NOTES (9.5%)
Federal Home Loan Bank
5.15%, 10/20/99 77,000 76,791
5.18%, 10/22/99 23,000 22,930
5.19%, 10/8/99 50,000 49,913
5.19%, 10/13/99 20,000 19,980
5.24%, 11/5/99 19,000 18,903
Federal Home Loan Mortgage
Corporation
5.17%, 10/7/99 40,000 39,966
5.24%, 11/4/99 50,000 49,752
Federal National Mortgage
Association
5.19%, 10/19/99 51,000 50,868
5.19%, 10/25/99 50,000 49,827
5.24%, 11/03/99 50,000 49,760
- ------------------------------------------------------------
GROUP TOTAL 428,690
- ------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (6.0%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $273,300,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at
$273,563 $273,261 $ 273,261
- ------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $701,951) 701,951
- ------------------------------------------------------------
TOTAL INVESTMENTS (147.2%) (Cost $6,814,576) 6,652,964
- ------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-47.2%)
Cash 1,227
Dividends Receivable 2,110
Interest Receivable 44,506
Receivable for Investments Sold 7,158
Receivable for Forward Commitments 676,015
Receivable for Fund Shares Sold 2,296
Investments Held as Collateral for Loaned
Securities 74,206
Other Assets 199
Payable for Investments Purchased (2,263)
Payable for Forward Commitments (2,843,829)
Payable for Fund Shares Redeemed (4,993)
Payable for Investment Advisory Fees (4,318)
Payable for Administrative Fees (299)
Payable for Shareholder Servicing
Fees-Investment Class (5)
Payable for Distribution Fees-Adviser Class (29)
Payable for Trustees' Deferred Compensation
Plan-Note F (199)
Payable for Daily Variation on Futures
Contracts (298)
Unrealized Loss on Swap Agreements (9,434)
Collateral on Securities Loaned, at Value (74,206)
Other Liabilities (995)
-----------
(2,133,151)
- ------------------------------------------------------------
NET ASSETS (100%) $ 4,519,813
- ------------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 385,361,129 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 4,338,939
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.26
- ------------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 3,475,714 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 39,165
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.27
- ------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------------
- ------------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 12,585,297 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 141,709
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.26
- ------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 4,732,600
Undistributed Net Investment Income (Loss) 82,491
Undistributed Realized Net Gain (Loss) (118,367)
Unrealized Appreciation (Depreciation) on:
Investment Securities (161,612)
Futures and Swaps (15,299)
- ------------------------------------------------------------
NET ASSETS $ 4,519,813
- ------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1999 was $3,659,000
or 0.1% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-income producing security
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
) Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as
of September 30, 1999.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with an
Fl inverse relationship to an associated interest rate.
Indicated rate is the effective rate at September 30,
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 A7 to
Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (131.0%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (71.4%)
Federal Home Loan
Mortgage Corporation, Conventional
Pools:
10.00%, 11/1/20 Agy $ 177 $ 191
11.50%, 8/1/19 Agy 349 391
12.50%, 4/1/14 Agy 5 6
Gold Pools:
10.00%, 6/1/17-3/1/21 Agy 1,013 1,100
12.00%, 11/1/19 Agy 60 67
October TBA
6.00%, 10/1/29 Agy 42,625 39,783
Federal National Mortgage
Association,
Conventional Pools:
6.00%, 4/1/27-4/1/29 Agy 31,471 29,391
9.50%, 2/1/20-8/1/20 Agy 940 1,008
10.00%, 8/1/18-2/1/25 Agy 534 579
10.50%, 11/1/10-2/1/28 Agy 683 750
11.00%, 9/1/19-9/1/20 Agy 992 1,108
11.50%, 11/1/19-9/1/25 Agy 573 647
October TBA
6.00%, 10/1/29 Agy 24,450 22,801
November TBA
6.50%, 11/1/29 Agy 4,000 3,831
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%, 8/20/27 Tsy 1,811 1,827
6.125%,
10/20/27-12/20/27 Tsy 845 849
6.375%, 5/20/25 Tsy 228 230
6.50%, 1/20/28 Tsy 108 109
6.625%,
7/20/27-9/20/27 Tsy 2,978 3,004
6.875%,
4/20/25-6/20/25 Tsy 1,051 1,060
7.00%, 2/20/25-8/20/25 Tsy 685 691
Various Pools:
6.875%, 2/20/27 Tsy 113 113
9.00%, 11/15/17 Tsy 359 382
9.50%,
12/15/17-12/15/21 Tsy 2,681 2,882
10.00%,
8/15/17-10/15/28 Tsy 2,328 2,530
10.50%,
8/15/19-2/15/25 Tsy 4,049 4,456
11.00%,
12/15/09-7/15/20 Tsy 421 471
11.50%, 8/15/13 Tsy 320 362
12.00%,
12/15/12-2/15/15 Tsy 173 196
October TBA
7.00%, 10/15/29 Tsy 15,850 15,555
- -----------------------------------------------------------
GROUP TOTAL 136,370
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (21.2%)
Advanta Mortgage Loan
Trust,
Series 97-4 A2
6.53%, 9/25/12 AAA $ 320 $ 319
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 16 16
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 77 77
Arcadia Automobile
Receivables Trust,
Series 98-A A3
5.90%, 11/15/02 AAA 775 773
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 535 531
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 344 343
Block Mortgage Finance
Co. Series 99-1 A1
5.94%, 8/26/13 AAA 514 511
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 950 950
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 802 795
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 717 716
## Citibank Credit Card
Master Trust I,
Series 98-7 A
5.279%, 5/15/02 AAA 550 550
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 310 309
Contimortgage Home
Equity Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 628 623
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 104 104
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 111 111
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Daimler Benz Vehicle
Trust, Series 98-A A2
5.23%, 12/20/01 AAA $ 591 $ 589
Delta Funding Home Equity
Loan Trust, Series 98-4
A1F
6.16%, 2/15/16 AAA 282 281
EQCC Home Equity Loan
Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 417 416
99-3 A1
6.548%, 4/25/10 AAA 1,494 1,489
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 105 105
First Security Auto
Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 765 764
98-A A
5.97%, 4/15/04 AAA 399 398
First Security Auto
Owner Trust,
Series 99-2 A2
5.492%, 5/15/02 AAA 875 872
## First USA Credit Card
Master Trust,
Series 97-10 A
5.471%, 9/17/03 AAA 375 375
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 633 633
98-A A3
5.65%, 10/15/01 AAA 273 272
99-B A3
5.47%, 9/15/01 AAA 1,750 1,741
99-C A3
5.77%, 11/15/01 AAA 1,925 1,918
99-D A3
6.20%, 4/15/02 AAA 1,900 1,900
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 726 726
Green Tree Financial
Corp., Series:
97-7 A3
6.18%, 9/15/09 AAA 67 67
+ 98-1 A2
5.85%, 4/1/11 Aaa 246 245
99-3 A2
5.51%, 6/1/06 AAA 1,300 1,293
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Green Tree Home
Equity Loan Trust,
Series 99-C A1
5.99%, 7/15/30 AAA $ 1,357 $ 1,354
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 494 493
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 630 623
Harley-Davidson Eaglemark
Motorcycle Trust,
Series:
99-1 A1
5.25%, 7/15/03 AAA 616 611
99-2 A
5.84%, 10/15/03 AAA 910 908
(+) Health Care
Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 N/R 200 200
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 165 165
Honda Auto Receivables
Owner Trust, Series
99-1 A2
5.186%, 6/16/01 AAA 625 623
IMC Home Equity
Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 350 348
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 101 100
MBNA Master Credit
Card Trust,
Series 99-J A
7.00%, 2/15/12 AAA 1,020 1,025
MMCA Automobile Trust,
Series:
97-1 A3
6.06%, 5/15/01 AAA 394 394
99-1 A2
5.43%, 1/15/04 AAA 775 773
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 375 375
Navistar Financial Corp.
Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 875 870
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Nissan Auto Receivables
Grantor Trust,
Series:
97-A A
6.15%, 2/15/03 AAA $ 555 $ 555
98-A A
5.45%, 4/15/04 AAA 1,198 1,188
+ Oakwood Mortgage
Investors, Inc.,
Series 99-B A1
5.023%, 5/15/09 Aaa 677 676
Option One Mortgage
Loan Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 697 692
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 1,825 1,819
Provident Bank Home
Equity Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 374 373
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 450 441
+## Residential Funding
Mortgage Securities
Co., Inc.,
Series 98-HI2 A1
5.42%, 2/25/10 Aaa 93 93
Residential Funding
Mortgage Securities I,
Series 99-HI4 A1
6.41%, 11/25/07 AAA 884 882
(+) Team Fleet Financing
Corp., Series:
96-1 A
6.65%, 12/15/02 A- 250 248
97-1 A
7.35%, 5/15/03 A- 600 604
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 671 670
USAA Auto Loan
Grantor Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 470 470
WFS Financial Owner
Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 152 151
97-D A3
6.25%, 3/20/02 AAA 412 412
99-B A2
5.83%, 4/20/02 AAA 975 972
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA $ 521 $ 521
- -----------------------------------------------------------
GROUP TOTAL 40,441
- -----------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 4,242 83
(+) 96-3 A YMA,
10/25/26 N/R 4,242 4
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 2,373 50
(+) 96-4 A11 I YMA,
1/15/28 AAA 2,373 3
96-4 A12 I IO
1.05%, 1/15/28 AAA 492 11
(+)@ 96-4 A12 I YMA,
1/15/28 AAA 492 --
97-1 A10 I IO
1.10%, 3/15/28 AAA 2,951 63
97-1 A10 I YMA,
3/15/28 N/R 2,951 3
- -----------------------------------------------------------
GROUP TOTAL 217
- -----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.3%)
Collateralized Mortgage
Obligation Trust,
Series 16-Q Inv Fl
13.25%, 3/20/18 AAA 61 62
Federal Home Loan
Mortgage Corporation,
Series:
63-SA Inv Fl IO
1.50%, 6/17/27 Agy 1,694 66
1887-SH Inv Fl IO
8.794%, 3/15/24 Agy 450 139
1911-C PO,
11/15/23 Agy 538 375
2171 B
6.28%, 6/25/09 Agy 1,140 1,084
Structured Pass-Through
Securities,
Series T-15 A1
5.83%, 12/25/13 Agy 573 570
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage Association,
Series:
## 92-43 FC
6.006%, 10/25/21 Agy $ 189 $ 190
## 94-73 F
5.906%, 12/25/20 Agy 41 41
97-53 IO PAC
8.00%, 8/18/27 Agy 765 202
## 97-70 FA REMIC, PAC
(11)
5.856%, 7/18/20 Agy 120 120
## 98-22 FA REMIC
5.781%, 4/18/22 Agy 403 401
## 99-42 SA IO
2.818%, 10/25/28 Agy 11,268 571
191 IO
8.00%, 1/1/28 Agy 2,028 575
270 2 IO
8.50%, 9/1/23 Agy 493 132
281 2 IO
9.00%, 11/1/26 Agy 557 140
291 2 IO
8.00%, 11/1/27 Agy 545 152
296 2 IO
8.00%, 4/1/24 Agy 2,350 632
275 2 IO
8.00%, 11/1/26 Agy 1,131 305
Government National
Mortgage Association,
Series:
97-13 SB Inv Fl IO
2.563%, 9/16/27 Tsy 2,400 187
99-30 S Inv Fl IO
3.22%, 8/16/29 Tsy 4,960 372
- -----------------------------------------------------------
GROUP TOTAL 6,316
- -----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 23 23
- -----------------------------------------------------------
COMMERCIAL MORTGAGES (1.6%)
## American Southwest Financial
Securities Corp.,
Series 93-2 S1 IO
1.091%, 1/18/09 N/R 5,568 161
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 192 196
## 95-MD4 ACS2 IO
2.321%, 8/13/29 AAA 1,906 267
96-MD6 A1C
7.04%, 11/13/26 AAA 300 295
+## 97-D5 PS1 IO
1.59%, 2/14/41 Aaa 2,638 236
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
(+) Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A $ 325 $ 320
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 234 246
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 2,823 125
+## GMAC Commercial
Mortgage Securities, Inc.,
Series:
96-C1 X2 IO
1.85%, 3/15/21 Aaa 2,121 140
97-C2 X IO
1.202%, 4/15/27 Aaa 3,389 208
## Nomura Asset
Securities Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 68 68
94-MD1 A2
7.862%, 3/15/18 N/R 125 127
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 377 377
(+) Prime Property
Funding,
Series 1 A
6.633%, 7/23/03 AA 173 170
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.573%, 2/25/28 N/R 1,863 96
96-CFL X1A IO
1.096%, 2/25/28 N/R 1,498 15
96-CFL X2 IO
1.159%, 2/25/28 N/R 656 14
- -----------------------------------------------------------
GROUP TOTAL 3,061
- -----------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- 305 286
- -----------------------------------------------------------
FINANCE (11.3%)
American General Corp.
6.625%, 2/15/29 AA- 445 388
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 335 323
Associates Corp. of North
America
6.00%, 7/15/05 AA- 420 401
Bank One Corp.
6.00%, 2/17/09 A 730 668
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ $ 340 $ 311
6.25%, 4/1/08 A 345 325
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 335 324
Beneficial Corp.,
Series F
6.47%, 11/17/08 A 310 290
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 A 150 143
Chase Manhattan Corp.
6.00%, 2/15/09 A 415 382
CIT Group, Inc.
5.91%, 11/23/05 A+ 595 557
Citicorp,
Series F
6.375%, 11/15/08 A+ 805 762
EOP Operating
6.763%, 6/15/07 BBB 165 154
7.25%, 6/15/28 BBB 300 261
7.50%, 4/19/29 BBB 365 327
Equifax, Inc.
6.30%, 7/1/05 A- 210 201
(+) Equitable Companies,
Inc.
6.50%, 4/1/08 A 290 276
Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 860 843
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 680 593
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 475 492
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 561 502
(+) First Chicago NBD
Corp., Series A
7.95%, 12/1/26 A- 390 371
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 575 559
!! First Union
Institutional Capital I
8.04%, 12/1/26 BBB+ 455 437
First Union National Bank
6.50%, 12/1/28 A 280 237
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 350 350
Hartford Life Corp.
7.65%, 6/15/27 A 510 498
Household Finance Corp.
5.875%, 2/1/09 A 105 95
6.375%, 8/1/10 A 495 458
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 710 700
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
IBM Corp.
6.50%, 1/15/28 A+ $ 915 $ 837
(+) Kroger Co.
7.70%, 6/1/29 BBB- 710 686
Merck & Co., Inc.
5.95%, 12/1/28 AAA 440 377
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 400 366
7.80%, 11/1/25 A+ 250 247
Nationsbank Corp.
6.80%, 3/15/28 A 265 238
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 755 687
New England Mutual,
Series DTC
7.875%, 2/15/24 A+ 350 348
Northern Trust Co.
6.625%, 10/1/03 AA- 955 956
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 1,035 927
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 330 302
(+) PNC Institutional
Capital
Series A
7.95%, 12/15/26 BBB+ 625 590
(+) Prime Property
Funding II
7.00%, 8/15/04 A 400 388
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 640 670
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 180 176
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 315 303
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 475 457
96 WFP-D
6.95%, 9/1/13 AA- 850 816
- -----------------------------------------------------------
GROUP TOTAL 21,599
- -----------------------------------------------------------
INDUSTRIALS (14.0%)
Albertson's, Inc.
7.45%, 8/1/29 A 745 740
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 771 723
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 1,055 931
Comcast Cable
Communications
6.20%, 11/15/08 BBB 395 363
Conoco, Inc.
6.95%, 4/15/29 A- 965 897
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Continental Airlines,
Series 97-1 A
7.461%, 4/1/15 AA+ $ 337 $ 332
DaimlerChrylser of North
America Holdings
7.20%, 9/1/09 A+ 955 960
Dayton Hudson Corp.
6.65%, 8/1/28 A- 505 451
6.75%, 1/1/28 A- 205 185
Delphi Automotive Systems
7.125%, 5/1/29 BBB 1,020 922
Enron Corp.
6.95%, 7/15/28 BBB+ 410 362
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 780 694
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,160 1,091
Ford Motor Co.
6.625%, 10/1/28 A 1,240 1,104
General Motors Corp.
6.75%, 5/1/28 A 400 363
Hertz Corp.
7.625%, 8/15/07 A- 755 768
(+) Home Depot, Inc.
6.50%, 9/15/04 AA- 1,010 1,012
Johnson & Johnson
6.625%, 9/1/09 AAA 975 971
Lowe's Companies, Inc.
6.50%, 3/15/29 A 625 542
6.875%, 2/15/28 A 380 346
Lucent Technologies, Inc.
6.45%, 3/15/29 A 1,020 920
(+) Monsanto Co.
6.60%, 12/1/28 A 910 795
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 785 737
News America Holdings
7.75%, 1/20/24 BBB- 240 228
7.75%, 2/1/24 BBB- 440 416
8.875%, 4/26/23 BBB- 295 313
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 1,015 938
Proctor & Gamble Co.
6.875%, 9/15/09 AA 470 472
Republic Services, Inc.
7.125%, 5/15/09 BBB 685 623
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 445 453
Scotia Pacific Co. LLC
7.11%, 1/20/14 A 560 448
7.71%, 7/20/28 BBB 390 273
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 370 376
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 295 264
Textron, Inc.
6.75%, 9/15/02 A 485 486
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB $ 440 $ 385
6.95%, 1/15/28 BBB 120 110
7.57%, 2/1/24 BBB 840 828
U.S. Airways Corp.,
Series 98-1 A
6.85%, 1/30/18 AA- 756 682
Union Pacific Co.
6.625%, 2/1/29 BBB- 600 515
United Technologies Corp.
6.70%, 8/1/28 A+ 1,205 1,101
Wal-Mart Stores
6.875%, 8/10/09 AA 1,700 1,705
- -----------------------------------------------------------
GROUP TOTAL 26,825
- -----------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Gemsco Mortgage Pass
Through Certficate,
Series 87-A
8.701%, 11/25/10 AA 155 156
## Resolution Trust
Corp.,
Series 92-5C CMO
8.60%, 1/25/26 AA 21 21
- -----------------------------------------------------------
GROUP TOTAL 177
- -----------------------------------------------------------
TELEPHONES (2.1%)
AT&T Corp.
6.50%, 3/15/29 AA- 1,140 1,010
BellSouth
Telecommunications
6.375%, 6/1/28 AAA 645 565
Comcast Cable
Communications
8.375%, 5/1/07 BBB 185 195
GTE Corp.
6.94%, 4/15/28 A 1,190 1,113
MCI Communications Corp.
6.50%, 4/15/10 A- 170 162
6.95%, 8/15/06 A- 140 139
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 860 805
- -----------------------------------------------------------
GROUP TOTAL 3,989
- -----------------------------------------------------------
TRANSPORTATION (1.0%)
Burlington Northern Santa
Fe
6.70%, 8/1/28 BBB+ 910 800
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 333 310
99-1 A
6.545%, 8/2/20 AA+ 440 405
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 395 449
- -----------------------------------------------------------
GROUP TOTAL 1,964
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITY (2.9%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy $ 4,425 $ 5,572
- -----------------------------------------------------------
UTILITIES (1.8%)
CMS Panhandle Holdings
Co.
7.00%, 7/15/29 BBB- 640 569
(+) Edison Mission Energy
Funding Corp.
7.33%, 9/15/08 BBB 535 521
El Paso Energy
6.75%, 5/15/09 BBB 285 270
Enron Corp.
6.95%, 7/15/28 BBB+ 425 375
FPL Group Capital, Inc.
7.375%, 6/1/09 A+ 1,250 1,249
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 460 444
- -----------------------------------------------------------
GROUP TOTAL 3,428
- -----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $254,883) 250,268
- -----------------------------------------------------------
PREFERRED STOCK (0.5%)
- -----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.5%)
(+)+ Home Ownership
Funding Corp.
13.331% (Cost $959) Aaa 1,200 992
- -----------------------------------------------------------
CASH EQUIVALENTS (10.3%)
- -----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
DISCOUNT NOTE (4.7%)
Federal National Mortgage
Association
5.10%, 10/29/99 $ 9,000 8,963
- -----------------------------------------------------------
REPURCHASE AGREEMENT (5.6%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $10,641,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $10,651 10,639 10,639
- -----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $19,602) 19,602
- -----------------------------------------------------------
TOTAL INVESTMENTS (141.8%) (Cost $275,444) 270,862
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -----------------------------------------------------------
--------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-41.8%)
Cash $ 29
Dividends Receivable 40
Interest Receivable 1,719
Receivable for Investments Sold 1,218
Receivable for Forward Commitments 3,847
Receivable for Fund Shares Sold 35
Investments Held as Collateral for Loaned
Securities 8,655
Other Assets 6
Payable for Investments Purchased (1,058)
Payable for Forward Commitments (85,094)
Payable for Fund Shares Redeemed (78)
Payable for Investment Advisory Fees (179)
Payable for Administrative Fees (12)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable for Daily Variation Margin on Futures
Contracts (104)
Unrealized Loss on Swap Agreements (116)
Collateral on Securities Loaned, at Value (8,655)
Other Liabilities (57)
----------
(79,810)
- -----------------------------------------------------------
NET ASSETS (100%) $ 191,052
- -----------------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 18,002,507 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 189,860
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.55
- -----------------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 113,178 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 1,192
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.53
- -----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 197,610
Undistributed Net Investment Income (Loss) 2,949
Undistributed Realized Net Gain (Loss) (4,676)
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,582)
Futures and Swaps (249)
- -----------------------------------------------------------
NET ASSETS $ 191,052
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
## Variable or floating rate securities-rate disclosed is
as of September 30, 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 September 30,
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 A7 to
Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 35
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (90.5%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.6%)
(+)++ Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R $ 4,693 $ 1,173
(+)+ Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 1,711 1,699
(+) OHA Auto Grantor
Trust, Series 97-A
11.00%, 9/15/03 BB 3,094 2,965
- -----------------------------------------------------------
GROUP TOTAL 5,837
- -----------------------------------------------------------
CABLE (6.1%)
Adelphia Communications Corp.
7.75%, 1/15/09 B+ 4,850 4,371
Series B
8.375%, 2/1/08 B+ 10,925 10,215
9.875%, 3/1/07 B+ 1,500 1,530
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 1,200 1,151
9.875%, 5/15/06 BB- 5,270 5,500
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 570 568
# NTL, Inc.
0.00%, 4/1/08 B- GBP 10,150 10,942
Rogers Cablesystems
Ltd., Series B
10.125%, 9/1/12 BB+ $ 2,750 2,970
(+)# Telewest plc
0.00%, 4/15/09 B+ GBP 10,760 10,537
(+) United Pan-Europe
Communications N.V.
10.875%, 8/1/09 B- $ 10,100 10,201
- -----------------------------------------------------------
GROUP TOTAL 57,985
- -----------------------------------------------------------
CHEMICALS (2.8%)
(+) Huntsman ICI
10.125%, 7/1/09 B+ 5,650 5,509
10.125%, 7/1/09 B+ EUR 4,850 5,057
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- $ 8,000 7,820
Lyondell Chemical Co.
9.625%, 5/1/07 BB 8,850 8,817
- -----------------------------------------------------------
GROUP TOTAL 27,203
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& 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 $ 514 $ 247
- -----------------------------------------------------------
COMMERCIAL MORTGAGES (0.5%)
(+)+## DLJ Mortgage
Acceptance Corp.
Series 97-CF2 S IO
0.353%, 10/15/17 Aaa 101,822 2,074
(+) Federal Mortgage
Acceptance Corp.,
Loan Receivables Trust,
Series 96-B C A1 IO
7.929%, 11/1/18 N/R 3,937 1,378
+## GMAC Commercial Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.85%, 3/15/21 Aaa 13,571 894
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.573%, 2/25/28 N/R 11,696 605
96-CFL X1A IO
1.096%, 2/25/28 N/R 9,346 97
96-CFL X2 IO
1.159%, 2/25/28 N/R 3,838 80
- -----------------------------------------------------------
GROUP TOTAL 5,128
- -----------------------------------------------------------
COMMUNICATIONS (21.3%)
American Cellular Corp.
10.50%, 5/15/08 CCC+ 7,530 7,756
AMSC Acquisition Co., Inc., Series
B
12.25%, 4/1/08 N/R 7,200 5,112
Centennial Cellular
Operating Co.
10.75%, 12/15/08 CCC+ 8,050 8,402
+ Dial Call
Communications, Inc.
10.25%, 12/15/05 B2 4,785 4,821
Dobson Communications Corp.
11.75%, 4/15/07 N/R 5,900 6,224
# Dolphin Telecommunications
0.00%, 6/1/08 CCC+ EUR 8,750 3,934
(+) 0.00%, 5/15/09 CCC+ $ 7,980 3,192
Esprit Telecom Group plc
11.00%, 6/15/08 B- DEM 2,953 3,220
11.50%, 12/15/07 B- 1,892 2,104
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 B- $ 8,050 8,271
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
(+) Globalstar
LP/Capital
11.375%, 2/15/04 B $ 7,625 $ 4,956
Hermes Europe Railtel
10.375%, 1/15/09 B 2,200 2,145
11.50%, 8/15/07 B 5,470 5,525
# Hyperion Telecommunications,
Inc.
0.00%, 4/15/03 B 8,445 7,094
# Intermedia Communications, Inc.
Series B
0.00%, 7/15/07 B 18,650 12,402
Series B
8.60%, 6/1/08 B 3,200 2,776
(+)) Iridium Capital Corp., Series
A
13.00%, 7/15/05 D 10,475 1,100
IXC Communications, Inc.
9.00%, 4/15/08 CCC+ 3,625 3,580
Metromedia Fiber
Network, Inc.
10.00%, 11/15/08 B 5,720 5,548
Nextel Communications, Inc.
# 0.00%, 9/15/07 B- 14,800 10,915
# 0.00%, 2/15/08 B- 11,055 7,683
++ 9.75%, 8/15/04 B- 4,200 4,237
NEXTLINK Communications
# 0.00%, 4/15/08 B- 8,090 4,859
10.75%, 11/15/08 B 4,065 4,090
(+) OnePoint Communications Corp.
14.50%, 6/1/08 N/R 4,100 2,624
Primus
Telecommunications
Group, Inc.
11.25%, 1/5/09 B- 4,800 4,560
Series B
9.875%, 5/15/08 B- 6,120 5,355
(+) PSINet, Inc.
11.00%, 8/1/09 B- 6,675 6,575
Series B
10.00%, 2/15/05 B- 4,465 4,286
# RCN Corp.
0.00%, 10/15/07 B- 14,900 9,685
# Rhythms
NetConnections, Inc.,
Series B
0.00%, 5/15/08 CCC+ 9,950 4,950
RSL Communications plc
# 0.00%, 3/1/08 B- 7,790 4,382
# 0.00%, 3/15/08 B- EUR 9,689 5,929
9.125%, 3/1/08 B- $ 7,000 5,985
12.00%, 11/1/08 B- 3,000 2,970
12.25%, 11/15/06 B- 300 300
(+) Tele1 Europe B.V.
13.00%, 5/15/09 N/R EUR 6,460 6,737
+# Viatel, Inc.
0.00%, 4/15/08 B- 9,200 5,244
# Wam!Net, Inc.,
Series B
0.00%, 3/1/05 CCC+ 8,000 4,770
- -----------------------------------------------------------
GROUP TOTAL 204,298
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
ENERGY (2.0%)
# Husky Oil Ltd.
8.90%, 8/15/28 BB+ $ 4,500 $ 4,309
Snyder Oil Corp.
8.75%, 6/15/07 B+ 9,275 9,171
Vintage Petroleum, Inc.
8.625%, 2/1/09 B+ 1,700 1,636
9.75%, 6/30/09 B+ 3,480 3,558
- -----------------------------------------------------------
GROUP TOTAL 18,674
- -----------------------------------------------------------
FOOD & BEVERAGE (1.0%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 10,500 9,450
- -----------------------------------------------------------
GAMING (6.5%)
Harrahs Operating Co., Inc.
7.875%, 12/15/05 BB+ 15,300 14,650
Horseshoe Gaming
Holdings
8.625%, 5/15/09 B+ 1,350 1,286
8.652%, 5/15/09 B+ 9,100 8,668
International Game
Technology
8.375%, 5/15/09 BB+ 10,345 9,901
Park Place Entertainment Corp.
7.875%, 12/15/05 BB+ 11,975 11,301
Station Casinos, Inc.
8.875%, 12/1/08 B+ 7,535 7,309
9.75%, 4/15/07 B+ 7,195 7,303
10.125%, 3/15/06 B+ 1,575 1,618
- -----------------------------------------------------------
GROUP TOTAL 62,036
- -----------------------------------------------------------
GENERAL INDUSTRIAL (4.3%)
Applied Power, Inc.
8.75%, 4/1/09 B+ 4,350 4,067
Axia, Inc.
10.75%, 7/15/08 B- 4,350 4,024
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 11,705 10,300
Norcal Waste Systems, Inc.
13.50%, 11/15/05 BB- 6,450 6,902
Sequa Corp.
9.00%, 8/1/09 BB 5,025 4,937
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Waste Management, Inc.
(+) 6.875%, 5/15/09 BBB $ 3,050 $ 2,668
7.00%, 10/15/06 BBB 1,915 1,730
7.125%, 10/1/07 BBB 2,800 2,530
7.125%, 12/15/17 BBB 1,750 1,442
7.65%, 3/15/11 BBB 2,360 2,154
- -----------------------------------------------------------
GROUP TOTAL 40,754
- -----------------------------------------------------------
HEALTH CARE (6.9%)
Columbia/HCA Healthcare
Corp.
6.91%, 6/15/05 BB+ 18,400 16,574
7.00%, 7/1/07 BB+ 3,700 3,259
7.15%, 3/30/04 BB+ 5,400 5,013
7.25%, 5/20/08 BB+ 2,630 2,331
7.58%, 9/15/25 BB+ 750 599
7.69%, 6/15/25 BB+ 10,800 8,868
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 7,615 7,006
(+) Sirona Dental
Systems
9.125%, 7/15/08 B EUR 3,878 3,054
Tenet Healthcare Corp.
8.125%, 12/1/08 BB- $ 14,075 12,879
8.625%, 1/15/07 BB- 7,300 6,953
- -----------------------------------------------------------
GROUP TOTAL 66,536
- -----------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (2.8%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 9,655 9,220
HMH Properties,
Series A
7.875%, 8/1/05 BB 11,450 10,534
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 6,385 6,640
- -----------------------------------------------------------
GROUP TOTAL 26,394
- -----------------------------------------------------------
MEDIA & ENTERTAINMENT (4.1%)
Chancellor Media Corp.
9.00%, 10/1/08 B 7,495 7,607
Series B
8.125%, 12/15/07 B 12,000 11,580
Echostar DBS Corp.
9.375%, 2/1/09 B 10,400 10,231
Outdoor Systems, Inc.
8.875%, 6/15/07 B 9,095 9,345
- -----------------------------------------------------------
GROUP TOTAL 38,763
- -----------------------------------------------------------
METALS (3.9%)
(+) EES Coke Battery Co., Inc.
9.382%, 4/15/07 B+ 2,500 2,416
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 4,165 3,551
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Impress Metal Packaging Holdings
9.875%, 5/29/07 B EUR 5,647 $ 6,370
Murrin Murrin Holdings
Ltd.
9.375%, 8/31/07 BB- $ 10,925 9,668
National Steel Corp.,
Series D
9.875%, 3/1/09 B+ 11,225 11,113
(+) Republic
Technologies
International LLC
13.75%, 7/15/09 B 4,750 4,512
- -----------------------------------------------------------
GROUP TOTAL 37,630
- -----------------------------------------------------------
PACKAGING (2.6%)
Norampac, Inc.
9.50%, 2/1/08 BB 8,300 8,425
Pacifica Papers, Inc.
10.00%, 3/15/09 B+ 8,790 8,889
SD Warren Co.
12.00%, 12/15/04 B+ 4,365 4,603
Tembec Industries, Inc.
8.625%, 6/30/09 BB+ 3,330 3,263
- -----------------------------------------------------------
GROUP TOTAL 25,180
- -----------------------------------------------------------
REAL ESTATE/BUILDING (2.8%)
American Standard
7.125%, 6/1/06 BB- EUR 8,185 8,416
D. R. Horton, Inc.
8.00%, 2/1/09 BB $ 10,140 9,024
Nortek, Inc.,
Series B
8.875%, 8/1/08 B+ 10,315 9,748
- -----------------------------------------------------------
GROUP TOTAL 27,188
- -----------------------------------------------------------
RETAIL (7.2%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 7,848 7,338
CEX Holdings, Inc.
9.625%, 6/1/08 B 6,300 6,670
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 3,232 2,952
93-K1 A2
7.43%, 8/15/18 BB+ 2,565 2,260
94-K1 A1
7.60%, 8/15/07 BB+ 3,359 3,261
94-K1 A2
8.375%, 8/15/15 BB+ 3,625 3,461
94-K2 A2
9.35%, 8/15/19 BB+ 4,910 4,898
HMV Media Group plc
Class B
10.875%, 5/15/08 B GBP 5,700 9,428
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ $ 7,240 $ 7,312
Musicland Group, Inc.
9.00%, 6/15/03 B- 4,520 4,384
Series B
9.875%, 3/15/08 B- 10,205 9,287
(+) Stater Bros. Holdings, Inc.
10.75%, 8/15/06 B+ 7,410 7,558
- -----------------------------------------------------------
GROUP TOTAL 68,809
- -----------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (11.4%)
Asia Pulp & Paper Co., Ltd.,
Series A
12.00%, 2/15/04 CCC+ 3,305 1,752
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 7,285 7,003
(+) Bayan Telecommunications
Holdings Corp.
13.50%, 7/15/06 B- 11,200 10,584
(+) Cablevision S.A.
13.75%, 5/1/09 BB 4,200 3,948
(+)# Compania
Energetica
9.125%, 6/26/07 N/R 3,600 3,123
# CTI Holdings S.A.
0.00%, 4/15/08 B 10,405 5,151
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 5,650 4,401
Indah Kiat Finance
Mauritius
10.00%, 7/1/07 B+ 9,850 5,368
Multicanal S.A.
10.50%, 2/1/07 BB- 5,940 4,845
(+) 13.125%, 4/15/09 BB+ 1,655 1,557
(+) Netia Holdings
13.50%, 6/15/09 B EUR 7,500 7,961
(+)++) NSM Steel, Inc.
12.25%, 2/1/08 D $ 5,105 5
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 10,980 5,984
Phillipine Long Distance
Telephone Co.,
Series E
7.85%, 3/6/07 BB+ 4,000 3,410
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 12,855 7,006
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 8,703 6,092
Republic of Colombia
9.75%, 4/23/09 BBB- 5,000 4,311
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Satelites Mexicanos S.A.
10.125%, 11/1/04 B- $ 6,615 $ 5,160
(+) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 2,140 2,065
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 16,000 12,320
United Mexican States Par Bond,
Series A
6.25%, 12/31/19 BB 9,710 7,161
- -----------------------------------------------------------
GROUP TOTAL 109,207
- -----------------------------------------------------------
TECHNOLOGY (0.1%)
Entex Information
Services, Inc.
12.50%, 8/1/06 B- 1,490 924
- -----------------------------------------------------------
TRANSPORTATION (1.3%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 5,653 5,653
(+) Jet Equipment
Trust,
Series:
94-C1
11.79%, 6/15/13 BBB- 3,450 4,161
95-D
11.44%, 11/1/14 BBB- 2,350 2,803
- -----------------------------------------------------------
GROUP TOTAL 12,617
- -----------------------------------------------------------
UTILITIES (2.3%)
AES Corp.
8.50%, 11/1/07 B+ 9,115 8,317
CMS Energy Corp.
7.50%, 1/15/09 BB 10,345 9,545
(+) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 5,000 4,575
- -----------------------------------------------------------
GROUP TOTAL 22,437
- -----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $936,894) 867,297
- -----------------------------------------------------------
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 12,506 1,376
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (2.3%)
- -----------------------------------------------------------
COMMUNICATIONS (1.7%)
* Concentric Network
Corp., PIK, Series B
13.50% N/R 54,634 $ 5,026
* Dobson Communications
Corp.
13.00%, 5/1/09 N/R 47,500 4,584
* IXC Communications, Inc.,
Series B PIK
7.25% CCC+ 5,923 6,337
- -----------------------------------------------------------
GROUP TOTAL 15,947
- -----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.6%)
Paxson Communications
Corp., 13.25% CCC+ 53,403 5,768
- -----------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $19,385) 21,715
- -----------------------------------------------------------
WARRANTS (0.2%)
- -----------------------------------------------------------
COMMUNICATIONS (0.1%)
*(+) American Mobile
Satellite Corp.,
expiring 4/1/08 N/R 62,850 220
*(+) Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 3,235 299
*(+) Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 1,920 2
*(+) OnePoint
Communications Corp.
expiring 6/1/08 N/R 41,000 4
*(+) Tele1 Europe B.V.
expiring 1/1/01 N/R 64,600 481
*(+)@ Wam!Net, Inc.,
expiring 3/1/05 N/R 18,975 --
- -----------------------------------------------------------
GROUP TOTAL 1,006
- -----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*(+) Paxson
Communications Corp.,
expiring 6/30/03 N/R 3,616 1
- -----------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.1%)
*(+) NSM Steel, Inc.,
expiring 2/1/08 N/R 3,231,937 3
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 43,920 659
- -----------------------------------------------------------
GROUP TOTAL 662
- -----------------------------------------------------------
TOTAL WARRANTS (Cost $445) 1,669
- -----------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (7.0%)
- -----------------------------------------------------------
REPURCHASE AGREEMENT (7.0%)
Chase Securities, Inc. 5.20%,
dated 9/30/99, due 10/1/99, to
be repurchased at $66,788,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at
$66,852 (Cost $66,778) $66,778 $ 66,778
- -----------------------------------------------------------
TOTAL INVESTMENTS (100.1%) (Cost $1,024,632) 958,835
- -----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
Foreign Currency Held as Collateral on Futures
Contracts (Cost $1,162) 1,162
Interest Receivable 20,294
Receivable for Fund Shares Sold 425
Receivable for Variation Margin on Futures
Contracts 664
Other Assets 34
Payable to Custodian (386)
Payable for Investments Purchased (20,677)
Payable for Fund Shares Redeemed (140)
Payable for Investment Advisory Fees (912)
Payable for Administrative Fees (62)
Payable for Shareholder Servicing Fees-
Investment Class (1)
Payable for Distribution Fees-Advisor Class (3)
Payable for Trustees' Deferred Compensation
Plan-Note F (34)
Unrealized Loss on Forward Foreign Currency
Contracts (881)
Other Liabilities (94)
----------
(611)
- -----------------------------------------------------------
NET ASSETS (100%) $ 958,224
- -----------------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 106,896,559 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 937,482
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.77
- -----------------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 802,219 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 7,041
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.78
- -----------------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 1,564,450 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 13,701
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.76
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $1,008,565
Undistributed Net Investment Income (Loss) 29,048
Undistributed Realized Net Gain (Loss) (13,993)
Unrealized Appreciation (Depreciation) on:
Investment Securities (65,797)
Foreign Currency Transactions (485)
Futures 886
- -----------------------------------------------------------
NET ASSETS $ 958,224
- -----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-income producing security
(+) 144A security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover margin
requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
) Security is in default.
# Step Bond-Coupon rate increases in increments to maturity.
Rate disclosed is as of September 30, 1999. Maturity date
disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as of
September 30, 1999.
@ Value is less than $500.
DEM German Mark
EUR Euro
GBP British Pound
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or Standard &
Poor's Corporation.
PIK Payment-In-Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (71.1%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
FACE
AMOUNT VALUE
SEPTEMBER 30, 1999 (000) (000)!
- ---------------------------------------------------------
<S> <C> <C>
COMMERCIAL BANKING & CREDIT (31.8%)
Abbey National N.A.
5.30%, 12/30/99 $1,000 $ 987
ABN-Amro Chicago
5.30%, 12/29/99 3,000 2,961
Associates Corp. of North America
5.20%, 12/20/99 3,500 3,459
Associates First Capital Corp.
5.18%, 10/13/99 2,000 1,997
Bank of New York
5.33%, 11/8/99 2,000 1,989
CBA (Delaware)
5.34%, 12/3/99 2,000 1,981
Chase Manhattan Bank
4.95%, 10/4/99 3,000 2,998
Ciesco LP Corp.
5.25%, 10/5/99 2,500 2,499
5.30%, 10/25/99 2,000 1,993
5.32%, 11/5/99 1,500 1,492
CIT Group Holdings, Inc.
5.31%, 12/27/99 3,000 2,962
Citicorp
5.70%, 1/26/00 2,500 2,454
Deutsche Bank
5.16%, 12/29/99 2,000 1,974
5.21%, 12/10/99 3,000 2,970
Dresdner U.S. Finance Corp.
5.33%, 11/2/99 1,000 995
J.P. Morgan & Co.
5.32%, 10/22/99 1,100 1,097
5.35%, 11/15/99 2,500 2,483
5.78%, 1/27/00 2,000 1,962
New Center Asset Trust Corp.
5.32%, 11/17/99 1,500 1,490
5.77%, 1/28/00 2,000 1,962
5.77%, 2/3/00 2,000 1,960
Northwest Financial Corp.
5.72%, 2/2/00 2,000 1,961
5.72%, 2/7/00 2,000 1,959
5.78%, 2/9/00 1,500 1,468
- ---------------------------------------------------------
GROUP TOTAL 50,053
- ---------------------------------------------------------
FINANCIAL LEASING & SERVICES (8.0%)
Barclays U.S. Funding Corp.
5.71%, 1/4/00 2,000 1,970
Goldman Sachs & Co.
5.30%, 11/22/99 2,000 1,985
Merrill Lynch & Co.
5.30%, 10/8/99 2,500 2,496
5.31%, 10/21/99 2,200 2,194
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
National Rural Utilities Cooperative
Finance Corp.
5.30%, 10/8/99 $1,500 $ 1,498
5.30%, 11/12/99 2,500 2,485
- ---------------------------------------------------------
GROUP TOTAL 12,628
- ---------------------------------------------------------
INDUSTRIALS (20.1%)
American Honda Finance
5.30%, 10/7/99 2,343 2,341
BMW U.S. Capital Corp.
5.29%, 10/14/99 2,000 1,996
5.29%, 10/18/99 3,000 2,993
BP America Corp.
5.00%, 10/1/99 6,000 6,000
Daimler-Benz North America Corp.
5.30%, 10/20/99 2,000 1,994
Ford Motor Credit Co.
5.14%, 12/16/99 3,000 2,967
5.23%, 12/15/99 2,500 2,473
General Electric Capital Corp.
5.00%, 1/20/00 4,000 3,938
5.42%, 1/21/00 2,000 1,966
IBM Credit Corp.
5.28%, 12/16/99 3,000 2,967
5.72%, 2/4/00 2,000 1,960
- ---------------------------------------------------------
GROUP TOTAL 31,595
- ---------------------------------------------------------
MANUFACTURING & RETAIL TRADE (4.2%)
Coca-Cola Co. (The)
5.30%, 10/28/99 3,650 3,635
Proctor & Gamble Corp.
5.30%, 12/17/99 3,000 2,966
- ---------------------------------------------------------
GROUP TOTAL 6,601
- ---------------------------------------------------------
PERSONAL BANKING & CREDIT (7.0%)
Household Finance Corp.
5.27%, 10/6/99 2,500 2,498
Metropolitan Life Insurance Co.
5.29%, 10/15/99 1,600 1,597
UBS Finance, Inc.
4.81%, 10/12/99 3,000 2,996
4.93%, 12/21/99 4,000 3,955
- ---------------------------------------------------------
GROUP TOTAL 11,046
- ---------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $111,923) 111,923
- ---------------------------------------------------------
CERTIFICATES OF DEPOSIT (15.6%)
- ---------------------------------------------------------
COMMERCIAL BANKING & CREDIT (15.6%)
Bank of Austria (NY)
5.04%, 1/12/00 4,000 4,000
Chase Manhattan Bank
5.60%, 1/24/00 3,000 3,000
Commerzbank U.S. Finance, Inc.
5.09%, 2/16/00 3,000 3,000
Deutsche Bank
5.02%, 1/12/00 1,000 1,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ---------------------------------------------------------
<S> <C> <C>
FCC National Bank
5.27%, 12/28/99 $3,000 $ 3,000
Harris Trust & Savings Corp.
5.28%, 11/1/99 5,000 5,000
U.S. Bank
6.00%, 1/31/00 1,500 1,500
U.S. Bank of North America
5.85%, 1/18/00 4,000 4,000
- ---------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (Cost $24,500) 24,500
- ---------------------------------------------------------
U.S. GOVERNMENT & AGENCY SECURITIES (2.5%)
Federal Home Loan Bank
5.03%, 4/28/00 (Cost $3,997) 4,000 3,997
- ---------------------------------------------------------
DISCOUNT NOTES (1.9%)
Federal Home Loan Bank
4.77%, 3/16/00 (Cost $2,934) 3,000 2,934
- ---------------------------------------------------------
REPURCHASE AGREEMENT (8.7%)
Chase Securities, Inc.
5.20%, dated 9/30/99, due 10/1/99,
to be repurchased at $13,731,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $13,744
(Cost $13,729) 13,729 13,729
- ---------------------------------------------------------
TOTAL INVESTMENTS (99.8%) (Cost $157,083) 157,083
- ---------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.2%)
Cash 1
Interest Receivable 509
Receivable for Fund Shares Sold 1
Other Assets 7
Dividend Payable (54)
Payable for Investment Advisory Fees (86)
Payable for Administrative Fees (10)
Payable for Trustees' Deferred Compensation
Plan-Note F (1)
Other Liabilities (21)
--------
346
- ---------------------------------------------------------
NET ASSETS (100%) $157,429
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 156,498,086 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $156,510
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ---------------------------------------------------------
ADVISER CLASS
- ---------------------------------------------------------
NET ASSETS
Applicable to 918,780 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 919
- ---------------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $157,417
Undistributed Realized Net Gain (Loss) 12
- ---------------------------------------------------------
NET ASSETS $157,429
- ---------------------------------------------------------
</TABLE>
! See Note A1 to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 43
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (132.1%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (65.4%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
8.25%, 10/1/06 Agy $ 52 $ 54
10.00%, 9/1/17-11/1/20 Agy 625 675
10.25%, 7/1/09 Agy 153 166
11.00%, 1/1/16 Agy 176 197
11.25%, 9/1/10-12/1/14 Agy 209 234
Gold Pools:
10.00%, 10/1/19-1/1/21 Agy 982 1,066
10.50%, 3/1/16 Agy 543 598
October TBA
6.00%, 10/1/29 Agy 80,950 75,553
Federal National Mortgage
Association,
Conventional Pools:
6.00%, 4/1/29 Agy 34,498 32,219
9.00%, 2/1/17 Agy 809 857
9.50%, 5/1/28 Agy 1,881 2,019
10.00%, 3/1/20-5/1/22 Agy 1,655 1,794
10.50%, 11/1/17-2/1/28 Agy 635 698
10.75%, 8/1/13 Agy 23 25
11.00%, 4/1/21 Agy 1,812 2,023
11.25%, 8/1/13 Agy 142 159
11.50%, 1/1/17-9/1/25 Agy 415 468
October TBA
6.00%, 10/1/29 Agy 61,150 57,025
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.375%, 2/20/25-6/20/25 Tsy 4,416 4,452
6.50%, 10/20/27-1/20/28 Tsy 6,082 6,112
6.875%, 4/20/25-6/20/25 Tsy 2,520 2,540
7.00%, 2/20/25-11/20/25 Tsy 3,685 3,715
7.125%, 7/20/25 Tsy 337 341
Various Pools:
9.00%, 11/15/17 Tsy 2,153 2,289
9.50%, 12/15/17-9/15/28 Tsy 8,040 8,641
10.00%,
11/15/09-4/15/28 Tsy 11,143 12,112
10.50%,
12/15/00-5/15/19 Tsy 75 82
11.00%, 2/15/10-2/15/19 Tsy 820 918
11.50%, 1/20/18 Tsy 8 8
October TBA
7.00%, 10/15/29 Tsy 24,450 23,995
November TBA
7.00%, 11/15/29 Tsy 11,000 10,794
- ----------------------------------------------------------
GROUP TOTAL 251,829
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
- ----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (22.4%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R $ 61 $ 61
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 215 215
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 1,260 1,259
97-D A3
6.20%, 5/15/03 AAA 1,301 1,299
98-A A3
5.90%, 11/15/02 AAA 1,350 1,346
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 1,387 1,377
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 887 883
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 1,825 1,824
Centex Home Equity, Series
99-2 A1
5.91%, 4/25/19 AAA 1,810 1,795
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 524 524
## Citibank Credit Card
Master Trust I,
Series 98-7 A
5.279%, 5/15/02 AAA 2,750 2,748
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 929 926
Contimortgage Home
Equity Loan Trust,
Series 99-A A1
6.01%, 12/25/13 AAA 1,781 1,767
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 250 251
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 305 305
Daimler Benz Vehicle
Trust, Series 98-A A2
5.23%, 12/20/01 AAA 1,534 1,529
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
EQCC Home Equity Loan
Trust,
Series:
98-1 A1F
6.21%, 12/15/07 AAA $ 27 $ 27
98-2 A1F
6.235%, 4/15/08 AAA 679 677
99-3 A1F
6.548%, 4/25/10 AAA 3,000 2,991
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 170 170
First Security Auto
Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 1,219 1,217
98-A A
5.97%, 4/15/04 AAA 1,027 1,023
99-2 A2
5.492%, 5/15/02 AAA 2,500 2,490
## First USA Credit Card
Master Trust,
Series 97-10 A
5.471%, 9/17/03 AAA 1,925 1,924
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 411 411
98-A A3
5.65%, 10/15/01 AAA 3,078 3,071
99-C A3
5.77%, 11/15/01 AAA 4,000 3,985
99-D A3
6.20%, 4/15/02 AAA 3,600 3,599
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 1,018 1,020
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 179 179
+ 98-1 A2
5.85%, 4/1/11 Aaa 1,289 1,286
99-A A1
5.59%, 2/15/13 AAA 1,584 1,579
Green Tree Home Equity
Loan Trust, Series 99-C
A1
5.99%, 7/15/30 AAA 2,876 2,870
+ Green Tree Home
Improvement Loan Trust,
Series 98-E HIA1
5.90%, 8/15/07 Aaa 1,116 1,114
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 1,679 1,661
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) Health Care
Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 N/R $ 400 $ 401
Honda Auto Lease Trust,
Series 99-A A2
5.875%, 10/15/01 AAA 2,350 2,346
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 455 454
97-B A
5.95%, 5/15/03 AAA 1,533 1,528
99-1 A2
5.186%, 6/15/01 AAA 1,925 1,919
IMC Home Equity Loan
Trust, Series 98-1 A2
6.31%, 12/20/12 AAA 2,119 2,112
## IndyMac Home Equity
Loan, Series 98-A AF1
5.47%, 9/25/20 AAA 1,139 1,138
(+) Long Beach Acceptance
Auto Grantor Trust,
Series:
97-2 A
6.69%, 9/25/04 AAA 292 292
98-1 A
6.19%, 1/25/04 AAA 311 308
MBNA Master Credit Card
Trust, Series 99-J A
7.00%, 2/15/12 AAA 1,955 1,964
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,124
Navistar Financial Corp.
Owner Trust, Series 99-A
A2
5.55%, 2/15/02 AAA 2,225 2,213
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 486 486
+ Oakwood Mortgage
Investors Inc.,
Series 99-B A1
5.023%, 5/15/09 Aaa 1,528 1,526
Option One Mortgage Loan
Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 2,003 1,989
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Premier Auto Trust,
Series:
99-2 A2
5.28%, 11/8/01 AAA $ 3,000 $ 2,985
99-3 A2
5.82%, 2/8/02 AAA 3,900 3,888
Rental Car Finance Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 1,350 1,323
+## Residential Funding
Mortgage Securities Co.,
Inc.,
Series 98-HI2 A1
5.42%, 2/25/10 Aaa 468 468
(+) Team Fleet Financing Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 475 472
97-1 A
7.35%, 5/15/03 A- 1,300 1,309
UCFC Home Equity Loan,
Series:
97-D A2
6.475%, 6/15/12 AAA 1,035 1,033
98-A A1
5.46%, 7/15/11 AAA 244 243
98-C A1
5.06%, 12/15/12 AAA 1,251 1,250
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 836 835
USAA Auto Loan
Grantor Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 1,355 1,354
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 464 464
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 1,167 1,166
- ----------------------------------------------------------
GROUP TOTAL 85,993
- ----------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 8,504 166
(+) 96-3 A YMA
10/25/26 N/R 8,504 10
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA $ 4,745 $ 99
(+) 96-4 A11 I YMA
1/15/28 AAA 4,745 6
96-4 A12 I IO
1.05%, 1/15/28 AAA 985 22
(+) 96-4 A12 I YMA
1/15/28 AAA 985 1
97-1 A10 I IO
1.10%, 3/15/28 AAA 5,903 126
97-1 A10 I YMA
3/15/28 N/R 5,903 7
- ----------------------------------------------------------
GROUP TOTAL 437
- ----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY
COLLATERAL SERIES (2.9%)
Federal Home Loan Mortgage
Corporation,
Series:
47-F PAC-1 (12)
10.00%, 6/15/20 Agy 228 241
63-SA Inv Fl IO
1.50%, 6/17/27 Agy 9,905 385
## 1710-D
5.888%, 6/15/20 Agy 776 778
1887-SH Inv Fl IO
10.325%, 3/15/24 Agy 2,550 786
1983-IB IO
8.00%, 8/15/27 Agy 5,350 1,470
Federal National Mortgage
Association
Series:
## 92-43 FC REMIC
6.006%, 10/25/21 Agy 607 610
96-14 PC PO
12/25/23 Agy 62 43
## 97-70 FA REMIC, PAC (11)
5.856%, 7/18/20 Agy 377 377
## 98-22 FA REMIC
5.781%, 4/18/28 Agy 1,329 1,323
## 99-42 SA IO
2.818%, 10/25/28 Agy 10,798 547
186 IO
8.00%, 8/1/27 Agy 1,409 386
191 IO
8.00%, 1/1/28 Agy 4,057 1,151
281-2 IO
9.00%, 11/1/26 Agy 1,480 372
291-2 IO
8.00%, 11/1/27 Agy 2,577 718
296-2 IO
8.00%, 4/1/24 Agy 2,820 758
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association,
Series:
99-30 SA Inv Fl IO
3.22%, 8/16/29 Agy $ 9,920 $ 744
99-32 SB Inv Fl IO
2.75%, 7/16/27 Agy 7,000 348
- ----------------------------------------------------------
GROUP TOTAL 11,037
- ----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.6%)
+## BA Mortgage
Securities, Inc.,
Series 97-1 A2
5.839%, 9/25/27 Aaa 582 582
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 788 824
## Morserv, Inc.,
Series 96-2 1A1
6.189%, 11/25/26 AAA 909 907
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 82 81
- ----------------------------------------------------------
GROUP TOTAL 2,394
- ----------------------------------------------------------
COMMERCIAL MORTGAGES (2.7%)
American Southwest Financial
Securities Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 862 859
## 93-2 S1 IO
1.091%, 1/18/09 N/R 9,590 277
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 1,112 1,132
## 95-MD4 ACS2 IO
2.321%, 8/13/29 AAA 1,950 273
96-MD6 A1C
7.04%, 11/13/26 AAA 825 811
+## 97-D5 PS1 IO
1.59%, 2/14/41 AAA 5,960 534
(+) Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 675 696
(+) Carousel Center Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A 1,400 1,379
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 702 738
(+) Crystal Run Properties, Inc.,
Series A
7.393%, 8/15/11 AA 1,100 1,101
</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
1.85%, 3/15/21 Aaa $ 3,308 $ 218
97-C2 X IO
1.202%, 4/15/27 Aaa 10,461 642
+## GS Mortgage Securities
Corp. II,
Series 97-GL X2 IO
0.93%, 7/13/30 Aaa 2,645 107
## Nomura Asset Securities Corp.,
Series 94-MD1 A2
7.862%, 3/15/18 N/R 750 763
Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 794 781
- ----------------------------------------------------------
GROUP TOTAL 10,311
- ----------------------------------------------------------
ENERGY (0.2%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 790 741
- ----------------------------------------------------------
FINANCE (11.9%)
American General Corp.
6.625%, 2/15/29 AA- 900 784
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 705 679
Associates Corp. of
North America
6.00%, 7/15/05 AA- 1,420 1,356
Bank One Corp.
6.00%, 2/17/09 A 1,360 1,245
BankAmerica Capital Corp.,
5.875%, 2/15/09 A+ 305 279
(+) BankAmerica Institutional,
Series A
8.07%, 12/31/26 A- 1,345 1,302
(+) BT Institutional Capital Trust,
Series A
8.09%, 12/1/26 A 1,470 1,397
Chase Manhattan Corp.
6.00%, 2/15/09 A 1,100 1,014
CIT Group, Inc.
5.91%, 11/23/05 A+ 1,845 1,727
(+) Citicorp,
Series F
6.375%, 11/15/08 A+ 1,535 1,452
EOP Operating LP
7.25%, 6/15/28 BBB 870 756
7.50%, 4/19/29 BBB 790 707
Equifax, Inc.
6.30%, 7/1/05 A- 1,210 1,158
Equitable Companies, Inc.
6.50%, 4/1/08 A 975 927
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) Equitable Life
Assurance Society of the
U.S., Series 1A
6.95%, 12/1/05 A $ 1,200 $ 1,176
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 1,440 1,255
(+) Farmers Insurance Exchange
8.625%, 5/1/24 A+ 975 1,011
(+) Fifty-Seventh Street Associates
7.125%, 6/1/17 A 1,145 1,026
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 795 757
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,650 1,605
First Union Institutional
Capital I,
8.04%, 12/1/26 BBB+ 1,060 1,017
First Union National Bank
6.50%, 12/1/28 A 250 212
(+) Florida Property & Casualty
7.375%, 7/1/03 A- 900 900
Hartford Life Corp.
7.65%, 6/15/27 A 1,050 1,026
Household Finance Corp.
6.375%, 8/1/10 A 2,605 2,412
(+) Kroger Co.
7.70%, 6/1/29 BBB- 1,400 1,352
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 875 800
7.80%, 11/1/25 A+ 875 863
Nationsbank Corp.
6.80%, 3/15/28 A 455 408
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 1,245 1,133
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA- 750 690
Northern Trust Co.
6.625%, 10/1/03 AA- 1,820 1,822
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 2,110 1,889
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 410 376
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 1,425 1,346
(+) Prime Property Funding
II
6.80%, 8/15/02 A 275 271
7.00%, 8/15/04 A 1,380 1,340
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 1,775 1,858
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 990 970
Washington Mutual, Inc.
Series A
8.206%, 2/1/27 BBB- 415 399
</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- $ 2,612 $ 2,517
96 WFP-D
6.95%, 9/1/13 AA- 450 432
- ----------------------------------------------------------
GROUP TOTAL 45,646
- ----------------------------------------------------------
INDUSTRIALS (12.9%)
Albertson, Inc.
7.45%, 8/1/29 A 1,530 1,519
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 1,730 1,621
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 1,565 1,381
7.00%, 8/1/27 A+ 365 335
Conoco, Inc.
6.95%, 4/15/29 A- 2,020 1,877
Cox Communications, Inc.
6.80%, 8/1/28 BBB+ 275 240
Daimler Chrysler Holdings
7.20%, 9/1/09 A+ 1,830 1,840
Dayton Hudson Corp.
6.75%, 1/1/28 A- 1,410 1,276
Delphi Automotive Systems
7.125%, 5/1/29 BBB 2,080 1,881
Enron Corp.
6.95%, 7/15/28 BBB+ 1,140 1,006
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 1,475 1,312
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,720 1,618
Ford Motor Co.
6.625%, 10/1/28 A 2,535 2,258
General Motors Corp.
6.75%, 5/1/28 A 665 603
Hertz Corp.
7.625%, 8/15/07 A- 1,465 1,490
(+) Home Depot, Inc.
6.50%, 9/15/04 AA- 1,930 1,933
Lowe's Companies, Inc.
(+) 6.50%, 3/15/29 A 665 577
6.875%, 2/15/28 A 1,340 1,222
Lucent Technologies, Inc.
6.45%, 3/15/29 A 1,840 1,660
(+) Monsanto Co.
6.60%, 12/1/28 A 2,050 1,791
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 1,465 1,375
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
News America Holdings
7.75%, 1/20/24 BBB- $ 550 $ 521
7.75%, 2/1/24 BBB- 565 535
8.875%, 4/26/23 BBB- 780 828
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 2,020 1,867
Proctor & Gamble Co.
6.875%, 9/15/09 AA 880 883
Republic Services, Inc.
7.125%, 5/15/09 BBB 735 668
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 855 871
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 1,940 1,358
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 725 736
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 1,155 1,035
Textron, Inc.
6.75%, 9/15/02 A 910 911
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 900 789
6.95%, 1/15/28 BBB- 320 293
7.57%, 2/1/24 BBB- 1,145 1,128
Union Pacific Co.
6.625%, 2/1/29 BBB- 1,265 1,085
United Technologies Corp.
6.70%, 8/1/28 A+ 2,145 1,960
U.S. Airways Corp., Series
98-1
6.85%, 1/30/18 AA- 2,061 1,860
Wal-Mart Stores
6.875%, 8/10/09 AA 3,365 3,375
- ----------------------------------------------------------
GROUP TOTAL 49,518
- ----------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.2%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 67 67
California Federal Savings
& Loan,
Series 86-1A
8.80%, 1/1/14 AA 44 44
sec. First Federal Savings
& Loan Association,
Series 92-C
8.75%, 6/1/06 (acquired
12/5/90, cost $69,183) AA 19 20
## Resolution Trust Corp.,
Series 92-5C CMO
8.60%, 1/25/26 AA 224 223
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 539 529
- ----------------------------------------------------------
GROUP TOTAL 883
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (2.2%)
!! AT&T Corp.
6.50%, 3/15/29 AA- $ 2,245 $ 1,989
BellSouth
Telecommunications
6.375%, 6/1/28 AAA 1,275 1,118
Comcast Cable
Communications
8.375%, 5/1/07 BBB 955 1,005
GTE Corp.
6.94%, 4/15/28 A 2,350 2,198
MCI Communications Corp.
6.95%, 8/15/06 A- 470 466
6.50%, 4/15/10 A- 970 925
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 800 748
- ----------------------------------------------------------
GROUP TOTAL 8,449
- ----------------------------------------------------------
TRANSPORTATION (1.3%)
Burlington Northern Santa
Fe
6.70%, 8/1/28 BBB+ 1,600 1,407
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 1,932 1,803
99-1 A
6.545%, 8/2/20 AA+ 410 378
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 1,400 1,589
- ----------------------------------------------------------
GROUP TOTAL 5,177
- ----------------------------------------------------------
U.S. TREASURY SECURITIES (3.4%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 4,500 5,666
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 5,376 5,132
7.50%, 2/15/05 Tsy 2,000 2,138
- ----------------------------------------------------------
GROUP TOTAL 12,936
- ----------------------------------------------------------
UTILITIES (1.8%)
(+) CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 1,675 1,491
(+) Edison Mission Energy
Funding Corp.,
Series B
7.33%, 9/15/08 BBB 1,000 973
El Paso Energy
6.75%, 5/15/09 BBB 755 715
Enron Corp.
6.95%, 7/15/28 BBB+ 510 450
FPL Group Capital, Inc.
7.375%, 6/1/09 A+ 2,445 2,444
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 940 907
- ----------------------------------------------------------
GROUP TOTAL 6,980
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
YANKEE (4.1%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A $ 1,400 $ 1,263
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 985 977
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 300 272
7.75%, 7/15/08 A- 1,630 1,533
(+) Express Pipeline LP,
Series A
6.47%, 12/31/13 A- 1,911 1,763
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 1,225 1,056
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 925 720
(+) Israel Electric Corp., Ltd.
7.75%, 12/15/27 A- 1,830 1,610
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 1,509 1,456
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 801 751
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 800 136
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 1,030 733
Province of Quebec
7.50%, 9/15/29 A+ 1,255 1,262
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,950 1,784
Republic of Colombia
8.70%, 2/15/16 BBB- 810 597
- ----------------------------------------------------------
GROUP TOTAL 15,913
- ----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $519,695) 508,244
- ----------------------------------------------------------
PREFERRED STOCK (0.9%)
- ----------------------------------------------------------
<CAPTION>
SHARES
--------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.9%)
(+)+ Home Ownership Funding Corp.,
13.331% (Cost $3,595) Aaa 4,350 3,594
- ----------------------------------------------------------
CASH EQUIVALENTS (7.4%)
- ----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
Short-term Investments Held as
Collateral for Loaned Securities
(0.8%) $3,174 3,174
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
DISCOUNT NOTE (1.6%)
Federal Home Loan
Mortgage Corporation
5.24%, 11/4/99 $ 6,000 $ 5,970
- ----------------------------------------------------------
REPURCHASE AGREEMENT (5.0%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $19,404,
collateralized by various
U.S. Government Obligations,
due 10/1/99-8/15/01, valued
at $19,422 19,401 19,401
- ----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $28,545) 28,545
- ----------------------------------------------------------
TOTAL INVESTMENTS (140.4%)(Cost $551,835) 540,383
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-40.4%)
Cash 495
Dividends Receivable 145
Interest Receivable 3,720
Receivable for Investments Sold 2,600
Receivable for Fund Shares Sold 18,451
Other Assets 17
Payable for Investments Purchased (9,916)
Payable for Forward Commitments (166,214)
Payable for Fund Shares Redeemed (400)
Payable for Investment Advisory Fees (352)
Payable for Administrative Fees (24)
Payable for Trustees' Deferred Compensation
Plan-Note F (17)
Payable for Daily Variation Margin on Futures
Contracts (163)
Unrealized Loss on Swap Agreements (559)
Collateral on Securities Loaned, at Value (3,174)
Other Liabilities (99)
--------
(155,490)
- ----------------------------------------------------------
NET ASSETS (100%) $384,893
- ----------------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 35,825,589 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $384,893
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.74
- ----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $400,348
Undistributed Net Investment Income (Loss) 6,422
Undistributed Realized Net Gain (Loss) (9,370)
Unrealized Appreciation (Depreciation) on:
Investment Securities (11,452)
Futures and Swaps (1,055)
- ----------------------------------------------------------
NET ASSETS $384,893
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 50
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
- ----------------------------------------------------------------
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1999 was $20,000 or
0.0% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A Security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating.
Security is not rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is as
of September 30, 1999.
CMO Collateralized Mortgage Obligation
Inv Fl Inverse Floating Rate-Interest rate fluctuates with an
inverse relationship to an associated interest rate.
Indicated rate is the effective rate at September 30,
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 A7 to
Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (130.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (58.7%)
Federal Home Loan Mortgage
Corporation, Conventional
Pools:
10.00%, 4/1/10-10/1/20 Agy $2,110 $ 2,273
10.50%, 12/1/14 Agy 187 205
11.00%, 8/1/15-5/1/20 Agy 114 127
11.50%, 12/1/08-1/1/18 Agy 683 766
Gold Pools:
10.00%, 10/1/21 Agy 152 165
10.50%, 1/1/19-10/1/20 Agy 492 541
11.50%, 8/1/10 Agy 109 121
12.00%, 6/1/15-9/1/15 Agy 328 369
October TBA
7.00%, 10/15/29 Agy 36,650 36,039
Federal National Mortgage
Association, Conventional
Pools:
9.50%, 11/1/20 Agy 380 408
10.00%, 12/1/15-9/1/16 Agy 460 499
10.50%, 4/1/15-12/1/16 Agy 300 329
11.00%, 7/1/20 Agy 243 272
11.50%, 11/1/19 Agy 329 371
12.00%, 5/1/14-8/1/20 Agy 150 171
12.50%, 2/1/15 Agy 44 51
October TBA
6.00%, 10/1/29 Agy 5,250 4,896
November TBA
6.50%, 11/1/29 Agy 5,250 5,028
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%, 2/20/27-9/20/27 Tsy 4,938 4,979
6.125%, 12/20/25 Tsy 2,185 2,200
6.375%, 3/20/25-6/20/25 Tsy 4,112 4,146
6.50%, 10/20/27-1/20/28 Tsy 2,050 2,060
6.875%, 1/20/25-5/20/25 Tsy 3,579 3,607
7.50%, 1/20/25 Tsy 3,465 3,495
Various Pools:
9.00%, 7/15/16-1/15/17 Tsy 1,487 1,581
9.50%, 12/15/17-12/15/21 Tsy 2,436 2,618
10.00%, 11/15/09-7/15/22 Tsy 4,505 4,897
10.50%, 11/15/18-5/15/26 Tsy 315 347
11.00%, 1/15/10-1/15/21 Tsy 1,916 2,145
11.50%, 2/15/13-11/15/19 Tsy 1,203 1,360
October TBA
7.00%, 10/15/29 Tsy 9,000 8,833
- ----------------------------------------------------------
GROUP TOTAL 94,899
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
- ----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (29.4%)
(+) Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R $ 171 $ 171
AFG Receivables Trust,
Series 97-A A
6.35%, 10/15/02 AAA 252 252
Americredit Automobile
Receivables Trust,
Series 96-B A
6.50%, 1/12/02 AAA 127 127
Associates Manufactured
Housing Pass Through
Certificates,
Series 97-1 A3
6.60%, 6/15/28 AAA 331 331
Capital Auto Receivables
Asset Trust Series 99-1
A2
5.58%, 6/15/02 AAA 2,000 1,980
Champion Home Equity Loan
Trust,
Series:
96-3 A2
7.03%, 8/25/11 AAA 114 114
96-4 A2
6.66%, 11/25/11 AAA 326 325
CIT Marine Trust
Series 98-A A2
5.80%, 4/15/10 AAA 1,850 1,810
CIT RV Trust Series 99-A A1
5.33%, 12/15/05 AAA 1,510 1,503
Contimortgage Home Equity
Loan Trust,
Series 97-4 A3
6.26%, 8/15/12 AAA 621 619
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 169 169
97-2 A
6.65%, 10/15/02 AAA 237 237
98-2 A
6.09%, 11/15/03 AAA 774 768
Crown Home Equity Loan
Trust,
Series 96-1 A2
6.51%, 6/25/11 AAA 65 64
Daimler Benz Vehicle Trust,
Series 98-A A3
5.16%, 12/20/07 AAA 2,500 2,468
Delta Funding Home Equity
Loan Trust,
Series 96-3 A2
6.525%, 10/25/11 AAA 224 223
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<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 $ 791 $ 789
(+) 97-2 A1
6.85%, 11/15/02 AAA 157 157
First Security Auto Grantor
Trust,
Series 99-1 A4
5.74%, 6/15/04 AAA 2,250 2,212
First Union Residential
Securitization Trust,
Series 96-2 A2
6.46%, 9/25/11 AAA 125 125
Fleetwood Credit Corp,
Series 92-A A
7.10%, 2/15/07 AAA 358 358
Ford Credit Auto Owner
Trust,
Series:
99-B A4
5.80%, 6/15/02 AAA 2,025 2,008
99-D A4
6.40%, 10/15/02 AAA 1,600 1,601
General Electric Home
Equity Loan Asset-Backed
Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 725 726
(+)++ Global Rated Eligible
Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 654 163
Harley-Davidson Eaglemark
Motorcycle Trust
Series:
98-2 A2
5.87%, 4/15/04 AAA 1,400 1,390
99-1 A2
5.52%, 2/15/05 AAA 1,075 1,054
(+) Health Care Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 N/R 1,000 1,001
Honda Auto Receivables
Grantor Trust,
Series 98-A A
5.50%, 11/15/04 AAA 1,378 1,364
Honda Auto Receivables
Owner Trust,
Series 99-1 A4
5.35%, 10/15/04 AAA 1,100 1,071
Illinois Power Special
Purpose Trust Series 98-1
A2
5.26%, 6/25/03 AAA 1,900 1,877
IMC Home Equity Loan Trust,
Series 96-4 A3
6.81%, 7/25/11 AAA 141 141
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
MBNA Master Credit Card
Trust,
Series 99-I A
6.40%, 1/18/05 AAA $ 850 $ 849
Money Store (The)
Residential Trust,
Series 97-1 A2
6.48%, 6/15/10 AAA 1,248 1,246
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,200 1,199
Navistar Financial Corp.
Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 429 429
Newcourt Equipment Trust
Series 98-2 A3
5.45%, 10/15/02 AAA 1,700 1,682
Olympic Automobile
Receivables Trust,
Series 94-B B
6.95%, 6/15/01 AAA 67 67
Peco Energy Transition
Trust,
Series 99-A A2
5.63%, 3/1/05 AAA 1,500 1,465
Preferred Credit Corp.,
Series 97-1 A3
6.91%, 5/1/07 AAA 57 56
Premier Auto Trust,
Series:
99-1 A2
5.69%, 11/8/02 AAA 2,000 1,979
99-2 A4
5.59%, 2/9/04 AAA 2,100 2,059
99-3 A4
6.43%, 3/8/04 AAA 2,100 2,095
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 925 906
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 1,350 1,341
97-1 A
7.35%, 5/15/03 A- 1,475 1,486
98-2 A
6.07%, 7/25/02 AA 1,400 1,381
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 381 381
97-B A2
6.70%, 6/8/03 AAA 940 941
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
+ Vanderbilt Mortgage
Finance,
Series 97-B 1A2
6.775%, 12/7/28 Aaa $ 734 $ 735
- ----------------------------------------------------------
GROUP TOTAL 47,495
- ----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (4.2%)
Federal Home Loan Mortgage
Corporation, Series 1114
E PAC (11)
8.00%, 7/15/06 Agy 1,803 1,850
Federal National Mortgage
Association,
Series:
92-44 H
7.25%, 3/25/06 Agy 2,100 2,104
## 98-22 FA REMIC
5.781%, 4/18/22 Agy 382 381
275 2 IO
8.00%, 11/1/26 Agy 9,119 2,458
- ----------------------------------------------------------
GROUP TOTAL 6,793
- ----------------------------------------------------------
COMMERCIAL MORTGAGES (0.7%)
Asset Securitization Corp.,
Series 97-D5 A1A
6.50%, 1/14/04 AAA 726 722
+ Midland Realty Acceptance
Corp.,
Series 96-C2 A1
7.02%, 1/25/27 Aaa 443 444
- ----------------------------------------------------------
GROUP TOTAL 1,166
- ----------------------------------------------------------
ENERGY (1.4%)
(+) El Paso Energy Corp.
6.625%, 7/15/01 BBB 1,095 1,088
Enron Corp.
6.625%, 10/15/03 BBB+ 1,160 1,137
- ----------------------------------------------------------
GROUP TOTAL 2,225
- ----------------------------------------------------------
FEDERAL AGENCY (1.0%)
Tennessee Valley Authority
6.00%, 9/24/02 Agy 1,570 1,559
- ----------------------------------------------------------
FINANCE (16.3%)
American General Finance
Corp.
5.75%, 11/1/03 A+ 1,455 1,397
Associates Corp. of North
America
5.875%, 7/15/02 AA 810 795
Bank One Corp.
5.625%, 2/17/04 A+ 680 647
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
BankAmerica Corp.
6.875%, 6/1/03 A $1,200 $ 1,202
Beneficial Corp.,
Series I
6.27%, 7/9/01 A 1,290 1,280
Chase Manhattan Corp.,
Series C
5.69%, 2/10/04 A+ 1,165 1,115
# CIT Group Holdings
0.00%, 10/1/02 A+ 915 902
Dayton Hudson Corp.
6.625%, 3/1/03 A- 1,110 1,103
EOP Operating LP
6.50%, 6/15/04 BBB 1,020 978
Equifax, Inc.
6.50%, 6/15/03 A- 970 955
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 A+ 1,100 1,143
First Fidelity Bancorp
6.80%, 6/15/03 A- 1,200 1,193
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 1,075 1,045
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 375 375
Ford Motor Credit Corp.
6.125%, 4/28/03 A 575 563
General Motors Acceptance
Corp.
6.85%, 6/17/04 A 570 570
Home Savings of America
6.50%, 8/15/04 BBB+ 800 776
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 891 889
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 1,190 1,173
Lehman Brothers Holdings
Corp.
6.625%, 11/15/00 A 725 728
Marsh & McLennan Companies,
Inc.
6.625%, 6/15/04 AA- 1,030 1,020
(+)!! Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 1,555 1,514
(+) Nationwide Mutual
Insurance Co.
6.50%, 2/15/04 A+ 1,198 1,160
Norwest Finance, Inc.
5.375%, 9/30/03 A+ 515 490
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 820 751
(+) Prime Property Funding
II
6.80%, 8/15/02 A 785 773
7.00%, 8/15/04 A 225 218
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) Prudential Insurance
Co.
6.875%, 4/15/03 A- $ 640 $ 635
Smith Barney Holdings
7.00%, 3/15/04 A 960 960
- ----------------------------------------------------------
GROUP TOTAL 26,350
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (12.5%)
Albertsons, Inc.
6.55%, 8/1/04 A $1,000 $ 994
Columbia/HCA Healthcare
6.41%, 6/15/00 BB+ 1,250 1,232
Comcast Cable
8.125%, 5/1/04 BBB- 640 662
Comdisco, Inc.,
Series G
6.00%, 6/1/00 BBB+ 1,165 1,159
(+) CVS Corp.
5.50%, 2/15/04 A 1,190 1,127
DaimlerChrysler AG
6.90%, 9/1/04 A+ 1,295 1,301
Deere & Co.
6.55%, 7/15/04 A+ 900 887
Delphi Auto Systems Corp.
6.125%, 5/1/04 BBB 815 782
(+) EES Coke Battery Co.,
Inc.
7.125%, 4/15/02 BBB 363 362
Federated Department
Stores, Inc.
6.30%, 4/1/09 BBB+ 790 703
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 367 364
(+) Kroger Co.
6.34%, 6/1/01 BBB- 1,185 1,176
(+) Marlin Water Trust
7.09%, 12/15/01 BBB 722 721
May Department Stores
9.875%, 12/1/02 A 810 881
MCI WorldCom, Inc.
6.25%, 8/15/03 A- 1,195 1,175
(+) Monsanto Co.
5.375%, 12/1/01 A 1,200 1,171
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 510 471
Republic Services, Inc.
6.625%, 5/15/04 BBB 870 822
(+) Rohm and Haas Co.
6.95%, 7/15/00 A- 675 676
Sun Microsystems, Inc.
7.00%, 8/15/02 BBB+ 865 872
Textron, Inc.
6.75%, 9/15/02 A 415 416
Turner Broadcasting Systems
7.40%, 2/1/04 BBB- 1,140 1,150
Waste Management, Inc.
6.125%, 7/15/01 BBB 1,135 1,087
- ----------------------------------------------------------
GROUP TOTAL 20,191
- ----------------------------------------------------------
TAXABLE MUNICIPAL (0.5%)
New York State Power
Authority Revenue Bonds,
Series B
6.11%, 2/15/11 AAA 805 799
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (2.4%)
AT&T Corp.
6.00%, 3/15/09 AA $ 555 $ 516
GTE Corp.
9.10%, 6/1/03 A 990 1,062
Sprint Capital Corp.
5.875%, 5/1/04 BBB+ 1,225 1,174
(+) U.S. West Capital
Funding
6.875%, 8/15/01 A- 1,160 1,161
- ----------------------------------------------------------
GROUP TOTAL 3,913
- ----------------------------------------------------------
TRANSPORTATION (0.6%)
Norfolk Southern Corp.
7.875%, 2/15/04 BBB+ 230 237
Union Pacific Co.
9.625%, 12/15/02 BBB- 625 671
- ----------------------------------------------------------
GROUP TOTAL 908
- ----------------------------------------------------------
UTILITIES (1.3%)
(+) Edison Mission Energy
Funding
6.77%, 9/15/03 BBB 487 483
FPL Group, Inc.
6.875%, 6/1/04 A+ 1,595 1,583
- ----------------------------------------------------------
GROUP TOTAL 2,066
- ----------------------------------------------------------
YANKEE (1.4%)
AHOLD Finance USA, Inc.
6.25%, 5/1/09 A 1,050 974
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 924 892
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 418 392
- ----------------------------------------------------------
GROUP TOTAL 2,258
- ----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $212,735) 210,622
- ----------------------------------------------------------
PREFERRED STOCK (0.9%)
- ----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.9%)
()(+)+ Home Ownership
Funding Corp.
13.331% (Cost $1,488) Aaa 1,800 1,487
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT) VALUE)+
(000 (000
- ----------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (1.9%)
- ----------------------------------------------------------
REPURCHASE AGREEMENT (1.9%)
Chase Securities, Inc.
5.20%, dated 9/30/99, due 10/1/99,
to be repurchased at $2,979,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $2,982
(Cost $2,979) $2,979 $ 2,979
- ----------------------------------------------------------
TOTAL INVESTMENTS (133.2%) (Cost $217,202) 215,088
- ----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-33.2%)
Cash 13
Dividends Receivable 60
Interest Receivable 1,579
Receivable for Investments Sold 130
Receivable for Forward Commitments 8,387
Receivable for Fund Shares Sold 1
Other Assets 11
Dividend Payable (111)
Payable for Forward Commitments (62,763)
Payable for Fund Shares Redeemed (214)
Payable for Investment Advisory Fees (129)
Payable for Administrative Fees (11)
Payable for Trustees' Deferred Compensation
Plan-Note F (11)
Payable for Daily Variation Margin on Futures
Contracts (189)
Unrealized Loss on Swap Agreements (250)
Other Liabilities (53)
--------
(53,550)
- ----------------------------------------------------------
NET ASSETS (100%) $161,538
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- ----------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 15,873,196 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $161,538
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.18
- ----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $168,361
Undistributed Net Investment Income (Loss) 353
Undistributed Realized Net Gain (Loss) (4,391)
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,114)
Futures and Swaps (671)
- ----------------------------------------------------------
NET ASSETS $161,538
- ----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1999. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate security-rate disclosed is
as of September 30, 1999.
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 A7
to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (131.9%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
++RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (68.8%)
Federal Home Loan Mortgage
Corporation,
Conventional Pools:
10.50%, 9/1/09-3/1/27 Agy $ 2,468 $ 2,709
11.00%, 12/1/10-9/1/20 Agy 1,197 1,334
11.75%, 12/1/17 Agy 75 84
Gold Pools:
10.50%, 11/1/15-12/1/20 Agy 2,363 2,601
October TBA
6.00%, 10/1/29 Agy 77,075 71,936
Federal National Mortgage
Association,
Conventional Pools:
9.00%, 1/1/21 Agy 3,029 3,209
9.50%, 11/1/20-2/1/27 Agy 4,632 4,972
10.00%, 11/1/18-5/1/22 Agy 4,971 5,388
10.50%, 8/1/15-4/1/22 Agy 1,759 1,931
11.00%, 11/1/20 Agy 140 156
12.00%, 11/1/15 Agy 2,117 2,407
12.50%, 9/1/15 Agy 178 203
October TBA
6.00%, 10/1/29 Agy 109,750 102,347
November TBA
6.00%, 11/1/29 Agy 14,000 13,043
6.50%, 11/1/29 Agy 14,000 13,409
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.00%, 2/20/27 Tsy 827 831
6.375%, 2/20/25-5/20/25 Tsy 6,154 6,204
6.50%, 10/20/27-12/20/27 Tsy 6,737 6,770
6.875%, 2/20/25-6/20/25 Tsy 5,920 5,969
7.00%, 2/20/25-3/20/25 Tsy 3,704 3,739
7.375%, 6/20/25 Tsy 1,881 1,897
Various Pools:
9.50%, 4/15/28 Tsy 2,770 2,978
10.00%, 2/15/16-10/15/28 Tsy 6,007 6,529
10.50%, 10/15/15-5/15/26 Tsy 1,899 2,091
11.00%, 1/15/10-5/15/26 Tsy 3,379 3,782
12.00%, 3/15/11-4/15/14 Tsy 41 47
12.50%, 6/15/10 Tsy 66 76
October TBA
7.00%, 10/15/29 Tsy 50,400 49,463
- -----------------------------------------------------------
GROUP TOTAL 316,105
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (22.2%)
Advanta Mortgage Loan Trust,
Series 97-3 A2
6.61%, 4/25/12 AAA $ 11 $ 11
Arcadia Automobile
Receivables Trust,
Series:
97-D A3
6.20%, 5/15/03 AAA 1,756 1,753
98-A A3
5.90%, 11/15/02 AAA 2,715 2,707
Block Mortgage Finance,
Inc.,
Series 99-1 A1
5.94%, 9/25/13 AAA 1,990 1,978
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 2,350 2,349
Centex Home Equity,
Series:
99-1 A1
6.07%, 3/25/18 AAA 1,519 1,510
99-2 A1
5.91%, 4/25/19 AAA 2,199 2,181
CIT RV Trust,
Series 99-A A1
5.33%, 12/15/05 AAA 1,887 1,878
## Citibank Credit Card
Master Trust I,
Series 98-7 A
5.279%, 5/15/02 AAA 3,875 3,873
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 1,238 1,235
## Contimortgage Home Equity
Loan Trust, Series 98-2
A2B PAC (11)
5.41%, 3/15/13 AAA 585 585
Daimler Benz Auto
Grantor Trust, Series 97-A
A
6.05%, 3/31/05 AAA 658 657
Daimler Benz Vehicle Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 1,921 1,916
Delta Funding Home Equity
Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 1,091 1,087
EQCC Home Equity Loan Trust,
Series:
99-1 A1F
5.77%, 5/20/10 AAA 1,996 1,982
99-3 A1F
6.55%, 4/25/10 AAA 3,772 3,760
(+) First Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A 1,045 940
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
First Security Auto Grantor
Trust,
Series 97-B A
6.10%, 4/15/03 AAA $ 2,056 $ 2,054
First Security Auto Owner
Trust,
Series 99-2 A2
5.492%, 5/15/02 AAA 2,450 2,441
## First USA Credit Card
Master Trust, Series 97-10
A
5.471%, 9/17/03 AAA 2,740 2,738
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 1,953 1,953
98-A A3
5.65%, 10/15/01 AAA 3,819 3,810
99-B A3
5.47%, 9/15/01 AAA 4,900 4,875
99-C A3
5.77%, 11/15/01 AAA 4,875 4,857
99-D A3
6.20%, 4/15/02 AAA 4,750 4,749
Green Tree Financial Corp.,
Series:
97-7 A3
6.18%, 9/15/09 AAA 371 371
+ 98-E HIA1
5.907%, 12/15/24 Aaa 1,375 1,372
Green Tree Home Equity Loan
Trust,
Series:
99-A A1
5.59%, 2/15/13 AAA 1,870 1,865
99-C A1
5.99%, 7/15/30 AAA 3,681 3,673
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 2,099 2,076
Harley-Davidson Eaglemark
Motorcycle Trust,
Series 99-2 A
5.84%, 10/15/03 AAA 2,239 2,235
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 1,018 1,015
97-B A
5.95%, 5/15/03 AAA 67 67
Honda Auto Receivables Owner
Trust, Series 99-1 A2
5.186%, 6/15/01 AAA 4,025 4,012
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 1,901 1,894
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 647 645
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
MMCA Automobile Trust,
Series 97-1 A3
6.06%, 5/15/01 AAA $ 1,326 $ 1,325
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,650 1,648
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 1,080 1,079
Option One Mortgage Loan
Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 2,525 2,508
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 4,925 4,910
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 2,765 2,709
Residential Funding Mortgage
Securities Co., Inc.,
Series:
+## 98-HI2 A1
5.42%, 2/25/10 Aaa 687 687
99-HI4 A1
6.41%, 11/25/07 AAA 2,430 2,424
(+) Securitized Multiple
Asset Rated Trust,
Series 97-3 A1
7.71%, 4/15/06 N/R 1,272 318
(+) Team Fleet Financing
Corp., Series 96-1 A
6.65%, 12/15/02 A- 1,125 1,117
(+) Textron Financial Corp.
Receivables Trust, Series
98-A A1
5.82%, 2/15/02 AAA 1,183 1,179
## UCFC Home Equity Loan
Trust,
Series 98-C A1
5.50%, 12/15/12 AAA 1,493 1,492
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 970 970
World Omni Automobile
Lease Securitization Trust,
Series 97-B A2
6.08%, 11/25/03 AAA 2,582 2,581
- -----------------------------------------------------------
GROUP TOTAL 102,051
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R $19,804 $ 386
(+) 96-3 A YMA
10/25/26 N/R 19,804 24
Contimortgage Home Equity
Loan Trust,
Series:
(+) 96-4 A11 I IO
1.10%, 1/15/28 AAA 11,474 240
96-4 A11 I YMA
1/15/28 AAA 11,474 14
(+) 96-4 A12 I IO
1.05%, 1/15/28 AAA 2,379 53
96-4 A12 I YMA
1/15/28 AAA 2,379 3
97-1 A10 I IO
1.10%, 3/15/28 AAA 14,388 308
97-1 A10 I YMA
3/15/28 N/R 14,388 18
- -----------------------------------------------------------
GROUP TOTAL 1,046
- -----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.9%)
Federal Home Loan Mortgage
Corporation,
Series:
83-IB IO
8.00%, 8/15/27 Agy 7,150 1,965
88-22 C PAC (11)
9.50%, 4/15/20 Agy 36 38
1415-S Inv Fl IO
20.063%, 11/15/07 Agy 509 176
1476-S Inv Fl IO REMIC PAC
4.746%, 2/15/08 Agy 5,402 496
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 4,457 298
1600-SA Inv Fl IO REMIC
2.563%, 10/15/08 Agy 10,240 430
2111-SB Inv Fl IO
2.12%, 1/15/29 Agy 14,311 538
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association,
Series:
92-186 S Inv Fl IO
3.75%, 10/25/07 Agy $ 9,108 $ 638
## 94-73 F
5.906%, 12/25/20 Agy 478 479
## 94-97 FC REMIC
6.044%, 3/25/24 Agy 398 401
96-14 PC PO
12/25/23 Agy 232 158
96-68 SC Inv Fl IO REMIC
2.694%, 1/25/24 Agy 3,825 324
97-70 FA Inv Fl REMIC
5.856%, 7/18/20 Agy 702 703
## 98-22 FA REMIC
5.781%, 4/18/22 Agy 2,436 2,426
186 IO
8.00%, 8/1/27 Agy 1,448 397
191 IO
8.00%, 1/1/28 Agy 5,510 1,563
291 2 IO
8.00%, 11/1/27 Agy 3,764 1,048
296 2 IO
8.00%, 4/1/24 Agy 2,773 746
Government National Mortgage
Association, Series 99-32
Inv Fl IO
2.75%, 7/16/27 Tsy 9,500 472
- -----------------------------------------------------------
GROUP TOTAL 13,296
- -----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.2%)
American Housing Trust,
Series:
IV 2 C
9.553%, 9/25/20 A 177 183
V 1G
9.125%, 4/25/21 AAA 874 914
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 39 39
- -----------------------------------------------------------
GROUP TOTAL 1,136
- -----------------------------------------------------------
COMMERCIAL MORTGAGES (3.9%)
Asset Securitization Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 1,845 1,814
(+) Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 2,175 2,242
(+) Carousel Center Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 1,550 1,534
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 1,638 1,722
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
(+) Crystal Run Properties, Inc.,
Series A
7.393%, 8/15/06 AA $ 2,125 $ 2,127
+## GMAC Commercial
Mortgage Securities, Inc.,
Series:
96-C1 X2 IO
1.85%, 3/15/21 Aaa 7,613 502
97-C2 X IO
1.202%, 4/15/27 Aaa 21,374 1,312
+## GS Mortgage Securities
Corp. II,
Series 97-GL X2 IO
0.93%, 7/13/30 Aaa 5,879 238
Nomura Asset Securities
Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,135 1,161
(+) Park Avenue Finance Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 894 896
(+) Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 1,519 1,494
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 2,300 2,244
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.573%, 2/25/28 N/R 8,596 445
96-CFL X1A IO
1.096%, 2/25/28 N/R 6,825 70
96-CFL X2 IO
1.159%, 2/25/28 N/R 2,788 58
- -----------------------------------------------------------
GROUP TOTAL 17,859
- -----------------------------------------------------------
ENERGY (0.3%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 1,120 1,051
Mobile Energy Services
8.665%, 1/1/17 CCC 1,709 453
- -----------------------------------------------------------
GROUP TOTAL 1,504
- -----------------------------------------------------------
FINANCE (9.3%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 1,135 1,094
Associates Corp. of North
America
6.95%, 11/1/18 AA- 395 372
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ 685 626
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 2,325 2,250
(+) BT Institutional Capital Trust,
Series A
8.09%, 12/1/26 A 2,205 2,096
</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 $ 1,000 $ 922
EOP Operating LP
6.763%, 6/15/07 BBB 1,420 1,329
7.50%, 4/19/29 BBB 670 600
(+) Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 2,740 2,686
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 575 501
(+) Farmers Insurance Exchange
8.625%, 5/1/24 A+ 2,200 2,281
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 1,085 1,033
First Union Institutional
Capital I
8.04%, 12/1/26 BBB+ 2,150 2,063
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 750 750
(+) Florida Windstorm
6.70%, 8/25/04 A- 1,000 977
Golden State Holdings Escrow
Corp.
7.125%, 8/1/05 B+ 1,955 1,816
HMH Properties,
Series A
7.875%, 8/1/05 BB 2,035 1,872
Household Finance Corp.
5.875%, 2/1/09 A 1,600 1,445
Lehman Brothers Holdings,
Inc.
8.50%, 8/1/15 A 300 309
(+) Metropolitan Life
Insurance Co.,
7.45%, 11/1/23 A+ 2,000 1,830
7.80%, 11/1/25 A+ 250 247
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 2,300 2,093
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA- 1,075 989
(+) PNC Institutional
Capital
Series A
7.95%, 12/15/26 BBB+ 2,530 2,390
(+) Prime Property Funding
II
6.80%, 8/15/02 A 200 197
7.00%, 8/15/04 A 1,945 1,888
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 2,205 2,309
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 1,300 1,273
Washington Mutual, Inc.
Series A
8.206%, 2/1/27 BBB- 255 245
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- $ 2,943 $ 2,836
96 WFP-D
6.95%, 9/1/13 AA- 1,700 1,632
- -----------------------------------------------------------
GROUP TOTAL 42,951
- -----------------------------------------------------------
INDUSTRIALS (11.2%)
Albertson's, Inc.
7.45%, 8/1/29 A 1,895 1,881
Allied Waste Industries,
Inc.
7.40%, 9/15/35 BB- 1,300 956
American Standard Cos.
7.375%, 4/15/05 BB- 755 715
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 1,050 847
7.58%, 9/15/25 BB+ 1,145 914
9.00%, 12/15/14 BB+ 785 755
Comcast Cable Communications
6.20%, 11/15/08 BBB 995 914
Conoco, Inc.
6.95%, 4/15/29 A- 2,550 2,370
Continental Airlines
7.461%, 4/1/15 AA+ 461 453
Cox Communications, Inc.
6.80%, 8/1/28 BBB+ 265 231
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 1,810 1,807
Delphi Automotive Systems
7.125%, 5/1/29 BBB 1,970 1,782
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 432 394
93-K1 A2
7.43%, 8/15/18 BB+ 275 242
94-K1 A2
8.375%, 8/15/15 BB+ 1,075 1,027
94-K2 A2
9.35%, 8/15/19 BB+ 1,335 1,332
Enron Corp.
6.95%, 7/15/28 BBB+ 965 851
Federated Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 1,940 1,725
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,570 1,477
Ford Motor Co.
6.625%, 10/1/28 A 1,830 1,630
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 1,615 1,614
International Game
Technology
8.375%, 5/15/09 BB+ 1,425 1,364
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 1,330 1,325
8.375%, 11/1/05 BB+ 1,315 1,365
</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 $ 1,685 $ 1,461
6.875%, 2/15/28 A 520 474
(+) Monsanto Co.
6.60%, 12/1/28 A 2,355 2,058
News America Holdings
8.875%, 4/26/23 BBB- 270 287
News America, Inc.
7.28%, 6/30/28 BBB- 2,355 2,100
(+) Oxymar
7.50%, 2/15/16 BBB- 1,490 1,127
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 2,175 2,165
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 1,070 1,090
Saks, Inc.
7.375%, 2/15/19 BB+ 970 825
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 3,305 2,314
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 930 945
Tenet Healthcare Corp.,
7.625%, 6/1/08 BB+ 1,575 1,439
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 1,430 1,281
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 2,365 2,072
7.57%, 2/1/24 BBB 840 828
Union Pacific Co.
6.625%, 2/1/29 BBB- 970 832
Series E
6.79%, 11/9/07 BBB- 415 399
USA Waste Services
7.00%, 7/15/28 BBB 2,005 1,574
(+) Waste Management, Inc.
7.375%, 5/15/29 BBB 525 432
- -----------------------------------------------------------
GROUP TOTAL 51,674
- -----------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.4%)
sec. First Federal Savings &
Loan Association,
Series 92-C
8.75%, 6/1/06 (acquired
8/24/92-11/18/94, cost
$23) AA 22 22
## Resolution Trust Corp.,
Series 92-5C CMO
8.60%, 1/25/26 AA 597 593
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 1,009 990
sec. Shearson American
Express,
Series A CMO
9.625%, 12/1/12 (acquired
8/24/92-5/25/93, cost
$137) AA 137 137
- -----------------------------------------------------------
GROUP TOTAL 1,742
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (2.7%)
!! AT&T Corp.
6.50%, 3/15/29 AA- $ 2,590 $ 2,295
Comcast Cable Communications
8.375%, 5/1/07 BBB 480 505
GTE Corp.
6.94%, 4/15/28 A 1,740 1,628
Intermedia Communications,
Inc.
# 0.00%, 5/15/06 B 355 288
Series B
8.50%, 1/15/08 B 280 243
8.60%, 6/1/08 B 1,550 1,345
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 2,990 2,796
# Nextel Communications, Inc.
0.00%, 9/15/07 B- 1,660 1,224
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 2,475 1,862
- -----------------------------------------------------------
GROUP TOTAL 12,186
- -----------------------------------------------------------
TRANSPORTATION (1.3%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 2,114 1,972
99-1 A
6.545%, 8/2/20 AA+ 355 327
(+) Jet Equipment Trust,
Series 95-C
10.69%, 11/1/13 BBB- 2,080 2,392
Union Pacific Corp.
6.625%, 2/1/08 BBB- 975 926
7.125%, 2/1/28 BBB- 495 453
- -----------------------------------------------------------
GROUP TOTAL 6,070
- -----------------------------------------------------------
UTILITIES (1.6%)
CMS Energy Corp.
7.50%, 1/15/09 BB 1,525 1,407
(+) Edison Mission Energy
Funding Corp. Series B
7.33%, 9/15/08 BBB 1,225 1,192
El Paso Energy
6.75%, 5/15/09 BBB 760 720
Enron Corp.
6.95%, 7/15/28 BBB+ 1,105 975
Florida Power & Light Co.
7.625%, 9/15/06 A+ 1,965 1,997
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 1,150 1,110
- -----------------------------------------------------------
GROUP TOTAL 7,401
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
YANKEE (6.9%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A $ 1,950 $ 1,759
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 2,395 2,302
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 1,215 1,205
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 410 371
7.75%, 7/15/08 A- 1,985 1,867
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ 1,605 1,368
Grupo Minero Mexicano S.A.
de CV,
Series A
8.25%, 4/1/08 BB 1,525 1,288
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 2,095 1,806
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 1,500 1,168
(+) Israel Electric Corp.,
Ltd.
7.75%, 12/15/27 A- 1,505 1,324
(+) Multicanal S.A.
10.50%, 4/15/18 BB+ 1,100 849
13.125%, 4/15/09 BB+ 245 230
National Power Corp.
8.40%, 12/15/16 BB+ 1,190 959
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 1,532 1,437
(+) Orange plc
8.75%, 6/1/06 BB- 1,505 1,516
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 1,900 323
(+) Petrozuata Finance, Inc.
8.22%, 4/1/17 BB+ 2,595 1,847
Province of Quebec
7.50%, 9/15/29 A- 1,655 1,665
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 3,615 3,308
Republic of Argentina Par
11.75%, 4/7/09 BB 1,580 1,529
Republic of Colombia
8.70%, 2/15/16 BB+ 1,580 1,164
United Mexican States Par Bond,
Series A
6.25%, 12/31/19 BB 3,025 2,231
- -----------------------------------------------------------
GROUP TOTAL 31,516
- -----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $621,298) 606,537
- -----------------------------------------------------------
PREFERRED STOCK (1.9%)
- -----------------------------------------------------------
<CAPTION>
SHARES
-------
<S> <C> <C> <C>
MORTGAGE-OTHER (1.9%)
(+)+ Home Ownership Funding
Corp. 13.331% (Cost
$8,540) Aaa 10,400 8,593
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 63
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- -----------------------------------------------------------
<S> <C> <C> <C>
STRUCTURED INVESTMENT (0.1%)-SEE NOTE A6
- -----------------------------------------------------------
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
$1,373) N/R $20,848 $ 377
- -----------------------------------------------------------
CASH EQUIVALENTS (20.3%)
- -----------------------------------------------------------
Short-term Investments Held as
Collateral for Loaned Securities
(1.0%) 4,679 4,679
- -----------------------------------------------------------
DISCOUNT NOTES (15.0%)
Federal Home Loan Mortgage Corporation
5.16%, 10/20/99 20,000 19,943
5.22%, 10/15/99 14,000 13,969
5.20%, 10/1/99-11/4/99 20,000 20,000
Federal National Mortgage Association,
5.23%, 10/5/99 15,000 14,989
- -----------------------------------------------------------
GROUP TOTAL 68,901
- -----------------------------------------------------------
REPURCHASE AGREEMENT (4.3%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $19,612,
collateralized by various U.S.
Government Obligations, due 10/1/99-
8/15/01, valued at $19,631 19,609 19,609
- -----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $93,189) 93,189
- -----------------------------------------------------------
TOTAL INVESTMENTS (154.2%) (Cost $724,400) 708,696
- -----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-54.2%)
Cash 435
Dividend Receivable 347
Interest Receivable 4,695
Receivable for Investments Sold 912
Receivable for Forward Commitments 29,863
Other Assets 31
Payable for Investments Purchased (830)
Payable for Forward Commitments (278,121)
Payable for Fund Shares Redeemed (438)
Payable for Investment Advisory Fees (456)
Payable for Administrative Fees (31)
Payable for Trustees' Deferred Compensation
Plan-Note F (31)
Payable for Daily Variation on Futures Contracts (79)
Unrealized Loss on Swap Agreements (543)
Collateral on Securities Loaned, at Value (4,679)
Other Liabilities (97)
--------
(249,022)
- -----------------------------------------------------------
NET ASSETS (100%) $459,674
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)+
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 40,598,881 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $459,674
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.32
- -----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $482,460
Undistributed Net Investment Income (Loss) 7,327
Undistributed Realized Net Gain (Loss) (13,203)
Unrealized Appreciation (Depreciation) on:
Investment Securities (15,704)
Futures and Swaps (1,206)
- -----------------------------------------------------------
NET ASSETS $459,674
- -----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1999 was $159,000
or 0.0% of net assets.
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1999. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate securities-rate disclosed
is as of September 30, 1999.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate.
Indicated rate is the effective rate at September
30, 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 A7
to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (123.1%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (84.8%)
Alabama Drinking Water
Finance Authority
Revenue Bonds,
Series A (AMBAC)
4.60%, 8/15/10 AAA $1,415 $ 1,342
Aldine, TX Independent
School District (PSFG)
Zero Coupon, 2/15/07 AAA 750 517
Aliquippa School District,
PA
Zero Coupon, 6/1/12 A 685 339
Allegheny County, PA
Hospital Development
Authority Revenue Bonds,
Series A (MBIA)
4.625%, 8/1/12 AAA 1,000 907
+ Amarillo, TX Health
Facility Corp. Revenue
Bonds (FSA)
5.50%, 1/1/10 Aaa 1,275 1,290
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 1,250 396
Zero Coupon, 11/15/20 AAA 1,000 290
Berks County, PA Solid
Waste Authority (FGIC)
6.00%, 4/1/11 AAA 170 179
Bradford, PA Area School
District (FGIC)
4.60%, 10/1/10 AAA 250 236
+ Bucks County, PA Water &
Sewer Authority
Revenue Bonds,
Series B
5.50%, 2/1/08 Aaa 140 144
California Housing &
Finance Agency Revenue
Bonds (MBIA)
5.30%, 8/1/14 AAA 115 117
Center Township, PA Sewer
Authority Revenue Bonds,
Series A (MBIA)
Zero Coupon, 4/15/17 AAA 615 222
Series A
6.00%, 4/15/03 AAA 500 516
Central MI University
Revenue Bonds (FGIC)
4.65%, 10/1/11 AAA 1,345 1,263
Charleston County, SC Resource
Recovery Revenue Bonds (AMBAC)
5.15%, 1/1/09 AAA 1,000 997
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
- ----------------------------------------------------------
<S> <C> <C> <C>
Chicago, IL General
Obligation Bonds,
Series A (FGIC)
4.90%, 1/1/14 AAA $1,000 $ 916
Chicago, IL Tax Increment Revenue
Bonds (AMBAC)
4.70%, 11/15/13 AAA 1,000 899
Clark County, WA Public
Utility District No. 001
Revenue Bonds (FSA)
4.90%, 1/1/15 AAA 1,605 1,458
Cleveland, OH Airport
Special Revenue Bonds
5.50%, 12/1/08 BB 750 726
Clinton County, PA
Industrial Development
Authority
6.25%, 11/15/06 BB+ 150 150
Colorado Health Facilities
Revenue Bonds,
Series A
Zero Coupon, 7/15/20 AAA 1,000 276
Council Rock, PA School
District (FGIC)
4.60%, 11/15/12 AAA 1,000 917
Delaware County, PA
Industrial Development
Authority Revenue Bonds,
Series A
6.50%, 1/1/08 BB- 200 200
Detroit MI Downtown
Development Authority
Tax Increment Revenue
Bonds (MBIA)
4.65%, 7/1/10 AAA 1,330 1,257
Du Page & Will Counties, IL
Community School District
No. 204, Generale
Obligation Bonds (FSA)
4.80%, 12/30/13 AAA 1,150 1,057
Duneland, IN School
Building Corp. Revenue
Bonds (MBIA)
4.85%, 8/1/13 AAA 1,045 968
East Detroit, MI, School
District General
Obligation
Bonds (FGIC)
4.55%, 5/1/11 AAA 1,075 1,000
Elizabeth Forward, PA
School District,
Series B (MBIA)
Zero Coupon, 9/1/11 AAA 1,250 657
Ephrata, PA Area
School District,
Series C (FGIC)
4.60%, 10/15/11 AAA 1,000 929
+ Erie, PA Sewer Authority
Revenue Bonds,
Series A (AMBAC)
5.00%, 6/1/11 Aaa 455 445
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
+ Essex County, NJ Utility
Authority Revenue Bonds,
Series A (FSA)
4.80%, 4/1/14 Aaa $1,005 $ 928
Fort Worth, TX Independent
School District (PSFG)
Zero Coupon, 2/15/08 AAA 940 612
Georgia State Housing &
Financing Authority,
Series A A2 (FHA)
5.875%, 12/1/19 AAA 95 95
Girard Area, PA School
District (FGIC)
Zero Coupon, 10/1/18 AAA 700 233
Zero Coupon, 10/1/19 AAA 250 78
+ Grand Haven, MI Area
Public Schools
4.70%, 5/1/12 Aaa 1,300 1,211
+ Grand Traverse County,
MI Hospital Revenue
Bonds,
Series A (AMBAC)
4.625%, 7/1/10 Aaa 1,835 1,719
Hamilton County, IN
Redevelopment Authority
Revenue Bonds (MBIA)
4.90%, 8/1/13 AAA 1,160 1,066
Houston, TX Housing Finance
& Development Corp.,
Single Family Mortgage
Revenue Bonds, Series B-1
8.00%, 6/1/14 A 500 512
Houston, TX Water & Sewer
System Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/21 AAA 6,510 1,756
Zero Coupon, 12/1/22 AAA 2,150 545
+ Howard Suamico, WI School
District General
Obligation Bonds (FSA)
4.60%, 3/1/12 Aaa 360 330
4.75%, 3/1/14 Aaa 1,115 1,010
Huron Valley, MI School
District (FGIC)
4.65%, 5/1/11 AAA 1,095 1,030
+ Idaho Housing & Finance Association,
Single Family Mortgage Revenue
Bonds,
Series H-2
5.40%, 7/1/27 Aaa 170 168
Illinois Development
Finance Authority Revenue
Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,175
Indiana State University
Revenue Bonds,
Series I (FGIC)
5.20%, 10/1/12 AAA 1,640 1,600
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Indiana Transportation
Finance Authority Highway
Revenue Bonds, (AMBAC)
Zero Coupon, 12/1/16 AAA $1,695 $ 626
Indianapolis Airport
Authority Revenue Bonds
7.10%, 1/15/17 BBB 375 405
Intermountain Power Agency,
UT Power Supply
Revenue Bonds
Series:
A
Zero Coupon, 7/1/17 A+ 1,750 618
B (MBIA)
6.50%, 7/1/09 AAA 300 332
Jefferson Parish, LA School
Board Sales & Use Tax
Revenue Bonds (FSA)
Zero Coupon, 9/1/06 AAA 1,000 712
Kane & De Kalb Counties, IL
Unit School District
(AMBAC)
Zero Coupon, 12/1/09 AAA 725 426
Kelloggsville, MI Public
School District (FGIC)
5.00%, 5/1/12 AAA 1,290 1,250
King County, WA Liberty
System Facility Revenue
Bonds (AMBAC)
4.85%, 12/1/13 AAA 1,110 1,025
+ Lehigh County, PA General
Purpose Authority Revenue
Bonds, Lehigh Valley
Health Networks,
Series C (MBIA)
4.90%, 7/1/11 Aaa 1,195 1,134
Long Island, NY Power
Authority, Electric
System Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/15 AAA 2,535 1,026
Louisiana Public Facilities
Authority Hospital
Revenue Bonds,
Series A (FSA)
5.50%, 7/1/10 AAA 2,700 2,726
Maine Municipal Bond
Bank,
Series C (FSA)
5.10%, 11/1/12 AAA 1,130 1,105
Michigan State Hospital
Finance Authority Revenue
Bonds,
Series A (MBIA)
5.00%, 2/15/12 AAA 1,000 949
Midland, TX Independent
School District (PSFG)
Zero Coupon, 8/15/06 AAA 750 534
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& 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+ $ 415 $ 416
Mobile, AL Industrial
Development Board Solid
Waste Disposal
Revenue Bonds
6.95%, 1/1/20 D 269 93
Montour, PA School
District (MBIA)
Zero Coupon, 1/1/13 AAA 300 140
Nebraska Investment Finance
Authority Revenue Bonds,
Series:
B
5.60%, 3/1/20 AAA 700 704
D
5.80%, 3/1/20 AAA 210 210
+ Nevada Housing Division,
Series:
A-2
5.30%, 4/1/28 Aaa 1,105 1,082
B-2
5.70%, 10/1/27 Aaa 1,000 1,003
C
5.65%, 4/1/27 Aaa 165 164
E (FHA)
5.35%, 10/1/27 Aaa 815 792
New Jersey Economic
Development Authority
Revenue Bonds,
Series A
Zero Coupon, 4/1/12 N/R 625 276
## New York City, NY
General Obligation
Inverse Bonds
20.36%, 10/1/03 A- 350 517
New York City, NY
General Obligation,
Series G (MBIA)
5.00%, 8/1/12 AAA 1,000 960
New York City, NY
Industrial Development
Agency Revenue Bonds
(FSA)
6.00%, 11/1/15 AAA 2,250 2,305
New York State Dormitory
Authority Revenue Bonds
Series:
E (FSA)
5.10%, 2/15/11 AAA 825 806
H (FGIC)
5.10%, 2/15/11 AAA 1,250 1,221
5.125%, 7/1/11 AAA 1,000 983
Noblesville, IN High School
Building Corp. (AMBAC)
Zero Coupon 2/15/19 AAA 1,850 590
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
North Carolina Housing &
Finance Agency
Revenue Bonds,
Series:
JJ
5.75%, 3/1/23 AA $ 150 $ 152
RR
5.00%, 9/1/22 AA 1,670 1,658
North Carolina Medical Care
Commission Hospital
Revenue Bonds
+ 4.60%, 10/1/10 (AMBAC) Aaa 1,685 1,576
4.70%, 10/1/12 (MBIA) AAA 1,435 1,311
+ North Dakota State
Housing & Finance Agency,
Home Mortgage
Series C Revenue Bonds
5.15%, 1/1/21 Aa3 1,300 1,306
+ North Hempstead, NY
General Obligation Bonds,
Series B (FGIC)
5.00%, 3/1/12 Aaa 890 860
Okemos, MI Public School
District (MBIA)
Zero Coupon, 5/1/15 AAA 900 371
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 461
Orange County, FL Housing &
Finance Authority, Single
Family Mortgage
Revenue Bonds,
Series B
5.10%, 9/1/27 AAA 475 469
Parkland, PA School
District (FGIC)
4.60%, 9/1/10 AAA 250 237
Penn Hills Township, PA
++ Zero Coupon, 6/1/12 N/R 1,615 732
Series B
Zero Coupon, 12/1/13 N/R 500 204
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB 250 259
6.70%, 9/1/16 (FGIC) AAA 500 564
Pennsylvania Housing &
Finance Authority,
Series:
47
5.20%, 4/1/27 AA+ 355 359
48
5.375%, 10/1/16 AA+ 275 272
50A
5.35%, 10/1/08 AA+ 180 181
51
5.65%, 4/1/20 AA+ 230 225
52B
5.55%, 10/1/12 AA+ 495 492
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA Authority
For Industrial Development
Revenue Bonds,
Series A
6.50%, 10/1/27 N/R $ 320 $ 322
Philadelphia, PA Gas Works
5.80%, 7/1/01 BBB 200 204
+ Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 120 142
Philadelphia, PA Hospitals & Higher
Education Facilities Authority
Revenue Bonds
6.15%, 7/1/05 BBB+ 50 53
Philadelphia, PA Water &
Wastewater Revenue
Bonds (FGIC)
5.15%, 6/15/04 AAA 550 559
Pittsburgh, PA General
Obligation Bonds (AMBAC)
6.50%, 4/1/11 AAA 245 263
Plymouth County, MA
Correctional Facility
(AMBAC)
4.70%, 4/1/11 AAA 1,000 946
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 700 747
Port Seattle, WA Revenue
Bonds (AMBAC)
4.875%, 8/1/10 AAA 1,475 1,427
Rhode Island Clean Water
Protection Revenue Bonds,
Series A (AMBAC)
4.50%, 10/1/12 AAA 1,395 1,262
Robinson Township, PA
6.90%, 5/15/18 AAA 110 123
Rock Island, IL School
District, General
Obligation
Bonds (FSA)
5.00%, 12/1/11 AAA 1,000 972
+ Rose Tree Media, PA
School District, General
Obligation Bonds
4.60%, 2/15/13 Aaa 1,025 928
St. Tammany Parish Wide
School District, LA,
General Obligation Bonds,
Series A (FSA)
5.00%, 3/1/12 AAA 1,160 1,123
San Bernardino County, CA, Series A
(MBIA)
5.50%, 7/1/16 AAA 1,600 1,602
Savannah, GA Economic
Development Authority
Revenue Bonds
7.40%, 4/1/26 N/R 310 330
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Scranton, PA Health &
Welfare Authority
6.625%, 7/1/09 AAA $ 115 $ 124
Southeastern Area Schools,
PA, Revenue Bonds,
Series:
A
Zero Coupon, 10/1/06 A 200 141
B
Zero Coupon, 10/1/06 A 390 274
Steel Valley, PA Allegheny
County
Zero Coupon, 11/1/17 A 650 223
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 1,170 600
Stroudsburg, PA Area School
District General
Obligation Bonds (FGIC)
4.95%, 10/1/11 AAA 1,000 971
Terrebonne Parish, LA
Hospital Service District
Revenue Bonds (AMBAC)
4.95%, 4/1/10 AAA 1,330 1,275
Texas State Housing &
Community Revenue Bonds,
Series D
5.45%, 3/1/21 AAA 1,120 1,104
Tippecanoe County, IN
School Building Corp.
Revenue Bonds (FSA)
4.90%, 7/5/14 AAA 1,000 915
Trinity River Authority, TX, Regional
Wastewater System Revenue Bonds
(FSA)
4.60%, 8/1/11 AAA 1,600 1,491
+ Trinity, PA Area School
District General
Obligation Bonds,
Series B (FSA)
5.20%, 11/1/12 Aaa 2,350 2,304
+ Tyler, TX Health
Facilities Development
Corp.,
Series A
5.25%, 7/1/02 Baa2 425 426
Upper Darby Township,
PA (AMBAC)
Zero Coupon, 7/15/11 AAA 525 278
Washington County, West PA
Power Co.
4.95%, 3/1/03 A 150 150
+ Washington State
Healthcare Facilities
Authority Revenue Bonds
(AMBAC)
5.125%, 11/15/11 Aaa 1,000 976
West Texas Municipal
Power Agency Revenue
Bonds (MBIA)
4.90%, 2/15/11 AAA 1,520 1,451
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
+ Whatcom County, WA
School District General
Obligation Bonds,
Series A (FGIC)
4.90%, 12/1/10 Aaa $1,780 $ 1,721
+ Winnebago County, IL
School District General
Obligation Bonds (FSA)
Zero Coupon, 1/1/14 Aaa 3,600 1,596
Wisconsin Housing &
Economic Development
Authority Home Ownership
Revenue Bonds,
Series E
5.125%, 9/1/26 AA 2,635 2,621
Wisconsin State Health &
Educational Facilities
Authority Revenue
Bonds (AMBAC)
5.625%, 2/15/12 AAA 1,000 1,007
+ Series B (MBIA)
4.95%, 6/1/12 Aaa 1,255 1,177
- ----------------------------------------------------------
GROUP TOTAL 103,330
- ----------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (25.9%)
Federal Home Loan Mortgage
Corporation,
October TBA
6.00%, 10/1/29 Agy 13,000 12,133
Federal National Mortgage
Association,
October TBA
6.00%, 10/1/29 Agy 10,650 9,932
November TBA
6.50%, 11/1/29 Agy 3,250 3,113
Government National
Mortgage Association,
October TBA
7.00%, 10/15/29 Tsy 6,500 6,379
- ----------------------------------------------------------
GROUP TOTAL 31,557
- ----------------------------------------------------------
ASSET BACKED CORPORATES (0.3%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 430 430
- ----------------------------------------------------------
FINANCE (4.0%)
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 755 658
(+) Kroger Co.
7.70%, 6/1/29 BBB- 580 560
Lehman Brothers Holdings
8.50%, 8/1/15 A 620 638
Merrill Lynch & Co.
6.00%, 2/17/09 AA- 595 545
</TABLE>
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
Nationsbank Corp.
6.80%, 3/15/28 A $ 780 $ 700
(+) New England Mutual,
7.875%, 2/15/24 A+ 625 622
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 615 563
Washington Mutual Inc.,
Series A
8.206%, 2/1/27 BBB- 640 616
- ----------------------------------------------------------
GROUP TOTAL 4,902
- ----------------------------------------------------------
INDUSTRIALS (4.3%)
Columbia/HCA
Healthcare Corp.
7.50%, 12/15/23 BB+ 775 616
Comcast Cable
Communications
6.20%, 11/15/08 BBB 630 579
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 645 583
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 570 507
News America Holdings, Inc.
7.75%, 2/1/24 BBB 655 619
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 590 545
Republic Services, Inc.
7.125%, 5/15/09 BBB 645 586
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 220 224
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 245 249
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 830 727
- ----------------------------------------------------------
GROUP TOTAL 5,235
- ----------------------------------------------------------
TELEPHONES (0.5%)
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 665 622
- ----------------------------------------------------------
TRANSPORTATION (0.5%)
Union Pacific Corp.
7.125%, 2/1/28 BBB 615 563
- ----------------------------------------------------------
UTILITIES (0.5%)
CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 390 347
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 300 290
- ----------------------------------------------------------
GROUP TOTAL 637
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
YANKEE (2.3%)
(+)++ Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A $ 525 $ 452
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 570 521
Republic of Argentina
11.75%, 4/7/09 BB 415 402
Republic of Colombia
8.625%, 4/1/08 BB+ 805 651
United Mexican States Par
Bond,
Series B
6.25%, 12/31/19 BB 990 730
- ----------------------------------------------------------
GROUP TOTAL 2,756
- ----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $152,791) 150,032
- ----------------------------------------------------------
CASH EQUIVALENTS (2.0%)
- ----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MONEY MARKET INSTRUMENTS (1.3%)
Dreyfus Basic Municipal Money
Market Fund 774,584 774
Vanguard Municipal Money
Market Fund 769,848 770
- ----------------------------------------------------------
GROUP TOTAL 1,544
- ----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.7%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $914, collateralized
by various U.S. Government
Obligations, due 10/1/99-8/15/01,
valued at $915 $ 914 914
- ----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $2,458) 2,458
- ----------------------------------------------------------
TOTAL INVESTMENTS (125.1%) (Cost $155,249) 152,490
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------------
------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-25.1%)
Cash $ 26
Interest Receivable 1,784
Receivable for Investments Sold 207
Receivable for Forward Commitments 3,126
Receivable for Fund Shares Sold 3
Other Assets 6
Dividend Payable (316)
Payable for Investments Purchased (623)
Payable for Forward Commitments (34,383)
Payable for Fund Shares Redeemed (21)
Payable for Investment Advisory Fees (110)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable for Daily Variation Margin on Futures
Contracts (220)
Other Liabilities (38)
--------
(30,573)
- ----------------------------------------------------------
NET ASSETS (100%) $121,917
- ----------------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 10,705,237 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $121,917
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.39
- ----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $124,030
Undistributed Net Investment Income (Loss) 12
Undistributed Realized Net Gain (Loss) 786
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,759)
Futures (152)
- ----------------------------------------------------------
NET ASSETS $121,917
- ----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(+) 144A security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
## Variable or floating rate security-rate disclosed is as
of September 30, 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., or
Standard & Poor's Corporation.
PSFG Permanent School Fund Guaranteed
TBA Security is subject to delayed delivery. See Note A7 to
Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
68
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.5%)
<TABLE>
<CAPTION>
- -------------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.1%)
Federal National Mortgage
Association-Global
6.50%, 7/10/02 Agy AUD 1,050 $ 693
- -------------------------------------------------------------
BRITISH POUND (7.1%)
# NTL, Inc.
0.00%, 4/1/08 B- GBP 175 189
Orange plc
8.625%, 8/1/08 BB+ 235 385
(+)# Telewest plc
0.00%, 4/15/09 B+ 105 103
United Kingdom Treasury Bills
8.00%, 6/10/03 AAA 390 678
8.50%, 7/16/07 AAA 1,700 3,215
- -------------------------------------------------------------
GROUP TOTAL 4,570
- -------------------------------------------------------------
CANADIAN DOLLAR (4.9%)
Government of Canada
7.50%, 3/1/01 AAA CAD 3,050 2,135
10.00%, 6/1/08 AAA 1,175 1,026
- -------------------------------------------------------------
GROUP TOTAL 3,161
- -------------------------------------------------------------
DANISH KRONE (6.7%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 17,600 2,494
8.00%, 5/15/03 AAA 3,590 568
9.00%, 11/15/00 AAA 8,175 1,236
- -------------------------------------------------------------
GROUP TOTAL 4,298
- -------------------------------------------------------------
EURO (27.7%)
Colt Telecom Group plc
7.625%, 7/31/08 B EUR 345 356
DePfa Pfandbriefbank AG
5.50%, 1/15/10 AAA 875 927
## GMAC Global Bond
2.77%, 9/25/02 A- 716 757
Government of France
O.A.T.
8.50%, 10/25/19 AAA 1,395 1,971
Government of Germany
4.00%, 7/4/09 AAA 630 600
6.25%, 1/4/24 AAA 126 142
6.50%, 7/4/27 AAA 3,205 3,727
7.50%, 9/9/04 AAA 1,350 1,617
8.375%, 5/21/01 AAA 2,295 2,623
Kredit fuer Wiederaufbau
5.00%, 1/4/09 AAA 575 595
Mannesmann Finance BV
4.75%, 5/27/09 A 305 296
Republic of Italy BTPS
9.50%, 2/1/06 AA 591 775
10.00%, 8/1/03 AA 1,212 1,534
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------
- -------------------------------------------------------------
<S> <C> <C> <C>
+ Spanish Government
5.15%, 7/30/09 Aa2 EUR 1,571 $ 1,646
Tecnost International
6.125%, 7/30/09 BBB+ 155 162
- -------------------------------------------------------------
GROUP TOTAL 17,728
- -------------------------------------------------------------
JAPANESE YEN (12.7%)
Credit Locale de France
6.00%, 10/31/01 AA+ JPY 75,000 784
European Investment Bank
3.00%, 9/20/06 AAA 88,000 912
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 822
Federal National Mortgage
Association-Global
1.75%, 3/26/08 Agy 100,000 951
+ Government of Japan
0.90%, 12/22/08 Aa1 460,000 3,965
!! International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 64,000 666
- -------------------------------------------------------------
GROUP TOTAL 8,100
- -------------------------------------------------------------
SWEDISH KRONA (3.4%)
Swedish Government
6.00%, 2/9/05 AAA SEK 12,500 1,563
13.00%, 6/15/01 AA+ 4,575 634
- -------------------------------------------------------------
GROUP TOTAL 2,197
- -------------------------------------------------------------
UNITED STATES DOLLAR (30.9%)
AGENCY FIXED RATE MORTGAGES (0.7%)
Federal National Mortgage
Association
6.00%, 10/1/29 TBA Agy U.S.$ 500 466
- -------------------------------------------------------------
FINANCE (5.9%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 160 154
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 350 339
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 A 325 309
EOP Operating LP
6.763%, 6/15/07 BBB 140 131
7.50%, 4/19/29 BBB 95 85
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 305 266
First Union Institutional
Capital, Inc.
8.04%, 12/1/26 BBB+ 275 264
GS Escrow Corp.
7.125%, 8/1/05 BB+ 250 232
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 71
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
Lehman Brothers Holdings
8.50%, 8/1/15 A U.S.$ 35 $ 36
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 300 273
(+) PNC Institutional
Capital Series A
7.95%, 12/15/26 BBB+ 425 401
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 300 314
Washington Mutual Capital
I
8.375%, 6/1/27 BBB- 100 98
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 130 125
(+) World Financial
Properties, Series 96
WFP-D
6.95%, 9/1/13 AA- 775 744
- -------------------------------------------------------------
GROUP TOTAL 3,771
- -------------------------------------------------------------
INDUSTRIALS (7.4%)
Allied Waste Industries,
Inc.
7.40%, 9/15/35 BB- 175 129
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 270 218
7.50%, 12/15/23 BB+ 125 99
Continental Airlines,
Series 97-1 A
7.461%, 4/1/15 AA+ 62 61
Conoco, Inc.
6.95%, 4/15/29 A- 310 288
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 245 235
Delphi Automotive Systems
7.125%, 5/1/29 BBB 270 244
Enron Corp.
6.95%, 7/15/28 BBB+ 135 119
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 180 160
(+) Florida Windstorm
7.125%, 2/25/19 AAA 380 357
Ford Motor Co.
6.625%, 10/1/28 A 200 178
Host Marriott LP
8.375%, 2/15/06 BB 260 244
International Game
Technology
8.375%, 5/15/09 BB+ 165 158
Lowe's Cos., Inc.
6.50%, 3/15/29 A 180 156
(+) Monsanto Co.
6.60%, 12/1/28 A 295 258
News America Holdings
8.875%, 4/26/23 BBB- 285 303
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- U.S.$ 215 214
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
Saks, Inc.
7.375%, 2/15/19 BB+ 130 $ 111
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 410 287
Tenet Healthcare Corp.,
Series B
7.625%, 6/1/08 BB+ 220 201
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 190 170
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 265 232
6.95%, 1/15/28 BBB 35 32
7.57%, 2/1/24 BBB 90 89
USA Waste Services
7.00%, 7/15/28 BBB 145 114
(+) Waste Management, Inc.,
7.375%, 5/15/29 BBB 120 99
- -------------------------------------------------------------
GROUP TOTAL 4,756
- -------------------------------------------------------------
TELECOMMUNICATIONS (2.0%)
AT&T Corp.
6.50%, 3/15/29 AA- 370 328
Comcast Cable
Communications
8.375%, 5/1/07 BBB 160 168
GTE Corp.
6.94%, 4/15/28 A 195 182
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 435 407
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- 225 166
- -------------------------------------------------------------
GROUP TOTAL 1,251
- -------------------------------------------------------------
TRANSPORTATION (0.8%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 254 237
Union Pacific Co.
7.125%, 3/1/28 BBB- 310 284
- -------------------------------------------------------------
GROUP TOTAL 521
- -------------------------------------------------------------
U.S. TREASURY SECURITIES (8.9%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 150 189
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,683 1,607
3.625%, 1/15/08
(Inflation Indexed) Tsy 1,625 1,572
!! 7.50%, 2/15/05 Tsy 2,175 2,324
- -------------------------------------------------------------
GROUP TOTAL 5,692
- -------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
UTILITIES (1.0%)
CMS Energy Corp.
7.50%, 1/15/09 BB U.S.$ 220 $ 203
(+) Edison Mission Energy
Funding Corp.
Series B
7.33%, 9/15/08 BBB 225 219
El Paso Energy
6.75%, 5/15/09 BBB 105 99
Enron Corp.
6.95%, 7/15/28 BBB+ 140 124
- -------------------------------------------------------------
GROUP TOTAL 645
- -------------------------------------------------------------
YANKEE (4.2%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A 230 208
(+) AST Research, Inc.
7.45%, 10/1/02 BB+ 300 288
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 160 159
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 50 45
7.75%, 7/15/08 A- 270 254
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A 295 254
(+) Israel Electric Corp.,
Ltd.
7.75%, 12/15/27 A- 230 202
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 174 163
10.73%, 1/31/04 BBB 40 39
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 375 267
Province of Quebec
7.50%, 9/15/29 A+ 190 191
Republic of Argentina
11.75%, 4/7/09 BB 165 160
Republic of Colombia
8.70%, 2/15/16 BB+ 240 177
United Mexican States Par
Bond, Series A
6.25%, 12/31/19 BB 410 302
- -------------------------------------------------------------
GROUP TOTAL 2,709
- -------------------------------------------------------------
TOTAL UNITED STATES DOLLAR 19,811
- -------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $63,165) 60,558
- -------------------------------------------------------------
<CAPTION>
!!RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCK (2.0%)
- -------------------------------------------------------------
MORTGAGE-OTHER (2.0%)
(+)+ Home Ownership
Funding Corp. 13.331%
(Cost $1,302) Aaa 1,575 $ 1,301
- -------------------------------------------------------------
CASH EQUIVALENT (0.5%)
- -------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (0.5%)
Chase Securities, Inc. 5.20% dated
9/30/99, due 10/1/99, to be
repurchased at $298, collateralized
by various U.S. Government
Obligations, due 10/1/99-8/15/05,
valued at $298 (Cost $298) U.S.$ 298 298
- -------------------------------------------------------------
TOTAL INVESTMENTS (97.0%) (Cost $64,765) 62,157
- -------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (3.0%)
Cash 1,299
Foreign Currency (Cost $203) 204
Foreign Currency Held as Collateral on Futures
Contracts (Cost $15) 15
Dividends Receivable 52
Interest Receivable 1,118
Receivable for Investments Sold 253
Receivable for Variation on Futures Contracts 7
Other Assets 4
Payable for Forward Commitments (466)
Payable for Fund Shares Redeemed (84)
Payable for Investment Advisory Fees (59)
Payable for Administrative Fees (4)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Unrealized Loss on Forward Foreign Currency
Contracts (360)
Unrealized Loss on Swap Agreements (34)
Other Liabilities (39)
-------
1,902
- -------------------------------------------------------------
NET ASSETS (100%) $64,059
- -------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -------------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -------------------------------------------------------------
NET ASSETS
Applicable to 6,147,869 outstanding shares of
beneficial interest (unlimited authorization, no
par value) $64,059
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.42
- -------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $64,221
Undistributed Net Investment Income (Loss) 1,121
Undistributed Realized Net Gain (Loss) 1,684
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,608)
Foreign Currency Transactions (336)
Futures and Swaps (23)
- -------------------------------------------------------------
NET ASSETS $64,059
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
<S> <C> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
(+) 144A Security. Certain conditions for public sale may
exist
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Services, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as
of September 30, 1999.
TBA Security is subject to delayed delivery. See Note A7 to
Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (95.1%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIAN DOLLAR (1.6%)
Australian Government
8.75%, 8/15/08 Agy AUD 1,225 $ 930
Federal National
Mortgage
Association-Global
6.50%, 7/10/02 Agy 1,690 1,116
- -----------------------------------------------------------
GROUP TOTAL 2,046
- -----------------------------------------------------------
BRITISH POUND (10.9%)
Orange plc
8.625%, 8/1/08 BB+ GBP 505 828
United Kingdom Treasury
Bills
8.00%, 6/10/03 AAA 3,555 6,184
8.50%, 7/16/07 AAA 3,515 6,647
- -----------------------------------------------------------
GROUP TOTAL 13,659
- -----------------------------------------------------------
CANADIAN DOLLAR (5.3%)
Government of Canada
7.50%, 3/1/01 AAA CAD 3,415 2,391
8.75%, 12/1/05 AAA 1,550 1,219
9.75%, 6/1/21 AAA 580 573
10.00%, 6/1/08 AAA 2,825 2,467
- -----------------------------------------------------------
GROUP TOTAL 6,650
- -----------------------------------------------------------
DANISH KRONE (7.0%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 40,350 5,718
8.00%, 5/15/03 AAA 19,810 3,135
- -----------------------------------------------------------
GROUP TOTAL 8,853
- -----------------------------------------------------------
EURO (45.2%)
Colt Telecom Group plc
7.625%, 7/31/08 B EUR 741 765
DePfa Pfandbriefbank AG
5.50%, 1/15/10 AAA 2,275 2,411
## GMAC Global Bond
2.77%, 9/25/02 A- 1,145 1,211
Government of Finland
9.50%, 3/15/04 AA- 2,173 2,756
Government of France
O.A.T.
8.50%, 10/25/19 AAA 3,700 5,227
Government of Germany
4.00%, 7/4/09 AAA 1,670 1,590
5.75%, 8/22/00 AAA 3,664 3,985
6.25%, 1/4/24 AAA 3,620 4,076
6.50%, 7/4/27 AAA 5,505 6,402
7.50%, 9/9/04 AAA 7,153 8,568
8.375%, 5/21/01 AAA 2,162 2,471
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA EUR 2,664 $ 3,134
Kredit fuer Wiederaufbau
5.00%, 1/4/09 AAA 1,049 1,085
Mannesmann Finance BV
4.75%, 5/27/09 A 490 476
Netherlands Government
8.25%, 2/15/07 AAA 3,484 4,411
Republic of Italy BTPS
10.00%, 8/1/03 AA 2,173 2,751
Spanish Government
+ 5.15%, 7/30/09 Aa2 1,640 1,718
10.10%, 2/28/01 AAA 3,116 3,607
Tecnost International
6.125%, 7/30/09 BBB+ 300 314
- -----------------------------------------------------------
GROUP TOTAL 56,958
- -----------------------------------------------------------
JAPANESE YEN (13.2%)
!! Credit Locale de
France
6.00%, 10/31/01 AA+ JPY 311,000 3,250
European Investment Bank
3.00%, 9/20/06 AAA 203,000 2,105
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 290,000 2,980
Government of Japan
0.90%, 12/22/08 AAA 816,000 7,035
!! International Bank
for Reconstruction &
Development
6.75%, 6/18/01 AAA 121,000 1,259
- -----------------------------------------------------------
GROUP TOTAL 16,629
- -----------------------------------------------------------
SWEDISH KRONA (4.6%)
Swedish Government
6.00%, 2/9/05 AAA SEK 32,000 4,002
13.00%, 6/15/01 AA+ 12,625 1,749
- -----------------------------------------------------------
GROUP TOTAL 5,751
- -----------------------------------------------------------
UNITED STATES DOLLAR (7.3%)
AGENCY FIXED RATE MORTGAGES (4.0%)
Federal National
Mortgage Association
5.17%, 10/13/99 Agy U.S.$ 1,000 998
5.18%, 10/25/99 Agy 4,000 3,986
- -----------------------------------------------------------
GROUP TOTAL 4,984
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
U.S. TREASURY SECURITIES (3.3%)
!! U.S. Treasury Bond
8.75%, 8/15/20 Tsy U.S.$ 1,385 $ 1,744
U.S. Treasury Note
5.875%, 11/15/05 Tsy 2,490 2,475
- -----------------------------------------------------------
GROUP TOTAL 4,219
- -----------------------------------------------------------
TOTAL UNITED STATES DOLLAR 9,203
- -----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $124,180) 119,749
- -----------------------------------------------------------
TOTAL INVESTMENTS (95.1%) (Cost $124,180) 119,749
- -----------------------------------------------------------
OTHER ASSETS AND LIABILITIES (4.9%)
Cash 1,395
Foreign Currency (Cost $1,239) 1,249
Foreign Currency Held as Collateral on Futures
Contracts (Cost $114) 114
Interest Receivable 2,412
Receivable for Fund Shares Sold 92
Receivable for Variation on Futures Contracts 341
Unrealized Gain on Forward Foreign Currency
Contracts 836
Other Assets 9
Payable for Fund Shares Redeemed (42)
Payable for Investment Advisory Fees (110)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Other Liabilities (47)
--------
6,232
- -----------------------------------------------------------
NET ASSETS (100%) $125,981
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 12,452,205 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $125,981
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.12
- -----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $127,861
Undistributed Net Investment Income (Loss) (785)
Undistributed Realized Net Gain (Loss) 2,123
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,431)
Foreign Currency Transactions 876
Futures 337
- -----------------------------------------------------------
NET ASSETS $125,981
- -----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
+ Moody's Investors Service, Inc. rating. Security is not
rated by
Standard & Poor's Corporation.
!! A portion of these securities was pledged to cover margin
requirements for futures contracts.
## Variable or floating rate security-rate disclosed is as of
September 30, 1999.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (135.3%)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (70.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.50%, 5/1/19 Agy $ 21 $ 23
11.00%, 7/1/13 Agy 63 71
Gold Pools:
9.50%, 12/1/22 Agy 259 278
10.00%, 6/1/17 Agy 216 235
October TBA
6.00%, 10/1/29 Agy 10,500 9,800
7.00%, 10/15/29 Agy 9,250 9,096
Federal National Mortgage
Association, Conventional
Pools:
9.50%, 12/1/21 Agy 529 568
10.00%, 2/1/21-1/1/27 Agy 166 180
10.50%, 12/1/10 Agy 58 63
12.00%, 8/1/12 Agy 23 26
October TBA
6.00%, 10/1/29 Agy 8,400 7,833
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.375%, 3/20/25-6/20/25 Tsy 906 913
6.50%, 10/20/27-1/20/28 Tsy 1,377 1,383
6.625%, 9/20/27 Tsy 358 360
6.875%, 4/20/25-2/20/27 Tsy 825 831
7.00%, 3/20/25-11/20/25 Tsy 1,419 1,432
Various Pools:
9.50%, 11/15/16-12/15/21 Tsy 1,658 1,782
10.00%, 1/15/16-2/15/28 Tsy 2,581 2,804
10.50%, 3/15/06-2/15/18 Tsy 389 428
11.00%, 3/15/10-8/15/27 Tsy 1,069 1,197
11.50%, 6/15/13 Tsy 68 77
12.00%, 12/15/12-5/15/14 Tsy 44 50
12.50%, 12/15/10 Tsy 14 17
October TBA
7.00%, 10/15/29 Tsy 3,000 2,944
- -----------------------------------------------------------
GROUP TOTAL 42,391
- -----------------------------------------------------------
ASSET BACKED CORPORATES (19.0%)
(+) Aegis Auto Receivables
Trust, Series 95-1 A
8.60%, 3/20/02 N/R 7 7
AFG Receivables Trust,
Series 97-A A
6.35%, 10/15/02 AAA 109 109
Americredit Automobile
Receivables Trust,
Series:
96-B A
6.50%, 1/12/02 AAA 49 49
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
- -----------------------------------------------------------
<S> <C> <C> <C>
## 98-B A2
5.259%, 6/12/01 AAA $ 232 $ 232
Associates Manufactured
Housing Pass Through
Certificates, Series 97-1
A3
6.60%, 6/15/28 AAA 134 134
Chevy Chase Auto Receivables
Trust,
Series:
97-4 A
6.25%, 6/15/04 AAA 171 171
98-1 A
5.97%, 10/20/04 AAA 559 556
COMED Transitional Funding
Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 221 220
Contimortgage Home Equity
Loan Trust,
Series:
97-4 A3
6.26%, 8/15/12 AAA 298 297
## 98-2 A2B PAC (11)
5.41%, 3/15/13 AAA 185 185
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 115 115
97-2 A
6.65%, 10/15/02 AAA 188 189
98-1 A
6.00%, 8/15/03 AAA 554 550
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 102 102
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 219 218
(+) 97-2 A1
6.85%, 11/15/02 AAA 131 131
(+) First Mortgage
Acceptance Corp., Loan
Receivables Trust, Series
96-B A1
7.629%, 11/1/18 A 84 75
First Security Auto Grantor
Trust,
Series 97-B A
6.10%, 4/15/03 AAA 167 166
Fleetwood Credit Corp.,
Series 92-A A
7.10%, 2/15/07 AAA 268 268
Ford Credit Auto Owner
Trust,
Series 99-D A4
6.40%, 10/15/02 AAA 600 601
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
General Electric Home Equity
Loan Asset-Backed
Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA $ 320 $ 320
(+)++ Global Rated Eligible
Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 338 84
Green Tree Home Equity Loan
Trust,
Series 99-C A1
5.99%, 7/15/30 AAA 529 528
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 217 217
(+) Health Care Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 N/R 250 250
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 150 149
97-B A
5.95%, 5/15/03 AAA 196 195
(+) Long Beach Acceptance
Auto Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA 117 117
97-2 A
6.69%, 9/25/04 AAA 101 100
98-1 A
6.19%, 1/25/04 AAA 137 136
MBNA Master Credit Card
Trust, Series 99-I A
6.40%, 1/18/05 AAA 325 325
MMCA Automobile Trust,
Series 97-1 A3
6.08%, 5/15/01 AAA 179 179
Navistar Financial Corp.
Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 203 203
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 243 243
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA $ 14 $ 14
94-B B
6.95%, 6/15/01 AAA 46 46
Onyx Acceptance Grantor
Trust,
Series:
97-2 A
6.35%, 10/15/02 AAA 213 213
97-3 A
6.35%, 1/15/04 AAA 141 141
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 450 441
+## Residential Funding
Mortgage Securities Co.,
Inc., Series 98-HI2 A1
5.42%, 2/25/10 Aaa 151 151
(+) Team Fleet Financing
Corp., Series 97-1 A
7.35%, 5/15/03 A- 300 302
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 257 257
96-C A2
6.51%, 11/8/02 AAA 448 448
97-A A2
6.375%, 10/8/03 AAA 581 580
97-B A2
6.70%, 6/8/03 AAA 527 528
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 159 159
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 303 303
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 397 397
- -----------------------------------------------------------
GROUP TOTAL 11,401
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
76
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (3.6%)
Federal Home Loan Mortgage Corporation,
Series:
## 1710-D
5.888%, 6/15/20 Agy $ 351 $ 352
1983-IB IO
8.00%, 8/15/27 Agy 700 192
Federal National Mortgage Association,
Series:
96-14 PC PO
12/25/23 Agy 15 10
## 97-24 FG REMIC
5.956%, 9/18/22 Agy 76 76
97-53 PI IO PAC
8.00%, 8/18/27 Agy 874 231
191 IO
8.00%, 1/1/28 Agy 473 134
270 2 IO
8.50%, 9/1/23 Agy 658 177
275 2 IO
8.00%, 11/1/26 Agy 1,435 387
281 2 IO
9.00%, 11/1/26 Agy 592 149
291 2 IO
8.00%, 11/1/27 Agy 556 155
## Government National
Mortgage Association,
Series 97-13 SB Inv Fl IO
2.563%, 9/16/27 Tsy 3,750 297
- -----------------------------------------------------------
GROUP TOTAL 2,160
- -----------------------------------------------------------
COMMERCIAL MORTGAGES (2.0%)
Asset Securitization Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 128 131
96-MD6 A1B
6.88%, 11/13/26 AAA 250 248
96-MD6 A1C
7.04%, 11/13/26 AAA 100 98
+## 97-D5 PS1 IO
1.59%, 2/14/41 Aaa 2,003 179
(+) Carousel Center Finance,
Inc.,
Series 1 C
7.527%, 10/15/07 BBB+ 62 61
(+) DLJ Mortgage Acceptance
Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 1,265 56
+## GMAC Commercial Mortgage
Securities, Inc., Series
97-C2 X IO
1.202%, 4/15/27 Aaa 3,585 220
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
+## GS Mortgage Securities
Corp. II,
Series 97-GL X2 IO
0.93%, 7/13/30 Aaa $ 980 $ 40
(+) Park Avenue Finance
Corp., Series 97-C1 A1
7.58%, 5/12/07 N/R 188 189
- -----------------------------------------------------------
GROUP TOTAL 1,222
- -----------------------------------------------------------
FINANCE (16.0%)
American General Corp.
6.625%, 2/15/29 AA- 200 174
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 225 217
Associates Corp. of North
America
6.00%, 4/15/03 AA- 70 68
Series H
6.73%, 3/27/03 AA- 475 473
Bank One Corp.
6.00%, 2/17/09 A 240 220
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ 430 393
Chase Manhattan Corp.
6.00%, 2/15/09 A 170 157
Chrysler Financial Corp.
6.375%, 1/28/00 A+ 200 200
CIT Group Holdings
6.375%, 10/1/02 A+ 200 197
Countrywide Funding Corp.,
Series B
6.55%, 4/14/00 A 175 175
EOP Operating LP
6.763%, 6/15/07 BBB 255 239
Equifax, Inc.
6.30%, 7/1/05 A- 200 191
(+) Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 275 270
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 330 288
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 300 311
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A 350 340
First Union Institutional
Capital
Series I
8.04%, 12/1/26 BBB+ 200 192
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 125
Ford Motor Credit Corp.
6.125%, 4/28/03 A 290 284
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 79
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
General Motors Acceptance
Corp.
6.85%, 6/17/04 A $ 185 $ 185
Hartford Life Corp.
7.65%, 6/15/27 A 200 195
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 201 201
Household Finance Corp.
6.08%, 3/8/06 A 333 325
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 635 626
(+) Kroger Co.
7.70%, 6/1/29 BBB- 210 203
Lehman Brothers Holding
Corp.
6.50%, 7/18/00 A 375 374
6.625%, 11/15/00 A 100 100
Marsh & McLennan Companies,
Inc.
6.625%, 6/15/04 AA- 225 223
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 445 433
Northern Trust Corp.
7.10%, 8/1/09 A+ 350 349
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 300 269
(+) PNC Institutional
Capital
7.95%, 12/15/26 BBB+ 300 283
(+) Prime Property Funding
II
6.80%, 8/15/02 A 240 236
7.00%, 8/15/04 A 120 116
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 150 157
Washington Mutual, Inc.,
Series A
8.60%, 2/1/02 BBB+ 195 201
(+) World Financial
Properties,
Series 96 WFP-B
6.91%, 9/1/13 AA- 593 572
- -----------------------------------------------------------
GROUP TOTAL 9,562
- -----------------------------------------------------------
INDUSTRIALS (12.8%)
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 330 291
Columbia/HCA Healthcare
Corp.
6.41%, 6/15/00 BB+ 210 207
Conoco, Inc.
6.95%, 4/15/29 A- 320 298
Cox Communications, Inc.
6.80%, 8/1/28 BBB+ 85 74
DaimlerChrysler AG
6.90%, 9/1/04 A+ 485 487
Dayton Hudson Corp.
6.65%, 8/1/28 A- 185 165
6.75%, 1/1/28 A- 65 59
Deere & Co.
6.55%, 7/15/04 A+ 350 345
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
Delphi Automotive Systems
7.125%, 5/1/29 BBB $ 240 $ 217
(+) EES Coke Battery Co.,
Inc.
7.125%, 4/15/02 BBB 126 126
Enron Corp.
6.95%, 7/15/28 BBB+ 220 194
Federated Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 220 196
(+) Florida Windstorm
7.125%, 2/25/19 AAA 285 268
IBM Corp.
5.375%, 2/1/09 A+ 225 203
Lowe's Companies, Inc.
6.875%, 2/15/28 A 305 278
May Department Stores Co.
5.95%, 11/1/08 A 200 186
(+) Monsanto Co.
6.60%, 12/1/28 A 285 249
!! Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 415 390
News America, Inc.
6.625%, 1/9/08 BBB- 300 281
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 300 277
Proctor & Gamble Co.
6.875%, 9/15/09 AA 155 156
Republic Services, Inc.
7.125%, 5/15/09 BBB 260 236
(+) Rohm & Haas Co.
6.95%, 7/15/00 A- 500 501
Sun Microsystems, Inc.
7.00%, 8/15/02 BBB+ 325 328
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 150 134
Textron, Inc.
6.75%, 9/15/02 A 160 160
Turner Broadcasting Systems
7.40%, 2/1/04 BBB- 375 378
United Technologies Corp.
6.70%, 8/1/28 A+ 300 274
U.S. Airways Corp.,
Series 98-1 A
6.85%, 1/30/18 AA- 366 330
Waste Management, Inc.
6.125%, 7/15/01 BBB 145 139
7.00%, 7/15/28 BBB 300 236
- -----------------------------------------------------------
GROUP TOTAL 7,663
- -----------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Resolution Trust Corp.,
Series 92-5 C
8.60%, 1/25/26 AA 42 42
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
TAXABLE MUNICIPAL (0.7%)
New York State Power
Authority Revenue Bonds,
Series B
6.11%, 2/15/11 AA- $ 400 $ 397
- -----------------------------------------------------------
TELEPHONES (3.4%)
AT&T Corp.
6.50%, 3/15/29 AA- 400 355
BellSouth Telecommunications
6.375%, 6/1/28 AAA 185 162
Comcast Cable Communications
8.375%, 5/1/07 BBB 255 268
GTE Corp.
6.94%, 4/15/28 A 445 416
MCI WorldCom, Inc.
!! 6.50%, 4/15/10 A- 200 191
6.95%, 8/15/28 A- 240 225
(+) U.S. West Capital
Funding
6.875%, 8/15/01 A- 435 435
- -----------------------------------------------------------
GROUP TOTAL 2,052
- -----------------------------------------------------------
TRANSPORTATION (1.8%)
Burlington Northern Santa Fe
6.70%, 8/1/28 BBB+ 425 374
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 333 310
Union Pacific Corp.
6.34%, 11/25/03 BBB- 400 388
- -----------------------------------------------------------
GROUP TOTAL 1,072
- -----------------------------------------------------------
UTILITIES (1.6%)
CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 200 178
(+) Edison Mission Energy
Funding Corp.,
Series B
7.33%, 9/15/08 BBB 100 97
El Paso Energy
6.75%, 5/15/09 BBB 150 142
FPL Group Capital, Inc.
7.375%, 6/1/09 A+ 550 550
- -----------------------------------------------------------
GROUP TOTAL 967
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
YANKEE (3.4%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A $ 200 $ 180
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 180 178
(+) Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A 385 332
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 489 472
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 174 163
(+) Petrozuata Finance, Inc.
8.22%, 4/1/17 BB+ 580 413
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 300 275
- -----------------------------------------------------------
GROUP TOTAL 2,013
- -----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $82,043) 80,942
- -----------------------------------------------------------
PREFERRED STOCK (0.9%)
- -----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER
(+)+ Home Ownership
Funding Corp.
13.331% (Cost $537) Aaa 650 537
- -----------------------------------------------------------
CASH EQUIVALENTS (12.0%)
- -----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
DISCOUNT NOTE (8.3%)
Federal Home Loan Bank
5.18%, 11/24/99 $ 5,000 4,961
- -----------------------------------------------------------
REPURCHASE AGREEMENT (3.7%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $2,223, collateralized
by various U.S. Government
Obligations, due 10/1/99-8/15/01,
valued at $2,225 2,223 2,223
- -----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $7,184) 7,184
- -----------------------------------------------------------
TOTAL INVESTMENTS (148.2%) (Cost $89,764) 88,663
- -----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-48.2%)
Cash $ 1
Dividends Receivable 22
Interest Receivable 649
Receivable for Investments Sold 311
Receivable for Forward Commitments 2,071
Other Assets 4
Dividend Payable (42)
Payable for Forward Commitments (31,484)
Payable for Fund Shares Redeemed (1)
Payable for Investment Advisory Fees (61)
Payable for Administrative Fees (4)
Payable for Shareholder Servicing Fees-Investment
Class (1)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Payable for Daily Variation on Futures Contracts (77)
Unrealized Loss on Swap Agreements (188)
Other Liabilities (42)
--------
(28,846)
- -----------------------------------------------------------
NET ASSETS (100%) $ 59,817
- -----------------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 5,168,985 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 50,513
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.77
- -----------------------------------------------------------
INVESTMENT CLASS
- -----------------------------------------------------------
NET ASSETS
Applicable to 951,850 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 9,304
- -----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.77
- -----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $ 63,292
Undistributed Net Investment Income (Loss) 135
Undistributed Realized Net Gain (Loss) (2,386)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,101)
Futures and Swaps (123)
- -----------------------------------------------------------
NET ASSETS $ 59,817
- -----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
(+) 144A security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover margin
requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
## Variable or floating rate security-rate disclosed is as
of September 30, 1999.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or Standard
& Poor's Corporation.
PAC Planned Amoritization Class
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note A7 to
Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.9%)
<TABLE>
<CAPTION>
- --------------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (55.5%)
- --------------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (27.0%)
Federal Home Loan Mortgage Corporation,
Conventional Pools:
11.00%, 5/1/20 Agy $ 295 $ 329
October TBA
6.00%, 10/1/29 Agy 10,800 10,080
Federal National Mortgage
Association, Conventional
Pools:
9.50%, 7/1/16 Agy 9 10
10.00%, 10/1/16-4/1/27 Agy 484 524
November TBA
6.00%, 11/1/29 Agy 11,950 11,133
Government National
Mortgage Association:
Various Pools:
10.50%, 2/15/20 Tsy 321 353
October TBA
7.00%, 10/15/29 Tsy 5,050 4,956
- --------------------------------------------------------------
GROUP TOTAL 27,385
- --------------------------------------------------------------
ASSET BACKED CORPORATES (1.2%)
Advanta Mortgage Loan Trust,
Series 97-3 A2
6.61%, 4/25/12 AAA 9 9
(+)++ Commercial Financial Services,
Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R 90 22
Ford Credit Auto Owner Trust,
Series 98-B A3
5.85%, 10/15/01 AAA 1,000 998
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 55 55
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 37 36
(+) Securitized Multiple
Asset Rated Trust,
Series 97-3 A1
7.71%, 4/15/06 N/R 138 35
WFS Financial Owner Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 51 51
- --------------------------------------------------------------
GROUP TOTAL 1,206
- --------------------------------------------------------------
ASSET BACKED MORTGAGES (0.0%)
Cityscape Home Equity Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 632 12
(+) 96-3 A YMA 10/25/26 N/R 632 1
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
- --------------------------------------------------------------
<S> <C> <C> <C>
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA $ 413 $ 8
(+) 96-4 A11 I YMA
1/15/28 AAA 413 1
96-4 A12 I IO
1.05%, 1/15/28 AAA 86 2
(+)@ 96-4 A12 I YMA
1/15/28 AAA 86 --
97-1 A10 I IO
1.10%, 3/15/28 AAA 515 12
97-1 A10 I YMA
3/15/28 N/R 515 1
- --------------------------------------------------------------
GROUP TOTAL 37
- --------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL SERIES
(0.1%)
Federal Home Loan Mortgage Corporation, Series:
1398-I Inv Fl REMIC
11.564%, 10/15/07 Agy 20 22
1415-S Inv Fl IO
20.063%, 11/15/07 Agy 13 4
1476-S Inv Fl IO
REMIC PAC
4.746%, 2/15/08 Agy 136 13
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 113 8
1600-SA Inv Fl IO REMIC
2.563%, 10/15/08 Agy 253 11
1950-SC Inv F1 IO
2.563%, 10/15/22 Agy 10 1
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl
30.36%, 9/25/20 Agy 5 7
92-186 S Inv Fl IO
3.75%, 10/25/07 Agy 227 16
96-14 PC PO
12/25/23 Agy 6 4
96-68 SC Inv Fl IO REMIC
2.694%, 1/25/24 Agy 90 8
@ 97-30 Inv Fl IO REMIC
2.594%, 7/25/22 Agy 5 --
G92-53 S Inv Fl IO REMIC
34.594%, 9/25/22 Agy 9 6
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 83
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
@ Government National Mortgage
Association,
Series:
96-12 S Inv Fl IO REMIC
3.063%, 6/16/26 Tsy $ 8 $ --
96-13 S Inv Fl IO REMIC
3.713%, 7/16/11 Tsy 4 --
96-17 S Inv Fl IO REMIC
3.113%, 8/16/26 Tsy 4 --
+@ Kidder Peabody
Mortgage Assets Trust,
Series 87 B A2 IO
9.50%, 4/22/18 Aaa (2)-- --
- --------------------------------------------------------------
GROUP TOTAL 100
- --------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.0%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 28 29
Rural Housing Trust,
Series 87-1 B1 REMIC
3.33%, 10/1/28 A- 4 4
- --------------------------------------------------------------
GROUP TOTAL 33
- --------------------------------------------------------------
COMMERCIAL MORTGAGES (0.5%)
Asset Securitization Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 60 59
(+) Crystal Run
Properties, Inc.,
Series 1-A
7.393%, 8/15/06 AA 100 100
(+) DLJ Mortgage Acceptance
Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 545 24
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.85%, 3/15/21 Aaa 242 16
97-C2 X IO
1.202%, 4/15/27 Aaa 2,259 139
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 94 94
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.573%, 2/25/28 N/R $ 271 $ 14
96-CFL X1A IO
1.096%, 2/25/28 N/R 215 2
96-CFL X2 IO
1.159%, 2/25/28 N/R 89 2
- --------------------------------------------------------------
GROUP TOTAL 486
- --------------------------------------------------------------
FINANCE (4.4%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 130 125
Associates Corp. of North
America
6.00%, 7/15/05 AA- 200 191
6.95%, 11/1/18 AA- 110 104
BankAmerica Corp.
5.875%, 2/15/09 A+ 650 594
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 360 342
Chase Manhattan Corp.
6.00%, 2/15/09 A 195 180
EOP Operating LP
6.763%, 6/15/07 BBB 555 519
7.50%, 4/19/29 BBB 135 121
First Union Institutional
Capital I
8.04%, 12/1/26 BBB+ 180 173
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 100 100
Lehman Brothers Holdings
8.50%, 8/1/15 A 50 51
Merrill Lynch & Co., Inc.
6.50%, 7/15/18 AA- 135 119
(+) PNC Institutional
Capital
7.95%, 12/15/26 BBB+ 135 128
(+) Prime Property Funding
II
6.80%, 8/15/02 A 410 403
7.00%, 8/15/04 A 50 49
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 300 314
Washington Mutual Capital I
8.375%, 6/1/27 BBB- 310 304
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 150 144
(+) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 500 480
- --------------------------------------------------------------
GROUP TOTAL 4,441
- --------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (5.9%)
Albertson's, Inc.
7.45%, 8/1/29 A $ 400 $ 397
Allied Waste Industries,
Inc.
7.40%, 9/15/35 BB- 255 187
Delphi Automotive Systems
7.125%, 5/1/29 BBB 400 362
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 405 360
(+) Florida Windstorm
7.125%, 2/25/19 AAA 485 456
Kroger Co.
8.00%, 9/15/29 N/R 395 395
Lowe's Companies, Inc.
6.50%, 3/15/29 A 330 286
6.875%, 2/15/28 A 60 55
(+) Monsanto Co.
6.60%, 12/1/28 A 420 367
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 385 361
News America Holdings
7.75%, 1/20/24 BBB- 185 175
8.875%, 4/26/23 BBB- 525 558
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 60 60
Scotia Pacific Co. LLC
7.11%, 1/20/14 A 395 316
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 200 203
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 255 228
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 435 381
6.95%, 1/15/28 BBB 75 69
7.57%, 2/1/24 BBB 145 143
Union Pacific Co.
6.625%, 2/1/29 BBB- 295 253
USA Waste Services
7.00%, 7/15/28 BBB 225 177
(+) Waste Management, Inc.
7.375%, 5/15/29 BBB 205 169
- --------------------------------------------------------------
GROUP TOTAL 5,958
- --------------------------------------------------------------
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
Magnolia Federal Bank,
Series 84-2
9.12%, 10/1/07 N/R 4 4
## Resolution Trust Corp.,
Series 92-5C CMO
8.60%, 1/25/26 AA 17 17
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 N/R $ 25 $ 24
- --------------------------------------------------------------
GROUP TOTAL 46
- --------------------------------------------------------------
TELEPHONES (1.6%)
AT&T Corp.
6.50%, 3/15/29 AA- 540 478
Comcast Cable
Communications
8.375%, 5/1/07 BBB 90 95
GTE Corp.
6.94%, 4/15/28 A 425 398
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 630 589
- --------------------------------------------------------------
GROUP TOTAL 1,560
- --------------------------------------------------------------
TRANSPORTATION (0.3%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 362 338
- --------------------------------------------------------------
U.S. TREASURY SECURITIES (11.4%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,341 1,281
3.625%, 1/15/08
(Inflation Indexed) Tsy 57 55
++ 3.625%, 7/15/02
(Inflation Indexed) Tsy 1,041 1,033
7.50%, 2/15/05 Tsy 8,550 9,138
- --------------------------------------------------------------
GROUP TOTAL 11,507
- --------------------------------------------------------------
UTILITIES (1.0%)
Conoco, Inc.
6.95%, 4/15/29 A- 530 492
(+) Edison Mission Energy
Funding Corp.
7.33%, 9/15/08 BBB 100 97
Enron Corp.
6.95%, 7/15/28 BBB+ 495 437
- --------------------------------------------------------------
GROUP TOTAL 1,026
- --------------------------------------------------------------
YANKEE (2.0%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A 350 316
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 260 258
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 50
7.75%, 7/15/08 A- 280 263
(+) Israel Electric Corp., Ltd.
7.75%, 12/15/27 A- 270 238
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 174 163
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
(+) Oil Purchase Co. II
10.73%, 1/31/04 BBB $ 150 $ 146
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 225 160
Province of Quebec
7.50%, 9/15/29 A+ 295 297
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 175 160
- --------------------------------------------------------------
GROUP TOTAL 2,051
- --------------------------------------------------------------
TOTAL U.S. FIXED INCOME SECURITIES (Cost $58,506) 56,174
- --------------------------------------------------------------
INTERNATIONAL FIXED INCOME (12.6%)
- --------------------------------------------------------------
FIXED INCOME SECURITIES (12.6%)
- --------------------------------------------------------------
AUSTRALIAN DOLLAR (0.2%)
Australian Government
8.75%, 8/15/08 Agy AUD 225 171
- --------------------------------------------------------------
BRITISH POUND (2.0%)
United Kingdom Treasury
Bills
8.00%, 6/10/03 AAA GBP 225 391
8.50%, 7/16/07 AAA 850 1,607
- --------------------------------------------------------------
GROUP TOTAL 1,998
- --------------------------------------------------------------
CANADIAN DOLLAR (2.4%)
Government of Canada
7.50%, 3/1/01 AAA CAD 1,400 980
10.00%, 6/1/08 AAA 1,650 1,441
- --------------------------------------------------------------
GROUP TOTAL 2,421
- --------------------------------------------------------------
DANISH KRONE (1.9%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 13,300 1,885
- --------------------------------------------------------------
EURO (6.1%)
Government of Germany
6.50%, 7/4/27 AAA EUR 1,373 1,596
7.50%, 9/9/04 AAA 882 1,056
+ Government of Spain
5.15%, 7/30/09 Aa2 1,180 1,237
Republic of Italy BTPS
9.50%, 2/1/06 AAA 1,795 2,353
- --------------------------------------------------------------
GROUP TOTAL 6,242
- --------------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $13,367) 12,717
- --------------------------------------------------------------
HIGH YIELD (15.2%)
- --------------------------------------------------------------
FIXED INCOME SECURITIES (15.2%)
- --------------------------------------------------------------
ASSET BACKED CORPORATES (0.1%)
(+)+ Long Beach Acceptance
Auto Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 $ 59 58
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
CABLE (1.8%)
Adelphia Communications Corp.
7.50%, 1/15/04 B+ 325 $ 305
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 275 274
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 370 369
8.375%, 11/1/05 BB+ 140 145
# NTL, Inc.
9.75%, 4/1/08 B- GBP 750 495
(+)# Telewest plc
0.00%, 4/15/09 B+ 295 289
- --------------------------------------------------------------
GROUP TOTAL 1,877
- --------------------------------------------------------------
COMMUNICATIONS (5.3%)
+ Dial Call Communications, Inc.
10.25%, 12/15/05 B2 $ 170 171
(+)# Dolphin Telecom Sr.
Discount Notes,
0.00%, 5/15/09 CCC+ 500 200
Global Crossing Holdings
Ltd.
9.625%, 5/15/08 B 305 313
Globalstar LP/Capital
11.375%, 2/15/04 B 390 254
# Intermedia
Communications, Inc.
0.00%, 7/15/07 B 1,235 821
) Iridium LLC/Capital
Corp.,
Series A
13.00%, 7/15/05 D 750 79
(+) Netia Holdings S.A.
13.50%, 6/15/09 B EUR 275 292
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- $ 1,450 1,069
9.75%, 8/15/04 B- 235 237
(+) Orange plc
8.75%, 6/1/06 BB- 500 504
Primus Telecommunications
Group, Inc.
Series B
9.875%, 5/15/08 B- 210 184
11.25%, 1/15/09 B- 125 119
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<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+ $ 110 $ 109
Series B
# 0.00%, 2/1/08 BB+ 395 297
# RCN Corp.
0.00%, 10/15/07 B- 450 293
+ 0.00%, 2/15/08 B3 175 104
# RSL Communications plc
0.00%, 3/1/08 B- 500 281
- --------------------------------------------------------------
GROUP TOTAL 5,327
- --------------------------------------------------------------
ENERGY (0.4%)
) Mobile Energy Services
8.665%, 1/1/17 D 86 23
Snyder Oil Corp.
8.75%, 6/15/07 B+ 400 395
- --------------------------------------------------------------
GROUP TOTAL 418
- --------------------------------------------------------------
GAMING (1.1)%
(+) Horseshoe Gaming
Holding,
8.652%, 5/15/09 B+ 300 286
(+) International Game
Technology,
8.375%, 5/15/09 BB+ 240 230
Park Place Entertainment
Corp.
7.875%, 12/15/05 BB+ 300 283
Station Casinos, Inc.
10.125%, 3/15/06 B+ 275 283
- --------------------------------------------------------------
GROUP TOTAL 1,082
- --------------------------------------------------------------
GENERAL INDUSTRY (0.8%)
American Standard
7.125%, 6/1/06 BB- GBP 300 309
Cex Holding, Inc.,
Series B
9.625%, 6/1/08 B $ 275 291
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 300 264
- --------------------------------------------------------------
GROUP TOTAL 864
- --------------------------------------------------------------
HEALTH CARE (1.8%)
Columbia/HCA
Healthcare Corp.
6.91%, 6/15/05 BB+ 265 239
7.15%, 3/30/04 BB+ 250 232
7.19%, 11/15/15 BB+ 320 258
7.58%, 9/15/25 BB+ 240 192
Fresenius Medical Capital
Trust II
7.875%, 2/1/08 B+ 300 276
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
Tenet Healthcare Corp.
8.625%, 1/15/07 BB- $ 475 $ 452
Series B
8.125%, 12/1/08 BB- 250 229
- --------------------------------------------------------------
GROUP TOTAL 1,878
- --------------------------------------------------------------
HOTELS/LODGING/RESTAURANTS (0.4%)
HMH Properties,
Series A
7.875%, 8/1/05 BB 400 368
- --------------------------------------------------------------
MEDIA & ENTERTAINMENT (0.3%)
Chancellor Media Corp.
9.00%, 10/1/08 B 275 279
- --------------------------------------------------------------
METALS (0.3%)
Glencore Nickel Property
Ltd.
9.00%, 12/1/14 BB+ 180 153
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B 179 202
- --------------------------------------------------------------
GROUP TOTAL 355
- --------------------------------------------------------------
REAL ESTATE/BUILDING (0.9%)
Nortek, Inc.,
Series B
8.875%, 8/1/08 B+ 1,000 945
- --------------------------------------------------------------
RETAIL (1.4%)
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 62 57
94-K A1
7.60%, 8/15/07 BB+ 151 146
94-K2 A2
9.35%, 8/15/19 BB+ 130 130
HMV Media Group, plc
10.875%, 5/15/08 B GBP 150 248
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ $ 590 596
Saks, Inc.
7.375%, 2/15/19 BB+ 240 204
- --------------------------------------------------------------
GROUP TOTAL 1,381
- --------------------------------------------------------------
UTILITIES (0.6%)
CMS Energy Corp.
7.50%, 1/15/09 BB 490 452
El Paso Energy
6.75%, 5/15/09 BBB 155 147
- --------------------------------------------------------------
GROUP TOTAL 599
- --------------------------------------------------------------
TOTAL HIGH YIELD (Cost $16,786) 15,431
- --------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
EMERGING MARKETS (11.6%)
- --------------------------------------------------------------
FIXED INCOME SECURITIES (11.6%)
Argentina Global Bond,
Series BHL5
11.375%, 1/30/17 BB $ 325 $ 307
Asia Pulp & Paper Co.,
Ltd.,
Series A
12.00%, 2/15/04 CCC+ 150 80
Banco Nacional de
Desenvolvimento Economico
15.224%, 6/16/08 B+ 350 289
Brazil Debt
Conversion Bond, Series L
5.938%, 4/15/12 BB- 790 474
+# Bulgaria Government,
2.75%, 7/28/12 B2 400 252
(+) Cablevision S.A.
13.75%, 5/1/09 BB 100 93
Cellco Finance NV
15.00%, 8/1/05 CCC+ 190 198
(+) CIA International
Telecommunications
10.375%, 8/1/04 BB 330 244
Ecuador Global Bond
6.75%, 2/28/25 N/R 250 77
Government of Venezuela
9.25%, 9/15/27 N/R 400 264
Grupo Minero Mexicano
S.A. de CV, Series A
8.25%, 4/1/08 BB 365 308
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 100 78
Indah Kiat International
Finance,
Series B
11.875%, 6/15/02 CCC+ 50 38
Kingdom of Morocco
5.906%, 1/1/09 N/R 319 271
Multicanal S.A.
(+) 13.125%, 4/15/09 BB+ 360 339
Series C
10.50%, 4/15/18 BB+ 145 112
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 100 17
Peru Reduction Bond
3.75%, 3/7/17 BB 300 162
Petroleos Mexicanos
9.50%, 9/15/27 BB 250 241
9.52%, 7/15/05 BB 120 115
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 155 84
PTC International Finance
B.V.
0.00%, 7/1/07 B+ 355 249
(+) Reliance Industries
Ltd.
10.50%, 8/6/46 BB 50 42
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
+ Republic of Argentina
Bancos del Tesoro
8.75%, 5/9/02 Ba3 $ 210 $ 195
## Republic of Argentina,
Series L
5.938%, 3/31/05 BB 605 530
Republic of Argentina
2.77%, 4/1/07 BB 106 73
11.75%, 4/7/09 BB 750 726
12.125%, 2/25/19 BB 218 219
Republic of Brazil
5.938%, 4/15/09 B+ 200 142
8.00%, 4/15/14 B+ 1,339 837
11.625%, 4/15/04 B+ 350 328
Republic of Brazil Debt
Conversion Bond
Series L
5.00%, 4/15/14 B+ 18 11
## Republic of Brazil,
Series EI-L
5.875%, 4/15/06 B+ 168 132
Republic of Colombia
8.70%, 2/15/16 BB+ 265 195
9.75%, 4/23/09 BB+ 400 343
10.875%, 3/9/04 BB+ 70 69
## 12.471%, 8/13/05 BB+ 160 149
Republic of Panama
## 6.50%, 7/17/16 BB+ 65 47
9.375%, 4/1/29 BB+ 250 233
Republic of Philippines
9.875%, 1/15/19 BB+ 150 143
Republic of Venezuela Debt
Conversion Bond,
Series DL
6.313%, 12/18/07 B+ 405 311
(+) Russian Federation
11.00%, 7/24/18 CCC- 1,690 710
Tjiwi Kimia International
BV
13.25%, 8/1/01 CCC+ 150 116
TV Azteca S.A.
10.125%, 2/15/04 B+ 125 102
Series B
10.50%, 2/15/07 B+ 135 104
Turkey Treasury Bill
0.00%, 10/27/99 Agy TRL 59,000,000 122
0.00%, 2/9/00 Agy 100,593,000 169
0.00%, 3/15/00 Agy 98,839,000 156
United Mexican States
Global Bond
6.25%, 12/31/19 BB $ 500 368
10.375%, 2/17/09 BB 550 558
11.375%, 9/15/16 BB 350 372
- --------------------------------------------------------------
TOTAL EMERGING MARKETS (Cost $11,673) 11,794
- --------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- --------------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS (0.5%)
- --------------------------------------------------------------
COMMUNICATIONS (0.1%)
IXC Communications, Inc.,
Series B PIK
7.25% CCC+ 106 $ 114
- --------------------------------------------------------------
MORTGAGE-OTHER (0.4%)
(+)+ Home Ownership
Funding Corp. 13.33% Aaa 500 413
- --------------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $512) 527
- --------------------------------------------------------------
CASH EQUIVALENTS (37.2%)
- --------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-----------
<S> <C> <C> <C>
DISCOUNT NOTES (20.7%)
Federal Home Loan Mortgage
Corporation
5.18%, 10/14/99 $7,000 6,987
5.20%, 10/22/99 7,000 6,979
Federal National Mortgage Association
5.21%, 10/25/99 7,000 6,975
- --------------------------------------------------------------
GROUP TOTAL 20,941
- --------------------------------------------------------------
REPURCHASE AGREEMENT (16.5%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $16,756,
collateralized
by various U.S. Government
Obligations, due 10/1/99-8/15/01,
valued at $16,773 16,754 16,754
- --------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $37,695) 37,695
- --------------------------------------------------------------
TOTAL INVESTMENTS (132.6%) (Cost $138,539) 134,338
- --------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- --------------------------------------------------------------
-----------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-32.6%)
Foreign Currency Held as Collateral on Futures
Contracts (Cost $16) $ 16
Dividends Receivable 17
Interest Receivable 1,231
Receivable for Withholding Tax Reclaim 9
Receivable for Investments Sold 257
Receivable for Forward Commitments 11,213
Other Assets 2
Payable to Custodian (7,029)
Payable for Investments Purchased (1,079)
Payable for Forward Commitments (37,178)
Payable for Investment Advisory Fees (113)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (2)
Payable for Daily Variation on Futures Contracts (4)
Unrealized Loss on Forward Foreign
Currency Contacts (244)
Unrealized Loss on Swap Agreements (88)
Other Liabilities (34)
---------
(33,032)
- --------------------------------------------------------------
NET ASSETS (100%) $ 101,306
- --------------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------------
NET ASSETS
Applicable to 10,708,355 outstanding shares of
beneficial interest (unlimited authorization, no
par value) $ 101,306
- --------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.46
- --------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 106,136
Undistributed Net Investment Income (Loss) 1,742
Undistributed Realized Net Gain (Loss) (2,046)
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,201)
Foreign Currency Transactions (240)
Futures and Swaps (85)
- --------------------------------------------------------------
NET ASSETS $ 101,306
- --------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO
(CONT'D)
- ---------------------------------------------------------------
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1999 was $1,000 or
0.0% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited
(+) 144A security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
) Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of September 30, 1999.
(2) Face Value is less than $500.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation.
EUR Euro
GBP British Pound
Inv Inverse Floating Rate-Interest rate fluctuates with an
Fl inverse relationship to an associated interest rate.
Indicated rate is the effective rate at September 30,
1999.
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc., or
Standard & Poor's Corporation.
PAC Planned Amortization Class
PIK Payment-In Kind Security
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
TBA Security is subject to delayed delivery. See Note A7
to Financial Statements.
TRL Turkish Lira
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (63.9%)
<TABLE>
<CAPTION>
- ------------------------------------------------------------
!!RATINGS FACE
(STANDARD AMOUNT VALUE
SEPTEMBER 30, 1999 & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (33.5%)
Federal Home Loan Mortgage
Corporation, Conventional
Pools:
10.00%, 9/1/17 Agy $ 320 $ 346
10.50%, 8/1/19-12/1/19 Agy 642 703
11.00%, 5/1/20-9/1/20 Agy 466 519
12.00%, 3/1/15 Agy 195 219
Gold Pools:
9.50%, 12/1/22 Agy 435 468
10.00%, 12/1/19 Agy 789 856
October TBA
6.00%, 10/1/29 Agy 54,750 51,100
Federal National Mortgage
Association, Conventional
Pools:
6.00%, 4/1/29 Agy 7,071 6,604
9.50%, 12/1/17-11/1/20 Agy 4,122 4,427
10.00%, 1/1/10-1/1/20 Agy 471 511
10.50%, 12/1/16-4/1/22 Agy 2,616 2,872
11.50%, 9/1/25 Agy 30 34
12.50%, 9/1/15 Agy 124 141
October TBA
6.00%, 10/1/29 Agy 24,150 22,521
Government National Mortgage
Association: Adjustable
Rate Mortgages:
6.125%, 12/20/25-10/20/27 Tsy 3,044 3,059
6.375%, 2/20/25-5/20/25 Tsy 3,796 3,826
6.50%, 1/20/28 Tsy 297 299
6.875%, 4/20/25-6/20/25 Tsy 1,664 1,677
7.00%, 2/20/25-11/20/25 Tsy 1,326 1,337
Various Pools:
9.50%, 11/15/17-11/15/21 Tsy 1,955 2,103
10.00%, 11/15/09-4/15/28 Tsy 4,683 5,090
10.50%, 2/15/18-12/15/20 Tsy 653 716
11.00%, 5/15/26 Tsy 538 602
October TBA
7.00%, 10/15/29 Tsy 14,700 14,427
- ------------------------------------------------------------
GROUP TOTAL 124,457
- ------------------------------------------------------------
ASSET BACKED CORPORATES (11.5%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 946 946
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 640 640
97-D A3
6.20%, 5/15/03 AAA 906 904
98-A A3
5.90%, 11/15/02 AAA 825 823
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
- ------------------------------------------------------------
<S> <C> <C> <C>
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA $ 384 $ 382
Block Mortgage Finance Co.,
Series 99-1 A1
5.94%, 8/26/13 AAA 597 594
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 950 950
Centex Home Equity, Series
99-2 A1
5.91%, 4/25/19 AAA 871 863
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 803 802
## Citibank Credit Card
Master Trust I,
Series 98-7 A
5.279%, 5/15/02 AAA 1,250 1,249
COMED Transitional
Funding Trust,
Series 98-1 A1
5.38%, 3/25/02 AAA 420 419
Contimortgage Home Equity
Loan Trust,
Series:
## 98-2 A2 B PAC (11)
5.41%, 3/15/13 AAA 218 217
99-A A1
6.01%, 12/25/23 AAA 789 783
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 188 187
Daimler Benz Vehicle Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 684 682
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 387 386
EQCC Home Equity
Loan Trust,
Series:
98-1 A1F
6.21%, 12/15/07 AAA 10 10
98-2 A1F
6.235%, 4/15/08 AAA 309 308
99-3 A1F
6.548%, 4/25/10 AAA 1,518 1,514
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 170 170
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
(+) First Mortgage
Acceptance Corp.,
Loan Receivables Trust,
Series 96-B A1
7.629%, 11/1/18 A $ 334 $ 301
First Security Auto Grantor
Trust,
Series:
98-A A
5.97%, 4/15/04 AAA 445 444
97-B A
6.10%, 4/15/03 AAA 863 862
First Security Auto
Owner Trust,
Series 99-2 A2
5.492%, 5/15/02 AAA 1,000 996
## First USA Credit Card
Master Trust,
Series 97-10 A
5.471%, 9/17/03 AAA 875 874
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 361 361
98-A A3
5.65%, 10/15/01 AAA 1,637 1,633
99-B A3
5.47%, 9/15/01 AAA 1,950 1,940
99-C A3
5.77%, 11/15/01 AAA 1,925 1,918
99-D A3
6.20%, 4/15/02 AAA 1,925 1,924
(+)++ Global Rated Eligible
Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 248 62
Green Tree Financial Corp.,
Series:
+ 98-E HIA1
5.907%, 12/15/24 Aaa 490 489
+ 98-1 A2
5.85%, 4/1/11 Aaa 344 343
99-1 A1
5.60%, 3/1/30 AAA 1,108 1,102
99-3 A2
5.51%, 6/1/06 AAA 1,325 1,318
Green Tree Home Equity Loan
Trust,
Series:
98-A A2
6.04%, 6/15/29 AAA 880 879
99-A A1
5.59%, 2/15/13 AAA 763 761
99-C A1
5.99%, 7/15/30 AAA 1,633 1,630
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 561 560
</TABLE>
<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 $ 651 $ 644
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 282 281
Honda Auto Receivables
Owner Trust,
Series 99-1 A2
5.186%, 6/15/01 AAA 950 947
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 183 182
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 425 425
Navistar Financial Corp.
Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 1,000 995
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 676 675
Option One Mortgage
Loan Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 849 843
Premier Auto Trust, Series
99-3 A2
5.82%, 2/8/02 AAA 2,075 2,069
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 775 759
+## Residential Funding
Mortgage Securities Co.,
Inc.,
Series 98-HI2 A1
5.42%, 2/25/10 Aaa 229 229
Salomon Brothers Mortgage
Securities VII, Series
98-NC7 A1
6.063%, 1/25/29 AAA 466 463
(+) Securitized Multiple
Asset
Rated Trust,
Series 97-3 A1
7.71%, 4/15/06 N/R 295 74
(+) Team Fleet Financing
Corp.,
Series 96-1 A
6.65%, 12/15/02 A- 300 298
## UCFC Home Equity Loan,
Series 98-C A1
5.50%, 12/15/12 AAA 569 568
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Union Acceptance Corp.,
Series 96-C A2
6.51%, 11/8/02 AAA $ 504 $ 504
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 272 271
97-D A3
6.25%, 3/20/02 AAA 536 536
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 720 720
- ------------------------------------------------------------
GROUP TOTAL 42,709
- ------------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 5,590 109
(+) 96-3 A YMA
10/25/26 N/R 5,590 6
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 I IO
1.10%, 1/15/28 AAA 3,165 66
(+) 96-4 A11 I YMA
1/15/28 AAA 3,165 4
96-4 A12 I IO
1.05%, 1/15/28 AAA 656 14
(+) 96-4 A12 I YMA
1/15/28 AAA 656 1
97-1 A10 I IO
1.10%, 3/15/28 AAA 3,874 83
97-1 A10 I YMA
3/15/28 N/R 3,874 5
- ------------------------------------------------------------
GROUP TOTAL 288
- ------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (1.5%)
Federal Home Loan Mortgage
Corporation,
Series:
1415-S Inv Fl IO
20.063%, 11/15/07 Agy 200 69
1476-S Inv Fl IO REMIC PAC
4.746%, 2/15/08 Agy 2,068 190
1485-S Inv Fl IO REMIC
4.163%, 3/15/08 Agy 1,776 119
1600-SA Inv Fl IO REMIC
2.563%, 10/15/08 Agy 3,358 141
## 1710-D
5.888%, 6/15/20 Agy 480 481
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy $ 213 $ 221
92-186 S Inv Fl IO
3.75%, 10/25/07 Agy 3,514 246
## 94-97 FC
6.044%, 3/25/24 Agy 141 142
96-14 PC PO
12/25/23 Agy 53 37
96-68 SC Inv Fl IO REMIC
2.694%, 1/25/24 Agy 1,250 106
97-53 PI IO PAC
8.00%, 8/18/27 Agy 2,141 565
## 97-70 FA REMIC PAC (11)
5.856%, 7/18/20 Agy 206 206
## 98-22 FA REMIC
5.781%, 4/18/22 Agy 684 682
191 IO
8.00%, 1/1/28 Agy 699 198
270 2 IO
8.50%, 9/1/23 Agy 1,793 482
281 2 IO
9.00%, 11/1/26 Agy 705 177
291 2 IO
8.00%, 11/1/27 Agy 1,411 393
296 2 IO
8.00%, 11/1/27 Agy 1,692 455
Government National
Mortgage Association,
Series:
99-30 S Inv Fl IO
3.22%, 8/16/29 Tsy 5,456 409
99-32 Inv Fl IO
2.75%, 7/16/27 Tsy 4,000 199
- ------------------------------------------------------------
GROUP TOTAL 5,518
- ------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.1%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 171 179
Rural Housing Trust, Series
87-1 B1 REMIC
3.33%, 10/1/28 A- 54 54
- ------------------------------------------------------------
GROUP TOTAL 233
- ------------------------------------------------------------
COMMERCIAL MORTGAGES (1.4%)
American Southwest
Financial Securities
Corp.,
Series 93-2 A1
7.30%, 1/18/09 N/R 983 979
Asset Securitization Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 575 565
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
+## 97-D5 PS1 IO
1.59%, 2/14/41 Aaa $ 3,273 $ 293
(+) Carousel Center Finance,
Inc.,
Series 1 A1
6.828%, 11/15/07 AA 525 519
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 538 566
+## GMAC Commercial Mortgage
Securities, Inc.,
Series:
96-C1 X2 IO
1.85%, 3/15/21 Aaa 2,121 140
97-C2 X IO
1.202%, 4/15/29 Aaa 5,992 368
+## GS Mortgage Securities
Corp. II, Series 97-GL X2
IO
0.93%, 7/13/30 Aaa 1,666 67
## Nomura Asset Securities
Corp., Series 94-MD1 A3
8.211%, 3/15/18 N/R 525 537
(+) Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 483 476
(+) Stratford Finance Corp.
6.776%, 2/1/04 AA 800 780
- ------------------------------------------------------------
GROUP TOTAL 5,290
- ------------------------------------------------------------
ENERGY (0.1%)
(+) Excel Paralubes Funding
7.43%, 11/1/15 A- 340 319
) Mobile Energy Services
8.665%, 1/1/17 D 441 117
- ------------------------------------------------------------
GROUP TOTAL 436
- ------------------------------------------------------------
FINANCE (4.0%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 390 376
BankAmerica Corp.
5.875%, 2/15/09 A+ 220 201
(+) BankAmerica
Institutional, Series A
8.07%, 12/31/26 A- 925 895
(+) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 A 695 661
Chase Manhattan Corp.
6.00%, 2/15/09 A 395 364
EOP Operating LP
6.763%, 6/15/07 BBB 395 370
7.25%, 6/15/28 BBB 200 174
7.50%, 4/19/29 BBB 265 237
(+) Equitable Companies,
Inc.
6.50%, 4/1/08 A 420 399
</TABLE>
<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 $ 686
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 425 370
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 725 752
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 395 376
First Union Institutional
Capital I
8.04%, 12/1/26 BBB+ 625 600
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 200 200
(+) Florida Windstorm
6.70%, 8/25/04 A- 550 537
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 850 790
Household Finance Corp.
5.875%, 2/1/09 A 640 578
Lehman Brothers Holdings
8.50%, 8/1/15 A 125 128
(+) Metropolitan Life Insurance Co.
7.45%, 11/1/23 A+ 600 549
7.80%, 11/1/25 A+ 250 247
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 775 705
(+) New York Life Insurance
Co.
7.50%, 12/15/23 AA- 300 276
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 210 192
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 725 685
(+) Prime Property Funding
II
6.80%, 8/15/02 A 210 207
7.00%, 8/15/04 A 540 524
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 855 895
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 375 367
Washington Mutual, Inc.
Series A
8.206%, 2/1/27 BBB- 270 260
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 807 778
96 WFP-D
6.95%, 9/1/13 AA- 525 504
- ------------------------------------------------------------
GROUP TOTAL 14,883
- ------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (5.7%)
Albertson's, Inc.
7.45%, 8/1/29 A $ 760 $ 754
Allied Waste Industries,
Inc.
7.40%, 9/15/35 BB- 520 382
American Standard Cos.
7.375%, 4/15/05 BB- 230 218
Columbia/HCA
Healthcare Corp.
7.19%, 11/15/15 BB+ 250 202
7.50%, 12/15/23 BB+ 305 242
7.58%, 9/15/25 BB+ 320 256
7.69%, 6/15/25 BB+ 210 172
9.00%, 12/15/14 BB+ 225 216
Comcast Cable Communications
6.20%, 11/15/08 BBB 415 381
Conoco, Inc.
6.95%, 4/15/29 A- 1,050 976
Cox Communications, Inc.
6.80%, 8/1/28 BBB+ 90 79
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 670 669
Delphi Automotive Systems
7.125%, 5/1/29 BBB 905 818
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 123 113
94-K2 A2
9.35%, 8/15/19 BB+ 550 549
Enron Corp.
6.95%, 7/15/28 BBB+ 585 516
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 830 738
(+) Florida Windstorm
7.125%, 2/25/19 AAA 625 588
Ford Motor Co.
6.625%, 10/1/28 A 725 646
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 765 765
7.45%, 3/1/08 BBB- 110 109
Host Marriott LP
8.375%, 2/15/06 BB 130 122
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 650 676
International Game
Technology
8.375%, 5/15/09 BB+ 495 474
Kmart Funding Corp., Series
F
8.80%, 7/1/10 BB+ 350 353
Lenfest Communications, Inc.
7.625%, 2/15/08 BB+ 425 423
8.375%, 11/1/05 BB+ 690 716
Lowe's Companies, Inc.
6.50%, 3/15/29 A 655 568
6.875%, 2/15/28 A 205 187
(+) Monsanto Co.
6.60%, 12/1/28 A 1,025 896
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
News America Holdings
7.75%, 1/20/24 BBB- $ 190 $ 180
News America, Inc.
7.28%, 6/30/28 BBB- 885 789
(+) Oxymar
7.50%, 2/15/16 BBB 470 356
# Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 400 398
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 415 423
Saks, Inc.
7.375%, 2/15/19 BB+ 580 493
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 1,205 843
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 375 381
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 595 544
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 525 470
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 815 714
7.57%, 2/1/24 BBB 505 498
Union Pacific Co.
6.625%, 2/1/29 BBB- 405 348
USA Waste Services
7.00%, 7/15/28 BBB 745 585
(+) Waste Management, Inc.
7.375%, 5/15/29 BBB 265 218
- ------------------------------------------------------------
GROUP TOTAL 21,044
- ------------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec.@ First Federal Savings
& Loan Association
Series A
8.75%, 6/1/06
(acquired 2/26/93, cost
$0) AA (2)-- --
## Resolution Trust Corp.,
Series 92-5C CMO
8.60%, 1/25/26 AA 154 153
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 58 57
- ------------------------------------------------------------
GROUP TOTAL 210
- ------------------------------------------------------------
TELEPHONES (1.3%)
++ AT&T Corp.
6.50%, 3/15/29 AA- 1,020 904
Comcast Cable Communications
8.375%, 5/1/07 BBB 170 179
GTE Corp.
6.94%, 4/15/28 A 745 697
Intermedia
Communications, Inc.
# 0.00%, 5/15/06 B 130 105
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Series B
8.50%, 1/15/08 B $ 230 $ 199
8.60%, 6/1/08 B 500 434
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 1,180 1,104
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- 655 483
Qwest Communications
International, Inc.
7.50%, 11/1/08 BB+ 235 233
Series B
# 0.00%, 2/1/08 BB+ 720 542
- ------------------------------------------------------------
GROUP TOTAL 4,880
- ------------------------------------------------------------
TRANSPORTATION (0.7%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 837 780
99-1 A
6.545%, 8/2/20 AA+ 445 410
(+) Jet Equipment Trust,
Series 95-5A C
10.69%, 11/1/13 BBB- 675 776
Union Pacific Corp.
6.625%, 2/1/08 BBB- 345 328
7.125%, 2/1/28 BBB- 335 307
- ------------------------------------------------------------
GROUP TOTAL 2,601
- ------------------------------------------------------------
UTILITIES (0.8%)
CMS Energy Corp.
7.50%, 1/15/09 BB 695 641
(+) Edison Mission Energy
Funding Corp.,
7.73%, 6/15/09 A- 250 251
Series B
7.33%, 9/15/08 BBB 375 365
El Paso Energy
6.75%, 5/15/09 BBB 300 284
Enron Corp.
6.95%, 7/15/28 BBB+ 235 207
Florida Power & Light Co.
7.625%, 9/15/06 A+ 765 778
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 455 439
- ------------------------------------------------------------
GROUP TOTAL 2,965
- ------------------------------------------------------------
YANKEE (3.1%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A 780 704
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 865 831
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 480 476
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 120 109
7.75%, 7/15/08 A- 800 752
</TABLE>
<TABLE>
<CAPTION>
!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ $ 655 $ 558
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 585 494
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 825 711
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 400 311
(+) Israel Electric Corp.,
Ltd.
7.75%, 12/15/27 A- 575 506
(+) Multicanal S.A.
10.50%, 4/15/18 BB+ 330 255
13.125%, 4/15/09 BB+ 190 179
National Power Corp.
8.40%, 12/15/16 BB+ 225 181
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB 488 457
Oil Purchase Co. II
10.73%, 1/31/04 BBB 95 92
(+) Orange plc
8.75%, 6/1/06 BB- 635 640
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 545 93
(+) Petrozuata Finance, Inc.
8.22%, 4/1/17 BB+ 840 598
Province of Quebec
7.50%, 9/15/29 A+ 580 583
(+) Ras Laffan Liquefied
Natural
Gas Co.
8.294%, 3/15/14 BBB+ 1,180 1,080
Republic of Argentina Par
11.75%, 4/7/09 BB 665 644
Republic of Colombia
8.70%, 2/15/16 BBB- 690 508
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB 485 358
Series B
6.25%, 12/31/19 BB 660 487
- ------------------------------------------------------------
GROUP TOTAL 11,607
- ------------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $242,498) 237,121
- ------------------------------------------------------------
COMMON STOCKS (53.1%)
- ------------------------------------------------------------
<CAPTION>
SHARES
-------
<S> <C> <C> <C>
BANKS (2.6%)
BankAmerica Corp. 55,002 3,063
BankBoston Corp. 45,100 1,956
Chase Manhattan Corp. 18,600 1,402
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
@ First Union Corp. (N.C.) 1 $ --
PNC Bank Corp. 29,200 1,539
Wells Fargo Co. 41,800 1,656
- ------------------------------------------------------------
GROUP TOTAL 9,616
- ------------------------------------------------------------
BASIC RESOURCES (1.9%)
Engelhard Corp. 124,900 2,272
International Paper Co. 20,900 1,004
Temple-Inland, Inc. 15,700 950
Weyerhaeuser Co. 17,000 980
* W.R. Grace & Co. 107,700 1,730
- ------------------------------------------------------------
GROUP TOTAL 6,936
- ------------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.3%)
Anheuser-Busch Cos., Inc. 28,500 1,997
Clorox Co. 24,000 918
Coca-Cola Co. 27,900 1,341
Gillette Co. 22,200 753
- ------------------------------------------------------------
GROUP TOTAL 5,009
- ------------------------------------------------------------
CONSUMER DURABLES (2.1%)
Ford Motor Co. 45,100 2,263
General Motors Corp. 52,052 3,276
Owens Corning 98,300 2,132
- ------------------------------------------------------------
GROUP TOTAL 7,671
- ------------------------------------------------------------
CONSUMER SERVICES (3.5%)
* AT&T Corp.-Liberty Media Group, Class
A 81,536 3,027
* Clear Channel Communications, Inc. 23,700 1,893
* Fox Entertainment Group, Inc., Class
A 53,300 1,126
* Infinity Broadcasting Corp., Class A 66,300 1,944
* MediaOne Group, Inc. 22,900 1,564
News Corp., Ltd. ADR 59,300 1,583
Time Warner, Inc. 28,349 1,722
- ------------------------------------------------------------
GROUP TOTAL 12,859
- ------------------------------------------------------------
CREDIT & FINANCE (1.9%)
Citigroup, Inc. 39,275 1,728
Federal Home Loan Mortgage Corp. 48,700 2,533
Household International, Inc. 72,700 2,917
- ------------------------------------------------------------
GROUP TOTAL 7,178
- ------------------------------------------------------------
ENERGY (3.9%)
Atlantic Richfield Co. 16,000 1,418
* BJ Services Co. 52,000 1,654
Chevron Corp. 25,300 2,246
* Global Marine, Inc. 42,900 705
Halliburton Co. 19,000 779
Royal Dutch Petroleum Co., NY Shares 45,500 2,687
* Smith International, Inc. 12,300 498
Texaco, Inc. 26,500 1,673
Tosco Corp. 15,500 391
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------------
<S> <C> <C> <C>
Total ADR 28,900 $ 1,833
Transocean Offshore, Inc. 16,600 509
- ------------------------------------------------------------
GROUP TOTAL 14,393
- ------------------------------------------------------------
FOOD, TOBACCO & OTHER (0.4%)
General Mills, Inc. 16,500 1,339
@ R.J. Reynolds Tobacco Holdings 1 --
- ------------------------------------------------------------
GROUP TOTAL 1,339
- ------------------------------------------------------------
HEALTH CARE (4.6%)
Abbott Laboratories 30,300 1,113
Aetna, Inc. 33,600 1,655
American Home Products Corp. 12,100 502
Baxter International, Inc. 28,300 1,705
Bristol-Myers Squibb Co. 33,600 2,268
Eli Lilly & Co. 17,200 1,101
* Lincare Holdings, Inc. 40,200 1,072
Merck & Co., Inc. 60,100 3,895
Pfizer, Inc. 40,300 1,448
Warner Lambert Co. 33,700 2,237
- ------------------------------------------------------------
GROUP TOTAL 16,996
- ------------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (2.9%)
* AMR Corp. 16,100 877
Burlington Northern Santa Fe, Inc. 38,000 1,045
Cummins Engine Co., Inc. 34,100 1,699
Parker-Hannifin Corp. 32,800 1,470
Ryder System, Inc. 47,900 976
Textron, Inc. 14,300 1,106
* United Rentals, Inc. 43,200 940
Waste Management, Inc. 63,527 1,223
York International Corp. 45,200 1,624
- ------------------------------------------------------------
GROUP TOTAL 10,960
- ------------------------------------------------------------
RETAIL (4.1%)
* Best Buy Co., Inc. 10,600 658
CVS Corp. 51,200 2,089
Dayton-Hudson Corp. 32,000 1,922
Dollar General Corp. 60,350 1,863
Home Depot, Inc. 10,300 707
* Kroger Co. 40,300 889
* Safeway, Inc. 29,400 1,119
Tandy Corp. 31,800 1,644
Wal-Mart Stores, Inc. 91,600 4,357
- ------------------------------------------------------------
GROUP TOTAL 15,248
- ------------------------------------------------------------
INSURANCE (3.4%)
Ace Ltd. 130,000 2,202
Ambac Financial Group, Inc. 46,600 2,208
Aon Corp. 56,000 1,655
Everest Reinsurance Holdings, Inc. 38,400 914
MBIA, Inc. 46,000 2,145
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO
<TABLE>
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------------
<S> <C> <C> <C>
Travelers Property Casualty Corp.,
Class A 62,000 $ 1,829
XL Capital Ltd., Class A 39,800 1,791
- ------------------------------------------------------------
GROUP TOTAL 12,744
- ------------------------------------------------------------
TECHNOLOGY (14.2%)
* America Online, Inc. 24,600 2,558
* At Home Corp., Class A 33,595 1,392
* BMC Software, Inc. 22,400 1,603
* Cisco Systems, Inc. 74,250 5,091
Computer Associations International,
Inc. 27,900 1,709
* Dell Computer Corp. 19,000 794
Electronic Data Systems Corp. 22,100 1,170
* General Instrument Corp. 36,300 1,747
Hewlett Packard Co. 13,400 1,233
Intel Corp. 58,800 4,370
International Business Machines Corp. 23,800 2,889
* JDS Uniphase Corp. 13,800 1,571
* Microsoft Corp. 119,100 10,786
Motorola, Inc. 20,700 1,822
Nortel Networks Corp. 38,200 1,948
* Oracle Systems Corp. 55,000 2,502
* Qualcomm, Inc. 19,600 3,708
* Quantum Corp.-DLT & Storage Systems 46,800 658
* Quantum Corp.-Hard Disk Drive 23,500 175
SAP AG 43,600 1,646
* Tellabs, Inc. 33,000 1,879
* Unisys Corp. 35,800 1,615
- ------------------------------------------------------------
GROUP TOTAL 52,866
- ------------------------------------------------------------
UTILITIES (6.3%)
Ameritech Corp. 31,700 2,130
AT&T Corp. 59,352 2,582
Carolina Power & Light Co. 28,100 994
Coastal Corp. 48,800 1,998
Energy East Corp. 48,100 1,142
* MCI WorldCom, Inc. 81,593 5,864
PECO Energy Co. 25,000 938
SBC Communications, Inc. 36,400 1,859
Sprint Corp. 46,000 2,495
* Sprint Corp. (PCS Group) 11,525 859
Vodafone Group plc ADR 11,050 2,627
- ------------------------------------------------------------
GROUP TOTAL 23,488
- ------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $174,617) 197,303
- ------------------------------------------------------------
PREFERRED STOCK (0.7%)
- ------------------------------------------------------------
MORTGAGE-OTHER (0.7%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost $2,500) Aaa 3,025 2,499
- ------------------------------------------------------------
<CAPTION>
++RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------------
<S> <C> <C> <C>
STRUCTURED INVESTMENT (0.0%)-SEE NOTE A6
- ------------------------------------------------------------
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 $440) N/R $ 6,689 $ 121
- ------------------------------------------------------------
CASH EQUIVALENTS (5.7%)
- ------------------------------------------------------------
DISCOUNT NOTES (3.2%)
Federal Mortgage Corporation
5.05%, 10/15/99 Agy 10,000 9,979
Federal National Mortgage
Association
5.23%, 10/5/99 Agy 2,000 1,999
- ------------------------------------------------------------
GROUP TOTAL 11,978
- ------------------------------------------------------------
REPURCHASE AGREEMENT (2.5%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $9,267, collateralized
by various U.S. Government
Obligations, due 10/1/99-8/15/01,
valued at $9,276 9,266 9,266
- ------------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,244) 21,244
- ------------------------------------------------------------
TOTAL INVESTMENTS (123.4%) (Cost $441,299) 458,288
- ------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-23.4%)
Cash 365
Dividends Receivable 311
Interest Receivable 1,876
Receivable for Investments Sold 18,017
Receivable for Forward Commitments 9,717
Receivable for Fund Shares Sold 396
Investments Held as Collateral for Loaned
Securities 7,078
Other Assets 24
Payable for Investments Purchased (1,572)
Payable for Forward Commitments (97,015)
Payable for Fund Shares Redeemed (18,253)
Payable for Investment Advisory Fees (469)
Payable for Administrative Fees (26)
Payable for Distribution Fee-Adviser Class (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (24)
Payable for Daily Variation Margin on Futures
Contracts (41)
Unrealized Loss on Swap Agreements (198)
Collateral on Securities Loaned, at Value (7,078)
Other Liabilities (86)
---------
(86,984)
- ------------------------------------------------------------
NET ASSETS (100%) $ 371,304
- ------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)+
- ------------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 24,713,558 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 341,886
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.83
- ------------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 15,062 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 208
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.82
- ------------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------------
NET ASSETS
Applicable to 2,117,055 outstanding shares of
beneficial interest (unlimited authorization,
no par value) $ 29,210
- ------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.80
- ------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 304,059
Undistributed Net Investment Income (Loss) 3,741
Undistributed Realized Net Gain (Loss) 46,950
Unrealized Appreciation (Depreciation) on:
Investment Securities 16,989
Futures and Swaps (435)
- ------------------------------------------------------------
NET ASSETS $ 371,304
- ------------------------------------------------------------
</TABLE>
- ---------------------------------------------------------------
<TABLE>
<S> <C> <C>
sec. Restricted Security-Total market value of restricted
securities owned at September 30, 1999 was $0 or
0.0% of net assets.
+ See Note A1 to Financial Statements.
++ Ratings are unaudited.
* Non-income producing security
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
) Security is in default.
(+) 144A security. Certain conditions for public sale may
exist.
++ A portion of these securities was pledged to cover
margin requirements for futures contracts.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30,
1999. Maturity date disclosed is the ultimate
maturity.
## Variable or floating rate securities-rate disclosed
is as of September 30, 1999.
(2) Face value is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate flucturates with
Fl an inverse relationship to an associated interest
rate. Indicate rate is the effective rate at
September 30, 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 A7
to Financial Statements.
YMA Yield Maintenance Agreement
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
STATEMENT OF NET ASSETS
U.S. EQUITY (40.2%)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
VALUE
SEPTEMBER 30, 1999 SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (40.2%)
- ---------------------------------------------------------
BANKS (2.1%)
BankAmerica Corp. 18,800 $ 1,047
BankBoston Corp. 16,000 694
Chase Manhattan Corp. 7,200 543
PNC Bank Corp. 9,800 516
Wells Fargo Co. 12,900 511
- ---------------------------------------------------------
GROUP TOTAL 3,311
- ---------------------------------------------------------
BASIC RESOURCES (1.5%)
Engelhard Corp. 42,100 766
International Paper Co. 7,100 341
Temple-Inland, Inc. 5,400 327
* W.R. Grace & Co. 36,300 583
Weyerhaeuser Co. 5,800 334
- ---------------------------------------------------------
GROUP TOTAL 2,351
- ---------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.1%)
Anheuser-Busch Cos., Inc. 9,800 687
Clorox Co. 8,000 306
Coca-Cola Co. 9,600 461
Gillette Co. 7,300 248
- ---------------------------------------------------------
GROUP TOTAL 1,702
- ---------------------------------------------------------
CONSUMER DURABLES (1.6%)
Ford Motor Co. 15,200 763
General Motors Corp. 17,788 1,120
Owens Corning 35,200 763
- ---------------------------------------------------------
GROUP TOTAL 2,646
- ---------------------------------------------------------
CONSUMER SERVICES (2.4%)
* AT&T Corp.-Liberty Media Group,
Class A 27,968 1,038
* Clear Channel Communications, Inc. 8,200 655
* Fox Entertainment Group, Inc., Class
A 18,500 391
* Infinity Broadcasting Corp., Class A 22,500 660
* MediaOne Group, Inc. 7,800 533
Time Warner, Inc. 9,615 584
- ---------------------------------------------------------
GROUP TOTAL 3,861
- ---------------------------------------------------------
CREDIT & FINANCE/INVESTMENT
COMPANIES (1.6%)
Citigroup, Inc. 13,825 608
Federal Home Loan Mortgage Corp. 16,400 853
Household International, Inc. 25,600 1,027
- ---------------------------------------------------------
GROUP TOTAL 2,488
- ---------------------------------------------------------
ENERGY (2.2%)
Atlantic Richfield Co. 5,500 487
* BJ Services Co. 17,700 563
Chevron Corp. 8,700 772
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
- ---------------------------------------------------------
<S> <C> <C>
* Global Marine, Inc. 15,100 $ 248
Halliburton Co. 9,900 406
* Smith International, Inc. 4,300 174
Texaco, Inc. 9,100 575
Tosco Corp. 5,700 144
Transocean Offshore, Inc. 5,700 175
- ---------------------------------------------------------
GROUP TOTAL 3,544
- ---------------------------------------------------------
FOOD, TOBACCO & OTHER (0.3%)
General Mills, Inc. 6,400 519
@ R.J. Reynolds Tobacco Holdings 1 --
- ---------------------------------------------------------
GROUP TOTAL 519
- ---------------------------------------------------------
HEALTH CARE (3.6%)
Abbott Laboratories 10,300 379
Aetna, Inc. 12,700 626
American Home Products Corp. 4,100 170
Baxter International, Inc. 9,500 572
Bristol-Myers Squibb Co. 10,400 702
Eli Lilly & Co. 5,800 371
* Lincare Holdings, Inc. 13,000 347
Merck & Co., Inc. 20,600 1,335
Pfizer, Inc. 13,700 492
Warner Lambert Co. 11,600 770
- ---------------------------------------------------------
GROUP TOTAL 5,764
- ---------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (2.3%)
* AMR Corp. 5,200 283
Burlington Northern Santa Fe, Inc. 12,900 355
Cummins Engine Co., Inc. 11,700 583
Parker-Hannifin Corp. 11,000 493
Ryder System, Inc. 17,700 361
Textron, Inc. 4,800 371
* United Rentals, Inc. 15,000 326
Waste Management, Inc. 22,285 429
York International Corp. 15,200 546
- ---------------------------------------------------------
GROUP TOTAL 3,747
- ---------------------------------------------------------
INSURANCE (1.9%)
Ambac Financial Group, Inc. 15,700 744
Aon Corp. 19,550 578
Everest Reinsurance Holdings, Inc. 13,900 331
MBIA, Inc. 15,800 736
Travelers Property Casualty Corp.,
Class A 20,500 605
- ---------------------------------------------------------
GROUP TOTAL 2,994
- ---------------------------------------------------------
RETAIL (3.3%)
* Best Buy Co., Inc. 3,800 236
CVS Corp. 18,000 734
Dayton Hudson Corp. 11,000 661
Dollar General Corp. 20,950 647
Home Depot, Inc. 3,700 254
* Kroger Co. 13,900 307
* Safeway, Inc. 10,200 388
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ---------------------------------------------------------
<S> <C> <C>
Tandy Corp. 10,700 $ 553
Wal-Mart Stores, Inc. 31,300 1,489
- ---------------------------------------------------------
GROUP TOTAL 5,269
- ---------------------------------------------------------
TECHNOLOGY (11.3%)
* America Online, Inc. 8,800 915
* At Home Corp., Series A 11,434 474
* BMC Software, Inc. 7,700 551
* Cisco Systems, Inc. 25,450 1,745
Computer Associates International,
Inc. 9,500 582
* Dell Computer Corp. 6,600 276
Electronic Data Systems Corp. 7,700 408
* General Instrument Corp. 12,700 611
Hewlett-Packard Co. 4,600 423
Intel Corp. 19,300 1,434
International Business Machines Corp. 8,700 1,056
* JDS Uniphase Corp. 4,600 523
* Microsoft Corp. 40,300 3,650
Motorola, Inc. 7,100 625
Nortel Networks Corp. 13,000 663
* Oracle Systems Corp. 19,100 869
* QUALCOMM, Inc. 6,700 1,268
* Quantum Corp.-DLT & Storage Systems 17,900 252
* Quantum Corp.-Hard Disk Drive 8,950 67
SAP AG ADR 14,900 562
* Tellabs, Inc. 11,000 626
* Unisys Corp. 12,200 550
- ---------------------------------------------------------
GROUP TOTAL 18,130
- ---------------------------------------------------------
UTILITIES (5.0%)
Ameritech Corp. 9,400 631
AT&T Corp. 20,050 872
Carolina Power & Light Co. 9,600 339
Coastal Corp. 16,700 684
Energy East Corp. 16,700 397
* MCI WorldCom, Inc. 28,715 2,064
PECO Energy Co. 8,500 319
SBC Communications, Inc. 12,100 618
Sprint Corp. (FON Group) 18,700 1,014
* Sprint Corp. (PCS Group) 4,600 343
Vodafone Group plc ADR 3,250 773
- ---------------------------------------------------------
GROUP TOTAL 8,054
- ---------------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $54,773) 64,380
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (39.3%)
- ---------------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (19.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%, 6/1/19 Agy $ 32 $ 34
10.50%, 4/1/19 Agy 145 159
11.00%, 9/1/16 Agy 53 59
11.50%, 7/1/15-8/1/15 Agy 81 91
Gold Pools:
9.50%, 12/1/16 Agy 93 100
10.00%, 1/1/21 Agy 144 156
11.50%, 1/1/16 Agy 94 105
October TBA
6.00%, 10/1/29 Agy 18,900 17,640
Federal National Mortgage
Association,
Conventional Pools:
6.00%, 4/1/27 Agy 540 504
10.00%, 5/1/22 Agy 437 474
10.50%, 12/1/09-6/1/19 Agy 160 176
11.00%, 11/1/20 Agy 70 78
12.50%, 3/1/15 Agy 23 26
October TBA
6.00%, 10/1/29 Agy 3,700 3,450
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.125%,
10/20/27-12/20/27 Tsy 768 772
6.375%, 3/20/25-5/20/25 Tsy 232 234
6.875%, 4/20/25-2/20/27 Tsy 538 542
7.00%, 3/20/25-11/20/25 Tsy 892 900
12.50%, 1/15/13 Tsy 22 25
Various Pools:
9.50%,
11/15/17-12/15/21 Tsy 1,406 1,513
10.00%, 6/15/03-8/15/20 Tsy 280 305
10.50%, 1/15/16-5/15/26 Tsy 963 1,061
11.00%,
12/15/09-8/15/19 Tsy 466 522
11.50%, 8/15/11-4/15/13 Tsy 96 108
12.00%,
11/15/12-10/15/15 Tsy 70 80
October TBA
7.00%, 10/15/29 Tsy 2,750 2,698
- ---------------------------------------------------------------
GROUP TOTAL 31,812
- ---------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (7.1%)
Advanta Mortgage Loan
Trust,
Series:
97-3 A2
6.61%, 4/25/12 AAA $ 14 $ 14
97-4 A2
6.53%, 9/25/12 AAA 58 58
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 175 175
97-D A3
6.20%, 5/15/03 AAA 186 185
Banc One Home Equity
Trust, Series 99-1 A1
6.06%, 1/25/12 AAA 267 265
Block Mortgage Finance,
Inc.,
Series 99-1 A1
5.94%, 9/25/13 AAA 265 264
BMW Vehicle Owner Trust,
Series 99-A
6.16%, 12/25/01 AAA 250 250
Centex Home Equity,
Series 99-1 A1
6.07%, 3/25/18 AAA 209 208
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 214 214
## Citibank Credit Card
Master Trust I, Series
98-7 A
5.279%, 5/15/02 AAA 450 450
COMED Transitional Funding
Trust, Series 98-1 A1
5.38%, 3/25/02 AAA 221 220
## Contimortgage Home
Equity Loan Trust,
Series 98-2 A2B PAC (11)
5.41%, 3/15/13 AAA 185 184
Daimler Benz Auto Grantor
Trust, Series 97-A A
6.05%, 3/31/05 AAA 47 47
Daimler Benz Vehicle
Trust, Series 98-A A2
5.23%, 12/20/01 AAA 370 368
EQCC Home Equity
Loan Trust,
Series:
99-1 A1F
5.77%, 5/20/10 AAA 299 297
99-2 A1F
6.05%, 1/25/10 AAA 230 229
99-3 A1F
6.548%, 4/25/10 AAA 392 391
</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 $ 174 $ 174
98-A A
5.97%, 4/15/04 AAA 297 296
First Security Auto Owner
Trust,
Series:
98-1 A2
5.182%, 6/15/01 AAA 95 95
99-2 A2
5.492%, 4/15/02 AAA 275 274
## First USA Credit Card
Master Trust, Series
97-10 A
5.471%, 9/17/03 AAA 650 650
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 125 125
98-A A3
5.65%, 10/15/01 AAA 409 408
99-B A3
5.47%, 9/15/01 AAA 525 522
99-C A3
5.77%, 11/15/01 AAA 500 498
99-D A3
6.20%, 4/15/02 AAA 500 500
Green Tree Financial
Corp., Series 99-1 A2
5.43%, 11/1/06 AAA 275 273
Green Tree Home Equity
Loan Trust, Series 99-C
A1
5.99%, 7/15/30 AAA 437 436
Harley-Davidson Eaglemark
Motorcycle Trust, Series
99-2 A
5.84%, 10/15/03 AAA 257 256
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 323 322
97-B A
5.95%, 5/15/03 AAA 55 55
IMC Home Equity Loan
Trust, Series 98-1 A2
6.31%, 12/20/12 AAA 612 610
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 46 46
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
100
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Navistar Financial Corp.
Owner Trust, Series 99-A
A2
5.55%, 2/15/02 AAA $ 275 $ 274
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/15/03 AAA 68 67
Option One Mortgage Loan
Trust, Series 99 2 A1
5.88%, 5/25/29 AAA 218 216
Premier Auto Trust, Series
99-3 A2
5.82%, 2/8/02 AAA 575 573
(+) Rental Car Finance
Corp., Series 97-1 A2
6.45%, 8/25/05 AA 200 196
Residential Funding
Mortgage Securities I,
Series 99-HI4 A1
6.41%, 11/25/07 AAA 265 264
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 63 63
97-D A3
6.25%, 3/20/02 AAA 124 124
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA 248 248
- ---------------------------------------------------------------
GROUP TOTAL 11,384
- ---------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL SERIES
(0.7%)
Federal Home Loan
Mortgage Corporation,
Series:
## 1710-D
5.888%, 6/15/20 Agy 139 139
1911-C PO, 11/15/23 Agy 98 68
Federal National Mortgage
Association,
Series:
## 92-89 SQ Inv Fl IO
PAC (11) 3603.206%,
6/25/22 Agy (2)-- 12
## 97-53 PI PAC IO
8.00%, 8/18/27 Agy 677 179
## 97-70 FA REMIC PAC
(11) 5.856%, 7/18/20 Agy 42 42
## 99-42 SA IO
2.818%, 10/25/28 Agy 1,878 95
191-IO
8.00%, 1/1/28 Agy 811 230
291-2 IO
8.00%, 11/1/27 Agy 428 119
296-2 IO
8.00%, 4/1/24 Agy 188 50
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
## Government National
Mortgage Association,
Series:
97-13 SB IO
2.563%, 9/16/27 Tsy $ 1,800 $ 143
99-30 S IO
3.22%, 8/16/29 Tsy 1,488 112
- ---------------------------------------------------------------
GROUP TOTAL 1,189
- ---------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.3%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 95 100
+## BA Mortgage
Securities, Inc., Series
97-1 A2
5.839%, 7/25/26 Aaa 159 159
Mid-State Trust II, Series
88-2 A4
9.625%, 4/1/03 AAA 141 147
## Morserv, Inc.
Series 96-2 1A1
6.189%, 11/25/26 AAA 152 151
- ---------------------------------------------------------------
GROUP TOTAL 557
- ---------------------------------------------------------------
COMMERCIAL MORTGAGES (0.5%)
American Southwest
Financial Securities
Corp., Series 93-2 A1
7.30%, 1/18/09 N/R 103 103
## Asset Securitization
Corp.,
Series:
95-D1 A1
7.59%, 8/11/27 AAA 107 109
+## 95-MD4 A CS2 IO
2.321%, 8/13/29 Aaa 780 109
96-MD6 A1C
7.04%, 11/13/26 AAA 125 123
(+) Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 100 103
(+) Carousel Center
Finance, Inc., Series 1
A1
6.828%, 11/15/07 AA 100 99
+## GMAC Commercial
Mortgage Securities,
Inc., Series 97-C2 X IO
1.273%, 4/15/27 Aaa 1,498 92
- ---------------------------------------------------------------
GROUP TOTAL 738
- ---------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
101
<PAGE> 103
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
ENERGY (0.1%)
(+) Excel Paralubes
Funding
7.43%, 11/1/15 A- $ 100 $ 94
)Mobile Energy Services
8.665%, 1/1/17 D 85 22
- ---------------------------------------------------------------
GROUP TOTAL 116
- ---------------------------------------------------------------
FINANCE (2.8%)
(+) Anthem Insurance Cos.,
Inc., Series A
9.00%, 4/1/27 BBB+ 100 96
Associates Corp. of North
America
6.95%, 11/1/18 AA- 165 156
BankAmerica Corp.
5.875%, 2/15/09 A+ 105 96
(+) BankAmerica
Institutional,
Series A
8.07%, 12/31/26 A- 200 194
(+) BT Institutional
Capital Trust, Series A
8.09%, 12/1/26 A 225 214
Chase Manhattan Corp.
6.00%, 2/15/09 A 110 101
EOP Operating LP
6.763%, 6/15/07 BBB 100 94
7.50%, 4/19/29 BBB 70 63
(+) Equitable Companies, Inc.
6.50%, 4/1/08 A 55 52
Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A 250 245
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 290 253
(+) First Chicago NBD Corp.,
Series A
7.95%, 12/1/26 A- 180 171
First Union
Institutional Capital I
8.04%, 12/1/26 BBB+ 225 216
(+) Florida Windstorm
6.70%, 8/25/04 A- 175 171
GS Escrow Corp.
7.125%, 8/1/05 BB+ 195 181
HMH Properties, Series A
7.875%, 8/1/05 BB 240 221
Household Finance Corp.
5.875%, 2/1/09 A 170 153
Lehman Brothers Holdings
8.50%, 8/1/15 A 15 15
(+) Metropolitan Life
Insurance Co.
7.80%, 11/1/25 A+ 250 247
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
NationsBank Corp.
6.80%, 3/15/28 A $ 25 $ 22
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 250 227
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 80 73
(+) PNC Institutional
Capital, Series A
7.95%, 12/15/26 BBB+ 150 142
(+) Prime Property Funding II
6.80%, 8/15/02 A 85 84
7.00%, 8/15/04 A 165 160
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 175 183
Washington Mutual Capital
I
8.375%, 6/1/27 BBB- 155 152
Washington Mutual, Inc.,
Series A
8.206%, 2/1/27 BBB- 25 24
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 237 229
96 WFP-D
6.95%, 9/1/13 AA- 250 240
- ---------------------------------------------------------------
GROUP TOTAL 4,475
- ---------------------------------------------------------------
INDUSTRIALS (3.4%)
Albertson's, Inc.
7.45%, 8/1/29 A 205 203
Allied Waste Industries,
Inc.
7.40%, 9/15/35 BB- 140 103
American Standard Cos.
7.375%, 4/15/05 BB- 60 57
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 80 64
7.50%, 12/15/23 BB+ 145 115
7.58%, 9/15/25 BB+ 75 60
9.00%, 12/15/14 BB+ 50 48
Comcast Cable
Communications
6.20%, 11/15/08 BBB 110 101
Conoco, Inc.
6.95%, 4/15/29 A- 290 269
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 205 205
Delphi Automotive Systems
7.125%, 5/1/29 BBB 255 231
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
102
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
DR Structured Finance,
Series:
93-K1 A2
7.43%, 8/15/18 BB+ $ 180 $ 159
94-K1 A1
7.60%, 8/15/07 BB+ 72 70
94-K2 A2
9.35%, 8/15/19 BB+ 30 30
Enron Corp.
6.95%, 7/15/28 BBB+ 90 79
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 220 196
(+) Florida Windstorm
7.125%, 2/25/19 AAA 135 127
Ford Motor Co.
6.625%, 10/1/28 A 205 183
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 230 230
International Game
Technology
8.375%, 5/15/09 BB+ 130 124
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 50 50
Lenfest Communications,
Inc.
7.625%, 2/15/08 BB+ 135 134
8.375%, 11/1/05 BB+ 130 135
Lowe's Companies, Inc.
6.50%, 3/15/29 A 175 152
6.875%, 2/15/28 A 30 27
(+) Monsanto Co.
6.60%, 12/1/28 A 225 197
News America, Inc.
7.28%, 6/30/28 BBB- 280 250
(+) Oxymar
7.50%, 2/15/16 BBB 100 76
Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 BBB- 100 99
(+) Rohm & Haas Co.
7.85%, 7/15/29 A- 100 102
Saks, Inc.
7.375%, 2/15/19 BB+ 105 89
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 385 269
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 100 102
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 195 178
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 165 148
Time Warner Cos., Inc.
6.625%, 5/15/29 BBB 90 79
6.95%, 1/15/28 BBB 85 78
7.57%, 2/1/24 BBB 180 177
Union Pacific Corp.
6.625%, 2/1/29 BBB- 185 159
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
USA Waste Services
7.00%, 7/15/28 BBB $ 200 $ 157
(+) Waste Management, Inc.
7.375%, 5/15/29 BBB 70 58
- ---------------------------------------------------------------
GROUP TOTAL 5,370
- ---------------------------------------------------------------
TELEPHONES (0.8%)
++ AT&T Corp.
6.50%, 3/15/29 AA- 290 257
Comcast Cable
Communications
8.375%, 5/1/07 BBB 45 47
GTE Corp.
6.94%, 4/15/28 A 205 192
Intermedia Communications,
Inc., Series B
# 0.00%, 5/15/06 B 40 33
# 0.00%, 7/15/07 B 45 30
8.50%, 1/15/08 B 35 30
8.60%, 6/1/08 B 85 74
8.875%, 11/1/07 B 30 27
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 320 299
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- 190 140
Qwest Communications
International, Inc.
7.50%, 11/1/08 BB+ 25 25
# Series B
0.00%, 2/1/08 BB+ 205 154
- ---------------------------------------------------------------
GROUP TOTAL 1,308
- ---------------------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 254 237
99-1 A
6.545%, 8/2/20 AA+ 105 97
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A 125 142
Union Pacific Co.
7.125%, 2/1/28 BBB- 95 87
- ---------------------------------------------------------------
GROUP TOTAL 563
- ---------------------------------------------------------------
U.S. TREASURY SECURITY (0.7%)
++ U.S. Treasury Note
3.375%, 1/15/07
(Inflation Indexed) Tsy 1,215 1,160
- ---------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 105
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
UTILITIES (0.5%)
CMS Energy Corp.
7.50%, 1/15/09 BB $ 175 $ 162
(+) Edison Mission Energy
Funding Corp.
7.73%, 6/15/09 A- 100 100
Series B
7.33%, 9/15/08 BBB 100 97
El Paso Energy
6.75%, 5/15/09 BBB 75 71
Enron Corp
6.95%, 7/15/28 BBB+ 130 115
Florida Power & Light Co.
7.625%, 9/15/06 A+ 205 208
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 130 125
- ---------------------------------------------------------------
GROUP TOTAL 878
- ---------------------------------------------------------------
YANKEE (2.1%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A 195 176
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 235 226
(+) Bayer Hypo-Vereinsbank
8.741%, 6/30/31 A 135 134
Empresa Nacional
Electricidad
7.325%, 2/1/37 A- 55 50
7.75%, 7/15/08 A- 220 207
Glencore Nickel Property
Ltd.
9.00%, 12/1/14 BB+ 205 175
Grupo Minero Mexicano S.A.
de CV,
Series A
8.25%, 4/1/08 BB 170 143
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 225 194
(+) Hyundai Semiconductor
America
8.25%, 5/15/04 B 110 92
(+) Israel Electric Corp.,
Ltd.
7.75%, 12/15/27 A- 140 123
(+) Multicanal S.A.
13.125%, 4/15/09 BB+ 40 38
Series C
10.50%, 4/15/18 BB+ 95 73
National Power Corp.
8.40%, 12/15/16 BB+ 90 73
(+) Oil Purchase Co. II
10.73%, 1/31/04 BBB 170 165
(+) Orange plc
8.75%, 6/1/06 BB- 175 176
(+) Paiton Energy Funding
9.34%, 2/15/14 CCC 100 17
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB+ 305 217
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Province of Quebec
7.50%, 9/15/29 A+ $ 155 $ 156
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 345 316
Republic of Argentina
11.75%, 4/7/09 BB 185 179
Republic of Colombia
8.70%, 2/15/16 BB+ 140 103
United Mexican States Par
Bond,
Series A
6.25%, 12/31/19 BB 460 339
- ---------------------------------------------------------------
GROUP TOTAL 3,372
- ---------------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $64,137) 62,922
- ---------------------------------------------------------------
INTERNATIONAL FIXED INCOME (4.4%)
- ---------------------------------------------------------------
FIXED INCOME SECURITIES (4.4%)
- ---------------------------------------------------------------
AUSTRALIAN DOLLAR (0.1%)
Government of Australia
8.75%, 8/15/08 AAA AUD 50 38
Federal National Mortgage
Association-Global
6.50%, 7/10/02 Agy 85 56
- ---------------------------------------------------------------
GROUP TOTAL 94
- ---------------------------------------------------------------
BRITISH POUND (0.6%)
United Kingdom Treasury
Bill
8.00%, 6/10/03 AAA GBP 90 157
8.50%, 7/16/07 AAA 440 832
- ---------------------------------------------------------------
GROUP TOTAL 989
- ---------------------------------------------------------------
CANADIAN DOLLAR (0.3%)
Government of Canada
7.50%, 3/1/01 AAA CAD 330 231
9.75%, 6/1/21 AA+ 15 15
10.00%, 6/1/08 AA+ 275 240
- ---------------------------------------------------------------
GROUP TOTAL 486
- ---------------------------------------------------------------
DANISH KRONE (0.4%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 1,500 212
8.00%, 5/15/03 AA+ 1,745 276
9.00%, 11/15/00 AAA 600 91
- ---------------------------------------------------------------
GROUP TOTAL 579
- ---------------------------------------------------------------
EURO (1.7%)
Government of France
O.A.T.
8.50%, 10/25/19 AAA EUR 255 360
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Government of Germany
6.00%, 1/4/07 AAA EUR 393 $ 444
@ 6.25%, 1/4/24 AAA (2)-- --
6.50%, 7/4/27 AAA 102 119
7.125%, 1/29/03 AAA 87 100
7.50%, 9/9/04 AAA 413 495
8.375%, 5/21/01 AAA 298 341
+ Government of Spain
5.15%, 7/30/09 Aa2 435 456
International Bank for
Reconstruction and
Development
7.125%, 4/12/05 AAA 89 105
Kredit fuer Wiederaufbau
5.00%, 1/4/09 AAA 38 40
Republic of Italy BTPS
9.50%, 2/1/06 AAA 68 89
10.00%, 8/1/03 AA 160 203
- ---------------------------------------------------------------
GROUP TOTAL 2,752
- ---------------------------------------------------------------
JAPANESE YEN (1.1%)
European Investment Bank
3.00%, 9/20/06 AAA JPY 4,000 41
Export-Import Bank of
Japan
2.875%, 7/28/05 Aa1 30,000 308
Federal National Mortgage
Association,
Series E
1.75%, 3/26/08 Agy 10,000 95
Government of Japan
0.90%, 12/22/08 AAA 100,000 862
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 41,000 427
- ---------------------------------------------------------------
GROUP TOTAL 1,733
- ---------------------------------------------------------------
SWEDISH KRONA (0.2%)
Swedish Government
6.00%, 2/9/05 AAA SEK 2,300 288
13.00%, 6/15/01 AA+ 500 69
- ---------------------------------------------------------------
GROUP TOTAL 357
- ---------------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost $6,955) 6,990
- ---------------------------------------------------------------
INTERNATIONAL EQUITY (2.1%)
- ---------------------------------------------------------------
COMMON STOCKS (2.1%)
- ---------------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
AUSTRALIA (0.3%)
News Corp., Ltd. ADR 20,400 545
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
BERMUDA (0.8%)
Ace Ltd. 44,300 $ 750
XL Capital Ltd., Class A 13,600 612
- ---------------------------------------------------------------
GROUP TOTAL 1,362
- ---------------------------------------------------------------
FRANCE (0.4%)
Total Fina S.A. ADR 9,700 615
- ---------------------------------------------------------------
NETHERLANDS (0.6%)
Royal Dutch Petroleum Co., NY Shares 15,700 927
- ---------------------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $3,790) 3,449
- ---------------------------------------------------------------
HIGH YIELD (7.6%)
- ---------------------------------------------------------------
FIXED INCOME SECURITIES (7.6%)
- ---------------------------------------------------------------
<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 $ 135 34
+(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 59 58
(+) OHA Auto Grantor Trust,
Series 97-A
11.00%, 9/15/03 BB 92 88
- ---------------------------------------------------------------
GROUP TOTAL 180
- ---------------------------------------------------------------
CABLE (0.6%)
Adelphia Communications
Corp.,
Series B
8.375%, 2/1/08 B+ 145 135
9.875%, 3/1/07 B+ 40 41
(+) Cablevision S.A.
13.75%, 5/1/09 BB 100 94
CSC Holdings, Inc.
9.875%, 5/15/06 BB- 125 130
Lenfest Communications,
Inc.
8.375%, 11/1/05 BB+ 125 130
# NTL, Inc.,
Series B
0.00%, 4/1/08 B- GBP 150 162
Rogers Cablesystems Ltd.,
Series B
10.125%, 9/1/12 BB+ $ 175 189
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 107
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
(+) United Pan-Europe
Communications N.V.
10.875%, 8/1/09 B- $ 110 $ 111
- ---------------------------------------------------------------
GROUP TOTAL 992
- ---------------------------------------------------------------
CHEMICALS (0.2%)
Huntsman ICI
(+) 10.125%, 7/1/09 B+ 75 73
10.125%, 7/1/09 B+ EUR 75 78
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- $ 150 147
- ---------------------------------------------------------------
GROUP TOTAL 298
- ---------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-8 A7
9.50%, 6/25/05 B3 14 7
- ---------------------------------------------------------------
COMMERCIAL MORTGAGES (0.1%)
(+)## DLJ Mortgage
Acceptance Corp.
Series 97-CF2 S IO
0.353%, 10/15/17 N/R 3,920 80
Federal Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B C1
7.929%, 11/1/18 N/R 97 34
- ---------------------------------------------------------------
GROUP TOTAL 114
- ---------------------------------------------------------------
COMMUNICATIONS (1.7%)
American Cellular Corp.
10.50%, 5/15/08 CCC+ 100 103
American Mobile Satellite Corp., Series
B
12.25%, 4/1/08 N/R 120 85
(+) Bayan
Telecommunications
Holdings Corp.
13.50%, 7/15/06 B- 140 132
Dobson Communications
Corp.
11.75%, 4/15/07 N/R 75 79
(+)# Dolphin
Telecommunications
0.00%, 5/15/09 CCC+ 125 50
0.00%, 6/1/08 CCC+ EUR 110 49
Echostar DBS Corp.
9.375%, 2/1/09 B $ 125 123
Esprit Telecom Group plc
11.00%, 6/15/08 B- EUR 64 70
Globalstar LP/Capital
11.375%, 2/15/04 B $ 100 65
11.50%, 6/1/05 B 20 13
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Hermes Europe Railtel
10.375%, 1/15/09 B $ 15 $ 15
11.50%, 8/15/07 B 100 101
# Hyperion
Telecommunications,
Inc.,
0.00%, 4/15/03 B+ 105 88
# Intermedia
Communications, Inc.,
Series B
0.00%, 7/15/07 B 275 183
) Iridium Capital Corp.,
Series A
13.00%, 7/15/05 D 150 16
# Nextel Communications,
Inc.
0.00%, 9/15/07 B- 340 251
0.00%, 2/15/08 B- 250 174
# NEXTLINK Communications
0.00%, 4/15/08 B 200 120
Primus Telecommunications
Group, Inc.
11.25%, 1/15/09 B- 140 133
(+) PSINet, Inc.,
11.00%, 8/1/09 B- 75 74
# RCN Corp.
0.00%, 10/15/07 B- 225 146
# Rhythms
NetConnections, Inc.,
Series B
0.00%, 5/15/08 CCC+ 150 75
RSL Communications plc
# 0.00%, 3/15/08 B- EUR 332 203
12.00%, 11/1/08 B- $ 30 30
12.25%, 11/15/06 B- 17 17
(+) Tele1 Europe B.V.
13.00%, 5/15/09 B- 100 104
(+)# Telewest plc
0.00%, 4/15/09 B+ GBP 135 132
# Viatel, Inc.
0.00%, 4/15/08 B- $ 135 77
# Wam!Net, Inc.
0.00%, 3/1/05 N/R 125 74
- ---------------------------------------------------------------
GROUP TOTAL 2,782
- ---------------------------------------------------------------
ENERGY (0.3%)
(+) CBM Funding Corp.,
Series 96-1B D
8.645%, 2/1/08 AA 125 125
CMS Energy Corp.
7.50%, 1/15/09 BB 135 124
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 75 69
Snyder Oil Corp.
8.75%, 6/15/07 B+ 125 124
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Vintage Petroleum, Inc.
9.75%, 6/30/09 B+ $ 50 $ 51
- ---------------------------------------------------------------
GROUP TOTAL 493
- ---------------------------------------------------------------
FINANCE (0.0%)
Metromedia Fiber
Network, Inc.
10.00%, 11/15/08 B 65 63
- ---------------------------------------------------------------
FOOD & BEVERAGES (0.1%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 120 108
- ---------------------------------------------------------------
GAMING (0.5%)
Harrah's Operating Co.,
Inc.
7.875%, 12/15/05 BB+ 250 239
(+) Horseshoe Gaming
Holding,
8.652%, 5/15/09 B+ 145 138
International Game
Technology
8.375%, 5/15/09 BB+ 100 96
Park Place
Entertainment Corp.
7.875%, 12/15/05 BB+ 150 141
Station Casinos, Inc.
8.875%, 12/1/08 B+ 135 131
10.125%, 3/15/06 B+ 100 103
- ---------------------------------------------------------------
GROUP TOTAL 848
- ---------------------------------------------------------------
HEALTH CARE (0.5%)
Columbia/HCA Healthcare
Corp.
6.91%, 6/15/05 BB+ 260 234
7.00%, 7/1/07 BB+ 120 106
7.69%, 6/15/25 BB+ 220 181
Tenet Healthcare Corp.
8.625%, 1/15/07 BB- 240 228
Series B
8.125%, 12/1/08 BB- 60 55
- ---------------------------------------------------------------
GROUP TOTAL 804
- ---------------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (0.3%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 130 124
HMH Properties,
Series A
8.75%, 8/1/05 BB 200 184
Host Marriott Travel Plaza
9.50%, 5/15/05 BB- 100 104
- ---------------------------------------------------------------
GROUP TOTAL 412
- ---------------------------------------------------------------
INDUSTRIALS (0.5%)
American Standard Cos.
7.125%, 6/1/06 BB- EUR 105 $ 108
Applied Power, Inc.
8.75%, 4/1/09 B+ $ 65 61
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 150 $ 132
Lyondell Chemical Co.
9.625%, 5/1/07 BB 115 115
Norcal Waste Systems, Inc.
13.50%, 11/15/05 BB- 135 144
Nortek, Inc.
8.875%, 8/1/08 B+ 140 132
(+) Waste Management, Inc.
6.875%, 5/15/09 BBB 20 18
7.125%, 10/1/07 BBB 25 23
7.125%, 12/15/17 BBB 25 20
7.65%, 3/15/11 BBB 25 23
- ---------------------------------------------------------------
GROUP TOTAL 776
- ---------------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
Chancellor Media Corp.
9.00%, 10/1/08 B 150 152
Series B
8.125%, 12/15/07 B 90 87
- ---------------------------------------------------------------
GROUP TOTAL 239
- ---------------------------------------------------------------
METALS (0.2%)
(+) EES Coke Battery Co.,
Inc.
9.382%, 4/15/07 B+ 100 97
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B EUR 153 173
Murrin Murrin Holdings
Ltd.
9.375%, 8/31/07 BB- $ 155 137
- ---------------------------------------------------------------
GROUP TOTAL 407
- ---------------------------------------------------------------
PACKAGING (0.3%)
Norampac, Inc.
9.50%, 2/1/08 BB 96 98
Pacifica Papers, Inc.
10.00%, 3/15/09 B+ 125 126
SD Warren Co.
12.00%, 12/15/04 B+ 130 137
Tembec Industries, Inc.
8.625%, 6/30/09 BB+ 50 49
- ---------------------------------------------------------------
GROUP TOTAL 410
- ---------------------------------------------------------------
REAL ESTATE (0.1%)
D. R. Horton, Inc.
8.00%, 2/1/09 BB 165 147
- ---------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 109
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
RETAIL (0.6%)
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ $ 252 $ 231
94-K1 A2
8.375%, 8/15/15 BB+ 200 191
HMV Media Group plc,
Series B
10.25%, 5/15/08 B 145 142
(+) Kroger Co.
8.50%, 7/15/17 BBB- 231 216
Musicland Group, Inc.,
Series B
9.875%, 3/15/08 B- 195 177
- ---------------------------------------------------------------
GROUP TOTAL 957
- ---------------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (1.0%)
(+) AST Research, Inc.
7.45%, 10/1/02 BB- 280 269
# CTI Holdings S.A.
0.00%, 4/15/08 B 150 74
Global Crossing Holdings
Ltd.
9.625%, 5/15/08 B 110 113
(+) Hyundai Semiconductor
America
8.625%, 5/15/07 B 100 78
Multicanal S.A.
10.50%, 2/1/07 BB- 150 123
National Steel Corp.
9.875%, 3/1/09 B+ 110 109
(+) Netia Holdings S.A.
13.50%, 6/15/09 B EUR 100 106
(+))@ NSM Steel, Inc.
12.25%, 2/1/08 D $ 75 --
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 185 101
Philippine Long Distance
Telephone Co.,
Series E
7.85%, 3/6/07 BB+ 35 30
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 380 207
Republic of Colombia
9.75%, 4/23/09 BBB- 80 69
Satelites Mexicanos S.A.
10.125%, 11/1/04 B- 135 105
(+) Total Access
Communication PCL
(Convertible)
2.00%, 5/31/06 BBB- 50 48
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 250 193
- ---------------------------------------------------------------
GROUP TOTAL 1,625
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
!!!!RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (0.1%)
Centennial Cellular
Operating Co.
10.75%, 12/15/08 CCC+ $ 100 $ 104
- ---------------------------------------------------------------
TRANSPORTATION (0.2%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 129 129
(+) Jet Equipment Trust,
Series 94-C1
11.79%, 6/15/13 BBB- 150 181
- ---------------------------------------------------------------
GROUP TOTAL 310
- ---------------------------------------------------------------
UTILITIES (0.1%)
AES Corp.
8.50%, 11/1/07 B+ 110 100
- ---------------------------------------------------------------
TOTAL HIGH YIELD (Cost $13,407) 12,176
- ---------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.0%)
- ---------------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MEDIA & ENTERTAINMENT (0.0%)
*(+) Paxson Communications
Corp. PIK (Cost $30) N/R 323 36
- ---------------------------------------------------------------
PREFERRED STOCKS (0.5%)
- ---------------------------------------------------------------
MORTGAGE - OTHER (0.3%)
(+)+ Home Ownership
Funding Corp. 13.331% Aaa 600 496
- ---------------------------------------------------------------
COMMUNICATIONS (0.1%)
* Dobson Communications
13.00% N/R 752 73
* IXC Communications,
Inc.,
Series B PIK 12.50% CCC+ 101 108
- ---------------------------------------------------------------
GROUP TOTAL 181
- ---------------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
*(+) Paxson Communications
Corp.
13.25% CCC+ 787 85
- ---------------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $728) 762
- ---------------------------------------------------------------
WARRANTS (0.0%)
- ---------------------------------------------------------------
COMMUNICATIONS (0.0%)
* American Mobile
Satellite Corp.,
expiring 4/1/08 N/R 2,150 7
*(+) Globalstar
Telecommunications Ltd.,
expiring 2/15/04 N/R 125 12
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
!!!!RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ---------------------------------------------------------------
<S> <C> <C> <C>
*@ Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 70 $ --
*(+) Tele1 Europe B.V.
expiring 5/15/09 N/R 1,000 7
*(+) Wam!Net, Inc.,
expiring 3/1/05 N/R 3,750 9
- ---------------------------------------------------------------
GROUP TOTAL 35
- ---------------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*@ Paxson Communications
Corp., expiring 6/30/03 N/R 96 --
- ---------------------------------------------------------------
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 11
*@ Republic of Venezuela
expiring 4/15/20 N/R 1,250 --
- ---------------------------------------------------------------
GROUP TOTAL 11
- ---------------------------------------------------------------
TOTAL WARRANTS (Cost $14) 46
- ---------------------------------------------------------------
CASH EQUIVALENT (9.7%)
- ---------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-----------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (9.7%)
Chase Securities, Inc. 5.20%, dated
9/30/99, due 10/1/99, to be
repurchased at $15,517,
collateralized by various U.S.
Government Obligations, due
10/1/99-8/15/01, valued at $15,532
(Cost $15,515) $ 15,515 15,515
- ---------------------------------------------------------------
TOTAL INVESTMENTS (103.8%) (Cost $159,349) 166,276
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -------------------------------------------------------------
-----------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-3.8%)
Cash $ 237
Foreign Currency (Cost $14,814) 15,053
Foreign Currency Held as Collateral on Futures
Contracts (Cost $1,137) 1,137
Dividends Receivable 81
Interest Receivable 999
Receivable for Investments Sold 3,717
Receivable for Forward Commitments 6,524
Receivable for Fund Shares Sold 6
Receivable for Withholding Tax Reclaim 9
Unrealized Gain on Forward Foreign Currency
Contracts 17
Other Assets 10
Payable for Investments Purchased (618)
Payable for Forward Commitments (29,996)
Payable for Fund Shares Redeemed (2,623)
Payable for Investment Advisory Fees (277)
Payable for Administrative Fees (11)
Payable for Shareholder Servicing Fees-Investment
Class (2)
Payable for Trustees' Deferred Compensation Plan-
Note F (10)
Payable for Daily Variation Margin on Futures
Contracts (294)
Unrealized Loss on Swap Agreements (61)
Other Liabilities (66)
--------
(6,168)
- -------------------------------------------------------------
NET ASSETS (100%) $160,108
- -------------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------------
NET ASSETS
Applicable to 12,292,973 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $152,862
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.43
- -------------------------------------------------------------
INVESTMENT CLASS
- -------------------------------------------------------------
NET ASSETS
Applicable to 583,797 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 7,246
- -------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.41
- -------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $134,683
Undistributed Net Investment Income (Loss) 2,087
Undistributed Realized Net Gain (Loss) 16,560
Unrealized Appreciation (Depreciation) on:
Investment Securities 6,927
Foreign Currency 261
Futures and Swaps (410)
- -------------------------------------------------------------
NET ASSETS $160,108
- -------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO
(CONT'D)
- ---------------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
!! Ratings are unaudited.
* Non-income producing security.
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is not
rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
) Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of September 30, 1999.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is as
of September 30, 1999.
(2) Face value is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
EUR Euro
GBP British Pound
Inv Inverse Floating Rate-Interest rate fluctuates with an
Fl inverse relationship to an associated interest rate.
Indicated rate is the effective rate at September 30,
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 A7 to
Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 112
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAP MID CAP
VALUE EQUITY VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
Year Ended September 30, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 39,429 $ 9,649 $ 9,133 $ 1,555
Interest 1,923 695 4,043 2,512
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 41,352 10,344 13,176 4,067
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 10,356 4,147 6,359 3,801
Administrative Fee--Note C 1,655 664 678 608
Custodian Fee--Note E 577 206 124 105
Audit Fee 33 20 23 16
Legal Fee 38 16 16 13
Filing & Registration Fees 68 10 38 102
Shareholder Servicing Fee--Investment Class
shares--Note D 25 2 -- --
Distribution Fees--Adviser Class shares--Note D 774 3 8 399
Other Expenses 338 80 88 71
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 13,864 5,148 7,334 5,115
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (213) (144) (62) (105)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 13,651 5,004 7,272 5,010
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 27,701 5,340 5,904 (943)
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 163,611 190,256 83,605 237,742
Futures (40,686) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 122,925 190,256 83,605 237,742
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 137,756 50,024 85,609 102,485
Futures (3,618) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 134,138 50,024 85,609 102,485
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 257,063 240,280 169,214 340,227
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 284,764 $ 245,620 $ 175,118 $ 339,284
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
111
<PAGE> 113
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL DOMESTIC
MID CAP CAP FIXED FIXED
VALUE GROWTH INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended September 30, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 6,018 $ 70 $ 5,109 $ 51
Interest 2,795 130 332,206 9,982
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 8,813 200 337,315 10,033
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 4,636 $307 17,842 570
(47)
Less: Waived Fees -- 260 -- --
Administrative Fee--Note C 494 24 3,805 122
Custodian Fee--Note E 68 30 361 28
Audit Fee 15 18 43 16
Legal Fee 11 -- 99 2
Filing & Registration Fees 54 24 49 28
Shareholder Servicing Fee--Investment Class
shares--Note D 37 -- 58 --
Distribution Fees--Adviser Class shares--Note D 53 -- 341 1
Other Expenses 88 7 454 14
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,456 363 23,052 781
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (68) (9) (361) (28)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 5,388 354 22,691 753
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 3,425 (154) 314,624 9,280
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 109,808 15,676 (117,912) (5,888)
Foreign Currency Transactions -- -- 715 --
Futures -- -- (5,937) 749
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 109,808 15,676 (123,134) (5,139)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 15,607 12,161 (160,836) (6,279)
Foreign Currency Transactions -- -- (715) --
Futures and Swaps -- -- (14,628) (279)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 15,607 12,161 (176,179) (6,558)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 125,415 27,837 (299,313) (11,697)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 128,840 $ 27,683 $ 15,311 $ (2,417)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 114
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH CASH FIXED LIMITED
YIELD RESERVES INCOME II DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
Year Ended September 30, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 154 $ -- $ 277 $ 114
Interest 92,103 8,909 26,450 13,724
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 92,257 8,909 26,727 13,838
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 3,425 $434 1,502 632
(66)
Less: Waived Fees -- 368 -- --
Administrative Fee--Note C 731 139 320 169
Custodian Fee--Note E 83 17 31 16
Audit Fee 21 12 17 15
Legal Fee 34 4 8 4
Filing & Registration Fees 66 -- 8 12
Shareholder Servicing Fee--Investment Class
shares--Note D 13 -- -- --
Distribution Fees--Adviser Class shares--Note D 35 -- -- --
Other Expenses 104 32 39 23
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,512 572 1,925 871
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (83) (17) (31) (12)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,429 555 1,894 859
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 87,828 8,354 24,833 12,979
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (14,390) 12 (10,935) (4,344)
Foreign Currency Transactions 2,787 -- 63 --
Futures and Swaps 2,628 -- 1,393 1,891
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (8,975) 12 (9,479) (2,453)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (9,992) -- (15,961) (4,469)
Foreign Currency Transactions 891 -- (63) --
Futures and Swaps 2,458 -- (2,023) 1,250
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (6,643) -- (18,047) (3,219)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (15,618) 12 (27,526) (5,672)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 72,210 $ 8,366 $ (2,693) $ 7,307
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 115
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED FIXED FIXED
INCOME MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
Year Ended September 30, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME+
Dividends $ 63 $ -- $ 117 $ --
Interest 34,508 5,773 3,454 5,462
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 34,571 5,773 3,571 5,462
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 1,870 $414 251 488
(96)
Less: Waived Fees -- 318 -- --
Administrative Fee--Note C 399 88 56 108
Custodian Fee--Note E 59 16 16 37
Audit Fee 27 21 17 24
Legal Fee 10 2 1 2
Filing & Registration Fees 18 32 11 13
Other Expenses 45 87 5 11
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,428 564 357 683
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (58) (12) (3) (11)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,370 552 354 672
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 32,201 5,221 3,217 4,790
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (10,669) (684) 489 633
Foreign Currency Transactions 95 -- 1,251 2,758
Futures (3,476) 2,341 721 295
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (14,050) 1,657 2,461 3,686
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (14,847) (8,541) (4,458) (9,620)
Foreign Currency Transactions (95) -- (962) (11)
Futures and Swaps (33) 1,191 (83) (67)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (14,975) (7,350) (5,503) (9,698)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (29,025) (5,693) (3,042) (6,012)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 3,176 $ (472) $ 175 $ (1,222)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $12 and $43 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 116
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MULTI-MARKET MULTI-
DURATION FIXED INCOME BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended September 30, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 41 $ 32 $ 3,091 $ 1,055
Interest 6,230 7,195 13,444 5,387
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 6,271 7,227 16,535 6,442
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 350 441 1,971 $1,148
(40)
Less: Waived Fees -- -- -- 1,108
Administrative Fee--Note C 75 79 350 141
Custodian Fee--Note E 4 17 73 53
Audit Fee 16 19 32 30
Legal Fee 2 2 9 4
Filing & Registration Fees 11 -- 23 13
Shareholder Servicing Fee--Investment Class
shares--Note D 2 -- 1 11
Distribution Fees--Adviser Class shares--Note D -- -- 71 --
Other Expenses 2 12 84 33
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 462 570 2,614 1,393
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note K (12) (4) (66) (5)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 450 566 2,548 1,388
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 5,821 6,661 13,987 5,054
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (2,913) (1,240) 47,995 15,146
Foreign Currency Transactions (11) (125) 31 415
Futures 488 173 (567) 2,285
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (2,436) (1,192) 47,459 17,846
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (2,505) (3,009) 9,693 7,084
Foreign Currency Transactions -- (85) (32) 233
Futures and Swaps (319) (119) (457) (251)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (2,824) (3,213) 9,204 7,066
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (5,260) (4,405) 56,663 24,912
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 561 $ 2,256 $ 70,650 $ 29,966
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $15 and $10 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.
- --------------------------------------------------------------------------------
115
<PAGE> 117
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
--------------------- ------------------- ------------------
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 63,524 $ 27,701 $ 10,969 $ 5,340 $ 6,115 $ 5,904
Realized Net Gain (Loss) 453,240 122,925 245,032 190,256 117,795 83,605
Change in Unrealized Appreciation
(Depreciation) (1,045,358) 134,138 (254,737) 50,024 (285,570) 85,609
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations (528,594) 284,764 1,264 245,620 (161,660) 175,118
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (62,553) (30,731) (12,881) (6,669) (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) (270) (20) (11) -- --
Realized Net Gain (2,354) (3,540) (597) (609) -- --
ADVISER CLASS +:
Net Investment Income (5,679) (4,810) (1) (4) -- --
Realized Net Gain (27,923) (52,186) -- (124) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (405,475) (437,725) (369,952) (230,178) (123,254) (104,515)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 752,802 348,999 125,772 101,383 114,435 288,575
In Lieu of Cash Distributions 313,748 327,810 360,707 220,297 121,720 103,439
Redeemed (1,493,928) (1,761,799) (558,392) (574,286) (131,908) (282,283)
INVESTMENT CLASS:
Issued 12,467 6,883 242 135 -- --
In Lieu of Cash Distributions 1,920 2,822 615 618 -- --
Redeemed (11,550) (23,620) (510) (1,753) -- --
ADVISER CLASS +:
Issued 292,374 78,928 460 2,007 -- 20,392
In Lieu of Cash Distributions 29,311 51,418 1 128 -- --
Redeemed (98,912) (173,003) (44) (333) -- (3,709)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (201,768) (1,141,562) (71,149) (251,804) 104,247 126,414
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (1,135,837) (1,294,523) (439,837) (236,362) (180,667) 197,017
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 $ 1,343,512 $ 875,064 $ 638,702 $ 716,729 $ 913,746
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period
net assets $ 13,250 $ 5,140 $ 2,137 $ 798 $ 2,975 $ 5,379
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 40,398 22,907 5,161 4,930 5,384 15,813
In Lieu of Cash Distributions 17,599 23,236 17,555 12,497 6,169 6,346
Shares Redeemed (80,941) (117,686) (24,600) (28,048) (6,231) (15,199)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (22,944) (71,543) (1,884) (10,621) 5,322 6,960
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 659 440 11 6 -- --
In Lieu of Cash Distributions 107 200 30 35 -- --
Shares Redeemed (613) (1,547) (22) (91) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding 153 (907) 19 (50) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 15,459 5,078 20 98 -- 1,062
In Lieu of Cash Distributions 1,645 3,645 -- 7 -- --
Shares Redeemed (5,498) (11,461) (2) (16) -- (197)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding 11,606 (2,738) 18 89 -- 865
- ---------------------------------------------------------------------------------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
116
<PAGE> 118
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MID CAP MID CAP SMALL CAP
GROWTH VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO
<CAPTION>
Year Ended Year Ended June 30,
September 30, September 30, 1998* to Year Ended
---------------------- --------------------- September 30, September 30,
(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) $ (943) $ 1,401 $ 3,425 $ (4) $ (154)
Realized Net Gain (Loss) 102,056 237,742 27,317 109,808 (176) 15,676
Change in Unrealized Appreciation
(Depreciation) (104,691) 102,485 (79,622) 15,607 (319) 12,161
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations (3,309) 339,284 (50,904) 128,840 (499) 27,683
- ---------------------------------------------------------------------------------------------------------------------------------
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 273,476 565,037 307,936 370,988 3,618 81,536
Issued due to Reorganization--Note M -- -- 43,226 -- -- --
In Lieu of Cash Distributions 64,517 71,047 23,811 31,687 -- --
Redeemed (291,506) (486,282) (102,105) (188,868) (115) (18,994)
INVESTMENT CLASS:
Issued -- -- 24,500 6,915 -- --
In Lieu of Cash Distributions -- -- 918 1,251 -- --
Redeemed -- -- (5,250) (6,141) -- --
ADVISER CLASS +:
Issued 73,812 181,375 269 40,211 -- --
Issued due to Reorganization--Note M -- -- 7,086 -- -- --
In Lieu of Cash Distributions 310 14,192 -- 363 -- --
Redeemed (17,226) (24,798) (1,235) (7,784) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 103,383 320,571 299,156 248,622 3,503 62,542
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 32,850 567,958 222,837 342,513 3,004 90,225
NET ASSETS:
Beginning of Period 448,163 481,013 221,498 444,335 -- 3,004
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 481,013 $1,048,971 $ 444,335 $ 786,848 $ 3,004 $ 93,229
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ -- $ 2 $ 1,259 $ 3,056 $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 12,802 24,011 14,975 17,268 363 3,253
Shares Issued due to
Reorganization--Note M -- -- 1,981 -- -- --
In Lieu of Cash Distributions 3,693 3,801 1,280 1,661 -- --
Shares Redeemed (13,871) (20,418) (5,123) (9,185) (12) (715)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 2,624 7,394 13,113 9,744 351 2,538
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 1,195 324 -- --
In Lieu of Cash Distributions -- -- 49 66 -- --
Shares Redeemed -- -- (256) (279) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- 988 111 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 3,486 7,873 14 1,930 -- --
Shares Issued due to
Reorganization--Note M -- -- 325 -- -- --
In Lieu of Cash Distributions 18 763 -- 19 -- --
Shares Redeemed (806) (1,101) (68) (362)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding 2,698 7,535 271 1,587 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
117
<PAGE> 119
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------
<CAPTION>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
--------------------- ----------------- ------------------
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 269,463 $ 314,624 $ 5,183 $ 9,280 $ 55,020 $ 87,828
Realized Net Gain (Loss) 96,110 (123,134) 2,147 (5,139) 18,260 (8,975)
Change in Unrealized Appreciation
(Depreciation) (53,419) (176,179) 266 (6,558) (86,841) (6,643)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 312,154 15,311 7,596 (2,417) (13,561) 72,210
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (236,264) (273,978) (6,010) (6,519) (48,720) (75,740)
Realized Net Gain (49,292) -- (907) -- (14,043) (3,816)
In Excess of Realized Net Gain -- (112,821) -- (2,430) -- (13,719)
INVESTMENT CLASS:
Net Investment Income (1,481) (2,372) -- -- (867) (674)
Realized Net Gain (297) -- -- -- (243) (37)
In Excess of Realized Net Gain -- (1,138) -- -- -- (131)
ADVISER CLASS +:
Net Investment Income (5,636) (7,874) -- (21) (744) (1,019)
Realized Net Gain (1,121) -- -- -- (180) (40)
In Excess of Realized Net Gain -- (3,280) -- -- -- (145)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (294,091) (401,463) (6,917) (8,970) (64,797) (95,321)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 1,950,102 958,460 18,578 152,307 459,733 564,421
In Lieu of Cash Distributions 247,290 349,941 5,689 8,513 45,671 64,229
Redeemed (809,245) (1,222,480) (45,858) (35,643) (250,421) (371,320)
INVESTMENT CLASS:
Issued 50,811 24,497 -- -- 9,943 5,963
In Lieu of Cash Distributions 1,337 2,637 -- -- 756 799
Redeemed (13,110) (33,777) -- -- (9,038) (10,904)
ADVISER CLASS +:
Issued 76,130 38,314 -- 1,807 20,784 28,455
In Lieu of Cash Distributions 4,436 8,285 -- 21 805 1,072
Redeemed (26,749) (25,174) -- (608) (14,409) (25,988)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 1,481,002 100,703 (21,591) 126,397 263,824 256,727
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 1,499,065 (285,449) (20,912) 115,010 185,466 233,616
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 $ 4,519,813 $ 76,042 $191,052 $ 724,608 $ 958,224
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ 70,218 $ 82,491 $ 722 $ 2,949 $ 16,074 $ 29,048
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 161,426 82,479 1,653 13,812 47,739 62,967
In Lieu of Cash Distributions 20,656 30,023 514 784 4,720 7,249
Shares Redeemed (66,995) (105,699) (4,095) (3,266) (25,893) (41,499)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 115,087 6,803 (1,928) 11,330 26,566 28,717
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 4,202 2,128 -- -- 1,014 671
In Lieu of Cash Distributions 112 225 -- -- 78 90
Shares Redeemed (1,089) (2,881) -- -- (916) (1,210)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares Outstanding 3,225 (528) -- -- 176 (449)
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 6,305 3,302 -- 167 2,125 3,188
In Lieu of Cash Distributions 370 710 -- 2 83 120
Shares Redeemed (2,211) (2,166) -- (56) (1,496) (2,883)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser
Class Shares Outstanding 4,464 1,846 -- 113 712 425
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Domestic Fixed Income Portfolio began offering Adviser Class shares on
March 1, 1999.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 120
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH FIXED LIMITED
RESERVES INCOME II DURATION
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
---------------------- ---------------------- ----------------------
(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 $ 8,354 $ 20,027 $ 24,833 $ 12,691 $ 12,979
Realized Net Gain (Loss) -- 12 8,000 (9,479) 186 (2,453)
Change in Unrealized Appreciation
(Depreciation) -- -- 1,693 (18,047) 40 (3,219)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,810 8,366 29,720 (2,693) 12,917 7,307
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (6,810) (8,350) (17,747) (23,025) (10,732) (15,085)
Realized Net Gain -- -- (2,552) -- -- --
In Excess of Realized Net Gain -- -- -- (9,302) -- --
INVESTMENT CLASS +:
Net Investment Income -- (4) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,810) (8,354) (20,299) (32,327) (10,732) (15,085)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 443,318 501,605 253,821 47,254 123,334 31,868
In Lieu of Cash Distributions 6,171 7,429 15,405 28,219 9,953 13,707
Redeemed (379,725) (520,765) (61,386) (99,483) (38,331) (128,970)
INVESTMENT CLASS +:
Issued -- 1,370 -- -- -- --
In Lieu of Cash Distributions -- 4 -- -- -- --
Redeemed -- (454) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 69,764 (10,811) 207,840 (24,010) 94,956 (83,395)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 69,764 (10,799) 217,261 (59,030) 97,141 (91,173)
NET ASSETS:
Beginning of Period 98,464 168,228 226,662 443,923 155,570 252,711
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 168,228 $ 157,429 $ 443,923 $ 384,893 $ 252,711 $ 161,538
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ -- $ -- $ 6,124 $ 6,422 $ 3,731 $ 353
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 443,316 501,607 22,215 4,326 11,856 3,088
In Lieu of Cash Distributions 6,171 7,429 1,362 2,531 962 1,331
Shares Redeemed (379,724) (520,764) (5,375) (9,004) (3,673) (12,522)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding 69,763 (11,728) 18,202 (2,147) 9,145 (8,103)
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- 1,370 -- -- -- --
In Lieu of Cash Distributions -- 4 -- -- -- --
Shares Redeemed -- (455) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment
Class Shares Outstanding -- 919 -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Cash Reserves Portfolio began offering Investment Class shares on August
16, 1999.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 121
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL
PURPOSE GLOBAL
FIXED INCOME MUNICIPAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
September 30, September 30, September 30,
---------------------- --------------------- --------------------
(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) $ 37,148 $ 32,201 $ 3,859 $ 5,221 $ 3,594 $ 3,217
Realized Net Gain (Loss) 14,006 (14,050) 4,194 1,657 (1,107) 2,461
Change in Unrealized Appreciation
(Depreciation) (12,611) (14,975) (2,429) (7,350) 3,607 (5,503)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 38,543 3,176 5,624 (472) 6,094 175
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (36,197) (30,952) (3,613) (5,526) (2,686) (2,797)
Realized Net Gain (11,303) (1,670) -- -- (1,005) (1,208)
In Excess of Realized Net Gain -- (13,202) -- -- -- --
INVESTMENT CLASS:
Net Investment Income (44) -- -- -- -- --
Realized Net Gain (26) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (47,570) (45,824) (3,613) (5,526) (3,691) (4,005)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 164,289 102,595 50,641 52,900 7,414 17,920
Issued due to Reorganization--Note M -- -- -- 22,605 -- --
In Lieu of Cash Distributions 42,398 41,048 2,974 3,164 3,258 3,545
Redeemed (138,208) (193,590) (48,464) (33,036) (18,734) (25,410)
INVESTMENT CLASS:
Issued 40 -- -- -- -- --
In Lieu of Cash Distributions 71 -- -- -- -- --
Redeemed (1,339) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 67,251 (49,947) 5,151 45,633 (8,062) (3,945)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 58,224 (92,595) 7,162 39,635 (5,659) (7,775)
NET ASSETS:
Beginning of Period 494,045 552,269 75,120 82,282 77,493 71,834
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 552,269 $ 459,674 $ 82,282 $ 121,917 $ 71,834 $ 64,059
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss)
included in end of period net assets $ 8,848 $ 7,327 $ 317 $ 12 $ (8) $ 1,121
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 13,380 8,853 4,287 4,439 709 1,705
Shares Issued due to Reorganization--Note
M -- -- -- 1,898 -- --
In Lieu of Cash Distributions 3,481 3,506 253 268 317 327
Shares Redeemed (11,247) (16,558) (4,109) (2,782) (1,795) (2,397)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares Outstanding 5,614 (4,199) 431 3,823 (769) (365)
- ---------------------------------------------------------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
120
<PAGE> 122
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTER-
NATIONAL INTERMEDIATE MULTI-MARKET
FIXED INCOME DURATION FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended Year Ended
September 30, September 30, 1997* to Year Ended
----------------- ----------------- September 30, September 30,
(In Thousands) 1998 1999 1998 1999 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 6,737 $ 4,790 $ 6,312 $ 5,821 $ 4,058 $ 6,661
Realized Net Gain (Loss) (1,275) 3,686 1,767 (2,436) (984) (1,192)
Change in Unrealized Appreciation
(Depreciation) 9,247 (9,698) 901 (2,824) (1,313) (3,213)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 14,709 (1,222) 8,980 561 1,761 2,256
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (5,448) (3,664) (5,383) (6,864) (2,487) (6,324)
In Excess of Net Investment Income -- (786) -- -- -- --
Realized Net Gain (1,362) (2,919) (822) -- -- --
In Excess of Realized Net Gain -- -- -- (2,363) (53) --
INVESTMENT CLASS +:
Net Investment Income -- -- -- (127) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (6,810) (7,369) (6,205) (9,354) (2,540) (6,324)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 20,599 40,078 75,860 9,931 97,376 8,691
In Lieu of Cash Distributions 6,158 6,680 3,468 6,347 2,521 3,908
Redeemed (37,095) (62,499) (37,331) (73,849) (2,056) (4,287)
INVESTMENT CLASS +:
Issued -- -- -- 9,163 -- --
In Lieu of Cash Distributions -- -- -- 127 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (10,338) (15,741) 41,997 (48,281) 97,841 8,312
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (2,439) (24,332) 44,772 (57,074) 97,062 4,244
NET ASSETS:
Beginning of Period 152,752 150,313 72,119 116,891 -- 97,062
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $150,313 $125,981 $116,891 $ 59,817 $97,062 $101,306
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income
(loss) included in end of period net
assets $ (3,237) $ (785) $ 1,816 $ 135 $ 1,681 $ 1,742
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 2,087 3,925 7,276 975 9,793 913
In Lieu of Cash Distributions 634 622 336 626 253 405
Shares Redeemed (3,724) (6,082) (3,551) (7,376) (204) (452)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (1,003) (1,535) 4,061 (5,775) 9,842 866
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- -- 939 -- --
In Lieu of Cash Distributions -- -- -- 13 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding -- -- -- 952 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Intermediate Duration Portfolio began offering Investment Class shares on
August 16, 1999.
* Commencement of Operations
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 123
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTI-ASSET-
BALANCED CLASS
PORTFOLIO PORTFOLIO
----------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
September 30, September 30,
------------------ ------------------
(In Thousands) 1998 1999 1998 1999
- --------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 13,231 $ 13,987 $ 5,504 $ 5,054
Realized Net Gain (Loss) 42,000 47,459 14,673 17,846
Change in Unrealized Appreciation (Depreciation) (46,784) 9,204 (20,666) 7,066
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 8,447 70,650 (489) 29,966
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (12,012) (12,193) (4,749) (4,601)
Realized Net Gain (38,845) (38,112) (18,905) (13,405)
INVESTMENT CLASS:
Net Investment Income (77) (12) (138) (189)
Realized Net Gain (454) (45) (567) (506)
ADVISER CLASS:
Net Investment Income (908) (781) -- --
Realized Net Gain (3,340) (2,479) -- --
- --------------------------------------------------------------------------------------------------------------------
Total Distributions (55,636) (53,622) (24,359) (18,701)
- --------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 96,379 71,797 23,993 13,772
Issued due to Reorganization--Note M 4,938 -- -- --
In Lieu of Cash Distributions 50,795 50,242 21,649 16,513
Redeemed (69,316) (178,690) (29,755) (53,340)
INVESTMENT CLASS:
Issued 914 259 1,489 119
In Lieu of Cash Distributions 531 58 705 695
Redeemed (4,648) (584) (191) (188)
ADVISER CLASS:
Issued 5,523 4,775 -- --
Issued due to Reorganization--Note M 241 -- -- --
In Lieu of Cash Distributions 4,247 3,259 -- --
Redeemed (9,570) (4,278) -- --
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions 80,034 (53,162) 17,890 (22,429)
- --------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 32,845 (36,134) (6,958) (11,164)
NET ASSETS:
Beginning of Period 374,593 407,438 178,230 171,272
- --------------------------------------------------------------------------------------------------------------------
END OF PERIOD $407,438 $ 371,304 $171,272 $160,108
- --------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss) included in
end of period net assets $ 3,496 $ 3,741 $ 873 $ 2,087
- --------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 6,793 5,144 1,889 1,097
Shares Issued due to Reorganization--Note M 334 -- -- --
In Lieu of Cash Distributions 3,799 3,808 1,826 1,394
Shares Redeemed (4,951) (12,652) (2,355) (4,252)
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional Class Shares
Outstanding 5,975 (3,700) 1,360 (1,761)
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 64 19 115 10
In Lieu of Cash Distributions 40 4 59 58
Shares Redeemed (329) (41) (15) (15)
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class Shares
Outstanding (225) (18) 159 53
- --------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued 383 341 -- --
Shares Issued due to Reorganization--Note M 16 -- -- --
In Lieu of Cash Distributions 319 247 -- --
Shares Redeemed (672) (306) -- --
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser Class Shares
Outstanding 46 282 -- --
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 124
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
VALUE PORTFOLIO Institutional Class
-----------------------------------------------------------------
Year Ended September 30,
------------------------------------------------------
1995 1996 1997++ 1998 1999++
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 15.16
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.30 0.34 0.34 0.21
Net Realized and Unrealized Gain (Loss) on
Investments 3.34 2.20 5.75 (3.38) 1.11
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.65 2.50 6.09 (3.04) 1.32
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.31) (0.32) (0.30) (0.36) (0.28)
Realized Net Gain (1.08) (1.46) (1.03) (1.81) (2.61)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.39) (1.78) (1.33) (2.17) (2.89)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.89 $ 15.61 $ 20.37 $ 15.16 $ 13.59
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 32.58% 18.41% 41.25% (16.41%) 8.30%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,271,586 $1,844,740 $3,542,772 $2,288,236 $1,079,356
Ratio of Expenses to Average Net Assets (1) 0.60% 0.61% 0.62% 0.60% 0.63%
Ratio of Net Investment Income to Average Net
Assets 2.43% 2.07% 1.93% 1.76% 1.38%
Portfolio Turnover Rate 56% 53% 46% 56% 53%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.60% 0.60% 0.61% 0.59% 0.62%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
---------------------------------------------------------------------
May 6, Year Ended July 17, Year
1996** to September 30, 1996*** to Ended
September ------------------------ September September
30, 1997!! 1998 1999!! 30, 30,
1996 1996 --------
1997!!
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.97 $ 15.60 $ 20.36 $ 15.15 $ 14.11 $ 15.61
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.31 0.31 0.19 0.01 0.30
Net Realized and Unrealized Gain (Loss) on
Investments 0.59 5.75 (3.38) 1.12 1.49 5.74
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 6.06 (3.07) 1.31 1.50 6.04
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.33) (0.27) -- (0.27)
Realized Net Gain -- (1.03) (1.81) (2.61) -- (1.03)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) (2.14) (2.88) -- (1.30)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 20.36 $ 15.15 $ 13.58 $ 15.61 $ 20.35
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% (16.55%) 8.20% 10.63% 40.87%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,244 $29,847 $ 24,527 $ 9,673 $ 15,493 $201,253
Ratio of Expenses to Average Net Assets (2) 0.76%* 0.80% 0.75% 0.78% 0.86%* 0.90%
Ratio of Net Investment Income to Average
Net Assets 2.05%* 1.75% 1.62% 1.25% 1.66%* 1.63%
Portfolio Turnover Rate 53% 46% 56% 53% 53% 46%
- ---------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.09% N/A N/A N/A N/A
Ratio Including Expense Offsets 0.75%* 0.79% 0.74% 0.77% 0.85%* 0.89%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------
May 6, Year Ended
1996** to September 30, 1996***
September ------------------------ September Septembe
30, 1997!! 1998 1999!! 30, 30,
1996 1996 -------- 199
8 1999!!
1997!!
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.35 $ 15.13
- ---------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.29 0.17
Net Realized and Unrealized Gain (Loss) on
Investments (3.38) 1.12
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (3.09) 1.29
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.32) (0.24)
Realized Net Gain (1.81) (2.61)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.13) (2.85)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.13 $ 13.57
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (16.66%) 8.10%
- ---------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $325,272 $254,483
Ratio of Expenses to Average Net Assets (2) 0.85% 0.88%
Ratio of Net Investment Income to Average
Net Assets 1.52% 1.10%
Portfolio Turnover Rate 56% 53%
- ---------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A N/A
Ratio Including Expense Offsets 0.84% 0.87%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
++ Per share amounts for the year ended September 30, 1997 and
September 30, 1999, are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 125
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
EQUITY PORTFOLIO Year Ended September 30,
----------------------------------------------------
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 20.44
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.50 0.36 0.24 0.14
Net Realized and Unrealized Gain (Loss) on
Investments 4.55 3.26 8.22 (1.04) 5.24
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 5.07 3.76 8.58 (0.80) 5.38
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.52) (0.50) (0.40) (0.28) (0.17)
Realized Net Gain (1.17) (2.02) (4.40) (7.93) (5.83)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.69) (2.52) (4.80) (8.21) (6.00)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 24.43 $ 25.67 $ 29.45 $ 20.44 $ 19.82
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 26.15% 16.48% 38.46% (2.66%) 30.15%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,597,632 $1,442,261 $1,312,547 $872,662 $635,593
Ratio of Expenses to Average Net Assets (1) 0.61% 0.60% 0.60% 0.61% 0.62%
Ratio of Net Investment Income to Average Net
Assets 2.39% 1.95% 1.30% 0.94% 0.64%
Portfolio Turnover Rate 67% 67% 85% 77% 103%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.60% 0.60% 0.59% 0.59% 0.60%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
April 10, Year Ended January 16, Year
1996** to September 30, 1998*** to Ended
September ------------------------ September September
30, 1997 1998 1999 30, 30,
1996 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 0.07 0.10 0.11
Net Realized and Unrealized Gain
(Loss) on Investments 1.24 8.17 (1.03) 5.27 (0.09) 5.21
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51 (0.83) 5.34 0.01 5.32
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35) (0.24) (0.13) (0.09) (0.12)
Realized Net Gain -- (4.40) (7.93) (5.83) -- (5.83)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75) (8.17) (5.96) (0.09) (5.95)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42 $ 20.42 $ 19.80 $ 20.42 $ 19.79
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12% (2.78%) 29.92% (0.02%) 29.80%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 113 $ 2,354 $ 2,029 $ 986 $ 373 $ 2,123
Ratio of Expenses to Average Net
Assets (2) 0.75%* 0.80% 0.76% 0.77% 0.88%* 0.87%
Ratio of Net Investment Income to Average
Net Assets 1.83%* 1.12% 0.78% 0.52% 0.65%* 0.34%
Portfolio Turnover Rate 67% 85% 77% 103% 77% 103%
- ---------------------------------------------------------------------------------------------------------------------------------
(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%* 0.85%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
124
<PAGE> 126
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
SMALL CAP VALUE PORTFOLIO Year Ended September 30,
------------------------------------------------
1995 1996 1997 1998 1999+
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 17.37
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.18 0.15 0.16 0.13
Net Realized and Unrealized Gain (Loss) on Investments 2.49 3.62 8.39 (4.33) 3.65
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.68 3.80 8.54 (4.17) 3.78
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.14) (0.20) (0.11) (0.14) (0.07)
Realized Net Gain (1.93) (2.24) (3.10) (3.29) (2.46)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.07) (2.44) (3.21) (3.43) (2.53)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.28 $ 19.64 $ 24.97 $ 17.37 $ 18.62
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.39% 24.00% 49.81% (18.34%) 23.83%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $430,368 $585,457 $897,396 $716,729 $897,629
Ratio of Expenses to Average Net Assets (1) 0.87% 0.86% 0.86% 0.86% 0.86%
Ratio of Net Investment Income to Average Net Assets 1.20% 0.99% 0.70% 0.71% 0.70%
Portfolio Turnover Rate 119% 145% 107% 163% 251%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.87% 0.86% 0.86% 0.86% 0.86%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
--------------------
January 22,
1999** to
September 30,
1999+
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.32
- --------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.06
Net Realized and Unrealized Gain (Loss) on Investments 1.24
- --------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.62
- --------------------------------------------------------------------------------------------
TOTAL RETURN 7.51%
- --------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $16,117
Ratio of Expenses to Average Net Assets (2) 1.11%*
Ratio of Net Investment Income to Average Net Assets 0.45%*
Portfolio Turnover Rate 251%
- --------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 1.10%*
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
+ Per share amounts for the period ended September 30, 1999
are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 127
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------
MID CAP GROWTH PORTFOLIO Year Ended September 30,
------------------------------------------------
1995 1996 1997 1998 1999
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 18.62
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.01 (0.01) (0.03) (0.01)
Net Realized and Unrealized Gain (Loss) on Investments 4.21 4.70 4.75 0.24 10.65
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.24 4.71 4.74 0.21 10.64
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) (0.03) -- -- (0.00)++
Realized Net Gain (1.90) (2.75) (3.43) (3.43) (3.49)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.93) (2.78) (3.43) (3.43) (3.49)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.60 $ 20.53 $ 21.84 $ 18.62 $ 25.77
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 30.56% 28.81% 28.05% 2.00% 64.27%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $373,547 $403,281 $446,963 $429,955 $785,659
Ratio of Expenses to Average Net Assets (1) 0.61% 0.60% 0.63% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets 0.21% 0.04% (0.07%) (0.13%) (0.07%)
Portfolio Turnover Rate 129% 141% 134% 172% 208%
- ------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.60% 0.60% 0.61% 0.60% 0.60%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
-----------------------------------
January 31, Year Ended
1997** to September 30,
September 30, ----------------
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) (0.05)
Net Realized and Unrealized Gain (Loss) on Investments 4.79 0.20 10.58
- ----------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77 0.17 10.53
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Realized Net Gain -- (3.43) (3.49)
- ----------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (3.43) (3.49)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81 $ 18.55 $ 25.59
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99% 1.79% 63.87%
- ----------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200 $51,058 $263,312
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.87% 0.88%
Ratio of Net Investment Income to Average Net Assets (0.41%)* (0.25%) (0.31%)
Portfolio Turnover Rate 134% 172% 208%
- ----------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%* 0.84% 0.86%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Adviser Class shares
++ Amount is less than $0.01 per share.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 128
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------
December 30, Year Ended September 30,
1994** to -------------------------------------
September 30, 1997++ 1998++ 1999++
MID CAP VALUE PORTFOLIO 1995 1996
- ---------------------------------------------------------------------------------------------------------------------------------
<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 0.55L 0.11 0.05 0.08 0.12
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 2.52 8.37 (1.53) 5.01
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42 (1.45) 5.13
- ---------------------------------------------------------------------------------------------------------------------------------
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 $ 21.88
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40% (6.92%) 29.44%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260 $420,555 $721,015
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%*L 1.61% 0.28% 0.40% 0.57%
Portfolio Turnover Rate 639%L 377% 184% 213% 244%
- ---------------------------------------------------------------------------------------------------------------------------------
(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
L 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 September 30, July 17,
1996*** to ------------------------- 1998**** to Year Ended
September 30, 1997++ 1998++ 1999++ September 30, September 30,
1996 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 0.09 0.01 0.07
Net Realized and Unrealized
Gain (Loss) on
Investments 0.67 8.36 (1.53) 5.00 (3.71) 5.01
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 0.71 8.37 (1.48) 5.09 (3.70) 5.08
- ---------------------------------------------------------------------------------------------------------------------------------
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 $ 21.80 $ 18.12 $ 21.86
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05% (7.08%) 29.30% (16.96%) 29.12%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 127 $ 1,238 $18,861 $25,197 $ 4,919 $ 40,636
Ratio of Expenses to
Average Net Assets (2) 1.03%* 1.09% 1.05% 1.02% 1.24%* 1.12%
Ratio of Net Investment
Income to Average Net
Assets 0.86%* 0.04% 0.25% 0.42% 0.25%* 0.33%
Portfolio Turnover Rate 377% 184% 213% 244% 213% 244%
- ---------------------------------------------------------------------------------------------------------------------------------
(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%* 1.11%
- ---------------------------------------------------------------------------------------------------------------------------------
</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,
September 30, 1998 and September 30, 1999 are based on
average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 129
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Institutional Class
June 30, Year
1998** to Ended
September September
30, 30,
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) (0.13)
Net Realized and Unrealized Gain (Loss) on Investments (1.42) 23.84
- -------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (1.43) 23.71
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.57 $ 32.28
- -------------------------------------------------------------------------------------------------------
TOTAL RETURN (14.30%) 276.66%
- -------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,004 $ 93,229
Ratio of Expenses to Average Net Assets (1) 1.16%* 1.18%
Ratio of Net Investment Income (Loss) to Average Net
Assets (0.46%)* (0.50%)
Portfolio Turnover Rate 67% 300%
- -------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 3.67%* 0.15%
Ratio Including Expense Offsets 1.15%* 1.15%
- -------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
++ Per share amounts for the year ended September 30, 1999, are
based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 130
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------
FIXED INCOME PORTFOLIO Year Ended September 30,
------------------------------------------------------
1995 1996 1997++ 1998++ 1999++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.93 $ 11.82 $ 11.83 $ 12.22 $ 12.22
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.80 0.78 0.80 0.78 0.77
Net Realized and Unrealized Gain (Loss) on
Investments 0.69 0.08 0.50 0.14 (0.72)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.49 0.86 1.30 0.92 0.05
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.79) (0.78) (0.75) (0.71)
Realized Net Gain -- (0.06) (0.13) (0.17) --
In Excess of Realized Net Gain -- -- -- -- (0.30)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.60) (0.85) (0.91) (0.92) (1.01)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.82 $ 11.83 $ 12.22 $ 12.22 $ 11.26
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.19% 7.63% 11.47% 7.90% 0.33%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,487,409 $1,790,146 $3,219,987 $4,625,015 $4,338,939
Ratio of Expenses to Average Net Assets (1) 0.49% 0.48% 0.49% 0.48% 0.48%
Ratio of Net Investment Income to Average Net
Assets 7.28% 6.77% 6.73% 6.49% 6.62%
Portfolio Turnover Rate 140% 162% 179% 121% 103%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES
TO AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.48% 0.48% 0.48% 0.47% 0.47%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
------------------------------------------------------------------
October 15, Year Ended November 7, Year Ended
1996** to September 30, 1996*** to September 30,
September -------------- September ----------------
30, 1998++ 1999++ 30, 1999++
1997++ 1997++ 1998++
- ---------------------------------------------------------------------------------------------------------------------------------
<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 0.76 0.70 0.75 0.74
Net Realized and Unrealized Gain (Loss) on
Investments 0.40 0.14 (0.72) 0.20 0.14 (0.72)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 0.90 0.04 0.90 0.89 0.02
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.73) (0.69) (0.59) (0.71) (0.69)
Realized Net Gain (0.13) (0.17) -- (0.13) (0.17) --
In Excess of Realized Net Gain -- -- (0.30) -- -- (0.30)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.90) (0.99) (0.72) (0.88) (0.99)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.22 $ 11.27 $ 12.22 $ 12.23 $ 11.26
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 7.72% 0.24% 7.79% 7.63% 0.07%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,527 $48,944 $39,165 $ 76,683 $131,303 $141,709
Ratio of Expenses to Average Net Assets (2) 0.66%* 0.63% 0.63% 0.77%* 0.73% 0.73%
Ratio of Net Investment Income to Average Net
Assets 6.57%* 6.31% 6.50% 6.50%* 6.22% 6.38%
Portfolio Turnover Rate 179% 121% 103% 179% 121% 103%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.62% 0.76%* 0.72% 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,
September 30, 1998 and September 30, 1999, are based on
average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
129
<PAGE> 131
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period
DOMESTIC FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
--------------------------------------------
1995 1996 1997 1998 1999
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.40
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.56 0.74 0.73 0.71
Net Realized and Unrealized Gain (Loss) on Investments 0.87 (0.09) 0.33 0.32 (0.83)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.39 0.47 1.07 1.05 (0.12)
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.23) (0.57) (0.67) (0.79) (0.52)
Realized Net Gain -- -- (0.02) (0.13) --
In Excess of Realized Net Gain -- (0.04) -- -- (0.21)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.23) (0.61) (0.69) (0.92) (0.73)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.03 $ 10.89 $ 11.27 $ 11.40 $ 10.55
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.33% 4.41% 10.20% 9.83% (1.12%)
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,147 $95,362 $96,954 $76,042 $189,860
Ratio of Expenses to Average Net Assets (1) 0.51% 0.52% 0.51% 0.51% 0.51%
Ratio of Net Investment Income to Average Net Assets 6.80% 5.73% 6.48% 6.32% 6.09%
Portfolio Turnover Rate 313% 168% 217% 145% 115%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.09% 0.01% 0.01% 0.01% N/A
Ratio Including Expense Offsets 0.50% 0.50% 0.50% 0.50% 0.49%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
---------------------
March 1
1999** to
September 30,
1999
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.85
- --------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39
Net Realized and Unrealized Gain (Loss) on Investments (0.43)
- --------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.04)
- --------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.28)
- --------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.53
- --------------------------------------------------------------------------------------
TOTAL RETURN (0.40%)
- --------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,192
Ratio of Expenses to Average Net Assets (1) 0.75%*
Ratio of Net Investment Income to Average Net Assets 6.73%*
Portfolio Turnover Rate 115%
- --------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver N/A
Ratio Including Expense Offsets 0.74%*
- --------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130
<PAGE> 132
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
HIGH YIELD PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
------------------------------------------------
1995 1996 1997++ 1998++ 1999++
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 8.99
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.90 0.88 0.86 0.85 0.86
Net Realized and Unrealized Gain (Loss) on
Investments 0.19 0.28 0.87 (0.93) (0.10)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.09 1.16 1.73 (0.08) 0.76
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.85) (0.92) (0.87) (0.82) (0.79)
Realized Net Gain (0.08) -- (0.03) (0.26) (0.04)
In Excess of Realized Net Gain (0.05) -- -- -- (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.98) (0.92) (0.90) (1.08) (0.98)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.08 $ 9.32 $ 10.15 $ 8.99 $ 8.77
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.58% 13.83% 19.90% (1.17%) 8.81%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $220,785 $289,810 $523,899 $703,110 $937,482
Ratio of Expenses to Average Net Assets (1) 0.50% 0.49% 0.51% 0.50% 0.49%
Ratio of Net Investment Income to Average Net Assets 10.68% 10.04% 9.05% 8.74% 9.61%
Portfolio Turnover Rate 96% 115% 96% 75% 45%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.49% 0.48% 0.50% 0.48% 0.48%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
May 21, Year Ended September 30, January 31, Year Ended
1996** to ------------------------ 1997*** to September 30,
September 30, 1997++ 1998++ 1999++ September 30, ---------------
1996 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 0.85 0.56 0.83 0.84
Net Realized and Unrealized
Gain (Loss) on Investments 0.16 0.88 (0.93) (0.10) 0.59 (0.93) (0.11)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.72 (0.10) 0.75 1.15 (0.10) 0.73
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.80) (0.78) (0.39) (0.80) (0.77)
Realized Net Gain -- (0.03) (0.26) (0.04) -- (0.26) (0.04)
In Excess of Realized Net Gain -- -- -- (0.15) -- -- (0.15)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (1.06) (0.97) (0.39) (1.06) (0.96)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 10.16 $ 9.00 $ 8.78 $ 10.15 $ 8.99 $ 8.76
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% (1.37%) 8.67% 12.63% (1.37%) 8.44%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 5,139 $10,916 $11,262 $7,041 $ 4,327 $10,236 $13,701
Ratio of Expenses to Average
Net Assets (2) 0.62%* 0.70% 0.65% 0.64% 0.78%* 0.75% 0.74%
Ratio of Net Investment Income
to Average Net Assets 11.06%* 8.84% 8.58% 9.50% 8.68%* 8.55% 9.29%
Portfolio Turnover Rate 115% 96% 75% 45% 96% 75% 45%
- ---------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON
THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to
Expense
Reimbursement/Waiver N/A 0.22% N/A N/A N/A N/A N/A
Ratio Including Expense
Offsets 0.61%* 0.69% 0.63% 0.63% 0.76%* 0.73% 0.73%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
++ Per share amounts for the years ended September 30, 1997,
September 30, 1998 and September 30, 1999 are based on
average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 133
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
CASH RESERVES PORTFOLIO
<TABLE>
<CAPTION>
Institutional Class
Year Ended September 30,
---------------------------------------------
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.055 0.052 0.052 0.053 0.048
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.055 0.052 0.052 0.053 0.048
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.055) (0.052) (0.052) (0.053) (0.048)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.57% 5.35% 5.32% 5.47% 4.93%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $44,624 $78,497 $98,464 $168,228 $156,510
Ratio of Expenses to Average Net Assets (1) 0.33% 0.33% 0.33% 0.32% 0.33%
Ratio of Net Investment Income to Average Net Assets 5.45% 5.19% 5.20% 5.33% 4.77%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction of Ratio due to Expense Reimbursement/Waiver 0.11% 0.09% 0.07% 0.05% 0.04%
Ratio Including Expense Offsets 0.32% 0.32% 0.32% 0.32% 0.32%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
---------------------
August 16,
1999** to
September 30,
1999
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.006
- -----------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.006
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.006)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000
- -----------------------------------------------------------------------------------------
TOTAL RETURN 0.60%
- -----------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 919
Ratio of Expenses to Average Net Assets (1) 0.48%*
Ratio of Net Investment Income to Average Net Assets 4.83%*
- -----------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction of Ratio due to Expense Reimbursement/Waiver 0.04%*
Ratio Including Expense Offsets 0.47%*
- -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132
<PAGE> 134
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
FIXED INCOME II PORTFOLIO Year Ended September 30,
------------------------------------------------
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.69
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.71 0.70 0.74 0.61 0.69
Net Realized and Unrealized Gain (Loss) on Investments 0.71 (0.03) 0.39 0.40 (0.75)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.42 0.67 1.13 1.01 (0.06)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.51) (0.66) (0.79) (0.66) (0.63)
Realized Net Gain -- (0.08) (0.11) (0.12) --
In Excess of Realized Net Gain -- (0.03) -- -- (0.26)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.51) (0.77) (0.90) (0.78) (0.89)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.33 $ 11.23 $ 11.46 $ 11.69 $ 10.74
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.13% 6.12% 10.58% 9.23% (0.57%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $176,945 $191,740 $226,662 $443,923 $384,893
Ratio of Expenses to Average Net Assets (1) 0.51% 0.50% 0.50% 0.50% 0.48%
Ratio of Net Investment Income to Average Net Assets 6.75% 6.06% 6.54% 6.19% 6.20%
Portfolio Turnover Rate 153% 165% 182% 92% 106%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.49% 0.49% 0.49% 0.49% 0.47%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
LIMITED DURATION PORTFOLIO Year Ended September 30,
------------------------------------------------
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.54
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.58 0.62 0.59 0.68
Net Realized and Unrealized Gain (Loss) on Investments 0.22 (0.03) 0.08 0.03 (0.31)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.78 0.55 0.70 0.62 0.37
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.55) (0.58) (0.59) (0.57) (0.73)
In Excess of Realized Net Gain (0.01) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.56) (0.58) (0.59) (0.57) (0.73)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.41 $ 10.38 $ 10.49 $ 10.54 $ 10.18
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.95% 5.47% 6.98% 6.13% 3.61%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $100,186 $123,227 $155,570 $252,711 $161,538
Ratio of Expenses to Average Net Assets (1) 0.43% 0.43% 0.43% 0.42% 0.41%
Ratio of Net Investment Income to Average Net Assets 5.96% 5.65% 6.15% 5.89% 6.16%
Portfolio Turnover Rate 119% 174% 130% 107% 102%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.02% N/A 0.00%# N/A N/A
Ratio Including Expense Offsets 0.42% 0.42% 0.42% 0.41% 0.41%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
# Amount is less than 0.01%
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 135
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
SPECIAL PURPOSE FIXED INCOME PORTFOLIO Year Ended September 30,
------------------------------------------------
1995 1996 1997++ 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.33
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.91 0.83 0.85 0.84 0.78
Net Realized and Unrealized Gain (Loss) on Investments 0.75 0.08 0.52 0.03 (0.69)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.66 0.91 1.37 0.87 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.65) (0.88) (0.87) (0.85) (0.73)
Realized Net Gain -- (0.30) (0.18) (0.27) (0.04)
In Excess of Realized Net Gain -- -- -- -- (0.33)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.65) (1.18) (1.05) (1.12) (1.10)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.53 $ 12.26 $ 12.58 $ 12.33 $ 11.32
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.97% 7.74% 11.78% 7.31% 0.71%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $390,258 $447,646 $492,784 $552,269 $459,674
Ratio of Expenses to Average Net Assets (1) 0.49% 0.49% 0.49% 0.49% 0.49%
Ratio of Net Investment Income to Average Net Assets 7.33% 6.75% 6.88% 6.89% 6.46%
Portfolio Turnover Rate 143% 151% 198% 105% 124%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.48% 0.49% 0.48% 0.48% 0.48%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
++ Per share amounts for the year ended September 30, 1997, are
based on average shares outstanding.
</TABLE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
MUNICIPAL PORTFOLIO Year Ended September 30,
--------------------------------------------
1995 1996 1997 1998 1999
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.96
- -------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.59 0.51 0.53 0.54 0.55
Net Realized and Unrealized Gain (Loss) on Investments 0.71 0.49 0.40 0.28 (0.53)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 1.00 0.93 0.82 0.02
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.59) (0.52) (0.52) (0.50) (0.59)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.59) (0.52) (0.52) (0.50) (0.59)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.75 $ 11.23 $ 11.64 $ 11.96 $ 11.39
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.37% 9.46% 8.47% 7.20% 0.11%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,040 $54,536 $75,120 $82,282 $121,917
Ratio of Expenses to Average Net Assets (1) 0.50% 0.51% 0.51% 0.52% 0.51%
Ratio of Net Investment Income to Average Net Assets 5.64% 4.66% 4.70% 4.58% 4.72%
Portfolio Turnover Rate 58% 78% 54% 140% 88%
- -------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.09% 0.09% 0.05% 0.04% 0.09%
Ratio Including Expense Offsets 0.50% 0.50% 0.50% 0.50% 0.50%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 136
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------
Year Ended September 30,
---------------------------------------------------
GLOBAL FIXED INCOME PORTFOLIO 1995 1997++ 1998 1999
1996
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 11.03
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.71 0.63 0.60 0.55 0.51
Net Realized and Unrealized Gain (Loss) on
Investments 0.81 0.09 (0.22) 0.38 (0.49)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.52 0.72 0.38 0.93 0.02
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.67) (0.71) (0.59) (0.39) (0.44)
Realized Net Gain -- (0.05) (0.16) (0.15) (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.67) (0.76) (0.75) (0.54) (0.63)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.05 $ 11.01 $ 10.64 $ 11.03 $ 10.42
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.54% 6.83% 3.53% 9.18% (0.05%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $55,147 $67,282 $77,493 $71,834 $64,059
Ratio of Expenses to Average Net Assets (1) 0.58% 0.60% 0.57% 0.56% 0.54%
Ratio of Net Investment Income to Average Net Assets 6.34% 5.25% 5.65% 5.11% 4.83%
Portfolio Turnover Rate 118% 133% 137% 88% 56%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.56% 0.58% 0.57% 0.56% 0.53%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
++ Per Share amounts for the year ended September 30, 1997, are based on average
shares outstanding.
<TABLE>
<CAPTION>
Institutional Class
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended September 30,
---------------------------------------------------
INTERNATIONAL FIXED INCOME PORTFOLIO 1995 1997 1998 1999
1996
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.05 $ 11.01 $ 10.77 $ 10.19 $ 10.75
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.67 0.52 0.50 0.45 0.34
Net Realized and Unrealized Gain (Loss) on
Investments 0.92 0.12 (0.44) 0.56 (0.41)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.59 0.64 0.06 1.01 (0.07)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.63) (0.80) (0.38) (0.36) (0.28)
In Excess of Net Investment Income -- -- -- -- (0.06)
Realized Net Gain -- (0.08) (0.26) (0.09) (0.22)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.63) (0.88) (0.64) (0.45) (0.56)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.01 $ 10.77 $ 10.19 $ 10.75 $ 10.12
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.36% 6.13% 0.44% 10.38% (0.93%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $127,882 $143,137 $152,752 $150,313 $125,981
Ratio of Expenses to Average Net Assets (1) 0.54% 0.53% 0.53% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets 6.35% 5.39% 5.27% 4.59% 3.68%
Portfolio Turnover Rate 140% 124% 107% 75% 64%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.54% 0.53% 0.53% 0.52% 0.52%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
135
<PAGE> 137
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------
October 3,
1994** to Year Ended September 30,
September -----------------------------------
30, 1996 1997!! 1998 1999
INTERMEDIATE DURATION PORTFOLIO 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<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 0.72
Net Realized and Unrealized Gain (Loss) on Investments 0.42 0.03 0.27 0.28 (0.65)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88 0.86 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53) (0.56) (0.76)
Realized Net Gain -- (0.38) (0.15) (0.10) --
In Excess of Realized Net Gain -- -- -- -- (0.22)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.43) (1.03) (0.68) (0.66) (0.98)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48 $ 10.68 $ 9.77
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93% 8.57% 0.64%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119 $116,891 $50,513
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% 6.20%
Portfolio Turnover Rate 168% 251% 204% 131% 97%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.48%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Commencement of Operations
!! Per share amounts for the year ended September 30, 1997 are based on average
shares outstanding.
<TABLE>
<CAPTION>
Investment Class
---------------------
August 16,
1999*** to
September 30,
1999
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.76
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.11
Net Realized and Unrealized Gain (Loss) on Investments 0.04
- -----------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.15
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.14)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.77
- -----------------------------------------------------------------------------------------
TOTAL RETURN 1.49%
- -----------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,304
Ratio of Expenses to Average Net Assets (2) 0.64%*
Ratio of Net Investment Income to Average Net Assets 8.99%*
Portfolio Turnover Rate 97%
- -----------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.63%*
- -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
*** Initial offering of Investment Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 138
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-------------------------------
October 1, Year Ended
1997** to September 30,
September 30,
MULTI-MARKET FIXED INCOME PORTFOLIO 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 0.65
Net Realized and Unrealized Gain (Loss) on Investments (0.29) (0.42)
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.27 0.23
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40) (0.63)
In Excess of Realized Net Gain (0.01) --
- ----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.41) (0.63)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.86 $ 9.46
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 2.72% 2.36%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $97,062 $101,306
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58%
Ratio of Net Investment Income to Average Net Assets 6.48%* 6.79%
Portfolio Turnover Rate 163% 86%
- ----------------------------------------------------------------------------------------------------
(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%* 0.58%
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 139
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------
-------------------------------------------------------
Year Ended September 30,
--------------------------------------------
BALANCED PORTFOLIO 1995 1997 1998++ 1999++
1996
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 13.46
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.54 0.53 0.51 0.48 0.45
Net Realized and Unrealized Gain (Loss) on Investments 1.78 1.15 2.91 (0.11) 1.71
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.32 1.68 3.42 0.37 2.16
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.47) (0.50) (0.54) (0.49) (0.43)
Realized Net Gain (0.07) (0.43) (1.39) (1.72) (1.36)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.54) (0.93) (1.93) (2.21) (1.79)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.06 $ 13.81 $ 15.30 $ 13.46 $ 13.83
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.37% 13.47% 27.44% 2.85% 16.99%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $334,630 $300,868 $343,284 $382,339 $341,886
Ratio of Expenses to Average Net Assets (1) 0.58% 0.57% 0.58% 0.59% 0.58%
Ratio of Net Investment Income to Average Net Assets 4.55% 3.85% 3.56% 3.36% 3.21%
Portfolio Turnover Rate 95% 110% 145% 100% 111%
- --------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.57% 0.57% 0.56% 0.57% 0.57%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
----------------------------------------------------------------------------
April 4, Year Ended November 1,
1997** to September 30, 1996*** to Year Ended
September ----------------- September September 30,
30, 1998!! 1999!! 30, ---------------
1997 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 0.42 0.42 0.44 0.42
Net Realized and Unrealized Gain (Loss)
on Investments 2.09 (0.13) 1.72 2.60 (0.12) 1.71
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.39 0.33 2.14 3.02 0.32 2.13
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.46) (0.41) (0.38) (0.47) (0.40)
Realized Net Gain -- (1.72) (1.36) (1.39) (1.72) (1.36)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (2.18) (1.77) (1.77) (2.19) (1.76)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.30 $ 13.45 $ 13.82 $ 15.30 $ 13.43 $ 13.80
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 2.56% 16.84% 23.82% 2.49% 16.76%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,943 $ 445 $ 208 $ 27,366 $24,654 $29,210
Ratio of Expenses to Average Net Assets
(2) 0.73%* 0.74% 0.74% 0.85%* 0.84% 0.83%
Ratio of Net Investment Income to
Average Net Assets 3.32%* 3.24% 3.03% 3.24%* 3.11% 2.97%
Portfolio Turnover Rate 145% 100% 111% 145% 100% 111%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.72% 0.84%* 0.82% 0.82%
- ---------------------------------------------------------------------------------------------------------------------------------
-
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
++ Per share amounts for the years ended September 30, 1998 and
September 30, 1999 are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138
<PAGE> 140
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Institutional Class
MULTI-ASSET-CLASS PORTFOLIO Year Ended September 30,
-----------------------------------------------
1995 1996 1997++ 1998++ 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 11.74
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.46 0.38 0.38 0.37
Net Realized and Unrealized Gain (Loss) on Investments 1.33 1.05 2.57 (0.45) 1.62
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.77 1.51 2.95 (0.07) 1.99
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40) (0.42) (0.51) (0.34) (0.34)
Realized Net Gain -- (0.15) (1.08) (1.49) (0.96)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.40) (0.57) (1.59) (1.83) (1.30)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 12.28 $ 13.64 $ 11.74 $ 12.43
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.28% 13.75% 26.50% (0.46%) 17.71%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $96,839 $129,558 $173,155 $165,039 $152,862
Ratio of Expenses to Average Net Assets (1) 0.58% 0.58% 0.74% 0.78% 0.78%
Ratio of Net Investment Income to Average Net Assets 4.56% 3.82% 3.07% 2.98% 2.86%
Portfolio Turnover Rate 112% 122% 141% 107% 101%
- ---------------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.14% 0.08% 0.08% 0.04% 0.02%
Ratio Including Expense Offsets 0.58% 0.58% 0.74% 0.78% 0.78%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
June 10, Year Ended September 30,
1996** to --------------------------
September 30, 1997++ 1998++ 1999
1996
- -----------------------------------------------------------------------------------------------------------------------
<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 0.35
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57 (0.45) 1.62
- -----------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93 (0.09) 1.97
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49) (0.31) (0.34)
Realized Net Gain -- (1.08) (1.49) (0.96)
- -----------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57) (1.80) (1.30)
- -----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.27 $13.63 $11.74 $12.41
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32% (0.61%) 17.53%
- -----------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,074 $5,075 $6,233 $7,246
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.96% 0.93% 0.93%
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.85% 2.86% 2.72%
Portfolio Turnover Rate 122% 141% 107% 101%
- -----------------------------------------------------------------------------------------------------------------------
(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% 0.02%
Ratio Including Expense Offsets 0.73%* 0.96% 0.93% 0.93%
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Initial offering of Investment Class shares.
- -----------------------------------------------------------------
++ 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.
- --------------------------------------------------------------------------------
139
<PAGE> 141
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At September 30, 1999, the Fund was
comprised of twenty-two 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 Cash Reserves Portfolio and Intermediate Duration Portfolio began offering
Investment Class shares on August 16, 1999. The Small Cap Value Portfolio and
Domestic Fixed Income Portfolio 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 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 agreements. This joint repurchase agreement is
covered by the same collateral requirements as discussed above.
4. FUTURES: Futures contracts (secured by cash and securities deposited with
brokers as "initial margin") are valued based upon their quoted daily
settlement prices; changes in initial settlement value (represented by cash
paid to or received from brokers as "variation margin") are accounted
- --------------------------------------------------------------------------------
140
<PAGE> 142
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 gain or loss 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 interest rate 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.
Realized gains or losses on maturity or termination of interest rate 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. 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.
7. 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.
8. PURCHASED OPTIONS: Certain Portfolios may purchase call and put options on
their portfolio securities. A call option, upon payment of a premium, gives
the purchaser of the option the right to buy, and the seller the obligation
to sell, the underlying instrument at the exercise price. The purchase of a
call option might be intended
- --------------------------------------------------------------------------------
141
<PAGE> 143
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
to protect the Portfolio against an increase in the price of the underlying
instrument that it intends to purchase in the future by fixing the price at
which it may purchase the instrument. A put option gives the purchaser of
the option, upon payment of a premium, the right to sell, and the writer
the obligation to buy, the instrument at the exercise price. A Portfolio
may purchase a put option to protect its holdings in the underlying
instrument, or a similar instrument, against a substantial decline in the
market value of such instrument by giving the Portfolio the right to sell
the instrument at the option exercise price. Possible losses from purchased
options cannot exceed the total amount invested.
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 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, and
Limited Duration Portfolios) may enter into forward foreign currency
contracts to protect securities and related receivables and payables
against future changes in foreign exchange rates. Fluctuations in the value
of such contracts are recorded as unrealized appreciation or depreciation;
realized gains or losses, which are disclosed in the Statement of
Operations, include net gains or losses on contracts which have been
terminated by settlements. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms
of their contracts and are generally limited to the amount of unrealized
gain on the contract, if any, at the date of default. Risks may also arise
from unanticipated movements in the value of the foreign currency relative
to the U.S. dollar.
At September 30, 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 those of the
Municipal, Limited Duration and Intermediate Duration Portfolios 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
- --------------------------------------------------------------------------------
142
<PAGE> 144
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
and Intermediate Duration Portfolios began declaring 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.
Permanent book-tax differences, if any, are not included in ending
undistributed net investment income (loss) for the purpose of calculating
net investment income (loss) per share in the Financial Highlights.
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 year ended
September 30, 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 0.47 --
Fixed Income II 0.375 -- -- --
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 certain Portfolios so that annual operating expenses, after
custodian balance credits, 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 Fund Distribution, Inc. ("MASDI" or the "Distributor"), a
wholly owned subsidiary of Miller Anderson & Sherrerd, LLP is the distributor
for the Fund. MASDI is a limited-purpose
- --------------------------------------------------------------------------------
143
<PAGE> 145
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
broker/dealer whose only function is to distribute open-end mutual fund shares.
The Distributor provides all classes of shares in each Portfolio with
distribution services, and receives fees in connection with these services,
pursuant to separate Distribution and Shareholder Servicing Plans (the "Plans")
in accordance with Rule 12b-1 under the Investment Company Act of 1940.
Under the Plans, the Distributor is entitled to distribution fees and
shareholder servicing fees for Adviser Class and Investment Class shares,
respectively. The distribution fee is an asset-based fee to support
distribution efforts and/or servicing of accounts. The Adviser Class of shares
pays an annual distribution fee of 0.25% of average net assets of the class for
such services under the 12b-1 plan adopted by the Fund. The Investment Class of
shares pays an annual shareholder servicing fee of 0.15% of average net assets
of the class. The shareholder servicing fee is not a distribution fee and is
used to support the expenses associated with servicing and maintaining
accounts. Both fees are paid directly to MASDI. The distribution fee may be
retained by MASDI if an Adviser Class shareholder invests directly through
MASDI. Usually the fees are paid by MASDI to external organizations such as
401(k) alliance sponsors, discount brokers and bank trust departments who
distribute MAS Funds to the public.
E. CUSTODY. 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 year ended September 30, 1999 by
the Portfolios were $225,000.
Expenses for the year ended September 30, 1999 include legal fees paid to
Morgan, Lewis & Bockius LLP. A partner of that firm is an Assistant Secretary
of the Fund.
G. PORTFOLIO INVESTMENT ACTIVITY.
1. PURCHASES AND SALES OF SECURITIES: For the year ended September 30, 1999,
purchases and sales of investment securities other than temporary cash
investments were:
<TABLE>
<CAPTION>
(000)
------------------------
Portfolio Purchases Sales
- --------- ---------- ----------
<S> <C> <C>
Value $1,061,453 $2,475,728
Equity 831,668 1,282,578
Small Cap Value 1,943,938 1,927,626
Mid Cap Growth 1,707,408 1,497,357
Mid Cap Value 1,543,155 1,376,585
Small Cap Growth 141,165 89,687
Fixed Income 6,825,613 6,381,231
Domestic Fixed Income 380,275 215,791
High Yield 604,413 385,184
Cash Reserves -- --
Fixed Income II 549,432 563,242
Limited Duration 268,579 354,788
Special Purpose Fixed Income 782,942 829,435
Municipal 144,104 119,415
Global Fixed Income 36,146 34,924
International Fixed Income 73,423 75,412
Intermediate Duration 117,642 179,963
Multi-Market Fixed Income 91,407 81,888
Balanced 541,920 609,758
Multi-Asset-Class 176,635 224,471
</TABLE>
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At
September 30, 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 $1,464,661 $ 95,655 $(214,089) $(118,434)
Equity 568,365 142,499 (51,030) 91,469
Small Cap Value 896,617 87,849 (74,262) 13,587
Mid Cap Growth 998,740 174,116 (51,847) 122,269
Mid Cap Value 796,080 44,826 (66,906) (22,080)
Small Cap Growth 80,319 13,859 (2,270) 11,589
Fixed Income 6,815,853 26,467 (189,356) (162,889)
Domestic Fixed Income 275,598 1,269 (6,005) (4,736)
High Yield 1,025,071 11,311 (77,547) (66,236)
Cash Reserves 157,083 -- -- --
Fixed Income II 551,925 2,709 (14,251) (11,542)
Limited Duration 217,202 862 (2,976) (2,114)
Special Purpose Fixed
Income 724,410 4,686 (20,400) (15,714)
Municipal 155,279 1,564 (4,353) (2,789)
Global Fixed Income 64,765 886 (3,494) (2,608)
International Fixed
Income 124,231 1,729 (6,211) (4,482)
Intermediate Duration 89,802 734 (1,873) (1,139)
Multi-Market Fixed
Income 138,709 642 (5,013) (4,371)
</TABLE>
- --------------------------------------------------------------------------------
144
<PAGE> 146
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
----------------------------------------------------
Portfolio Cost Appreciation Depreciation Net
--------- ---------- ------------ ------------ ---------
<S> <C> <C> <C> <C>
Balanced $ 442,600 $ 39,644 $ (23,956) $ 15,688
Multi-Asset-Class 159,621 15,470 (8,815) 6,655
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at September 30, 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>
HIGH YIELD
Purchases
US$ 2,965 EUR 2,750 10/27/99 US$ 2,933 US$ (32)
3,515 EUR 3,265 10/27/99 3,482 (33)
----------
US$ (65)
----------
Sales
EUR 9,950 US$ 10,532 10/26/99 US$ 10,610 US$ (78)
EUR 27,685 29,680 10/27/99 29,523 157
EUR 3,960 4,190 10/27/99 4,223 (33)
EUR 6,350 6,811 10/29/99 6,773 38
EUR 1,160 1,257 11/10/99 1,239 18
EUR 9,150 9,689 11/19/99 9,776 (87)
GBP 1,100 1,779 11/10/99 1,810 (31)
GBP 19,730 31,686 12/3/99 32,486 (800)
----------
US$ (816)
----------
NET US$ (881)
----------
GLOBAL FIXED INCOME
Purchases
US$ 723 JPY 78,000 11/2/99 US$ 735 US$ 12
334 JPY 36,000 11/2/99 339 5
692 AUD 1,060 11/3/99 692 --
892 GBP 550 11/8/99 905 13
5,398 EUR 5,000 11/10/99 5,338 (60)
3,664 EUR 3,375 11/10/99 3,603 (61)
540 JPY 61,000 11/10/99 575 35
831 JPY 87,000 11/10/99 821 (10)
436 AUD 670 11/18/99 438 2
1,152 EUR 1,095 11/29/99 1,171 19
777 JPY 80,000 12/8/99 758 (19)
815 CAD 1,195 12/15/99 815 --
2,771 JPY285,000 12/17/99 2,705 (66)
----------
US$ (130)
----------
Sales
EUR 1,500 US$ 1,588 10/26/99 US$ 1,600 US$ (12)
DKK 2,695 387 10/29/99 387 --
CHF 2,495 1,674 10/29/99 1,667 7
JPY114,000 1,012 11/2/99 1,074 (62)
GBP 1,000 1,621 11/2/99 1,646 (25)
CAD 2,210 1,470 11/3/99 1,505 (35)
EUR 1,845 1,946 11/10/99 1,970 (24)
JPY 87,000 769 11/10/99 820 (51)
SEK 3,840 470 11/12/99 470 --
JPY 80,000 737 12/8/99 758 (21)
DKK 4,575 656 12/9/99 659 (3)
CHF 1,950 1,305 12/9/99 1,309 (4)
----------
US$ (230)
----------
NET US$ (360)
----------
INTERNATIONAL FIXED INCOME
Purchases
US$ 7,302 JPY878,000 10/1/99 US$ 8,227 US$ 925
591 GBP 365 11/2/99 601 10
2,629 GBP 1,620 11/8/99 2,666 37
</TABLE>
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------------------- ---------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
US$ 3,213 GBP 1,980 11/8/99 US$ 3,259 US$ 46
24,529 EUR 22,595 11/10/99 24,123 (406)
3,340 JPY360,000 11/10/99 3,395 55
5,204 JPY588,000 11/10/99 5,545 341
1,615 AUD 2,485 11/18/99 1,622 7
5,428 EUR 5,160 11/29/99 5,518 90
7,637 JPY810,000 12/1/99 7,668 31
----------
US$ 1,136
----------
Sales
JPY878,000 US$ 8,181 10/1/99 US$ 8,227 US$ (46)
EUR 6,690 7,081 10/26/99 7,134 (53)
SEK 6,940 836 10/26/99 849 (13)
EUR 2,230 2,392 10/29/99 2,378 14
CHF 4,650 3,121 10/29/99 3,107 14
GBP 660 1,087 10/29/99 1,086 1
GBP 4,785 7,754 11/2/99 7,875 (121)
CAD 765 509 11/3/99 521 (12)
GBP 505 819 11/3/99 831 (12)
EUR 9,205 9,802 11/10/99 9,828 (26)
SEK 5,130 628 11/12/99 628 --
DKK 7,310 1,032 11/29/99 1,052 (20)
SEK 4,455 542 11/29/99 546 (4)
DKK 23,550 3,376 12/9/99 3,392 (16)
CHF 3,275 2,192 12/9/99 2,198 (6)
AUD 1,425 931 12/16/99 931 --
----------
US$ (300)
----------
NET US$ 836
----------
MULTI-MARKET FIXED INCOME
Purchases
US$ 537 JPY 58,000 11/2/99 US$ 546 US$ 9
1,131 JPY122,000 11/2/99 1,149 18
513 AUD 785 11/3/99 512 (1)
974 GBP 600 11/8/99 988 14
3,610 EUR 3,325 11/10/99 3,550 (60)
488 AUD 750 11/18/99 490 2
----------
US$ (18)
----------
Sales
EUR 1,415 US$ 1,498 10/26/99 US$ 1,509 US$ (11)
EUR 1,620 1,739 10/27/99 1,728 11
CHF 1,350 906 10/29/99 902 4
GBP 1,040 1,685 11/2/99 1,711 (26)
JPY160,000 1,406 11/2/99 1,507 (101)
JPY 58,000 509 11/2/99 546 (37)
CAD 2,315 1,540 11/3/99 1,577 (37)
GBP 360 584 11/3/99 592 (8)
GBP 330 530 12/3/99 543 (13)
CHF 2,215 1,483 12/9/99 1,487 (4)
DKK 5,530 793 12/9/99 797 (4)
AUD 260 170 12/16/99 170 --
----------
US$ (226)
----------
NET US$ (244)
----------
MULTI-ASSET-CLASS
Purchases
US$ 81 EUR 75 10/27/99 US$ 80 US$ (1)
73 GBP 45 11/2/99 74 1
46 JPY 5,000 11/2/99 47 1
357 JPY 38,000 11/2/99 358 1
94 AUD 145 11/3/99 95 1
122 GBP 75 11/8/99 124 2
2,951 EUR 2,725 11/10/99 2,909 (42)
80 EUR 75 11/10/99 80 --
1,027 JPY116,000 11/10/99 1,094 67
29 AUD 45 11/18/99 29 --
218 CAD 320 12/15/99 218 --
9,211 EUR 8,600 2/3/00 9,242 31
----------
US$ 61
----------
</TABLE>
- --------------------------------------------------------------------------------
145
<PAGE> 147
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------------------- ---------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
Sales
EUR 100 US$ 106 10/26/99 US$ 107 US$ (1)
EUR 525 561 10/27/99 560 1
CAD 425 289 10/29/99 289 --
CHF 135 90 10/29/99 90 --
EUR 265 284 10/29/99 282 2
GBP 185 305 10/29/99 305 --
GBP 120 194 11/2/99 197 (3)
JPY112,500 1,059 11/2/99 1,059 --
JPY 5,000 44 11/2/99 47 (3)
EUR 1,490 1,566 11/10/99 1,591 (25)
GBP 20 32 11/10/99 33 (1)
SEK 355 43 11/12/99 43 --
EUR 100 106 11/19/99 107 (1)
DKK 1,810 256 11/29/99 261 (5)
SEK 1,410 171 11/29/99 173 (2)
GBP 165 265 12/3/99 270 (5)
CHF 165 110 12/9/99 111 (1)
DKK 460 66 12/9/99 66 --
AUD 60 39 12/16/99 39 --
----------
US$ (44)
----------
NET US$ 17
----------
</TABLE>
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At September 30, 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
U.S. Treasury 2 yr.
Note 521 US$ 108,124 Dec-99 $ 58
U.S. Treasury Long
Bond 2,317 US$ 263,993 Dec-99 (1,590)
DOMESTIC
FIXED INCOME
U.S. Treasury 2 yr.
Note 163 US$ 33,827 Dec-99 16
U.S. Treasury 5 yr.
Note 35 US$ 3,796 Dec-99 17
FIXED INCOME II
U.S. Treasury 2 yr.
Note 188 US$ 39,016 Dec-99 19
U.S. Treasury 5 yr.
Note 50 US$ 5,423 Dec-99 12
U.S. Treasury Long
Bond 54 US$ 6,153 Dec-99 (38)
LIMITED DURATION
U.S. Treasury
2 yr. Note 190 US$ 39,431 Dec-99 20
U.S. Treasury 5 yr.
Note 15 US$ 1,627 Dec-99 7
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 2 yr.
Note 250 US$ 51,883 Dec-99 26
U.S. Treasury
Long Bond 287 US$ 32,700 Dec-99 (207)
</TABLE>
<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 131,960 Mar-00 $34
U.S. Treasury 2 yr.
Note 61 US$ 12,659 Dec-99 6
INTERNATIONAL
FIXED INCOME
Japanese Yen 10 yr.
Bond 10 JPY 1,319,600 Mar-00 340
INTERMEDIATE DURATION
U.S. Treasury 2 yr.
Note 58 US$ 12,037 Dec-99 6
U.S. Treasury 5 yr.
Note 11 US$ 1,193 Dec-99 3
BALANCED
U.S. Treasury 2 yr.
Note 13 US$ 2,698 Dec-99 2
U.S. Treasury
Long Bond 76 US$ 8,659 Dec-99 (55)
MULTI-ASSET CLASS
Australia All ORD
Index 11 AUD 512 Dec-99 (8)
Toronto 35 Index 8 CAD 1,093 Dec-99 (22)
CAC 40 Index 24 EUR 1,161 Dec-99 (6)
DAX Index 24 EUR 3,220 Dec-99 (136)
FTSE 100 Index 42 EUR 4,105 Dec-99 (66)
IBEX Plus Index 13 EUR 1,283 Oct-99 (58)
TOPIX Index 87 JPY 11,900 Dec-99 (17)
OMX Index 81 SEK 818 Oct-99 6
U.S. Treasury
5 yr. Note 5 US$ 542 Dec-99 2
U.S. Treasury
Long Bond 11 US$ 1,253 Dec-99 (8)
Sales:
FIXED INCOME
90 Day Euro 43 US$ 10,099 Dec-99- (49)
Mar-01
U.S. Treasury
10 yr. Note 4,782 US$ 526,618 Dec-99 (4,284)
DOMESTIC FIXED INCOME
U.S. Treasury
10 yr. Note 241 US$ 26,540 Dec-99 (198)
U.S. Treasury
Long Bond 53 US$ 6,039 Dec-99 32
HIGH YIELD
U.K. Long Gilt 178 GBP 30,349 Dec-99 785
U.S. Treasury Long
Bond 170 US$ 19,369 Dec-99 101
FIXED INCOME II
U.S. Treasury
10 yr. Note 567 US$ 62,441 Dec-99 (489)
LIMITED DURATION
U.S. Treasury 10
yr. Note 506 US$ 55,723 Dec-99 (448)
SPECIAL PURPOSE FIXED INCOME
U.S. Treasury
10 yr. Note 732 US$ 80,612 Dec-99 (482)
MUNICIPAL
U.S. Treasury
10 yr. Note 251 US$ 27,641 Dec-99 (222)
U.S. Treasury
Long Bond 140 US$ 15,951 Dec-99 70
GLOBAL FIXED INCOME
U.S. Treasury
Long Bond 20 US$ 2,279 Dec-99 12
U.S. Treasury 10
yr. Note 55 US$ 6,057 Dec-99 (41)
INTERNATIONAL FIXED INCOME
U.S. Treasury 10
yr. Note 3 US$ 330 Dec-99 (3)
</TABLE>
- --------------------------------------------------------------------------------
146
<PAGE> 148
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
INTERMEDIATE DURATION
U.S. Treasury
Long Bond 112 US$ 12,761 Dec-99 $58
U.S. Treasury 10
yr. Note 10 US$ 1,101 Dec-99 (2)
MULTI-MARKET
FIXED INCOME
U.K. Long Gilt 2 GBP 341 Dec-99 9
U.S. Treasury 10
yr. Note 13 US$ 1,432 Dec-99 (6)
BALANCED
U.S. Treasury 10
yr. Note 219 US$ 24,117 Dec-99 (184)
MULTI-ASSET CLASS
U.K. Long Gilt 2 GBP 341 Dec-99 8
U.S. Treasury 10
yr. Note 50 US$ 5,506 Dec-99 (44)
</TABLE>
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
5. SWAP AGREEMENTS: At September 30, 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
$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. $(2,593)
$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. (2,334)
$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. (570)
$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. (1,458)
$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. (2,479)
-----------
$(9,434)
-----------
DOMESTIC FIXED INCOME
$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. $(46)
</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. $(70)
-----------
$(116)
-----------
FIXED INCOME II
$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. $(218)
$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. (341)
-----------
$(559)
-----------
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. $(143)
$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. (107)
-----------
$(250)
-----------
SPECIAL PURPOSE FIXED INCOME
$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. $(305)
$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. (238)
-----------
$(543)
-----------
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. $(15)
</TABLE>
- --------------------------------------------------------------------------------
147
<PAGE> 149
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
- --------------------------------------------------------------------
<C> <S> <C>
$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. $(19)
-----------
$(34)
-----------
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. $(71)
$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. (117)
-----------
$(188)
-----------
MULTI-MARKET FIXED INCOME
$1,100 Agreement with Bankers Trust Company
terminating August 25, 2008 to pay 3
month LIBOR quarterly and to receive
fixed rate at 6.04% semiannually. $(50)
$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. (38)
-----------
$(88)
-----------
BALANCED
$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. $(112)
$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. (86)
-----------
$(198)
-----------
MULTI-ASSET-CLASS
$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. $(36)
$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. (25)
-----------
$(61)
-----------
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At Septem-
ber 30, 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 2007
--------- ------ ---- ------
<S> <C> <C> <C>
Fixed Income $ -- $ -- $2,005
Domestic Fixed Income -- -- 262
High Yield -- -- 908
Fixed Income II -- -- 1,082
Limited Duration 3,536 172 --
Special Purpose Fixed Income -- -- 1,135
Multi-Market Fixed Income -- -- 884
</TABLE>
I. POST OCTOBER LOSSES. Under current tax law, certain capital and net foreign
exchange losses realized after October 31 may be deferred and treated as
occurring on the first day of the following fiscal year. For the fiscal year
ended September 30, 1999, the following Portfolios may elect to defer capital
losses occurring between November 1, 1998 and September 30, 1999 up to the
following amounts:
<TABLE>
<CAPTION>
Portfolio (000)
--------- --------
<S> <C>
Fixed Income $118,950
Domestic Fixed Income 4,356
High Yield 12,272
Fixed Income II 8,540
Limited Duration 1,095
Special Purpose Fixed Income 11,977
Global Fixed Income 1,083
International Fixed Income 2,394
Intermediate Duration 2,270
Multi-Market Fixed Income 1,421
</TABLE>
J. IN-KIND TRANSACTIONS. For the year ended September 30, 1999, the following
Portfolios realized gains (losses) from in-kind redemptions of approximately:
<TABLE>
<CAPTION>
Portfolio (000)
--------- -------
<S> <C>
Value $ 990
Small Cap Value 12,990
Mid Cap Growth 40,948
Fixed Income (143)
International Fixed Income (640)
</TABLE>
K. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the year ended September 30,
1999,
- --------------------------------------------------------------------------------
148
<PAGE> 150
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
--------- ---------
<S> <C>
Value $152
Equity 137
Mid Cap Growth 487
Fixed Income 386
Domestic Fixed Income 15
Fixed Income II 38
Special Purpose Fixed Income 43
Balanced 52
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at September
30, 1999, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
--------- ---------- ----------
<S> <C> <C>
Value $117,726 $120,570
Equity 22,977 23,436
Fixed Income 72,770 74,206
Domestic Fixed Income 8,493 8,655
Fixed Income II 3,120 3,174
Special Purpose Fixed Income 4,567 4,679
Balanced 7,089 7,078
</TABLE>
The market value of the loaned securities is determined at the close of
business of the fund and any additional collateral is delivered to the fund on
the next business day.
Custodian fees appearing in the Statement of Operations have been adjusted to
include expense offsets for custodian balance credits and security lending fees
totaling $823,000 and $481,000 respectively, for the year ended September 30,
1999.
L. OTHER. At September 30, 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
September 30, 1999, approximately 64.7% 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>
<S> <C>
AMBAC 14.4 %
FGIC 14.3
FSA 21.9
MBIA 12.0
</TABLE>
At September 30, 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. 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 21.1% 57.8% 77.0%
Equity -- 100.0 89.1
Small Cap Value -- -- 75.6
Mid Cap Growth 35.4 -- 82.5
Mid Cap Value 24.7 42.2 86.6
Small Cap Growth 31.4 -- --
Fixed Income -- 38.9 71.2
Domestic Fixed Income 42.7 -- 99.7
High Yield -- 86.8 79.6
Cash Reserves 33.9 100.0 --
Fixed Income II 21.4 -- --
Limited Duration 35.9 -- --
Special Purpose Fixed
Income -- -- --
Municipal 24.7 -- --
Global Fixed Income 75.7 -- --
International Fixed
Income 53.5 -- --
Intermediate Duration 54.5 100.0 --
Multi-Market Fixed
Income 73.8 -- --
Balanced 47.4 100.0 93.7
Multi-Asset-Class 36.3 76.2 --
</TABLE>
M. REORGANIZATION. On July 20, 1998, MAS Mid Cap Value Fund and MAS Balanced
Fund (each an "Acquiring Fund"), acquired substantially all of the assets and
liabilities of Morgan Stanley Institutional Fund, Inc. ("MSIF") Small Cap Value
Equity Fund and MSIF Balanced Fund (each an "Acquired Fund"), respectively 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.
On December 4, 1998, the MAS Municipal Portfolio, as listed below ("Acquiring
Fund"), acquired substantially all of the assets and liabilities of the MAS PA
Municipal Portfolio, also listed below ("Acquired
- --------------------------------------------------------------------------------
149
<PAGE> 151
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 Net
Total 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>
PA
Municipal Municipal $22,605,495 $85,020,241 $107,625,736 $1,659,412
</TABLE>
N. ADDITIONAL INFORMATION: On January 20, 1999, the Trustees of MAS Funds
approved a proposal by the Fund's management to liquidate the Emerging Markets
Value and International Equity Portfolios effective March 26, 1999. On February
25, 1999, the Trustees of 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. MAS pays MSDW Advisors 40% of the fee it receives
from the Cash Reserves Portfolio as compensation for its sub-advisory services.
- --------------------------------------------------------------------------------
150
<PAGE> 152
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
MAS Funds
I
n our opinion, the accompanying statements of net assets (excluding Standard
& Poor's ratings) and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of each of the twenty (20) Portfolios of the MAS Funds
listed in the accompanying table of contents (hereafter referred to as the
"Fund") at September 30, 1999, the results of each of their operations, the
changes in each of their net assets and their financial highlights for each of
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 19, 1999
- --------------------------------------------------------------------------------
151
<PAGE> 153
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION: (UNAUDITED)
Each Portfolio hereby designates the following amount as long-term capital gain
dividends for the purpose of the dividend paid deduction on its federal income
tax return.
<TABLE>
<CAPTION>
LONG-TERM
CAPITAL GAINS -- 20%
FUND (000)
- ------------------------------------------------------------ --------------------
<S> <C>
Value $372,656
Equity 199,635
Small Cap Value 79,729
Mid Cap Growth 87,080
Mid Cap Value 14,842
Fixed Income 29,806
Domestic Fixed Income 1,042
High Yield 9,414
Fixed Income II 3,266
Special Purpose Fixed Income 7,235
Global Fixed Income 318
International Fixed Income 1,348
Intermediate Duration 645
Balanced 33,465
Multi-Asset-Class 13,334
</TABLE>
For the year ended September 30, 1999, the percentage of dividends that qualify
for the 70% dividend received deduction for corporate shareholders for each
Portfolio were:
<TABLE>
<CAPTION>
PORTFOLIO AMOUNT
- ------------------------------------------------------------ --------
<S> <C>
Value 74.2%
Equity 27.9
Small Cap Value 15.8
Mid Cap Growth 5.1
Mid Cap Value 12.3
High Yield 0.8
Limited Duration 0.1
Balanced 11.3
Multi-Asset-Class 9.5
</TABLE>
Foreign taxes accrued during the fiscal year ended September 30, 1999 amounting
to $43,000 for the International Fixed Income Portfolio is expected to be passed
through to shareholders as foreign tax credits on Form 1099-DIV for the year
ending December 31, 1999. In addition, for the year ended September 30, 1999,
gross income derived from sources within foreign countries amounted to
$6,513,000 for the International Fixed Income Portfolio.
For the fiscal year ended September 30, 1999*, the percentage of exempt interest
dividends paid by the Municipal Portfolio was 87.9%.
For the year ended September 30, 1999*, the percentage of income earned from
direct U.S. treasury obligations was as follows:
<TABLE>
<CAPTION>
INCOME
FUND EARNED
- ------------------------------------------------------------ --------
<S> <C>
Fixed Income 18.7%
Domestic Fixed Income 20.6
Cash Reserves 11.6
Fixed Income II 20.3
Limited Duration 19.5
Special Purpose Fixed Income 16.4
Global Fixed Income 20.0
International Fixed Income 14.4
Intermediate Duration 18.7
Multi-Market Fixed Income 17.0
Balanced 25.6
Multi-Asset-Class 15.1
</TABLE>
* Amounts for the period ending December 31, 1999 will be provided with Form
1099-DIV to be mailed in January 2000.
- --------------------------------------------------------------------------------
152
<PAGE> 154
- --------------------------------------------------------------------------------
SHAREHOLDER MEETING: (UNAUDITED)
At a shareholder meeting held on September 16, 1999, the shareholders of the MAS
Funds High Yield Portfolio approved an amendment to the investment advisory
agreement between the Fund and Miller Anderson & Sherrerd LLP to increase the
investment advisory fee for the High Yield Portfolio to 0.450%. The results of
the voting were as follows:
<TABLE>
<CAPTION>
VOTED VOTED ABSTAIN
FOR AGAINST VOTES
---------- ---------- ---------
<S> <C> <C>
57,909,390 15,235,331 7,268,426
</TABLE>
- --------------------------------------------------------------------------------
153
<PAGE> 155
MAS FUNDS TRUSTEES AND OFFICERS
- --------------------------------------------------------------------------------
The following is a list of the Trustees and the principal executive officers of
the Fund as well as a brief statement of their present positions and principal
occupations:
THOMAS L. BENNETT, CFA*
Chairman of the Board of Trustees; Managing Director, Morgan Stanley Dean Witter
& Co.; Member of the Morgan Stanley Dean Witter Investment Management Executive
Committee; Portfolio Manager and Head of Fixed Income Investment Team, Miller
Anderson & Sherrerd, LLP; Trustee, Haverford School.
THOMAS P. GERRITY
Trustee; Professor of Management, Director of the Electronic Commerce Forum, and
formerly Dean, Wharton School of Business, University of Pennsylvania; Director,
Sunoco; Fannie Mae; Reliance Group Holdings; CVS Corporation; IKON Office
Solutions, Inc.; Knight-Ridder, Inc.; Firserv; Internet Capital Group; formerly
Director, Digital Equipment Corporation and 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.
LORRAINE TRUTEN, CFA
President, MAS Funds; Principal, Morgan Stanley Dean Witter & Co.; Head of
Mutual Fund Services, Miller Anderson & Sherrerd, LLP; President, MAS Fund
Distribution, Inc.
JAMES A. GALLO
Vice President and Treasurer, MAS Funds; Head of Fund Administration, Miller
Anderson & Sherrerd, LLP; Vice President, Morgan Stanley Dean Witter & Co.;
formerly Vice President and Director of Investment Accounting, PFPC, Inc.
JOSEPH J. KEARNS
Trustee; Investment Consultant; Director, Electro Rent Corporation; Trustee,
Southern California Edison Nuclear Decommissioning Trust; Director The Ford
Family Foundation; formerly, CFO of The J. Paul Getty Trust.
VINCENT R. MCLEAN
Trustee; Director, Legal and General America, Inc.; Director, Banner Life
Insurance Co.; 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, CitiFunds,
CitiSelect Folios and related portfolios; formerly Senior Vice President and
Investment Manager for CREF, TIAA-CREF Investment Management, Inc.; Director,
The Indonesia Fund and the Landmark Funds; Director, Ministers and Missionaries
Benefit Board of American Baptist Churches.
RICHARD J. SHOCH
Secretary, MAS Funds; Fund Administration Manager, Miller Anderson & Sherrerd,
LLP; Vice President, Morgan Stanley Dean Witter & Co.; formerly 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.
This report should be preceded or accompanied by a prospectus.
MAS Fund Distribution, Inc. serves as General Distribution Agent for MAS Funds.
Date of first use: November, 1999
- --------------------------------------------------------------------------------
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