<PAGE> 1
[MSDW LETTERHEAD]
2000 Semi-Annual Report
Financial Statements
[MAS LOGO]
<PAGE> 2
MAS Funds is pleased to present the Semi-Annual Report for the Portfolios as of
March 31, 2000. Please call your client 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......................... 4
Small Cap Value Portfolio................ 7
Mid Cap Growth Portfolio................. 11
Mid Cap Value Portfolio.................. 14
Small Cap Growth Portfolio............... 18
Fixed Income Portfolio................... 21
Domestic Fixed Income Portfolio.......... 31
High Yield Portfolio..................... 39
Cash Reserves Portfolio.................. 46
Fixed Income II Portfolio................ 49
Limited Duration Portfolio............... 57
Special Purpose Fixed Income Portfolio... 63
Municipal Portfolio...................... 71
Global Fixed Income Portfolio............ 79
International Fixed Income Portfolio..... 83
Intermediate Duration Portfolio.......... 86
Multi-Market Fixed Income Portfolio...... 93
Balanced Portfolio....................... 102
Multi-Asset-Class Portfolio.............. 112
Statement of Operations..................... 125
Statement of Changes in Net Assets.......... 130
Financial Highlights........................ 137
Notes to Financial Statements............... 155
</TABLE>
THIS SEMI-ANNUAL REPORT CONTAINS CERTAIN INVESTMENT RETURN INFORMATION. PAST
PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS AND THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES,
WHEN REDEEMED, MAY BE WORTH EITHER MORE OR LESS THAN THEIR ORIGINAL COST.
THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED TO OTHERS
ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE> 3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Value Portfolio combines Miller Anderson & Sherrerd's disciplined valuation
process with the judgment gained through considerable experience in low P/E
investing, emphasizing large capitalization stocks from all market sectors. MAS
considers a company's intrinsic worth, projected earnings and other measures to
help determine if its current price makes it a strong candidate for value
investing. MAS also employs a formal sell discipline. Individual positions are
sold when price appreciation or earnings-per-share deterioration raises the
current P/E ratio.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS VALUE
---------------------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 3.12% 3.00% 2.89% 17.51%
ONE YEAR (0.08) (0.20) (0.37) 17.94
FIVE YEARS 13.49 13.35 13.27 26.76
TEN YEARS 14.19 14.12 14.08 18.84
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/6/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
7/17/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (98.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (12.8%)
Bank of America Corp. 302,200 $ 15,847
Bank One Corp. 273,900 9,415
Chase Manhattan Corp. 408,306 35,599
First Union Corp. 179,613 6,691
FleetBoston Financial Corp. 423,958 15,474
PNC Bank Corp. 364,200 16,412
Washington Mutual, Inc. 870,300 23,063
- -----------------------------------------------------
GROUP TOTAL 122,501
- -----------------------------------------------------
BASIC RESOURCES (5.9%)
Engelhard Corp. 685,300 10,365
IMC Global, Inc. 539,994 7,931
International Paper Co. 102,600 4,386
Lubrizol Corp. 531,500 15,314
Solutia, Inc. 436,600 5,839
* W.R. Grace & Co. 599,700 7,609
Weyerhaeuser Co. 80,100 4,566
- -----------------------------------------------------
GROUP TOTAL 56,010
- -----------------------------------------------------
CONSUMER DURABLES (12.2%)
Black & Decker Corp. 173,600 6,521
Dana Corp. 353,251 9,957
Ford Motor Co. 487,630 22,400
General Motors Corp. 400,309 33,151
Owens Corning 1,182,341 22,908
Whirlpool Corp. 369,700 21,674
- -----------------------------------------------------
GROUP TOTAL 116,611
- -----------------------------------------------------
CREDIT & FINANCE/
INVESTMENT COMPANIES (3.0%)
Associates First Capital Corp. 219,000 4,695
Citigroup, Inc. 169,800 10,071
Federal Home Loan Mortgage
Corp. 102,000 4,507
Federal National Mortgage
Association 80,900 4,566
Household International, Inc. 133,000 4,962
- -----------------------------------------------------
GROUP TOTAL 28,801
- -----------------------------------------------------
ENERGY (2.7%)
Tosco Corp. 139,100 4,234
Ultramar Diamond Shamrock
Corp. 462,790 11,743
USX-Marathon Group, Inc. 392,500 10,230
- -----------------------------------------------------
GROUP TOTAL 26,207
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (2.2%)
IBP, Inc. 249,103 3,923
Nabisco Group Holdings Corp. 666,290 7,996
Universal Foods Corp. 432,794 9,251
- -----------------------------------------------------
GROUP TOTAL 21,170
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
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1
<PAGE> 4
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
HEALTH CARE (12.7%)
Aetna, Inc. 154,200 $ 8,587
Beckman Coulter, Inc. 223,299 14,333
Columbia/HCA Healthcare Corp. 268,561 6,798
* Foundation Health Systems,
Inc., Class A 1,741,284 13,930
* HEALTHSOUTH Corp. 6,052,400 33,667
*@ LifePoint Hospitals, Inc. 1 --
Tenet Healthcare Corp. 1,283,100 29,511
*@ Triad Hospitals, Inc. 1 --
United HealthCare Corp. 162,000 9,659
* Wellpoint Health Networks,
Inc. 68,400 4,780
- -----------------------------------------------------
GROUP TOTAL 121,265
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (17.0%)
* AMR Corp. 320,380 10,212
Burlington Northern Santa Fe,
Inc. 173,900 3,847
CNF Transportation, Inc. 279,700 7,762
Cooper Industries, Inc. 423,000 14,805
Cummins Engine Co., Inc. 565,586 21,245
Delta Air Lines, Inc. 378,400 20,150
Eaton Corp. 190,102 14,828
* FMC Corp. 199,065 11,247
Honeywell International, Inc. 178,800 9,420
* Navistar International Corp. 203,500 8,165
Parker-Hannifin Corp. 353,037 14,585
Tecumseh Products Co., Class A 260,676 11,470
TRW, Inc. 157,618 9,221
Waste Management, Inc. 389,200 5,327
- -----------------------------------------------------
GROUP TOTAL 162,284
- -----------------------------------------------------
INSURANCE (6.0%)
Ace Ltd. 532,600 12,184
Allstate Corp. 379,640 9,040
American General Corp. 102,755 5,767
Everest Reinsurance Holdings,
Inc. 250,091 8,159
Hartford Financial Services
Group, Inc. 224,606 11,848
ReliaStar Financial Corp. 316,580 10,724
- -----------------------------------------------------
GROUP TOTAL 57,722
- -----------------------------------------------------
RESTAURANTS (0.9%)
* Tricon Global Restaurants,
Inc. 275,200 8,548
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
RETAIL (6.4%)
* Jones Apparel Group, Inc. 182,400 $ 5,814
Liz Claiborne, Inc. 784,600 35,944
* Toys 'R' Us, Inc. 524,851 7,774
V.F. Corp. 489,006 11,767
- -----------------------------------------------------
GROUP TOTAL 61,299
- -----------------------------------------------------
TECHNOLOGY (10.2%)
* Arrow Electronics, Inc. 518,700 18,284
Avnet, Inc. 223,500 14,081
First Data Corp. 492,200 21,780
International Business
Machines Corp. 52,788 6,229
* Quantum Corp.-DLT & Storage
Systems 1,884,600 22,498
Sabre Group Holdings, Inc. 231,481 8,550
Xerox Corp. 223,400 5,808
- -----------------------------------------------------
GROUP TOTAL 97,230
- -----------------------------------------------------
UTILITIES (6.7%)
Bell Atlantic Corp. 286,100 17,488
Coastal Corp. 158,800 7,305
Duke Energy Corp. 71,022 3,729
GTE Corp. 161,900 11,495
SBC Communications, Inc. 575,200 24,158
- -----------------------------------------------------
GROUP TOTAL 64,175
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $933,313) 943,823
- -----------------------------------------------------
CASH EQUIVALENT (1.6%)
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
REPURCHASE AGREEMENT (1.6%)
Chase Securities, Inc., 6.05%,
dated 3/31/00, due 4/3/00,
to be repurchased at
$14,719, collateralized by
various U.S. Government
Obligations, due
4/3/00-11/15/02, valued at
$14,859 (Cost $14,712) $ 14,712 14,712
- -----------------------------------------------------
TOTAL INVESTMENTS (100.3%) (Cost
$948,025) 958,535
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (-0.3%)
Dividends Receivable $ 1,193
Interest Receivable 2
Receivable for Investments Sold 18,919
Receivable for Fund Shares Sold 2,876
Investments Held as Collateral for Loaned
Securities 25,692
Other Assets 234
Payable for Investments Purchased (10,006)
Payable for Fund Shares Redeemed (13,963)
Payable for Investment Advisory Fees (1,207)
Payable for Administrative Fees (60)
Payable for Distribution Fees-Adviser
Class (39)
Payable for Shareholder Servicing
Fees-Investment Class (2)
Payable for Trustees' Deferred
Compensation Plan-Note F (211)
Collateral on Securities Loaned, at Value (25,692)
Other Liabilities (171)
----------
(2,435)
- -----------------------------------------------------
NET ASSETS (100%) $ 956,100
- -----------------------------------------------------
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 60,972,368 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 741,992
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.17
- -----------------------------------------------------
</TABLE>
<TABLE>
- -----------------------------------------------------
<CAPTION>
VALUE
(000)!
<S> <C> <C>
INVESTMENT CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 599,393 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 7,289
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.16
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 17,027,876 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 206,819
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.15
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,056,765
Undistributed Net Investment Income
(Loss) 3,505
Undistributed Realized Net Gain (Loss) (114,680)
Unrealized Appreciation (Depreciation) on
Investment Securities 10,510
- -----------------------------------------------------
NET ASSETS $ 956,100
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Equity Portfolio is Miller Anderson & Sherrerd's core-strategy common stock
fund, investing mostly in stocks of large companies. MAS employs strategic
economic and market analyses and disciplined valuation methodologies to identify
the best individual stocks. Strategic over- and under-weightings are managed to
maintain a portfolio that is well diversified among industry sectors.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS EQUITY
---------------------------------------
INSTITUTIONAL# INVESTMENT< ADVISER@ S&P 500 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 26.59% 26.47% 26.44% 17.51%
ONE YEAR 26.82 26.58 26.49 17.94
FIVE YEARS 24.75 24.57 24.61 26.76
TEN YEARS 18.52 18.43 18.45 18.84
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/16/98. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class. It is expected that, over time, returns for the
Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Investment Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such reimbursements,
total returns would have been lower.
* Total returns are compared to the S&P 500 Index, an unmanaged market index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (99.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (2.5%)
Bank of New York Co. 200,100 $ 8,317
Chase Manhattan Corp. 73,000 6,365
FleetBoston Financial Corp. 64,616 2,358
Wells Fargo Co. 41,500 1,699
- ----------------------------------------------------
GROUP TOTAL 18,739
- ----------------------------------------------------
BASIC RESOURCES (2.0%)
E.I. DuPont de Nemours & Co. 134,500 7,112
Reynolds Metals Co. 23,800 1,592
Rohm & Haas Co. 41,400 1,847
* W.R. Grace & Co. 322,600 4,093
- ----------------------------------------------------
GROUP TOTAL 14,644
- ----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (3.2%)
Anheuser-Busch Cos., Inc. 98,900 6,156
Avon Products, Inc. 162,600 4,726
Coca-Cola Co. 111,500 5,234
Kimberly-Clark Corp. 85,000 4,760
Procter & Gamble Co. 50,400 2,835
- ----------------------------------------------------
GROUP TOTAL 23,711
- ----------------------------------------------------
CONSUMER DURABLES (0.8%)
Ford Motor Co. 67,300 3,092
General Motors Corp. 36,317 3,007
- ----------------------------------------------------
GROUP TOTAL 6,099
- ----------------------------------------------------
CONSUMER SERVICES (6.4%)
* America Online, Inc. 230,400 15,495
* AT&T Corp.-Liberty Media
Group, Class A 89,050 5,276
* Clear Channel Communications,
Inc. 54,000 3,729
* Comcast Corp., Class A Special 142,700 6,190
* Liberty Digital, Inc., Class A 42,500 1,636
News Corp., Ltd. ADR 75,900 3,624
* Sirius Satellite Radio, Inc. 19,000 1,083
Time Warner, Inc. 50,402 5,040
* Univision Communications,
Inc., Class A 37,100 4,192
* Yahoo!, Inc. 11,500 1,971
- ----------------------------------------------------
GROUP TOTAL 48,236
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (5.5%)
American Express Co. 15,200 2,264
* Ameritrade Holding Corp. 59,000 1,233
Capital One Financial Corp. 65,600 3,145
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
4
<PAGE> 7
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Citigroup, Inc. 251,125 $ 14,895
Federal Home Loan Mortgage Corp. 112,600 4,975
Kansas City Southern Industries,
Inc. 17,000 1,461
Lehman Brothers Holdings, Inc. 22,400 2,173
Merrill Lynch & Co., Inc. 36,200 3,801
* S1 Corp. 88,000 7,540
- ----------------------------------------------------
GROUP TOTAL 41,487
- ----------------------------------------------------
ENERGY (7.3%)
Chevron Corp. 30,600 2,828
Exxon Mobil Corp. 129,200 10,053
* Global Marine, Inc. 178,300 4,524
Halliburton Co. 141,600 5,806
* Nabors Industries, Inc. 150,800 5,853
* Noble Drilling Corp. 52,000 2,155
* R & B Falcon Corp. 285,600 5,623
Royal Dutch Petroleum Co., NY
Shares 137,600 7,921
Santa Fe International Corp. 98,400 3,641
* Smith International, Inc. 75,200 5,828
- ----------------------------------------------------
GROUP TOTAL 54,232
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (0.5%)
General Mills, Inc. 111,500 4,035
- ----------------------------------------------------
HEALTH CARE (9.1%)
American Home Products Corp. 37,300 2,000
* Amgen, Inc. 29,900 1,835
Baxter International, Inc. 86,300 5,410
Bristol-Myers Squibb Co. 87,644 5,061
Columbia/HCA Healthcare Corp. 242,200 6,131
* Edwards Lifesciences Corp 17,260 234
Eli Lilly & Co. 65,000 4,095
Genentech, Inc. 10,100 1,535
* Guidant Corp. 77,000 4,529
Johnson & Johnson 76,500 5,360
Medtronics, Inc. 78,700 4,048
Merck & Co., Inc. 79,700 4,951
Pfizer, Inc. 91,900 3,360
Schering Plough Corp. 80,900 2,973
* Tenet Healthcare Corp. 210,900 4,851
Warner Lambert Co. 117,000 11,408
- ----------------------------------------------------
GROUP TOTAL 67,781
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.1%)
Caterpillar, Inc. 193,700 7,639
Deere & Co. 2,700 103
Dover Corp. 178,200 8,531
General Electric Co. 186,100 28,880
Honeywell International, Inc. 199,987 10,537
@ Kennametal, Inc. 1 --
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
Minnesota Mining & Manufacturing
Co. 66,700 $ 5,907
Tyco International Ltd. 280,500 13,990
- ----------------------------------------------------
GROUP TOTAL 75,587
- ----------------------------------------------------
INSURANCE (2.9%)
American International Group,
Inc. 88,600 9,702
Marsh & McLennan Cos, Inc. 67,900 7,490
ReliaStar Financial Corp. 75 3
XL Capital Ltd., Class A 84,900 4,701
- ----------------------------------------------------
GROUP TOTAL 21,896
- ----------------------------------------------------
RETAIL (5.7%)
Circuit City Stores, Inc. 91,800 5,588
* Costco Wholesale Corp. 164,700 8,657
Gap, Inc. 83,700 4,169
Home Depot, Inc. 138,600 8,940
Target Corp. 28,400 2,123
Wal-Mart Stores, Inc. 233,800 12,976
- ----------------------------------------------------
GROUP TOTAL 42,453
- ----------------------------------------------------
TECHNOLOGY (34.3%)
* Analog Devices, Inc. 52,800 4,254
* Applied Material, Inc. 27,000 2,545
* Celestica, Inc. 136,400 7,238
* Cisco Systems, Inc. 441,200 34,110
* Citrix Systems, Inc. 26,400 1,749
Compaq Computer Corp. 121,600 3,238
Computer Associates
International, Inc. 93,100 5,510
Corning, Inc. 24,100 4,675
* Dell Computer Corp. 247,300 13,339
Electronic Data Systems Corp. 88,100 5,655
* EMC Corp. 72,900 9,112
Hewlett Packard Co. 37 5
Intel Corp. 224,300 29,594
International Business Machines
Corp. 32,700 3,859
* JDS Uniphase Corp. 27,400 3,303
* LSI Logic Corp. 38,300 2,782
Lucent Technologies, Inc. 88,400 5,370
* Microsoft Corp. 286,000 30,387
Motorola, Inc. 108,725 15,480
* National Semiconductor Corp. 42,400 2,570
Nortel Networks Corp. 107,700 13,570
* Oracle Systems Corp. 214,300 16,729
* Priceline.com, Inc. 24,100 1,868
* Qualcomm, Inc. 72,300 10,795
* Solectron Corp. 39,400 1,578
* Sun Microsystems, Inc. 140,900 13,203
Texas Instruments, Inc. 68,300 10,928
* VERITAS Software Corp. 10,700 1,402
* Xilinx, Inc. 27,800 2,302
- ----------------------------------------------------
GROUP TOTAL 257,150
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
EQUITY
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
UTILITIES (9.1%)
AT&T Corp. 120,412 $ 6,773
Coastal Corp. 71,900 3,307
* Global Crossing Ltd. 116,200 4,757
* MCI WorldCom, Inc. 220,425 9,988
* MediaOne Group, Inc. 85,700 6,942
* Qwest Communications
International, Inc. 89,100 4,321
SBC Communications, Inc. 262,773 11,036
Sprint Corp. (FON Group) 133,200 8,392
* Sprint Corp. (PCS Group) 67,800 4,428
Vodafone AirTouch plc ADR 149,250 8,293
- ----------------------------------------------------
GROUP TOTAL 68,237
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $543,509) 744,287
- ----------------------------------------------------
CASH EQUIVALENT (1.8%)
- ----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C>
REPURCHASE AGREEMENT (1.8%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to
be repurchased at $13,836,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$13,967 (Cost $13,829) $ 13,829 13,829
- ----------------------------------------------------
TOTAL INVESTMENTS (101.2%) (Cost $557,338) 758,116
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.2%)
Cash 257
Dividends Receivable 246
Interest Receivable 2
Receivable for Investments Sold 22,539
Receivable for Fund Shares Sold 1,053
Investments Held as Collateral for Loaned
Securities 20,780
Other Assets 115
Payable for Investments Purchased (26,908)
Payable for Fund Shares Redeemed (5,404)
Payable for Investment Advisory Fees (884)
Payable for Administrative Fees (48)
Payable for Trustees' Deferred
Compensation Plan-Note F (105)
Payable for Distribution Fees-Adviser
Class (1)
Collateral on Securities Loaned, at Value (20,780)
Other Liabilities (56)
--------
(9,194)
- ----------------------------------------------------
NET ASSETS (100%) $748,922
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 40,743,408 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $744,282
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.27
- ----------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 61,781 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,128
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.26
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 192,632 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 3,512
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 18.23
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $498,064
Undistributed Net Investment Income (Loss) 211
Undistributed Realized Net Gain (Loss) 49,869
Unrealized Appreciation (Depreciation) on
Investment Securities 200,778
- ----------------------------------------------------
NET ASSETS $748,922
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Value Portfolio applies Miller Anderson & Sherrerd's value
investing strategy to small- and medium-sized companies, combining MAS's
disciplined valuation process with the judgment gained through considerable
experience in low P/E investing. The Portfolio generally keeps sector weights
within 5 percentage points of the sector weights of the Russell 2000 Index, with
strategic over- and underweightings assigned to different economic sectors and
industries.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS SMALL CAP VALUE
------------------------- RUSSELL 2000
INSTITUTIONAL# ADVISER@ INDEX
----------------------------------------
<S> <C> <C> <C>
SIX MONTHS 34.85% 34.73% 26.84%
ONE YEAR 50.26 50.22 37.29
FIVE YEARS 24.52 24.49 17.24
TEN YEARS 20.29 20.28 14.44
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Generally speaking, small-capitalization stock prices
experience a greater degree of market volatility than those of
large-capitalization companies.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
1/22/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
* Total returns are compared to the Russell 2000 Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (91.0%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (4.1%)
Bank United Corp., Class A 312,200 $ 9,854
* Checkfree Holdings Corp. 63,700 4,491
Hudson United Bancorp 495,228 10,740
* Imperial Bancorp, Inc. 267,556 8,294
Investors Financial Services
Corp. 116,100 6,835
Mercantile Bankshares Corp. 499 15
* Silicon Valley plc 105,100 7,554
TCF Financial Corp. 418,200 9,959
- -----------------------------------------------------
GROUP TOTAL 57,742
- -----------------------------------------------------
BASIC RESOURCES (5.1%)
Agnico-Eagle Mines Ltd. 1,312,300 7,300
Boise Cascade Corp. 125,500 4,361
Equitable Resources, Inc. 98,700 4,423
* Freeport-McMoRan Copper &
Gold, Inc., Class B 699,800 8,441
* Gaylord Container Corp.,
Class A 610,300 3,891
* Lone Star Technologies, Inc. 231,000 10,770
Lubrizol Corp. 101,400 2,922
* Steel Dynamics, Inc. 173,000 2,000
* Stillwater Mining Co. 150,950 6,038
Wellman, Inc. 548,000 10,857
Westvaco Corp. 149,300 4,983
* W.R. Grace & Co. 440,900 5,594
- -----------------------------------------------------
GROUP TOTAL 71,580
- -----------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (0.2%)
* Beringer Wine Estates
Holdings, Inc., Class B 97,200 3,487
- -----------------------------------------------------
CONSUMER DURABLES (3.5%)
Callaway Golf Co. 729,700 11,310
D.R. Horton, Inc. 223,600 2,921
Fastenal Co. 169,700 8,125
* Furniture Brands
International, Inc. 132,100 2,485
* JAKKS Pacific, Inc. 113,500 2,447
* Lear Corp. 279,000 7,847
* NVR, Inc. 36,500 1,971
* Toll Brothers, Inc. 92,100 1,842
* Tower Automotive, Inc. 625,600 10,244
- -----------------------------------------------------
GROUP TOTAL 49,192
- -----------------------------------------------------
CONSUMER SERVICES (4.0%)
* Bally Total Fitness Holding
Corp. 674,300 16,520
* Convergys Corp. 149,100 5,759
* Corinthian Colleges, Inc. 38,400 614
FelCor Lodging Trust, Inc.
REIT 131,000 2,317
* Hall Kinion & Associates,
Inc. 58,500 1,408
* Lightspan Partnership, Inc. 155,800 2,766
* Snyder Communications, Inc. 118,900 2,675
True North Communications,
Inc. 67,800 2,665
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
7
<PAGE> 10
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Valassis Communications,
Inc. 109,350 $ 3,643
* ValueVision International,
Inc., Class A 224,300 9,280
* VerticalNet, Inc. 17,800 2,421
* Wireless Facilities, Inc. 53,900 5,673
- -----------------------------------------------------
GROUP TOTAL 55,741
- -----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (4.8%)
Eaton Vance Corp. 143,100 6,144
Edwards (A.G.), Inc. 218,300 8,732
Heller Financial, Inc. 247,400 5,721
* Knight/Trimark Group, Inc.,
Class A 243,300 12,408
Legg Mason, Inc. 185,700 8,032
* LendingTree, Inc. 67,400 910
Price (T. Rowe) Associates,
Inc. 170,900 6,751
Radian Group, Inc. 273,000 13,002
* S1 Corp. 77,600 6,649
- -----------------------------------------------------
GROUP TOTAL 68,349
- -----------------------------------------------------
ENERGY (7.0%)
* BJ Services Co. 134,600 9,944
ENSCO International, Inc. 279,000 10,079
Global Industries Ltd. 459,300 6,717
* Global Marine, Inc. 460,000 11,673
* Nabors Industries, Inc. 214,300 8,318
* National-Oilwell, Inc. 141,000 4,353
* Ocean Energy, Inc. 374,564 5,384
* Patterson Energy, Inc. 240,000 7,620
* Precision Drilling Corp. 239,400 7,990
* R & B Falcon Corp. 235,800 4,642
* Rowan Cos., Inc. 209,900 6,179
* Smith International, Inc. 76,800 5,952
Tosco Corp. 143,700 4,374
Valero Energy Corp. 163,300 5,001
- -----------------------------------------------------
GROUP TOTAL 98,226
- -----------------------------------------------------
FOOD, TOBACCO & OTHER (1.7%)
Earthgrains Co. 155,400 2,312
* 800-JR Cigar, Inc. 198,500 1,935
* Fresh Del Monte Produce,
Inc. 456,600 3,881
* General Cigar Holdings, Inc. 285,800 4,323
* NBTY, Inc. 871,800 11,933
- -----------------------------------------------------
GROUP TOTAL 24,384
- -----------------------------------------------------
HEALTH CARE (10.6%)
* Affymetrix, Inc. 21,300 3,162
Alpharma, Inc., Class A 176,500 6,486
* Apria Healthcare Group, Inc. 200,300 2,892
* Celgene Corp. 97,800 9,737
* Cell Pathways, Inc. 377,700 12,983
* Cephalon, Inc. 98,400 3,690
* ChromaVision Medical
Systems, Inc. 252,760 3,855
* COR Therapeutics, Inc. 74,100 4,885
* Endocare, Inc. 240,500 4,600
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Gilead Sciences, Inc. 61,600 $ 3,904
* Guilford Pharmaceuticals,
Inc. 163,800 3,808
* Health Management
Associates, Inc., Class A 239,100 3,407
* HealthExtras, Inc. 4,900 22
* Human Genome Sciences, Inc. 30,600 2,542
* IDEC Pharmaceuticals Corp. 76,200 7,487
* ImClone Systems, Inc. 45,600 3,505
* Innerdyne, Inc. 306,000 1,874
* Intermune Pharmaceuticals,
Inc. 206,000 4,107
* King Pharmaceuticals, Inc. 137,900 4,344
* Maxim Pharmaceuticals, Inc. 58,000 2,722
* MGI Pharma, Inc. 105,000 4,233
* Millennium Pharmaceuticals,
Inc. 26,400 3,429
* Neopharm, Inc. 139,300 3,483
* Oxford Health Plans, Inc. 207,100 3,158
PerkinElmer, Inc. 64,600 4,296
* Quest Diagnostics, Inc. 63,600 2,528
* Sybron International Corp. 459,500 13,325
Teva Pharmaceutical Industries
Ltd. ADR 227,100 8,474
* Transkaryotic Therapies,
Inc. 75,000 4,172
* Trigon Healthcare, Inc. 235,600 8,423
* Universal Health Services,
Inc., Class B 88,500 4,336
- -----------------------------------------------------
GROUP TOTAL 149,869
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (6.6%)
Applied Power, Inc. 18,700 533
Astec Industries, Inc. 20,300 539
* AVT Corp. 277,600 3,279
* Black Box Corp. 17,500 1,212
CNH Global N.V. 91,600 905
* Dycom Industries, Inc. 84,700 4,129
* Interim Services, Inc. 295,100 5,478
ITT Industries, Inc. 20,400 634
* Litton Industries, Inc. 230,000 10,163
Manitowoc Co., Inc. 150,900 4,084
Martin Marietta Materials,
Inc. 139,600 6,631
* Midwest Express Holdings,
Inc. 140,800 3,608
* Modis Professional Services,
Inc. 494,500 6,119
Newport News Shipbuilding,
Inc. 147,200 4,453
Oshkosh Truck Corp. 135,100 4,196
Precision Castparts Corp. 53,700 1,960
Robbins & Myers, Inc. 126,800 2,996
Skywest, Inc. 186,200 7,285
Stewart & Stevenson Services,
Inc. 89,700 1,009
* Three-Five Systems, Inc. 72,200 4,332
* Titan Corp. 170,200 8,680
Wabash National Corp. 487,100 6,789
Werner Enterprises, Inc. 212,725 3,616
- -----------------------------------------------------
GROUP TOTAL 92,630
- -----------------------------------------------------
INSURANCE (2.3%)
Allmerica Financial Corp. 83,400 4,254
Annuity and Life RE Holdings
Ltd. 62,900 1,635
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8
<PAGE> 11
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
Everest Reinsurance Holdings,
Inc. 412,600 $ 13,461
* InsWeb Corp. 167,900 1,616
ReliaStar Financial Corp. 350,500 11,873
- -----------------------------------------------------
GROUP TOTAL 32,839
- -----------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (2.3%)
AMB Property Corp. 327,000 7,030
Camden Property Trust 107,400 2,907
CarrAmerica Realty Corp. 68,100 1,439
Chateau Communities, Inc. 79,408 2,025
Cousins Properties, Inc. 44,600 1,642
Duke Realty Investments, Inc. 328,066 6,274
Health Care REIT, Inc. 226,626 3,173
Home Properties of N.Y., Inc. 111,622 2,986
Post Properties, Inc. 119,200 4,805
- -----------------------------------------------------
GROUP TOTAL 32,281
- -----------------------------------------------------
RETAIL (3.6%)
* BJ's Wholesale Club, Inc. 109,600 4,233
* Borders Group, Inc. 256,700 4,412
* Brinker International, Inc. 109,300 3,245
Darden Restaurants, Inc. 243,700 4,341
* Dress Barn (The), Inc. 65,900 1,269
* Electronics Boutique
Holdings Corp. 95,300 1,823
* Global Sports, Inc. 314,800 5,863
* Michaels Stores, Inc. 60,600 2,469
* Sunglass Hut International,
Inc. 1,013,500 7,918
* Zale Corp. 316,600 14,939
- -----------------------------------------------------
GROUP TOTAL 50,512
- -----------------------------------------------------
TECHNOLOGY (29.3%)
* Actel Corp. 148,800 5,310
* Active Software, Inc. 9,500 604
* Advanced Digital Information
Corp. 96,000 3,288
* Advanced Fibre
Communications, Inc. 76,200 4,777
* Advanced Radio Telecom Corp. 152,500 5,052
* Aetrium, Inc. 148,200 1,482
* Amkor Technologies, Inc. 93,500 4,961
* Ancor Communications, Inc. 149,000 6,128
* Andrew Corp. 114,700 2,624
* AnswerThink Consulting
Group, Inc. 35,100 858
* Applied Digital Solutions,
Inc. 144,900 1,268
* Applied Science and
Technology, Inc. 71,000 2,148
* AppliedTheory Corp. 152,800 3,190
* Aspect Development, Inc. 48,700 3,135
Belden, Inc. 116,100 3,193
* Blue Wave Systems, Inc. 172,500 2,760
* Brio Technology, Inc. 155,800 5,881
* BroadVision, Inc. 81,400 3,653
* Cherry Corp. (The) 142,300 2,161
* Clarus Corp. 48,100 3,397
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Coherent, Inc. 25,500 $ 1,326
Cohu, Inc. 103,700 4,323
* Complete Business Solutions,
Inc. 117,700 2,633
* Computer Network Technology
Corp. 239,800 4,196
* Credence Systems Corp. 30,500 3,816
* Cypress Semiconductor Corp. 114,100 5,627
* Digital Microwave Corp. 663,400 22,473
* Documentum, Inc. 56,200 4,384
* Efficient Networks, Inc. 39,100 6,090
* Electro Scientific
Industries, Inc. 69,400 4,025
* Entrust Technologies, Inc. 136,700 11,630
* Exar Corp. 116,550 8,341
* Fairchild Semiconductor
Corp., Class A 208,200 7,599
* FileNET Corp. 125,700 3,740
* GaSonics International Corp. 267,800 10,620
* GenRad, Inc. 24,100 298
* Genus, Inc. 213,400 2,961
* Go2Net, Inc. 16,000 1,289
* Harbinger Corp. 110,300 3,212
* Harmonic, Inc. 86,600 7,209
* Informix Corp. 198,900 3,369
* Insilicon Corp. 31,200 493
* Integrated Device
Technology, Inc. 183,800 7,283
* International Fibercom, Inc. 103,100 2,449
* Interspeed, Inc. 83,300 1,781
* InterVoice-Brite, Inc. 102,200 2,951
* ISS Group, Inc. 28,200 3,285
* Kemet Corp. 79,100 5,003
* M-Systems Flash Disk
Pioneers Ltd. 115,000 6,095
* MarchFirst, Inc. 72,300 2,580
* Maxtor Corp. 500,400 6,474
* Micromuse, Inc. 21,600 2,998
* Micron Electronics, Inc. 528,300 7,396
* MMC Networks, Inc. 97,600 3,221
* MSI Holdings, Inc. 650,700 15,096
* Novadigm, Inc. 138,800 2,255
* Novellus Systems, Inc. 130,100 7,302
* Oak Technology, Inc. 411,700 7,925
* Onvia.com, Inc. 46,100 974
* Optimal Robotics Corp. 202,000 9,494
* P-Com, Inc. 211,100 3,905
* Phoenix Technologies Ltd. 204,900 4,328
* Pinnacle Systems, Inc. 596,000 19,817
* PRI Automation, Inc. 168,800 10,318
* PSi Technologies Holdings,
Inc. ADR 8,300 138
* PSINet, Inc. 304,000 10,341
* SanDisk Corp. 161,700 19,808
* Silicon Storage Technology,
Inc. 80,400 5,940
* Silicon Valley Group, Inc. 110,100 3,028
* Software.com, Inc. 39,400 5,078
* SpeedFam-IPEC, Inc. 167,200 3,323
* Telcom Semiconductor, Inc. 120,400 3,642
* TransSwitch Corp. 62,200 5,979
* Unify Corp. 625,900 12,792
* Vishay Intertechnology, Inc. 70,300 3,910
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Websense, Inc. 20,700 $ 995
* WebTrends Corp. 67,800 4,882
* Westell Technologies, Inc. 195,600 6,235
* WorldGate Communications,
Inc. 283,000 8,508
- -----------------------------------------------------
GROUP TOTAL 413,053
- -----------------------------------------------------
UTILITIES (5.9%)
* Adelphia Business Solutions,
Inc. 371,300 22,881
* Dobson Communications Corp.,
Class A 377,200 8,675
Eastern Enterprises 66,800 4,000
* Focal Communications Corp. 121,100 6,782
* ITC DeltaCom, Inc. 133,800 4,767
* ITXC Corp. 149,200 7,022
* Leap Wireless International,
Inc. 76,200 7,520
* Pinnacle Holdings, Inc. 69,000 3,812
Potomac Electric Power Co. 448,800 10,154
* Talk.com, Inc. 242,000 3,872
* Viatel, Inc. 85,700 4,301
- -----------------------------------------------------
GROUP TOTAL 83,786
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,060,545) 1,283,671
- -----------------------------------------------------
CASH EQUIVALENT (5.4%)
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
REPURCHASE AGREEMENT (5.4%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00,
to be repurchased at
$75,800, collateralized by
various U.S. Government
Obligations, due
4/3/00-11/15/02, valued at
$76,520 (Cost $75,762) $ 75,762 75,762
- -----------------------------------------------------
TOTAL INVESTMENTS (96.4%) (Cost
$1,136,307) 1,359,433
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (3.6%)
Cash 5,843
Dividends Receivable 452
Interest Receivable 13
Receivable for Investments Sold 71,223
Receivable for Fund Shares Sold 3,802
Other Assets 79
Payable for Investments Purchased (21,477)
Payable for Fund Shares Redeemed (5,801)
Payable for Investment Advisory Fees (2,432)
Payable for Administrative Fees (98)
Payable for Distribution Fees-Adviser
Class (8)
Payable for Trustees' Deferred
Compensation Plan-Note F (65)
Other Liabilities (69)
----------
51,462
- -----------------------------------------------------
NET ASSETS (100%) $1,410,895
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 59,172,158 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,372,387
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.19
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 1,660,411 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 38,508
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.19
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,078,928
Undistributed Net Investment Income
(Loss) 543
Undistributed Realized Net Gain (Loss) 108,298
Unrealized Appreciation (Depreciation) on
Investment Securities 223,126
- -----------------------------------------------------
NET ASSETS $1,410,895
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
ADR American Depositary Receipt
REIT Real Estate Investment Trust
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Growth Portfolio invests in the common stock of small- and
medium-sized companies with superior long-term earnings-growth potential and
rising earnings estimates. MAS's four-part process combines quantitative,
fundamental, and valuation analysis with a strict sell discipline. A
quantitative screen sorts the stocks in each sector based on estimate revisions.
MAS then conducts fundamental research on purchase candidates, seeking strong
sales growth, rising profit margins, and high returns on capital. Qualitative
measures, including management quality and strategic positioning, are also
reviewed. This fundamental analysis is coupled with valuation analysis to weed
out the most overvalued securities. Holdings are sold when our fundamental
research uncovers unfavorable trends, when their valuations exceed the level
that we believe is reasonable given their growth prospects, or when earnings-
estimate revisions deteriorate.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS MID CAP GROWTH
------------------------- S&P MIDCAP
INSTITUTIONAL# ADVISER@ 400 INDEX
--------------------------------------
<S> <C> <C> <C>
SIX MONTHS 57.84% 57.68% 32.05%
ONE YEAR 79.03 78.70 38.08
FIVE YEARS 39.81 39.61 24.05
TEN YEARS 27.51 27.42 19.10
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Generally speaking, small and mid-capitalization stock
prices experience a greater degree of market volatility than those of large-
capitalization companies.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
* Total returns are compared to the S&P MidCap 400 Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (89.8%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
BANKS (0.7%)
* Concord EFS, Inc. 844,000 $ 19,359
- -----------------------------------------------------
CONSUMER SERVICES (13.1%)
* Acxiom Corp. 635,500 21,130
* Cablevision Systems Corp.,
Class A 363,400 22,077
* Citadel Communications Corp. 566,600 23,903
* Hispanic Broadcasting Corp. 301,800 34,179
* Homestore.com, Inc. 428,900 20,909
* Imax Corp. 25,300 546
* Lamar Advertising Co. 407,200 18,528
* Liberty Digital, Inc., Class
A 496,400 19,111
MGM Grand, Inc. 685,000 16,440
* MyPoints.com, Inc. 471,000 12,629
* Premier Parks, Inc. 907,200 19,051
Readers Digest Association
(The), Inc., Class A 724,000 25,611
* Ticketmaster
Online-CitySearch, Inc.,
Class B 725,700 18,188
* TV Guide, Inc. 627,100 30,140
* Univision Communications,
Inc., Class A 309,500 34,973
* VerticalNet, Inc. 26,300 3,577
Young & Rubicam, Inc. 621,100 29,192
- -----------------------------------------------------
GROUP TOTAL 350,184
- -----------------------------------------------------
ENERGY (6.4%)
* BJ Services Co. 458,800 33,894
Devon Energy Corp. 668,100 32,445
Dynergy, Inc., Class A 442,948 27,795
* Global Marine, Inc. 841,400 21,350
* Nabors Industries, Inc. 751,100 29,152
* Smith International, Inc. 363,600 28,179
- -----------------------------------------------------
GROUP TOTAL 172,815
- -----------------------------------------------------
HEALTH CARE (8.4%)
* Biovail Corp. 343,800 15,235
* Forest Laboratories, Inc. 341,800 28,882
* Health Management
Associates, Inc.,
Class A 2,027,500 28,892
* Lincare Holdings, Inc. 1,047,200 29,714
* MedImmune, Inc. 277,700 48,354
* Millennium Pharmaceuticals,
Inc. 114,000 14,806
* Neoforma.com, Inc. 516,000 8,449
PE Corp.-PE Biosystems Group 241,500 23,305
PerkinElmer, Inc. 411,500 27,365
- -----------------------------------------------------
GROUP TOTAL 225,002
- -----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (13.8%)
* Crown Castle International
Corp. 800,200 30,308
* Dycom Industries, Inc. 703,950 34,317
* Fiserv, Inc. 689,587 25,644
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
* Gilat Satellite Networks
Ltd. 166,800 $ 19,557
Grainger (W.W.), Inc. 510,300 27,684
* Jabil Circuit, Inc. 871,300 37,684
* MasTec, Inc. 189,100 16,830
* Network Solutions, Inc.,
Class A 151,800 23,332
* Sanmina Corp. 576,300 38,936
* SCI Systems, Inc. 775,600 41,737
Southwest Airlines Co. 344,700 7,174
* Titan Corp. 663,800 33,854
* TMP Worldwide, Inc. 439,700 34,187
- -----------------------------------------------------
GROUP TOTAL 371,244
- -----------------------------------------------------
RETAIL (2.1%)
* eBay, Inc. 94,400 16,615
Starbucks Corp. 154,400 6,919
Tiffany & Co. 380,500 31,819
- -----------------------------------------------------
GROUP TOTAL 55,353
- -----------------------------------------------------
TECHNOLOGY (35.6%)
* ADC Telecommunications, Inc. 526,600 28,371
* Applied Micro Circuits Corp. 333,100 49,986
* Atmel Corp. 641,900 33,138
* ATMI, Inc. 308,200 14,717
* CIENA Corp. 285,900 36,059
* Digex, Inc. 145,000 16,086
* Entrust Technologies, Inc. 284,500 24,205
* Exodus Communications, Inc. 465,000 65,332
* Harmonic, Inc. 256,600 21,362
* Inktomi Corp. 168,000 32,760
* Intuit, Inc. 574,400 31,233
* ISS Group, Inc. 292,300 34,053
* J.D. Edwards & Co. 564,900 18,395
*@ JDS Uniphase Corp. 2 --
* Lattice Semiconductor Corp. 382,100 25,863
Linear Technology Corp. 337,800 18,579
* Macromedia, Inc. 241,800 21,838
* Maxim Integrated Products,
Inc. 807,000 57,347
* Mercury Interactive Corp. 312,800 24,789
* Novellus Systems, Inc. 551,000 30,925
* PMC-Sierra, Inc. 155,800 31,734
* QLogic Corp. 333,200 45,149
* Rational Software Corp. 413,900 31,663
* RF Micro Devices, Inc. 196,200 26,364
Scientific-Atlanta, Inc. 431,600 27,380
* SDL, Inc. 186,700 39,744
* Siebel Systems, Inc. 556,900 66,515
* Verio, Inc. 523,100 23,572
* VERITAS Software Corp. 595,050 77,951
- -----------------------------------------------------
GROUP TOTAL 955,110
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- -----------------------------------------------------
<S> <C> <C>
UTILITIES (9.7%)
* Flag Telecom Holdings Ltd. 797,200 $ 18,037
* GT Group Telecom, Inc.,
Class B 312,100 6,515
IDT Corp. 237,400 9,852
Intermedia Communications,
Inc. 467,300 22,576
* McLeodUSA, Inc., Class A 532,900 45,197
* Microcell
Telecommunications, Inc. 526,500 23,363
* NEXTLINK Communications,
Inc., Class A 363,800 44,998
* Tritel, Inc. 791,800 30,286
* VoiceStream Wireless Corp. 254,853 32,828
* Western Wireless Corp.,
Class A 598,300 27,410
- -----------------------------------------------------
GROUP TOTAL 261,062
- -----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,808,243) 2,410,129
- -----------------------------------------------------
CASH EQUIVALENT (7.6%)
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
---------
<S> <C> <C>
REPURCHASE AGREEMENT (7.6%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00,
to be repurchased at
$204,133, collateralized by
various U.S. Government
Obligations, due
4/3/00-11/15/02, valued at
$206,071 (Cost $204,030) $ 204,030 204,030
- -----------------------------------------------------
TOTAL INVESTMENTS (97.4%) (Cost
$2,012,273) 2,614,159
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.6%)
Cash 19
Dividends Receivable 105
Interest Receivable 34
Receivable for Investments Sold 146,707
Receivable for Fund Shares Sold 48,612
Other Assets 67
Payable for Investments Purchased (117,849)
Payable for Fund Shares Redeemed (5,663)
Payable for Investment Advisory Fees (2,807)
Payable for Administrative Fees (178)
Payable for Distribution Fees-Adviser
Class (171)
Payable for Trustees' Deferred
Compensation Plan-Note F (51)
Other Liabilities (34)
----------
68,791
- -----------------------------------------------------
NET ASSETS (100%) $2,682,950
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12
<PAGE> 15
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- -----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 53,086,424 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $1,884,646
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 35.50
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 22,688,129 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $ 798,304
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 35.19
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,845,384
Undistributed Net Investment Income
(Loss) (2,050)
Undistributed Realized Net Gain (Loss) 237,730
Unrealized Appreciation (Depreciation) on
Investment Securities 601,886
- -----------------------------------------------------
NET ASSETS $2,682,950
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Mid Cap Value Portfolio applies Miller Anderson & Sherrerd's value investing
strategy to medium-sized companies, combining MAS's disciplined valuation
process with the judgment gained through considerable experience in low P/E
investing. The Portfolio generally keeps sector weights within 5 percentage
points of the sector weights of the S&P Mid-Cap 400 Index, with strategic over-
and underweightings assigned to different economic sectors and industries.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS MID CAP VALUE
--------------------------------------- S&P MIDCAP
INSTITUTIONAL# INVESTMENT< ADVISER@ 400 INDEX
-------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 23.79% 23.71% 23.65% 32.05%
ONE YEAR 35.91 35.72 35.55 38.08
FIVE YEARS 29.04 28.87 28.94 24.05
SINCE INCEPTION 29.97 29.82 29.88 24.64
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Generally speaking, small and mid-capitalization stock
prices experience a greater degree of market volatility than those of large-
capitalization companies.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
07/17/98. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.25% 12b-1
Fee applicable to the Adviser Class. It is expected that, over time, returns for
the Adviser Class will be lower than for the other classes due to the higher
expenses charged.
Total returns for the Institutional and Investment Classes of the Portfolio
reflect expenses waived and/or reimbursed by the Adviser for certain periods.
Without such waivers and/or reimbursements, total returns would have been lower.
* The Mid Cap Value Portfolio commenced operations on 12/30/94. Total returns
are compared to the S&P MidCap 400 Index, an unmanaged market index. Returns for
periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMON STOCKS (92.0%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKS (4.5%)
@ AmSouth Bancorp. 1 $ --
Charter One Financial, Inc. 179,760 3,775
* Checkfree Holdings Corp. 85,700 6,042
Comerica, Inc. 126,100 5,280
* Concord EFS, Inc. 332,000 7,615
Dime Bancorp, Inc. 150,800 2,790
First Security Corp. 394,800 4,738
GreenPoint Financial Corp. 42,200 828
Hibernia Corp., Class A 125,300 1,316
KeyCorp. 93,100 1,769
Marshall & Ilsley Corp. 53,400 3,084
Mellon Financial Corp. 297,000 8,761
Mercantile Bankshares Corp. 119,384 3,649
SouthTrust Corp. 100,900 2,567
UnionBanCal Corp. 141,000 3,886
- ----------------------------------------------------
GROUP TOTAL 56,100
- ----------------------------------------------------
BASIC RESOURCES (2.3%)
AK Steel Holding Corp. 325,600 3,378
American National Can Group,
Inc. 387,700 5,088
Consolidated Papers, Inc. 73,800 2,837
* Cytec Industries, Inc. 34,300 1,050
* Freeport-McMoRan Copper &
Gold, Inc. 171,800 2,072
* Gaylord Container Corp.,
Class A 526,000 3,353
Georgia-Pacific Corp. (Timber
Group) 64,900 1,663
Lubrizol Corp. 81,200 2,340
* W.R. Grace & Co. 363,800 4,616
Willamette Industries, Inc. 36,900 1,481
- ----------------------------------------------------
GROUP TOTAL 27,878
- ----------------------------------------------------
CONSUMER DURABLES (1.7%)
* Lear Corp. 253,600 7,132
Southdown, Inc. 14,100 832
* Tower Automotive, Inc. 806,400 13,205
- ----------------------------------------------------
GROUP TOTAL 21,169
- ----------------------------------------------------
CONSUMER SERVICES (9.2%)
* ACNielsen Corp. 155,600 3,501
Adelphia Communications Corp. 30,000 1,470
* Bally Total Fitness Holding
Corp. 608,600 14,911
Charter Communications, Inc. 300,500 4,305
* Comcast Corp., Class A
Special 157,640 6,838
* Cumulus Media, Inc., Class A 162,800 2,340
* Electronic Arts, Inc. 111,000 7,902
H&R Block, Inc. 71,600 3,204
* Hispanic Broadcasting Corp. 80,600 9,128
Readers Digest Association
(The), Inc., Class A 194,800 6,891
Royal Carribean Cruises Ltd. 59,100 1,655
* Snyder Communications, Inc. 479,500 10,789
</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>
* 24/7 Media, Inc. 73,600 $ 2,907
* Univision Communications,
Inc., Class A 109,100 12,328
* Valassis Communications, Inc. 763,250 25,426
- ----------------------------------------------------
GROUP TOTAL 113,595
- ----------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES
(2.4%)
* E*TRADE Group, Inc. 451,200 13,592
FINOVA Group, Inc. 68,100 1,145
Heller Financial, Inc. 186,500 4,313
S1 Corp. 127,200 10,899
- ----------------------------------------------------
GROUP TOTAL 29,949
- ----------------------------------------------------
ENERGY (8.6%)
Apache Corp. 58,800 2,925
Burlington Resources, Inc. 38,800 1,436
* Cooper Cameron Corp. 29,200 1,953
Dynergy, Inc., Class A 14,500 910
ENSCO International, Inc. 19,700 712
* Global Marine, Inc. 658,900 16,720
* Nabors Industries, Inc. 680,000 26,392
* Noble Drilling Corp. 395,100 16,372
* Ocean Energy, Inc. 275,560 3,961
* Precision Drilling Corp. 210,600 7,029
* Rowan Cos., Inc. 159,300 4,689
* Smith International, Inc. 35,600 2,759
Tosco Corp. 321,900 9,798
Transocean Offshore, Inc. 154,200 7,912
Union Pacific Resources Group,
Inc. 210,600 3,054
- ----------------------------------------------------
GROUP TOTAL 106,622
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.1%)
Earthgrains Co. 202,200 3,008
* Fresh Del Monte Produce, Inc. 427,100 3,630
IBP, Inc. 189,200 2,980
Quaker Oats Co. 58,800 3,565
- ----------------------------------------------------
GROUP TOTAL 13,183
- ----------------------------------------------------
HEALTH CARE (7.3%)
Alpharma Inc., Class A 157,300 5,781
* AmeriSource Health Corp.,
Class A 95,100 1,427
Celgene Corp. 84,300 8,393
Cell Pathways, Inc. 73,400 2,523
Cephalon, Inc. 61,700 2,314
* Forest Laboratories, Inc. 46,000 3,887
* Foundation Health Systems,
Inc., Class A 255,700 2,046
* Gilead Sciences, Inc. 97,900 6,204
* Health Management Associates,
Inc., Class A 318,700 4,541
ICN Pharmaceuticals, Inc. 142,900 3,894
* Idec Pharmaceuticals Corp. 20,000 1,965
* King Pharmaceuticals, Inc. 103,800 3,270
* Lincare Holdings, Inc. 148,300 4,208
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* MedImmune, Inc. 18,600 $ 3,239
* MGI Pharma, Inc. 80,800 3,257
* Millennium Pharmaceuticals,
Inc. 22,100 2,870
* Oxford Health Plans, Inc. 163,500 2,493
* Sybron International Corp. 414,400 12,018
Tenet Healthcare Corp. 270,500 6,221
Teva Pharmaceutical Industries
Ltd. ADR 148,400 5,537
United HealthCare Corp. 71,700 4,275
- ----------------------------------------------------
GROUP TOTAL 90,363
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (10.0%)
* Atlas Air, Inc. 119,700 3,277
AVT Corp. 173,400 2,048
Canadian National Railway Co. 138,200 3,688
Caterpillar, Inc. 197,300 7,781
* Circle.com 143,250 1,182
CNF Transportation, Inc. 77,600 2,153
CNH Global N.V. 63,400 626
COMSAT Corp. 17,594 363
Dover Corp. 379,700 18,178
* Fiserv, Inc. 221,500 8,237
General Dynamics Corp. 91,000 4,527
ITT Industries, Inc. 145,300 4,513
Lafarge Corp. 18,100 430
* Litton Industries, Inc. 219,800 9,712
Martin Marietta Materials, Inc. 246,400 11,704
* MasTec, Inc. 93,200 8,295
* Modis Professional Services,
Inc. 96,400 1,193
* Navistar International Corp. 92,500 3,712
Parker-Hannifin Corp. 181,100 7,483
* Primus Knowledge Solutions,
Inc. 8,100 697
* Republic Services, Inc.,
Class A 382,100 4,179
* SCI Systems, Inc. 182,600 9,826
Southwest Airlines Co. 228,625 4,758
Stewart & Stevenson Services,
Inc. 3,700 42
Teekay Shipping Corp. 43,600 1,202
* United Rentals, Inc. 190,300 3,283
- ----------------------------------------------------
GROUP TOTAL 123,089
- ----------------------------------------------------
INSURANCE (2.8%)
Ace Ltd. 197,000 4,506
Allmerica Financial Corp. 79,600 4,060
Ambac Financial Group, Inc. 141,400 7,123
* John Hancock Financial
Services, Inc. 620,000 11,199
ReliaStar Financial Corp. 248,800 8,428
- ----------------------------------------------------
GROUP TOTAL 35,316
- ----------------------------------------------------
RETAIL (3.1%)
* Ann Taylor Stores, Inc. 134,600 3,096
* barnesandnoble.com, Inc. 6,900 65
* BJ's Wholesale Club, Inc. 149,600 5,778
* Brinker International, Inc. 121,900 3,619
Family Dollar Stores, Inc. 111,600 2,323
* Jones Apparel Group, Inc. 129,200 4,118
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Kroger Co. 392,700 $ 6,897
* Lands' End, Inc. 65,600 4,034
* ShopKo Stores, Inc. 77,600 1,377
* Sunglass Hut International,
Inc. 908,900 7,101
- ----------------------------------------------------
GROUP TOTAL 38,408
- ----------------------------------------------------
TECHNOLOGY (31.5%)
Active Software, Inc. 48,000 3,053
Adobe Systems, Inc. 96,300 10,719
Affiliated Computer Services,
Inc. 191,000 7,258
Allaire Corp. 99,200 7,502
Alteon Websystems, Inc. 36,300 2,977
* Altera Corp. 70,500 6,292
* Amdocs Ltd. 89,700 6,610
Antec Corp. 24,700 1,107
Atmel Corp. 60,800 3,139
* BackWeb Technologies Ltd. 36,200 1,244
Celestica, Inc. 48,900 2,595
* Clarus Corp. 66,200 4,675
* Complete Business Solutions,
Inc. 126,000 2,819
* Corel Corp. 60,200 613
* Diamond Technology Partners,
Inc. 86,000 5,654
* Digital Microwave Corp. 396,700 13,438
* Documentum, Inc. 78,000 6,084
* Electronics for Imaging, Inc. 120,700 7,242
* Entrust Technologies, Inc. 58,100 4,943
* Extreme Networks, Inc. 183,300 14,480
* Fairchild Semiconductor
Corp., Class A 507,700 18,531
* Flextronics International
Ltd. 75,300 5,304
* Informix Corp. 205,800 3,486
* Integrated Device Technology,
Inc. 363,700 14,412
* Interwave Communications
International Ltd. 24,300 732
* J.D. Edwards & Co. 43,000 1,400
* Lattice Semiconductor Corp. 50,700 3,432
Leading Brands, Inc. 201,000 7,588
* Legato Systems, Inc. 184,400 8,229
* LSI Logic Corp. 41,000 2,978
* M-Systems Flash Disk Pioneers
Ltd. 98,900 5,242
* MarchFirst, Inc. 221,008 7,887
* Microchip Technology, Inc. 101,200 6,654
* National Semiconductor Corp. 350,100 21,225
* Network Associates, Inc. 290,400 9,365
* New Era of Networks, Inc. 34,600 1,358
* NOVA Corp. 168,700 4,913
* Novellus Systems, Inc. 157,800 8,857
* Nvidia Corp. 22,000 1,859
* Pinnacle Systems, Inc. 303,000 10,075
* Powerwave Technologies, Inc. 15,900 1,988
* PSINet, Inc. 255,200 8,681
* Quantum Corp.-DLT & Storage
Systems 279,100 3,332
* Rational Software Corp. 123,800 9,471
* SanDisk Corp. 246,600 30,208
* Seagate Technology, Inc. 660,400 39,789
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Siebel Systems, Inc. 86,400 $ 10,319
* Silicon Laboratories, Inc. 6,000 531
* Solectron Corp. 127,500 5,108
* St. Assembly Test Services
Ltd. 19,800 960
* SunGard Data Systems, Inc. 165,700 6,255
* TSI International Software
Ltd. 42,800 3,555
* Universal Access, Inc. 53,200 1,782
* Usinternetworking, Inc. 88,950 3,447
* Viasystems Group, Inc. 532,500 8,254
- ----------------------------------------------------
GROUP TOTAL 389,651
- ----------------------------------------------------
UTILITIES (7.5%)
Adelphia Business Solutions,
Inc. 215,800 13,299
Allegheny Energy, Inc. 87,700 2,417
Black Hills Corp. 45,450 1,003
Calpine Corp. 104,500 9,823
CMS Energy Corp. 32,600 591
Coastal Corp. 81,600 3,754
Columbia Energy Group 98,700 5,848
* Dobson Communications Corp. 391,000 8,993
Energy East Corp. 154,400 3,059
* Flag Telecom Holdings Ltd. 41,200 932
Florida Progress Corp. 71,600 3,285
IPALCO Enterprises, Inc. 66,800 1,302
* ITXC Corp. 79,400 3,737
MCN Energy Group, Inc. 27,100 677
* McLeodUSA, Inc., Class A 97,100 8,235
New Century Energies, Inc. 26,200 788
PECO Energy Co. 69,000 2,544
Pinnacle West Capital Corp. 60,300 1,700
Potomac Electric Power Co. 371,700 8,410
PPL Corp. 113,400 2,374
Public Service Enterprise
Group, Inc. 79,000 2,340
Texas Utilities Co. 139,600 4,144
* Western Wireless Corp., Class
A 67,600 3,097
- ----------------------------------------------------
GROUP TOTAL 92,352
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,031,392) 1,137,675
- ----------------------------------------------------
CASH EQUIVALENT (6.6%)
- ----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C>
REPURCHASE AGREEMENT (6.6%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to
be repurchased at $81,286,
collateralized by various
U.S. Government Obligations,
due 4/3/00-11/15/02, valued
at $82,058 (Cost $81,245) $81,245 81,245
- ----------------------------------------------------
TOTAL INVESTMENTS (98.6%) (Cost
$1,112,637) 1,218,920
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16
<PAGE> 19
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES (1.4%)
Dividends Receivable $ 365
Interest Receivable 14
Receivable for Investments Sold 48,186
Receivable for Fund Shares Sold 2,978
Other Assets 42
Payable to Custodian (3)
Payable for Investments Purchased (21,950)
Payable for Fund Shares Redeemed (9,524)
Payable for Investment Advisory Fees (2,062)
Payable for Administrative Fees (80)
Payable for Shareholder Servicing
Fees-Investment Class (3)
Payable for Distribution Fees-Adviser
Class (14)
Payable for Trustees' Deferred
Compensation Plan-Note F (29)
Other Liabilities (34)
----------
17,886
- ----------------------------------------------------
NET ASSETS (100%) $1,236,806
- ----------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 47,761,750 outstanding
shares of beneficial interest
(unlimited authorization, no par
value) $1,144,505
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.96
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INVESTMENT CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 950,088 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 22,700
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.89
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 2,905,708 outstanding
shares of beneficial interest
(unlimited authorization, no par
value) $ 69,601
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 23.95
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,037,519
Undistributed Net Investment Income
(Loss) 1,059
Undistributed Realized Net Gain (Loss) 91,945
Unrealized Appreciation (Depreciation)
on Investment Securities 106,283
- ----------------------------------------------------
NET ASSETS $1,236,806
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
@ Value is less than $500.
ADR American Depositary Receipt
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Small Cap Growth Portfolio invests in the common stock of small-sized
companies with superior long-term earnings-growth potential and rising earnings
estimates. MAS's four-part process combines quantitative, fundamental, and
valuation analysis with a strict sell discipline. A quantitative screen sorts
the stocks in each sector based on estimate revisions. MAS then conducts
fundamental research on purchase candidates, seeking strong sales growth, rising
profit margins, and high returns on capital. Qualitative measures, including
management quality and strategic positioning, are also reviewed. This
fundamental analysis is coupled with valuation analysis to weed out the most
overvalued securities. Holdings are sold when our fundamental research uncovers
unfavorable trends, when their valuations exceed the level that we believe is
reasonable given their growth prospects, or when earnings-estimate revisions
deteriorate.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS SMALL RUSSELL 2000
CAP GROWTH INDEX
-------------------------
<S> <C> <C>
SIX MONTHS 91.13% 26.84%
ONE YEAR 203.48 37.29
SINCE INCEPTION 182.75 11.29
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Generally speaking, small-capitalization stock prices
experience a greater degree of market volatility than those of
large-capitalization companies.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Small Cap Growth Portfolio commenced operations on 6/30/98. Total returns
are compared to the Russell 2000 Index, an unmanaged market index. Returns for
periods less than one year are cumulative. The Portfolio's total return
reflects, among other things, the use of short-term trading techniques,
including close-in-time purchases and sales of initial public offerings, as the
Adviser responded to market conditions in existence at that time. There can be
no assurance that these market conditions will continue or re-occur, nor can the
Adviser guarantee continued access to and use of profitable short-term trading
techniques.
STATEMENT OF NET ASSETS
COMMON STOCKS (96.5%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
BEVERAGE & PERSONAL PRODUCTS (1.3%)
* Beringer Wine Estates
Holdings, Inc., Class B 181,800 $ 6,522
- ----------------------------------------------------
CONSUMER DURABLES (1.1%)
* Monaco Coach Corp. 291,400 5,536
- ----------------------------------------------------
CONSUMER SERVICES (12.4%)
Asia Satellite
Telecommunications Holdings
Ltd. ADR 129,800 5,249
* Citadel Communications Corp. 103,700 4,375
* Imax Corp. 189,300 4,082
* Information Holdings, Inc. 81,700 2,558
* Internet Pictures Corp. 103,800 3,523
* L90, Inc. 199,400 3,789
* Lightspan Partnership, Inc. 224,400 3,983
* MyPoints.com, Inc. 99,700 2,673
* Radio One, Inc., Class A 90,800 6,049
* Regent Communications, Inc. 380,600 4,710
* TCI Satellite Entertainment,
Inc., Class A 300,600 5,749
* Ticketmaster
Online-CitySearch, Inc.,
Class B 122,000 3,058
True North Communications, Inc. 107,000 4,206
* ValueVision International,
Inc., Class A 88,100 3,645
* VerticalNet, Inc. 20,000 2,720
- ----------------------------------------------------
GROUP TOTAL 60,369
- ----------------------------------------------------
ENERGY (4.5%)
* Grey Wolf, Inc. 1,231,500 4,849
* Rowan Cos., Inc. 187,900 5,531
* Smith International, Inc. 72,900 5,650
* Spinnaker Exploration Co. 250,700 5,704
- ----------------------------------------------------
GROUP TOTAL 21,734
- ----------------------------------------------------
FINANCIAL SERVICES (2.7%)
Annuity & Life RE Holdings Ltd. 89,200 2,319
* CompuCredit Corp. 139,400 5,045
Medallion Financial Corp. 128,400 2,159
National Commerce Bancorp 187,000 3,459
- ----------------------------------------------------
GROUP TOTAL 12,982
- ----------------------------------------------------
FOOD, TOBACCO & OTHER (1.1%)
* Hain Food Group, Inc. 182,100 5,156
- ----------------------------------------------------
HEALTH CARE (8.8%)
* Biovail Corp. 45,500 2,016
* ImClone Systems, Inc. 77,100 5,927
* LifePoint Hospitals, Inc. 253,700 4,218
* Lincare Holdings, Inc. 138,900 3,941
* Maxim Pharmaceuticals, Inc. 79,600 3,736
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* PolyMedica Corp. 133,000 $ 7,814
* Quest Diagnostics, Inc. 108,600 4,317
* SciQuest.com, Inc. 70,400 1,813
* Sequenom, Inc. 75,100 2,957
* Titan Pharmaceuticals, Inc. 194,400 6,051
- ----------------------------------------------------
GROUP TOTAL 42,790
- ----------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (20.1%)
* ACT Manufacturing, Inc. 61,400 3,435
* American Superconductor Corp. 123,000 5,473
* Benchmark Electronics, Inc. 105,500 3,904
CNF Transportation, Inc. 173,700 4,820
* Copart, Inc. 224,000 3,920
* Dycom Industries, Inc. 128,900 6,284
* Exactis.com, Inc. 208,800 4,594
* Gilat Satellite Networks Ltd. 34,200 4,010
* Heidrick & Struggles, Inc. 27,700 1,111
* Insituform Technologies,
Inc., Class A 191,400 5,862
* MasTec, Inc. 83,500 7,431
* PartsBase.com, Inc. 92,300 860
* Perot Systems Corp. 52,900 1,065
* Plexus Corp. 45,800 3,051
* ProsoftTraining.com 364,900 8,233
* SBA Communications Corp. 113,300 4,985
* Titan Corp. 146,500 7,471
* United Rentals, Inc. 370,300 6,388
* Valence Technology, Inc. 154,700 3,645
* ViaSat, Inc. 155,900 11,225
- ----------------------------------------------------
GROUP TOTAL 97,767
- ----------------------------------------------------
RETAIL (2.5%)
* Too, Inc. 219,200 6,918
* Ultimate Electronics, Inc. 230,900 5,051
- ----------------------------------------------------
GROUP TOTAL 11,969
- ----------------------------------------------------
TECHNOLOGY (32.4%)
* Adaptive Broadband Corp. 86,500 4,628
* Advanced Fibre
Communications, Inc. 64,200 4,024
* Agile Software Corp. 86,000 5,375
* Alpha Industries, Inc. 40,200 3,819
* Anaren Microwave, Inc. 20,400 1,956
* BroadVision, Inc. 63,200 2,836
* Burr-Brown Corp. 92,850 5,049
* Coherent, Inc. 61,400 3,193
* CommScope, Inc. 127,500 5,817
* Concentric Network Corp. 86,700 4,768
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ----------------------------------------------------
<S> <C> <C>
* Cymer, Inc. 94,900 $ 4,745
* Digimarc Corp. 81,400 3,582
* Ditech Communications Corp. 48,100 5,102
* Exar Corp. 60,900 4,358
* Firepond, Inc. 70,100 2,870
* ForSoft Ltd. 181,500 2,428
* Globix Corp. 82,300 3,138
* Harbinger Corp. 192,900 5,618
* Harmonic, Inc. 44,100 3,671
* Interleaf, Inc. 45,700 2,148
* Interwave Communications
International Ltd. 111,500 3,359
* Lam Research Corp. 80,400 3,623
* Macromedia, Inc. 58,300 5,265
* Macrovision Corp. 90,700 7,811
* Mercury Interactive Corp. 59,000 4,676
* MRV Communications, Inc. 33,600 3,079
* Network Peripherals, Inc. 69,200 2,457
* New Era of Networks, Inc. 68,300 2,681
* Orbotech Ltd. 37,850 3,217
* Photon Dynamics, Inc. 69,600 4,802
* Proxim, Inc. 38,400 4,596
* RADWARE Ltd. 74,200 2,875
* Semtech Corp. 60,000 3,844
* Somera Communications, Inc. 321,400 3,897
* SonicWall, Inc. 35,000 2,332
* StarBase Corp. 421,500 3,951
* TranSwitch Corp. 48,425 4,655
* Tut Systems, Inc. 49,500 2,948
* Veeco Instruments, Inc. 51,500 3,811
* Xcelera.com, Inc. 25,100 4,016
- ----------------------------------------------------
GROUP TOTAL 157,020
- ----------------------------------------------------
UTILITIES (9.6%)
* Adelphia Business Solutions,
Inc. 122,600 7,555
* AirGate PCS, Inc. 93,500 9,864
* Clearnet Communications,
Inc., Class A 125,700 5,177
* CoreComm Ltd. 133,675 5,882
* Dobson Communications Corp. 228,300 5,251
* Independent Energy Holdings
plc ADR 97,000 4,353
Kinder Morgan, Inc. 127,400 4,395
* Versatel Telecom
International NV ADR 85,100 4,117
- ----------------------------------------------------
GROUP TOTAL 46,594
- ----------------------------------------------------
TOTAL COMMON STOCKS (Cost $383,693) 468,439
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (2.5%)
- ----------------------------------------------------
REPURCHASE AGREEMENT (2.5%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to
be repurchased at $12,100,
collateralized by various
U.S. Government Obligations,
due 4/3/00-11/15/02, valued
at $12,215 (Cost $12,094) $ 12,094 $ 12,094
- ----------------------------------------------------
TOTAL INVESTMENTS (99.0%) (Cost $395,787) 480,533
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.0%)
Dividends Receivable 15
Interest Receivable 2
Receivable for Investments Sold 12,927
Receivable for Fund Shares Sold 13,400
Other Assets 3
Payable for Investments Purchased (18,658)
Payable for Fund Shares Redeemed (1,840)
Payable for Investment Advisory Fees (1,018)
Payable for Administrative Fees (34)
Payable for Trustees' Deferred
Compensation Plan-Note F (2)
Other Liabilities (28)
--------
4,767
- ----------------------------------------------------
NET ASSETS (100%) $485,300
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 8,645,804 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $485,300
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 56.13
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $348,705
Undistributed Net Investment Income (Loss) (923)
Undistributed Realized Net Gain (Loss) 52,772
Unrealized Appreciation (Depreciation) on
Investment Securities 84,746
- ----------------------------------------------------
NET ASSETS $485,300
- ----------------------------------------------------
</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.
- --------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income Portfolio is MAS Funds' primary fixed-income fund, investing in
all sectors of the fixed-income market. MAS employs a disciplined,
research-driven approach toward identifying value in the fixed-income markets,
and will alter the Portfolio's sensitivity to changes in corporate and mortgage
yield spreads, the level of interest rates, the shape of the yield curve, and
non-dollar opportunities in reaction to its perception of relative value in each
of these areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS FIXED INCOME
--------------------------------------- SALOMON
INSTITUTIONAL# INVESTMENT< ADVISER@ BROAD INDEX
------------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 1.75% 1.62% 1.60% 2.02%
ONE YEAR 0.59 0.38 0.36 1.81
FIVE YEARS 7.56 7.44 7.36 7.14
TEN YEARS 8.88 8.82 8.78 8.07
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
10/15/96. Total returns for periods beginning prior to this date are based on
the performance of the Institutional Class and do not include the 0.15%
Shareholder Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/7/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Investment and Adviser Classes of the Portfolio reflect
expenses reimbursed by the Adviser for certain periods. Without such
reimbursements, total returns would have been lower.
* Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (119.8%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (50.4%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
9.50%, 10/1/16 Agy $ 722 $ 759
10.00%, 2/1/10-11/1/20 Agy 13,314 14,122
10.50%, 8/1/09-4/1/26 Agy 1,887 2,026
11.00%, 5/1/11-9/1/20 Agy 2,663 2,858
11.25%, 10/1/11-12/1/15 Agy 977 1,047
11.50%, 1/1/11-12/1/15 Agy 126 139
11.75%, 4/1/19 Agy 50 55
12.00%, 10/1/09-2/1/15 Agy 223 244
12.50%, 8/1/13 Agy 18 19
13.00%, 6/1/19 Agy 30 33
14.00%, 8/1/14 Agy 9 10
14.75%, 3/1/10 Agy 16 18
Gold Pools:
9.00%, 7/1/17 Agy 5,989 6,218
9.50%, 10/1/17-12/1/22 Agy 6,705 7,089
10.00%, 6/1/17-3/1/21 Agy 4,578 4,888
10.50%, 8/1/19-4/1/21 Agy 941 1,020
April TBA
6.00%, 4/1/30 Agy 449,825 409,620
7.00%, 4/1/30 Agy 12,500 12,027
Federal National Mortgage
Association,
Conventional Pools:
9.00%, 12/1/08-1/1/22 Agy 16,920 17,516
9.50%, 11/1/13-12/1/26 Agy 13,101 13,803
10.00%, 10/1/07-1/1/27 Agy 9,515 10,140
10.50%, 6/1/10-7/1/25 Agy 6,133 6,631
10.75%, 2/1/11 Agy 34 37
11.00%, 1/1/16-11/1/20 Agy 2,286 2,507
11.50%, 7/15/12-2/1/20 Agy 2,636 2,923
12.00%, 8/1/13 Agy 39 44
12.50%, 5/1/12 Agy 421 477
April TBA
6.00%, 4/1/29 Agy 120,832 109,806
6.00%, 4/1/30 Agy 658,250 599,007
6.50%, 4/1/30 Agy 230,000 215,625
7.00%, 4/1/30 Agy 34,350 33,017
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.125%,
11/20/27-12/20/27 Tsy 29,758 29,947
6.375%, 2/20/25-6/20/25 Tsy 22,263 22,446
6.50%, 10/20/27-1/20/28 Tsy 28,526 28,706
6.625%, 7/20/27-9/20/27 Tsy 18,699 18,765
6.875%, 4/20/25-6/20/25 Tsy 16,461 16,541
7.00%, 2/20/25-11/20/25 Tsy 45,323 45,588
7.125%, 7/20/25 Tsy 9,450 9,518
7.50%, 1/20/25 Tsy 7,782 7,848
11.00%,
11/20/15-11/20/19 Tsy 86 91
11.50%, 7/20/15-9/20/19 Tsy 253 270
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Various Pools:
9.00%,
12/15/21-11/15/24 Tsy $ 23,519 $ 24,523
9.50%, 12/15/17-9/15/22 Tsy 15,913 16,849
10.00%,
11/15/09-10/15/28 Tsy 125,372 133,951
10.50%, 8/15/10-5/15/26 Tsy 11,167 12,097
11.00%,
12/15/09-4/15/28 Tsy 28,112 30,848
11.50%,
4/15/13-11/15/15 Tsy 453 502
12.00%,
4/15/12-11/15/19 Tsy 12,854 14,440
April TBA
7.00%, 4/1/30 Tsy 435,250 421,579
- ----------------------------------------------------------
GROUP TOTAL 2,308,234
- ----------------------------------------------------------
ASSET BACKED CORPORATES (16.0%)
(+) Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 4 4
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 15,510 15,438
97-D A3
6.20%, 5/15/03 AAA 6,958 6,916
98-A A3
5.90%, 11/15/02 AAA 11,231 11,182
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 11,237 11,105
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 7,857 7,811
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 22,173 22,106
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 24,395 24,109
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 2,041 2,027
CIT RV Trust,
Series 99-A A1
5.33%, 12/15/05 AAA 19,156 19,052
## Citibank Credit Card
Master Trust I,
Series 98-7 A
6.014%, 5/15/02 AAA 36,205 36,202
(+)++ Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R 8,099 2,025
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Conseco Finance,
Series 00-B AF1
6.94%, 11/15/14 N/R $ 23,000 $ 22,957
Contimortgage Home Equity
Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 12,329 12,230
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 3,118 3,099
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 6,936 6,925
Delta Funding Home Equity
Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 5,667 5,639
EQCC Home Equity Loan
Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 1,724 1,719
99-2 A1F
6.05%, 1/25/10 AAA 15,898 15,739
99-3 A1F
6.548%, 4/25/10 AAA 29,900 29,644
Federated Home Loan
Mortgage Corp., Pass
Through Notes,
Series T-15 A1
5.83%, 12/25/13 Agy 10,272 10,175
(+) First Mortgage
Acceptance Corp. Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/15/18 A 7,945 6,754
First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 5,611 5,582
First Security Auto Owner
Trust,
Series 99-2 A2
5.492%, 4/15/02 AAA 7,853 7,836
## First USA Credit Card
Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 25,270 25,268
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE> 25
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA $ 3,108 $ 3,107
98-A A3
5.65%, 10/15/01 AAA 11,860 11,835
99-C A3
5.77%, 11/15/01 AAA 45,801 45,590
99-D A3
6.20%, 4/15/02 AAA 47,754 47,545
(+)++ Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 7,228 1,807
Green Tree Financial
Corp.,
Series 99-4 A2
5.97%, 5/1/31 AAA 21,973 21,872
Green Tree Home Equity
Loan Trust,
Series:
99-A A1
5.59%, 2/15/13 AAA 9,795 9,765
99-C A1
5.99%, 7/15/30 AAA 24,511 24,402
+ Green Tree Home
Improvement Loan Trust,
Series 98-E HEA2
5.829%, 2/15/12 Aaa 5,701 5,691
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 1,149 1,144
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 15,469 15,277
Honda Auto Lease Trust,
Series 99-A A2
5.875%, 10/15/01 AAA 26,741 26,689
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 9,651 9,602
97-B A
5.95%, 5/15/03 AAA 4,517 4,486
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 5,127 5,106
## IndyMac Home Equity
Loan,
Series 98-A AF1
5.724%, 9/25/20 AAA 7,066 7,059
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 3,681 3,646
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
MMCA Automobile Trust,
Series:
97-1 A3
6.08%, 5/15/01 AAA $ 2 $ 2
99-1 A3
5.50%, 7/15/05 AAA 5,175 5,127
99-2 A1
6.30%, 6/15/02 AAA 27,668 27,668
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 11,925 11,801
(+) New Holland Equipment
Receivables Trust,
Series 99-A A2
6.39%, 10/15/02 AAA 26,425 26,183
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 5,238 5,220
Nissan Auto Receivables
Owner Trust,
Series 99-A A2
6.12%, 9/15/03 AAA 35,000 34,874
+## Oakwood Mortgage
Investors, Inc.,
Series 99-B A1
6.124%, 5/15/09 Aaa 28,692 28,661
Premier Auto Trust,
Series:
98-5 A3
5.07%, 7/8/02 AAA 4,650 4,591
99-3 A2
5.82%, 2/8/02 AAA 2,929 2,918
Provident Bank Home Equity
Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 2,691 2,677
Salomon Brothers Mortgage
Securities VII,
Series 98-NC7 A1
6.063%, 1/25/29 AAA 3,287 3,270
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 6,500 6,400
97-1 A
7.35%, 5/15/03 A- 5,775 5,736
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 2,120 2,118
98-C A2
5.52%, 8/20/01 AAA 4,238 4,233
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA $ 3,845 $ 3,843
- ------------------------------------------------------
GROUP TOTAL 731,489
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 61,798 910
(+) 96-3 A YMA
10/25/26 N/R 70,282 115
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 45,861 686
(+) 96-4 A11 YMA
1/15/28 AAA 46,685 66
96-4 A12 IO
1.05%, 1/15/28 AAA 8,398 89
(+) 96-4 A12 YMA
1/15/28 AAA 8,550 7
97-1 A10 IO
1.10%, 3/15/28 AAA 56,244 894
97-1 A10 YMA
3/15/28 N/R 56,245 97
- ------------------------------------------------------
GROUP TOTAL 2,864
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.2%)
Federal Home Loan Mortgage
Corporation,
Series:
1398-I Inv Fl
10.388%, 10/15/07 Agy 2,451 2,718
1415-S Inv Fl IO
16.938%, 11/15/07 Agy 1,460 438
1476-S Inv Fl IO REMIC
PAC
4.398%, 2/15/08 Agy 15,870 1,471
1485-S Inv Fl IO REMIC
3.538%, 3/15/08 Agy 12,865 758
1600-SA Inv Fl IO REMIC
1.938%, 10/15/08 Agy 29,329 921
1950-SC Inv Fl IO
1.938%, 10/15/22 Agy 15,707 650
E2 F
5.988%, 2/15/24 Agy 42 42
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl REMIC
26.006%, 9/25/20 Agy 564 779
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
92-186 S Inv Fl IO
3.349%, 10/25/07 Agy $ 26,592 $ 1,814
96-14 PC PO
12/25/23 Agy 844 498
96-68 SC Inv Fl IO REMIC
1.975%, 1/25/24 Agy 11,400 743
97-30 SI Inv Fl IO
1.875%, 7/25/22 Agy 3,399 141
97-57 PV IO
8.00%, 9/18/27 Agy 22,729 8,344
## 97-70 FA REMIC
PAC (11)
5.388%, 7/18/20 Agy 4,587 4,585
## 98-22 FA REMIC
PAC (11)
6.471%, 4/18/28 Agy 16,366 16,276
99-42 SA Inv Fl IO
2.075%, 10/25/28 Agy 175,115 6,742
186 IO
8.00%, 8/1/27 Agy 9,145 2,683
191 IO
8.00%, 1/1/28 Agy 13,734 4,014
270 2 IO
8.50%, 9/1/23 Agy 41,080 11,695
274 2 IO
8.50%, 10/1/25 Agy 5,060 1,429
281 2 IO
9.00%, 11/1/26 Agy 7,162 1,963
291 2 IO
8.00%, 11/1/27 Agy 36,197 10,504
296 2 IO
8.00%, 4/1/24 Agy 35,717 10,280
G92-53 S Inv Fl IO REMIC
28.125%, 9/25/22 Agy 999 604
First Boston Mortgage
Securities Corp.,
Series 87-B2 IO
8.985%, 4/25/17 AAA 31 6
Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO REMIC
2.563%, 6/16/26 Tsy 854 40
96-13 S Inv Fl IO REMIC
3.213%, 7/16/11 Tsy 396 23
96-17 S Inv Fl IO REMIC
2.613%, 8/16/26 Tsy 1,365 67
99-32 SB Inv Fl IO REMIC
2.75%, 7/16/27 Tsy 83,759 3,116
99-34 SC Inv Fl IO
3.22%, 9/16/19 Tsy 73,995 3,944
99-38 SM Inv Fl IO
2.383%, 5/16/26 Tsy 72,089 3,511
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24
<PAGE> 27
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ Kidder Peabody Mortgage
Assets Trust,
Series 87 B IO CMO
9.50%, 4/22/18 Aaa $ 37 $ 9
- ------------------------------------------------------
GROUP TOTAL 100,808
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.3%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 3,214 3,281
+ Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 Baa3 19 19
sec.## Kidder Peabody
Funding Corp.,
Series 92-4 B2
8.514%, 5/28/22
(acquired
8/5/92-3/17/99, cost
$3,123) N/R 3,125 3,125
## Morserv, Inc.,
Series 96-2 1A1
6.729%, 11/25/26 AAA 9,320 9,293
- ------------------------------------------------------
GROUP TOTAL 15,718
- ------------------------------------------------------
COMMERCIAL MORTGAGES (1.7%)
Asset Securitization
Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 8,005 7,730
+## 97-D5 PS1 IO
0.97%, 2/14/41 Aaa 90,969 7,631
(+) Beverly Finance Corp.,
Series 94-1
8.36%, 7/15/04 AA- 125 127
(+) Carousel Center
Finance, Inc.,
Series:
1 A1
6.828%, 11/15/07 AA 6,090 5,957
1 C
7.527%, 10/15/07 BBB+ 3,908 3,850
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 5,148 5,285
(+) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA 12,305 11,919
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA $ 71,630 $ 2,957
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.967%, 3/15/21 Aaa 30,463 1,871
97-C2 X IO
1.273%, 4/15/27 Aaa 151,187 8,203
+## GS Mortgage Securities
Corp. II,
Series 97-GL X2 IO
1.037%, 7/13/30 Aaa 35,849 1,295
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 183 183
## 94-MD1 A2
7.676%, 3/15/18 N/R 65 65
## 94-MD1 A3
8.026%, 3/15/18 N/R 4,239 4,263
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 10,841 10,738
(+) Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 4,661 4,540
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.578%, 2/25/28 N/R 29,593 1,518
96-CFL X1A IO
1.093%, 2/25/28 N/R 24,439 153
96-CFL X2 IO
1.221%, 2/25/28 N/R 8,034 156
- ------------------------------------------------------
GROUP TOTAL 78,441
- ------------------------------------------------------
ENERGY (1.3%)
CMS Energy Corp.
7.50%, 1/15/09 BB 15,410 13,573
Conoco, Inc.
6.95%, 4/15/29 A- 27,090 24,890
El Paso Energy Corp.
6.75%, 5/15/09 BBB 7,270 6,764
xMobile Energy Services
LLC
8.665%, 1/1/17 D 8,204 1,641
Tennessee Gas Pipeline Co.
7.00%, 10/15/28 BBB+ 11,850 10,443
- ------------------------------------------------------
GROUP TOTAL 57,311
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
FEDERAL AGENCY (13.0%)
Federal Home Loan Mortgage
Corporation
6.625%, 9/15/09 Agy $160,000 $ 153,850
Federal National Mortgage
Association
5.25%, 1/15/09 Agy 41,700 36,494
6.25%, 5/15/29 Agy 229,425 206,840
7.25%, 1/15/10 Agy 196,400 197,720
- ------------------------------------------------------
GROUP TOTAL 594,904
- ------------------------------------------------------
FINANCE (9.3%)
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 10,935 10,286
Bank One Corp.
7.625%, 10/15/26 A- 7,490 7,088
8.00%, 4/29/27 A- 10,355 10,219
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ 8,535 7,607
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 15,685 14,589
Chase Manhattan Corp.
6.00%, 2/15/09 A 9,295 8,364
7.00%, 11/15/09 A 4,850 4,663
Citigroup, Inc.
6.625%, 1/15/28 AA- 9,450 8,271
EOP Operating LP
6.763%, 6/15/07 BBB 4,015 3,709
6.80%, 1/15/09 BBB 4,390 3,997
7.25%, 6/15/28 BBB 2,385 2,030
7.50%, 4/19/29 BBB+ 12,185 10,680
Equitable Companies, Inc.
6.50%, 4/1/08 A+ 10,820 10,068
7.00%, 4/1/28 A+ 2,055 1,843
(+) Equitable Life
Assurance Society of the
U.S.,
Series 1A
6.95%, 12/1/05 A+ 11,732 11,322
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 6,820 5,862
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 15,855 16,219
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 8,205 8,059
Ford Motor Credit Co.
7.375%, 10/28/09 A+ 10,055 9,876
General Motors Acceptance
Corp.
7.75%, 1/19/10 A 20,120 20,212
GS Escrow Corp.
7.125%, 8/1/05 BB+ 19,345 17,167
(+) Goldman Sachs Group LP
6.50%, 2/25/09 A+ 9,035 8,274
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
HMH Properties,
Series A
7.875%, 8/1/05 BB $ 12,665 $ 11,209
Household Finance Corp.
5.875%, 2/1/09 A 15,990 14,087
7.875%, 3/1/07 A 9,095 9,207
(+) John Hancock Financial
Services, Inc.
7.375%, 2/15/24 AA- 14,445 13,605
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 14,785 13,186
7.80%, 11/1/25 A+ 9,180 8,961
Nationsbank Corp.
6.80%, 3/15/28 A 6,400 5,585
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 19,125 16,795
(+) New England Mutual,
Series DTC
7.875%, 2/15/24 A+ 1,000 995
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- 6,105 5,560
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 8,400 8,259
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 16,940 15,594
(+) Prime Property Funding
II, Inc.
6.80%, 8/15/02 A 11,420 11,133
7.00%, 8/15/04 A 8,240 7,931
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 26,830 27,781
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 7,195 6,795
Washington Mutual, Inc.
8.25%, 4/1/10 AA- 6,920 6,944
Series A
8.206%, 2/1/27 BBB- 9,500 8,856
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 10,063 9,383
96 WFP-D
6.95%, 9/1/13 AA- 25,245 23,415
- ------------------------------------------------------
GROUP TOTAL 425,686
- ------------------------------------------------------
INDUSTRIALS (9.7%)
Adelphia Communications
Corp.
7.875%, 5/1/09 B+ 2,845 2,440
9.375%, 11/15/09 B+ 11,170 10,472
Albertson's, Inc.
7.45%, 8/1/29 A 16,590 15,885
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26
<PAGE> 29
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
American Standard Cos.
7.375%, 4/15/05 BB- $ 4,480 $ 4,202
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 9,615 7,878
7.58%, 9/15/25 BB+ 10,125 8,295
7.69%, 6/15/25 BB+ 2,735 2,270
8.70%, 2/10/10 BB+ 1,355 1,300
9.00%, 12/15/14 BB+ 6,215 5,956
Continental Airlines, Inc.
Series 97-1 A
7.461%, 4/1/15 AA+ 2,518 2,446
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 1,605 1,501
7.875%, 12/15/07 BB+ 18,305 17,835
Delphi Automotive Systems
Corp.
7.125%, 5/1/29 BBB 16,160 14,086
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 9,108 7,802
94-K1 A1
7.60%, 8/15/07 BB+ 5,594 5,181
94-K2 A2
9.35%, 8/15/19 BB+ 3,790 3,472
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 18,515 16,101
7.00%, 2/15/28 BBB+ 2,205 1,940
(+) Florida Windstorm
7.125%, 2/25/19 AAA 18,345 17,181
Ford Motor Co.
6.625%, 10/1/28 A+ 22,830 20,036
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 12,275 11,996
7.45%, 3/1/08 BBB- 3,795 3,678
Honeywell International,
Inc.
7.50%, 3/1/10 A 13,765 13,965
Host Marriott LP
8.375%, 2/15/06 BB 700 632
International Game
Technology
8.375%, 5/15/09 BB+ 11,170 10,173
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 7,540 7,073
Kroger Co.
8.00%, 9/15/29 BBB- 1,525 1,488
8.05%, 2/1/10 BBB- 8,855 8,907
Lenfest Communications,
Inc.
7.625%, 2/15/08 BBB 13,875 13,550
Lockheed Martin Corp.
8.20%, 12/1/09 BBB- 4,235 4,240
8.50%, 12/1/29 BBB- 14,300 14,421
Lowe's Companies, Inc.
6.50%, 3/15/29 A 23,215 19,674
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Monsanto Co.
6.60%, 12/1/28 A $ 23,610 $ 20,694
News America Holdings,
Inc.
7.75%, 2/1/24 BBB- 3,371 3,156
8.875%, 4/26/23 BBB- 860 908
News America, Inc.
7.28%, 6/30/28 BBB- 18,925 16,792
(+) Oxymar
7.50%, 2/15/16 BBB- 6,145 4,575
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 13,510 13,697
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 A 8,710 8,867
Saks, Inc.
7.375%, 2/15/19 BB+ 11,340 9,267
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 27,115 20,336
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 8,720 8,759
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 13,560 12,343
8.00%, 1/15/05 BB+ 950 907
U.S. Airways Corp., Pass
Through Certificates
8.11%, 2/20/17 AAA 8,975 9,052
USA Waste Services, Inc.
7.00%, 7/15/28 BBB 15,980 12,051
Wal-Mart Stores, Inc.
7.55%, 2/15/30 AA 22,625 23,222
Waste Management, Inc.
7.375%, 5/15/29 BBB 6,545 5,168
- ------------------------------------------------------
GROUP TOTAL 445,870
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 4 4
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02 (acquired
6/22/94, cost $126) N/R 133 133
sec.## Magnolia Federal
Bank,
Series 84-2
9.143%, 10/1/07
(acquired 5/1/87, cost
$496) N/R 506 514
## Resolution Trust Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 1,935 1,920
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 2,916 2,865
- ------------------------------------------------------
GROUP TOTAL 5,436
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
27
<PAGE> 30
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (3.2%)
!! AT&T Corp.
6.50%, 3/15/29 AA- $ 26,550 $ 23,094
BellSouth
Telecommunications, Inc.
6.375%, 6/1/28 AAA 15,755 13,540
(+) Global Crossing
Holdings Ltd.
9.125%, 11/15/06 BB 13,655 13,075
GTE Corp.
6.94%, 4/15/28 A 18,695 16,972
Intermedia Communications,
Inc.,
Series B
8.50%, 1/15/08 B 2,625 2,323
8.60%, 6/1/08 B 16,360 14,438
8.875%, 11/1/07 B 2,355 2,123
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 29,730 27,393
Nextel Communications,
Inc.
# 0.00%, 9/15/07 B 16,375 11,954
9.375%, 11/15/09 B- 5,055 4,676
Qwest Communications
International, Inc.
7.50%, 11/1/08 BB+ 130 127
Series B
# 0.00%, 2/1/08 BB+ 23,440 18,400
- ------------------------------------------------------
GROUP TOTAL 148,115
- ------------------------------------------------------
TRANSPORTATION (0.8%)
Continental Airlines, Inc.
Series:
98-1 A
6.648%, 9/15/17 AA+ 15,540 14,377
99-1 A
6.545%, 8/2/20 AA+ 4,496 4,102
(+) Jet Equipment Trust,
Series:
94-A A11
10.00%, 6/15/12 A+ 1,660 1,846
95-C
10.69%, 5/1/15 BBB 8,650 9,664
Union Pacific Corp.,
Series E
6.79%, 11/9/07 BBB- 5,200 4,914
- ------------------------------------------------------
GROUP TOTAL 34,903
- ------------------------------------------------------
U.S. TREASURY SECURITIES (6.2%)
U.S. Treasury Notes
3.375%, 1/15/07
(Inflation Indexed) Tsy 86,747 83,546
3.625%, 7/15/02
(Inflation Indexed) Tsy 59 59
3.625%, 1/15/08
(Inflation Indexed) Tsy 28,317 27,576
4.50%, 1/31/01 Tsy 80,870 79,657
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
6.00%, 8/15/09 Tsy $ 86,725 $ 85,625
6.25%, 1/31/02 Tsy 6,820 6,788
- ------------------------------------------------------
GROUP TOTAL 283,251
- ------------------------------------------------------
UTILITIES (0.6%)
CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 2,340 2,060
(+) PSEG Energy Holdings,
Inc.
9.125%, 2/10/04 BBB- 13,650 13,641
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 10,785 10,453
- ------------------------------------------------------
GROUP TOTAL 26,154
- ------------------------------------------------------
YANKEE (4.9%)
Abbey National plc
7.95%, 10/26/29 AA- 12,965 12,964
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 15,365 13,271
Glencore Nickel Property
Ltd.
9.00%, 12/1/14 BB+ 14,810 12,589
Grupo Minero Mexicano S.A.
de CV,
Series A
8.25%, 4/1/08 BB 14,560 12,631
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 17,290 16,296
(+) Hyundai Semiconductor
America
8.25%, 5/15/04 B 2,755 2,523
8.625%, 5/15/07 B 10,707 9,627
Multicanal S.A.
10.50%, 2/1/07 BB+ 245 232
10.50%, 4/15/18 BB+ 9,145 8,098
13.125%, 4/15/09 BB+ 3,970 4,194
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 11,320 10,867
(+) Oil Purchase Co. II
10.73%, 1/31/04 BBB- 2,309 2,275
Orange plc
8.75%, 6/1/06 BBB 14,130 14,573
(+) Paiton Energy Funding
BV
9.34%, 2/15/14 CC 12,325 2,496
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB 23,215 18,041
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 12,900 12,444
Republic of Argentina
11.75%, 4/7/09 BB 3,390 3,366
12.00%, 2/1/20 BB 8,000 8,069
Republic of Colombia
8.70%, 2/15/16 BB+ 16,010 12,142
11.75%, 2/25/20 BB+ 2,150 2,088
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Republic of Philippines
10.625%, 3/16/25 BB+ $ 11,100 $ 11,055
United Mexican States Par
Bond,
Series:
A
6.25%, 12/31/19 BB+ 15,535 13,246
B
6.25%, 12/31/19 BB+ 795 678
(+) Vodafone AirTouch plc
7.625%, 2/15/05 A 1,425 1,438
7.75%, 2/15/10 A 6,000 6,073
7.875%, 2/15/30 A 14,165 14,384
- ------------------------------------------------------
GROUP TOTAL 225,660
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$5,628,617) 5,484,844
- ------------------------------------------------------
PREFERRED STOCK (1.1%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (1.1%)
(+)+ Home Ownership Funding
Corp. 13.331% (Cost
$50,197) Aaa 63,325 49,679
- ------------------------------------------------------
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 $5,032) N/R $ 73,968 1,463
- ------------------------------------------------------
CASH EQUIVALENTS (15.3%)
- ------------------------------------------------------
DISCOUNT NOTES (9.6%)
Federal Home Loan Bank
5.67%, 4/24/00 49,914 49,733
5.76%, 4/5/00 50,000 49,968
6.06%, 9/15/00 40,948 39,797
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Federal Home Loan Mortgage
Corporation
5.76%, 4/11/00 $ 50,000 $ 49,920
5.80%, 4/25/00 50,000 49,807
5.85%, 5/4/00 50,000 49,732
Federal National Mortgage
Association
5.71%, 4/6/00 24,000 23,981
5.70%, 4/13/00 30,000 29,943
5.77%, 5/4/00 40,000 39,788
5.83%, 5/25/00 25,000 24,781
5.98%, 6/22/00 30,000 29,592
- ------------------------------------------------------
GROUP TOTAL 437,042
- ------------------------------------------------------
REPURCHASE AGREEMENT (5.7%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to
be repurchased at $262,837,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$265,333 262,705 262,705
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $699,747) 699,747
- ------------------------------------------------------
TOTAL INVESTMENTS (136.2%) (Cost
$6,383,593) 6,235,733
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-36.2%)
Cash 511
Dividends Receivable 2,110
Interest Receivable 53,840
Receivable for Investments Sold 3,882
Receivable for Forward Commitments 229,018
Receivable for Fund Shares Sold 9,687
Investments Held as Collateral for Loaned
Securities 542,315
Other Assets 362
Payable for Investments Purchased (14,715)
Payable for Forward Commitments (1,910,451)
Payable for Fund Shares Redeemed (6,650)
Payable for Investment Advisory Fees (4,183)
Payable for Administrative Fees (303)
Payable for Shareholder Servicing
Fees-Investment Class (6)
Payable for Distribution Fees-Adviser
Class (30)
Payable for Trustees' Deferred
Compensation Plan-Note F (288)
Payable for Daily Variation on Futures
Contracts (3,686)
Unrealized Loss on Swap Agreements (11,395)
Collateral on Securities Loaned, at Value (542,315)
Other Liabilities (3,421)
----------
(1,655,718)
- ------------------------------------------------------
NET ASSETS (100%) $4,580,015
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
29
<PAGE> 32
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 397,423,510 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $4,391,593
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.05
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 4,161,672 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 46,006
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.05
- ------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 12,896,270 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 142,416
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.04
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $4,873,611
Undistributed Net Investment Income (Loss) 74,893
Undistributed Realized Net Gain (Loss) (188,383)
Unrealized Appreciation (Depreciation) on:
Investment Securities (147,860)
Futures and Swaps (32,246)
- ------------------------------------------------------
NET ASSETS $4,580,015
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
- ----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 2000 was
$3,772,000 or 0.1% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating.
Security is not rated by Standard & Poor's
Corporation.
++ Security is fair valued by the Adviser.
x Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity.
Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 2000.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate.
Indicated rate is the effective rate at March 31,
2000.
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.
- --------------------------------------------------------------------------------
30
<PAGE> 33
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Domestic Fixed Income Portfolio invests in all sectors of the domestic
investment-grade fixed-income market. Miller Anderson & Sherrerd employs a
disciplined, research-driven approach toward identifying value in the
fixed-income markets, and will alter the Portfolio's sensitivity to changes in
corporate and mortgage yield spreads, the level of interest rates and the shape
of the yield curve in reaction to its perception of relative value in each of
these areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS DOMESTIC FIXED INCOME
---------------------------- SALOMON
INSTITUTIONAL# ADVISER@ BROAD INDEX
--------------------------------------------
<S> <C> <C> <C>
SIX MONTHS 0.72% 0.66% 2.02%
ONE YEAR (0.50) (0.74) 1.81
FIVE YEARS 6.41 6.36 7.14
TEN YEARS 8.58 8.55 8.07
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
@ Represents an investment in the Adviser Class which commenced operations
3/1/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
On December 19, 1994, shareholders approved a change in the Portfolio's
investment policies to emphasize fixed-income securities of domestic issuers
rated A or higher. Shareholders then voted on May 1, 1997, to permit the
Portfolio to invest a limited portion of its assets in fixed-income securities
of domestic issuers rated BBB at the time of purchase. The Portfolio's
performance pattern may have been affected by these changes.
* Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (122.7%)
<TABLE>
<CAPTION>
- -----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
March 31, 2000 & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (55.3%)
Federal Home Loan Mortgage
Corporation,
Conventional Pools:
10.00%, 11/1/20 Agy $ 145 $ 154
11.50%, 8/1/19 Agy 245 270
12.50%, 4/1/14 Agy 5 6
Gold Pools:
10.00%, 6/1/17-3/1/21 Agy 871 930
12.00%, 11/1/19 Agy 58 64
April TBA
6.00%, 4/1/30 Agy 34,825 31,712
6.50%, 4/1/30 Agy 9,550 8,961
Federal National Mortgage
Association,
Conventional Pools:
6.00%, 4/1/27-5/1/29 Agy 16,268 14,784
9.50%, 2/1/20-8/1/21 Agy 886 934
10.00%, 8/1/18-2/1/25 Agy 469 500
10.50%, 11/1/10-2/1/28 Agy 698 755
11.00%, 9/1/19-9/1/20 Agy 851 933
11.50%, 11/1/19-9/1/25 Agy 486 539
April TBA
6.00%, 4/1/30 Agy 6,900 6,279
Government National Mortgage
Association:
Adjustable Rate Mortgages:
6.00%, 8/20/27 Tsy 1,539 1,544
6.125%, 10/20/27-12/20/27 Tsy 726 730
6.375%, 5/20/25 Tsy 208 209
6.50%, 1/20/28 Tsy 92 92
6.625%, 7/20/27-9/20/27 Tsy 2,529 2,537
6.875%, 4/20/25-6/20/25 Tsy 946 951
7.00%, 2/20/25-8/20/25 Tsy 617 622
Various Pools:
6.875%, 2/20/27 Tsy 99 100
9.00%, 11/15/17 Tsy 318 332
9.50%, 12/15/17-12/15/21 Tsy 2,372 2,511
10.00%, 8/15/17-10/15/28 Tsy 2,040 2,180
10.50%, 2/15/13-2/15/25 Tsy 3,612 3,912
11.00%, 12/15/09-7/15/20 Tsy 377 414
11.50%, 8/15/13 Tsy 253 280
12.00%, 12/15/12-2/15/15 Tsy 166 184
April TBA
7.00%, 4/1/30 Tsy 15,850 15,352
- -----------------------------------------------------
GROUP TOTAL 98,771
- -----------------------------------------------------
ASSET BACKED CORPORATES (17.0%)
(+) Aegis Auto Receivables
Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 4 4
Arcadia Automobile
Receivables Trust,
Series 98-A A3
5.90%, 11/15/02 AAA 578 575
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
31
<PAGE> 34
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Banc One Home Equity Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA $ 354 $ 349
BankBoston Home Equity Loan
Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 214 213
Block Mortgage Finance, Inc.
Series 99-1 A1
5.94%, 9/25/13 AAA 312 309
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 922 919
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 605 598
Chevy Chase Auto Receivables
Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 520 516
## Citibank Credit Card
Master Trust I,
Series 98-7 A
6.014%, 5/15/02 AAA 550 550
Contimortgage Home Equity
Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 388 385
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 73 73
Daimler Benz Auto Grantor
Trust,
Series 97-A A
6.05%, 3/31/05 AAA 74 74
Daimler Benz Vehicle Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 195 195
Delta Funding Home Equity
Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 156 156
EQCC Home Equity Loan Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 81 80
99-3 A1F
6.548%, 4/25/10 AAA 1,183 1,173
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 55 55
First Security Auto Grantor
Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 516 513
98-A A
5.97%, 4/15/04 AAA 294 291
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
First Security Auto Owner
Trust,
Series 99-2 A2
5.492%, 4/15/02 AAA $ 466 $ 465
## First USA Credit Card
Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 375 375
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 177 177
98-A A3
5.65%, 10/15/01 AAA 123 123
99-B A3
5.47%, 9/15/01 AAA 1,351 1,345
99-C A3
5.77%, 11/15/01 AAA 1,904 1,895
99-D A3
6.20%, 4/15/02 AAA 1,890 1,882
General Motors Acceptance
Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 409 408
Green Tree Financial Corp.,
Series:
+ 98-1 A2
5.85%, 4/1/11 Aaa 139 138
99-3 A2
5.51%, 2/1/31 AAA 1,173 1,163
Green Tree Home Equity Loan
Trust,
Series 99-C A1
5.99%, 7/15/30 AAA 904 900
Green Tree Lease Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 271 270
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 486 479
Harley-Davidson Eaglemark
Motorcycle Trust,
Series:
99-1 A1
5.25%, 7/15/03 AAA 424 419
99-2 A
5.84%, 10/15/03 AAA 673 667
(+) Health Care Receivables
Securitization Program,
Series 97-1 A
6.815%, 7/1/01 AAA 200 200
+ HFC Home Equity Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa 707 704
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 95 95
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32
<PAGE> 35
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Honda Auto Receivables Owner
Trust,
Series 99-1 A2
5.186%, 6/15/01 AAA $ 280 $ 279
IMC Home Equity Loan Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 104 104
(+) Long Beach Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 72 72
MMCA Automobile Trust,
Series:
97-1 A3
6.08%, 5/15/01 AAA 3 3
99-1 A2
5.43%, 1/15/04 AAA 377 377
99-2 A1
6.30%, 6/15/02 AAA 1,133 1,133
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 375 371
Navistar Financial Corp.
Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 745 742
(+) New Holland Equipment
Receivables Trust,
Series 99-A A2
6.39%, 10/15/02 AAA 900 892
Nissan Auto Receivables
Grantor Trust,
Series:
97-A A
6.15%, 2/15/03 AAA 335 334
98-A A
5.45%, 4/15/04 AAA 872 868
+## Oakwood Mortgage
Investors, Inc.,
Series 99-B A1
6.124%, 5/15/09 Aaa 544 544
Option One Mortgage Loan
Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 509 502
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 1,549 1,543
Provident Bank Home Equity
Loan Trust,
Series 98-4 A1
6.28%, 11/25/13 AAA 73 73
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 450 436
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
+## Residential Funding
Mortgage Securities I,
Series 99-HI4 A1
6.41%, 11/25/07 Aaa $ 645 $ 640
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 250 246
97-1 A
7.35%, 5/15/03 A- 600 596
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 490 487
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 302 300
WFS Financial Owner Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 37 37
99-B A2
5.83%, 4/20/02 AAA 975 972
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 78 78
- -----------------------------------------------------
GROUP TOTAL 30,362
- -----------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity Loan
Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 3,571 53
(+) 96-3 A YMA
10/25/26 N/R 3,571 6
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 2,081 31
(+) 96-4 A11 YMA
1/15/28 AAA 2,030 3
96-4 A12 IO
1.05%, 1/15/28 AAA 391 4
(+)@ 96-4 A12 YMA
1/15/28 AAA 372 --
97-1 A10 IO
1.10%, 3/15/28 AAA 2,481 40
97-1 A10 YMA
3/15/28 N/R 2,481 4
- -----------------------------------------------------
GROUP TOTAL 141
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
33
<PAGE> 36
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) &POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-
AGENCY COLLATERAL SERIES (2.9%)
Collateralized Mortgage
Obligation Trust,
Series 16-Q Inv Fl
12.25%, 3/20/18 AAA $ 53 $ 52
Federal Home Loan Mortgage
Corporation,
Series:
63-SA Inv Fl IO
1.50%, 6/17/27 Agy 1,565 58
1887-SC Inv Fl IO
6.606%, 3/15/24 Agy 450 101
1911-C PO
11/15/23 Agy 527 322
2171 B
6.28%, 6/25/09 Agy 1,140 1,057
Structured Pass-Through
Securities,
Series T-15 A1
5.83%, 12/25/13 Agy 380 376
Federal National Mortgage
Association,
Series:
## 92-43 FC REMIC
6.725%, 10/25/21 Agy 157 157
## 94-73 F
6.625%, 12/25/20 Agy 27 27
97-53 PI IO PAC
8.00%, 8/18/27 Agy 721 207
## 97-70 FA REMIC PAC (11)
5.388%, 7/18/20 Agy 92 91
## 98-22 FA REMIC
6.471%, 4/18/22 Agy 345 343
99-42 SA Inv Fl IO
2.075%, 10/25/28 Agy 10,007 385
191 IO
8.00%, 1/1/28 Agy 1,611 471
270 2 IO
8.50%, 9/1/23 Agy 445 127
281 2 IO
9.00%, 11/1/26 Agy 489 134
291 2 IO
8.00%, 11/1/27 Agy 499 145
296 2 IO
8.00%, 4/1/24 Agy 2,171 625
Government National Mortgage
Association,
Series:
97-13 SB Inv Fl IO
2.063%, 9/16/27 Tsy 2,400 141
99-30 SA Inv Fl IO
2.583%, 8/16/29 Tsy 4,637 271
99-32 SB Inv Fl IO REMIC
2.75%, 7/16/27 Tsy 8,558 117
- -----------------------------------------------------
GROUP TOTAL 5,207
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL MORTGAGES (3.1%)
## American Southwest
Financial Securities
Corp.,
Series 93-2 S1 IO
1.091%, 1/18/09 N/A $ 5,536 $ 149
Asset Securitization Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 300 290
+## 97-D5 PS1 IO
0.972%, 2/14/41 Aaa 2,624 220
(+) Carousel Center Finance,
Inc.,
Series 1 B
7.188%, 10/15/07 A 325 319
Chase Commercial Mortgage
Securities Corp.
Series 99-2 A2
7.198%, 11/15/09 AAA 1,100 1,073
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 232 238
(+) DLJ Mortgage Acceptance
Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 2,804 116
+ First Union-Chase
Commercial Mortgage
Series 99-C2 A2
6.645%, 4/15/09 Aaa 925 867
GMAC Commercial Mortgage
Securities, Inc.,
Series:
+## 96-C1 X2 IO
1.967%, 3/15/21 Aaa 2,056 126
+## 97-C2 X IO
1.273%, 4/15/27 Aaa 3,341 181
98-C2 A2
6.42%, 8/15/08 AAA 1,175 1,092
Nomura Asset Securities
Corp.,
Series:
94-MD1 A1B
7.526%, 3/15/18 N/R 67 67
## 94-MD1 A2
7.676%, 3/15/18 N/R 125 125
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 371 367
Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 173 168
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.578%, 2/25/28 N/R 1,573 81
96-CFL X1A IO
1.093%, 2/25/28 N/R 1,305 8
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
96-CFL X2 IO
1.221%, 2/25/28 N/R $ 458 $ 9
- -----------------------------------------------------
GROUP TOTAL 5,496
- -----------------------------------------------------
ENERGY (0.9%)
Conoco, Inc.
6.95%, 4/15/29 A- 1,070 983
El Paso Energy
6.75%, 5/15/09 BBB 285 265
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 295 260
- -----------------------------------------------------
GROUP TOTAL 1,508
- -----------------------------------------------------
FEDERAL AGENCY (11.2%)
Federal National Mortgage
Association
5.25%, 1/15/09 Agy 7,375 6,454
6.25%, 5/15/29 Agy 6,240 5,626
7.25%, 1/15/10 Agy 7,950 8,003
- -----------------------------------------------------
GROUP TOTAL 20,083
- -----------------------------------------------------
FINANCE (12.6%)
American General Finance
Corp.
6.75%, 11/15/04 A+ 340 330
American General Corp.
7.50%, 7/15/25 AA- 280 268
(+) Anthem Insurance Cos.,
Inc.,
Series A
9.00%, 4/1/27 BBB+ 430 404
Associates Corp. of North
America
6.00%, 7/15/05 A+ 505 471
Bank One Corp.
6.00%, 2/17/09 A- 730 650
BankAmerica Capital Corp.
5.875%, 2/15/09 A+ 195 174
6.25%, 4/1/08 A 345 318
Beneficial Corp.,
Series F
6.47%, 11/17/08 A 310 284
(+) BT Institutional Capital
Trust,
Series A
8.09%, 12/1/26 A 150 140
Chase Manhattan Corp.
6.00%, 2/15/09 A 415 373
7.00%, 11/15/09 A 240 231
CIT Group, Inc.
5.91%, 11/23/05 A+ 595 552
(+) Citicorp,
Series F
6.375%, 11/15/08 A+ 805 744
EOP Operating LP
6.763%, 6/15/07 BBB 165 152
7.25%, 6/15/28 BBB 300 255
7.50%, 4/19/29 BBB+ 365 320
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Equitable Companies, Inc.
6.50%, 4/1/08 A+ $ 290 $ 270
(+) Equitable Life Assurance
Society of the U.S.,
Series 1A
6.95%, 12/1/05 A+ 860 830
(+) Farmers Exchange Capital
7.05%, 7/15/28 A+ 455 391
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 475 486
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 557 477
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A- 575 556
FleetBoston Financial Corp.
6.625%, 2/1/04 A- 230 224
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 350 344
Ford Motor Credit Co.
7.375%, 10/28/09 A+ 130 128
General Electric Capital
Corp.
7.375%, 1/19/10 AAA 830 839
General Motors Acceptance
Corp.
7.75%, 1/19/10 A 785 789
(+) Goldman Sachs Group LP
6.50%, 2/25/09 A+ 335 307
Hartford Life Corp.
7.65%, 6/15/27 A 510 492
Household Finance Corp.
5.875%, 2/1/09 A 105 93
6.375%, 8/1/10 A 630 566
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 710 686
(+) John Hancock Financial
Services, Inc.
7.375%, 2/15/24 AA- 930 876
Merck & Co., Inc.
5.95%, 12/1/28 AAA 440 371
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 400 357
7.80%, 11/1/25 A+ 250 244
Nationsbank Corp.
6.80%, 3/15/28 A 265 231
(+) Nationwide Mutual Life
Insurance Co.
7.50%, 2/15/24 A+ 755 663
(+) New England Mutual,
Series DTC
7.875%, 2/15/24 A+ 350 348
Northern Trust Co.
6.625%, 10/1/03 AA- 955 934
!! Norwest Financial, Inc.
5.625%, 2/3/09 A+ 1,035 906
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 360 354
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
35
<PAGE> 38
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) &POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ $ 625 $ 575
(+) Prime Property Funding
II, Inc.
7.00%, 8/15/04 A 400 385
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 1,050 1,087
Washington Mutual Capital I
8.375%, 6/1/27 BBB- 180 170
Washington Mutual, Inc.
8.25%, 4/1/10 BBB- 420 421
Series A
8.206%, 2/1/27 BBB- 315 294
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 466 435
96 WFP-D
6.95%, 9/1/13 AA- 845 784
- -----------------------------------------------------
GROUP TOTAL 22,579
- -----------------------------------------------------
INDUSTRIALS (15.4%)
Albertson's, Inc.
7.45%, 8/1/29 A 620 594
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 759 707
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 605 534
Comcast Cable Communications
6.20%, 11/15/08 BBB 395 354
Continental Airlines, Inc.
Series 97-1 A
7.461%, 4/1/15 AA+ 336 326
DaimlerChrylser Holdings
7.20%, 9/1/09 A+ 955 935
Dayton Hudson Corp.
6.65%, 8/1/28 A- 505 443
6.75%, 1/1/28 A- 205 182
Delphi Automotive Systems
Corp.
7.125%, 5/1/29 BBB 900 785
Federated Department Stores,
Inc.
6.90%, 4/1/29 BBB+ 675 587
7.00%, 2/15/28 BBB+ 85 75
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,160 1,086
Ford Motor Co.
6.625%, 10/1/28 A+ 1,240 1,088
Hertz Corp.
7.625%, 8/15/07 A- 755 756
Home Depot, Inc.
6.50%, 9/15/04 AA- 1,010 986
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
Honeywell International,
Inc.
7.50%, 3/1/10 A $ 615 $ 624
IBM Corp.
6.50%, 1/15/28 A+ 915 825
Johnson & Johnson
6.625%, 9/1/09 AAA 975 938
Kroger Co.
7.70%, 6/1/29 BBB- 710 669
8.05%, 2/1/10 BBB- 175 176
Lockheed Martin Corp.
8.20%, 12/1/09 BBB- 515 516
Lowe's Companies, Inc.
6.50%, 3/15/29 A 625 530
6.875%, 2/15/28 A 380 339
Lucent Technologies, Inc.
6.45%, 3/15/29 A 1,020 908
May Department Stores Co.
6.70%, 9/15/28 A+ 1,010 889
Monsanto Co.
6.60%, 12/1/28 A 910 798
Neiman Marcus Group, Inc.
6.65%, 6/1/08 BBB 785 712
News America Holdings, Inc.
7.75%, 1/20/24 BBB- 240 225
7.75%, 2/1/24 BBB- 440 412
8.875%, 4/26/23 BBB- 295 311
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 700 629
Procter & Gamble Co.
6.60%, 12/15/04 AA 1,590 1,550
6.875%, 9/15/09 AA 470 459
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 535 542
Rockwell International Corp.
6.70%, 1/15/28 A+ 700 617
Scotia Pacific Co. LLC
7.71%, 1/20/14 BBB 390 293
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 370 372
Times Mirror Co
7.45%, 10/15/09 A 405 400
U.S. Airways Corp.,
Pass Through Certificates
8.11%, 2/20/17 AAA 330 333
Series 98-1
6.85%, 1/30/18 A+ 867 758
Union Pacific Co.
6.625%, 2/1/29 BBB- 600 503
United Technologies Corp.
6.70%, 8/1/28 A+ 1,205 1,083
Wal-Mart Stores, Inc.
6.875%, 8/10/09 AA 1,700 1,657
- -----------------------------------------------------
GROUP TOTAL 27,506
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE> 39
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
NON-AGENCY FIXED RATE
MORTGAGE (0.1%)
## Gemsco Mortgage Pass
Through Certificate,
Series 87-A
8.635%, 11/25/10 AA $ 143 $ 141
## Resolution Trust Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 19 19
- -----------------------------------------------------
GROUP TOTAL 160
- -----------------------------------------------------
TELEPHONES (2.1%)
!! AT&T Corp.
6.50%, 3/15/29 AA- 1,030 896
BellSouth
Telecommunications, Inc.
6.375%, 6/1/28 AAA 645 555
Comcast Cable Communications
8.375%, 5/1/07 BBB 185 190
GTE Corp.
6.94%, 4/15/28 A 1,190 1,080
MCI Communications Corp.
6.95%, 8/15/06 A- 170 166
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 990 912
- -----------------------------------------------------
GROUP TOTAL 3,799
- -----------------------------------------------------
TRANSPORTATION (1.4%)
Burlington Northern Santa Fe
6.70%, 8/1/28 BBB+ 910 786
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 327 303
99-1 A
6.545%, 8/2/20 AA+ 429 391
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 395 439
# United Parcel Service
8.375%, 4/1/20 AAA 575 635
- -----------------------------------------------------
GROUP TOTAL 2,554
- -----------------------------------------------------
UTILITIES (0.6%)
CMS Panhandle Holdings Co.
7.00%, 7/15/29 BBB- 640 563
(+) Southern Energy, Inc.
7.90%, 7/15/09 BBB 460 446
- -----------------------------------------------------
GROUP TOTAL 1,009
- -----------------------------------------------------
TOTAL FIXED INCOME (Cost $225,095) 219,175
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POORS) SHARES (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCK (0.5%)
- -----------------------------------------------------
MORTGAGE-OTHER (0.5%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost $915) Aaa 1,200 $ 941
- -----------------------------------------------------
CASH EQUIVALENTS (11.1%)
- -----------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
DISCOUNT NOTES (7.8%)
Federal Home Loan Mortgage
Corporation
5.80%, 4/25/00 $ 7,000 6,972
Federal National Mortgage
Association
5.90%, 4/24/00 7,000 6,974
- -----------------------------------------------------
GROUP TOTAL 13,946
- -----------------------------------------------------
REPURCHASE AGREEMENT (3.3%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to be
repurchased at $5,855,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$5,911 5,852 5,852
- -----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $19,798) 19,798
- -----------------------------------------------------
TOTAL INVESTMENTS (134.3%) (Cost $245,808) 239,914
- -----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-34.3%)
Dividends Receivable 40
Interest Receivable 2,277
Receivable for Investments Sold 125
Receivable for Fund Shares Sold 177
Investments Held as Collateral for Loaned
Securities 10,640
Other Assets 12
Payable to Custodian (82)
Payable for Investments Purchased (882)
Payable for Forward Commitments (62,030)
Payable for Fund Shares Redeemed (10)
Payable for Investment Advisory Fees (163)
Payable for Administrative Fees (12)
Payable for Trustees' Deferred Compensation
Plan-Note F (9)
Payable for Daily Variation on Futures
Contracts (154)
Unrealized Loss on Swap Agreements (310)
Collateral on Securities Loaned, at Value (10,640)
Other Liabilities (190)
--------
(61,211)
- -----------------------------------------------------
NET ASSETS (100%) $178,703
- -----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- -----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 17,235,488 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $177,394
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.29
- -----------------------------------------------------
ADVISER CLASS
- -----------------------------------------------------
NET ASSETS
Applicable to 127,486 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 1,309
- -----------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.27
- -----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $189,667
Undistributed Net Investment Income (Loss) 3,245
Undistributed Realized Net Gain (Loss) (6,976)
Unrealized Appreciation (Depreciation) on:
Investment Securities (5,894)
Futures and Swaps (1,339)
- -----------------------------------------------------
NET ASSETS $178,703
- -----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
- ----------------------------------------------------------
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 2000.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 2000.
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.
- --------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The High Yield Portfolio applies Miller Anderson & Sherrerd's analytical
capabilities to a specialized fixed-income fund, investing primarily in
below-investment-grade corporate bonds selected through study of the
credit-worthiness of the underlying companies. MAS's strategy uses equity and
fixed-income valuation techniques and analyses of economic and industry trends
to determine the Portfolio's structure. Individual securities are selected and
monitored by managers specializing in corporate bonds and using in-depth
financial analysis to uncover opportunities in undervalued issues.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
CS FIRST
MAS HIGH YIELD BOSTON SALOMON
--------------------------------------- HIGH YIELD HIGH YIELD
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX INDEX
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SIX MONTHS 3.38% 3.21% 3.21% 0.77% (0.93)%
ONE YEAR 3.30 3.02 3.01 0.30 (2.38)
FIVE YEARS 11.85 11.69 11.67 7.79 7.89
TEN YEARS 12.75 12.67 12.66 11.20 11.00
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. High-yield fixed-income securities, otherwise known as
"junk bonds," represent a much greater risk of default and tend to be more
volatile than higher-rated bonds.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
5/21/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
1/31/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* Total returns are compared to the CS First Boston High Yield Index, an
unmanaged market index. Previously, the Portfolio's returns had been compared to
the Salomon High Yield Index. The Adviser believes that the CS First Boston High
Yield Index has a more comprehensive coverage of geographic regions and types of
securities in which the Portfolio may invest. Returns for periods less than one
year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (94.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (0.5%)
(+)++ 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 1,222 1,215
(+) OHA Auto Grantor
Trust, Series 97-A
11.00%, 9/15/03 BB 3,073 2,940
- ----------------------------------------------------------
GROUP TOTAL 5,328
- ----------------------------------------------------------
AUTOMOTIVE (1.9%)
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 11,705 9,861
Tenneco, Inc.
Series B
11.625%, 10/15/09 B+ 9,515 9,325
- ----------------------------------------------------------
GROUP TOTAL 19,186
- ----------------------------------------------------------
CABLE (10.5%)
Adelphia
Communications
Corp.
7.75%, 1/15/09 B+ 7,905 6,719
9.375%, 11/15/09 B+ 5,160 4,838
Series B:
8.375%, 2/1/08 B+ 10,925 9,723
9.875%, 3/1/07 B+ 1,500 1,463
Cablevision S.A.
13.75%, 5/1/09 BB 4,200 4,158
(+) Charter
Communications
Holdings
10.25%, 1/15/10 B+ 6,275 6,048
CSC Holdings, Inc.
9.875%, 5/15/06 BB- 5,270 5,375
Echostar DBS Corp.
9.375%, 2/1/09 B 12,700 12,319
Multicanal S.A.
10.50%, 2/1/07 BB+ 5,940 5,628
13.125%, 4/15/09 BB+ 1,655 1,748
# NTL, Inc.
Series B
0.00%, 4/1/08 B- GBP 11,150 11,707
OnePoint
Communications
Corp.
14.50%, 6/1/08 N/R $ 4,100 2,660
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
# RCN Corp.
0.00%, 10/15/07 B- $ 14,900 $ 9,536
Series B
0.00%, 2/15/08 B- 5,350 3,183
(+)# Telewest plc
0.00%, 4/15/09 B+ GBP 12,860 11,993
United Pan-Europe
Communications N.V.
10.875%, 8/1/09 B $ 10,100 9,494
- ----------------------------------------------------------
GROUP TOTAL 106,592
- ----------------------------------------------------------
CHEMICALS (2.6%)
Huntsman ICI
10.125%, 7/1/09 B+ 5,650 5,452
10.125%, 7/1/09 B+ EUR 4,850 4,817
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- $ 9,100 8,372
Lyondell Chemical Co.
9.625%, 5/1/07 BB 7,850 7,458
(+) Oxymar
7.50%, 2/15/16 BBB- 1,110 826
- ----------------------------------------------------------
GROUP TOTAL 26,925
- ----------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY COLLATERAL
SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 B3 426 193
- ----------------------------------------------------------
COMMERCIAL MORTGAGES (0.5%)
(+)## DLJ Mortgage
Acceptance Corp.
Series 97-CF2 S IO
CMO
0.313%, 10/15/17 AAA 101,202 1,995
(+) Franchise
Mortgage Acceptance
Corp., Loan
Receivables Trust,
Series 96-B C IO
7.929%, 11/1/18 N/R 3,937 1,378
+## GMAC Commercial
Mortgage
Securities, Inc.,
Series 96-C1 X2 IO
1.967%, 3/15/21 Aaa 13,155 808
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.578%, 2/25/28 N/R 9,874 506
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
96-CFL X1A IO
1.093%, 2/25/28 N/R $ 8,140 $ 51
96-CFL X2 IO
1.221%, 2/25/28 N/R 2,678 52
- ----------------------------------------------------------
GROUP TOTAL 4,790
- ----------------------------------------------------------
COMMUNICATIONS-FIXED (18.5%)
(+) Bayan
Telecommunications
Holdings Corp.
13.50%, 7/15/06 B- 11,200 9,464
Esprit Telecom Group plc
11.00%, 6/15/08 B- EUR 2,953 2,614
11.50%, 12/15/07 B- 1,892 1,720
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 BB $ 11,500 11,097
(+) Globix Corp.
12.50%, 2/1/10 N/R 7,000 6,440
(+)# GT Group Telecom
0.00%, 2/1/10 CCC+ 10,300 5,665
Hermes Europe Railtel
10.375%, 1/15/09 B 2,200 1,986
11.50%, 8/15/07 B 5,470 5,142
# Hyperion
Telecommunications, Inc.
0.00%, 4/15/03 B+ 8,445 7,706
# Intermedia
Communications, Inc.
Series B
0.00%, 7/15/07 B 18,965 14,793
(+) Maxcom
Telecommunications
13.75%, 4/1/07 N/R 7,750 7,924
Metromedia Fiber
Network, Inc.
10.00%, 12/15/09 B+ 9,350 8,838
Netia Holdings S.A.
13.50%, 6/15/09 B 7,500 7,484
NEXTLINK
Communications
# 0.00%, 4/15/08 B 8,090 4,854
10.75%, 11/15/08 B 4,065 3,913
Primus
Telecommunications
Group, Inc.
11.25%, 1/5/09 B- 7,750 7,140
Series B
9.875%, 5/15/08 B- 6,120 5,355
PSINet, Inc.
11.00%, 8/1/09 B- 7,680 7,488
Series B
10.00%, 2/15/05 B- 4,465 4,242
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) Rhythms
NetConnections,
Inc.
14.00%, 2/15/10 CCC+ $ 6,250 $ 5,562
Series B
# 0.00%, 5/15/08 CCC+ 9,950 4,876
RSL Communications
plc
# 0.00%, 3/1/08 B- 7,790 4,207
# 0.00%, 3/15/08 B- EUR 6,954 3,694
# 0.00%, 6/15/08 B- $ 2,735 1,453
9.125%, 3/1/08 B- 9,510 7,560
9.875%, 11/15/09 B- 3,350 2,714
12.00%, 11/1/08 B- 3,000 2,745
12.25%, 11/15/06 B- 300 291
Tele1 Europe B.V.
13.00%, 5/15/09 N/R EUR 6,460 6,585
# Viatel, Inc.
0.00%, 4/15/08 B- $ 12,490 7,244
# Wam!Net, Inc.
Series B
0.00%, 3/1/05 CCC+ 8,000 4,480
(+)# Winstar
Communications,
Inc.
0.00%, 4/15/10 B- 27,150 12,659
- ----------------------------------------------------------
GROUP TOTAL 187,935
- ----------------------------------------------------------
COMMUNICATIONS-MOBILE (8.7%)
(+) American Mobile Satellite
Corp.
Series B
12.25%, 4/1/08 N/R 7,200 5,616
(+) Cellco Finance
N.V.
12.75%, 8/1/05 B- 4,680 4,914
Centennial Cellular Corp.
10.75%, 12/15/08 B- 10,100 10,150
# CTI Holdings S.A.
0.00%, 4/15/08 B 11,915 7,745
# Dolphin
Telecommunications
0.00%, 6/1/08 CCC+ EUR 12,750 4,862
0.00%, 5/15/09 CCC+ $ 4,980 1,917
Globalstar LP/Capital
11.375%, 2/15/04 B 7,625 2,669
(+) Grupo Isusacell
S.A. de C.V.
14.25%, 12/1/06 B+ 8,200 9,000
(+)x Iridium Capital
Corp.,
Series A
13.00%, 7/15/05 D 10,475 210
# Nextel
Communications,
Inc.
0.00%, 9/15/07 B 18,000 13,140
0.00%, 2/15/08 B 11,295 7,681
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 10,980 6,917
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
(+) PTC International
Finance
11.25%, 12/1/09 B+ $ 8,300 $ 8,481
(+) Total Access
Communication
(Convertible) PCL
2.00%, 5/31/06 BBB- 2,140 2,418
(+) Voicestream
Wireless Corp.
10.375%, 11/15/09 B- 2,885 2,885
- ----------------------------------------------------------
GROUP TOTAL 88,605
- ----------------------------------------------------------
ENERGY (2.5%)
# Husky Oil Ltd.
8.90%, 8/15/28 BB+ 5,210 4,911
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 899 863
Snyder Oil Corp.
8.75%, 6/15/07 BB- 9,725 9,433
Vintage Petroleum,
Inc.
8.625%, 2/1/09 B+ 5,830 5,480
9.75%, 6/30/09 B+ 4,480 4,491
- ----------------------------------------------------------
GROUP TOTAL 25,178
- ----------------------------------------------------------
FINANCE (0.9%)
GS Escrow Corp.
7.125%, 8/1/05 BB+ 10,460 9,282
- ----------------------------------------------------------
FOOD & BEVERAGE (1.1%)
Smithfield Foods,
Inc.
7.625%, 2/15/08 BB+ 12,700 11,049
- ----------------------------------------------------------
GAMING (6.7%)
Harrahs Operating
Co., Inc.
7.875%, 12/15/05 BB+ 12,800 11,808
Horseshoe Gaming
Holdings
8.625%, 5/15/09 B+ 11,500 10,522
International Game
Technology
8.375%, 5/15/09 BB+ 14,430 13,142
Park Place
Entertainment Corp.
7.875%, 12/15/05 BB+ 8,400 7,728
8.50%, 11/15/06 BBB- 4,900 4,753
Station Casinos, Inc.
8.875%, 12/1/08 B+ 10,110 9,402
9.75%, 4/15/07 B+ 7,195 7,087
10.125%, 3/15/06 B+ 3,400 3,417
- ----------------------------------------------------------
GROUP TOTAL 67,859
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
GENERAL INDUSTRY (1.2%)
Applied Power, Inc.
8.75%, 4/1/09 B+ $ 4,350 $ 4,448
Axia, Inc.
10.75%, 7/15/08 B- 5,450 4,196
Sequa Corp.
9.00%, 8/1/09 BB 4,055 3,751
- ----------------------------------------------------------
GROUP TOTAL 12,395
- ----------------------------------------------------------
HEALTH CARE (6.4%)
Columbia/HCA
Healthcare Corp.
6.91%, 6/15/05 BB+ 10,000 9,095
7.00%, 7/1/07 BB+ 5,135 4,563
7.15%, 3/30/04 BB+ 5,400 5,015
7.25%, 5/20/08 BB+ 2,630 2,336
7.58%, 9/15/25 BB+ 750 615
7.69%, 6/15/25 BB+ 10,800 8,965
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 11,565 10,293
(+) Sirona Dental
Systems
9.125%, 7/15/08 B EUR 3,878 2,914
Tenet Healthcare
Corp.
7.625%, 6/1/08 BB+ $ 800 728
8.625%, 1/15/07 BB- 7,000 6,615
Series B
8.125%, 12/1/08 BB- 14,700 13,377
- ----------------------------------------------------------
GROUP TOTAL 64,516
- ----------------------------------------------------------
HOTELS, LODGING & RESTAURANTS (3.2%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 12,000 11,101
HMH Properties
7.875%, 8/1/08 BB 1,000 847
Series A
7.875%, 8/1/05 BB 15,490 13,709
Host Marriott Travel
Plaza
8.375%, 2/15/06 BB 355 320
9.50%, 5/15/05 BB- 6,385 6,561
- ----------------------------------------------------------
GROUP TOTAL 32,538
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (4.9%)
Chancellor Media
Corp.
9.00%, 10/1/08 B 8,000 8,040
Series B
8.125%, 12/15/07 B 12,000 11,820
Outdoor Systems, Inc.
8.875%, 6/15/07 BB+ 10,195 10,335
Satelites Mexicanos S.A.
10.125%, 11/1/04 B- 5,125 4,202
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 10,440 10,023
(+) XM Satellite
Radio Holdings,
Inc.
14.00%, 3/15/10 N/R $ 5,225 $ 5,029
- ----------------------------------------------------------
GROUP TOTAL 49,449
- ----------------------------------------------------------
METALS (2.7%)
Algoma Steel, Inc.
12.375%, 7/15/05 B 2,000 1,930
(+) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 B+ 2,500 2,368
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 4,165 3,540
Murrin Murrin
Holdings Ltd.
9.375%, 8/31/07 BB- 10,925 9,614
National Steel Corp.
Series D
9.875%, 3/1/09 B+ 8,975 8,795
(+)++x NSM Steel,
Inc.
12.25%, 2/1/08 D 5,105 5
Republic Technologies
International LLC
13.75%, 7/15/09 B 1,105 276
13.75%, 7/15/09 B 4,750 1,188
- ----------------------------------------------------------
GROUP TOTAL 27,716
- ----------------------------------------------------------
PACKAGING & CONTAINERS (3.9%)
Impress Metal
Packaging Holdings
9.875%, 5/29/07 B EUR 6,128 5,719
Indah Kiat Finance
Mauritius
10.00%, 7/1/07 CCC+ $ 9,850 7,043
Norampac, Inc.
9.50%, 2/1/08 BB 8,300 8,134
Pacifica Papers, Inc.
10.00%, 3/15/09 B+ 8,790 8,636
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 11,400 8,237
Tembec Industries,
Inc.
8.625%, 6/30/09 BB+ 2,300 2,191
- ----------------------------------------------------------
GROUP TOTAL 39,960
- ----------------------------------------------------------
REAL ESTATE/BUILDING (2.4%)
American Standard
7.125%, 6/1/06 BB- EUR 3,045 2,886
D. R. Horton, Inc.
8.00%, 2/1/09 BB $ 10,980 9,086
Nortek, Inc.,
Series B
8.875%, 8/1/08 B+ 13,340 12,039
- ----------------------------------------------------------
GROUP TOTAL 24,011
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
RETAIL (5.0%)
DR Structured
Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ $ 3,130 $ 2,681
94-K1 A1
7.60%, 8/15/07 BB+ 3,202 2,966
94-K1 A2
8.375%, 8/15/15 BB+ 1,930 1,673
94-K2 A2
9.35%, 8/15/19 BB+ 4,910 4,498
(+) Groupo Elecktra,
S.A. de C.V.
12.00%, 4/1/08 B+ 5,230 5,086
HMV Media Group plc
10.875%, 5/15/08 B GBP 4,050 5,219
Series B
10.25%, 5/15/08 B $ 3,255 2,474
Kmart Financing
7.75%, 6/15/16 B+ 112 4,798
Kmart Funding Corp.
8.80%, 7/1/10 BB+ 7,240 6,791
Musicland Group, Inc.
9.00%, 6/15/03 B- 4,520 3,932
Series B
9.875%, 3/15/08 B- 12,700 10,414
- ----------------------------------------------------------
GROUP TOTAL 50,532
- ----------------------------------------------------------
SERVICES (2.7%)
# Norcal Waste
Systems, Inc.
0.00%, 11/15/05 BB- 7,740 8,050
Waste Management, Inc
6.875%, 5/15/09 BBB 3,725 3,135
7.00%, 10/15/06 BBB 11,300 9,957
7.125%, 10/1/07 BBB 3,200 2,794
7.125%, 12/15/17 BBB 1,750 1,394
7.65%, 3/15/11 BBB 2,860 2,491
- ----------------------------------------------------------
GROUP TOTAL 27,821
- ----------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (1.7%)
Republic of Brazil
12.75%, 1/15/20 B+ 7,500 7,438
Republic of Colombia
9.75%, 4/23/09 BB+ 5,000 4,443
Republic of
Philipines
10.625%, 3/16/25 BB+ 4,960 4,940
- ----------------------------------------------------------
GROUP TOTAL 16,821
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
SUPERMARKET/DRUG (1.4%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- $ 7,700 $ 7,267
Stater Bros.
Holdings, Inc.
10.75%, 8/15/06 B 7,410 7,410
- ----------------------------------------------------------
GROUP TOTAL 14,677
- ----------------------------------------------------------
TECHNOLOGY (0.9%)
Entex Information
Services, Inc.
12.50%, 8/1/06 B- 1,490 1,490
(+) Hyundai
Semiconductor
America
8.25%, 5/15/04 B 1,042 954
8.625%, 5/15/07 B 7,050 6,339
- ----------------------------------------------------------
GROUP TOTAL 8,783
- ----------------------------------------------------------
TRANSPORTATION (1.2%)
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 3,999
95-D
11.44%, 11/1/14 BBB 2,350 2,700
- ----------------------------------------------------------
GROUP TOTAL 12,352
- ----------------------------------------------------------
UTILITIES (2.4%)
AES Corp.
8.50%, 11/1/07 B+ 10,225 8,921
CMS Energy Corp.
7.50%, 1/15/09 BB 11,400 10,041
(+) Paiton Energy
Funding
9.34%, 2/15/14 CC 6,735 1,364
(+) PSEG Energy
Holdings
9.125%, 2/10/04 BBB- 555 555
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 3,290 3,174
- ----------------------------------------------------------
GROUP TOTAL 24,055
- ----------------------------------------------------------
TOTAL FIXED INCOME SECURITIES ($1,050,966) 958,548
- ----------------------------------------------------------
COMMON STOCK (0.2%)
- ----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMUNICATIONS (0.2%)
Tele 1 Europe ADR
(Cost $0) 121,400 2,322
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
CONVERTIBLE PREFERRED STOCK (0.1%)
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
*(+) Paxson
Communications
Corp. PIK,
9.75% (Cost $1,130) N/R 13,123 $ 1,207
- ----------------------------------------------------------
PREFERRED STOCKS (2.9%)
- ----------------------------------------------------------
COMMUNICATIONS (2.3%)
* Concentric Network
Corp., PIK,
Series B
13.50% CCC- 59,544 6,062
* Dobson
Communications
Corp.
13.00% N/R 73,459 7,787
IXC Communications,
Inc.,
Series B PIK
7.25% CCC+ 7,308 7,747
* Nextel
Communications,
Inc.,
13.00% CCC+ 2,175 2,207
- ----------------------------------------------------------
GROUP TOTAL 23,803
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.6%)
Paxson Communications
Corp.,
13.25% CCC+ 56,941 5,779
- ----------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $25,625) 29,582
- ----------------------------------------------------------
WARRANTS (0.2%)
- ----------------------------------------------------------
COMMUNICATIONS (0.2%)
*(+) American Mobile
Satellite Corp.
expiring 4/1/08 N/R 62,850 364
*(+) Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 5,250 184
*(+)@ Iridium World
Communications
Ltd., expiring
7/15/05 N/R 1,920 --
* Occidente y Caribe
Cellular expiring
3/15/04 N/R 56,770 852
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
*(+) OnePoint
Communications
Corp. expiring
6/1/08 N/R 41,000 $ 4
*(+) Wam!Net, Inc.
expiring 3/1/05 N/R 18,975 21
- ----------------------------------------------------------
GROUP TOTAL 1,425
- ----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*(+) Paxson
Communications
Corp. expiring
6/30/03 N/R 3,616 1
- ----------------------------------------------------------
METALS (0.0%)
*(+) NSM Steel, Inc.
expiring 2/1/08 N/R 3,231,942 3
(+)@ Republic Technologies
International LLC expiring
7/15/09 5,855 --
- ----------------------------------------------------------
GROUP TOTAL 3
- ----------------------------------------------------------
TOTAL WARRANTS (Cost $3,751) 1,429
- ----------------------------------------------------------
CASH EQUIVALENTS (1.2%)
- ----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
TREASURY BILL (0.0%)
!! U.S. Treasury Bill
5.33%, 4/20/2000 (Cost $499) $ 500 499
- ----------------------------------------------------------
REPURCHASE AGREEMENT (1.2%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to
be repurchased at $11,758,
collateralized by various
U.S. Government Obligations,
due 4/3/00-11/15/02, valued
at $11,870 (Cost $11,752) 11,752 11,752
- ----------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $12,251) 12,251
- ----------------------------------------------------------
TOTAL INVESTMENTS (99.0%) (Cost $1,093,723) 1,005,339
- ----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (1.0%)
Cash $ 1,456
Foreign Currency Held as Collateral on
Futures Contracts (Cost $512) 515
Interest Receivable 21,677
Receivable for Investments Sold 8,110
Receivable for Fund Shares Sold 2,340
Receivable for Daily Variation Margin on
Future Contracts 85
Unrealized Gain for Variation Margin 2
Unrealized Gain on Forward Foreign Currency
Contracts 2,740
Other Assets 68
Payable for Investments Purchased (13,185)
Payable for Fund Shares Redeemed (12,756)
Payable for Investment Advisory Fees (1,174)
Payable for Administrative Fees (69)
Payable for Trustees' Deferred Compensation
Plan-Note F (52)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Payable for Distribution Fees-Adviser Class (4)
Other Liabilities (36)
----------
9,716
- ----------------------------------------------------------
NET ASSETS (100%) $1,015,055
- ----------------------------------------------------------
INSTITUTIONAL CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 114,989,660 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 987,193
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.59
- ----------------------------------------------------------
INVESTMENT CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 957,602 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 8,234
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.60
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------------
<S> <C> <C> <C>
ADVISER CLASS
- ----------------------------------------------------------
NET ASSETS
Applicable to 2,287,923 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 19,628
- ----------------------------------------------------------
NET ASSET VALUE PER SHARE $ 8.58
- ----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $1,086,076
Undistributed Net Investment Income (Loss) 24,881
Undistributed Realized Net Gain (Loss) (10,701)
Unrealized Appreciation (Depreciation) on:
Investment Services (88,384)
Foreign Currency Transactions 2,671
Futures 512
- ----------------------------------------------------------
NET ASSETS $1,015,055
- ----------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin
+ Moody's Investors Service, Inc. rating. Security is
not Rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
x Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 2000.
@ Value is less than $500.
CMO Collateralized Mortgage Obligation
EUR Euro
GBP British Pound
IO Interest Only
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
PCL Public Company Limited
PIK Payment-In-Kind Security
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Cash Reserves Portfolio is a money market fund which invests in only the
highest quality short-term investment securities. The fund looks to maximize
current income while preserving capital and liquidity. The Portfolio purchases
cash equivalents with maturities of up to 13 months using high-grade (A1/P1)
commercial paper and other money market securities, such as repurchase
agreements and U.S. Treasury Bills.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
LIPPER SALOMON
MAS CASH RESERVES MONEY 1-MONTH
---------------------------- MARKET TREASURY
INSTITUTIONAL# INVESTMENT< AVERAGE BILL INDEX
---------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 2.74% 2.67% 2.50% 2.41%
ONE YEAR 5.23 5.13 4.70 4.70
FIVE YEAR 5.35 5.33 4.87 4.86
SINCE INCEPTION 4.89 4.88 4.54 4.46
7-DAY EFFECTIVE YIELD
5.85 5.85
7-DAY YIELD 5.69 5.54
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The 7-day yield quotation more closely reflects the current earnings of the
Portfolio than the total return quotation. You may obtain the Portfolio's
current 7-day yield by calling 1-800-354-8185.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
8/16/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have be lower.
An investment in the Fund is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the Fund seeks to
preserve the value of your investment at $1.00 per share, it is possible to lose
money by investing in the Fund.
* The Cash Reserves Portfolio commenced operations on 8/29/90. Total returns are
compared to the Lipper Money Market Average of money market funds and the
Salomon 1-Month Treasury Bill Index. While the Portfolio may invest in the
government securities represented by the Salomon 1-Month Treasury Bill Index, it
also invests in non-government issues and securities with maturities greater
than one month. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
COMMERCIAL PAPER (57.9%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
FACE
AMOUNT VALUE
MARCH 31, 2000 (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
BANKING (3.2%)
Bank of America Corp.
5.92%, 4/12/00 $ 3,000 $ 2,995
First Union Corp.
6.04%, 6/6/00 1,000 989
- ----------------------------------------------------
GROUP TOTAL 3,984
- ----------------------------------------------------
COMPUTER HARDWARE (1.2%)
IBM Credit Corp.
5.85%, 5/12/00 1,500 1,490
- ----------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES (4.8%)
Associates First Capital Corp.
6.07%, 5/24/00 2,000 1,982
General Electric Capital Corp.
5.94%, 8/9/00 1,500 1,468
5.95%, 8/21/00 1,500 1,465
6.00%, 9/5/00 1,000 974
- ----------------------------------------------------
GROUP TOTAL 5,889
- ----------------------------------------------------
DIVERSIFIED MANUFACTURING (1.2%)
Minnesota Mining & Manufacturing
Corp.
6.02%, 5/24/00 1,500 1,487
- ----------------------------------------------------
FINANCE-AUTOMOTIVE (8.3%)
BMW U.S. Capital Corp.
5.97%, 5/22/00 1,500 1,487
6.04%, 5/19/00 1,796 1,782
Daimler-Chrysler N.A. Holdings,
Inc.
5.83%, 4/7/00 2,000 1,998
5.85%, 5/19/00 1,500 1,488
Ford Motor Credit Co.
5.94%, 5/18/00 2,000 1,984
6.04%, 5/24/00 1,500 1,487
- ----------------------------------------------------
GROUP TOTAL 10,226
- ----------------------------------------------------
FINANCE-CONSUMER (4.0%)
New Center Asset Trust Corp.
5.90%, 6/7/00 2,000 1,978
6.08%, 6/19/00 1,500 1,480
Norwest Financial Corp.
6.00%, 6/1/00 1,500 1,482
- ----------------------------------------------------
GROUP TOTAL 4,940
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46
<PAGE> 49
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
FINANCE-CORPORATE (2.8%)
Ciesco LP Corp.
5.83%, 4/25/00 $ 2,000 $ 1,992
CIT Group Holdings, Inc.
6.00%, 7/10/00 1,500 1,475
- ----------------------------------------------------
GROUP TOTAL 3,467
- ----------------------------------------------------
INSURANCE (1.6%)
American General Corp.
5.84%, 4/3/00 2,000 1,999
- ----------------------------------------------------
INTEGRATED OIL COMPANIES (2.8%)
Chevron Corp.
5.82%, 4/14/00 3,500 3,493
- ----------------------------------------------------
INTERNATIONAL BANKS (14.0%)
ABN-Amro N.A. Finance
6.12%, 6/30/00 2,500 2,462
Commerzbank U.S. Finance, Inc.
6.08%, 6/29/00 1,500 1,477
Cregem North America, Inc.
5.86%, 5/10/00 3,000 2,981
Deutsche Bank
5.91%, 5/23/00 2,000 1,983
5.95%, 6/22/00 2,000 1,973
KFW International Finance Corp.
5.85%, 5/4/00 2,500 2,487
UBS Finance, Inc.
5.84%, 5/3/00 3,000 2,984
5.99%, 10/2/00 1,000 969
- ----------------------------------------------------
GROUP TOTAL 17,316
- ----------------------------------------------------
MAJOR CHEMICALS (2.8%)
E.I. Dupont De Nemours
5.83%, 4/20/00 1,500 1,495
6.02%, 5/25/00 2,000 1,982
- ----------------------------------------------------
GROUP TOTAL 3,477
- ----------------------------------------------------
MAJOR PHARMACEUTICALS (2.4%)
Abbott Labs, Inc.
5.95%, 4/7/00 1,050 1,049
Schering Corp.
5.95%, 6/27/00 2,000 1,971
- ----------------------------------------------------
GROUP TOTAL 3,020
- ----------------------------------------------------
MAJOR U.S. TELECOMMUNICATIONS (1.6%)
AT&T Corp.
5.84%, 5/8/00 2,000 1,988
- ----------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT (1.6%)
Lucent Technologies, Inc.
5.93%, 4/17/00 2,000 1,995
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C>
UTILITIES (5.6%)
Duke Energy Corp.
6.23%, 4/3/00 $ 4,000 $ 3,999
National Rural Utilities
Cooperative Finance Corp.
5.78%, 4/4/00 3,000 2,999
- ----------------------------------------------------
GROUP TOTAL 6,998
- ----------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost $71,769) 71,769
- ----------------------------------------------------
CERTIFICATES OF DEPOSIT (7.7%)
- ----------------------------------------------------
MAJOR BANKS (7.7%)
Bank of America Corp.
6.00%, 5/30/00 1,000 1,000
First Union National Bank
5.91%, 4/18/00 1,000 1,000
6.00%, 5/26/00 2,000 2,000
Harris Trust & Savings Bank
5.85%, 4/5/00 2,000 2,000
Sun Trust Bank, Inc.
5.98%, 5/17/00 2,000 2,000
U.S. Bank of North America
5.94%, 5/1/00 1,500 1,500
- ----------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (Cost
$9,500) 9,500
- ----------------------------------------------------
U.S. GOVERNMENT & AGENCY SECURITIES (5.6%)
Federal Home Loan Mortgage Corporation
5.01%, 4/28/00 4,000 4,000
5.93%, 6/8/00 2,000 1,978
6.10%, 3/1/01 1,000 944
- ----------------------------------------------------
GROUP TOTAL (Cost $6,922) 6,922
- ----------------------------------------------------
U.S. TREASURY SECURITY (4.0%)
U.S. Treasury Bond
5.33%, 4/20/00 (Cost $4,984) 5,000 4,984
- ----------------------------------------------------
DISCOUNT NOTES (14.3%)
Federal Home Loan Bank
6.02%, 6/2/00 1,500 1,484
Federal Home Loan Mortgage
Corporation
5.74%, 4/27/00 4,000 3,983
5.80%, 4/25/00 5,000 4,980
Federal National Mortgage Association
5.63%, 11/20/00 1,000 963
5.84%, 7/6/00 1,000 984
5.86%, 4/11/00 5,400 5,391
- ----------------------------------------------------
TOTAL DISCOUNT NOTES (Cost $17,785) 17,785
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
47
<PAGE> 50
\STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
CASH RESERVES
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
- ----------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (10.6%)
Chase Securities, Inc. 6.05%,
dated
3/31/00, due 4/3/00, to be
repurchased at $13,181,
collateralized by a U.S.
Treasury
Bond 6.50%, due 11/15/26,
valued at $13,490 (Cost
$13,174) $13,174 $ 13,174
- ----------------------------------------------------
TOTAL INVESTMENTS (100.1%) (Cost $124,134) 124,134
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
Interest Receivable 167
Receivable for Fund Shares Sold 1,059
Other Assets 12
Payable to Custodian (1)
Payable for Fund Shares Redeemed (1,287)
Dividend Payable (23)
Payable for Investment Advisory Fees (58)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred
Compensation Plan-Note F (1)
Other Liabilities (8)
--------
(147)
- ----------------------------------------------------
NET ASSETS (100%) $123,987
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 122,974,122 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $122,987
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ----------------------------------------------------
ADVISER CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 999,997 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $ 1,000
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 1.00
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $123,975
Undistributed Realized Net Gain (Loss) 12
- ----------------------------------------------------
NET ASSETS $123,987
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE> 51
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Fixed Income II Portfolio invests in all sectors of the investment-grade
fixed-income market. Miller Anderson & Sherrerd employs a disciplined,
research-driven approach toward identifying value in the fixed-income markets,
and will alter the Portfolio's sensitivity to changes in corporate and mortgage
yield spreads, the level of interest rates, the shape of the yield curve, and
non-dollar opportunities in reaction to its perception of relative value in each
of these areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS FIXED SALOMON
INCOME II BROAD INDEX
-----------------------
<S> <C> <C>
SIX MONTHS 1.34% 2.02%
ONE YEAR 0.04 1.81
FIVE YEARS 6.93 7.14
SINCE INCEPTION 8.44 8.02
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
On May 12, 1997, shareholders approved a change in the Portfolio's investment
policies to allow the Portfolio to invest in fixed-income securities of domestic
issuers rated BBB or higher at the time of purchase. The Portfolio's performance
pattern may have been affected by this change.
* The Fixed Income II Portfolio commenced operations on 8/31/90. Total returns
are compared to the Salomon Broad Investment Grade Index, an unmanaged market
index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (123.9%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (53.5%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
8.25%, 10/1/06 Agy $ 43 $ 43
10.00%,
9/1/17-11/1/20 Agy 520 552
10.25%, 7/1/09 Agy 125 133
11.00%, 1/1/16 Agy 158 169
11.25%,
9/1/10-12/1/14 Agy 186 199
Gold Pools:
10.00%,
10/1/19-1/1/21 Agy 859 917
10.50%, 3/1/16 Agy 478 517
April TBA
6.00%, 4/1/30 Agy 42,650 38,838
Federal National
Mortgage Association,
Conventional Pools:
9.00%, 2/1/17 Agy 712 737
9.50%, 5/1/28 Agy 1,638 1,730
10.00%, 3/1/20-5/1/22 Agy 1,446 1,541
10.50%,
11/1/17-2/1/28 Agy 551 596
10.75%, 8/1/13 Agy 22 24
11.00%, 4/1/21 Agy 1,470 1,611
11.25%, 8/1/13 Agy 108 118
11.50%, 1/1/17-9/1/25 Agy 368 408
April TBA
6.00%, 4/1/29 Agy 33,674 30,601
6.00%, 4/1/30 Agy 39,050 35,535
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.125%,
10/20/27-12/20/27 Tsy 4,678 4,708
6.375%,
2/20/25-6/20/25 Tsy 2,869 2,891
6.50%, 1/20/28 Tsy 550 554
6.875%,
4/20/25-6/20/25 Tsy 2,267 2,278
7.00%,
2/20/25-11/20/25 Tsy 4,456 4,489
7.125%, 7/20/25 Tsy 302 304
Various Pools:
9.00%, 11/15/17 Tsy 1,919 2,003
9.50%,
12/15/17-9/15/28 Tsy 7,020 7,433
10.00%,
11/15/09-2/15/25 Tsy 9,800 10,471
10.50%,
12/15/00-5/15/19 Tsy 69 75
11.00%,
2/15/10-2/15/19 Tsy 690 757
11.50%, 1/20/18 Tsy 7 7
April TBA
7.00%, 4/1/30 Tsy 35,450 34,337
- ------------------------------------------------------
GROUP TOTAL 184,576
- ------------------------------------------------------
ASSET BACKED CORPORATES (18.6%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 15 15
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
49
<PAGE> 52
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA $1,260 $ 1,254
97-D A3
6.20%, 5/15/03 AAA 946 941
98-A A3
5.90%, 11/15/02 AAA 1,006 1,002
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 917 906
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 551 548
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 1,771 1,766
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 1,366 1,350
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 380 377
## Citibank Credit Card
Master Trust I,
Series 98-7 A
6.014%, 5/15/02 AAA 2,750 2,750
Contimortgage Home
Equity Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 1,101 1,092
CPS Auto Grantor Trust,
Series 97-2 A
6.65%, 10/15/02 AAA 177 177
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 204 203
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 507 506
EQCC Home Equity Loan
Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 131 131
99-3 A1F
6.548%, 4/25/10 AAA 2,327 2,307
(+) First Merchants Auto
Receivables Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 89 89
</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 $ 822 $ 818
98-A A
5.97%, 4/15/04 AAA 755 747
First Security Auto
Owner Trust,
Series 99-2 A2
5.492%, 4/15/02 AAA 1,332 1,330
## First USA Credit Card
Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 1,925 1,925
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 115 115
98-A A3
5.65%, 10/15/01 AAA 1,391 1,388
99-C A3
5.77%, 11/15/01 AAA 3,957 3,939
99-D A3
6.20%, 4/15/02 AAA 3,582 3,566
General Motors
Acceptance Corp.,
Series 97-A A
6.50%, 4/15/02 AAA 574 573
+ Green Tree Financial
Corp.,
Series 98-1 A2
5.85%, 4/1/11 Aaa 730 727
Green Tree Home Equity
Loan Trust,
Series:
99-A A1
5.59%, 2/15/13 AAA 825 823
99-C A1
5.99%, 7/15/30 AAA 1,915 1,906
+ Green Tree Home
Improvement Loan
Trust,
Series 98-E HIA1
5.907%, 8/15/07 Aaa 546 544
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 1,295 1,279
(+) Health Care
Receivables
Securitization
Program,
Series 97-1 A
6.815%, 7/1/01 N/R 400 400
+ HFC Home Equity Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa 1,513 1,506
Honda Auto Lease Trust,
Series 99-A A2
5.875%, 10/15/01 AAA 2,238 2,234
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50
<PAGE> 53
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA $ 263 $ 261
97-B A
5.95%, 5/15/03 AAA 1,014 1,007
Honda Auto Receivables
Owner Trust,
Series 99-1 A2
5.186%, 6/15/01 AAA 862 860
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 631 629
## IndyMac Home Equity
Loan,
Series 98-A AF1
5.724%, 9/25/20 AAA 661 660
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-2 A
6.69%, 9/25/04 AAA 210 208
98-1 A
6.19%, 1/25/04 AAA 231 227
MMCA Automobile Trust,
Series 99-2 A1
6.30%, 6/15/02 AAA 2,266 2,266
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,125 1,113
Navistar Financial Corp.
Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 1,896 1,887
(+) New Holland
Equipment Receivables
Trust,
Series 99-A A2
6.39%, 10/15/02 AAA 2,000 1,982
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 294 292
+## Oakwood Mortgage
Investors, Inc.,
Series 99-B A1
6.124%, 5/15/09 Aaa 1,229 1,227
Option One Mortgage Loan
Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 1,463 1,443
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Premier Auto Trust,
Series:
99-2 A2
5.28%, 11/8/01 AAA $2,115 $ 2,106
99-3 A2
5.82%, 2/8/02 AAA 3,310 3,298
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 1,350 1,308
(+) Team Fleet Financing
Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 475 468
97-1 A
7.35%, 5/15/03 A- 1,300 1,291
UCFC Home Equity Loan,
Series:
97-D A2
6.475%, 6/15/12 AAA 128 128
## 98-C A1
6.005%, 12/15/12 AAA 567 567
Union Acceptance Corp.,
Series 96-B A
6.45%, 7/9/03 AAA 611 606
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 869 864
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 112 112
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 174 174
- ------------------------------------------------------
GROUP TOTAL 64,218
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.1%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 7,158 105
(+) 96-3 A YMA
10/25/26 N/R 8,504 14
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE> 54
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA $4,060 $ 61
(+) 96-4 A11 YMA
1/15/28 AAA 4,060 6
96-4 A12 IO
1.05%, 1/15/28 AAA 744 8
(+) 96-4 A12 YMA
1/15/28 AAA 744 1
97-1 A10 IO
1.10%, 3/15/28 AAA 4,962 79
97-1 A10 YMA
3/15/28 N/R 4,962 8
- ------------------------------------------------------
GROUP TOTAL 282
- ------------------------------------------------------
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 194 202
63-SA Inv Fl IO
1.50%, 6/17/27 Agy 9,007 336
## 1710-D IO
6.513%, 6/15/20 Agy 750 750
1887-SC Inv Fl IO
6.606%, 3/15/24 Agy 2,550 571
1983-IB IO
8.00%, 8/15/27 Agy 5,131 1,483
Federal National
Mortgage Association,
Series:
## 92-43 FC REMIC
6.725%, 10/25/21 Agy 503 505
96-14 PC PO
12/25/23 Agy 62 36
## 97-70 FA REMIC
PAC (11)
5.388%, 7/18/20 Agy 288 288
## 98-22 FA REMIC
PAC (11)
6.471%, 4/18/28 Agy 1,140 1,133
99-42 SA Inv Fl IO
2.075%, 10/25/28 Agy 9,590 369
186 IO
8.00%, 8/1/27 Agy 1,286 377
191 IO
8.00%, 1/1/28 Agy 3,242 947
281 2 IO
9.00%, 11/1/26 Agy 1,299 356
291 2 IO
8.00%, 11/1/27 Agy 2,359 685
296 2 IO
8.00%, 4/1/24 Agy 2,605 750
</TABLE>
<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
2.583%, 8/16/29 Tsy $9,275 $ 542
99-32 SB Inv Fl IO
REMIC
2.75%, 7/16/27 Tsy 6,479 241
99-43 UD Inv Fl IO
2.22%, 11/16/29 Tsy 7,223 282
- ------------------------------------------------------
GROUP TOTAL 9,853
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS
NON-AGENCY COLLATERAL SERIES (0.6%)
+## BA Mortgage
Securities, Inc.,
Series 97-1 A2
6.625%, 7/25/26 Aaa 501 501
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 683 699
## Morserv, Inc.,
Series 96-2 1A1
6.729%, 11/25/26 AAA 790 788
- ------------------------------------------------------
GROUP TOTAL 1,988
- ------------------------------------------------------
COMMERCIAL MORTGAGES (4.2%)
American Southwest
Financial Securities
Corp.,
Series:
93-2 A1
7.30%, 1/18/09 N/R 784 760
## 93-2 S1 IO
1.091%, 1/18/09 N/R 9,534 256
Asset Securitization
Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 825 797
+## 97-D5 PS1 IO
0.972%, 2/14/41 Aaa 5,928 497
(+) Beverly Finance
Corp.,
Series 94-1
8.36%, 7/15/04 AA- 675 683
(+) Carousel Center
Finance, Inc.,
Series 1 B
7.188%, 10/15/07 A 1,400 1,375
Chase Commercial
Mortgage Securities
Corp.,
Series 99-2 A2
7.198%, 11/15/09 AAA 2,275 2,218
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 696 714
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE> 55
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Crystal Run
Properties, Inc.,
Series A
7.393%, 8/15/11 AA $1,100 $ 1,065
+ First Union-Chase
Commercial Mortgage,
Series 99-C2 A2
6.645%, 4/15/09 Aaa 1,750 1,641
## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
+ 96-C1 X2 IO
1.967%, 3/15/21 Aaa 3,209 197
+ 97-C2 X IO
1.273%, 4/15/27 Aaa 10,314 560
98-C2 A2
6.42%, 8/15/08 AAA 2,300 2,138
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.037%, 7/13/30 Aaa 2,628 95
## Nomura Asset
Securities Corp.,
Series 94-MD1 A2
7.676%, 3/15/18 N/R 750 750
(+) Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 794 774
- ------------------------------------------------------
GROUP TOTAL 14,520
- ------------------------------------------------------
ENERGY (1.0%)
Conoco, Inc.
6.95%, 4/15/29 A- 2,020 1,856
El Paso Energy Corp.
6.75%, 5/15/09 BBB 755 702
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 1,155 1,018
- ------------------------------------------------------
GROUP TOTAL 3,576
- ------------------------------------------------------
FEDERAL AGENCY (5.9%)
Federal National
Mortgage Association
6.25%, 5/15/29 Agy 12,060 10,873
7.25%, 1/15/10 Agy 9,550 9,614
- ------------------------------------------------------
GROUP TOTAL 20,487
- ------------------------------------------------------
FINANCE (13.8%)
American General Corp.
7.50%, 7/15/25 AA- 545 522
American General Finance
6.75%, 11/15/04 A+ 685 666
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 895 842
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Associates Corp. of
North America
6.00%, 7/15/05 A+ $1,420 $ 1,324
Bank of Boston
6.625%, 2/1/04 A- 450 437
Bank One Corp.
6.00%, 2/17/09 A- 1,360 1,211
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 500 446
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 1,470 1,367
Chase Manhattan Corp.
6.00%, 2/15/09 A 1,100 990
7.00%, 11/15/09 A 245 236
CIT Group, Inc.
5.91%, 11/23/05 A+ 1,845 1,710
(+) Citicorp,
Series F
6.375%, 11/15/08 A+ 1,890 1,748
EOP Operating LP
7.25%, 6/15/28 BBB 870 740
7.50%, 4/19/29 BBB+ 865 758
Equitable Companies,
Inc.
6.50%, 4/1/08 A+ 975 907
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A+ 1,200 1,158
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 1,045 898
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 975 997
(+) Fifty-Seventh Street
Associates
7.125%, 6/1/17 A 1,139 976
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A- 1,650 1,595
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 900 884
Ford Motor Credit Co
7.375%, 10/28/09 A+ 115 113
General Electric Capital
Corp.
7.375%, 1/19/10 AAA 1,600 1,618
General Motors
Acceptance Corp.,
7.75%, 1/19/10 A 1,585 1,592
(+) Goldman Sachs Group
LP
6.50%, 2/25/09 A+ 720 659
Hartford Life Corp.
7.65%, 6/15/27 A 1,050 1,013
Household Finance Corp.
6.375%, 8/1/10 A $2,605 $ 2,340
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE> 56
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) John Hancock
Financial Services,
Inc.
7.375%, 2/15/24 AA- $1,880 $ 1,771
Merck & Co., Inc.
5.95%, 12/1/28 AAA 625 528
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 875 780
7.80%, 11/1/25 A+ 875 854
Nationsbank Corp.
6.80%, 3/15/28 A 455 397
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 1,245 1,093
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- 750 683
Northern Trust Co.
6.625%, 10/1/03 AA- 1,820 1,781
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 2,110 1,848
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 560 551
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 1,425 1,312
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 275 268
7.00%, 8/15/04 A 1,380 1,328
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 1,985 2,055
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 990 935
Washington Mutual, Inc.
8.25%, 4/1/10 BB 365 366
Series A
8.206%, 2/1/27 BBB- 415 387
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 2,564 2,391
96 WFP-D
6.95%, 9/1/13 AA- 450 417
- ------------------------------------------------------
GROUP TOTAL 47,492
- ------------------------------------------------------
INDUSTRIALS (14.4%)
Albertson's, Inc.
7.45%, 8/1/29 A 1,285 1,230
Atlas Air, Inc.,
Series A
7.38%, 1/2/18 AA- 1,735 1,616
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 660 583
7.00%, 8/1/27 A+ 390 358
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
DaimlerChrysler NA
Holdings
7.20%, 9/1/09 A+ $1,830 $ 1,791
Dayton Hudson Corp.
6.75%, 1/1/28 A- 1,410 1,254
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 1,815 1,582
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 1,275 1,109
7.00%, 2/15/28 BBB+ 170 150
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,720 1,611
Ford Motor Co.
6.625%, 10/1/28 A+ 2,535 2,225
Hertz Corp.
7.625%, 8/15/07 A- 1,465 1,467
Home Depot, Inc.
6.50%, 9/15/04 AA- 1,930 1,884
Honeywell International,
Inc.
7.50%, 3/1/10 A 1,230 1,248
Kroger Co.
7.70%, 6/1/29 BBB- 1,400 1,320
8.05%, 2/1/10 BBB- 370 372
Lockheed Martin Corp.
8.20%, 12/1/09 BBB- 1,045 1,046
Lowe's Companies, Inc.
6.50%, 3/15/29 A 665 564
6.875%, 2/15/28 A 1,340 1,194
Lucent Technologies,
Inc.
6.45%, 3/15/29 A 1,840 1,638
May Department Stores
Co.
6.70%, 9/15/28 A+ 1,795 1,580
Monsanto Co.
6.60%, 12/1/28 A 2,050 1,797
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 1,465 1,329
News America Holdings,
Inc.
7.75%, 1/20/24 BBB- 550 515
7.75%, 2/1/24 BBB- 565 529
8.875%, 4/26/23 BBB- 780 823
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 1,385 1,245
Proctor & Gamble Co.
6.60%, 12/15/04 AA 3,220 3,140
6.875%, 9/15/09 AA 880 859
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 1,035 1,049
Rockwell International
Corp.
6.70%, 1/15/28 A+ 1,150 1,013
Scotia Pacific Co. LLC
7.71%, 1/20/14 BBB 1,940 1,455
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 725 728
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE> 57
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Times Mirror Co.
7.45%, 10/15/09 A $ 815 $ 805
U.S. Airways Corp., Pass
Through Certificates
8.11%, 2/20/17 AAA 655 661
Series 98-1
6.85%, 1/30/18 A+ 2,044 1,786
Union Pacific Co.
6.625%, 2/1/29 BBB- 1,265 1,061
United Technologies
Corp.
6.70%, 8/1/28 A+ 2,145 1,928
Wal-Mart Stores, Inc.
6.875%, 8/10/09 AA 3,365 3,280
- ------------------------------------------------------
GROUP TOTAL 49,825
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.3%)
Bank of America,
Series A
8.375%, 5/1/07 AAA 55 55
California Federal
Savings & Loan,
Series 86-1A
8.80%, 1/1/14 AA 36 36
sec. First Federal
Savings & Loan
Association,
Series 92-C
8.75%, 6/1/06
(acquired 12/5/90,
cost $124) AA 141 141
## Resolution Trust
Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 202 200
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 495 486
- ------------------------------------------------------
GROUP TOTAL 918
- ------------------------------------------------------
TELEPHONES (2.3%)
!! AT&T Corp.
6.50%, 3/15/29 AA- 2,025 1,761
BellSouth
Telecommunications,
Inc.
6.375%, 6/1/28 AAA 1,275 1,096
Comcast Cable
Communications
8.375%, 5/1/07 BBB 955 980
GTE Corp.
6.94%, 4/15/28 A 2,350 2,134
MCI Communications Corp.
6.95%, 8/15/06 A- 470 459
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 1,740 1,603
- ------------------------------------------------------
GROUP TOTAL 8,033
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (1.9%)
Burlington Northern
Santa Fe Corp.
6.70%, 8/1/28 BBB+ $1,600 $ 1,382
6.875%, 12/1/27 BBB+ 360 319
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 1,900 1,758
99-1 A
6.545%, 8/2/20 AA+ 399 364
(+) Jet Equipment Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 1,400 1,557
United Parcel Service
8.375%, 4/1/20 AAA 1,230 1,358
- ------------------------------------------------------
GROUP TOTAL 6,738
- ------------------------------------------------------
UTILITIES (0.7%)
CMS Panhandle Holdings
Co.
7.00%, 7/15/29 BBB- 1,675 1,475
(+) Southern Energy,
Inc.
7.90%, 7/15/09 BBB 940 911
- ------------------------------------------------------
GROUP TOTAL 2,386
- ------------------------------------------------------
YANKEE (3.7%)
Abbey National plc
7.95%, 10/26/29 AA- 1,865 1,865
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 1,050 907
(+) AT&T Canada, Inc.
7.625%, 3/15/05 BBB 1,655 1,661
(+) Express Pipeline LP,
Series A
6.47%, 12/31/13 A- 1,910 1,737
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 905 853
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 1,443 1,377
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 667 640
(+) Paiton Energy
Funding BV
9.34%, 2/15/14 CC 800 162
(+) Ras Laffan Liquefied
Natural Gas Co.
8.294%, 3/15/14 BBB+ 1,070 1,032
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
55
<PAGE> 58
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
FIXED INCOME II
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Republic of Italy
7.25%, 2/7/05 AA $ 855 $ 858
(+) Vodafone AirTouch
plc
7.75%, 2/15/10 A 550 557
7.875%, 2/15/30 A 1,100 1,117
- ------------------------------------------------------
GROUP TOTAL 12,766
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$440,870) 427,658
- ------------------------------------------------------
PREFERRED STOCK (1.0%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (1.0%)
(+)+ Home Ownership Funding
Corp.,
13.331% (Cost $3,434) Aaa 4,350 3,412
- ------------------------------------------------------
CASH EQUIVALENT (5.8%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (5.8%)
Chase Securities, Inc. 6.05%, dated
3/31/00, due 4/3/00, to be
repurchased at $20,190,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$20,382
(Cost $20,180) $20,180 20,180
- ------------------------------------------------------
TOTAL INVESTMENTS (130.7%) (Cost $464,484) 451,250
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-30.7%)
Dividends Receivable 145
Interest Receivable 4,097
Receivable for Investments Sold 209
Receivable for Forward Commitments 16,636
Investments Held as Collateral for Loaned
Securities 13,253
Other Assets 31
Payable to Custodian (5)
Payable for Investments Purchased (932)
Payable for Forward Commitments (124,745)
Payable for Investment Advisory Fees (324)
Payable for Administrative Fees (23)
Payable for Trustees' Deferred Compensation
Plan-Note F (25)
Payable for Daily Variation Margin on
Futures Contracts (301)
Unrealized Loss on Swap Agreements (562)
Collateral on Securities Loaned, at Value (13,253)
Other Liabilities (253)
--------
(106,052)
- ------------------------------------------------------
NET ASSETS (100%) $345,198
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 32,818,520 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $345,198
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.52
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $368,605
Undistributed Net Investment Income (Loss) 6,401
Undistributed Realized Net Gain (Loss) (14,667)
Unrealized Appreciation (Depreciation) on:
Investment Securities (13,234)
Futures and Swaps (1,907)
- ------------------------------------------------------
NET ASSETS $345,198
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 2000 was
$141,000 or 0.0% of net assets.
! See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating.
## Variable or floating rate security-rate disclosed
is as of March 31, 2000.
CMO Collateralized Mortgage Obligation
Inv Fl Inverse Floating Rate-Interest rate fluctuates with
an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at March 31,
2000.
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.
- --------------------------------------------------------------------------------
56
<PAGE> 59
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Limited Duration Portfolio has a dual philosophy for achieving its
objective: earn positive real returns and minimize the possibility of a negative
return in a single quarter. Limiting average duration to between one and three
years helps control interest rate risk while allowing for a broad spectrum of
investment opportunities. The Portfolio invests in U.S. Treasury and agency
securities, investment-grade corporate bonds, mortgage-backed securities and
money market instruments, including floating rate notes.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS LIMITED SALOMON
DURATION 1-3 YEAR INDEX
----------------------------
<S> <C> <C>
SIX MONTHS 1.89% 1.86%
ONE YEAR 3.04 3.73
FIVE YEARS 5.74 6.06
SINCE INCEPTION 5.57 5.70
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Limited Duration Portfolio commenced operations on 3/31/92. Total returns
are compared to the Salomon 1-3 Year Treasury/Government Sponsored Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (108.8%)
<TABLE>
<CAPTION>
- -------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (34.8%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
8.00%, 7/15/06 Agy $1,556 $ 1,567
10.00%,
4/1/10-10/1/20 Agy 1,802 1,912
10.50%, 12/1/14 Agy 184 197
11.00%,
8/1/15-5/1/20 Agy 101 109
11.50%,
12/1/08-1/1/18 Agy 611 674
Gold Pools:
10.00%, 10/1/21 Agy 131 140
10.50%,
1/1/19-10/1/20 Agy 458 497
11.50%, 8/1/10 Agy 107 117
12.00%,
6/1/15-9/1/15 Agy 285 314
April TBA
7.00%, 4/1/30 Agy 4,000 3,849
Federal National
Mortgage Association,
Conventional Pools:
7.25%,
3/25/06-1/15/10 Agy 1,635 1,630
9.50%, 11/1/20 Agy 342 361
10.00%,
12/1/15-9/1/16 Agy 396 422
10.50%,
4/1/15-12/1/16 Agy 266 288
11.00%, 7/1/20 Agy 207 227
11.50%, 11/1/19 Agy 285 316
12.00%,
5/1/14-8/1/20 Agy 106 119
12.50%, 2/1/15 Agy 43 49
April TBA
7.00%, 4/1/30 Agy 8,000 7,689
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%,
7/20/27-9/20/27 Tsy 3,860 3,874
6.125%, 12/20/25 Tsy 1,971 1,987
6.375%, 3/20/25 Tsy 2,392 2,407
6.50%,
11/20/27-1/20/28 Tsy 1,298 1,305
6.875%,
1/20/25-6/20/25 Tsy 3,223 3,243
Various Pools:
6.00%, 2/20/27 Tsy 333 335
6.50%, 10/20/27 Tsy 459 462
9.00%,
7/15/16-1/15/17 Tsy 1,365 1,425
9.50%,
12/15/17-12/15/21 Tsy 2,137 2,263
10.00%,
11/15/09-7/15/22 Tsy 3,925 4,194
10.50%,
11/15/18-5/15/26 Tsy 270 293
11.00%,
1/15/10-1/15/21 Tsy 1,697 1,862
11.50%,
2/15/13-11/15/19 Tsy 1,026 1,136
April TBA
7.00%, 4/1/30 Tsy 7,000 6,780
- -------------------------------------------------------
GROUP TOTAL 52,043
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
57
<PAGE> 60
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
ASSET BACKED CORPORATES (27.3%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R $ 27 $ 27
AFG Receivables Trust,
Series 97-A A
6.35%, 10/15/02 AAA 164 164
Capital Auto
Receivables Asset
Trust,
Series 99-1 A2
5.58%, 6/15/02 AAA 2,000 1,979
Champion Home Equity
Loan Trust,
Series 96-4 A2
6.66%, 11/25/11 AAA 133 132
CIT Marine Trust,
Series 98-A A2
5.80%, 4/15/10 AAA 1,850 1,764
CIT RV Trust,
Series 99-A A1
5.33%, 12/15/05 AAA 956 951
Contimortgage Home
Equity Loan Trust,
Series 97-4 A3 PAC
(11)
6.26%, 7/15/12 AAA 189 188
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 112 112
97-2 A
6.65%, 10/15/02 AAA 168 167
98-2 A
6.09%, 11/15/03 AAA 584 578
Daimler Benz Vehicle
Trust,
Series 98-A A3
5.16%, 12/20/07 AAA 2,500 2,466
Delta Funding Home
Equity Loan Trust,
Series 96-3 A2
6.525%, 10/25/11 AAA 85 84
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 425 424
(+) 97-2 A1
6.85%, 11/15/02 AAA 82 82
First Security Auto
Grantor Trust,
Series 99-1 A4
5.74%, 6/15/04 AAA 2,250 2,182
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Ford Credit Auto Owner
Trust,
Series:
99-B A4
5.80%, 6/15/02 AAA $2,025 $ 2,016
99-D A4
6.40%, 10/15/02 AAA 1,600 1,584
General Electric Home
Equity Loan Asset-
Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 606 606
(+)++ Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 653 163
Harley-Davidson
Eaglemark Motorcycle
Trust,
Series:
98-2 A2
5.87%, 4/15/04 AAA 1,400 1,373
99-1 A2
5.52%, 2/15/05 AAA 1,075 1,039
(+) Health Care
Receivables
Securitization
Program,
Series 97-1 A
6.815%, 7/1/01 N/R 1,000 1,000
(+) Honda Auto
Receivables Grantor
Trust,
Series 98-A A
5.50%, 11/15/04 AAA 1,081 1,062
Honda Auto Receivables
Owner Trust,
Series 99-1 A4
5.35%, 10/15/04 AAA 1,100 1,060
Illinois Power Special
Purpose Trust,
Series 98-1 A2
5.26%, 6/25/03 AAA 1,900 1,878
MBNA Master Credit Card
Trust,
Series:
99-I A
6.40%, 1/18/05 AAA 850 836
99-M A
6.60%, 4/16/07 AAA 1,225 1,196
Money Store (The)
Residential Trust,
Series 97-1 A2
6.48%, 6/15/10 AAA 676 673
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 450 445
Navistar Financial
Corp. Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 1 1
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58
<PAGE> 61
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Newcourt Equipment
Trust,
Series 98-2 A3
5.45%, 10/15/02 AAA $1,445 $ 1,428
Nissan Auto Receivables
Owner Trust,
Series 00-A A3
7.01%, 9/15/03 AAA 875 873
Olympic Automobile
Receivables Trust,
Series 94-B B
6.95%, 6/15/01 AAA 39 39
Peco Energy Transition
Trust,
Series 99-A A2
5.63%, 3/1/05 AAA 1,500 1,449
Premier Auto Trust,
Series:
99-1 A2
5.69%, 11/8/02 AAA 2,000 1,971
99-2 A4
5.59%, 2/9/04 AAA 2,100 2,033
99-3 A4
6.43%, 3/8/04 AAA 2,100 2,067
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 625 606
(+) Team Fleet
Financing Corp.,
Series:
96-1 A
6.65%, 12/15/02 A- 1,350 1,329
97-1 A
7.35%, 5/15/03 A- 1,475 1,465
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 279 277
97-B A2
6.70%, 6/8/03 AAA 706 703
+ Vanderbilt Mortgage
Finance,
Series 97-B 1A2
6.775%, 12/7/28 Aaa 401 400
- -------------------------------------------------------
GROUP TOTAL 40,872
- -------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.2%)
## Federal National
Mortgage Association,
Series 98-22 FA REMIC
5.409%, 4/18/22 Agy 328 326
- -------------------------------------------------------
COMMERCIAL MORTGAGES (0.7%)
Asset Securitization
Corp.,
Series 97-D5 A1A
6.50%, 1/14/04 AAA 657 646
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
+ Midland Realty
Acceptance Corp.,
Series 96-C2 A1
7.02%, 1/25/27 Aaa $ 389 $ 384
- -------------------------------------------------------
GROUP TOTAL 1,030
- -------------------------------------------------------
ENERGY (1.0%)
Conoco, Inc.
5.90%, 4/15/04 A- 630 600
El Paso Energy Corp.
6.625%, 7/15/01 BBB 845 837
- -------------------------------------------------------
GROUP TOTAL 1,437
- -------------------------------------------------------
FEDERAL AGENCY (5.2%)
Federal National
Mortgage Association
7.25%, 1/15/10 Agy 7,200 7,249
Tennessee Valley
Authority
6.00%, 9/24/02 Agy 575 562
- -------------------------------------------------------
GROUP TOTAL 7,811
- -------------------------------------------------------
FINANCE (18.6%)
American General
Finance Corp.
5.75%, 11/1/03 A+ 1,155 1,095
Associates Corp. of
North America
5.875%, 7/15/02 A+ 810 786
Bank of New York Co.
8.50%, 12/15/04 A 770 801
Bank One Corp.
5.625%, 2/17/04 A 680 638
BankAmerica Corp.
6.875%, 6/1/03 A 1,200 1,183
Beneficial Corp.,
Series I
6.27%, 7/9/01 A 1,290 1,275
Chase Manhattan Corp.,
Series C
5.69%, 2/10/04 A+ 1,165 1,100
# CIT Group Holdings
0.00%, 10/1/02 A+ 915 894
Donaldson, Lufkin &
Jenrette
8.00%, 3/1/05 A- 840 849
EOP Operating LP
6.50%, 6/15/04 BBB 1,020 966
(+) Farmers Insurance
Exchange
8.50%, 8/1/04 A+ 680 693
First Fidelity Bancorp
6.80%, 6/15/03 A- 1,200 1,176
(+) First Hawaiian
Bank,
Series A
6.93%, 12/1/03 A- 1,075 1,039
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
59
<PAGE> 62
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
FleetBoston Financial
Corp.
8.125%, 7/1/04 A- $ 505 $ 515
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 375 368
Ford Motor Credit Corp.
5.75%, 2/23/04 A+ 980 923
6.125%, 4/28/03 A+ 575 555
General Motors
Acceptance Corp.
6.85%, 6/17/04 A 915 893
Goldman Sachs LP
7.50%, 1/28/05 A+ 760 760
Hartford Life, Inc.
6.90%, 6/15/04 A 285 279
Home Savings of America
6.50%, 8/15/04 BBB+ 800 764
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 891 878
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 1,190 1,151
Marsh & McLennan
Companies, Inc.
6.625%, 6/15/04 AA- 1,030 1,000
(+)!! Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 1,555 1,492
(+) Nationwide Mutual
Life Insurance Co.
6.50%, 2/15/04 A+ 1,198 1,143
Norwest Finance, Inc.
5.375%, 9/30/03 A+ 515 485
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 785 765
7.00%, 8/15/04 A 225 217
(+) Prudential
Insurance Co.
6.875%, 4/15/03 A- 640 625
Smith Barney Holdings
7.00%, 3/15/04 A 960 947
Target Corp.
7.50%, 2/15/05 A- 630 636
US Bancorp
6.875%, 12/1/04 A 925 903
- -------------------------------------------------------
GROUP TOTAL 27,794
- -------------------------------------------------------
INDUSTRIALS (12.9%)
Columbia/HCA Healthcare
Corp.
6.41%, 6/15/00 BB+ 1,250 1,244
Comcast Cable
Communications
8.125%, 5/1/04 BBB 1,040 1,057
Comdisco, Inc.,
Series G
6.00%, 6/1/00 BBB+ 1,165 1,164
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Cox Communications,
Inc.
7.50%, 8/15/04 BBB+ $ 370 $ 368
(+) CVS Corp.
5.50%, 2/15/04 A 1,190 1,107
DaimlerChrysler AG
6.90%, 9/1/04 A+ 1,295 1,271
Deere & Co.
6.55%, 7/15/04 A+ 900 871
Delphi Automotive
Systems Corp.
6.125%, 5/1/04 BBB 815 768
(+) EES Coke Battery
Co., Inc.
7.125%, 4/15/02 BBB 307 305
Federated Department
Stores, Inc.
6.30%, 4/1/09 BBB+ 790 687
Hertz Corp.
7.00%, 7/1/04 A- 935 915
IBM Credit Corp.
6.64%, 10/29/01 A+ 1,255 1,246
(+) Kern River Funding
Corp.
6.42%, 3/31/01 A- 194 193
(+) Kroger Co.
6.34%, 6/1/01 BBB- 1,185 1,171
Marriott International
8.125%, 4/1/05 BBB+ 375 377
May Department Stores
9.875%, 12/1/02 A+ 810 860
Monsanto Co.
5.375%, 12/1/01 A 1,200 1,165
Procter & Gamble Co.
6.60%, 12/15/04 AA 1,355 1,321
Raytheon Co.
5.70%, 11/1/03 BBB- 275 257
Sun Microsystems, Inc.
7.00%, 8/15/02 BBB+ 865 858
Walt Disney Co.
7.30%, 2/8/05 A 995 996
Waste Management, Inc.
6.125%, 7/15/01 BBB 1,135 1,086
- -------------------------------------------------------
GROUP TOTAL 19,287
- -------------------------------------------------------
TAXABLE MUNICIPAL (0.5%)
New York State Power
Authority Revenue
Bonds,
Series B
6.11%, 2/15/11 AAA 805 784
- -------------------------------------------------------
TELEPHONES (3.4%)
AT&T Corp.
6.00%, 3/15/09 AA- 995 940
GTE Corp.
9.10%, 6/1/03 A 990 1,038
MCI WorldCom, Inc.
6.25%, 8/15/03 A- 1,195 1,157
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE> 63
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
Sprint Capital Corp
5.875%, 5/1/04 BBB+ $ 800 $ 791
(+) U.S. West Capital
Funding
6.875%, 8/15/01 A- 1,160 1,152
- -------------------------------------------------------
GROUP TOTAL 5,078
- -------------------------------------------------------
TRANSPORTATION (0.8%)
Norfolk Southern Corp.
7.875%, 2/15/04 BBB+ 515 518
Union Pacific Co.
9.625%, 12/15/02 BBB- 625 654
- -------------------------------------------------------
GROUP TOTAL 1,172
- -------------------------------------------------------
UTILITIES (1.2%)
(+) Edison Mission
Energy Funding
6.77%, 9/15/03 BBB 432 424
National Rural
Utilities Corp.
7.375%, 2/10/03 AA 715 719
Niagara Mohawk Power Co.
7.375%, 7/1/03 BBB- 703 696
- -------------------------------------------------------
GROUP TOTAL 1,839
- -------------------------------------------------------
YANKEE (2.2%)
(+) AT&T Canada, Inc.
7.625%, 3/15/05 BBB 740 743
(+) Oil Enterprises
Ltd.
6.239%, 6/30/08 AAA 884 844
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 348 334
Republic of Italy
7.25%, 2/7/05 AA 380 381
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 920 928
- -------------------------------------------------------
GROUP TOTAL 3,230
- -------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$166,050) 162,703
- -------------------------------------------------------
PREFERRED STOCK (0.9%)
- -------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (0.9%)
(+)+ Home Ownership
Funding Corp.
13.331%, (Cost
$1,421) Aaa 1,800 1,412
- -------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- -------------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENT (1.8%)
- -------------------------------------------------------
REPURCHASE AGREEMENT (1.8%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to be
repurchased at $2,764,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$2,791 (Cost $2,763) $2,763 $ 2,763
- -------------------------------------------------------
TOTAL INVESTMENTS (111.5%) (Cost $170,234) 166,878
- -------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-11.5%)
Dividends Receivable 60
Interest Receivable 1,550
Receivable for Investments Sold 49
Receivable for Fund Shares Sold 3
Other Assets 17
Dividend Payable (10)
Payable to Custodian (75)
Payable for Forward Commitments (18,225)
Payable for Fund Shares Redeemed (38)
Payable Investment Advisory Fees (113)
Payable for Administrative Fees (10)
Payable for Daily Variation on Futures
Contracts (46)
Payable for Trustees' Deferred Compensation
Plan-Note F (15)
Unrealized Loss on Swap Agreements (378)
Other Liabilities (46)
---------
(17,277)
- -------------------------------------------------------
NET ASSETS (100%) $ 149,601
- -------------------------------------------------------
INSTITUTIONAL CLASS
- -------------------------------------------------------
NET ASSETS
Applicable to 14,896,120 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 149,601
- -------------------------------------------------------
NET ASSET VALUE PER SHARE $ 10.04
- -------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $ 158,403
Undistributed Net Investment Income (Loss) 343
Undistributed Realized Net Gain (Loss) (4,952)
Unrealized Appreciation (Depreciation) on:
Investment Securities (3,356)
Futures and Swaps (837)
- -------------------------------------------------------
NET ASSETS $ 149,601
- -------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
61
<PAGE> 64
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
LIMITED DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<S> <C>
(CONT'D)
- ----------------------------------------------------------
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
# Step Bond-Coupon rate increases in increments to
maturity.
Rate disclosed is as of March 31, 2000. Maturity
date disclosed is the ultimate maturity.
## Variable of floating rate security-rate disclosed
is as of March 31, 2000.
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.
- --------------------------------------------------------------------------------
62
<PAGE> 65
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Special Purpose Fixed Income Portfolio is designed for use as part of a
balanced investment program, and invests in all sectors of the fixed-income
market. Miller Anderson & Sherred employs a disciplined, research-driven
approach toward identifying value in the fixed-income markets, and will alter
the Portfolio's sensitivity to changes in corporate and mortgage yield spreads,
the level of interest rates, the shape of the yield curve, and non-dollar
opportunities in reaction to its perception of relative value in each of these
areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS SPECIAL PURPOSE SALOMON
FIXED INCOME BROAD INDEX
---------------------------------
<S> <C> <C>
SIX MONTHS 1.70% 2.02%
ONE YEAR 0.73 1.81
FIVE YEARS 7.65 7.14
SINCE INCEPTION 7.94 7.05
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
* The Special Purpose Fixed Income Portfolio commenced operations on 3/31/92.
Total returns are compared to the Salomon Broad Investment Grade Index, an
unmanaged market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (122.4%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (50.4%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.50%,
9/1/09-3/1/27 Agy $ 4,234 $ 4,566
11.00%,
12/1/10-9/1/20 Agy 1,040 1,118
11.75%, 12/1/17 Agy 72 79
April TBA
6.00%, 4/1/30 Agy $10,000 $ 9,106
Federal National Mortgage
Association,
Conventional Pools:
9.00%, 1/1/21 Agy 2,578 2,672
9.50%,
11/1/20-2/1/27 Agy 4,137 4,367
10.00%,
11/1/18-5/1/22 Agy 4,200 4,475
10.50%,
8/1/15-4/1/22 Agy 1,602 1,731
11.00%, 11/1/20 Agy 120 131
12.00%, 11/1/15 Agy 1,881 2,106
12.50%, 9/1/15 Agy 156 176
April TBA
6.00%, 4/1/30 Agy 84,800 77,168
6.50%, 4/1/30 Agy 16,000 15,000
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.00%, 2/20/27 Tsy 730 734
6.375%,
2/20/25-3/20/25 Tsy 4,202 4,236
6.50%,
10/20/27-12/20/27 Tsy 5,799 5,836
6.875%,
2/20/25-6/20/25 Tsy 5,344 5,373
7.00%,
2/20/25-5/20/25 Tsy 4,775 4,809
7.375%, 6/20/25 Tsy 1,620 1,628
Various Pools:
9.50%, 4/15/28 Tsy 2,497 2,643
10.00%,
2/15/16-10/15/28 Tsy 5,267 5,627
10.50%,
10/15/15-5/15/26 Tsy 1,616 1,751
11.00%,
1/15/10-5/15/26 Tsy 2,997 3,292
12.00%,
3/15/11-4/15/14 Tsy 41 45
12.50%, 6/15/10 Tsy 60 68
April TBA
7.00%, 4/1/30 Tsy 50,400 48,297
- ------------------------------------------------------
GROUP TOTAL 207,034
- ------------------------------------------------------
ASSET BACKED CORPORATES (17.7%)
Arcadia Automobile Receivables
Trust, Series: 97-D A3
6.20%, 5/15/03 AAA 1,277 1,270
98-A A3
5.90%, 11/15/02 AAA 2,023 2,014
Block Mortgage Finance, Inc.,
Series 99-1 A1
5.94%, 9/25/13 AAA 1,207 1,195
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE> 66
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
BMW Vehicle Owner Trust,
Series 99-A A2
6.16%, 12/25/01 AAA $ 2,280 $ 2,273
Centex Home Equity,
Series:
99-1 A1
6.07%, 3/25/18 AAA 920 914
99-2 A1
5.91%, 4/25/19 AAA 1,660 1,641
CIT RV Trust,
Series 99-A A1
5.33%, 12/15/05 AAA 1,195 1,189
## Citibank Credit Card
Master Trust I,
Series 98-7 A
6.014%, 5/15/02 AAA 3,875 3,875
Daimler Benz Auto
Grantor Trust, Series
97-A A
6.05%, 3/31/05 AAA 441 438
Daimler Benz Vehicle Trust, Series
98-A A2
5.23%, 12/20/01 AAA 635 634
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 606 603
EQCC Home Equity Loan
Trust,
Series:
99-1 A1F
5.77%, 5/20/10 AAA 1,383 1,368
99-3 A1F
6.548%, 4/25/10 AAA 2,986 2,960
(+) First Mortgage Acceptance
Corp., Loan Receivables Trust,
Series 96-B A1
7.629%, 11/15/18 A 1,016 864
First Security Auto
Grantor Trust, Series
97-B A
6.10%, 4/15/03 AAA 1,386 1,379
First Security Auto
Owner Trust, Series
99-2 A2
5.492%, 4/15/02 AAA 1,306 1,303
## First USA Credit
Card Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 2,740 2,740
Ford Credit Auto Owner Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 546 546
98-A A3
5.65%, 10/15/01 AAA 1,725 1,722
99-B A3
5.47%, 9/15/01 AAA 3,784 3,766
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
99-C A3
5.77%, 11/15/01 AAA $ 4,823 $ 4,800
99-D A3
6.20%, 4/15/02 AAA 4,726 4,705
Green Tree Home Equity
Loan Trust,
Series:
99-A A1
5.59%, 2/15/13 AAA 974 971
99-C A1
5.99%, 7/15/30 AAA 2,451 2,440
+ Green Tree Home Improvement
Loan Trust,
Series 98-E HIA1
5.907%, 8/15/07 Aaa 672 670
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 1,618 1,598
Harley-Davidson
Eaglemark Motorcycle
Trust,
Series 99-2 A1
5.84%, 10/15/03 AAA 1,657 1,642
+ HFC Home Equity Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa 1,749 1,741
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 588 585
97-B A
5.95%, 5/15/03 AAA 44 44
Honda Auto Receivables
Owner Trust, Series
99-1 A2
5.186%, 6/16/01 AAA 1,802 1,797
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 566 564
(+) Long Beach
Acceptance Auto
Grantor Trust, Series
97-2 A
6.69%, 9/25/04 AAA 465 461
MMCA Automobile Trust,
Series:
97-1 A3
6.08%, 5/15/01 AAA 11 11
99-2 A1
6.30%, 6/15/02 AAA 2,703 2,703
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 1,300 1,286
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE> 67
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) New Holland
Equipment Receivables
Trust, Series 99-A A2
6.39%, 10/15/02 AAA $ 2,300 $ 2,279
Nissan Auto Receivables
Grantor Trust, Series
97-A A
6.15%, 2/15/03 AAA 651 649
Option One Mortgage
Loan Trust, Series
99-2 A1
5.88%, 5/25/29 AAA 1,844 1,820
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 4,181 4,165
Residential Funding
Mortgage Securities
I, Series 99-HI4 A1
6.41%, 11/25/07 AAA 1,774 1,759
(+) Securitized
Multiple Asset Rated
Trust,
Series 97-3 A1
7.71%, 6/15/06 N/R 1,272 318
(+) Team Fleet Financing Corp.,
Series 96-1 A
6.65%, 12/15/02 A- 1,125 1,108
(+) Textron Financial
Corp. Receivables
Trust, Series 98-A A1
5.82%, 2/15/02 AAA 671 668
## UCFC Home Equity
Loan Trust,
Series 98-C A1
6.005%, 12/15/12 AAA 677 677
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 235 235
World Omni Automobile Lease
Securitization Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 385 384
- ------------------------------------------------------
GROUP TOTAL 72,774
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.2%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 16,669 246
(+) 96-3 A YMA
10/25/26 N/R 24,000 39
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 9,816 147
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) 96-4 A11 YMA
1/15/28 AAA $ 9,816 $ 14
96-4 A12 IO
1.05%, 1/15/28 AAA 1,796 19
(+) 96-4 A12 YMA
1/15/28 AAA 1,796 1
97-1 A10 IO
1.10%, 3/15/28 AAA 12,096 192
97-1 A10 YMA
3/15/28 N/R 12,096 21
- ------------------------------------------------------
GROUP TOTAL 679
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (2.9%)
Federal Home Loan Mortgage
Corporation,
Series:
83-IB IO
8.00%, 8/15/27 Agy 6,857 1,982
88-22 C PAC (11)
9.50%, 4/15/20 Agy 31 33
1415-S Inv Fl IO
16.938%, 11/15/07 Agy 456 137
1476-S Inv Fl IO
REMIC PAC
4.398%, 2/15/08 Agy 4,870 451
1485-S Inv Fl IO
REMIC
3.538%, 3/15/08 Agy 3,915 231
1600-SA Inv Fl IO
REMIC
1.938%, 10/15/08 Agy 9,152 287
2111-SB Inv Fl IO
2.561%, 1/15/29 Agy 12,987 351
Federal National
Mortgage Association,
Series:
92-186 S Inv Fl IO
3.349%, 10/25/07 Agy 8,172 557
## 94-73 F
6.625%, 12/25/20 Agy 309 310
## 94-97 FC REMIC
6.825%, 3/25/24 Agy 373 376
96-14 PC PO
12/25/23 Agy 229 135
96-68 SC Inv Fl IO
REMIC
1.975%, 1/25/24 Agy 3,825 249
## 97-70 FA REMIC
PAC (11)
5.388%, 7/18/20 Agy 537 536
## 98-22 FA REMIC
PAC (11)
6.471%, 4/18/28 Agy 2,089 2,078
186 IO
8.00%, 8/1/27 Agy 1,322 388
191 IO
8.00%, 1/1/28 Agy 4,475 1,308
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE> 68
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
291 2 IO
8.00%, 11/1/27 Agy $ 3,446 $ 1,000
296 2 IO
8.00%, 4/1/24 Agy 2,562 737
Government National
Mortgage Association,
Series:
99-32 SB Inv Fl IO REMIC
2.75%, 7/16/27 Tsy 8,792 327
99-43 UN Inv Fl IO
2.22%, 11/16/29 Tsy 8,305 324
- ------------------------------------------------------
GROUP TOTAL 11,797
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.2%)
American Housing Trust,
Series: IV 2 C
9.553%, 9/25/20 A 163 165
V 1G
9.125%, 4/25/21 AAA 770 786
- ------------------------------------------------------
GROUP TOTAL 951
- ------------------------------------------------------
COMMERCIAL MORTGAGES (4.2%)
Asset Securitization Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 1,845 1,782
(+) Beverly Finance
Corp., Series 94-1
8.36%, 7/15/04 AA- 2,175 2,201
(+) Carousel Center Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 1,550 1,516
(+) Creekwood Capital Corp.,
Series 95-1A
8.47%, 3/16/15 AA 1,623 1,667
(+) Crystal Run Properties, Inc.,
Series A
7.393%, 8/15/06 AA 2,125 2,058
+## GMAC Commercial Mortgage
Securities, Inc.,
Series: 96-C1 X2 IO
1.967%, 3/15/21 Aaa 7,379 453
97-C2 X IO
1.273%, 4/15/27 Aaa 21,073 1,143
+## GS Mortgage
Securities
Corp. II, Series
97-GL X2 IO
1.037%, 7/13/30 Aaa 5,839 211
## Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 1,135 1,142
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R $ 881 $ 873
(+) Prime Property
Fund,
Series 1 A
6.633%, 7/23/03 AA 1,519 1,480
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 2,300 2,209
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.578%, 2/25/28 N/R 7,258 372
96-CFL X1A IO
1.093%, 2/25/28 N/R 5,945 37
96-CFL X2 IO
1.221%, 2/25/28 N/R 1,946 38
- ------------------------------------------------------
GROUP TOTAL 17,182
- ------------------------------------------------------
ENERGY (1.5%)
CMS Energy Corp.
7.50%, 1/15/09 BB 1,525 1,343
Conoco, Inc.
6.95%, 4/15/29 A- 2,550 2,343
El Paso Energy Corp.
6.75%, 5/15/09 BBB 760 707
x Mobile Energy
Services LLC
8.665%, 1/1/17 D 1,709 342
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 1,430 1,260
- ------------------------------------------------------
GROUP TOTAL 5,995
- ------------------------------------------------------
FEDERAL AGENCY (13.9%)
Federal Home Loan
Mortgage Corporation
6.625%, 9/15/09 Agy 13,300 12,789
Federal National
Mortgage Association
6.25%, 5/15/29 Agy 19,180 17,292
7.25%, 1/15/10 Agy 27,050 27,232
- ------------------------------------------------------
GROUP TOTAL 57,313
- ------------------------------------------------------
FINANCE (10.0%)
(+) Anthem Insurance Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 1,135 1,068
Bank One Corp.
7.625%, 10/15/26 A- 1,060 1,003
8.00%, 4/29/27 A- 205 202
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 1,370 1,221
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE> 69
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) BT Institutional
Capital Trust, Series
A
8.09%, 12/1/26 A $ 2,205 $ 2,051
Chase Manhattan Corp.
6.00%, 2/15/09 A 1,000 900
7.00%, 11/15/09 A 370 356
Citigroup, Inc.
6.625%, 1/15/28 AA- 870 762
EOP Operating LP
6.763%, 6/15/07 BBB 1,420 1,312
7.50%, 4/19/29 BBB+ 670 587
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A+ 2,160 2,085
(+) Farmers Insurance Exchange
8.625%, 5/1/24 A+ 2,200 2,251
(+) Florida Property & Casualty
7.375%, 7/1/03 A- 750 737
Ford Motor Credit Co.
5.80%, 1/12/09 A+ 390 344
7.375%, 10/28/09 A+ 475 467
General Motors Acceptance Corp.
7.75%, 1/19/10 A 1,830 1,838
(+) Goldman Sachs Group LP
6.50%, 2/25/09 A+ 815 746
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 1,955 1,735
HMH Properties,
Series A
7.875%, 8/1/05 BB 1,425 1,261
Household Finance Corp.
5.875%, 2/1/09 A 1,600 1,410
7.875%, 3/1/07 A 650 658
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 2,000 1,784
7.80%, 11/1/25 A+ 250 244
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 2,300 2,020
(+) New York Life Insurance Co.
7.50%, 12/15/23 AA- 1,075 979
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 2,530 2,329
(+) Prime Property Funding II,
Inc.
6.80%, 8/15/02 A 200 195
7.00%, 8/15/04 A 1,945 1,872
(+) Prudential Insurance Co.
8.30%, 7/1/25 A- 2,375 2,459
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 1,300 1,228
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Washington Mutual, Inc.
8.25%, 4/1/10 BBB- $ 555 $ 557
Series A
8.206%, 2/1/27 BBB- 255 238
(+) World Financial Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 2,889 2,694
96 WFP-D
6.95%, 9/1/13 AA- 1,700 1,577
- ------------------------------------------------------
GROUP TOTAL 41,170
- ------------------------------------------------------
INDUSTRIALS (10.6%)
Adelphia Communications
Corp.
7.875%, 5/1/09 B+ 260 223
9.375%, 11/15/09 B+ 1,020 956
Albertson's, Inc.
7.45%, 8/1/29 A 1,610 1,542
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ 1,050 860
7.58%, 9/15/25 BB+ 1,145 938
9.00%, 12/15/14 BB+ 785 752
Continental Airlines,
Inc.
Series 97-1A
7.461%, 4/1/15 AA+ 459 446
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 1,810 1,764
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 1,625 1,416
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 418 358
94-K2 A2
9.35%, 8/15/19 BB+ 1,335 1,223
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 1,605 1,396
7.00%, 2/15/28 BBB+ 200 176
(+) Florida Windstorm
7.125%, 2/25/19 AAA 1,570 1,470
Ford Motor Co.
6.625%, 10/1/28 A+ 1,830 1,606
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 1,615 1,578
Honeywell International, Inc.
7.50%, 3/1/10 A 1,255 1,273
International Game Technology
8.375%, 5/15/09 BB+ 1,425 1,298
Kroger Co.
8.05%, 2/1/10 BBB- 410 412
Lenfest Communications, Inc.
7.625%, 2/15/08 BBB 1,330 1,299
Lockheed Martin Corp.
8.50%, 12/1/29 BBB- 1,395 1,407
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE> 70
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Lowe's Companies, Inc.
6.50%, 3/15/29 A $ 1,685 $ 1,428
6.875%, 2/15/28 A 520 463
Monsanto Co.
6.60%, 12/1/28 A 2,355 2,064
News America Holdings, Inc.
7.28%, 6/30/28 BBB- 2,355 2,090
8.875%, 4/26/23 BBB- 270 285
(+) Oxymar
7.50%, 2/15/16 BBB- 1,490 1,109
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 1,220 1,237
# Rhone-Poulenc Rorer, Inc.,
Series 92-A 3
8.62%, 1/5/21 A 2,175 2,214
Saks, Inc.
7.375%, 2/15/19 BB+ 970 793
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 3,305 2,479
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 930 934
Tenet Healthcare Corp.,
Series B
7.625%, 6/1/08 BB+ 1,575 1,434
U.S. Airways Corp.,
Pass Through
Certificates
8.11%, 2/20/17 AAA 780 787
USA Waste Services, Inc.
7.00%, 7/15/28 BBB 2,005 1,512
Wal-Mart Stores, Inc.
7.55%, 2/15/30 AA 2,025 2,078
Waste Management, Inc.
7.375%, 5/15/29 BBB 525 415
- ------------------------------------------------------
GROUP TOTAL 43,715
- ------------------------------------------------------
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 $166) AA 163 163
## Resolution Trust
Corp., Series 92-5 C
CMO
8.613%, 1/25/26 AA 536 532
Ryland Acceptance Corp. IV,
Series 79-A
6.65%, 7/1/11 AA 925 909
sec. Shearson American Express,
Series A CMO
9.625%, 12/1/12
(acquired 8/24/92-
5/25/93, cost $134) AA 134 134
- ------------------------------------------------------
GROUP TOTAL 1,738
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TELEPHONES (3.5%)
!! AT&T Corp.
6.50%, 3/15/29 AA- $ 2,505 $ 2,179
BellSouth Telecommunications, Inc.
6.375%, 6/1/28 AAA 1,410 1,212
(+) Global Crossing
Holdings Ltd.
9.125%, 11/15/06 BB 1,335 1,278
GTE Corp.
6.94%, 4/15/28 A 1,740 1,580
Intermedia Communications, Inc.
# 0.00%, 5/15/06 B 355 327
Series B
8.50%, 1/15/08 B 280 248
8.60%, 6/1/08 B 1,550 1,368
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 2,990 2,755
Nextel Communications,
Inc.
# 0.00%, 9/15/07 B 1,660 1,212
9.375%, 11/15/09 B- 300 278
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 2,475 1,943
- ------------------------------------------------------
GROUP TOTAL 14,380
- ------------------------------------------------------
TRANSPORTATION (1.0%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 1,347 1,246
99-1 A
6.545%, 8/2/20 AA+ 346 315
(+) Jet Equipment
Trust, Series 95-C
10.69%, 5/1/15 BBB 2,080 2,324
Union Pacific Corp.
Series E
6.79%, 11/9/07 BBB- 415 392
- ------------------------------------------------------
GROUP TOTAL 4,277
- ------------------------------------------------------
UTILITIES (0.6%)
(+) PSEG Energy
Holdings, Inc.
9.125%, 2/10/04 BBB- 1,170 1,169
(+) Southern Energy,
Inc.
7.90%, 7/15/09 BBB 1,150 1,115
- ------------------------------------------------------
GROUP TOTAL 2,284
- ------------------------------------------------------
YANKEE (5.3%)
Abbey National plc
7.95%, 10/26/29 AA- 1,200 1,200
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 1,210 1,045
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
68
<PAGE> 71
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Glencore Nickel Property Ltd.
9.00%, 12/1/14 BB+ $ 1,605 $ 1,364
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 1,525 1,323
(+) Hutchison Whampoa Financial,
Series B
7.45%, 8/1/17 A 1,695 1,598
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 1,500 1,349
Multicanal S.A.
13.125%, 4/15/09 BB+ 245 259
Series C
10.50%, 4/15/18 BB+ 1,100 974
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 1,275 1,224
Orange plc
8.75%, 6/1/06 BBB 1,505 1,552
(+) Paiton Energy
Funding BV
9.34%, 2/15/14 CC 1,900 385
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB 2,595 2,017
(+) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 1,100 1,061
Republic of Argentina
Par
11.75%, 4/7/09 BB 295 293
12.00%, 2/1/20 BB 720 726
Republic of Colombia
8.70%, 2/15/16 BB+ 1,580 1,198
Republic of Philippines
10.625%, 3/16/25 BB+ 825 822
United Mexican States Par Bond,
Series A
6.25%, 12/31/19 BB+ 1,670 1,424
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 300 303
7.875%, 2/15/30 A 1,675 1,701
- ------------------------------------------------------
GROUP TOTAL 21,818
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$518,101) 503,107
- ------------------------------------------------------
PREFERRED STOCK (2.0%)
- ------------------------------------------------------
SHARES
------
MORTGAGE-OTHER (2.0%)
(+)+ Home Ownership
Funding Corp. 13.331% (Cost
$8,157) Aaa 10,400 8,159
- ------------------------------------------------------
</TABLE>
<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 $1,314) N/R $19,147 $ 379
- ------------------------------------------------------
CASH EQUIVALENTS (12.0%)
- ------------------------------------------------------
DISCOUNT NOTES (7.3%)
Federal National Mortgage
Association 5.69%, 4/20/00 10,000 9,970
5.77%, 4/27/00 20,000 19,917
- ------------------------------------------------------
GROUP TOTAL 29,887
- ------------------------------------------------------
REPURCHASE AGREEMENT (4.7%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to be
repurchased at $19,523,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$19,708 19,513 19,513
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $49,400) 49,400
- ------------------------------------------------------
TOTAL INVESTMENTS (136.5%) (Cost $576,972) 561,045
- ------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-36.5%)
Dividends Receivable 346
Interest Receivable 5,164
Receivable for Forward Commitments 20,438
Receivable for Fund Shares Sold 743
Investments Held as Collateral for Loaned
Securities 40,482
Other Assets 50
Payable to Custodian (67)
Payable for Investments Purchased (1,473)
Payable for Forward Commitments (169,770)
Payable for Fund Shares Redeemed (3,989)
Payable for Investment Advisory Fees (382)
Payable for Administrative Fees (27)
Payable for Trustees' Deferred Compensation
Plan-Note F (42)
Payable for Daily Variation on Futures
Contracts (310)
Unrealized Loss on Swap Agreements (487)
Collateral on Securities Loaned, at Value (40,482)
Other Liabilities (275)
--------
(150,081)
- ------------------------------------------------------
NET ASSETS (100%) $410,964
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
69
<PAGE> 72
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SPECIAL PURPOSE FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 36,889,378 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $410,964
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.14
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $440,659
Undistributed Net Investment Income (Loss) 7,894
Undistributed Realized Net Gain (Loss) (19,577)
Unrealized Appreciation (Depreciation) on:
Investment Securities (15,927)
Futures and Swaps (2,085)
- ------------------------------------------------------
NET ASSETS $410,964
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
- ----------------------------------------------------------
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 2000 was
$297,000 or 0.1% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
x Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity.
Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 2000.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 2000.
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.
- --------------------------------------------------------------------------------
70
<PAGE> 73
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Municipal Portfolio invests in debt obligations issued by state and local
governments or their agencies and in other fixed-income securities. Portfolio
structure reflects three key elements: duration, sector selection, and security
selection. Duration varies depending on Miller Anderson & Sherrerd's outlook for
changes in interest rates, becoming longer than the benchmark index in periods
when MAS expects rates to fall and shorter in periods when MAS expects them to
rise. Investments in individual securities and sectors reflect MAS's views on
the risks and rewards available in the various bonds offered in the market.
Normally, at least 80% of the Portfolio's income will be exempt from regular
federal income tax. Taxable securities are included only in cases where MAS
believes they will improve the Portfolio's risk/reward profile on an after-tax
basis.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
LEHMAN LEHMAN
5 YEAR 10 YEAR BLENDED
MAS MUNICIPAL MUNICIPAL MUNICIPAL
MUNICIPAL INDEX INDEX INDEX
---------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 1.80% 1.20% 2.18% 1.69%
ONE YEAR (0.94) 0.89 0.48 0.69
FIVE YEARS 6.19 5.12 6.19 5.87
SINCE INCEPTION 6.49 5.12 6.30 6.13
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
The Portfolio was initially focused on longer-term securities. On April 15,
1996, shareholders approved a change in the Portfolio's investment policies to
emphasize fixed-income securities of shorter duration. On October 2, 1998,
shareholders approved a change in the Portfolio's investment policies to specify
that generally at least 80% of its income will be exempt from regular federal
income tax. The Portfolio's performance pattern may have been affected by these
changes
* The Municipal Portfolio commenced operations on 10/1/92. Total returns are
compared to the Lehman 5 Year Municipal Index and the Lehman 10 Year Municipal
Index, both unmanaged market indices, as well as the Blended Municipal Index, an
unmanaged index comprised of the Lehman Long Municipal Index from 10/1/92 to
3/31/96 and 50% Lehman 10 Year Municipal Index and 50% Lehman 5 Year Municipal
Index thereafter. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.5%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
MUNICIPAL BONDS (84.3%)
Alabama Drinking Water
Finance Authority
Revenue Bonds,
Series A (AMBAC)
4.60%, 8/15/10 AAA $1,415 $ 1,328
Aldine, TX Independent
School District
(PSFG)
Zero Coupon, 2/15/07 AAA 750 523
Aliquippa School
District, PA
Zero Coupon, 6/1/12 A 685 340
Allegheny County, PA
Hospital Development
Authority Revenue
Bonds,
Series A (MBIA)
4.625%, 8/1/12 AAA 1,000 897
+ Amarillo, TX Health
Facility Corp.
Revenue Bonds (FSA)
5.50%, 1/1/10 Aaa 1,275 1,286
Arkansas State
Development Finance
Authority Home
Mortgage Revenue
Bonds,
Series B-1
4.90%, 7/1/29 AAA 5 5
Beaver County, PA
Industrial
Development Authority
Pollution Control
Revenue Bonds
4.65%, 6/1/33 BB- 750 710
Berks County, PA (FGIC)
Zero Coupon,
5/15/19 AAA 1,250 407
Zero Coupon,
11/15/20 AAA 1,000 299
Berks County, PA Solid
Waste Authority
(FGIC)
6.00%, 4/1/11 AAA 170 177
Bradford, PA Area
School District
(FGIC)
4.60%, 10/1/10 AAA 250 234
Brazos County, TX
River Authority
Revenue Bonds
5.20%, 12/1/18 BBB+ 550 542
+ Bucks County, PA
Water & Sewer
Authority Revenue
Bonds,
Series B
5.50%, 2/1/08 Aaa 125 127
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
71
<PAGE> 74
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
California Housing &
Finance Agency
Revenue Bonds (MBIA)
5.30%, 8/1/14 AAA $ 95 $ 95
Center Township, PA
Sewer Authority
Revenue Bonds (MBIA)
Series A
Zero Coupon, 4/15/17 AAA 615 230
Central MI University
Revenue Bonds (FGIC)
4.65%, 10/1/11 AAA 1,345 1,257
Chicago, IL General
Obligation Bonds
Series A (FGIC)
Zero Coupon, 1/1/19 AAA 4,000 1,332
4.90%, 1/1/14 AAA 2,800 2,598
Cleveland, OH Airport
Special Revenue Bonds
5.50%, 12/1/08 BB- 750 697
Clinton County, PA
Industrial
Development Authority
6.25%, 11/15/06 BB- 140 137
Colorado Health
Facilities Revenue
Bonds, Series A
Zero Coupon, 7/15/20 AAA 1,000 264
Council Rock, PA School
District (FGIC)
4.60%, 11/15/12 AAA 1,000 917
Crown Point, IN Multi-
School Building Corp.
Revenue Bonds
Zero Coupon, 1/15/24 AAA 5,200 1,248
Dallas Fort Worth, TX
International Airport
Facility Corporate
Revenue Bonds
6.375%, 5/1/35 BBB- 1,100 1,055
Delaware County, PA
Industrial
Development Authority
Revenue Bonds,
Series A
6.50%, 1/1/08 BB- 200 192
Detroit, MI Downtown
Development Authority
Tax Increment Revenue
Bonds (MBIA)
4.65%, 7/1/10 AAA 1,330 1,254
Du Page & Will Counties, IL
Community School District No.
204, General Obligation Bonds
(FSA)
4.80%, 12/30/13 AAA 1,150 1,067
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Duneland, IN School
Building Corp.
Revenue Bonds (MBIA)
4.85%, 8/1/13 AAA $1,045 $ 977
East Detroit, MI,
School District
General Obligation
Bonds (FGIC)
4.55%, 5/1/11 AAA 1,075 996
East Porter County, IN
School Building Corp.
Revenue Bonds
4.70%, 7/15/12 AAA 1,025 948
Elizabeth Forward, PA
School District,
Series B (MBIA)
Zero Coupon, 9/1/11 AAA 1,250 674
Ephrata, PA Area School
District, Series C
(FGIC)
4.60%, 10/15/11 AAA 1,000 927
+ Erie, PA Sewer
Authority Revenue
Bonds, Series A
(AMBAC)
5.00%, 6/1/11 Aaa 455 446
+ Essex County, NJ
Utility Authority
Revenue Bonds, Series
A (FSA)
4.80%, 4/1/14 Aaa 1,005 934
Fort Wayne, IN Hospital
Authority, Hospital
Revenue Bonds (MBIA)
4.70%, 11/15/11 AAA 1,100 1,004
Fort Worth, TX
Independent School
District (PSFG)
Zero Coupon, 2/15/08 AAA 940 621
Georgetown County, SC,
Pollution Control
Facility Revenue
Bonds
5.125%, 2/1/12 BBB+ 725 667
Georgia State Housing &
Financing Authority,
Series A A2 (FHA)
5.875%, 12/1/19 AAA 90 91
Girard Area, PA School
District (FGIC)
Zero Coupon, 10/1/18 AAA 700 238
Zero Coupon, 10/1/19 AAA 250 79
+ Grand Haven, MI Area
Public Schools
4.70%, 5/1/12 Aaa 1,300 1,215
+ Hamilton County, IN
Redevelopment
Authority Revenue
Bonds (MBIA)
4.90%, 8/1/13 Aaa 1,160 1,081
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72
<PAGE> 75
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Hawaii State
Certificate of
Participation
Series A (AMBAC)
4.80%, 5/1/12 AAA $1,275 $ 1,168
Houston, TX Housing
Finance & Development
Corp., Single Family
Mortgage Revenue
Bonds, Series B-1
8.00%, 6/1/14 A 200 208
Houston, TX Water &
Sewer System Revenue
Bonds, Series A (FSA)
Zero Coupon, 12/1/21 AAA 6,510 1,793
Zero Coupon, 12/1/22 AAA 2,150 554
+ Howard Suamico, WI
School District
General Obligation
Bonds (FSA)
4.60%, 3/1/12 Aaa 360 331
4.75%, 3/1/14 Aaa 1,115 1,018
+ Huron Valley, MI
School District
(FGIC)
4.65%, 5/1/11 Aaa 1,095 1,027
+ Idaho Housing &
Finance Association,
Single Family
Mortgage Revenue
Bonds, Series H-2
5.40%, 7/1/27 Aaa 135 134
Illinois Development
Finance Authority
Revenue Bonds (FGIC)
Zero Coupon, 12/1/09 AAA 2,000 1,196
+ Illinois Health
Facility Authority
Revenue Bonds
5.00%, 11/15/12 Aaa 1,000 948
Indiana State
University Revenue
Bonds, Series I
(FGIC)
5.20%, 10/1/12 AAA 1,640 1,615
+ Indiana
Transportation
Finance Authority
Highway Revenue
Bonds, (AMBAC)
Zero Coupon, 12/1/16 Aaa 1,695 654
Indianapolis Airport
Authority Revenue
Bonds
7.10%, 1/15/17 BBB 375 389
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Intermountain Power
Agency, UT Power
Supply Revenue Bonds,
Series: A+ $1,750 $642
A Zero Coupon, 7/1/17
B (MBIA)
6.50%, 7/1/09 AAA 300 329
+ Jefferson Parish, LA
School Board Sales &
Use Tax Revenue Bonds
(FSA)
Zero Coupon, 9/1/06 Aaa 1,000 719
+ Kane & De Kalb
Counties, IL Unit
School District
(AMBAC)
Zero Coupon, 12/1/09 Aaa 725 432
+ King County, WA
Liberty System
Facility Revenue
Bonds (AMBAC)
4.85%, 12/1/13 Aaa 1,110 1,036
+ Lehigh County, PA
General Purpose
Authority Revenue
Bonds, Lehigh Valley
Health Networks,
Series C (MBIA)
4.90%, 7/1/11 Aaa 1,195 1,131
Long Island, NY Power
Authority, Electric
System Revenue Bonds,
Series A (FSA)
Zero Coupon, 12/1/15 AAA 2,535 1,064
Maine Municipal Bond
Bank, Series C (FSA)
5.10%, 11/1/12 AAA 1,130 1,113
Maryland State Economic
Development Corp.
Revenue Bonds,
7.50%, 12/1/14 N/R 350 345
Massachusetts State
Development Financing
Agency, Resource
Recovery Revenue
Bonds,
6.90%, 12/1/29 BBB 250 249
Massachusetts State
Health & Educational
Facilities Authority
Revenue Bonds,
4.80%, 7/1/12 AAA 1,665 1,531
Massachusetts State
Port Authority
Revenue Bonds
Series 99 A
5.75%, 10/1/29 BB+ 900 898
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
73
<PAGE> 76
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Michigan State Hospital
Finance Authority
Revenue Bonds, Series
A (MBIA)
5.00%, 2/15/12 AAA $1,000 $ 951
Midland, TX Independent
School District
(PSFG)
Zero Coupon, 8/15/06 AAA 750 538
Minnesota State Housing
& Finance Agency
Single Family
Mortgage Revenue
Bonds, Series E
5.05%, 7/1/24 AA+ 330 330
Mobile, AL Industrial
Development Board
Solid Waste Disposal
Revenue Bonds,
6.95%, 1/1/20 BBB- 269 88
+## Montana State
Health Facilities
Authority Revenue
Bonds (AMBAC)
Zero Coupon, 2/25/25 Aaa 2,900 2,900
Montgomery County, PA
Industrial
Development Authority
Pollution Control
Revenue Bonds,
5.20%, 10/1/30 BBB+ 850 825
Montour, PA School
District (MBIA)
Zero Coupon, 1/1/13 AAA 300 147
+ Morton Grove, IL
(FGIC)
4.50%, 12/1/13 Aaa 1,480 1,315
Nassau County, NY
Tobacco Settlement
Corp.
6.50%, 7/15/27 A- 650 656
Nebraska Investment
Finance Authority
Revenue Bonds,
Series:
B
5.60%, 3/1/20 AAA 605 607
D
5.80%, 3/1/20 AAA 185 185
+ Nevada Housing
Division,
Series:
A-2
5.30%, 4/1/28 Aaa 1,030 1,003
B-2
5.70%, 10/1/27 Aaa 875 871
C
5.65%, 4/1/27 Aaa 100 100
E (FHA)
5.35%, 10/1/27 Aaa 590 585
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
New Jersey Economic
Development Authority
Revenue Bonds, Series
A
Zero Coupon, 4/1/12 N/R $ 625 $ 279
New York City, NY
General Obligation
Bonds, Series G
(MBIA)
5.00%, 8/1/12 AAA 1,000 969
## New York City, NY
General Obligation
Inverse Bonds
18.101%, 10/1/03 A- 350 480
New York City, NY
Industrial
Development Agency
Revenue Bonds (FSA)
6.00%, 11/1/15 AAA 2,175 2,247
New York State
Dormitory Authority
Revenue Bonds
Series E
5.10%, 2/15/11 (FSA) AAA 825 810
Series H (FGIC)
5.10%, 2/15/11 AAA 1,250 1,227
5.125%, 7/1/11 AAA 1,000 989
Noblesville, IN High
School Building Corp.
(AMBAC)
Zero Coupon, 2/15/19 AAA 1,850 612
North Carolina Housing
& Finance Agency
Revenue Bonds,
Series:
JJ
5.75%, 3/1/23 AA 110 110
RR
5.00%, 9/1/22 AA 1,520 1,491
North Carolina
Municipal Power
Agency, Electric
Revenue Bonds,
6.625%, 1/1/10 BBB+ 850 895
+ North Dakota State
Housing & Finance
Agency Revenue Bonds,
Series C
5.15%, 1/1/21 Aa3 1,124 1,124
+ North Hempstead, NY
General Obligation
Bonds, Series B
(FGIC)
5.00%, 3/1/12 Aaa 890 863
Okemos, MI Public
School District
(MBIA)
Zero Coupon, 5/1/15 AAA 900 385
Oley Valley, PA School
District (AMBAC)
Zero Coupon, 5/15/09 AAA 760 468
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
74
<PAGE> 77
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Orange County, FL
Health Facilities
Authority Revenue
Bonds,
Zero Coupon,
10/15/26 AA $2,900 $ 2,900
Orange County, FL
Housing & Finance
Authority Single
Family Mortgage
Revenue Bonds,
5.10%, 9/1/27 AAA 450 441
Ouachita Parish, LA
West Ouachita Parish
School District
Revenue Bonds (MBIA)
4.70%, 9/1/14 AAA 1,020 922
Parkland, PA School
District (FGIC)
4.60%, 9/1/10 AAA 250 235
!! Penn Hills Township,
PA
Zero Coupon, 6/1/12 N/R 1,615 757
Series B
Zero Coupon, 12/1/13 N/R 500 212
Pennsylvania Convention
Center Authority
6.25%, 9/1/04 BBB 250 256
6.70%, 9/1/16 (FGIC) AAA 500 565
Pennsylvania Housing &
Finance Authority,
Series:
47
5.20%, 4/1/27 AA+ 320 320
48
5.375%, 10/1/16 AA+ 235 232
50A
5.35%, 10/1/08 AA+ 170 171
51
5.65%, 4/1/20 AA+ 200 201
52B
5.55%, 10/1/12 AA+ 480 480
Philadelphia, PA
Authority For
Industrial
Development Revenue
Bonds, Series A
6.50%, 10/1/27 N/R 320 306
Philadelphia, PA Gas
Works
5.80%, 7/1/01 BBB 200 202
+ Philadelphia, PA
Hospitals & Higher
Education Facilities
Authority Revenue
Bonds
6.15%, 7/1/05 Baa3 50 52
+ Philadelphia, PA
Hospitals
10.875%, 7/1/08 Aaa 120 143
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Philadelphia, PA Water
& Wastewater Revenue
Bonds (FGIC)
5.15%, 6/15/04 AAA $ 50 $ 50
Pittsburgh, PA General
Obligation Bonds
(AMBAC)
6.50%, 4/1/11 AAA 245 259
Plymouth County, MA
Correctional Facility
(AMBAC)
4.70%, 4/1/11 AAA 1,000 944
Port Authority, NY & NJ
Special Obligation
Revenue Bonds
7.00%, 10/1/07 N/R 700 728
Port Seattle, WA
Revenue Bonds (AMBAC)
4.875%, 8/1/10 AA- 1,475 1,430
Richardson, TX, Hotel
Occupancy
Certificates of
Obligation (FGIC)
5.75%, 2/15/17 AAA 1,405 1,422
Robinson Township, PA
6.90%, 5/15/18 AAA 110 121
Rock Island, IL School
District, General
Obligation Bonds
(FSA)
5.00%, 12/1/11 AAA 1,000 975
+ Rose Tree Media, PA
School District,
General Obligation
Bonds
4.60%, 2/15/13 Aaa 1,025 931
Saginaw, MI Hospital
Financing Authority
Revenue Bonds,
5.375%, 7/1/19 AAA 1,265 1,200
San Bernardino County,
CA,
Series A (MBIA)
5.50%, 7/1/16 AAA 1,600 1,606
Savannah, GA Economic
Development Authority
Revenue Bonds,
7.40%, 4/1/26 N/R 310 306
Scranton, PA Health &
Welfare Authority
Revenue Bonds
6.625%, 7/1/09 AAA 115 121
Southeastern Area
Schools, PA Revenue
Bonds,
Series:
A
Zero Coupon, 10/1/06 A 200 142
B
Zero Coupon, 10/1/06 A 390 277
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
75
<PAGE> 78
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
St. Charles Parish, LA
Pollution Control
Revenue Bonds Series
C
5.35%, 10/1/29 BBB- $ 950 $ 934
Steel Valley, PA
Allegheny County
Zero Coupon, 11/1/17 A 650 223
Steel Valley, PA School
District
Zero Coupon, 11/1/11 A 1,170 603
Stroudsburg, PA Area
School District
General Obligation
Bonds (FGIC)
4.95%, 10/1/11 AAA 1,000 972
Terrebonne Parish, LA
Hospital Service
District Revenue
Bonds (AMBAC)
4.95%, 4/1/10 AAA 1,330 1,272
Texas State Housing &
Community Revenue
Bonds Series D
5.45%, 3/1/21 AAA 1,015 1,016
+ Toledo-Lucas County,
OH Port Authority
Revenue Bonds,
6.45%, 12/15/21 Baa2 900 884
TSASC, Inc., NY
Series 1
6.25%, 7/15/27 A 550 546
+ Tyler, TX Health
Facilities
Development Corp.,
Series A
5.25%, 7/1/02 Baa2 425 421
Upper Darby Township,
PA (AMBAC)
Zero Coupon, 7/15/11 AAA 525 285
Vancouver, WA Water &
Sewer Revenue Bonds
(MBIA)
4.60%, 6/1/13 AAA 1,000 904
Washington County, West
PA Power Co.
4.95%, 3/1/03 A 150 149
Washington State
Healthcare Facilities
Authority Revenue
Bonds
4.70%, 10/1/11 (FSA) AAA 1,075 985
5.125%, 11/15/11
(AMBAC) AAA 1,000 973
Washoe County, NV
General Obligation
Bonds Series B (FSA)
Zero Coupon, 7/1/18 AAA 4,235 1,415
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
West Texas Municipal
Power Agency Revenue
Bonds (MBIA)
4.90%, 2/15/11 AAA $1,520 $ 1,463
Whatcom County, WA
School District
General Obligation
Bonds,
Series A (FGIC)
4.90%, 12/1/10 AAA 1,780 1,725
+ Winnebago County, IL
School District
General Obligation
Bonds (FSA)
Zero Coupon, 1/1/14 Aaa 3,600 1,662
Wisconsin Housing &
Economic Development
Authority Home
Ownership Revenue
Bonds, Series E
5.125%, 9/1/26 AA 2,430 2,407
+ Wisconsin State
Health & Educational
Facilities Authority
Revenue Bonds,
(AMBAC)
5.625%, 2/15/12 Aaa 1,000 1,010
Series B (MBIA)
4.95%, 6/1/12 Aaa 1,255 1,175
Ypsilanti, MI School
District General
Obligation Bonds
(FGIC)
4.70%, 5/1/12 AAA 1,115 1,034
- ------------------------------------------------------
GROUP TOTAL 115,655
- ------------------------------------------------------
ASSET BACKED CORPORATES (0.3%)
ALPS
Series 96-1 DX
12.75%, 6/15/06 BB- 430 430
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.4%)
Government National
Mortgage Association,
Series:
99-43 Inv Fl IO
2.60%, 11/16/29 Tsy 3,406 133
99-44 Inv Fl IO
2.75%, 12/16/29 Tsy 2,710 134
00-9 Inv Fl IO
3.18%, 2/16/30 Tsy 4,720 272
- ------------------------------------------------------
GROUP TOTAL 539
- ------------------------------------------------------
FINANCE (2.3%)
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ $ 755 $ 649
Nationsbank Corp.
6.80%, 3/15/28 A 780 681
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
76
<PAGE> 79
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) New England
Mutual
7.875%, 2/15/24 A+ $ 625 $ 622
PNC Funding Corp.
6.125%, 2/15/09 BBB+ 350 313
7.50%, 11/1/09 BBB+ 270 265
Washington Mutual,
Inc.,
Series A
8.206%, 2/1/27 BBB- 640 597
- ------------------------------------------------------
GROUP TOTAL 3,127
- ------------------------------------------------------
INDUSTRIAL (2.0%)
Columbia/HCA Healthcare
Corp.
7.50%, 12/15/23 BB+ 775 631
Comcast Cable
Communications
6.20%, 11/15/08 BBB 630 565
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 400 348
Kroger Co.
7.70%, 6/1/29 BBB- 580 547
News America Holdings
7.75%, 2/1/24 BBB- 655 613
- ------------------------------------------------------
GROUP TOTAL 2,704
- ------------------------------------------------------
TELEPHONES (1.0%)
(+) Global Crossing
Holdings Ltd.
9.125%, 11/15/06 BB 375 359
!! MCI WorldCom, Inc.
6.95%, 8/15/28 A- 665 613
Qwest Communications
International, Inc.,
Series B
8.29%, 2/1/08 BB+ 570 447
- ------------------------------------------------------
GROUP TOTAL 1,419
- ------------------------------------------------------
UTILITIES (0.4%)
CMS Panhandle Holdings
Co.
7.00%, 7/15/29 BBB- 390 343
(+) Southern Energy,
Inc.
7.90%, 7/15/09 BBB 300 291
- ------------------------------------------------------
GROUP TOTAL 634
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
YANKEE (1.8%)
(+)!! Hutchison Whampoa
Financial, Series B
7.45%, 8/1/17 A $ 525 $ 495
(+) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 570 550
Republic of Argentina
Par
11.75%, 4/7/09 BB 275 273
Republic of Columbia
8.625%, 4/1/08 BB+ 805 676
United Mexican States
Par Bond,
Series B
6.25%, 12/31/19 BB+ 490 418
- ------------------------------------------------------
GROUP TOTAL 2,412
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$128,388) 126,920
- ------------------------------------------------------
CASH EQUIVALENTS (7.2%)
- ------------------------------------------------------
<CAPTION>
SHARES
-----
<S> <C> <C> <C>
MONEY MARKET FUNDS (5.9%)
Dreyfus Basic Municipal Money Market
Fund 4,081,812 4,082
Vanguard Municipal Money Market
Fund 4,077,224 4,077
- ------------------------------------------------------
GROUP TOTAL 8,159
- ------------------------------------------------------
FACE
AMOUNT
(000)
-----
REPURCHASE AGREEMENT (1.3%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to be
repurchased at $1,731,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$1,747 $1,730 1,730
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $9,889) 9,889
- ------------------------------------------------------
TOTAL INVESTMENTS (99.7%) (Cost $138,277) 136,809
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
77
<PAGE> 80
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MUNICIPAL
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (0.3%)
Cash $ 52
Interest Receivable 1,759
Receivable for Forward Commitments 28,890
Receivable for Fund Shares Sold 394
Other Assets 10
Unrealized Gain on Swaps 26
Dividend Payable (283)
Payable for Investments Purchased (1,405)
Payable for Forward Commitments (28,764)
Payable for Fund Shares Redeemed (3)
Payable for Investment Advisory Fees (107)
Payable for Administrative Fees (7)
Payable for Daily Variation Margin on
Futures Contracts (117)
Other Liabilities (51)
--------
394
- ------------------------------------------------------
NET ASSETS (100%) $137,203
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 12,214,216 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $137,203
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 11.23
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $140,760
Undistributed Net Investment Income (Loss) 128
Undistributed Realized Net Gain (Loss) (1,974)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,468)
Futures and Swaps (243)
- ------------------------------------------------------
NET ASSETS $137,203
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security
is not rated by Standard & Poor's Corporation.
## Variable of floating rate security-rate disclosed
is as of March 31, 2000
AMBAC American Municipal Bond Assurance Corporation
Inv Inverse Floating Rate-Interest rate fluctuates
Fl with an inverse relationship to an associated
interest rate. Indicated rate is the effective
rate at March 31, 2000.
IO Interest Only
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78
<PAGE> 81
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Global Fixed Income Portfolio invests in high-grade fixed-income securities
from around the world, including the United States. Miller Anderson & Sherrerd
manages the duration, country, and currency exposure of the portfolio by
combining research on relative values with analyses of economic, interest rate,
and exchange rate trends. Particular attention is paid to prospective inflation
and real interest rates. The Portfolio will tend to invest in those countries
offering the highest real interest rates and steepest yield curves, after
adjusting for differences in the fiscal soundness of each country. Foreign
currency exposure is handled as a separate management decision and foreign
currencies which MAS judges to be significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS GLOBAL SALOMON WORLD
FIXED INCOME GOV'T BOND INDEX
-------------------------------
<S> <C> <C>
SIX MONTHS
(1.91)% (1.16)%
ONE YEAR
(2.75) (0.24)
FIVE YEARS
4.81 4.27
SINCE INCEPTION
5.68 5.76
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Foreign investments are subject to certain risks such as
currency fluctuations, economic instability, and political developments.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Global Fixed Income Portfolio commenced operations on 4/30/93. Total
returns are compared to the Salomon World Government Bond Index, an unmanaged
market index. Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (92.8%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
BRITISH POUND (2.9%)
# NTL, Inc.
0.00%, 4/1/08 B- GBP 175 $ 184
Orange plc
8.625%, 8/1/08 BB+ 235 383
(+)# Telewest plc
0.00%, 4/15/09 B+ 105 98
United Kingdom
Treasury Bill
8.00%, 6/10/03 AAA 390 651
- --------------------------------------------------------
GROUP TOTAL 1,316
- --------------------------------------------------------
CANADIAN DOLLAR (3.3%)
Government of Canada
7.50%, 3/1/01 AAA CAD 2,180 1,521
- --------------------------------------------------------
DANISH KRONE (4.9%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 17,600 2,225
- --------------------------------------------------------
EURO (31.7%)
Colt Telecom Group plc
7.625%, 7/31/08 B+ EUR 345 317
## GMAC Global Bond
3.42%, 9/25/02 A- 716 682
Government of France
O.A.T.
5.25%, 4/25/08 AAA 1,025 983
Government of Germany
4.00%, 7/4/09 AAA 630 535
6.25%, 1/4/24 AAA 576 595
6.50%, 7/4/27 AAA 1,995 2,128
6.875%, 5/12/05 AAA 2,590 2,687
Kredit fuer
Wiederaufbau
5.00%, 1/4/09 AAA 575 530
# Lloyds TSB Bank plc
5.625%, 7/15/49 A+ 375 334
Mannesmann Finance BV
4.75%, 5/27/09 A 305 261
Pearson plc
6.125% 2/1/07 BBB+ 200 193
Republic of Italy BTPS
4.25%, 11/1/09 AA 1,550 1,354
9.50%, 2/1/06 AA 591 686
10.00%, 8/1/03 AA 1,212 1,338
Spanish Government
5.15%, 7/30/09 AA+ 1,571 1,474
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
79
<PAGE> 82
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Tecnost
International
Finance NV
6.125%, 7/30/09 BBB+ EUR 155 $ 144
(+) Tyco International
Group S.A.
6.125%, 4/4/07 A- 200 191
- --------------------------------------------------------
GROUP TOTAL 14,432
- --------------------------------------------------------
JAPANESE YEN (16.1%)
Credit Locale de
France
6.00%, 10/31/01 AA+ JPY 75,000 794
European Investment
Bank
3.00%, 9/20/06 AAA 88,000 941
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 80,000 847
Federal National
Mortgage
Association-Global
1.75%, 3/26/08 Agy 100,000 980
Government of Japan
0.90%, 12/22/08 AAA 344,000 3,112
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 64,000 672
- --------------------------------------------------------
GROUP TOTAL 7,346
- --------------------------------------------------------
SWEDISH KRONA (3.3%)
Swedish Government
6.00%, 2/9/05 AAA SEK 12,500 1,491
13.00%, 6/15/01 AA+ 75 9
- --------------------------------------------------------
GROUP TOTAL 1,500
- --------------------------------------------------------
UNITED STATES DOLLAR (30.6%)
AGENCY FIXED RATE MORTGAGES (5.3%)
Federal National
Mortgage Association
April TBA
6.00%, 4/1/30 Agy US$ 500 455
Government National
Mortgage Association
April TBA
7.00%, 4/1/30 Tsy 2,000 1,937
- --------------------------------------------------------
GROUP TOTAL 2,392
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
ENERGY (1.4%)
CMS Energy Corp.
7.50%, 1/15/09 BB US$ 220 $ 194
Conoco, Inc.
6.95%, 4/15/29 A- 310 285
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 190 167
- --------------------------------------------------------
GROUP TOTAL 646
- --------------------------------------------------------
FINANCE (8.1%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 160 151
Bank One Corp.
7.625%, 10/15/26 A- 150 142
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 325 302
EOP Operating LP
6.763%, 6/15/07 BBB 140 129
7.50%, 4/19/29 BBB+ 95 83
Equitable Companies,
Inc.
7.00%, 4/1/28 A+ 275 247
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 305 262
GS Escrow Corp.
7.125%, 8/1/05 BB+ 250 222
Household Finance
Corp.
7.875%, 3/1/07 A 250 253
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 300 264
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 425 391
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 300 311
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 100 94
Washington Mutual,
Inc.,
Series A
8.206%, 2/1/27 BBB- 130 121
(+) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 775 719
- --------------------------------------------------------
GROUP TOTAL 3,691
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80
<PAGE> 83
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (8.5%)
Columbia/HCA
Healthcare Corp.
7.19%, 11/15/15 BB+ US$ 270 $ 221
7.50%, 12/15/23 BB+ 125 102
CSC Holdings, Inc.
7.25%, 7/15/08 BB+ 245 229
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 270 235
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 195 170
7.00%, 2/15/28 BBB+ 25 22
(+) Florida Windstorm
7.125%, 2/25/19 AAA 380 356
Ford Motor Co.
6.625%, 10/1/28 A+ 200 176
International Game
Technology
8.375%, 5/15/09 BB+ 165 150
Kroger Co.
8.05%, 2/1/10 BBB- 200 201
Lockheed Martin Corp.
8.20%, 12/1/09 BBB- 160 160
Monsanto Co.
6.60%, 12/1/28 A 295 259
News America Holdings, Inc.
8.875%, 4/26/23 BBB- 285 301
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 A 215 219
Saks, Inc.
7.375%, 2/15/19 BB+ 130 106
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 410 308
Tenet Healthcare
Corp.,
Series B
7.625%, 6/1/08 BB+ 220 200
USA Waste Services,
Inc.
7.00%, 7/15/28 BBB 145 109
Wal-Mart Stores, Inc.
7.55%, 2/15/30 AA 245 252
Waste Management, Inc.
7.375%, 5/15/29 BBB 120 95
- --------------------------------------------------------
GROUP TOTAL 3,871
- --------------------------------------------------------
TELEPHONES (3.3%)
!! AT&T Corp.
6.50%, 3/15/29 AA- 320 278
BellSouth
Telecommunications,
Inc.
6.375%, 6/1/28 AAA 175 150
Comcast Cable
Communications
8.375%, 5/1/07 BBB US$ 160 164
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
(+) Global Crossing
Holdings Ltd.
9.125%, 11/15/06 BB 195 $ 187
GTE Corp.
6.94%, 4/15/28 A 195 177
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 435 401
# Nextel
Communications, Inc.
0.00%, 9/15/07 B 225 164
- --------------------------------------------------------
GROUP TOTAL 1,521
- --------------------------------------------------------
YANKEE (4.0%)
Abbey National plc
7.95%, 10/26/29 AA- 215 215
Ahold Finance USA,
Inc.
6.875%, 5/1/29 A- 175 151
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 195 184
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 145 139
(+) Oil Purchase Co.
II
10.73%, 1/31/04 BBB- 36 36
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB 375 291
Republic of Colombia
8.70%, 2/15/16 BB+ 195 148
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB+ 410 350
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 45 45
7.75%, 2/15/10 A 70 71
7.875%, 2/15/30 A 175 178
- --------------------------------------------------------
GROUP TOTAL 1,808
- --------------------------------------------------------
TOTAL UNITED STATES DOLLAR 13,929
- --------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $44,925) 42,269
- --------------------------------------------------------
PREFERRED STOCK (2.7%)
- --------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
MORTGAGE-OTHER (2.7%)
(+)+ Home Ownership
Funding Corp.
13.331% (Cost
$1,244) Aaa 1,575 1,236
- --------------------------------------------------------
TOTAL INVESTMENTS (95.5%) (Cost $46,169) 43,505
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
81
<PAGE> 84
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
GLOBAL FIXED INCOME
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (4.5%)
Foreign Currency (Cost $917) $ 922
Foreign Currency Held as Collateral on Futures
Contracts (Cost $54) 54
Dividends Receivable 52
Interest Receivable 927
Receivable for Investments Sold 3,735
Receivable for Fund Shares Sold 806
Unrealized Gain on Forward Foreign Currency
Contracts 120
Other Assets 7
Payable to Custodian (814)
Payable for Investments Purchased (1,245)
Payable for Forward Commitments (2,369)
Payable for Fund Shares Redeemed (3)
Payable for Investment Advisory Fees (47)
Payable for Administrative Fees (3)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable for Daily Variation on Futures
Contracts (15)
Unrealized Loss on Swap Agreements (52)
Other Liabilities (22)
-------
2,047
- --------------------------------------------------------
NET ASSETS (100%) $45,552
- --------------------------------------------------------
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 4,761,201 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $45,552
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.57
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- --------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $50,861
Undistributed Net Investment Income (Loss) 188
Undistributed Realized Net Gain (Loss) (2,798)
Unrealized Appreciation (Depreciation) on:
Investment Securities (2,664)
Foreign Currency Transactions 129
Futures and Swaps (164)
- --------------------------------------------------------
NET ASSETS $45,552
- --------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A Security. Certain conditions for public sale may
exist
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors 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 March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 2000.
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.
- --------------------------------------------------------------------------------
82
<PAGE> 85
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The International Fixed Income Portfolio invests in high-grade foreign
fixed-income securities. Miller Anderson & Sherrerd manages the duration,
country, and currency exposure of the Portfolio by combining research on
relative values with analyses of economic, interest rate, and exchange rate
trends. Particular attention is paid to prospective inflation and real interest
rates. The Portfolio will tend to invest in those countries offering the highest
real interest rates and steepest yield curves, after adjusting for differences
in the fiscal soundness of each country. Foreign currency exposure is handled as
a separate management decision and foreign currencies which MAS judges to be
significantly overvalued are hedged.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS SALOMON WORLD
INTERNATIONAL GOV'T BOND
FIXED INCOME EX-U.S. INDEX
------------------------------
<S> <C> <C>
SIX MONTHS (3.17)% (2.72)%
ONE YEAR (3.93) (1.42)
FIVE YEARS 3.41 2.84
SINCE INCEPTION 4.89 5.33
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Foreign investments are subject to certain risks such as
currency fluctuations, economic instability, and political developments.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The International Fixed Income Portfolio commenced operations on 4/29/94.
Total returns are compared to the Salomon World Government Bond Ex-U.S. Index,
an unmanaged market index. Returns for periods less than one year are
cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (84.4%)
<TABLE>
<CAPTION>
- ----------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
BRITISH POUND (4.4%)
Orange plc
8.625%, 8/1/08 BB+ GBP 505 $ 823
United Kingdom
Treasury Bill
8.00%, 6/10/03 AAA 2,490 4,160
- ----------------------------------------------------
GROUP TOTAL 4,983
- ----------------------------------------------------
CANADIAN DOLLAR (4.3%)
Government of Canada
7.50%, 3/1/01 AAA CAD 4,875 3,402
10.00%, 6/1/08 AAA 1,635 1,410
- ----------------------------------------------------
GROUP TOTAL 4,812
- ----------------------------------------------------
DANISH KRONE (6.4%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 40,350 5,102
8.00%, 5/15/03 AAA 14,640 2,032
- ----------------------------------------------------
GROUP TOTAL 7,134
- ----------------------------------------------------
EURO (48.4%)
Colt Telecom Group plc
7.625%, 7/31/08 B+ EUR 741 681
GMAC
5.50%, 2/2/05 N/R 1,000 954
## GMAC Global Bond
3.42%, 9/25/02 A- 1,145 1,092
Government of Finland
9.50%, 3/15/04 AA- 2,173 2,418
Government of France
O.A.T.
5.25%, 4/25/08 AAA 2,675 2,564
8.50%, 10/25/19 AAA 3,700 4,753
Government of Germany
4.00%, 7/4/09 AAA 1,670 1,418
6.00%, 1/4/07 AAA 950 952
6.00%, 7/4/07 AAA 2,385 2,395
6.25%, 1/4/24 AAA 3,470 3,586
6.50%, 7/4/27 AAA 2,090 2,229
6.875%, 5/12/05 AAA 1,145 1,188
7.50%, 9/9/04 AAA 10,453 11,010
8.375%, 5/21/01 AAA 2,162 2,160
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 2,664 2,755
Kredit fuer
Wiederaufbau
5.00%, 1/4/09 AAA 1,049 966
# Lloyds TSB Bank plc
5.625%, 7/15/49 A+ 750 667
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
83
<PAGE> 86
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
Mannesmann Finance BV
4.75%, 5/27/09 A EUR 490 $ 420
Netherlands Government
8.25%, 2/15/07 AAA 5,084 5,686
Republic of Italy BTPS
4.25%, 11/1/09 AA 4,720 4,122
10.00%, 8/1/03 AA 1 1
Spanish Government
5.15%, 7/30/09 AA+ 1,640 1,540
Tecnost International
Finance NV
6.125%, 7/30/09 BBB+ 300 279
(+) Tyco International
Group S.A.
6.125%, 4/4/07 A- 475 454
- ----------------------------------------------------
GROUP TOTAL 54,290
- ----------------------------------------------------
JAPANESE YEN (14.6%)
!! Credit Locale de
France
6.00%, 10/31/01 AA+ JPY 311,000 3,294
European Investment
Bank
3.00%, 9/20/06 AAA 203,000 2,171
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 290,000 3,069
Government of Japan
0.90%, 12/22/08 AAA 728,000 6,586
!! International Bank
for Reconstruction &
Development
6.75%, 6/18/01 AAA 121,000 1,270
- ----------------------------------------------------
GROUP TOTAL 16,390
- ----------------------------------------------------
SWEDISH KRONA (4.8%)
Swedish Government
6.00%, 2/9/05 AAA SEK 32,000 3,816
13.00%, 6/15/01 AA+ 12,625 1,601
- ----------------------------------------------------
GROUP TOTAL 5,417
- ----------------------------------------------------
UNITED STATES DOLLAR (1.5%)
U.S. TREASURY SECURITIES (1.5%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy US$ 350 453
U.S. Treasury Note
6.25%, 1/31/02 Tsy 1,250 1,244
- ----------------------------------------------------
GROUP TOTAL 1,697
- ----------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$102,489) 94,723
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
- ----------------------------------------------------
<S> <C> <C> <C>
CASH EQUIVALENTS (18.1%)
- ----------------------------------------------------
DISCOUNT NOTE (8.9%)
Federal Home Loan Mortgage
Corporation
4.54%, 4/3/00 US$ 10,000 $ 9,996
- ----------------------------------------------------
REPURCHASE AGREEMENTS (9.2%)
Chase Securities, Inc.
6.05%, dated 3/31/00, due
4/3/00, to be repurchased
at $3,439, collateralized
by various U.S. Government
Obligations, due
4/3/00-11/15/02, valued at
$3,471 3,437 3,437
Goldman Sachs, Inc. 6.00%,
dated 3/31/00, due 4/3/00,
to be repurchased at $3,437,
collateralized by U.S.
Treasury Bonds, 12.00%, due
8/15/13, valued at $3,512 3,435 3,435
Merrill Lynch Securities,
Inc. 5.90%, dated 3/31/00,
due 4/3/00, to be
repurchased at $3,437,
collateralized by U.S.
Treasury Notes, 11.625%,
due 11/15/04, valued at
$3,509 3,435 3,435
- ----------------------------------------------------
GROUP TOTAL 10,307
- ----------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $20,303) 20,303
- ----------------------------------------------------
TOTAL INVESTMENTS (102.5%) (Cost $122,792) 115,026
- ----------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.5%)
Foreign Currency (Cost $1,156) 1,178
Foreign Currency Held as Collateral on
Futures (Cost $563) 563
Interest Receivable 2,529
Receivable for Investments Sold 13,816
Receivable for Fund Shares Sold 284
Receivable for Variation on Futures
Contracts 669
Unrealized Gain on Forward Foreign
Currency Contracts 1,277
Other Assets 15
Payable to Custodian (9,991)
Payable for Investments Purchased (3,155)
Payable for Fund Shares Redeemed (9,797)
Payable for Investment Advisory Fees (114)
Payable for Administrative Fees (8)
Payable for Trustees' Deferred
Compensation Plan-Note F (12)
Other Liabilities (30)
--------
(2,776)
- ----------------------------------------------------
NET ASSETS (100%) $112,250
- ----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84
<PAGE> 87
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ----------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- ----------------------------------------------------
NET ASSETS
Applicable to 11,978,358 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $112,250
- ----------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.37
- ----------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $123,815
Undistributed Net Investment Income (Loss) (1,682)
Undistributed Realized Net Gain (Loss) (3,394)
Unrealized Appreciation (Depreciation) on:
Investment Securities (7,766)
Foreign Currency Transactions 1,185
Futures 92
- ----------------------------------------------------
NET ASSETS $112,250
- ----------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale may
exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed is
as of March 31, 2000.
N/R Not rated by Moody's Investors Service, Inc. or
Standard & Poor's Corporation.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
85
<PAGE> 88
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Intermediate Duration Portfolio invests in all sectors and maturities of the
bond market, while limiting average duration to between two and five years.
Miller Anderson & Sherrerd utilizes a value-based investment philosophy to
actively manage the duration and yield curve structure of the Portfolio by
understanding long-term trends in real interest rates and inflation. MAS selects
investments in U.S. Treasuries, agencies, investment-grade corporate bonds,
mortgages, foreign and other fixed-income securities based upon relative value
in the marketplace.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS INTERMEDIATE DURATION LEHMAN
------------------------------ INTERMEDIATE
INSTITUTIONAL# INVESTMENT< GOV'T/CORP. INDEX
------------------------------ -----------------
<S> <C> <C> <C>
SIX MONTHS 0.92% 0.89% 1.56%
ONE YEAR 0.48 0.45 2.09
FIVE YEARS 6.40 6.39 6.50
SINCE INCEPTION 6.62 6.62 6.71
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
8/16/99. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
Total returns for the Institutional Class of the Portfolio reflect expenses
reimbursed by the Adviser for certain periods. Without such waivers and/or
reimbursements, total returns would have been lower.
* The Intermediate Duration Portfolio commenced operations on 10/3/94. Total
returns are compared to the Lehman Brothers Intermediate Government/Corporate
Bond Index, an unmanaged market index. Returns for periods less than one year
are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (122.4%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (47.4%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.50%, 5/1/19 Agy $ 20 $ 22
11.00%, 7/1/13 Agy 60 65
Gold Pools:
9.50%, 12/1/22 Agy 225 238
10.00%, 6/1/17 Agy 188 201
April TBA
6.00%, 4/1/30 Agy 3,925 3,574
7.00%, 4/1/30 Agy 3,070 2,954
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 12/1/21 Agy 501 529
10.00%, 2/1/21-1/1/27 Agy 142 151
10.50%, 12/1/10 Agy 56 61
April TBA
6.00%, 4/1/30 Agy 5,000 4,550
Government National
Mortgage Association:
Adjustable Rate Mortgages:
6.375%,
3/20/25-6/20/25 Tsy 340 342
6.50%,
2/20/27-1/20/28 Tsy 1,340 1,348
6.625%, 9/20/27 Tsy 301 302
6.875%,
4/20/25-6/20/25 Tsy 583 585
7.00%, 3/20/25 Tsy 1,747 1,759
Various Pools:
9.50%,
11/15/16-12/15/21 Tsy 1,408 1,491
10.00%,
1/15/16-2/15/28 Tsy 2,276 2,432
10.50%,
3/15/06-2/15/18 Tsy 339 367
11.00%,
3/15/10-8/15/27 Tsy 937 1,028
11.50%, 6/15/13 Tsy 58 64
12.00%,
12/15/12-5/15/14 Tsy 37 42
12.50%, 12/15/10 Tsy 14 16
April TBA
7.00%, 4/1/30 Tsy 3,000 2,906
- ------------------------------------------------------
GROUP TOTAL 25,027
- ------------------------------------------------------
ASSET BACKED CORPORATES (14.8%)
(+) Aegis Auto
Receivables Trust,
Series 95-1 A
8.60%, 3/20/02 N/R 2 2
AFG Receivables Trust,
Series 97-A A
6.35%, 10/15/02 AAA 71 71
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86
<PAGE> 89
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Chevy Chase Auto
Receivables Trust,
Series:
97-4 A
6.25%, 6/15/04 AAA $ 124 $ 123
98-1 A
5.97%, 10/20/04 AAA 416 411
Citibank Credit Card
Master Trust I,
Series 99-7 A
6.65%, 11/15/06 AAA 475 463
Contimortgage Home
Equity Loan Trust,
Series 97-4 A3 PAC (11) AAA 91 90
6.26%, 7/15/12
CPS Auto Grantor Trust,
Series:
96-3 A
6.30%, 8/15/02 AAA 76 76
97-2 A
6.65%, 10/15/02 AAA 133 133
98-1 A
6.00%, 8/15/03 AAA 412 407
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 68 68
First Merchants Auto
Receivables Corp.,
Series:
96-C A2
6.15%, 7/15/01 AAA 118 117
(+) 97-2 A1
6.85%, 11/15/02 AAA 69 68
(+) First Mortgage
Acceptance Corp., Loan
Receivables Trust,
Series 96-B A1
7.629%, 11/15/18 A 81 69
First Security Auto
Grantor Trust,
Series 97-B A
6.10%, 4/15/03 AAA 112 112
Ford Credit Auto Owner
Trust,
Series 99-D A4
6.40%, 10/15/02 AAA 600 594
General Electric Home
Equity Loan Asset-
Backed Certificates,
Series 91-1 B
8.70%, 9/15/11 AAA 267 267
(+)++ Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 337 84
</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 $ 352 $ 351
Green Tree Lease
Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 119 119
(+) 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 86 86
97-B A
5.95%, 5/15/03 AAA 129 128
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series:
97-1 A
6.85%, 10/25/03 AAA 77 76
97-2 A
6.69%, 9/25/04 AAA 72 72
98-1 A
6.19%, 1/25/04 AAA 101 100
MBNA Master Credit Card
Trust,
Series 99-I A
6.40%, 1/18/05 AAA 325 320
MMCA Automobile Trust,
Series:
97-1 A3
6.08%, 5/15/01 AAA 1 2
99-2 A1
6.30%, 6/15/02 AAA 358 358
Navistar Financial Corp.
Owner Trust,
Series 97-B A3
6.20%, 3/15/01 AAA 1 1
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 147 146
Nissan Auto Receivables
Owner Trust,
Series 00-A A3
7.01%, 9/15/03 AAA 325 324
Olympic Automobile
Receivables Trust,
Series:
94-B A2
6.85%, 6/15/01 AAA 8 8
94-B B
6.95%, 6/15/01 AAA 27 27
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE> 90
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Onyx Acceptance Grantor
Trust,
Series:
97-2 A
6.35%, 10/15/02 AAA $ 148 $ 147
97-3 A
6.35%, 1/15/04 AAA 101 100
(+) Rental Car Finance
Corp.,
Series 97-1 A2
6.45%, 8/25/05 AA 255 247
(+) Team Fleet Financing
Corp.,
Series 97-1 A
7.35%, 5/15/03 A- 300 298
Union Acceptance Corp.,
Series:
96-B A
6.45%, 7/9/03 AAA 188 187
96-C A2
6.51%, 11/8/02 AAA 281 280
97-A A2
6.375%, 10/8/03 AAA 425 422
97-B A2
6.70%, 6/8/03 AAA 396 395
USAA Auto Loan Grantor
Trust,
Series 97-1 A
6.00%, 5/15/04 AAA 102 101
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 73 73
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 59 59
- ------------------------------------------------------
GROUP TOTAL 7,832
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (3.1%)
Federal Home Loan
Mortgage Corporation,
Series:
## 1710-D IO
6.513%, 6/15/20 Agy 339 339
1983-IB IO
8.00%, 8/15/27 Agy 671 194
Federal National
Mortgage Association,
Series:
96-14 PC PO
12/25/23 Agy 15 9
## 97-24 FG REMIC
6.644%, 9/18/22 Agy 64 64
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
97-53 PI IO PAC
8.00%, 8/18/27 Agy $ 824 $ 237
191 IO
8.00%, 1/1/28 Agy 347 101
270 2 IO
8.50%, 9/1/23 Agy 594 169
281 2 IO
9.00%, 11/1/26 Agy 520 142
291 2 IO
8.00%, 11/1/27 Agy 509 148
Government National
Mortgage Association,
Series 97-13 SB
Inv Fl IO
2.063%, 9/16/27 Tsy 3,750 216
- ------------------------------------------------------
GROUP TOTAL 1,619
- ------------------------------------------------------
COMMERCIAL MORTGAGES (4.4%)
Asset Securitization
Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 100 97
+## 97-D5 PS1 IO
0.97%, 2/14/41 Aaa 1,992 167
+ Bear Stearns
Commercial Mortgage
Securities, Inc.,
Series 99-WF2 A1
6.363%, 6/15/08 Aaa 364 354
(+) Carousel Center
Finance, Inc.,
Series 1 C
7.527%, 10/15/07 BBB+ 56 55
Chase Commercial
Mortgage Securities
Corp.,
Series 99-2 A1
7.03%, 10/15/08 AAA 367 361
DLJ Commercial Mortgage
Corp.,
Series 98-CG1 A1A
6.11%, 12/10/07 AAA 334 317
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 1,257 52
First-Union Chase
Commercial Mortgage
6.363%, 6/15/08 AAA 213 204
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.273%, 4/15/27 Aaa 3,535 192
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.037%, 7/13/30 Aaa 973 35
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88
<PAGE> 91
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Nationslink Funding
Corp.,
Series 98-2 A1
6.001%, 11/20/07 AAA $ 344 $ 325
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 185 184
- ------------------------------------------------------
GROUP TOTAL 2,343
- ------------------------------------------------------
ENERGY (1.5%)
CMS Panhandle Holdings
Co.
6.50%, 7/15/09 BBB- 240 216
Conoco, Inc.
6.95%, 4/15/29 A- 320 294
El Paso Energy Corp.
6.75%, 5/15/09 BBB 150 140
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 150 132
- ------------------------------------------------------
GROUP TOTAL 782
- ------------------------------------------------------
FEDERAL AGENCY (6.9%)
Federal National
Mortgage Association
5.75%, 6/15/05 Agy 3,900 3,672
- ------------------------------------------------------
FINANCE (19.3%)
American General Finance
6.75%, 11/15/04 A+ 120 117
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 225 212
Associates Corp. of
North America
6.00%, 4/15/03 A+ 70 67
Series H
6.73%, 3/27/03 A+ 475 466
Bank One Corp.
6.00%, 2/17/09 A- 240 214
Bank of New York Co.
8.50%, 12/15/04 A 310 322
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 430 383
Chase Manhattan Corp.
6.00%, 2/15/09 A 170 153
CIT Group Holdings, Inc.
6.375%, 10/1/02 A+ 200 195
7.375%, 3/15/03 A+ 85 85
Citicorp,
Series F
6.375%, 11/15/08 A+ 305 282
Countrywide Funding
Corp.,
Series B
6.55%, 4/14/00 A 175 175
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Donaldson, Lufkin &
Jenrette, Inc.
8.00%, 3/1/05 A- $ 175 $ 177
EOP Operating LP
6.763%, 6/15/07 BBB 255 236
(+) Equitable Life
Assurance Society of
the U.S.,
Series 1A
6.95%, 12/1/05 A+ 275 265
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 300 307
(+) First Hawaiian Bank,
Series A
6.93%, 12/1/03 A- 350 338
FleetBoston Financial
Corp.
8.125%, 7/1/04 A- 200 204
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 125 123
Ford Motor Credit Corp.
5.75%, 2/23/04 A+ 305 287
6.125%, 4/28/03 A+ 290 280
General Motors
Acceptance Corp.
6.85%, 6/17/04 A 355 347
Goldman Sachs Group LP
7.50%, 1/28/05 A+ 295 295
Hartford Life Corp.
7.65%, 6/15/27 A 200 193
Homeside Lending, Inc.
6.875%, 6/30/02 A+ 201 198
Household Finance Corp.
6.08%, 3/8/06 A 309 299
(+) Hyatt Equities LLC
7.00%, 5/15/02 BBB+ 635 614
Marsh & McLennan
Companies, Inc.
6.625%, 6/15/04 AA- 225 219
(+) Metropolitan Life
Insurance Co.
6.30%, 11/1/03 A+ 445 427
Northern Trust Corp.
7.10%, 8/1/09 A+ 350 342
Norwest Financial, Inc.
5.625%, 2/3/09 A+ 300 263
(+) PNC Institutional
Capital
7.95%, 12/15/26 BBB+ 300 276
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 240 234
7.00%, 8/15/04 A 120 115
(+) Prudential Insurance
Co.
8.30%, 7/1/25 A- 150 155
U.S. Bancorp
6.875%, 12/1/04 A 375 366
Washington Mutual, Inc.,
Series A
8.60%, 2/1/02 BBB+ 195 198
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
89
<PAGE> 92
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Wells Fargo Co.
6.625%, 7/15/04 A+ $ 210 $ 205
(+) World Financial
Properties,
Series 96 WFP-B
6.91%, 9/1/13 AA- 582 543
- ------------------------------------------------------
GROUP TOTAL 10,177
- ------------------------------------------------------
INDUSTRIALS (13.8%)
Becton, Dickinson & Co.
6.70%, 8/1/28 A+ 180 159
Columbia/HCA Healthcare
Corp.
6.41%, 6/15/00 BB+ 210 209
Comcast Cable
Communications
8.125%, 5/1/04 BBB 85 86
DaimlerChrysler AG
6.90%, 9/1/04 A+ 485 476
Dayton Hudson Corp.
6.65%, 8/1/28 A- 185 162
6.75%, 1/1/28 A- 65 58
Deere & Co.
6.55%, 7/15/04 A+ 350 339
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 240 209
(+) EES Coke Battery
Co., Inc.
7.125%, 4/15/02 BBB 107 106
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 220 191
(+) Florida Windstorm
7.125%, 2/25/19 AAA 285 267
Hertz Corp.
7.00%, 7/1/04 A- 270 264
Honeywell International,
Inc.
7.50%, 3/1/10 A 210 213
IBM Corp.
5.375%, 2/1/09 A+ 225 199
Kroger Co.
7.70%, 6/1/29 BBB- 210 198
Lowe's Companies, Inc.
6.875%, 2/15/28 A 305 272
Marriott International,
Inc.
8.125%, 4/1/05 BBB+ 140 141
May Department Stores
Co.
5.95%, 11/1/08 A 200 181
Monsanto Co.
6.60%, 12/1/28 A 285 250
!! Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB 415 377
News America, Inc.
6.625%, 1/9/08 BBB- 300 277
Norfolk Southern Corp.
6.20%, 4/15/09 BBB+ 200 180
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Proctor & Gamble Co.
6.60%, 12/15/04 AA $ 555 $ 541
6.875%, 9/15/09 AA 155 151
Raytheon Co.
5.70%, 11/1/03 BBB- 105 98
Sun Microsystems, Inc.
7.00%, 8/15/02 BBB+ 325 323
United Technologies
Corp.
6.70%, 8/1/28 A+ 300 270
U.S. Airways Corp.,
Series 98-1 A
6.85%, 1/30/18 A+ 363 317
Walt Disney Co.
7.30%, 2/8/05 A 385 385
Waste Management, Inc.
6.125%, 7/15/01 BBB 145 139
7.00%, 7/15/28 BBB 300 226
- ------------------------------------------------------
GROUP TOTAL 7,264
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
## Resolution Trust
Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 38 38
- ------------------------------------------------------
TAXABLE MUNICIPAL (0.7%)
New York State Power
Authority Revenue
Bonds,
Series B
6.11%, 2/15/11 AAA 400 390
- ------------------------------------------------------
TELEPHONES (3.8%)
AT&T Corp.
6.50%, 3/15/29 AA- 320 278
BellSouth
Telecommunications,
Inc.
6.375%, 6/1/28 AAA 185 159
Comcast Cable
Communications
8.375%, 5/1/07 BBB 255 262
GTE Corp.
6.94%, 4/15/28 A 445 404
MCI WorldCom, Inc.
!! 6.50%, 4/15/10 A- 200 186
6.95%, 8/15/28 A- 240 221
(+) U.S. West Capital
Funding
6.875%, 8/15/01 A- 485 482
- ------------------------------------------------------
GROUP TOTAL 1,992
- ------------------------------------------------------
TRANSPORTATION (2.0%)
Burlington Northern
Santa Fe
6.70%, 8/1/28 BBB+ 425 367
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 327 303
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90
<PAGE> 93
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Norfolk Southern Corp.
7.875%, 2/15/04 BBB+ $ 30 $ 30
Union Pacific Corp.
6.34%, 11/25/03 BBB- 400 382
- ------------------------------------------------------
GROUP TOTAL 1,082
- ------------------------------------------------------
UTILITIES (1.0%)
National Rural Utilities
Corp.
7.375%, 2/10/03 AA 275 276
Niagara Mohawk Power Co.
7.375%, 7/1/03 BBB- 272 269
- ------------------------------------------------------
GROUP TOTAL 545
- ------------------------------------------------------
YANKEE (3.6%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 165 142
(+) AT&T Canada, Inc.
7.625%, 3/15/05 BBB 285 286
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 385 363
(+) Oil Enterprises Ltd.
6.239%, 6/30/08 AAA 468 447
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 145 139
Republic of Italy
7.25%, 2/7/05 AA 150 151
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 355 358
- ------------------------------------------------------
GROUP TOTAL 1,886
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost $66,166) 64,649
- ------------------------------------------------------
PREFERRED STOCK (1.0%)
- ------------------------------------------------------
<CAPTION>
SHARES
-----
<S> <C> <C> <C>
MORTGAGE-OTHER (1.0%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost $513) Aaa 650 510
- ------------------------------------------------------
CASH EQUIVALENT (2.3%)
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (2.3%)
Chase Securities, Inc. 6.05%, dated
3/31/00, due 4/3/00, to be
repurchased at $1,201,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at $1,212
(Cost $1,200) $1,200 1,200
- ------------------------------------------------------
TOTAL INVESTMENTS (125.7%) (Cost $67,879) 66,359
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-25.7%)
Cash $ 40
Dividends Receivable 22
Interest Receivable 690
Receivable for Investments Sold 4
Receivable for Fund Shares Sold 12
Other Assets 6
Dividend Payable (7)
Payable for Forward Commitments (13,916)
Payable for Investment Advisory Fees (53)
Payable for Administrative Fees (4)
Payable for Shareholder Servicing
Fees-Investment Class (2)
Payable for Trustees' Deferred Compensation
Plan-Note F (6)
Payable for Daily Variation on Futures
Contracts (26)
Unrealized Loss on Swap Agreements (286)
Other Liabilities (37)
-------
(13,563)
- ------------------------------------------------------
NET ASSETS (100%) $52,796
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 4,371,862 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $41,679
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.53
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 1,166,323 outstanding
shares of beneficial interest (unlimited
authorization, no par value) $11,117
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.53
- ------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $57,755
Undistributed Net Investment Income (Loss) 185
Undistributed Realized Net Gain (Loss) (3,233)
Unrealized Appreciation (Depreciation) on:
Investment Securities (1,520)
Futures and Swaps (391)
- ------------------------------------------------------
NET ASSETS $52,796
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
91
<PAGE> 94
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERMEDIATE DURATION
PORTFOLIO (UNAUDITED)
(CONT'D)
- ---------------------------------------------------------
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by the Adviser.
## Variable or floating rate security-rate disclosed
is as of March 31, 2000.
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 2000.
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.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92
<PAGE> 95
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Market Fixed Income Portfolio combines a broad array of both domestic
and international fixed income securities to maximize active management
opportunities within a single fixed-income strategy. The Portfolio will include
the most attractively valued securities from four major areas: domestic
investment-grade bonds, international bonds, high-yield bonds and emerging
markets debt. MAS constructs a diversified fund with a maturity and duration
structure reflecting long-term views on interest rates and inflation, and
controls risk through diversification within and among these four major areas.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS
MULTI-MARKET SALOMON SALOMON WORLD 60/20/12/8
FIXED BROAD GOV'T BOND BLENDED
INCOME INDEX EX-U.S. INDEX INDEX
---------------------------------------------------
<S> <C> <C> <C> <C>
SIX MONTHS 2.88% 2.02% (2.72)% 2.81%
ONE YEAR 1.70 1.81 (1.42) 3.27
SINCE INCEPTION 3.20 5.01 3.55 4.88
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Foreign investments are subject to certain risks such as
currency fluctuations, economic instability, and political developments.
High-yield fixed-income securities, otherwise known as "junk bonds," represent a
much greater risk of default and tend to be more volatile than higher-rated
bonds.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Multi-Market Fixed Income Portfolio commenced operations on 10/1/97. Total
returns are compared to the Salomon Broad Investment Grade Index and the Salomon
World Government Bond Ex-U.S. Index, both unmanaged market indices, as well as
the 60/20/12/8 Blended Index, an unmanaged index comprised of 60% Salomon Broad
Investment Grade Index, 20% Salomon World Government Bond Ex-U.S. Index (one
half hedged into U.S. dollars), 12% CS First Boston High Yield Index, and 8%
J.P. Morgan Emerging Markets Bond Index Global. Previously, the blended index
included the Salomon High Yield Index as its high yield component, but the
Adviser believes that the CS First Boston High Yield Index has a more
comprehensive coverage of geographic regions and types of securities in which
the Portfolio may invest. In addition, the Adviser changed the JP Morgan
Emerging Markets Bond Index to the JP Morgan Emerging Markets Bond Index Global
as the emerging market component of the Blended Index because the Adviser feels
that the JP Morgan Emerging Markets Bond Index Global is more appropriate to its
broader country and security coverage. Returns for periods less than one year
are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (109.3%)
<TABLE>
<CAPTION>
- --------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
March 31, 2000 POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (71.1%)
- --------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (28.0%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
11.00%, 5/1/24 Agy $ 255 $ 274
April TBA
6.00%, 4/1/30 Agy 10,800 9,835
Federal National
Mortgage Association,
Conventional Pools:
9.50%, 7/1/16 Agy 8 9
10.00%,
10/1/16-4/1/27 Agy 427 456
April TBA
6.00%, 4/1/30 Agy 11,950 10,874
Government National
Mortgage Association:
Various Pools:
10.50%, 2/15/20 Tsy 274 297
April TBA
7.00%, 4/1/30 Tsy 5,050 4,891
- --------------------------------------------------------
GROUP TOTAL 26,636
- --------------------------------------------------------
ASSET BACKED CORPORATES (14.9%)
Arcadia Automobile Receivables Trust,
Series:
97-D A3
6.20%, 5/15/03 AAA 389 386
98-A A3
5.90%, 11/15/02 AAA 373 371
Capital Auto
Receivables Asset
Trust,
Series 99-2 A
6.06%, 6/15/02 AAA 1,050 1,047
Chase Manhattan Auto
Owner Trust
Series 98-A A3
5.70%, 9/17/01 AAA 291 290
(+)++ Commercial
Financial Services,
Inc.,
Series:
97-3 A1
7.71%, 4/15/06 N/R 138 35
97-5 A1
7.72%, 6/15/05 N/R 90 23
+ Conseco Finance
Securitizations Corp.
Series:
99-H AF1
6.45%, 11/15/29 AAA 469 467
00-1 A1 6.84%, 5/1/31 Aaa 550 548
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
93
<PAGE> 96
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
CPS Auto Grantor
Trust,
Series 97-2 A
6.65%, 10/15/02 AAA $ 432 $ 430
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 461 458
Daimler Benz Vehicle
Trust
Series 98-A A3
5.16%, 12/20/07 AAA 1,200 1,184
## First USA Credit
Card Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 500 500
Ford Credit Auto Owner
Trust,
Series:
98-B A3
5.85%, 10/15/01 AAA 690 688
99-C A3
5.77%, 11/15/01 AAA 965 960
99-D A3
6.20%, 4/15/02 AAA 1,094 1,090
Green Tree Lease
Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 330 329
Greenpoint Manufactured
Housing,
Series 99-5 A1
6.75%, 4/25/01 AAA 460 457
Harley Davidson
Eaglemark Motorcycle
Trust,
Series:
98-2 A1
5.77%, 9/16/02 AAA 345 343
99-3 A1
6.22%, 2/15/04 AAA 419 417
+ HFC Home Equity Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa 393 391
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 464 461
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 26 26
MMCA Automobile Trust
Series 99-2 A1
6.30%, 6/15/02 AAA 636 636
(+) New Holland
Equipment Receivables
Trust,
Series 99-A A2
6.39%, 10/15/02 AAA 500 495
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Nissan Auto Receivables
Grantor Trust,
Series:
97-A A
6.15%, 2/15/03 AAA $ 326 $ 325
98-A A
5.45%, 4/15/04 AAA 459 457
Nissan Auto Receivables
Owner Trust,
Series:
99-A A2
6.12%, 9/15/03 AAA 800 797
00-A A2
6.73%, 5/15/02 AAA 550 549
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 12 12
- --------------------------------------------------------
GROUP TOTAL 14,172
- --------------------------------------------------------
ASSET BACKED MORTGAGES (0.0%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 476 7
(+) 96-3 A YMA
10/25/26 N/R 632 1
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 353 5
(+)@ 96-4 A11 YMA
1/15/28 AAA 352 --
96-4 A12 IO
1.05%, 1/15/28 AAA 65 1
(+)@ 96-4 A12 YMA
1/15/28 AAA 65 --
97-1 A10 IO
1.10%, 3/15/28 AAA 446 7
97-1 A10 YMA
3/15/28 N/R 431 1
- --------------------------------------------------------
GROUP TOTAL 22
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
(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
16.938%, 11/15/07 Agy 11 4
1476-S Inv Fl IO
REMIC PAC
4.746%, 2/15/08 Agy 122 11
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94
<PAGE> 97
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
1485-S Inv Fl IO
REMIC
3.538%, 3/15/08 Agy $ 101 $ 6
1600-SA Inv Fl IO
REMIC
1.938%, 10/15/08 Agy 230 7
1950-SC Inv F1 IO
1.938%, 10/15/22 Agy 9 1
Federal National
Mortgage Association,
Series:
90-118 S Inv Fl
26.006%, 9/25/20 Agy 4 6
92-186 S Inv Fl IO
3.349%, 10/25/07 Agy 204 14
96-14 PC PO
12/25/23 Agy 6 4
96-68 SC Inv Fl IO
REMIC
1.975%, 1/25/24 Agy 90 6
@ 97-30 SP Inv Fl IO
REMIC
2990.687%, 4/25/22 Agy 4 --
G92-53 S Inv Fl IO
REMIC
28.125%, 9/25/22 Agy 8 5
@ Government National
Mortgage Association,
Series:
96-12 S Inv Fl IO
REMIC
2.563%, 6/16/26 Tsy 7 --
96-13 S Inv Fl IO
REMIC
3.213%, 7/16/11 Tsy 4 --
96-17 S Inv Fl IO
REMIC
2.93%, 8/16/26 Tsy 3 --
+@ Kidder Peabody
Mortgage Assets
Trust,
Series 87 B A2 IO
9.50%, 4/22/18 Aaa (2)-- --
- --------------------------------------------------------
GROUP TOTAL 86
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- NON-AGENCY
COLLATERAL SERIES (0.0%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA 25 25
- --------------------------------------------------------
COMMERCIAL MORTGAGES (0.5%)
Asset Securitization
Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 60 58
(+) Crystal Run
Properties, Inc.,
Series 1-A
7.393%, 8/15/06 AA 100 97
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA $ 541 $ 22
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.967%, 3/15/21 Aaa 234 15
97-C2 X IO
1.273%, 4/15/27 Aaa 2,227 121
Nomura Asset Securities
Corp.,
Series 94-MD1 A3
7.676%, 3/15/18 N/R 35 35
(+) Park Avenue Finance
Corp.,
Series 97-C1 A1
7.58%, 5/12/07 N/R 93 92
## Structured Asset
Securities Corp.,
Series:
96-CFL X1 IO
1.578%, 2/25/28 N/R 229 12
96-CFL X1A IO
1.093%, 2/25/28 N/R 188 1
96-CFL X2 IO
1.221%, 2/25/28 N/R 62 1
- --------------------------------------------------------
GROUP TOTAL 454
- --------------------------------------------------------
FINANCE (5.8%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 230 216
Associates Corp. of
North America
6.00%, 7/15/05 A+ 200 187
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 315 281
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 360 335
Chase Manhattan Corp.
6.00%, 2/15/09 A 195 176
7.00%, 11/15/09 A 115 111
Citigroup Inc.
6.625%, 1/15/28 AA- 150 131
EOP Operating LP
6.763%, 6/15/07 BBB 555 513
7.50%, 4/19/29 BBB+ 135 118
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 100 98
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
95
<PAGE> 98
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
General Motors
Acceptance Corp.
7.75%, 1/19/10 A $ 420 $ 422
(+) Goldman Sachs Group
LP
6.50%, 2/25/09 A+ 190 174
(+) John Hancock
Financial Services,
Inc.
7.375%, 2/15/24 AA 305 287
Merrill Lynch & Co.,
Inc.
6.50%, 7/15/18 AA- 135 117
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 395 388
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 135 124
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 410 400
7.00%, 8/15/04 A 50 48
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 480 497
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 310 293
Washington Mutual,
Inc.,
Series A
8.206%, 2/1/27 BBB- 150 140
(+) World Financial
Properties,
Series 96 WFP-D
6.95%, 9/1/13 AA- 500 464
- --------------------------------------------------------
GROUP TOTAL 5,520
- --------------------------------------------------------
INDUSTRIALS (6.2%)
Albertson's, Inc.
7.45%, 8/1/29 A 330 316
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 400 349
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 415 361
(+) Florida Windstorm
7.125%, 2/25/19 AAA 485 454
Honeywell
International, Inc.
7.50%, 3/1/10 A 340 345
Kroger Co.
8.00%, 9/15/29 BBB- 395 385
8.05%, 2/1/10 BBB- 65 65
Lockheed Martin Corp.
8.50%, 12/1/29 BBB- 305 308
Lowe's Companies, Inc
6.50%, 3/15/29 A 330 280
6.875%, 2/15/28 A 60 53
Monsanto Co.
6.60%, 12/1/28 A 535 469
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Neiman Marcus Group,
Inc.
6.65%, 6/1/08 BBB $ 385 $ 349
News America Holdings,
Inc.
7.75%, 1/20/24 BBB- 185 173
8.875%, 4/26/23 BBB- 525 554
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 A 60 61
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 200 201
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 255 225
U.S. Airways Corp.,
Pass Through
Certificates
8.11%, 2/20/17 AAA 180 182
Union Pacific Co.
6.625%, 2/1/29 BBB- 295 247
USA Waste Services,
Inc.
7.00%, 7/15/28 BBB 225 170
Wal-Mart Stores, Inc.
7.55%, 2/15/30 AA 360 369
- --------------------------------------------------------
GROUP TOTAL 5,916
- --------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.0%)
sec. Household Bank,
Series 85-1 CMO
7.94%, 5/1/02
(acquired 10/10/97,
cost $1) N/R 1 1
sec.## Magnolia Federal
Bank,
Series 84-2
9.143%, 10/1/07
(acquired 10/10/97,
cost $6) N/R 4 4
## Resolution Trust
Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 15 15
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 23 22
- --------------------------------------------------------
GROUP TOTAL 42
- --------------------------------------------------------
TELEPHONES (1.8%)
AT&T Corp.
6.50%, 3/15/29 AA- 540 470
BellSouth
Telecommunications,
Inc.
6.375%, 6/1/28 AAA 320 275
GTE Corp.
6.94%, 4/15/28 A 425 386
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96
<PAGE> 99
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
MCI WorldCom, Inc.
6.95%, 8/15/28 A- $ 630 $ 580
- --------------------------------------------------------
GROUP TOTAL 1,711
- --------------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines,
Series 98-1 A
6.648%, 9/15/17 AA+ 356 329
- --------------------------------------------------------
U.S. TREASURY SECURITIES (11.5%)
U.S. Treasury Bond
8.75%, 8/15/20 Tsy 500 647
U.S. Treasury Notes
3.625%, 1/15/08
(Inflation Indexed) Tsy 57 56
!!3.625%, 7/15/02
(Inflation Indexed) Tsy 1,053 1,050
!!7.50%, 2/15/05
(Inflation Indexed) Tsy 8,800 9,201
- --------------------------------------------------------
GROUP TOTAL 10,954
- --------------------------------------------------------
UTILITIES (0.5%)
Conoco, Inc.
6.95%, 4/15/29 A- 530 487
- --------------------------------------------------------
YANKEE (1.4%)
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 350 302
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 145 139
Oil Purchase Co. II
10.73%, 1/31/04 BBB- 137 134
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB 225 175
(+) Reliance Industries
Ltd.
10.50%, 8/6/46 N/R 50 52
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 80 81
7.75%, 2/15/10 A 140 142
7.875%, 2/15/30 A 310 315
- --------------------------------------------------------
GROUP TOTAL 1,340
- --------------------------------------------------------
TOTAL U.S. FIXED INCOME SECURITIES (Cost
$69,020) 67,694
- --------------------------------------------------------
INTERNATIONAL FIXED INCOME (11.3%)
- --------------------------------------------------------
BRITISH POUND (1.1%)
United Kingdom Treasury
Bills
8.00%, 6/10/03 AAA GBP 225 376
8.50%, 7/16/07 AAA 325 602
- --------------------------------------------------------
GROUP TOTAL 978
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
CANADIAN DOLLAR (1.4%)
Government of Canada
7.50%, 3/1/01 AAA CAD 1,930 $ 1,347
- --------------------------------------------------------
DANISH KRONE (1.8%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 13,300 1,681
- --------------------------------------------------------
EURO (7.0%)
Government of Germany
6.50%, 7/4/27 AAA EUR 1,373 1,464
6.875%, 5/12/05 AAA 1,055 1,095
7.50%, 9/9/04 AAA 882 929
Government of Spain
5.15%, 7/30/09 AA+ 1,180 1,107
Republic of Italy BTPS
9.50%, 2/1/06 AA 1,795 2,083
- --------------------------------------------------------
GROUP TOTAL 6,678
- --------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME SECURITIES
(Cost $12,276) 10,684
- --------------------------------------------------------
HIGH YIELD (17.0%)
- --------------------------------------------------------
ASSET BACKED CORPORATES (0.0%)
(+)+ Long Beach
Acceptance Auto
Grantor Trust,
Series 97-1 B
14.22%, 10/26/03 Ba3 $ 42 42
- --------------------------------------------------------
CABLE (2.5%)
Adelphia Communications
Corp.
7.50%, 1/15/04 B+ 325 297
(+) Charter
Communications
Holdings
10.25%, 1/15/10 B+ 300 289
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 335 327
Lenfest Communications,
Inc.
7.625%, 2/15/08 BBB 370 361
# NTL, Inc.
Series B
0.00%, 4/1/08 B- GBP 750 480
# RCN Corp.
0.00%, 10/15/07 B- $ 450 288
Series B
0.00%, 2/15/08 B- 175 104
(+)# Telewest plc
0.00%, 4/15/09 B+ GBP 295 275
- --------------------------------------------------------
GROUP TOTAL 2,421
- --------------------------------------------------------
COMMUNICATIONS-FIXED (2.6%)
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 BB $ 305 294
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
97
<PAGE> 100
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
# Intermedia
Communications, Inc.
Series B
0.00%, 7/15/07 B $ 1,235 $ 963
Netia Holdings S.A.
13.50%, 6/15/09 B EUR 275 275
Primus
Telecommunications
Group, Inc.
11.25%, 1/5/09 B- $ 125 115
Series B
9.875%, 5/15/08 B- 210 184
# Qwest Communications
International, Inc.
0.00%, 2/1/08 BB+ 525 412
# RSL Communications
plc
0.00%, 3/1/08 B- 500 270
- --------------------------------------------------------
GROUP TOTAL 2,513
- --------------------------------------------------------
COMMUNICATIONS-MOBILE (2.4%)
# Dolphin
Telecommunications
0.00%, 5/15/09 CCC+ 1,300 500
Globalstar LP/Capital
11.375%, 2/15/04 B 390 137
(+)x Iridium Capital
Corp.,
Series A
13.00%, 7/15/05 D 750 15
Nextel Communications,
Inc.
# 0.00%, 9/15/07 B- 1,125 821
13.00%, 7/15/09 CCC+ (2)-- 131
Orange plc
8.75%, 6/1/06 BBB 500 516
(+) Voicestream Wire
10.375%, 11/15/09 B- 125 125
- --------------------------------------------------------
GROUP TOTAL 2,245
- --------------------------------------------------------
ENERGY (0.4%)
x Mobile Energy
Services
8.665%, 1/1/17 D 86 17
Snyder Oil Corp.
8.75%, 6/15/07 BB- 400 388
- --------------------------------------------------------
GROUP TOTAL 405
- --------------------------------------------------------
FINANCE (0.4%)
GS Escrow Corp.
7.125%, 8/1/05 BB+ 410 364
- --------------------------------------------------------
GAMING (1.1%)
Horseshoe Gaming
Holding
8.652%, 5/15/09 B+ 300 274
International Game
Technology
8.375%, 5/15/09 BB+ 240 219
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Park Place
Entertainment Corp.
7.875%, 12/15/05 BB+ $ 300 $ 276
Station Casinos, Inc.
10.125%, 3/15/06 B+ 275 276
- --------------------------------------------------------
GROUP TOTAL 1,045
- --------------------------------------------------------
GENERAL INDUSTRY (0.3%)
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 300 253
- --------------------------------------------------------
HEALTH CARE (2.0%)
Columbia/HCA Healthcare
Corp.
6.91%, 6/15/05 BB+ 265 241
7.15%, 3/30/04 BB+ 250 232
7.19%, 11/15/15 BB+ 320 262
7.58%, 9/15/25 BB+ 240 197
Fresenius Medical
Capital Trust II
7.875%, 2/1/08 B+ 300 267
Tenet Healthcare Corp.
8.625%, 1/15/07 BB- 475 449
Series B
8.125%, 12/1/08 BB- 250 227
- --------------------------------------------------------
GROUP TOTAL 1,875
- --------------------------------------------------------
HOTELS/LODGING/RESTAURANTS (0.3%)
HMH Properties,
Series A
7.875%, 8/1/05 BB 320 283
- --------------------------------------------------------
INDUSTRIALS (0.6%)
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 285 289
Waste Management, Inc.
7.375%, 5/15/29 BBB 205 162
(+) XM Satellite Radio
Holdings, Inc.
14.00%, 3/15/10 N/R 150 144
- --------------------------------------------------------
GROUP TOTAL 595
- --------------------------------------------------------
MEDIA & ENTERTAINMENT (0.3%)
Chancellor Media Corp.
9.00%, 10/1/08 B 275 276
- --------------------------------------------------------
METALS (0.3%)
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 180 153
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
98
<PAGE> 101
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
Impress Metal Packaging
Holdings
9.875%, 5/29/07 B $ 179 $ 167
- --------------------------------------------------------
GROUP TOTAL 320
- --------------------------------------------------------
REAL ESTATE/BUILDING (1.0%)
Nortek, Inc.,
Series B
8.875%, 8/1/08 B+ 1,000 902
- --------------------------------------------------------
RETAIL (1.5%)
DR Structured Finance,
Series: 93-K1 A1
6.66%, 8/15/10 BB+ 60 52
94-K A1
7.60%, 8/15/07 BB+ 144 133
94-K2 A2
9.35%, 8/15/19 BB+ 130 119
HMV Media Group plc
10.875%, 5/15/08 B 150 193
Kmart Financing
7.75% 6/15/16 B+ 4 172
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 590 553
Saks, Inc.
7.375%, 2/15/19 BB+ 240 196
- --------------------------------------------------------
GROUP TOTAL 1,418
- --------------------------------------------------------
TELEPHONES (0.4%)
(+)# Winstar
Communications, Inc.
0.00%, 4/15/10 B- 750 350
- --------------------------------------------------------
UTILITIES (0.9%)
CMS Energy Corp.
7.50%, 1/15/09 BB 490 432
El Paso Energy
6.75%, 5/15/09 BBB 155 144
(+) PSEG Energy
Holdings
9.125%, 2/10/04 BBB- 280 280
- --------------------------------------------------------
GROUP TOTAL 856
- --------------------------------------------------------
TOTAL HIGH YIELD (Cost $18,316) 16,163
- --------------------------------------------------------
EMERGING MARKETS (9.9%)
- --------------------------------------------------------
FIXED INCOME SECURITIES (9.9%)
## Brazil Debt
Conversion Bond,
Series L
5.938%, 4/15/12 BB- 290 220
+## Bulgaria
Government,
5.875%, 7/28/24 B2 300 244
Cablevision S.A.
13.75%, 5/1/09 BB 100 99
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
@ Cellco Finance NV
15.00%, 8/1/05 CCC+ $ (2)-- $ --
(+) CIA International
Telecommunications
10.375%, 8/1/04 BB 330 300
## Ecuador Global Bond
6.75%, 2/28/25 N/R 250 104
Government of Venezuela
9.25%, 9/15/27 B 350 231
(+) Groupo Elecktra,
S.A. de C.V.
12.00%, 4/1/08 B+ 200 192
(+) Grupo Isusacell
S.A. de C.V.
14.25%, 12/1/06 B+ 150 162
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 200 174
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 300 270
Indah Kiat
International
Finance,
Series B
11.875%, 6/15/02 CCC+ 50 44
## Ivory Coast
2.00%, 3/29/18 N/R 300 54
+## Kingdom of Morocco
5.987%, 1/1/09 Ba1 102 92
Korea Monetary Bond
Zero coupon, 7/31/00 N/R 200,000 177
(+) Maxcom
Telecommunications
13.75%, 4/1/07 N/R 250 256
Multicanal S.A.
13.125%, 4/15/09 BB+ 360 380
Series C
10.50%, 4/15/18 BB+ 145 128
(+) Paiton Energy
Funding
9.34%, 2/15/14 CC 100 20
# Peru Reduction Bond
3.25%, 3/7/17 BB 650 403
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 155 112
(+) Province of Buenos
Aires
13.25%, 3/19/10 BB 200 201
# PTC International
Finance B.V.
0.00%, 7/1/07 B+ 355 252
Republic of Argentina
11.75%, 4/7/09 BB 200 198
12.00%, 2/1/20 BB 275 278
Republic of Argentina
Bancos del Tesoro
12.125%, 5/21/05 N/R 200 204
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
99
<PAGE> 102
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-MARKET FIXED
INCOME PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(cont'd) & POOR'S) (000) (000)!
- --------------------------------------------------------
<S> <C> <C> <C>
## Republic of
Argentina
Series L
6.188%, 3/31/05 N/R $ 280 $ 262
Republic of Brazil
## 7.00%, 4/15/09 B+ 200 170
8.00%, 4/15/14 BB- 357 269
12.25%, 3/6/30 B+ 200 193
+## Republic of Brazil
Series EI-L
6.94%, 4/15/06 B2 188 171
Republic of Brazil Debt
Conversion Bond
14.50%, 10/15/09 BB- 241 263
Republic of Colombia
9.75%, 4/23/09 BB+ 100 89
## 11.42%, 8/13/05 BB+ 60 59
11.75%, 2/25/20 BB+ 250 242
## Republic of Panama
6.50%, 7/17/16 BB+ 55 46
8.875%, 9/30/27 BB+ 50 44
Republic of Philippines
9.875%, 1/15/19 BB+ 200 183
10.625%, 3/16/25 BB+ 300 287
Republic of South
Africa
13.00%, 8/31/10 BBB+ 700 101
Russian Federation
12.75%, 6/24/28 CCC 1,050 894
Sanluis Corporation
S.A.
8.875%, 3/18/08 N/R 350 323
Tjiwi Kimia
International BV
13.25%, 8/1/01 CCC+ 150 135
Turkey Treasury Bill
0.00%, 8/23/00 Agy TRL 128,000,000 178
United Mexican States
Global Bond
6.25%, 12/31/19 BB+ $ 250 213
10.375%, 2/17/09 BB+ 350 378
11.375%, 9/15/16 BB+ 100 119
- --------------------------------------------------------
GROUP TOTAL 9,414
- --------------------------------------------------------
TOTAL EMERGING MARKETS (Cost $9,179) 9,414
- --------------------------------------------------------
</TABLE>
<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+ 109 $ 116
- --------------------------------------------------------
MORTGAGE-OTHER (0.4%)
(+)+ Home Ownership
Funding Corp. 13.33% Aaa 500 392
- --------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $493) 508
- --------------------------------------------------------
CASH EQUIVALENT (14.5%)
- --------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
--------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (14.5%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00,
to be repurchased at
$13,796, collateralized by
various U.S. Government
Obligations, due
4/3/00-11/15/02, valued at
$13,927 (Cost $13,789) $ 13,789 13,789
- --------------------------------------------------------
TOTAL INVESTMENTS (124.3%) (Cost $123,073) 118,252
- --------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-24.3%)
Cash 266
Foreign Currency (Cost $39) 39
Foreign Currency Held as Collateral on Futures
Contracts (Cost $54) 54
Dividends Receivable 17
Interest Receivable 1,284
Receivable for Withholding Tax Reclaim 18
Receivable for Investments Sold 1,251
Unrealized Gain on Forward Foreign Currency
Contacts 64
Other Assets 5
Payable for Investments Purchased (363)
Payable for Forward Commitments (25,494)
Payable Investment Advisory Fees (107)
Payable for Administrative Fees (6)
Payable for Trustees' Deferred Compensation
Plan-Note F (4)
Payable for Daily Variation on Futures
Contracts (82)
Unrealized Loss on Swap Agreements (85)
Other Liabilities (32)
--------
(23,175)
- --------------------------------------------------------
NET ASSETS (100%) $ 95,077
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
100
<PAGE> 103
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- --------------------------------------------------------
<S> <C> <C> <C>
INSTITUTIONAL CLASS
- --------------------------------------------------------
NET ASSETS
Applicable to 10,115,526 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 95,077
- --------------------------------------------------------
NET ASSET VALUE PER SHARE $ 9.40
- --------------------------------------------------------
NET ASSETS CONSIST OF:
Paid in Capital $100,557
Undistributed Net Investment Income (Loss) 1,946
Undistributed Realized Net Gain (Loss) (2,489)
Unrealized Appreciation (Depreciation) on:
Investment Securities (4,821)
Foreign Currency Transactions 36
Futures and Swaps (152)
- --------------------------------------------------------
NET ASSETS $ 95,077
- --------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 2000 was
$97,000 or 0.1% of net assets.
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for futures contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by Adviser.
x Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity.
Rate disclosed is as of March 31, 2000. Maturity
date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 2000.
(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
Fl an inverse relationship to an associated interest
rate.
Indicated rate is the effective rate at March 31,
2000.
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.
- --------------------------------------------------------------------------------
101
<PAGE> 104
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Balanced Portfolio provides ongoing asset allocation management with Miller
Anderson & Sherrerd's core equity and fixed-income management strategies. The
Portfolio considers a 60% equity/40% fixed-income mix as a neutral, or
starting-point investment. As expected future returns increase in one asset
class versus the other, the mix between asset classes will change.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
MAS BALANCED SALOMON 60/40
--------------------------------------- S&P 500 BROAD BLENDED
INSTITUTIONAL# INVESTMENT< ADVISER@ INDEX INDEX INDEX
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS 15.97% 15.84% 15.76% 17.51% 2.02% 11.31%
ONE YEAR 16.31 16.11 15.94 17.94 1.81 11.61
FIVE YEARS 18.10 17.96 17.89 26.76 7.14 18.90
SINCE INCEPTION 14.44 14.35 14.30 21.11 6.55 15.33
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
4/4/97. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
@ Represents an investment in the Adviser Class which commenced operations
11/7/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.25% 12b-1 Fee
applicable to the Adviser Class.
Total returns for the Adviser Class of the Portfolio reflect expenses reimbursed
by the Adviser for certain periods. Without such reimbursements, total returns
would have been lower.
* The Balanced Portfolio commenced operations on 12/31/92. Total returns are
compared to the S&P 500 Index and the Salomon Broad Investment Grade Index, both
unmanaged market indices, as well as the 60/40 Blended Index, an unmanaged index
comprised of 60% S&P 500 Index and 40% Salomon Broad Investment Grade Index.
Returns for periods less than one year are cumulative.
STATEMENT OF NET ASSETS
FIXED INCOME SECURITIES (47.7%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
RATINGS FACE
(STANDARD AMOUNT VALUE
MARCH 31, 2000 & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
AGENCY FIXED RATE MORTGAGES (20.9%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%, 9/1/17 Agy $ 288 $ 305
10.50%,
8/1/19-12/1/19 Agy 576 618
11.00%,
5/1/20-9/1/20 Agy 401 431
12.00%, 3/1/15 Agy 179 196
Gold Pools:
9.50%, 12/1/22 Agy 379 400
10.00%, 12/1/19 Agy 699 746
April TBA
6.00%, 4/1/30 Agy 27,550 25,088
Federal National
Mortgage Association,
Conventional Pools:
9.50%,
12/1/17-11/1/20 Agy 3,526 3,721
10.00%,
1/1/10-1/1/20 Agy 412 440
10.50%,
12/1/16-4/1/22 Agy 2,245 2,428
11.50%, 9/1/25 Agy 27 29
12.50%, 9/1/15 Agy 108 123
April TBA
6.00%, 4/1/30 Agy 14,400 13,104
6.50%, 4/1/30 Agy 7,500 7,031
Government National
Mortgage Association:
Adjustable Rate
Mortgages:
6.125%,
12/20/25-10/20/27 Tsy 2,641 2,659
6.375%,
2/20/25-5/20/25 Tsy 1,355 1,366
6.50%, 1/20/28 Tsy 252 254
6.875%,
4/20/25-6/20/25 Tsy 1,498 1,506
7.00%,
2/20/25-11/20/25 Tsy 3,303 3,323
Various Pools:
9.50%,
11/15/17-11/15/21 Tsy 1,738 1,841
10.00%,
11/15/09-4/15/28 Tsy 4,085 4,364
10.50%,
2/15/18-12/15/20 Tsy 575 621
11.00%, 5/15/26 Tsy 476 522
April TBA
7.00%, 4/1/30 Tsy 15,700 15,207
- ------------------------------------------------------
GROUP TOTAL 86,323
- ------------------------------------------------------
ASSET BACKED CORPORATES (7.5%)
ALPS,
Series 96-1 DX
12.75%, 6/15/06 BB- 946 946
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
102
<PAGE> 105
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA $ 640 $ 637
97-D A3
6.20%, 5/15/03 AAA 659 655
98-A A3
5.90%, 11/15/02 AAA 615 612
BankBoston Home Equity
Loan Trust,
Series 98-2 A1
6.28%, 11/25/10 AAA 239 237
Block Mortgage Finance
Co.,
Series 99-1 A1
5.94%, 9/25/13 AAA 362 359
BMW Vehicle Owner
Trust,
Series 99-A A2
6.16%, 12/25/01 AAA 922 919
Centex Home Equity,
Series 99-2 A1
5.91%, 4/25/19 AAA 657 649
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 582 577
## Citibank Credit Card
Master Trust I,
Series 98-7 A
6.014%, 5/15/02 AAA 1,250 1,250
Contimortgage Home
Equity Loan Trust,
Series 99-1 A1
6.01%, 12/25/13 AAA 488 484
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 126 125
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 226 225
Delta Funding Home
Equity Loan Trust,
Series 98-4 A1F
6.16%, 2/15/16 AAA 215 214
EQCC Home Equity Loan
Trust,
Series:
98-2 A1F
6.235%, 4/15/08 AAA 60 59
99-3 A1F
6.548%, 4/25/10 AAA 1,202 1,192
(+) First Merchants
Auto Receivables
Corp.,
Series 97-2 A1
6.85%, 11/15/02 AAA 89 89
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) First Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B A1
7.629%, 11/15/18 A $ 325 $ 276
First Security Auto
Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 582 579
98-A A
5.97%, 4/15/04 AAA 327 324
First Security Auto
Owner Trust,
Series 99-2 A2
5.492%, 4/15/02 AAA 533 532
## First USA Credit
Card Master Trust,
Series 97-10 A
5.97%, 9/17/03 AAA 875 875
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 101 101
98-A A3
5.65%, 10/15/01 AAA 739 738
99-B A3
5.47%, 9/15/01 AAA 1,506 1,499
99-C A3
5.77%, 11/15/01 AAA 1,904 1,895
99-D A3
6.20%, 4/15/02 AAA 1,915 1,907
(+)++ Global Rated
Eligible Asset Trust,
Series 98-A A1
7.45%, 3/15/06 N/R 247 62
Green Tree Financial
Corp.,
Series:
+ 98-1 A2
5.85%, 4/1/11 Aaa 195 194
99-1 A1
5.60%, 3/1/30 AAA 859 851
99-3 A2
5.51%, 2/1/31 AAA 1,196 1,185
Green Tree Home Equity
Loan Trust,
Series:
98-A A2
6.04%, 6/15/29 AAA 422 422
99-A A1
5.59%, 2/15/13 AAA 398 396
99-C A1
5.99%, 7/15/30 AAA 1,088 1,083
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
103
<PAGE> 106
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ Green Tree Home
Improvement Loan
Trust,
Series 98-E HIA1
5.907%, 8/15/07 Aaa $ 240 $ 239
Green Tree Lease
Finance,
Series 97-1 A3
6.17%, 9/20/05 AAA 308 307
Greenpoint Manufactured
Housing,
Series 99-1 A1
5.78%, 12/15/09 AAA 502 495
+ HFC Home Equity Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa 707 704
Honda Auto Receivables
Grantor Trust,
Series 97-A A
5.85%, 2/15/03 AAA 162 162
Honda Auto Receivables
Owner Trust,
Series 99-1 A2
5.186%, 6/16/01 AAA 425 424
(+) Long Beach
Acceptance Auto
Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 131 130
(+) National Car Rental
Financing Ltd.,
Series 96-1 A4
7.35%, 10/20/03 N/R 425 421
Navistar Financial
Corp. Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 852 848
(+) New Holland
Equipment Receivables
Trust,
Series 99-A A2
6.39%, 10/15/02 AAA 850 842
Nissan Auto Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 408 406
Option One Mortgage
Loan Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 620 612
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 1,761 1,755
Salomon Brothers
Mortgage Securities
VII,
Series 98-NC7 A1
6.063%, 1/25/29 AAA 125 125
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Securitized
Multiple Asset Rated
Trust,
Series 97-3 A1
7.71%, 6/15/06 N/R $ 295 $ 74
(+) Team Fleet
Financing Corp.,
Series 96-1 A
6.65%, 12/15/02 A- 300 295
## UCFC Home Equity
Loan,
Series 98-C A1
6.005%, 12/15/12 AAA 258 258
Union Acceptance Corp.,
Series 96-C A2
6.51%, 11/8/02 AAA 316 315
WFS Financial Owner
Trust,
Series 97-C A3
6.10%, 3/20/02 AAA 66 66
World Omni Automobile
Lease Securitization
Corp., Series 97-B A2
6.08%, 11/25/03 AAA 107 107
- ------------------------------------------------------
GROUP TOTAL 30,733
- ------------------------------------------------------
ASSET BACKED MORTGAGES (0.0%)
Cityscape Home Equity
Loan Trust,
Series:
96-3 A IO
1.00%, 10/25/26 N/R 5,166 76
(+) 96-3 A YMA
10/25/26 N/R 5,590 9
Contimortgage Home
Equity Loan Trust,
Series:
96-4 A11 IO
1.10%, 1/15/28 AAA 2,708 40
(+) 96-4 A11 YMA
1/15/28 AAA 3,627 5
96-4 A12 IO
1.05%, 1/15/28 AAA 496 5
(+) 96-4 A12 YMA
1/15/28 AAA 732 1
97-1 A10 IO
1.10%, 3/15/28 AAA 3,257 52
97-1 A10 YMA
3/15/28 N/R 4,434 8
- ------------------------------------------------------
GROUP TOTAL 196
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104
<PAGE> 107
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (1.2%)
Federal Home Loan
Mortgage Corporation,
Series:
1415-S Inv Fl IO
16.938%, 11/15/07 Agy $ 196 $ 59
1476-S Inv Fl IO
REMIC PAC
4.398%, 2/15/08 Agy 2,031 188
1485-S Inv Fl IO REMIC
3.538%, 3/15/08 Agy 1,733 102
1600-SA Inv Fl IO REMIC
1.938%, 10/15/08 Agy 3,289 103
## 1710-D IO
6.513%, 6/15/20 Agy 464 464
Federal National
Mortgage Association,
Series:
90-106 J PAC
8.50%, 9/25/20 Agy 188 190
92-186 S Inv Fl IO
3.349%, 10/25/07 Agy 3,443 235
## 94-97 FC REMIC
6.825%, 3/25/24 Agy 132 133
96-14 PC PO
12/25/23 Agy 53 31
96-68 SC Inv Fl IO
REMIC
1.975%, 1/25/24 Agy 1,250 82
97-53 PI IO PAC
8.00%, 8/18/27 Agy 2,089 599
97-70 FA Inv Fl REMIC
PAC (11)
5.388%, 7/18/20 Agy 157 157
## 98-22 FA REMIC
6.471%, 4/18/28 Agy 587 584
191 IO
8.00%, 1/1/28 Agy 448 131
270 2 IO
8.50%, 9/1/23 Agy 1,683 479
281 2 IO
9.00%, 11/1/26 Agy 658 180
291 2 IO
8.00%, 11/1/27 Agy 1,343 390
296 2 IO
8.00%, 4/1/24 Agy 1,616 465
Government National
Mortgage Association,
Series:
99-30 S Inv Fl IO
2.80%, 8/16/29 Tsy 5,456 319
99-32 SB Inv Fl IO
REMIC
2.75%, 7/16/27 Tsy 4,000 149
- ------------------------------------------------------
GROUP TOTAL 5,040
- ------------------------------------------------------
</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%)
American Housing Trust,
Series V 1G
9.125%, 4/25/21 AAA $ 151 $ 154
- ------------------------------------------------------
COMMERCIAL MORTGAGES (1.2%)
American Southwest
Financial Securities
Corp., Series 93-2 A1
7.30%, 1/18/09 N/R 894 866
Asset Securitization
Corp.,
Series:
96-MD6 A1C
7.04%, 11/13/26 AAA 575 555
+## 97-D5 PS1 IO
0.97%, 2/14/41 Aaa 3,251 273
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 525 514
(+) Creekwood Capital
Corp.,
Series 95-1A
8.47%, 3/16/15 AA 533 548
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.967%, 3/15/21 Aaa 2,056 126
97-C2 X IO
1.273%, 4/15/27 Aaa 5,907 320
+## GS Mortgage
Securities Corp. II,
Series 97-GL X2 IO
1.037%, 7/13/30 Aaa 1,666 60
## Nomura Asset
Securities Corp.,
Series 94-MD1 A3
8.026%, 3/15/18 N/R 525 528
Prime Property Fund,
Series 1 A
6.633%, 7/23/03 AA 483 471
(+) Stratford Finance
Corp.
6.776%, 2/1/04 AA 800 768
- ------------------------------------------------------
GROUP TOTAL 5,029
- ------------------------------------------------------
ENERGY (0.6%)
CMS Energy Corp.
7.50%, 1/15/09 BB 695 612
Conoco, Inc.
6.95%, 4/15/29 A- 1,050 965
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
105
<PAGE> 108
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
El Paso Energy Corp.
6.75%, 5/15/09 BBB $ 300 $ 279
x Mobile Energy
Services LLC
8.665%, 1/1/17 D 441 88
Tennessee Gas Pipeline
Co.
7.00%, 10/15/28 BBB+ 525 463
- ------------------------------------------------------
GROUP TOTAL 2,407
- ------------------------------------------------------
FEDERAL AGENCY (4.6%)
Federal Home Loan
Mortgage Corporation
6.625%, 9/15/09 Agy 5,550 5,337
Federal National
Mortgage Association
5.25%, 1/15/09 Agy 900 788
6.25%, 5/15/29 Agy 7,200 6,491
7.25%, 1/15/10 Agy 6,325 6,367
- ------------------------------------------------------
GROUP TOTAL 18,983
- ------------------------------------------------------
FINANCE (3.5%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 390 367
Bank One Corp.
7.625%, 10/15/26 A- 315 298
8.00%, 4/29/27 A- 160 158
BankAmerica Capital
Corp.
5.875%, 2/15/09 A+ 515 459
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 695 646
Chase Manhattan Corp.
6.00%, 2/15/09 A 485 466
Citigroup, Inc.
6.625%, 1/15/28 AA- 330 289
EOP Operating LP
6.763%, 6/15/07 BBB 395 365
7.25%, 6/15/28 BBB 200 170
7.50%, 4/19/29 BBB+ 265 232
(+) Equitable
Companies, Inc.
6.50%, 4/1/08 A+ 420 391
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A+ 700 676
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 170 146
(+) Farmers Insurance
Exchange
8.625%, 5/1/24 A+ 725 742
(+) Florida Property &
Casualty
7.375%, 7/1/03 A- 200 196
Ford Motor Credit Co.
7.375%, 10/28/09 A+ 290 285
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
General Motors
Acceptance Corp.
7.75%, 1/19/10 A $ 695 $ 698
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 850 754
(+) Goldman Sachs Group
LP
6.50%, 2/25/09 A+ 325 298
Household Finance Corp.
5.875%, 2/1/09 A 640 564
7.875%, 3/1/07 A 215 218
(+) Metropolitan Life
Insurance Co.
7.45%, 11/1/23 A+ 600 535
7.80%, 11/1/25 A+ 250 244
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 775 681
(+) New York Life
Insurance Co.
7.50%, 12/15/23 AA- 300 273
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 165 162
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 725 667
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 210 205
7.00%, 8/15/04 A 540 520
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 855 885
Washington Mutual
Capital I, Inc.
8.375%, 6/1/27 BBB- 375 354
Washington Mutual, Inc.
8.25%, 4/1/10 BBB- 170 171
Series A
8.206%, 2/1/27 BBB- 270 252
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- 792 739
96 WFP-D
6.95%, 9/1/13 AA- 525 487
- ------------------------------------------------------
GROUP TOTAL 14,593
- ------------------------------------------------------
INDUSTRIALS (4.2%)
Adelphia Communications
Corp.
7.875%, 5/1/09 B+ 185 159
9.375%, 11/15/09 B+ 245 230
Albertson's, Inc.
7.45%, 8/1/29 A 650 622
American Standard Cos.
7.375%, 4/15/05 BB- $ 230 $ 216
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
106
<PAGE> 109
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Columbia/HCA Healthcare
Corp.
7.19%, 11/15/15 BB+ $ 250 $ 205
7.50%, 12/15/23 BB+ 305 248
7.58%, 9/15/25 BB+ 320 262
7.69%, 6/15/25 BB+ 210 174
9.00%, 12/15/14 BB+ 225 216
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 670 653
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 615 536
DR Structured Finance,
Series:
93-K1 A1
6.66%, 8/15/10 BB+ 120 102
94-K2 A2
9.35%, 8/15/19 BB+ 550 504
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 680 591
(+) Florida Windstorm
7.125%, 2/25/19 AAA 625 585
Ford Motor Co.
6.625%, 10/1/28 A+ 725 636
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 665 650
7.45%, 3/1/08 BBB- 110 107
Honeywell
International, Inc.
7.50%, 3/1/10 A 475 482
Host Marriott LP
8.375%, 2/15/06 BB 130 117
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 650 668
International Game
Technology
8.375%, 5/15/09 BB+ 495 451
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 350 328
Lenfest Communications,
Inc.
7.625%, 2/15/08 BBB 425 415
Lockheed Martin Corp.
8.50%, 12/1/29 BBB- 460 464
Lowe's Companies, Inc.
6.50%, 3/15/29 A 655 555
6.875%, 2/15/28 A 205 183
Monsanto Co.
6.60%, 12/1/28 A 1,025 898
News America Holdings, Inc.
7.75%, 1/20/24 BBB- 190 178
News America, Inc.
7.28%, 6/30/28 BBB- 885 785
(+) Oxymar
7.50%, 2/15/16 BBB- 470 350
(+) Raytheon Co.
8.20%, 3/1/06 BBB- 475 482
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
# Rhone-Poulenc Rorer, Inc.,
Series 92-A3
8.62%, 1/5/21 A $ 400 $ 407
Saks, Inc.
7.375%, 2/15/19 BB+ 580 474
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 1,205 904
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 375 377
Tenet Healthcare Corp.
7.625%, 6/1/08 BB+ 595 542
U.S. Airways Corp.,
Pass Through
Certificates
8.11%, 2/20/17 AAA 295 297
USA Waste Services,
Inc.
7.00%, 7/15/28 BBB 745 562
Wal-Mart Stores, Inc.
7.55%, 2/15/30 AA 595 611
Waste Management, Inc.
7.375%, 5/15/29 BBB 265 209
- ------------------------------------------------------
GROUP TOTAL 17,435
- ------------------------------------------------------
NON-AGENCY FIXED RATE MORTGAGES (0.1%)
sec. First Federal
Savings & Loan
Association,
Series 92-C
8.75%, 6/1/06
(acquired 2/26/93,
cost $11) AA 10 10
## Resolution Trust
Corp.,
Series 92-5C CMO
8.613%, 1/25/26 AA 139 137
Ryland Acceptance Corp.
IV,
Series 79-A
6.65%, 7/1/11 AA 53 52
- ------------------------------------------------------
GROUP TOTAL 199
- ------------------------------------------------------
TELEPHONES (1.3%)
!! AT&T Corp.
6.50%, 3/15/29 AA- 900 783
BellSouth
Telecommunications,
Inc.
6.375%, 6/1/28 AAA 540 464
(+) Global Crossing
Holdings Ltd.
9.125%, 11/15/06 BB 525 503
GTE Corp.
6.94%, 4/15/28 A 745 676
# Intermedia Communications, Inc.
0.00%, 5/15/06 B 130 120
Series B
8.50%, 1/15/08 B 230 204
8.60%, 6/1/08 B 500 441
MCI WorldCom, Inc.
6.95%, 8/15/28 A- 1,180 1,087
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
107
<PAGE> 110
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Nextel Communications,
Inc.
# 0.00%, 9/15/07 B $ 655 $ 478
9.375%, 11/15/09 B- 120 111
Qwest Communications
International, Inc.,
7.50%, 11/1/08 BB+ 45 44
# Series B
0.00%, 2/1/08 BB+ 720 565
- ------------------------------------------------------
GROUP TOTAL 5,476
- ------------------------------------------------------
TRANSPORTATION (0.4%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ 399 369
99-1 A
6.545%, 8/2/20 AA+ 433 396
(+) Jet Equipment
Trust,
Series 95-5A C
10.69%, 11/1/13 BBB 675 754
- ------------------------------------------------------
GROUP TOTAL 1,519
- ------------------------------------------------------
UTILITIES (0.2%)
(+) PSEG Energy
Holdings, Inc.
9.125%, 2/10/04 BBB- 465 465
(+) Southern Energy,
Inc.
7.90%, 7/15/09 BBB 455 441
- ------------------------------------------------------
GROUP TOTAL 906
- ------------------------------------------------------
YANKEE (2.0%)
Abbey National plc
7.95%, 10/26/29 AA- 455 455
Ahold Finance USA, Inc.
6.875%, 5/1/29 A- 495 427
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 655 557
Grupo Minero Mexicano
S.A. de CV,
Series A
8.25%, 4/1/08 BB 585 507
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 675 636
(+) Hyundai
Semiconductor America
8.625%, 5/15/07 B 400 360
Multicanal S.A.
10.50%, 4/15/18 BB+ 330 292
13.125%, 4/15/09 BB+ 190 201
(+) Oil Purchase Co.
7.10%, 4/30/02 BBB- 406 390
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Oil Purchase Co. II
10.73%, 1/31/04 BBB- $ 87 $ 85
Orange plc
8.75%, 6/1/06 BBB 635 655
(+) Paiton Energy
Funding BV
9.34%, 2/15/14 CC 545 110
(+) Petrozuata Finance,
Inc.
8.22%, 4/1/17 BB 840 653
(+) Ras Laffan
Liquefied Natural Gas
Co.
8.294%, 3/15/14 BBB+ 300 289
Republic of Argentina
Par
11.75%, 4/7/09 BB 80 79
12.00%, 2/1/20 BB 300 303
Republic of Colombia
8.70%, 2/15/16 BB+ 590 447
Republic of Philippines
10.625%, 3/16/25 BB+ 350 349
United Mexican States
Par Bond,
Series B
6.25%, 12/31/19 BB+ 660 563
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 130 131
7.875%, 2/15/30 A 705 716
- ------------------------------------------------------
GROUP TOTAL 8,205
- ------------------------------------------------------
TOTAL FIXED INCOME SECURITIES (Cost
$202,567) 197,198
- ------------------------------------------------------
COMMON STOCKS (61.8%)
- ------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
BANKS (1.6%)
@ Bank of America Corp. 2 --
Bank of New York Co. 68,800 2,860
Chase Manhattan Corp. 25,400 2,215
@ First Union Corp. (N.C.) 1 --
FleetBoston Financial Corp. 22,116 807
Wells Fargo Co. 14,300 585
- ------------------------------------------------------
GROUP TOTAL 6,467
- ------------------------------------------------------
BASIC RESOURCES (1.2%)
E.I. DuPont de Nemours & Co. 46,300 2,448
Reynolds Metals Co. 8,200 549
Rohm & Haas Co. 14,300 638
* W.R. Grace & Co. 105,000 1,332
- ------------------------------------------------------
GROUP TOTAL 4,967
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.9%)
Anheuser-Busch Cos., Inc. 34,300 2,135
Avon Products, Inc. 56,000 1,628
Coca-Cola Co. 35,100 1,647
Kimberly-Clark Corp. 29,100 1,630
Procter & Gamble Co. 17,300 973
- ------------------------------------------------------
GROUP TOTAL 8,013
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108
<PAGE> 111
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
CONSUMER DURABLES (0.5%)
Ford Motor Co. 23,300 $ 1,071
General Motors Corp. 12,452 1,031
- ------------------------------------------------------
GROUP TOTAL 2,102
- ------------------------------------------------------
CONSUMER SERVICES (4.0%)
* America Online, Inc. 80,200 5,394
*@ At Home Corp., Series A 1 --
* AT&T Corp.-Liberty Media Group,
Class A 30,536 1,809
* Clear Channel Communications,
Inc. 18,500 1,278
* Comcast Corp., Class A Special 49,100 2,130
* Liberty Digital, Inc., Class A 14,600 562
News Corp., Ltd. ADR 26,100 1,246
* Sirius Satellite Radio, Inc. 6,700 382
Time Warner, Inc. 17,288 1,729
* Univision Communications, Inc.,
Class A 12,800 1,446
* Yahoo!, Inc. 3,900 668
- ------------------------------------------------------
GROUP TOTAL 16,644
- ------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (3.5%)
American Express Co. 5,300 789
* Ameritrade Holding Corp., Class
A 20,600 430
Capital One Financial Corp. 22,700 1,088
Citigroup, Inc. 87,475 5,189
Federal Home Loan Mortgage Corp. 38,900 1,719
Kansas City Southern Industries,
Inc. 5,700 490
Lehman Brothers Holdings, Inc. 7,800 757
Merrill Lynch & Co., Inc. 12,400 1,302
* S1 Corp. 30,300 2,596
- ------------------------------------------------------
GROUP TOTAL 14,360
- ------------------------------------------------------
ENERGY (4.5%)
Chevron Corp. 10,500 971
Exxon Mobil Corp. 44,100 3,432
* Global Marine, Inc. 60,800 1,543
Halliburton Co. 48,600 1,993
* Nabors Industries, Inc. 51,800 2,010
* Noble Drilling Corp. 17,700 733
* R & B Falcon Corp. 98,400 1,937
Royal Dutch Petroleum Co., NY
Shares 47,200 2,717
Santa Fe International Corp. 33,900 1,254
* Smith International, Inc. 25,800 1,999
- ------------------------------------------------------
GROUP TOTAL 18,589
- ------------------------------------------------------
FOOD, TOBACCO & OTHER (0.3%)
General Mills, Inc. 34,500 1,248
@ R.J. Reynolds Tobacco Holdings,
Inc. 1 --
- ------------------------------------------------------
GROUP TOTAL 1,248
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
HEALTH CARE (5.7%)
American Home Products Corp. 12,600 $ 676
* Amgen, Inc. 10,200 626
Baxter International, Inc. 30,100 1,887
Bristol-Myers Squibb Co. 30,196 1,744
Columbia/HCA Healthcare Corp. 83,100 2,103
* Edwards Lifesciences Corp 6,020 82
Eli Lilly & Co. 22,300 1,405
* Genentech, Inc. 3,500 532
* Guidant Corp. 26,500 1,558
Johnson & Johnson 26,300 1,843
Medtronics, Inc. 27,100 1,394
Merck & Co., Inc. 27,400 1,702
Pfizer, Inc. 31,900 1,166
Schering Plough Corp. 28,000 1,029
Tenet Healthcare Corp. 72,100 1,658
Warner Lambert Co. 40,400 3,939
- ------------------------------------------------------
GROUP TOTAL 23,344
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (6.3%)
Caterpillar, Inc. 66,600 2,627
Deere & Co. 900 34
Dover Corp. 61,200 2,930
General Electric Co. 64,100 9,947
Honeywell International, Inc. 68,787 3,624
Minnesota Mining & Manufacturing
Co. 22,800 2,019
Tyco International Ltd. 98,100 4,893
- ------------------------------------------------------
GROUP TOTAL 26,074
- ------------------------------------------------------
INSURANCE (1.8%)
American International Group, Inc. 30,200 3,307
Marsh & Mclennan Cos., Inc. 23,300 2,570
XL Capital Ltd., Class A 29,200 1,617
- ------------------------------------------------------
GROUP TOTAL 7,494
- ------------------------------------------------------
RETAIL (3.5%)
Circuit City Stores, Inc. 31,400 1,911
* Costco Wholesale Corp. 56,900 2,991
Home Depot, Inc. 47,600 3,070
Target Corp. 9,700 725
The Gap, Inc. 28,900 1,440
Wal-Mart Stores, Inc. 80,100 4,446
- ------------------------------------------------------
GROUP TOTAL 14,583
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
109
<PAGE> 112
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
BALANCED
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TECHNOLOGY (21.8%)
* Analog Devices, Inc. 18,200 $ 1,466
* Applied Materials, Inc. 9,300 876
* Celestica, Inc. 46,900 2,489
* Cisco Systems, Inc. 150,400 11,628
* Citrix Systems, Inc. 9,100 603
Compaq Computer Corp. 41,900 1,116
Computer Associates International,
Inc. 31,100 1,841
Corning, Inc. 7,900 1,533
* Dell Computer Corp. 84,900 4,579
Electronic Data Systems Corp. 30,200 1,938
* EMC Corp. 24,900 3,112
* Global Crossing Ltd. 40,100 1,642
Hewlett Packard Co. 28 4
Intel Corp. 77,300 10,199
International Business Machines
Corp. 11,200 1,322
* JDS Uniphase Corp. 9,500 1,145
* LSI Logic Corp. 13,200 959
Lucent Technologies, Inc. 30,500 1,853
* Microsoft Corp. 98,400 10,455
Motorola, Inc. 37,292 5,309
* National Semiconductor Corp. 14,600 885
Nortel Networks Corp. 36,900 4,649
* Oracle Systems Corp. 74,700 5,831
* Priceline.com, Inc. 8,300 643
* QUALCOMM, Inc. 24,800 3,703
* Solectron Corp. 13,700 549
* Sun Microsystems, Inc. 48,300 4,526
Texas Instruments, Inc. 23,500 3,760
* VERITAS Software Corp. 3,600 472
* Xilinx, Inc. 9,600 795
- ------------------------------------------------------
GROUP TOTAL 89,882
- ------------------------------------------------------
UTILITIES (5.2%)
AT&T Corp. 40,852 2,298
Coastal Corp. 24,600 1,132
* MCI WorldCom, Inc. 77,989 3,534
* MediaOne Group, Inc. 29,500 2,389
Qwest Communications
International, Inc. 30,700 1,489
SBC Communications, Inc. 82,517 3,466
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Sprint Corp. 45,800 $ 2,885
* Sprint Corp. (PCS Group) 23,250 1,519
Vodafone AirTouch plc ADR 51,050 2,836
- ------------------------------------------------------
GROUP TOTAL 21,548
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $192,070) 255,315
- ------------------------------------------------------
PREFERRED STOCK (0.6%)
- ------------------------------------------------------
MORTGAGE-OTHER (0.6%)
(+)+ Home Ownership Funding Corp.
13.331% (Cost $2,388) Aaa 3,025 2,373
- ------------------------------------------------------
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 $418) N/R $ 6,144 122
- ------------------------------------------------------
CASH EQUIVALENTS (5.3%)
- ------------------------------------------------------
DISCOUNT NOTE (2.4%)
Federal National
Mortgage Association
5.85%, 6/1/00 Agy 10,000 9,904
- ------------------------------------------------------
REPURCHASE AGREEMENT (2.9%)
Chase Securities, Inc. 6.05%,
dated 3/31/00, due 4/3/00, to be
repurchased at $12,045,
collateralized by various U.S.
Government Obligations, due
4/3/00-11/15/02, valued at
$12,159 12,039 12,039
- ------------------------------------------------------
TOTAL CASH EQUIVALENTS (Cost $21,943) 21,943
- ------------------------------------------------------
TOTAL INVESTMENTS (115.4%) (Cost $419,386) 476,951
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110
<PAGE> 113
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (-15.4%)
Cash $ 91
Dividends Receivable 199
Interest Receivable 1,990
Receivable for Investments Sold 11,430
Receivable for Forward Commitments 7,931
Receivable for Fund Shares Sold 72
Investments Held as Collateral for Loaned
Securities 16,134
Other Assets 39
Payable for Fund Shares Redeemed (6,694)
Payable for Investments Purchased (9,568)
Payable for Forward Commitments (68,095)
Payable for Investment Advisory Fees (449)
Payable for Administrative Fees (26)
Payable for Distribution Fee-Adviser Class (7)
Payable for Trustees' Deferred Compensation
Plan-Note F (33)
Payable for Daily Variation Margin on
Futures Contracts (105)
Unrealized Loss on Swap Agreements (170)
Collateral on Securities Loaned, at Value (16,134)
Other Liabilities (151)
--------
(63,546)
- ------------------------------------------------------
NET ASSETS (100%) $413,405
- ------------------------------------------------------
INSTITUTIONAL CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 27,116,001 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $371,120
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.69
- ------------------------------------------------------
INVESTMENT CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 639,390 outstanding shares of
beneficial interest (unlimited
authorization, no par value) $ 8,746
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.68
- ------------------------------------------------------
ADVISER CLASS
- ------------------------------------------------------
NET ASSETS
Applicable to 2,457,501 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 33,539
- ------------------------------------------------------
NET ASSET VALUE PER SHARE $ 13.65
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $345,647
Undistributed Net Investment Income (Loss) 2,516
Undistributed Realized Net Gain (Loss) 8,361
Unrealized Appreciation (Depreciation) on:
Investment Securities 57,565
Futures and Swaps (684)
- ------------------------------------------------------
NET ASSETS $413,405
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
sec. Restricted Security-Total market value of
restricted securities owned at March 31, 2000 was
$10,000 or 0.0% of net assets.
! See Note A1 to Financial Statements.
(+) 144A security. Certain conditions for public sale
may exist.
* Non-income producing security
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation.
++ Security is fair valued by Adviser.
x Security is in default.
!! 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 March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate securities-rate disclosed
is as of March 31, 2000.
@ Value is less than $500.
ADR American Depositary Receipt
CMO Collateralized Mortgage Obligation
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 2000.
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.
- --------------------------------------------------------------------------------
111
<PAGE> 114
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
MAS OVERVIEW
- ---------------------------------------------------------
The Multi-Asset-Class Portfolio provides global asset allocation management with
a level of international diversification that is appropriate for U.S.-oriented
investors. Miller Anderson & Sherrerd manages investments in five asset classes,
and considers a benchmark consisting of 50% U.S. equities, 14% foreign equities,
24% U.S. fixed-income, 6% foreign fixed-income and 6% high yield to be a
neutral, or starting-point investment. Allocations are based on a value-driven
approach which favors those equity markets offering the highest risk-adjusted
expected returns and those bond markets offering the highest real interest rates
and steepest yield curves.
AVERAGE ANNUAL TOTAL RETURNS ENDED 3/31/2000*
<TABLE>
<CAPTION>
50/24/
MAS MULTI-ASSET CLASS SALOMON MSCI 14/6/6
---------------------------- S&P 500 BROAD EAFE BLENDED
INSTITUTIONAL# INVESTMENT< INDEX INDEX INDEX INDEX
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS 14.36% 14.27% 17.51% 2.02% 16.86% 11.47%
ONE YEAR 15.59 15.41 17.94 1.81 25.09 12.94
FIVE YEARS 16.84 16.70 26.76 7.14 12.39 17.50
SINCE INCEPTION 15.59 15.46 25.62 7.02 10.84 16.84
</TABLE>
Total returns are net of all fees. Total returns represent past performance and
are not indicative of future results.
The investment return and principal value of an investment will fluctuate so
that an investor's shares, when redeemed, may be worth either more or less than
their original cost. Foreign investments are subject to certain risks such as
currency fluctuations, economic instability, and political developments.
High-yield fixed-income securities, otherwise known as "junk bonds," represent a
much greater risk of default and tend to be more volatile than higher-rated
bonds.
# Represents an investment in the Institutional Class.
< Represents an investment in the Investment Class which commenced operations
6/10/96. Total returns for periods beginning prior to this date are based on the
performance of the Institutional Class and do not include the 0.15% Shareholder
Servicing Fee applicable to the Investment Class.
Total returns for the Portfolio reflect expenses waived and/or reimbursed by the
Adviser for certain periods. Without such waivers and/or reimbursements, total
returns would have been lower.
* The Multi-Asset-Class Portfolio commenced operations on 7/29/94. Total returns
are compared to the S&P 500 Index, the Salomon Broad Investment Grade Index, and
the Morgan Stanley Capital International EAFE Index, all unmanaged market
indices, as well as the 50/24/14/6/6 Blended Index, an unmanaged index comprised
of 50% S&P 500 Index, 24% Salomon Broad Investment Grade Index, 14% MSCI EAFE
Index, 6% Salomon High Yield Index and 6% CS First Boston High Yield Index.
Previously, the blended index included the Salomon High Yield Index as its high
yield component, but the Adviser believes that the CS First Boston High Yield
Index has a more comprehensive coverage of geographic regions and types of
securities in which the Portfolio may invest. Returns for periods less than one
year are cumulative.
STATEMENT OF NET ASSETS
U.S. EQUITY (44.9%)
<TABLE>
<CAPTION>
- ------------------------------------------------------
VALUE
MARCH 31, 2000 SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
U.S. COMMON STOCKS (44.9%)
- ------------------------------------------------------
BANKS (1.2%)
Bank of New York Co. 20,700 $ 860
Chase Manhattan Corp. 7,500 654
FleetBoston Financial Corp. 6,550 239
Wells Fargo Co. 4,300 176
- ------------------------------------------------------
GROUP TOTAL 1,929
- ------------------------------------------------------
BASIC RESOURCES (0.9%)
E.I. DuPont de Nemours & Co. 13,900 735
Reynolds Metals Co. 2,500 167
Rohm & Haas Co. 4,200 187
* W.R. Grace & Co. 30,700 390
- ------------------------------------------------------
GROUP TOTAL 1,479
- ------------------------------------------------------
BEVERAGE & PERSONAL PRODUCTS (1.5%)
Anheuser-Busch Cos., Inc. 10,400 648
Avon Products, Inc. 16,800 488
Coca-Cola Co. 11,300 530
Kimberly-Clark Corp. 8,800 493
Procter & Gamble Co. 5,300 298
- ------------------------------------------------------
GROUP TOTAL 2,457
- ------------------------------------------------------
CONSUMER DURABLES (0.4%)
Ford Motor Co. 7,000 321
General Motors Corp. 3,788 314
- ------------------------------------------------------
GROUP TOTAL 635
- ------------------------------------------------------
CONSUMER SERVICES (3.2%)
* America Online, Inc. 23,800 1,601
* AT&T Corp.-Liberty Media Group,
Class A 9,168 543
* Clear Channel Communications, Inc. 5,600 387
* Comcast Corp., Class A Special 14,800 642
* Liberty Digital, Inc., Class A 4,400 169
* MediaOne Group, Inc. 8,800 713
* Sirius Satellite Radio Inc. 1,900 108
Time Warner, Inc. 5,228 523
* Univision Communications, Inc.,
Class A 3,800 429
* Yahoo!, Inc. 1,200 206
- ------------------------------------------------------
GROUP TOTAL 5,321
- ------------------------------------------------------
CREDIT & FINANCE/ INVESTMENT COMPANIES (2.6%)
American Express Co. 1,600 238
* Ameritrade Holding Corp. 6,100 127
Capital One Financial Corp. 6,900 331
Citigroup, Inc. 25,925 1,538
Federal Home Loan Mortgage Corp. 11,700 517
Kansas City Southern Industries, Inc. 1,800 155
Lehman Brothers Holdings, Inc. 2,300 223
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112
<PAGE> 115
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
Merrill Lynch & Co., Inc. 3,700 $ 388
* S1 Corp. 9,100 780
- ------------------------------------------------------
GROUP TOTAL 4,297
- ------------------------------------------------------
ENERGY (2.9%)
Chevron Corp. 3,200 296
Exxon Mobil Corp. 13,300 1,035
* Global Marine, Inc. 19,800 502
Halliburton Co. 14,600 599
* Nabors Industries, Inc. 15,600 605
* Noble Drilling Corp. 5,300 220
* R & B Falcon Corp. 29,600 583
Santa Fe International Corp. 10,200 377
* Smith International, Inc. 7,800 604
- ------------------------------------------------------
GROUP TOTAL 4,821
- ------------------------------------------------------
FOOD & TOBACCO (0.2%)
General Mills, Inc. 11,100 402
@ R.J. Reynolds Tobacco Holdings 1 --
- ------------------------------------------------------
GROUP TOTAL 402
- ------------------------------------------------------
HEALTH CARE (4.2%)
American Home Products Corp. 3,800 204
* Amgen, Inc. 3,100 190
Baxter International, Inc. 9,000 564
Bristol-Myers Squibb Co. 9,029 521
Columbia/HCA Healthcare Corp. 24,900 630
* Edwards Lifesciences Corp 1,800 24
Eli Lilly & Co. 6,600 416
* Genentech, Inc. 1,100 167
* Guidant Corp. 8,000 471
Johnson & Johnson 7,900 554
Medtronics, Inc. 8,200 422
Merck & Co., Inc. 8,200 509
Pfizer, Inc. 9,400 344
Schering Plough Corp. 8,300 305
Tenet Healthcare Corp. 21,700 499
Warner Lambert Co. 11,800 1,151
- ------------------------------------------------------
GROUP TOTAL 6,971
- ------------------------------------------------------
HEAVY INDUSTRY/TRANSPORTATION (4.6%)
Caterpillar, Inc. 20,000 789
Deere & Co. 300 11
Dover Corp. 18,500 886
General Electric Co. 18,600 2,886
Honeywell International, Inc. 20,662 1,089
Minnesota Mining & Manufacturing Co. 6,900 611
Tyco International Ltd. 29,200 1,456
- ------------------------------------------------------
GROUP TOTAL 7,728
- ------------------------------------------------------
INSURANCE (1.0%)
American International Group, Inc. 8,900 975
Marsh & McLennan Cos, Inc. 7,100 783
- ------------------------------------------------------
GROUP TOTAL 1,758
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
- ------------------------------------------------------
<S> <C> <C>
RETAIL (2.6%)
Circuit City Stores, Inc. 9,400 $ 572
* Costco Wholesale Corp. 17,000 894
Home Depot, Inc. 14,250 919
Target Corp. 2,900 217
The Gap, Inc. 8,700 433
Wal-Mart Stores, Inc. 23,900 1,327
- ------------------------------------------------------
GROUP TOTAL 4,362
- ------------------------------------------------------
TECHNOLOGY (15.8%)
* Analog Devices, Inc. 5,500 443
* Applied Materials, Inc. 3,000 283
* Celestica, Inc. 15,100 801
* Cisco Systems, Inc. 44,100 3,409
* Citrix Systems, Inc. 2,700 179
Compaq Computer Corp. 12,600 335
Computer Associates International,
Inc. 9,300 550
Corning, Inc. 2,400 466
* Dell Computer Corp. 25,300 1,365
Electronic Data Systems Corp. 9,000 578
* EMC Corp. 7,500 937
Hewlett Packard Co. 10 1
Intel Corp. 23,300 3,074
International Business Machines Corp. 3,200 378
* JDS Uniphase Corp. 2,800 338
* LSI Logic Corp. 4,000 291
Lucent Technologies, Inc. 9,100 553
* Microsoft Corp. 29,400 3,124
Motorola, Inc. 11,257 1,603
* National Semiconductor Corp. 4,400 267
Nortel Networks Corp. 10,400 1,310
* Oracle Systems Corp. 22,200 1,733
* Priceline.com Inc. 2,500 194
* QUALCOMM, Inc. 7,400 1,105
* Solectron Corp. 3,900 156
* Sun Microsystems, Inc. 14,400 1,349
Texas Instruments, Inc. 7,100 1,136
* VERITAS Software Corp. 1,100 144
* Xilinx, Inc. 2,900 240
- ------------------------------------------------------
GROUP TOTAL 26,342
- ------------------------------------------------------
UTILITIES (3.8%)
AT&T Corp. 12,250 689
Coastal Corp. 7,400 341
* Global Crossing Ltd. 12,000 491
* MCI WorldCom, Inc. 23,072 1,046
* Qwest Communications International,
Inc. 9,200 446
SBC Communications, Inc. 26,670 1,120
Sprint Corp. (FON Group) 13,700 863
* Sprint Corp. (PCS Group) 7,900 516
Vodafone AirTouch plc ADR 15,250 847
- ------------------------------------------------------
GROUP TOTAL 6,359
- ------------------------------------------------------
TOTAL U.S. COMMON STOCKS (Cost $54,693) 74,861
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
113
<PAGE> 116
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
U.S. FIXED INCOME (26.7%)
- ------------------------------------------------------
AGENCY FIXED RATE MORTGAGES (12.3%)
Federal Home Loan
Mortgage Corporation,
Conventional Pools:
10.00%, 6/1/19 Agy $ 32 $ 34
10.50%, 4/1/19 Agy 128 138
11.00%, 9/1/16 Agy 42 46
11.50%,
7/1/15-8/1/15 Agy 75 83
Gold Pools:
9.50%, 12/1/16 Agy 78 82
10.00%, 1/1/21 Agy 102 109
11.50%, 1/1/16 Agy 89 98
April TBA
6.00%, 4/1/30 Agy 9,350 8,514
Federal National Mortgage
Association, Conventional
Pools:
10.00%, 5/1/22 Agy 381 406
10.50%,
12/1/09-6/1/19 Agy 152 164
11.00%, 11/1/20 Agy 57 63
12.50%, 3/1/15 Agy 23 25
April TBA
6.00%, 4/1/30 Agy 1,950 1,775
6.50%, 4/1/30 Agy 500 469
7.00%, 4/1/30 Agy 1,400 1,346
Government National Mortgage
Association: Adjustable Rate
Mortgages:
6.00%, 2/20/27 Tsy 84 84
6.375%, 3/20/25 Tsy 63 64
6.50%,
2/20/27-12/20/27 Tsy 660 665
6.875%,
4/20/25-6/20/25 Tsy 399 401
7.00%,
3/20/25-11/20/25 Tsy 944 950
11.50%, 1/15/13 Tsy 22 24
Various Pools:
10.00%,
7/15/16-8/15/20 Tsy 212 226
10.50%,
1/15/16-5/15/26 Tsy 836 906
11.00%,
12/15/09-8/15/19 Tsy 413 453
11.50%,
8/15/11-4/15/13 Tsy 89 98
12.00%,
11/15/12-10/15/15 Tsy 58 65
April TBA
7.00%, 4/1/30 Tsy 3,250 3,148
- ------------------------------------------------------
GROUP TOTAL 20,436
- ------------------------------------------------------
ASSET BACKED CORPORATES (2.9%)
Arcadia Automobile
Receivables Trust,
Series:
97-C A4
6.375%, 1/15/03 AAA 175 174
97-D A3
6.20%, 5/15/03 AAA 135 134
Banc One Home Equity
Trust,
Series 99-1 A1
6.06%, 1/25/12 AAA 177 175
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Block Mortgage Finance Co.,
Series 99-1 A1
5.94%, 9/25/13 AAA $ 161 $ 159
Centex Home Equity,
Series 99-1 A1
6.07%, 3/25/18 AAA 126 126
Chevy Chase Auto
Receivables Trust,
Series 97-4 A
6.25%, 6/15/04 AAA 155 154
Daimler Benz Auto
Grantor Trust,
Series 97-A A
6.05%, 3/31/05 AAA 31 31
Daimler Benz Vehicle
Trust,
Series 98-A A2
5.23%, 12/20/01 AAA 122 122
EQCC Home Equity
Loan Trust,
Series:
99-1 A1F
5.77%, 5/20/10 AAA 208 205
99-2 A1F
6.05%, 1/25/10 AAA 170 168
99-3 A1F
6.548%, 4/25/10 AAA 310 308
First Security Auto
Grantor Trust,
Series:
97-B A
6.10%, 4/15/03 AAA 117 117
98-A A
5.97%, 4/15/04 AAA 218 216
First Security Auto
Owner Trust
Series 99-2 A2
5.492%, 4/15/02 AAA 147 146
Ford Credit Auto Owner
Trust,
Series:
97-B A3
6.05%, 4/15/01 AAA 35 35
98-A A3
5.65%, 10/15/01 AAA 185 184
Green Tree Financial
Corp.,
Series 99-1 A2
5.43%, 3/1/30 AAA 199 198
Green Tree Home Equity
Loan Trust,
Series 99-C A1
5.99%, 7/15/30 AAA 291 290
Harley-Davidson
Eaglemark
Motorcycle Trust,
Series 99-2 A1
5.84%, 10/15/03 AAA 190 188
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114
<PAGE> 117
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
+ HFC Home Equity
Loan,
Series 99-1 A1
6.83%, 12/20/16 Aaa $ 177 $ 176
Honda Auto Receivables
Grantor Trust,
Series:
97-A A
5.85%, 2/15/03 AAA 187 186
97-B A
5.95%, 5/15/03 AAA 36 36
IMC Home Equity Loan
Trust,
Series 98-1 A2
6.31%, 12/20/12 AAA 182 181
(+) Long Beach
Acceptance
Auto Grantor Trust,
Series 97-2 A
6.69%, 9/25/04 AAA 33 33
Navistar Financial
Corp.
Owner Trust,
Series 99-A A2
5.55%, 2/15/02 AAA 234 233
Nissan Auto
Receivables
Grantor Trust,
Series 97-A A
6.15%, 2/15/03 AAA 41 41
Option One Mortgage
Loan Trust,
Series 99-2 A1
5.88%, 5/25/29 AAA 159 157
Premier Auto Trust,
Series 99-3 A2
5.82%, 2/8/02 AAA 488 486
## Residential Funding
Mortgage Securities
I,
Series 99-HI4 A1
6.41%, 11/25/07 AAA 193 192
WFS Financial Owner
Trust,
Series:
97-C A3
6.10%, 3/20/02 AAA 15 15
World Omni Automobile
Lease Securitization
Corp.,
Series 97-B A2
6.08%, 11/25/03 AAA 37 37
- ------------------------------------------------------
GROUP TOTAL 4,903
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS- AGENCY COLLATERAL
SERIES (0.6%)
Federal Home Loan
Mortgage
Corporation,
Series:
## 1710-D IO
6.51%, 6/15/20 Agy 134 134
1911-C PO
11/15/23 Agy 96 58
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage
Association,
Series:
92-89 SQ Inv Fl IO
PAC (11),
2884.45% 6/25/22 Agy $ (2)-- $ 10
97-53 PI IO PAC
8.00%, 8/18/27 Agy 639 183
## 97-70 FA REMIC
PAC (11)
5.388%, 7/18/20 Agy 32 32
99-42 SA Inv Fl IO
2.075%, 10/25/28 Agy 1,668 64
191 IO
8.00%, 1/1/28 Agy 673 197
291 2 IO
8.00%, 11/1/27 Agy 392 114
296 2 IO
8.00%, 4/1/24 Agy 174 50
Government National
Mortgage
Association,
Series:
97-13 SB Inv Fl IO
2.053%, 9/16/27 Tsy 1,800 103
99-30 SA Inv Fl IO
2.583%, 8/16/29 Tsy 1,391 81
- ------------------------------------------------------
GROUP TOTAL 1,026
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.3%)
American Housing
Trust,
Series V 1G
9.125%, 4/25/21 AAA 84 86
+## BA Mortgage
Securities, Inc.,
Series 97-1 A2
6.625%, 7/25/26 Aaa 137 137
Mid-State Trust II,
Series 88-2 A4
9.625%, 4/1/03 AAA 122 125
## Morserv, Inc.,
Series 96-2 1A1
6.72%, 11/25/26 AAA 132 131
- ------------------------------------------------------
GROUP TOTAL 479
- ------------------------------------------------------
COMMERCIAL MORTGAGES (0.3%)
American Southwest
Financial Securities
Corp.,
Series 93-2 A1
7.30%, 1/18/09 N/R 94 91
Asset Securitization
Corp.,
Series 96-MD6 A1C
7.04%, 11/13/26 AAA 125 121
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
115
<PAGE> 118
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Beverly Finance
Corp.,
Series 94-1
8.36%, 7/15/04 AA- $ 100 $ 101
(+) Carousel Center
Finance, Inc.,
Series 1 A1
6.828%, 11/15/07 AA 100 98
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series 97-C2 X IO
1.273%, 4/15/27 Aaa 1,477 80
- ------------------------------------------------------
GROUP TOTAL 491
- ------------------------------------------------------
ENERGY (0.4%)
CMS Energy Corp.
7.50%, 1/15/09 BB 175 154
Conoco, Inc.
6.95%, 4/15/29 A- 290 267
El Paso Energy
6.75%, 5/15/09 BBB 75 70
x Mobile Energy
Services LLC
8.665%, 1/1/17 D 85 17
Tennessee Gas Pipeline
7.00%, 10/15/28 BBB+ 165 145
- ------------------------------------------------------
GROUP TOTAL 653
- ------------------------------------------------------
FEDERAL AGENCY (2.5%)
Federal Home Loan
Mortgage Corporation
6.625%, 9/15/09 Agy 300 288
Federal National
Mortgage Association
!! 6.25%, 5/15/29 Agy 1,765 1,591
7.25%, 1/15/10 Agy 2,300 2,315
- ------------------------------------------------------
GROUP TOTAL 4,194
- ------------------------------------------------------
FINANCE (2.3%)
(+) Anthem Insurance
Cos., Inc.,
Series A
9.00%, 4/1/27 BBB+ 100 94
Banc One Corp.
7.625%, 10/15/26 A- 125 118
(+) BT Institutional
Capital Trust,
Series A
8.09%, 12/1/26 A 225 209
Chase Manhattan Corp.
7.00%, 11/15/09 A 125 120
Citigroup, Inc.
6.625%, 1/15/28 AA- 85 75
EOP Operating LP
6.763%, 6/15/07 BBB 100 92
7.50%, 4/19/29 BBB+ 70 61
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Equitable Companies,
Inc.
6.50%, 4/1/08 A+ $ 55 $ 51
(+) Equitable Life
Assurance Society of
the U.S., Series 1A
6.95%, 12/1/05 A+ 250 241
(+) Farmers Exchange
Capital
7.05%, 7/15/28 A+ 290 249
Ford Motor Credit Co.
7.375%, 10/28/09 A+ 35 34
General Motors
Acceptance Corp.
7.75%, 1/19/10 A+ 180 181
GS Escrow Corp.
7.125%, 8/1/05 BB+ 195 173
HMH Properties,
Series A
7.88%, 8/1/05 BB 115 102
Household Finance
Corp.
5.875%, 2/1/09 A 170 150
7.875%, 3/1/07 A 50 51
(+) Metropolitan Life
Insurance Co.
7.80%, 11/1/25 A+ 250 244
Nationsbank Corp.
6.80%, 3/15/28 A 115 100
(+) Nationwide Mutual
Life Insurance Co.
7.50%, 2/15/24 A+ 250 220
PNC Funding Corp.
7.50%, 11/1/09 BBB+ 90 89
(+) PNC Institutional
Capital,
Series A
7.95%, 12/15/26 BBB+ 150 138
(+) Prime Property
Funding II, Inc.
6.80%, 8/15/02 A 85 83
7.00%, 8/15/04 A 165 159
(+) Prudential
Insurance Co.
8.30%, 7/1/25 A- 175 181
Washington Mutual
Capital I
8.375%, 6/1/27 BBB- 155 147
Washington Mutual,
Inc.,
Series A
8.206%, 2/1/27 BBB- 25 23
(+) World Financial
Properties,
Series:
96 WFP-B
6.91%, 9/1/13 AA- $ 233 $ 217
96 WFP-D
6.95%, 9/1/13 AA- 250 232
- ------------------------------------------------------
GROUP TOTAL 3,834
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
116
<PAGE> 119
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIALS (2.6%)
Adelphia
Communications
7.875%, 5/1/09 B+ $ 50 $ 43
9.375%, 11/15/09 B+ 75 70
Albertson's, Inc.
7.45%, 8/1/29 A 175 168
Columbia/HCA
Healthcare Corp.
7.19%, 11/15/15 BB+ 80 66
7.50%, 12/15/23 BB+ 145 118
7.58%, 9/15/25 BB+ 75 61
9.00%, 12/15/14 BB+ 50 48
CSC Holdings, Inc.
7.875%, 12/15/07 BB+ 205 200
Delphi Automotive
Systems Corp.
7.125%, 5/1/29 BBB 165 144
DR Structured Finance,
Series:
94-K1 A1
7.60%, 8/15/07 BB+ 69 64
94-K2 A2
9.35%, 8/15/19 BB+ 30 27
Federated Department
Stores, Inc.
6.90%, 4/1/29 BBB+ 150 130
7.00%, 2/15/28 BBB+ 25 22
(+) Florida Windstorm
7.125%, 2/25/19 AAA 135 126
Ford Motor Co.
6.625%, 10/1/28 A+ 205 180
Fred Meyer, Inc.
7.375%, 3/1/05 BBB- 230 225
Honeywell
International, Inc.
7.50%, 3/1/10 A 145 147
International Game
Technology
8.375%, 5/15/09 BB+ 130 118
Kmart Funding Corp.,
Series F
8.80%, 7/1/10 BB+ 50 47
Lenfest
Communications, Inc.
7.625%, 2/15/08 BBB 135 132
Lockheed Martin Corp.
8.50%, 12/1/29 BBB- 140 141
Lowe's Companies, Inc.
6.50%, 3/15/29 A 175 148
6.875%, 2/15/28 A 30 27
Monsanto Co.
6.60%, 12/1/28 A 225 197
News America Holdings,
Inc.
7.28%, 6/30/28 BBB- 280 248
(+) Oxymar
7.50%, 2/15/16 BBB- 100 74
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Raytheon Co.
8.20%, 3/1/06 BBB- $ 110 $ 112
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 A 100 102
Saks, Inc.
7.375%, 2/15/19 BB+ 105 86
Scotia Pacific Co. LLC
7.71%, 7/20/28 BBB 385 289
Sun Microsystems, Inc.
7.65%, 8/15/09 BBB+ 100 100
Tenet Healthcare
Corp.,
7.625%, 6/1/08 BB+ 195 178
U.S. Airways Corp.
Pass Through
Certificates
8.11%, 2/20/17 AAA 75 76
USA Waste Services
7.00%, 7/15/28 BBB 200 151
Wal-Mart Stores
7.55%, 2/15/30 AA 185 190
Waste Management, Inc.
7.375%, 5/15/29 BBB 70 55
- ------------------------------------------------------
GROUP TOTAL 4,310
- ------------------------------------------------------
TELEPHONES (0.9%)
!! AT&T Corp.
6.50%, 3/15/29 AA- 240 209
BellSouth
Telecommunications
6.375%, 6/1/28 AAA 140 120
(+) Global Crossing
Holding Ltd.
9.125%, 11/15/06 BB 140 134
GTE Corp.
6.94%, 4/15/28 A 205 186
Intermedia
Communications,
Inc.,
Series B
# 0.00%, 5/15/06 B 40 37
# 0.00%, 7/15/07 B 45 35
8.50%, 1/15/08 B 35 31
8.60%, 6/1/08 B 85 75
8.875%, 11/1/07 B 30 27
!! MCI WorldCom, Inc.
6.95%, 8/15/28 A- 320 295
#!! Nextel
Communications, Inc.
0.00%, 9/15/07 B 190 138
# Qwest Communications
International, Inc.,
Series B
0.00%, 2/1/08 BB+ 205 161
- ------------------------------------------------------
GROUP TOTAL 1,448
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
117
<PAGE> 120
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
TRANSPORTATION (0.2%)
Continental Airlines,
Series:
98-1 A
6.648%, 9/15/17 AA+ $ 111 $ 103
99-1 A
6.545%, 8/2/20 AA+ 102 93
(+) Jet Equipment
Trust,
Series 94-A A11
10.00%, 6/15/12 A+ 125 139
- ------------------------------------------------------
GROUP TOTAL 335
- ------------------------------------------------------
U.S. TREASURY SECURITIES (0.1%)
U.S. Treasury Notes
6.25%, 1/31/02 Tsy 50 50
7.50%, 2/15/05 Tsy 50 52
- ------------------------------------------------------
GROUP TOTAL 102
- ------------------------------------------------------
UTILITIES (0.1%)
(+) PSEG Energy
Holdings, Inc.
9.125%, 2/10/04 BBB- 120 120
(+) Southern Energy,
Inc.
7.90%, 7/15/09 BBB 130 126
- ------------------------------------------------------
GROUP TOTAL 246
- ------------------------------------------------------
YANKEE (1.2%)
Abbey National plc
7.95%, 10/26/29 AA- 120 120
Ahold Finance USA,
Inc.
6.875%, 5/1/29 A- 125 108
Glencore Nickel
Property Ltd.
9.00%, 12/1/14 BB+ 205 174
(+) Hutchison Whampoa
Financial,
Series B
7.45%, 8/1/17 A 125 118
(+) Hyundai
Semiconductor
America
8.25%, 5/15/04 B 110 101
Multicanal S.A.
13.125%, 4/15/09 BB+ 40 42
Series C
10.50%, 4/15/18 BB+ 95 84
(+) Oil Purchase Co.
II
10.73%, 1/31/04 BBB- 155 153
Orange plc
8.75%, 6/1/06 BBB 175 181
(+) Paiton Energy
Funding BV
9.34%, 2/15/14 CC 100 20
(+) Petrozuata
Finance, Inc.
8.22%, 4/1/17 BB 305 237
(+) Ras Laffan
Liquefied Natural
Gas Co.
8.294%, 3/15/14 BBB+ 100 96
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Republic of Argentina
Par
12.00%, 2/1/20 BB $ 80 $ 81
Republic of Colombia
8.70%, 2/15/16 BB+ 140 106
Republic of
Philippines
10.625%, 3/16/25 BB+ 90 90
United Mexican States
Par Bond,
Series A
6.25%, 12/31/19 BB+ 180 153
(+) Vodafone AirTouch
plc
7.625%, 2/15/05 A 40 40
7.875%, 2/15/30 A 185 188
- ------------------------------------------------------
GROUP TOTAL 2,092
- ------------------------------------------------------
TOTAL U.S. FIXED INCOME (Cost $46,125) 44,549
- ------------------------------------------------------
INTERNATIONAL FIXED INCOME (4.1%)
- ------------------------------------------------------
FIXED INCOME SECURITIES (4.1%)
- ------------------------------------------------------
BRITISH POUND (0.1%)
United Kingdom
Treasury Bill
8.00%, 6/10/03 AAA GBP 90 150
- ------------------------------------------------------
CANADIAN DOLLAR (0.2%)
Government of Canada
7.50%, 3/1/01 AAA CAD 430 300
10.00%, 6/1/08 AAA 100 86
- ------------------------------------------------------
GROUP TOTAL 386
- ------------------------------------------------------
DANISH KRONE (0.3%)
Kingdom of Denmark
5.00%, 8/15/05 AAA DKK 1,500 190
8.00%, 5/15/03 AAA 1,745 242
- ------------------------------------------------------
GROUP TOTAL 432
- ------------------------------------------------------
EURO (2.0%)
Government of France
O.A.T.
8.50%, 10/25/19 AAA EUR 255 328
Government of Germany
6.00%, 1/4/07 AAA 863 866
6.00%, 7/4/07 AAA 130 130
6.50%, 7/4/27 AAA 292 312
6.875%, 5/12/05 AAA 425 441
7.125%, 1/29/03 AAA 87 88
7.50%, 9/9/04 AAA 413 435
Government of Spain
5.15%, 7/30/09 AA+ 435 408
International Bank for
Reconstruction &
Development
7.125%, 4/12/05 AAA 89 93
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118
<PAGE> 121
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
Kredit fuer
Wiederaufbau
5.00%, 1/4/09 AAA EUR 38 $ 35
Republic of Italy BTPS
9.50%, 2/1/06 AA 68 79
10.00%, 8/1/03 AA 160 177
- ------------------------------------------------------
GROUP TOTAL 3,392
- ------------------------------------------------------
JAPANESE YEN (1.3%)
European Investment
Bank
3.00%, 9/20/06 AAA JPY 4,000 43
Export-Import Bank of
Japan
2.875%, 7/28/05 AAA 30,000 318
Federal National
Mortgage Association
Series E
1.75%, 3/26/08 AAA 10,000 98
Government of Japan
0.90%, 12/22/08 AAA 131,000 1,185
International Bank for
Reconstruction &
Development
6.75%, 6/18/01 AAA 41,000 430
- ------------------------------------------------------
GROUP TOTAL 2,074
- ------------------------------------------------------
SWEDISH KRONA (0.2%)
Swedish Government
6.00%, 2/9/05 AAA SEK 2,300 274
13.00%, 6/15/01 AA+ 500 64
- ------------------------------------------------------
GROUP TOTAL 338
- ------------------------------------------------------
TOTAL INTERNATIONAL FIXED INCOME (Cost
$6,601) 6,772
- ------------------------------------------------------
INTERNATIONAL EQUITY (2.3%)
- ------------------------------------------------------
COMMON STOCKS (2.3%)
- ------------------------------------------------------
SHARES
------
AUSTRALIA (0.2%)
News Corp., Ltd. ADR 7,900 377
- ------------------------------------------------------
BERMUDA (0.3%)
XL Capital Ltd., Class A 8,800 487
- ------------------------------------------------------
GERMANY (0.7%)
* Emerging Markets Telecom Fund 67,900 1,239
- ------------------------------------------------------
KOREA (0.6%)
* Korea Fund, Inc. 62,900 940
- ------------------------------------------------------
NETHERLANDS (0.5%)
Royal Dutch Petroleum Co., NY
Shares 14,200 818
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
SWEDEN (0.0%)
* Tele1 Europe AB 1,879 $ 36
- ------------------------------------------------------
TOTAL INTERNATIONAL EQUITY (Cost $3,205) 3,897
- ------------------------------------------------------
HIGH YIELD (6.9%)
- ------------------------------------------------------
<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 42 42
(+) OHA Auto Grantor
Trust,
Series 97-A
11.00%, 9/15/03 BB 91 87
- ------------------------------------------------------
GROUP TOTAL 163
- ------------------------------------------------------
AUTOMOTIVE (0.1%)
Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 B 150 126
Tenneco Inc.,
Series B
11.625%, 10/15/09 B+ 130 128
- ------------------------------------------------------
GROUP TOTAL 254
- ------------------------------------------------------
CABLE (0.8%)
Adelphia
Communications Corp.
7.75%, 1/15/09 B+ 70 60
9.375%, 11/15/09 B+ 100 94
Series B
8.375%, 2/1/08 B+ 145 129
9.875%, 3/1/07 B+ 40 39
Cablevision S.A.
13.75%, 5/1/09 BB 100 99
(+) Charter
Communications
Holdings/Charter Cap
10.25%, 1/15/10 B+ 160 154
CSC Holdings, Inc.
9.875%, 5/15/06 BB- 125 127
Echostar DBS Corp.
9.375%, 2/1/09 B 125 121
# NTL, Inc.,
Series B
0.00%, 4/1/08 B- GBP 150 157
# RCN Corp.
0.00%, 10/15/07 B- $ 225 144
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
119
<PAGE> 122
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+)# Telewest plc
0.00%, 4/15/09 B+ $ 135 $ 126
(+) United Pan-Europe
Communications N.V.
10.875%, 8/1/09 B 135 127
- ------------------------------------------------------
GROUP TOTAL 1,377
- ------------------------------------------------------
CHEMICALS (0.2%)
Huntsman ICI
10.125%, 7/1/09 B+ 75 72
10.125%, 7/1/09 B+ EUR 75 75
ISP Holdings, Inc.,
Series B
9.00%, 10/15/03 BB- $ 150 138
Lyondell Chemical Co.
9.625%, 5/1/07 BB 85 81
- ------------------------------------------------------
GROUP TOTAL 366
- ------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS-
NON-AGENCY COLLATERAL SERIES (0.0%)
+ Citicorp Mortgage
Securities, Inc.,
Series 90-7 A7
9.50%, 6/25/05 B3 12 5
- ------------------------------------------------------
COMMERCIAL MORTGAGES (0.1%)
(+)+## DLJ Mortgage
Acceptance Corp.
Series 97-CF2 S IO
0.352%, 10/15/17 Aaa 3,896 77
(+) Franchise Mortgage
Acceptance Corp.,
Loan Receivables
Trust,
Series 96-B C1 IO
7.929%, 11/1/18 N/R 97 34
- ------------------------------------------------------
GROUP TOTAL 111
- ------------------------------------------------------
COMMUNICATIONS: FIXED (1.3%)
(+) Bayan Telecommunications
Holdings Corp.
13.50%, 7/15/06 B- 140 118
Esprit Telecom Group
plc
11.00%, 6/15/08 B- EUR 64 57
Global Crossing
Holdings Ltd.
9.625%, 5/15/08 BB $ 135 130
(+) Globix Corp.
12.50%, 2/1/10 N/R 90 83
(+)# GT Group Telecom
0.00%, 2/1/10 CCC+ 125 69
Hermes Europe Railtel
10.375%, 1/15/09 B 15 14
11.50%, 8/15/07 B 100 94
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
# Hyperion
Telecommunications,
Inc.
0.00%, 4/15/03 B+ $ 105 $ 96
# Intermedia
Communications, Inc.
Series B
0.00%, 7/15/07 B 275 214
Metromedia Fiber
Network, Inc.
10.00%, 12/15/09 B+ 100 94
Netia Holdings S.A.
13.50%, 6/15/09 B 100 100
# NEXTLINK
Communications
0.00%, 4/15/08 B 200 120
Primus
Telecommunications
Group, Inc.
11.25%, 1/5/09 B- 140 129
PSINet, Inc.
11.00%, 8/1/09 B- 125 122
(+)# Rhythms
NetConnections,
Inc.,
Series B
0.00%, 5/15/08 CCC+ 150 73
RSL Communications plc
# 0.00%, 3/15/08 B- EUR 332 177
12.00%, 11/1/08 B- $ 30 27
12.25%, 11/15/06 B- 17 16
Tele1 Europe B.V.
13.00%, 5/15/09 N/R EUR 100 102
# Viatel, Inc.
0.00%, 4/15/08 B- $ 135 78
# Wam!Net, Inc.
Series B
0.00%, 3/1/05 CCC+ 125 70
(+)# WinStar
Communications Inc.
0.00%, 4/15/10 B- 325 152
- ------------------------------------------------------
GROUP TOTAL 2,135
- ------------------------------------------------------
COMMUNICATIONS: MOBILE (0.7%)
(+) American Mobile
Satellite Corp.
Series B
12.25%, 4/1/08 N/R 120 94
Centennial Cellular
Corp.
10.75%, 12/15/08 B- 100 100
# CTI Holdings S.A.
0.00%, 4/15/08 B 150 98
# Dolphin
Telecommunications
0.00%, 6/1/08 CCC+ EUR 110 42
0.00%, 5/15/09 N/R $ 125 48
(+) Globalstar
LP/Capital
11.375%, 2/15/04 B 100 35
11.50%, 6/1/05 B 20 7
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120
<PAGE> 123
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
(+) Grupo Isusacell
S.A. de C.V.
14.25%, 12/1/06 B+ $ 115 $ 126
(+)x Iridium Capital
Corp.,
Series A
13.00%, 7/15/05 D 150 3
# Nextel
Communications, Inc.
0.00%, 2/15/08 B 175 119
# Occidente y Caribe
Cellular
0.00%, 3/15/04 B 185 117
(+) PTC International
Finance
11.25%, 12/1/09 B+ 85 87
(+) Total Access
Communication
(Convertible) PCL N/R 50 57
(+) Voicestream
Wireless Corp.
10.375%, 11/15/09 B- 40 40
- ------------------------------------------------------
GROUP TOTAL 973
- ------------------------------------------------------
ENERGY (0.2%)
(+) CBM Funding Corp.,
Series 96-1B D
8.645%, 2/1/08 AA 125 124
Snyder Oil Corp.
8.75%, 6/15/07 BB- 125 121
Vintage Petroleum,
Inc.
8.625%, 2/1/09 B+ 40 38
9.75%, 6/30/09 B+ 75 75
- ------------------------------------------------------
GROUP TOTAL 358
- ------------------------------------------------------
FINANCE (0.1%)
Golden State Holdings
Escrow Corp.
7.125%, 8/1/05 BB+ 140 124
- ------------------------------------------------------
FOOD & BEVERAGES (0.1%)
Smithfield Foods, Inc.
7.625%, 2/15/08 BB+ 120 104
- ------------------------------------------------------
GAMING (0.6%)
Harrah's Operating
Co., Inc.
7.875%, 12/15/05 BB+ 250 231
Horseshoe Gaming
Holding
8.652%, 5/15/09 B+ 145 133
International Game
Technology
8.375%, 5/15/09 BB+ 225 205
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
Park Place
Entertainment Corp.
7.875%, 12/15/05 BB+ $ 95 $ 87
8.50%, 11/15/06 BBB- 75 73
Station Casinos, Inc.
8.875%, 12/1/08 B+ 135 125
10.125%, 3/15/06 B+ 100 100
- ------------------------------------------------------
GROUP TOTAL 954
- ------------------------------------------------------
GENERAL INDUSTRY (0.1%)
Applied Power, Inc.
8.75%, 4/1/09 B+ 65 67
Axia, Inc.
10.75%, 7/15/08 B- 75 58
Sequa Corp.
9.00%, 8/1/09 BB 75 69
- ------------------------------------------------------
GROUP TOTAL 194
- ------------------------------------------------------
HEALTHCARE (0.3%)
Columbia/HCA
Healthcare Corp.
7.00%, 7/1/07 BB+ 120 107
7.69%, 6/15/25 BB+ 220 183
Tenet Healthcare Corp.
8.625%, 1/15/07 BB- 125 118
Series B
8.125%, 12/1/08 BB- 60 54
- ------------------------------------------------------
GROUP TOTAL 462
- ------------------------------------------------------
HOTEL & LODGING (0.2%)
Hilton Hotels Corp.
7.95%, 4/15/07 BBB 150 139
HMH Properties,
Series A
8.75%, 8/1/05 BB 130 115
Host Marriott Travel
Plaza
9.50%, 5/15/05 BB- 100 102
- ------------------------------------------------------
GROUP TOTAL 356
- ------------------------------------------------------
MEDIA & ENTERTAINMENT (0.3%)
Chancellor Media Corp.
9.00%, 10/1/08 B 150 151
Series B
8.125%, 12/15/07 B 90 89
Multicanal S.A.
10.50%, 2/1/07 BB+ 150 142
Satelites Mexicanos
S.A.
10.125%, 11/1/04 B- 60 49
TV Azteca S.A.,
Series B
10.50%, 2/15/07 B+ 125 120
- ------------------------------------------------------
GROUP TOTAL 551
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
121
<PAGE> 124
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
METALS (0.3%)
(+) EES Coke Battery
Co., Inc.
9.382%, 4/15/07 B+ $ 100 $ 95
Murrin Murrin Holdings
Ltd.
9.375%, 8/31/07 BB- 225 198
National Steel Corp.
Series D
9.875%, 3/1/09 B+ 135 132
(+)++x@ NSM Steel,
Inc.
12.25%, 2/1/08 D 75 --
- ------------------------------------------------------
GROUP TOTAL 425
- ------------------------------------------------------
PACKAGING (0.2%)
Impress Metal
Packaging Holdings
9.875%, 5/29/07 B 72 67
Norampac, Inc.
9.50%, 2/1/08 BB 96 94
Pindo Deli Financial
Mauritius
10.75%, 10/1/07 CCC+ 250 181
Tembec Industries,
Inc.
8.625%, 6/30/09 BB+ 30 28
- ------------------------------------------------------
GROUP TOTAL 370
- ------------------------------------------------------
REAL ESTATE (0.2%)
D. R. Horton, Inc.
8.00%, 2/1/09 BB 165 137
Nortek, Inc.
Series B
8.875%, 8/1/08 B+ 140 126
- ------------------------------------------------------
GROUP TOTAL 263
- ------------------------------------------------------
RETAIL (0.3%)
DR Structured Finance,
Series 93-K1 A1
6.66%, 8/15/10 BB+ 244 209
(+) Groupo Elecktra,
S.A. de C.V.
12.00%, 4/1/08 B+ 65 63
HMV Media Group plc,
Series B
10.25%, 5/15/08 B 145 110
Kmart Financing
7.75%, 1/1/80 B+ 2 69
Musicland Group, Inc.,
Series B
9.875%, 3/15/08 B- 100 82
- ------------------------------------------------------
GROUP TOTAL 533
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)+
- ------------------------------------------------------
<S> <C> <C> <C>
SERVICES (0.1%)
Waste Management, Inc
6.875%, 5/15/09 BBB $ 20 $ 17
7.00%, 10/15/06 BBB 155 136
7.125%, 10/1/07 BBB 95 81
7.65%, 3/15/11 BBB 25 22
- ------------------------------------------------------
GROUP TOTAL 256
- ------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (0.1%)
Republic of Colombia
9.75%, 4/23/09 BB+ 80 71
Republic of
Philippines
10.625%, 3/16/25 BB+ 65 65
- ------------------------------------------------------
GROUP TOTAL 136
- ------------------------------------------------------
SUPERMARKET/DRUG (0.2%)
(+) CA FM Lease Trust
8.50%, 7/15/17 BBB- 226 214
Stater Bros. Holdings,
Inc.
10.75%, 8/15/06 B+ 125 125
- ------------------------------------------------------
GROUP TOTAL 339
- ------------------------------------------------------
TECHNOLOGY (0.0%)
(+) Hyundai
Semiconductor
America
8.625%, 5/15/07 B 100 90
- ------------------------------------------------------
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 150 174
- ------------------------------------------------------
GROUP TOTAL 303
- ------------------------------------------------------
UTILITIES (0.1%)
AES Corp.
8.50%, 11/1/07 B+ 110 96
CMS Energy Corp.
7.50%, 1/15/09 BB 135 119
(+) Paiton Energy
Funding
9.34%, 2/15/14 CC 100 20
- ------------------------------------------------------
GROUP TOTAL 235
- ------------------------------------------------------
TOTAL HIGH YIELD (Cost $12,866) 11,437
- ------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.0%)
- ------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122
<PAGE> 125
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
MEDIA & ENTERTAINMENT (0.0%)
*(+) Paxson
Communications Corp.
PIK,
9.75% (Cost $30) N/R 339 $ 31
- ------------------------------------------------------
PREFERRED STOCKS (0.5%)
- ------------------------------------------------------
COMMUNICATIONS: FIXED (0.1%)
IXC Communications,
Inc.,
Series B PIK
12.50% CCC+ 104 110
- ------------------------------------------------------
COMMUNICATIONS: MOBILE (0.0%)
* Dobson
Communications
13.00% 803 85
- ------------------------------------------------------
HEALTHCARE (0.1%)
* Fresenius Medical
Capital Trust II N/R 140 132
- ------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
Paxson Communications
Corp.
13.25% N/R 839 85
- ------------------------------------------------------
MORTGAGE-OTHER (0.3%)
(+)+ Home Ownership
Funding Corp.
13.33% Aaa 600 471
- ------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $873) 883
- ------------------------------------------------------
WARRANTS (0.0%)
- ------------------------------------------------------
COMMUNICATIONS: FIXED (0.0%)
*(+) Wam!Net, Inc.
expiring 3/1/05 N/R 3,750 4
- ------------------------------------------------------
COMMUNICATIONS: MOBILE (0.0%)
* American Mobile
Satellite Corp.
expiring 4/1/08 N/R 2,150 13
* Globalstar
Telecommunications
Ltd., expiring
2/15/04 N/R 125 4
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
- ------------------------------------------------------
<S> <C> <C> <C>
*(+)@ Iridium World
Communications Ltd.,
expiring 7/15/05 N/R 70 $--
* Occidente y Caribe
Cellular, expiring
3/15/04 N/R 925 14
- ------------------------------------------------------
GROUP TOTAL 31
- ------------------------------------------------------
MEDIA & ENTERTAINMENT (0.0%)
*(+)@ Paxson
Communications
Corp.,
expiring 6/30/03 N/R 96 --
- ------------------------------------------------------
METALS (0.0%)
*(+)@ NSM Steel, Inc.,
expiring 4/1/08 N/R 47,482 --
- ------------------------------------------------------
TOTAL WARRANTS (Cost $17) 35
- ------------------------------------------------------
CASH EQUIVALENT (10.9%)
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
(000)
-------
<S> <C> <C> <C>
REPURCHASE AGREEMENT (10.9%)
Chase Securities, Inc.
6.05%, dated 3/31/00, due
4/3/00, to be repurchased
at $18,227, collateralized
by various U.S. Government
Obligations, due 4/3/00-
11/15/02, valued at
$18,400 (Cost $18,218) $18,218 18,218
- ---------------------------------------------------
TOTAL INVESTMENTS (96.3%) (Cost $142,628) 160,683
- ---------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
123
<PAGE> 126
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
MULTI-ASSET-CLASS
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (000)!
- ---------------------------------------------------
<S> <C> <C> <C>
OTHER ASSETS AND LIABILITIES (3.7%)
Cash $ 462
Foreign Currency (Cost $ 3,040) 3,023
Foreign Currency Held as Collateral on
Futures Contracts (Cost $17,661) 17,661
Dividends Receivable 48
Interest Receivable 964
Receivable for Investments Sold 5,511
Receivable for Forward Commitments 1,869
Receivable for Fund Shares Sold 786
Receivable for Withholding Tax Reclaim 8
Receivable for Daily Variation Margin on
Futures Contracts 99
Unrealized Gain on Daily Variation Margin
on Future Contracts 28
Other Assets 16
Payable for Investments Purchased (5,921)
Payable for Forward Commitments (17,101)
Payable for Futures Variation Margin (42)
Payable for Fund Shares Redeemed (122)
Payable for Investment Advisory Fees (269)
Payable for Administrative Fees (7)
Payable for Trustees' Deferred
Compensation Plan-Note F (14)
Payable for Shareholder Servicing
Fees-Investment Class (1)
Unrealized Loss on Forward Foreign
Currency Contracts (670)
Unrealized Loss on Swap Agreements (60)
Other Liabilities (89)
--------
6,179
- ---------------------------------------------------
NET ASSETS (100%) $166,862
- ---------------------------------------------------
INSTITUTIONAL CLASS
- ---------------------------------------------------
NET ASSETS
Applicable to 12,825,780 outstanding
shares of beneficial interest
(unlimited authorization, no par value) $160,579
- ---------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.52
- ---------------------------------------------------
INVESTMENT CLASS
- ---------------------------------------------------
NET ASSETS
Applicable to 503,170 outstanding shares
of beneficial interest (unlimited
authorization, no par value) $ 6,283
- ---------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.49
- ---------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
- ---------------------------------------------------
<S> <C> <C> <C>
NET ASSETS CONSIST OF:
Paid in Capital $139,877
Undistributed Net Investment Income
(Loss) 1,514
Undistributed Realized Net Gain (Loss) 8,145
Unrealized Appreciation (Depreciation)
on: Investment Securities 18,055
Foreign Currency (564)
Futures and Swaps (165)
- ---------------------------------------------------
NET ASSETS $166,862
- ---------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
! See Note A1 to Financial Statements.
* Non-income producing security
(+) 144A security. Certain conditions for public sale
may exist.
!! A portion of these securities was pledged to cover
margin requirements for future contracts.
+ Moody's Investors Service, Inc. rating. Security is
not rated by Standard & Poor's Corporation or
Moody's Investors Service, Inc.
++ Security is fair valued by the Adviser.
x Security is in default.
# Step Bond-Coupon rate increases in increments to
maturity. Rate disclosed is as of March 31, 2000.
Maturity date disclosed is the ultimate maturity.
## Variable or floating rate security-rate disclosed
is as of March 31, 2000.
(2) Face amount is less than $500.
@ Value is less than $500.
ADR American Depositary Receipt
Inv Inverse Floating Rate-Interest rate fluctuates with
Fl an inverse relationship to an associated interest
rate. Indicated rate is the effective rate at
March 31, 2000.
EUR Euro
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.
- --------------------------------------------------------------------------------
124
<PAGE> 127
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAP MID CAP
VALUE EQUITY VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------
Six Months Ended March 31, 2000
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 10,809 $ 2,415 $ 4,736 $ 806
Interest 299 350 2,401 3,213
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 11,108 2,765 7,137 4,019
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,756 1,760 4,228 4,515
Administrative Fee--Note C 441 281 451 721
Custodian Fee--Note E 76 49 57 44
Audit Fee 17 11 11 8
Legal Fee 11 6 7 8
Filing & Registration Fees 34 22 28 135
Shareholder Servicing Fee--Investment Class
shares--Note D 6 1 -- --
Distribution Fees--Adviser Class
shares--Note D 266 3 34 628
Other Expenses 93 33 42 49
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 3,700 2,166 4,858 6,108
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (36) (40) (34) (37)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,664 2,126 4,824 6,071
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 7,444 639 2,313 (2,052)
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (91,568) 62,442 112,602 249,561
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 105,848 103,595 206,116 474,861
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 14,280 166,037 318,718 724,422
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 21,724 $166,676 $321,031 $722,370
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
125
<PAGE> 128
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL DOMESTIC
MID CAP CAP FIXED FIXED
VALUE GROWTH INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------
Six Months Ended March 31, 2000
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 3,469 $ 137 $ 1,887 $ 36
Interest 1,944 590 161,104 6,540
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 5,413 727 162,991 6,576
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 3,775 1,465 8,418 334
Administrative Fee--Note C 403 117 1,796 71
Custodian Fee--Note E 28 25 146 4
Audit Fee 8 7 24 8
Legal Fee 7 1 35 1
Filing & Registration Fees 39 41 44 16
Shareholder Servicing Fee--Investment Class
shares--Note D 17 -- 33 --
Distribution Fees--Adviser Class
shares--Note D 65 -- 177 2
Other Expenses 39 9 194 21
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,381 1,665 10,867 457
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (26) (15) (146) (4)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,355 1,650 10,721 453
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,058 (923) 152,270 6,123
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 97,098 57,894 (71,064) (2,534)
Futures -- -- 1,048 234
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 97,098 57,894 (70,016) (2,300)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 123,214 72,904 13,752 (1,312)
Futures and Swaps -- -- (16,947) (1,090)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 123,214 72,904 (3,195) (2,402)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 220,312 130,798 (73,211) (4,702)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $221,370 $129,875 $ 79,059 $ 1,421
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
126
<PAGE> 129
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH CASH FIXED LIMITED
YIELD RESERVES INCOME II DURATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------
Six Months Ended March 31, 2000
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 401 $ -- $ 130 $ 54
Interest 52,194 3,726 13,219 5,236
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 52,595 3,726 13,349 5,290
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,327 $163 679 231
Less: Waived Fees -- (28) 135 -- --
Administrative Fee--Note C 413 52 145 62
Custodian Fee--Note E 23 11 17 7
Audit Fee 11 5 9 7
Legal Fee 7 1 3 1
Filing & Registration Fees 29 7 16 8
Shareholder Servicing Fee--Investment Class
shares--Note D 6 1 -- --
Distribution Fees--Adviser Class shares--Note D 22 -- -- --
Other Expenses 53 8 16 8
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,891 220 885 324
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (23) (11) (16) (2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,868 209 869 322
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 49,727 3,517 12,480 4,968
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (3,495) -- (5,188) (462)
Foreign Currency Transactions 5,443 -- -- --
Futures and Swaps 1,344 -- (109) (99)
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 3,292 -- (5,297) (561)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (22,587) -- (1,782) (1,242)
Foreign Currency Transactions 3,156 -- -- --
Futures and Swaps (374) -- (852) (166)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (19,805) -- (2,634) (1,408)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (16,513) -- (7,931) (1,969)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 33,214 $3,517 $ 4,549 $ 2,999
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
127
<PAGE> 130
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SPECIAL INTER-
PURPOSE GLOBAL NATIONAL
FIXED FIXED FIXED
INCOME MUNICIPAL INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------
Six Months Ended March 31, 2000
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 310 $ -- $ 47 $ --
Interest 15,454 3,615 1,482 2,917
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 15,764 3,615 1,529 2,917
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 796 $227 105 236
Less: Waived Fees -- (14) 213 -- --
Administrative Fee--Note C 170 48 24 51
Custodian Fee--Note E 18 4 14 19
Audit Fee 14 10 12 12
Legal Fee 4 1 -- 1
Filing & Registration Fees 11 13 8 15
Other Expenses 20 18 3 4
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,033 307 166 338
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (14) (4) (5) (1)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,019 303 161 337
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 14,745 3,312 1,368 2,580
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (6,566) (1,777) (2,289) (2,470)
Foreign Currency Transactions -- -- (539) (1,310)
Futures 192 (303) 9 437
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (6,374) (2,080) (2,819) (3,343)
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (223) 1,291 (56) (3,335)
Foreign Currency Transactions -- -- 465 309
Futures and Swaps (879) (91) (141) (245)
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) (1,102) 1,200 268 (3,271)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (7,476) (880) (2,551) (6,614)
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 7,269 $ 2,432 $(1,183) $(4,034)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $4 and $16 withholding tax for the Global Fixed Income and
International Fixed Income Portfolios, respectively.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128
<PAGE> 131
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MULTI-MARKET MULTI-
DURATION FIXED INCOME BALANCED ASSET-CLASS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
Six Months Ended March 31, 2000
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME +
Dividends $ 19 $ 25 $ 897 $ 290
Interest 2,191 3,897 6,571 2,782
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income 2,210 3,922 7,468 3,072
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 111 $218 888 $554
Less: Waived Fees -- (2) 216 -- (36) 518
Administrative Fee--Note C 24 39 158 68
Custodian Fee--Note E 3 9 34 34
Audit Fee 7 9 17 18
Legal Fee -- 1 3 1
Filing & Registration Fees 11 5 27 12
Shareholder Servicing Fee--Investment
Class shares--Note D 8 -- 1 4
Distribution Fees--Adviser Class
shares--Note D -- -- 40 --
Other Expenses 4 5 22 16
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 168 284 1,190 671
- ---------------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (2) (3) (14) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 166 281 1,176 671
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 2,044 3,641 6,292 2,401
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (637) (387) 11,599 5,793
Foreign Currency Transactions -- (205) -- (1,172)
Futures (210) 149 164 4,846
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) (847) (443) 11,763 9,467
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities (419) (620) 40,576 11,128
Foreign Currency Transactions -- 276 -- (825)
Futures and Swaps (268) (67) (249) 245
- ---------------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation
(Depreciation) (687) (411) 40,327 10,548
- ---------------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) (1,534) (854) 52,090 20,015
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 510 $2,787 $58,382 $22,416
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Net of $1 and $1 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.
- --------------------------------------------------------------------------------
129
<PAGE> 132
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
SMALL CAP
VALUE EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 27,701 $ 7,444 $ 5,340 $ 639 $ 5,904 $ 2,313
Realized Net Gain (Loss) 122,925 (91,568) 190,256 62,442 83,605 112,602
Change in Unrealized
Appreciation (Depreciation) 134,138 105,848 50,024 103,595 85,609 206,116
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 284,764 21,724 245,620 166,676 175,118 321,031
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (30,731) (7,549) (6,669) (1,223) (2,892) (7,001)
Realized Net Gain (346,188) (111,639) (222,761) (194,869) (101,623) (68,195)
INVESTMENT CLASS:
Net Investment Income (270) (59) (11) (1) -- --
Realized Net Gain (3,540) (1,037) (609) (274) -- --
ADVISER CLASS +:
Net Investment Income (4,810) (1,471) (4) (2) -- (148)
Realized Net Gain (52,186) (26,648) (124) (629) -- (1,641)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (437,725) (148,403) (230,178) (196,998) (104,515) (76,985)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 348,999 143,214 101,383 73,868 288,575 340,324
In Lieu of Cash Distributions 327,810 110,625 220,297 189,846 103,439 72,087
Redeemed (1,761,799) (488,296) (574,286) (124,783) (282,283) (175,762)
INVESTMENT CLASS:
Issued 6,883 3,996 135 -- -- --
In Lieu of Cash Distributions 2,822 1,024 618 275 -- --
Redeemed (23,620) (6,487) (1,753) (106) -- --
ADVISER CLASS +:
Issued 78,928 54,170 2,007 1,570 20,392 21,287
In Lieu of Cash Distributions 51,418 27,542 128 631 -- 1,789
Redeemed (173,003) (106,521) (333) (759) (3,709) (6,622)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (1,141,562) (260,733) (251,804) 140,542 126,414 253,103
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (1,294,523) (387,412) (236,362) 110,220 197,017 497,149
NET ASSETS:
Beginning of Period 2,638,035 1,343,512 875,064 638,702 716,729 913,746
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,343,512 $956,100 $638,702 $748,922 $913,746 $1,410,895
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 5,140 $ 3,505 $ 798 $ 211 $ 5,379 $ 543
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 22,907 11,978 4,930 3,988 15,813 15,568
In Lieu of Cash Distributions 23,236 9,485 12,497 11,593 6,346 3,849
Shares Redeemed (117,686) (39,899) (28,048) (6,909) (15,199) (8,460)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (71,543) (18,436) (10,621) 8,672 6,960 10,957
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 440 339 6 -- -- --
In Lieu of Cash Distributions 200 88 35 17 -- --
Shares Redeemed (1,547) (540) (91) (5) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding (907) (113) (50) 12 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 5,078 4,506 98 88 1,062 998
In Lieu of Cash Distributions 3,645 2,365 7 38 -- 95
Shares Redeemed (11,461) (8,602) (16) (40) (197) (298)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding (2,738) (1,731) 89 86 865 795
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Small Cap Value Portfolio began offering Adviser Class shares on January
22, 1999.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130
<PAGE> 133
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP SMALL CAP
GROWTH VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ (943) $ (2,052) $ 3,425 $ 1,058 $ (154) $ (923)
Realized Net Gain (Loss) 237,742 249,561 109,808 97,098 15,676 57,894
Change in Unrealized
Appreciation (Depreciation) 102,485 474,861 15,607 123,214 12,161 72,904
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 339,284 722,370 128,840 221,370 27,683 129,875
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (2) -- (1,451) (2,940) -- --
Realized Net Gain (77,567) (150,641) (31,726) (98,166) -- (20,468)
INVESTMENT CLASS:
Net Investment Income -- -- (32) (36) -- --
Realized Net Gain -- -- (1,377) (2,499) -- --
ADVISER CLASS:
Net Investment Income -- -- (8) (79) -- --
Realized Net Gain (14,328) (53,376) (355) (5,142) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (91,897) (204,017) (34,949) (108,862) -- (20,468)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 565,037 807,974 370,988 377,896 81,536 370,838
In Lieu of Cash Distributions 71,047 137,702 31,687 92,684 -- 18,296
Redeemed (486,282) (225,661) (188,868) (150,995) (18,994) (106,470)
INVESTMENT CLASS:
Issued -- -- 6,915 10,928 -- --
In Lieu of Cash Distributions -- -- 1,251 2,117 -- --
Redeemed -- -- (6,141) (18,158) -- --
ADVISER CLASS:
Issued 181,375 385,766 40,211 26,408 -- --
In Lieu of Cash Distributions 14,192 52,577 363 4,843 -- --
Redeemed (24,798) (42,732) (7,784) (8,273) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 320,571 1,115,626 248,622 337,450 62,542 282,664
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 567,958 1,633,979 342,513 449,958 90,225 392,071
NET ASSETS:
Beginning of Period 481,013 1,048,971 444,335 786,848 3,004 93,229
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,048,971 $2,682,950 $786,848 $1,236,806 $ 93,229 $ 485,300
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 2 $ (2,050) $ 3,056 $ 1,059 $ -- $ (923)
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 24,011 24,783 17,268 16,946 3,253 7,338
In Lieu of Cash Distributions 3,801 4,778 1,661 4,550 -- 412
Shares Redeemed (20,418) (6,959) (9,185) (6,694) (715) (1,993)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class
Shares Outstanding 7,394 22,602 9,744 14,802 2,538 5,757
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued -- -- 324 496 -- --
In Lieu of Cash Distributions -- -- 66 104 -- --
Shares Redeemed -- -- (279) (806) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class
Shares Outstanding -- -- 111 (206) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued 7,873 11,847 1,930 1,183 -- --
In Lieu of Cash Distributions 763 1,839 19 238 -- --
Shares Redeemed (1,101) (1,286) (362) (374) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class
Shares Outstanding 7,535 12,400 1,587 1,047 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131
<PAGE> 134
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
DOMESTIC
FIXED FIXED HIGH
INCOME INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Year Ended Ended Year Ended Ended Year Ended Ended
September 30, March 31, September 30, March 31, September 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net Investment Income
(Loss) $ 314,624 $ 152,270 $ 9,280 $ 6,123 $ 87,828 $ 49,727
Realized Net Gain (Loss) (123,134) (70,016) (5,139) (2,300) (8,975) 3,292
Change in Unrealized
Appreciation
(Depreciation) (176,179) (3,195) (6,558) (2,402) (6,643) (19,805)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations 15,311 79,059 (2,417) 1,421 72,210 33,214
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (273,978) (153,429) (6,519) (5,790) (75,740) (52,672)
Realized Net Gain -- -- -- -- (3,816) --
In Excess of Realized
Net Gain (112,821) -- (2,430) -- (13,719) --
INVESTMENT CLASS:
Net Investment Income (2,372) (1,472) -- -- (674) (331)
Realized Net Gain -- -- -- -- (37) --
In Excess of Realized
Net Gain (1,138) -- -- -- (131) --
ADVISER CLASS +:
Net Investment Income (7,874) (4,967) (21) (37) (1,019) (891)
Realized Net Gain -- -- -- -- (40) --
In Excess of Realized
Net Gain (3,280) -- -- -- (145) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (401,463) (159,868) (8,970) (5,827) (95,321) (53,894)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
(1)
INSTITUTIONAL CLASS:
Issued 958,460 426,275 152,307 11,553 564,421 266,034
In Lieu of Cash
Distributions 349,941 135,413 8,513 5,641 64,229 35,894
Redeemed (1,222,480) (431,592) (35,643) (25,283) (371,320) (232,039)
INVESTMENT CLASS:
Issued 24,497 11,364 -- -- 5,963 2,557
In Lieu of Cash
Distributions 2,637 1,146 -- -- 799 331
Redeemed (33,777) (4,933) -- -- (10,904) (1,585)
ADVISER CLASS +:
Issued 38,314 26,419 1,807 791 28,455 14,610
In Lieu of Cash
Distributions 8,285 3,750 21 37 1,072 778
Redeemed (25,174) (26,831) (608) (682) (25,988) (9,069)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) from
Capital Share
Transactions 100,703 141,011 126,397 (7,943) 256,727 77,511
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (285,449) 60,202 115,010 (12,349) 233,616 56,831
NET ASSETS:
Beginning of Period 4,805,262 4,519,813 76,042 191,052 724,608 958,224
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $4,519,813 $4,580,015 $191,052 $178,703 $958,224 $1,015,055
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net
investment income
(loss) included in end
of period net assets $ 82,491 $ 74,893 $ 2,949 $ 3,245 $ 29,048 $ 24,881
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and
Redeemed
INSTITUTIONAL CLASS:
Shares Issued 82,479 38,845 13,812 1,120 62,967 30,702
In Lieu of Cash
Distributions 30,023 12,356 784 549 7,249 4,170
Shares Redeemed (105,699) (39,139) (3,266) (2,437) (41,499) (26,779)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in
Institutional Class
Shares Outstanding 6,803 12,062 11,330 (768) 28,717 8,093
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 2,128 1,029 -- -- 671 296
In Lieu of Cash
Distributions 225 105 -- -- 90 38
Shares Redeemed (2,881) (448) -- -- (1,210) (179)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in
Investment Class
Shares Outstanding (528) 686 -- -- (449) 155
- ---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS +:
Shares Issued 3,302 2,412 167 77 3,188 1,683
In Lieu of Cash
Distributions 710 342 2 4 120 90
Shares Redeemed (2,166) (2,443) (56) (67) (2,883) (1,050)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in
Adviser Class
Shares Outstanding 1,846 311 113 14 425 723
- ---------------------------------------------------------------------------------------------------------------------------------
</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.
- --------------------------------------------------------------------------------
132
<PAGE> 135
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
CASH FIXED LIMITED
RESERVES INCOME II DURATION
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 8,354 $ 3,517 $ 24,833 $ 12,480 $ 12,979 $ 4,968
Realized Net Gain (Loss) 12 -- (9,479) (5,297) (2,453) (561)
Change in Unrealized
Appreciation (Depreciation) -- -- (18,047) (2,634) (3,219) (1,408)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 8,366 3,517 (2,693) 4,549 7,307 2,999
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (8,350) (3,492) (23,025) (12,501) (15,085) (4,978)
Realized Net Gain -- -- -- -- -- --
In Excess of Realized Net
Gain -- -- (9,302) -- -- --
INVESTMENT CLASS+:
Net Investment Income (4) (25) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (8,354) (3,517) (32,327) (12,501) (15,085) (4,978)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 501,605 191,183 47,254 9,288 31,868 15,317
In Lieu of Cash Distributions 7,429 3,276 28,219 11,483 13,707 4,442
Redeemed (520,765) (227,982) (99,483) (52,514) (128,970) (29,717)
INVESTMENT CLASS+:
Issued 1,370 4,201 -- -- -- --
In Lieu of Cash Distributions 4 25 -- -- -- --
Redeemed (454) (4,145) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (10,811) (33,442) (24,010) (31,743) (83,395) (9,958)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (10,799) (33,442) (59,030) (39,695) (91,173) (11,937)
NET ASSETS:
Beginning of Period 168,228 157,429 443,923 384,893 252,711 161,538
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $157,429 $123,987 $384,893 $345,198 $161,538 $149,601
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ -- $ -- $ 6,422 $ 6,401 $ 353 $ 343
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 501,607 191,182 4,326 892 3,088 1,514
In Lieu of Cash Distributions 7,429 3,276 2,531 1,098 1,331 440
Shares Redeemed (520,764) (227,982) (9,004) (4,997) (12,522) (2,931)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class
Shares Outstanding (11,728) (33,524) (2,147) (3,007) (8,103) (977)
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS+:
Shares Issued 1,370 4,201 -- -- -- --
In Lieu of Cash Distributions 4 25 -- -- -- --
Shares Redeemed (455) (4,145) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class
Shares Outstanding 919 81 -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
+ The Cash Reserves Portfolio began offering Investment Class
shares on August 16, 1999.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
133
<PAGE> 136
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
SPECIAL
PURPOSE GLOBAL
FIXED INCOME MUNICIPAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 32,201 $ 14,745 $ 5,221 $ 3,312 $ 3,217 $ 1,368
Realized Net Gain (Loss) (14,050) (6,374) 1,657 (2,080) 2,461 (2,819)
Change in Unrealized
Appreciation (Depreciation) (14,975) (1,102) (7,350) 1,200 (5,503) 268
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 3,176 7,269 (472) 2,432 175 (1,183)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (30,952) (14,178) (5,526) (3,196) (2,797) (2,301)
Realized Net Gain (1,670) -- -- (680) (1,208) (1,663)
In Excess of Realized Net
Gain (13,202) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (45,824) (14,178) (5,526) (3,876) (4,005) (3,964)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 102,595 25,008 52,900 30,233 17,920 3,857
Issued due to
Reorganization--Note L -- -- 22,605 -- -- --
In Lieu of Cash Distributions 41,048 12,803 3,164 2,162 3,545 3,608
Redeemed (193,590) (79,612) (33,036) (15,665) (25,410) (20,825)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (49,947) (41,801) 45,633 16,730 (3,945) (13,360)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (92,595) (48,710) 39,635 15,286 (7,775) (18,507)
NET ASSETS:
Beginning of Period 552,269 459,674 82,282 121,917 71,834 64,059
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $459,674 $410,964 $121,917 $137,203 $ 64,059 $ 45,552
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ 7,327 $ 7,894 $ 12 $ 128 $ 1,121 $ 188
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 8,853 2,239 4,439 2,713 1,705 391
Shares Issued due to
Reorganization--Note L -- -- 1,898 -- -- --
In Lieu of Cash Distributions 3,506 1,159 268 194 327 373
Shares Redeemed (16,558) (7,108) (2,782) (1,398) (2,397) (2,151)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class
Shares Outstanding (4,199) (3,710) 3,823 1,509 (365) (1,387)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
134
<PAGE> 137
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
INTER-
NATIONAL INTERMEDIATE MULTI-MARKET
FIXED INCOME DURATION FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended Six Months Year Ended Six Months Year Ended Six Months
September Ended September Ended September Ended
30, March 31, 30, March 31, 30, March 31,
(In Thousands) 1999 2000 1999 2000 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 4,790 $ 2,580 $ 5,821 $ 2,044 $ 6,661 $ 3,641
Realized Net Gain (Loss) 3,686 (3,343) (2,436) (847) (1,192) (443)
Change in Unrealized
Appreciation (Depreciation) (9,698) (3,271) (2,824) (687) (3,213) (411)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations (1,222) (4,034) 561 510 2,256 2,787
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (3,664) (3,477) (6,864) (1,620) (6,324) (3,437)
In Excess of Net Investment
Income (786) -- -- -- -- --
Realized Net Gain (2,919) (2,174) -- -- -- --
In Excess of Realized Net
Gain -- -- (2,363) -- -- --
INVESTMENT CLASS +:
Net Investment Income -- -- (127) (374) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (7,369) (5,651) (9,354) (1,994) (6,324) (3,437)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 40,078 16,429 9,931 2,897 8,691 61
In Lieu of Cash Distributions 6,680 5,076 6,347 1,475 3,908 1,406
Redeemed (62,499) (25,551) (73,849) (12,006) (4,287) (7,046)
INVESTMENT CLASS +:
Issued -- -- 9,163 2,900 -- --
In Lieu of Cash Distributions -- -- 127 373 -- --
Redeemed -- -- -- (1,176) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions (15,741) (4,046) (48,281) (5,537) 8,312 (5,579)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (24,332) (13,731) (57,074) (7,021) 4,244 (6,229)
NET ASSETS:
Beginning of Period 150,313 125,981 116,891 59,817 97,062 101,306
- ---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $125,981 $112,250 $59,817 $52,796 $101,306 $95,077
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment
income (loss) included in end
of period net assets $ (785) $ (1,682) $ 135 $ 185 $ 1,742 $ 1,946
- ---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 3,925 1,671 975 303 913 7
In Lieu of Cash Distributions 622 532 626 153 405 151
Shares Redeemed (6,082) (2,677) (7,376) (1,253) (452) (751)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class
Shares Outstanding (1,535) (474) (5,775) (797) 866 (593)
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS +:
Shares Issued -- -- 939 298 -- --
In Lieu of Cash Distributions -- -- 13 39 -- --
Redeemed -- -- -- (123) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class
Shares Outstanding -- -- 952 214 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
+ The Intermediate Duration Portfolio began offering Investment Class shares on
August 16, 1999.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
135
<PAGE> 138
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
-----------------------------------------------------------------
MULTI-ASSET-
BALANCED CLASS
PORTFOLIO PORTFOLIO
-----------------------------------------------------------------
Year Ended Six Months Year Ended Six Months
September Ended September Ended
30, March 31, 30, March 31,
(In Thousands) 1999 2000 1999 2000
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ 13,987 $ 6,292 $ 5,054 $ 2,401
Realized Net Gain (Loss) 47,459 11,763 17,846 9,467
Change in Unrealized Appreciation (Depreciation) 9,204 40,327 7,066 10,548
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 70,650 58,382 29,966 22,416
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (12,193) (6,943) (4,601) (2,846)
Realized Net Gain (38,112) (46,224) (13,405) (17,099)
INVESTMENT CLASS:
Net Investment Income (12) (4) (189) (128)
Realized Net Gain (45) (29) (506) (783)
ADVISER CLASS:
Net Investment Income (781) (570) -- --
Realized Net Gain (2,479) (4,099) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions (53,622) (57,869) (18,701) (20,856)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 71,797 16,198 13,772 10,473
In Lieu of Cash Distributions 50,242 53,103 16,513 18,785
Redeemed (178,690) (40,190) (53,340) (23,054)
INVESTMENT CLASS:
Issued 259 8,653 119 52
In Lieu of Cash Distributions 58 32 695 912
Redeemed (584) (547) (188) (1,974)
ADVISER CLASS:
Issued 4,775 4,446 -- --
In Lieu of Cash Distributions 3,259 4,670 -- --
Redeemed (4,278) (4,777) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share
Transactions (53,162) 41,588 (22,429) 5,194
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (36,134) 42,101 (11,164) 6,754
NET ASSETS:
Beginning of Period 407,438 371,304 171,272 160,108
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $371,304 $413,405 $160,108 $166,862
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed net investment income (loss) included in
end of period net assets $ 3,741 $ 2,516 $ 2,087 $ 1,514
- ------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 5,144 1,211 1,097 851
In Lieu of Cash Distributions 3,808 4,160 1,394 1,588
Shares Redeemed (12,652) (2,969) (4,252) (1,906)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Institutional Class Shares
Outstanding (3,700) 2,402 (1,761) 533
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 19 663 10 4
In Lieu of Cash Distributions 4 2 58 77
Shares Redeemed (41) (41) (15) (162)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Investment Class Shares
Outstanding (18) 624 53 (81)
- ------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued 341 333 -- --
In Lieu of Cash Distributions 247 367 -- --
Shares Redeemed (306) (360) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Adviser Class Shares
Outstanding 282 340 -- --
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
136
<PAGE> 139
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
VALUE PORTFOLIO -------------------------------------------------------------- 2000
1995 1996 1997! 1998 1999!
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.63 $ 14.89 $ 15.61 $ 20.37 $ 15.16 $ 13.59
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.30 0.34 0.34 0.21 0.10
Net Realized and Unrealized Gain (Loss)
on Investments 3.34 2.20 5.75 (3.38) 1.11 0.24
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.65 2.50 6.09 (3.04) 1.32 0.34
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.31) (0.32) (0.30) (0.36) (0.28) (0.10)
Realized Net Gain (1.08) (1.46) (1.03) (1.81) (2.61) (1.66)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.39) (1.78) (1.33) (2.17) (2.89) (1.76)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.89 $ 15.61 $ 20.37 $ 15.16 $ 13.59 $ 12.17
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 32.58% 18.41% 41.25% (16.41%) 8.30% 3.12%
- ---------------------------------------------------------------------------------------------------------------------------------
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 $ 741,992
Ratio of Expenses to Average Net Assets
(1) 0.60% 0.61% 0.62% 0.60% 0.63% 0.62%*
Ratio of Net Investment Income to
Average Net Assets 2.43% 2.07% 1.93% 1.76% 1.38% 1.40%*
Portfolio Turnover Rate 56% 53% 46% 56% 53% 22%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.61%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
---------------------------------------------------------
May 6, Six Months
1996** to Year Ended September 30, Ended
September 30, ---------------------- March 31,
1996 1997! 1998 1999! 2000
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 14.97 $ 15.60 $ 20.36 $15.15 $13.58
- -------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.12 0.31 0.31 0.19 0.08
Net Realized and Unrealized
Gain (Loss) on Investments 0.59 5.75 (3.38) 1.12 0.25
- -------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 6.06 (3.07) 1.31 0.33
- -------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.33) (0.27) (0.09)
Realized Net Gain -- (1.03) (1.81) (2.61) (1.66)
- -------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.08) (1.30) (2.14) (2.88) (1.75)
- -------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.60 $ 20.36 $ 15.15 $13.58 $12.16
- -------------------------------------------------------------------------------------------
TOTAL RETURN 4.78% 41.01% (16.55%) 8.20% 3.00%
- -------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 9,244 $29,847 $ 24,527 $9,673 $7,289
Ratio of Expenses to Average
Net Assets (2) 0.76%* 0.80% 0.75% 0.78% 0.77%*
Ratio of Net Investment Income
to Average Net Assets 2.05%* 1.75% 1.62% 1.25% 1.25%*
Portfolio Turnover Rate 53% 46% 56% 53% 22%
- -------------------------------------------------------------------------------------
(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
Ratio Including Expense
Offsets 0.75%* 0.79% 0.74% 0.77% 0.77%*
- -------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
------------------------------------------------------------
July 17, Six Months
1996*** to Year Ended September 30, Ended
September 30, --------------------------- March 31,
1996 1997! 1998 1999! 2000
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 14.11 $ 15.61 $ 20.35 $ 15.13 $ 13.57
- ------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.30 0.29 0.17 0.06
Net Realized and Unrealized
Gain (Loss) on Investments 1.49 5.74 (3.38) 1.12 0.26
- ------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.50 6.04 (3.09) 1.29 0.32
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.27) (0.32) (0.24) (0.08)
Realized Net Gain -- (1.03) (1.81) (2.61) (1.66)
- ------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.30) (2.13) (2.85) (1.74)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.61 $ 20.35 $ 15.13 $ 13.57 $ 12.15
- ------------------------------------------------------------------------------------------------
TOTAL RETURN 10.63% 40.87% (16.66%) 8.10% 2.89%
- ------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 15,493 $201,253 $325,272 $254,483 $ 206,819
Ratio of Expenses to Average
Net Assets (2) 0.86%* 0.90% 0.85% 0.88% 0.87%*
Ratio of Net Investment Income
to Average Net Assets 1.66%* 1.63% 1.52% 1.10% 1.14%*
Portfolio Turnover Rate 53% 46% 56% 53% 22%
- ------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON
THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to
Expense Reimbursement/
Waiver N/A N/A N/A N/A N/A
Ratio Including Expense
Offsets 0.85%* 0.89% 0.84% 0.87% 0.86%*
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
137
<PAGE> 140
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
EQUITY PORTFOLIO ---------------------------------------------------------- March 31,
1995 1996 1997 1998 1999 2000
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.05 $ 24.43 $ 25.67 $ 29.45 $ 20.44 $ 19.82
- ----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.50 0.36 0.24 0.14 0.02
Net Realized and Unrealized Gain (Loss) on
Investments 4.55 3.26 8.22 (1.04) 5.24 4.54
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 5.07 3.76 8.58 (0.80) 5.38 4.56
- ----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.52) (0.50) (0.40) (0.28) (0.17) (0.04)
Realized Net Gain (1.17) (2.02) (4.40) (7.93) (5.83) (6.07)
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.69) (2.52) (4.80) (8.21) (6.00) (6.11)
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 24.43 $ 25.67 $ 29.45 $ 20.44 $ 19.82 $ 18.27
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 26.15% 16.48% 38.46% (2.66%) 30.15% 26.59%
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,597,632 $1,442,261 $1,312,547 $872,662 $635,593 $ 744,282
Ratio of Expenses to Average Net Assets (1) 0.61% 0.60% 0.60% 0.61% 0.62% 0.61%*
Ratio of Net Investment Income to Average
Net Assets 2.39% 1.95% 1.30% 0.94% 0.64% 0.18%*
Portfolio Turnover Rate 67% 67% 85% 77% 103% 117%
- ----------------------------------------------------------------------------------------------------------------------------
(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% 0.60%*
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
--------------------------------------------------------
April 10, Year Ended September 30, Six Months
1996** to ---------------------- Ended
September 30, 1997 1998 1999 March 31,
1996 2000
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 24.31 $ 25.66 $ 29.42 $ 20.42 $ 19.80
- ------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.22 0.34 0.20 0.07 0.02
Net Realized and Unrealized Gain (Loss) on
Investments 1.24 8.17 (1.03) 5.27 4.53
- ------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.46 8.51 (0.83) 5.34 4.55
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.35) (0.24) (0.13) (0.02)
Realized Net Gain -- (4.40) (7.93) (5.83) (6.07)
- ------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (4.75) (8.17) (5.96) (6.09)
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 25.66 $ 29.42 $ 20.42 $ 19.80 $ 18.26
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN 6.02% 38.12% (2.78%) 29.92% 26.47%
- ------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 113 $ 2,354 $ 2,029 $ 986 $ 1,128
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.80% 0.76% 0.77% 0.76%*
Ratio of Net Investment Income to Average
Net Assets 1.83%* 1.12% 0.78% 0.52% 0.03%*
Portfolio Turnover Rate 67% 85% 77% 103% 117%
- ------------------------------------------------------------------------------------------------------------
(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 0.02%
Ratio Including Expense Offsets 0.75%* 0.80% 0.74% 0.75% 0.75%*
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
-----------------------------------------
January 16, Year Six months
1998*** to Ended Ended
September 30, September 30, March 31,
1998 1999 2000
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.50 $ 20.42 $ 19.79
- -----------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.11 (0.05)
Net Realized and Unrealized Gain (Loss) on
Investments (0.09) 5.21 4.58
- -----------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.01 5.32 4.53
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.09) (0.12) (0.02)
Realized Net Gain -- (5.83) (6.07)
- -----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.09) (5.95) (6.09)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.42 $ 19.79 $ 18.23
- -----------------------------------------------------------------------------------------
TOTAL RETURN (0.02%) 29.80% 26.44%
- -----------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 373 $ 2,123 $ 3,512
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.87% 0.87%*
Ratio of Net Investment Income to Average
Net Assets 0.65%* 0.34% (0.09%)*
Portfolio Turnover Rate 77% 103% 117%
- -----------------------------------------------------------------------------------------
(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
Ratio Including Expense Offsets 0.82%* 0.85% 0.86%*
- -----------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138
<PAGE> 141
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
SMALL CAP VALUE PORTFOLIO ---------------------------------------------------- March 31,
1995 1996 1997 1998 1999! 2000!
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.67 $ 18.28 $ 19.64 $ 24.97 $ 17.37 $ 18.62
- --------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.19 0.18 0.15 0.16 0.13 0.04
Net Realized and Unrealized Gain (Loss) on
Investments 2.49 3.62 8.39 (4.33) 3.65 6.07
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.68 3.80 8.54 (4.17) 3.78 6.11
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.14) (0.20) (0.11) (0.14) (0.07) (0.14)
Realized Net Gain (1.93) (2.24) (3.10) (3.29) (2.46) (1.40)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.07) (2.44) (3.21) (3.43) (2.53) (1.54)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.28 $ 19.64 $ 24.97 $ 17.37 $ 18.62 $ 23.19
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.39% 24.00% 49.81% (18.34%) 23.83% 34.85%
- --------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $430,368 $585,457 $897,396 $716,729 $897,629 $1,372,387
Ratio of Expenses to Average Net Assets (1) 0.87% 0.86% 0.86% 0.86% 0.86% 0.85%*
Ratio of Net Investment Income to Average Net
Assets 1.20% 0.99% 0.70% 0.71% 0.70% 0.42%*
Portfolio Turnover Rate 119% 145% 107% 163% 251% 102%
- --------------------------------------------------------------------------------------------------------------------------
(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% 0.85%*
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
--------------------------
January 22, Six Months
1999**, to Ended
September 30, March 31,
1999! 2000!
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.32 $ 18.62
- ---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.06 0.01
Net Realized and Unrealized Gain (Loss) on Investments 1.24 6.08
- ---------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 6.09
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.12)
Realized Net Gain -- (1.40)
- ---------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.52)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.62 $ 23.19
- ---------------------------------------------------------------------------------------------
TOTAL RETURN 7.51% 34.73%
- ---------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 16,117 $ 38,508
Ratio of Expenses to Average Net Assets (2) 1.11%* 1.11%*
Ratio of Net Investment Income to Average Net Assets 0.45%* 0.13%*
Portfolio Turnover Rate 251% 102%
- ---------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 1.10%* 1.10%*
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
139
<PAGE> 142
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-----------------------------------------------------------------
Six Months
Year Ended September 30, Ended
MID CAP GROWTH PORTFOLIO ---------------------------------------------------- March 31,
1995 1996 1997 1998 1999 2000
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET VALUE, BEGINNING OF PERIOD $ 16.29 $ 18.60 $ 20.53 $ 21.84 $ 18.62 $ 25.77
- --------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.01 (0.01) (0.03) (0.01) (0.02)
Net Realized and Unrealized Gain (Loss) on
Investments 4.21 4.70 4.75 0.24 10.65 14.02
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.24 4.71 4.74 0.21 10.64 14.00
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.03) (0.03) -- -- (0.00)!! --
Realized Net Gain (1.90) (2.75) (3.43) (3.43) (3.49) (4.27)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (1.93) (2.78) (3.43) (3.43) (3.49) (4.27)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.60 $ 20.53 $ 21.84 $ 18.62 $ 25.77 $ 35.50
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 30.56% 28.81% 28.05% 2.00% 64.27% 57.84%
- --------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $373,547 $403,281 $446,963 $429,955 $785,659 $1,884,646
Ratio of Expenses to Average Net Assets (1) 0.61% 0.60% 0.63% 0.62% 0.62% 0.61%*
Ratio of Net Investment Income to Average Net
Assets 0.21% 0.04% (0.07%) (0.13%) (0.07%) (0.16%)*
Portfolio Turnover Rate 129% 141% 134% 172% 208% 108%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.60%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
!! Amount is less than $0.01 per share.
</TABLE>
<TABLE>
<CAPTION>
Adviser Class
-----------------------------------------------
January 31, Year Ended Six Months
1997** to September 30, Ended
September 30, ------------------ March 31,
1997 1998 1999 2000
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.04 $ 21.81 $ 18.55 $ 25.59
- -----------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) (0.03) (0.05) (0.03)
Net Realized and Unrealized Gain (Loss) on Investments 4.79 0.20 10.58 13.90
- -----------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 4.77 0.17 10.53 13.87
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Realized Net Gain -- (3.43) (3.49) (4.27)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 21.81 $ 18.55 $ 25.59 $ 35.19
- -----------------------------------------------------------------------------------------------------------------
TOTAL RETURN 27.99% 1.79% 63.87% 57.68%
- -----------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,200 $51,058 $263,312 $ 798,304
Ratio of Expenses to Average Net Assets (2) 0.88%* 0.87% 0.88% 0.86%*
Ratio of Net Investment Income to Average Net Assets (0.41%)* (0.25%) (0.31%) (0.41%)*
Portfolio Turnover Rate 134% 172% 208% 108%
- -----------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.86%* 0.84% 0.86% 0.85%*
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
140
<PAGE> 143
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------------------
December 30, Six Months
1994** to Year Ended September 30, Ended
September 30, ---------------------------------------- March 31,
MID CAP VALUE PORTFOLIO 1995 1996 1997! 1998! 1999! 2000!
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 13.45 $ 14.49 $ 21.80 $ 18.12 $ 21.88
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.55= 0.11 0.05 0.08 0.12 0.03
Net Realized and Unrealized Gain (Loss) on
Investments 2.90 2.52 8.37 (1.53) 5.01 4.70
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 3.45 2.63 8.42 (1.45) 5.13 4.73
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.55) (0.10) (0.04) (0.06) (0.08)
Realized Net Gain -- (1.04) (1.01) (2.19) (1.31) (2.57)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.59) (1.11) (2.23) (1.37) (2.65)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.45 $ 14.49 $ 21.80 $ 18.12 $ 21.88 $ 23.96
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 34.50% 22.30% 61.40% (6.92%) 29.44% 23.79%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,507 $50,449 $220,260 $420,555 $721,015 $1,144,505
Ratio of Expenses to Average Net Assets (1) 0.93%* 0.88% 0.90% 0.90% 0.87% 0.85%*
Ratio of Net Investment Income to Average
Net Assets 10.13%*= 1.61% 0.28% 0.40% 0.57% 0.23%*
Portfolio Turnover Rate 639%= 377% 184% 213% 244% 135%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.88%* 0.88% 0.88% 0.88% 0.86% 0.85%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Commencement of Operations
= Net Investment Income, the Ratio of Net Investment Income to
Average Net Assets and the Portfolio Turnover Rate reflect
activity relating to a nonrecurring initiative to invest in
higher-paying dividend income producing securities.
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------------------------------
May 10, Year Ended September 30, Six Months
1996*** to ---------------------------- Ended
September 30, 1997! 1998! 1999! March 31,
1996! 2000!
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.77 $ 14.48 $ 21.75 $ 18.05 $ 21.80
- --------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.01 0.05 0.09 0.01
Net Realized and Unrealized Gain (Loss)
on Investments 0.67 8.36 (1.53) 5.00 4.69
- --------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.71 8.37 (1.48) 5.09 4.70
- --------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.09) (0.03) (0.03) (0.04)
Realized Net Gain -- (1.01) (2.19) (1.31) (2.57)
- --------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.10) (2.22) (1.34) (2.61)
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 14.48 $ 21.75 $ 18.05 $ 21.80 $ 23.89
- --------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.16% 61.05% (7.08%) 29.30% 23.71%
- --------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 127 $ 1,238 $ 18,861 $ 25,197 $ 22,700
Ratio of Expenses to Average Net Assets
(2) 1.03%* 1.09% 1.05% 1.02% 1.00%*
Ratio of Net Investment Income to Average
Net Assets 0.86%* 0.04% 0.25% 0.42% 0.11%*
Portfolio Turnover Rate 377% 184% 213% 244% 135%
- ------------------------------------------------------------------------------------------ --------------------
(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
Ratio Including Expense Offsets 1.03%* 1.07% 1.03% 1.01% 1.00%*
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
July 17, Six Months
1998**** to Year Ended Ended
September 30, September 30, March 31,
1998! 1999! 2000!
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.82 $ 18.12 $ 21.86
- ---------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.01 0.07 0.00!!
Net Realized and Unrealized Gain (Loss)
on Investments (3.71) 5.01 4.70
- ---------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (3.70) 5.08 4.70
- ---------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income -- (0.03) (0.04)
Realized Net Gain -- (1.31) (2.57)
- ---------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS -- (1.34) (2.61)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 18.12 $ 21.86 $ 23.95
- ------------------------------------------------------------------------------------------------
TOTAL RETURN (16.96%) 29.12% 23.65%
- ------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 4,919 $ 40,636 $ 69,601
Ratio of Expenses to Average Net Assets
(2) 1.12% 1.11%*
Ratio of Net Investment Income to Average 1.24%*
Net Assets 0.25%* 0.33% (0.04%)*
Portfolio Turnover Rate 213% 244% 135%
- ------------------------------------------------------------------------------------------------
(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
Ratio Including Expense Offsets 1.17%* 1.11% 1.10%*
- ---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
*** Initial offering of Investment Class shares
**** Initial offering of Adviser Class shares
!! Amount is less than $0.01 per share.
- ------------------------------------------------------------------
* Annualized
! Per share amounts are based upon average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
141
<PAGE> 144
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------
June 30, Year Six Months
1998** to Ended Ended
September 30, September 30, March 31,
SMALL CAP GROWTH PORTFOLIO 1998 1999! 2000
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 8.57 $ 32.28
- ---------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.01) (0.13) (0.11)
Net Realized and Unrealized Gain (Loss) on Investments (1.42) 23.84 28.36
- ---------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (1.43) 23.71 28.25
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Realized Net Gain -- -- (4.40)
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.57 $ 32.28 $ 56.13
- ---------------------------------------------------------------------------------------------------------------
TOTAL RETURN (14.30%) 276.66% 91.13%
- ---------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,004 $ 93,229 $485,300
Ratio of Expenses to Average Net Assets (1) 1.16%* 1.18% 1.14%*
Ratio of Net Investment Income (Loss) to Average Net
Assets (0.46%)* (0.50%) (0.63%)*
Portfolio Turnover Rate 67% 300% 113%
- ---------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 3.67%* 0.15% N/A
Ratio Including Expense Offsets 1.15%* 1.15% 1.13%*
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
142
<PAGE> 145
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
FIXED INCOME PORTFOLIO
Institutional Class
Year Ended September 30,
--------------------------------------
1995 1996
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.93 $ 11.82
- --------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.80 0.78
Net Realized and Unrealized Gain (Loss) on Investments 0.69 0.08
- --------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.49 0.86
- --------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.79)
Realized Net Gain -- (0.06)
In Excess of Realized Net Gain -- --
- --------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.60) (0.85)
- --------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.82 $ 11.83
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.19% 7.63%
- --------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $1,487,409 $1,790,146
Ratio of Expenses to Average Net Assets (1) 0.49% 0.48%
Ratio of Net Investment Income to Average Net Assets 7.28% 6.77%
Portfolio Turnover Rate 140% 162%
- --------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.48% 0.48%
- --------------------------------------------------------------------------------------------------------
<CAPTION>
FIXED INCOME PORTFOLIO
Institutional Class
Year Ended September 30,
------------------------------------------------------------
1997! 1998! 1999!
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.83 $ 12.22 $ 12.22
- --------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.80 0.78 0.77
Net Realized and Unrealized Gain (Loss) on Investments 0.50 0.14 (0.72)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 0.92 0.05
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.78) (0.75) (0.71)
Realized Net Gain (0.13) (0.17) --
In Excess of Realized Net Gain -- -- (0.30)
- --------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.91) (0.92) (1.01)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.22 $ 11.26
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.47% 7.90% 0.33%
- -------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,219,987 $4,625,015 $4,338,939
Ratio of Expenses to Average Net Assets (1) 0.49% 0.48% 0.48%
Ratio of Net Investment Income to Average Net Assets 6.73% 6.49% 6.62%
Portfolio Turnover Rate 179% 121% 103%
- -------------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.48% 0.47% 0.47%
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FIXED INCOME PORTFOLIO
Institutional Class
-------------------
Six Months
Ended
March 31,
2000
- ------------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.26
- ------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.38
Net Realized and Unrealized Gain (Loss) on Investments (0.19)
- ------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.19
- ------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40)
Realized Net Gain --
In Excess of Realized Net Gain --
- ------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.40)
- ------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.05
- ------------------------------------------------------------------------
TOTAL RETURN 1.75%
- ------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $4,391,593
Ratio of Expenses to Average Net Assets (1) 0.47%*
Ratio of Net Investment Income to Average Net Assets 6.77%*
Portfolio Turnover Rate 34%
- ------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.47%*
- ------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
------------------------------------------------
October 15, Year Ended Six Months
1996** to September 30, Ended
September 30, ------------- March 31,
1997! 1998! 1999! 2000
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.80 $ 12.22 $ 12.22 $ 11.27
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.75 0.76 0.76 0.36
Net Realized and Unrealized Gain (Loss) on
Investments 0.40 0.14 (0.72) (0.18)
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 0.90 0.04 0.18
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.60) (0.73) (0.69) (0.40)
Realized Net Gain (0.13) (0.17) -- --
In Excess of Realized Net Gain -- -- (0.30) --
- ----------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.73) (0.90) (0.99) (0.40)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.22 $ 11.27 $ 11.05
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 10.07% 7.72% 0.24% 1.62%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 9,527 $48,944 $39,165 $ 46,006
Ratio of Expenses to Average Net Assets (2) 0.66%* 0.63% 0.63% 0.62%*
Ratio of Net Investment Income to Average
Net Assets 6.57%* 6.31% 6.50% 6.61%*
Portfolio Turnover Rate 179% 121% 103% 34%
- -----------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.65%* 0.62% 0.62% 0.62%*
- -----------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
-------------------------------------------------------------------
November 7, Year Ended Year Ended Six Months
1996*** to September 30, September 30, Ended
September 30, ------------- ------------- March 31,
1997! 1998! 1999! 2000
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.04 $ 12.22 $ 12.23 $ 11.26
- ------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.70 0.75 0.74 0.36
Net Realized and Unrealized Gain (Loss) on
Investments 0.20 0.14 (0.72) (0.19)
- ------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.90 0.89 0.02 0.17
- ------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.59) (0.71) (0.69) (0.39)
Realized Net Gain (0.13) (0.17) -- --
In Excess of Realized Net Gain -- -- (0.30) --
- ------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.72) (0.88) (0.99) (0.39)
- ------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.22 $ 12.23 $ 11.26 $ 11.04
- ------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.79% 7.63% 0.07% 1.60%
- ------------------------------------------------------------------------------------------------------------------
$ 76,683 $131,303 $141,709 $ 142,416
RATIOS AND SUPPLEMENTAL DATA 0.77%* 0.73% 0.73% 0.72%*
Net Assets, End of Period (Thousands)
Ratio of Expenses to Average Net Assets (2)
Ratio of Net Investment Income to Average
Net Assets 6.50%* 6.22% 6.38% 6.52%*
Portfolio Turnover Rate 179% 121% 103% 34%
- ------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver 0.01%* N/A N/A N/A
Ratio Including Expense Offsets 0.76%* 0.72% 0.72% 0.72%*
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
143
<PAGE> 146
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
Six Months
Ended
Year Ended September 30, March 31,
DOMESTIC FIXED INCOME PORTFOLIO ------------------------------------------------ 2000
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.87 $ 11.03 $ 10.89 $ 11.27 $ 11.40 $ 10.55
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.52 0.56 0.74 0.73 0.71 0.36
Net Realized and Unrealized Gain (Loss) on
Investments 0.87 (0.09) 0.33 0.32 (0.83) (0.29)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.39 0.47 1.07 1.05 (0.12) 0.07
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.23) (0.57) (0.67) (0.79) (0.52) (0.33)
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) (0.33)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.03 $ 10.89 $ 11.27 $ 11.40 $ 10.55 $ 10.29
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.33% 4.41% 10.20% 9.83% (1.12%) 0.72%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,147 $95,362 $96,954 $76,042 $189,860 $ 177,394
Ratio of Expenses to Average Net Assets (1) 0.51% 0.52% 0.51% 0.51% 0.51% 0.50%*
Ratio of Net Investment Income to Average Net Assets 6.80% 5.73% 6.48% 6.32% 6.09% 6.85%*
Portfolio Turnover Rate 313% 168% 217% 145% 115% 40%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.50% 0.50% 0.50% 0.50% 0.49% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ADVISER CLASS
March 1, Six Months
1999** to Ended
September 30, March 31,
1999 2000
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.85 $ 10.53
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.39 0.58
Net Realized and Unrealized Gain (Loss) on Investments (0.43) (0.51)
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS (0.04) 0.07
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.28) (0.33)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 10.27
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN (0.40%) 0.66%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 1,192 $ 1,309
Ratio of Expenses to Average Net Assets (2) 0.75%* 0.76%*
Ratio of Net Investment Income to Average Net Assets 6.73%* 6.61%*
Portfolio Turnover Rate 115% 40%
- ----------------------------------------------------------------------------------------------------
(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 0.74%* 0.76%*
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Adviser Class shares.
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
144
<PAGE> 147
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO Institutional Class
----------------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
-------------------------------------------------------- March 31,
1995 1996 1997! 1998! 1999! 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.97 $ 9.08 $ 9.32 $ 10.15 $ 8.99 $ 8.77
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.90 0.88 0.86 0.85 0.86 0.42
Net Realized and Unrealized Gain (Loss) on
Investments 0.19 0.28 0.87 (0.93) (0.10) (0.13)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.09 1.16 1.73 (0.08) 0.76 0.29
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.85) (0.92) (0.87) (0.82) (0.79) (0.47)
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) (0.47)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.08 $ 9.32 $ 10.15 $ 8.99 $ 8.77 $ 8.59
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.58% 13.83% 19.90% (1.17%) 8.81% 3.38%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $220,785 $289,810 $523,899 $703,110 $937,482 $ 987,193
Ratio of Expenses to Average Net Assets (1) 0.50% 0.49% 0.51% 0.50% 0.49% 0.55%*
Ratio of Net Investment Income to Average
Net Assets 10.68% 10.04% 9.05% 8.74% 9.61% 9.61%*
Portfolio Turnover Rate 96% 115% 96% 75% 45% 20%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.55%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
-----------------------------------------------------------
May 21, Year Ended September 30, Six Months
1996** to --------------------------- Ended
September 30, 1997! 1998! 1999! March 31,
1996 2000
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.06 $ 9.31 $ 10.16 $ 9.00 $ 8.78
- ---------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.31 0.84 0.83 0.85 0.39
Net Realized and Unrealized Gain
(Loss) on Investments 0.16 0.88 (0.93) (0.10) (0.11)
- ---------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.47 1.72 (0.10) 0.75 0.28
- ---------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.22) (0.84) (0.80) (0.78) (0.46)
Realized Net Gain -- (0.03) (0.26) (0.04) --
In Excess of Realized Net Gain -- -- -- (0.15) --
- ---------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.22) (0.87) (1.06) (0.97) (0.46)
- ---------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.31 $ 10.16 $ 9.00 $ 8.78 $ 8.60
- ---------------------------------------------------------------------------------------------------
TOTAL RETURN 5.34% 19.77% (1.37%) 8.67% 3.21%
- ---------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 5,139 $10,916 $11,262 $7,041 $ 8,234
Ratio of Expenses to Average Net
Assets (2) 0.62%* 0.70% 0.65% 0.64% 0.70%*
Ratio of Net Investment Income to
Average Net Assets 11.06%* 8.84% 8.58% 9.50% 9.46%*
Portfolio Turnover Rate 115% 96% 75% 45% 20%
- --------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE
RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A 0.22% N/A N/A N/A
Ratio Including Expense Offsets 0.61%* 0.69% 0.63% 0.63% 0.70%*
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
---------------------------------------------------------------------
January 31, Year Ended Six Months
1997*** to September 30, Ended
September 30, --------------------------- March 31,
1997! 1998! 1999! 2000
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.39 $ 10.15 $ 8.99 $ 8.76
- ------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.83 0.84 0.33
Net Realized and Unrealized Gain
(Loss) on Investments 0.59 (0.93) (0.11) (0.05)
- ------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.15 (0.10) 0.73 0.28
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.39) (0.80) (0.77) (0.46)
Realized Net Gain -- (0.26) (0.04) --
In Excess of Realized Net Gain -- -- (0.15) --
- ------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.39) (1.06) (0.96) (0.46)
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.15 $ 8.99 $ 8.76 $ 8.58
- ------------------------------------------------------------------------------------------------------------
TOTAL RETURN 12.63% (1.37%) 8.44% 3.21%
- ------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period
(Thousands) $ 4,327 $10,236 $13,701 $ 19,628
Ratio of Expenses to Average Net
Assets (2) 0.78%* 0.75% 0.74% 0.80%*
Ratio of Net Investment Income to
Average Net Assets 8.68%* 8.55% 9.29% 9.29%*
Portfolio Turnover Rate 96% 75% 45% 20%
- ------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE
RATIO OF EXPENSES TO AVERAGE NET
ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A N/A N/A N/A
Ratio Including Expense Offsets 0.76%* 0.73% 0.73% 0.80%*
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
145
<PAGE> 148
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
---------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
CASH RESERVES PORTFOLIO ------------------------------------------------- 2000
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.055 0.052 0.052 0.053 0.048 0.028
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.055 0.052 0.052 0.053 0.048 0.028
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.055) (0.052) (0.052) (0.053) (0.048) (0.028)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 5.57% 5.35% 5.32% 5.47% 4.93% 2.74%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $44,624 $78,497 $98,464 $168,228 $156,510 $ 122,987
Ratio of Expenses to Average Net Assets (1) 0.33% 0.33% 0.33% 0.32% 0.33% 0.34%*
Ratio of Net Investment Income to Average Net
Assets 5.45% 5.19% 5.20% 5.33% 4.77% 5.38%*
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.03%*
Ratio Including Expense Offsets 0.32% 0.32% 0.32% 0.32% 0.32% 0.32%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT CLASS
-----------------------------------
August 16, Six Months
1999** to Ended
September 30, March 31,
1999 2000
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.006 0.028
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.006 0.028
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.006) (0.028)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 0.60% 2.67%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 919 $ 1,000
Ratio of Expenses to Average Net Assets (2) 0.48%* 0.49%*
Ratio of Net Investment Income to Average Net Assets 4.83%* 5.27%*
- ----------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction of Ratio due to Expense Reimbursement/Waiver 0.04%* 0.03%*
Ratio Including Expense Offsets 0.47%* 0.47%*
- ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
- -----------------------------------------------------------------
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
146
<PAGE> 149
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Six Months
Ended
Year Ended September 30, March 31,
FIXED INCOME II PORTFOLIO ---------------------------------------------------- 2000
1995 1996 1997 1998 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.42 $ 11.33 $ 11.23 $ 11.46 $ 11.69 $ 10.74
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.71 0.70 0.74 0.61 0.69 0.38
Net Realized and Unrealized Gain (Loss) on
Investments 0.71 (0.03) 0.39 0.40 (0.75) (0.24)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.42 0.67 1.13 1.01 (0.06) 0.14
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.51) (0.66) (0.79) (0.66) (0.63) (0.36)
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) (0.36)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.33 $ 11.23 $ 11.46 $ 11.69 $ 10.74 $ 10.52
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.13% 6.12% 10.58% 9.23% (0.57%) 1.34%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $176,945 $191,740 $226,662 $443,923 $384,893 $ 345,198
Ratio of Expenses to Average Net Assets (1) 0.51% 0.50% 0.50% 0.50% 0.48% 0.49%*
Ratio of Net Investment Income to Average Net
Assets 6.75% 6.06% 6.54% 6.19% 6.20% 6.86%*
Portfolio Turnover Rate 153% 165% 182% 92% 106% 32%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.48%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
147
<PAGE> 150
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Year Ended September 30, Six Months
---------------------------------------------------- Ended
March 31,
LIMITED DURATION PORTFOLIO 1995 1996 1997 1998 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.19 $ 10.41 $ 10.38 $ 10.49 $ 10.54 $ 10.18
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.58 0.62 0.59 0.68 0.33
Net Realized and Unrealized Gain (Loss) on
Investments 0.22 (0.03) 0.08 0.03 (0.31) (0.14)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.78 0.55 0.70 0.62 0.37 0.19
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.55) (0.58) (0.59) (0.57) (0.73) (0.33)
In Excess of Realized Net Gain (0.01) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.56) (0.58) (0.59) (0.57) (0.73) (0.33)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.41 $ 10.38 $ 10.49 $ 10.54 $ 10.18 $ 10.04
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 7.95% 5.47% 6.98% 6.13% 3.61% 1.89%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $100,186 $123,227 $155,570 $252,711 $161,538 $ 149,601
Ratio of Expenses to Average Net Assets (1) 0.43% 0.43% 0.43% 0.42% 0.41% 0.42%*
Ratio of Net Investment Income to Average Net
Assets 5.96% 5.65% 6.15% 5.89% 6.16% 6.42%*
Portfolio Turnover Rate 119% 174% 130% 107% 102% 28%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.42% 0.42% 0.42% 0.41% 0.41% 0.42%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
------------------------------------------------------------------------
Year Ended September 30, Six Months
---------------------------------------------------- Ended
March 31,
SPECIAL PURPOSE FIXED INCOME PORTFOLIO 1995 1996 1997! 1998 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.52 $ 12.53 $ 12.26 $ 12.58 $ 12.33 $ 11.32
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.91 0.83 0.85 0.84 0.78 0.40
Net Realized and Unrealized Gain (Loss) on
Investments 0.75 0.08 0.52 0.03 (0.69) (0.21)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.66 0.91 1.37 0.87 0.09 0.19
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.65) (0.88) (0.87) (0.85) (0.73) (0.37)
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) (0.37)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 12.53 $ 12.26 $ 12.58 $ 12.33 $ 11.32 $ 11.14
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 14.97% 7.74% 11.78% 7.31% 0.71% 1.70%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $390,258 $447,646 $492,784 $552,269 $459,674 $ 410,964
Ratio of Expenses to Average Net Assets (1) 0.49% 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% 6.92%*
Portfolio Turnover Rate 143% 151% 198% 105% 124% 28%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.48%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
# Amount is less than 0.01%
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
148
<PAGE> 151
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
----------------------------------------------------------------
Year Ended September 30, Six Months
---------------------------------------- Ended
March 31,
MUNICIPAL PORTFOLIO 1995 1996 1997 1998 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.04 $ 10.75 $ 11.23 $ 11.64 $ 11.96 $ 11.39
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.59 0.51 0.53 0.54 0.55 0.30
Net Realized and Unrealized Gain (Loss) on
Investments 0.71 0.49 0.40 0.28 (0.53) (0.11)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.30 1.00 0.93 0.82 0.02 0.19
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.59) (0.52) (0.52) (0.50) (0.59) (0.29)
Realized Net Gain -- -- -- -- -- (0.06)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.59) (0.52) (0.52) (0.50) (0.59) (0.35)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.75 $ 11.23 $ 11.64 $ 11.96 $ 11.39 $ 11.23
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 13.37% 9.46% 8.47% 7.20% 0.11% 1.80%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $36,040 $54,536 $75,120 $82,282 $121,917 $ 137,203
Ratio of Expenses to Average Net Assets (1) 0.50% 0.51% 0.51% 0.52% 0.51% 0.51%*
Ratio of Net Investment Income to Average Net Assets 5.64% 4.66% 4.70% 4.58% 4.72% 5.45%*
Portfolio Turnover Rate 58% 78% 54% 140% 88% 71%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.03%*
Ratio Including Expense Offsets 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------------
Year Ended September 30, Six Months
---------------------------------------- Ended
March 31,
GLOBAL FIXED INCOME PORTFOLIO 1995 1996 1997+ 1998 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.20 $ 11.05 $ 11.01 $ 10.64 $ 11.03 $ 10.42
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.71 0.63 0.60 0.55 0.51 0.24
Net Realized and Unrealized Gain (Loss) on
Investments 0.81 0.09 (0.22) 0.38 (0.49) (0.43)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.52 0.72 0.38 0.93 0.02 (0.19)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.67) (0.71) (0.59) (0.39) (0.44) (0.38)
Realized Net Gain -- (0.05) (0.16) (0.15) (0.19) (0.28)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.67) (0.76) (0.75) (0.54) (0.63) (0.66)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.05 $ 11.01 $ 10.64 $ 11.03 $ 10.42 $ 9.57
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 15.54% 6.83% 3.53% 9.18% (0.05%) (1.91%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $55,147 $67,282 $77,493 $71,834 $64,059 $ 45,552
Ratio of Expenses to Average Net Assets (1) 0.58% 0.60% 0.57% 0.56% 0.54% 0.59%*
Ratio of Net Investment Income to Average Net
Assets 6.34% 5.25% 5.65% 5.11% 4.83% 4.85%*
Portfolio Turnover Rate 118% 133% 137% 88% 56% 34%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.57%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
149
<PAGE> 152
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
-------------------------------------------------------------------
Year Ended September 30, Six Months
-------------------------------------------- Ended
March 31,
INTERNATIONAL FIXED INCOME PORTFOLIO 1995 1996 1997 1998 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.05 $ 11.01 $ 10.77 $ 10.19 $ 10.75 $ 10.12
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.67 0.52 0.50 0.45 0.34 0.19
Net Realized and Unrealized Gain (Loss) on
Investments 0.92 0.12 (0.44) 0.56 (0.41) (0.50)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.59 0.64 0.06 1.01 (0.07) (0.31)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.63) (0.80) (0.38) (0.36) (0.28) (0.27)
In Excess of Net Investment Income -- -- -- -- (0.06) --
Realized Net Gain -- (0.08) (0.26) (0.09) (0.22) (0.17)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.63) (0.88) (0.64) (0.45) (0.56) (0.44)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.01 $ 10.77 $ 10.19 $ 10.75 $ 10.12 $ 9.37
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 16.36% 6.13% 0.44% 10.38% (0.93%) (3.17%)
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $127,882 $143,137 $152,752 $150,313 $125,981 $ 112,250
Ratio of Expenses to Average Net Assets (1) 0.54% 0.53% 0.53% 0.52% 0.52% 0.54%*
Ratio of Net Investment Income to Average Net
Assets 6.35% 5.39% 5.27% 4.59% 3.68% 4.10%*
Portfolio Turnover Rate 140% 124% 107% 75% 64% 45%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.54%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
150
<PAGE> 153
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
INTERMEDIATE DURATION PORTFOLIO
Institutional Class
------------------------------------------------------------------------------
October 3, Six Months
1994** to Year Ended September 30, Ended
September 30, -------------------------------------- March 31,
1995 1996 1997+ 1998 1999 2000+
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $ 10.68 $ 10.28 $ 10.48 $ 10.68 $ 9.77
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.69 0.60 0.61 0.58 0.72 0.36
Net Realized and Unrealized Gain (Loss) on
Investments 0.42 0.03 0.27 0.28 (0.65) (0.27)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.11 0.63 0.88 0.86 0.07 0.09
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.43) (0.65) (0.53) (0.56) (0.76) (0.33)
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) (0.33)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.28 $ 10.48 $ 10.68 $ 9.77 $ 9.53
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 11.39% 6.27% 8.93% 8.57% 0.64% 0.92%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $19,237 $12,017 $72,119 $116,891 $50,513 $41,679
Ratio of Expenses to Average Net Assets
(1) 0.52%* 0.56% 0.55% 0.52% 0.49% 0.54%*
Ratio of Net Investment Income to Average
Net Assets 6.56%* 6.17% 5.93% 5.84% 6.20% 6.93%*
Portfolio Turnover Rate 168% 251% 204% 131% 97% 31%
- ---------------------------------------------------------------------------------------------------------------------------------
(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 N/A
Ratio Including Expense Offsets 0.52%* 0.52% 0.52% 0.51% 0.48% 0.53%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Commencement of Operations
</TABLE>
<TABLE>
<CAPTION>
Investment Class
----------------------------------
August 16, Six Months
1999*** to Ended
September 30, March 31,
1999 2000+
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.76 $ 9.77
- ----------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.11 (0.03)
Net Realized and Unrealized Gain (Loss) on Investments 0.04 0.12
- ----------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.15 0.09
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.14) (0.33)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.77 $ 9.53
- ----------------------------------------------------------------------------------------------------
TOTAL RETURN 1.49% 0.89%
- ----------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $9,304 $11,117
Ratio of Expenses to Average Net Assets (2) 0.64%* 0.69%*
Ratio of Net Investment Income to Average Net Assets 8.99%* 6.82%*
Portfolio Turnover Rate 97% 31%
- ----------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Ratio Including Expense Offsets 0.63%* 0.69%*
- ----------------------------------------------------------------------------------------------------
*** Initial offering of Investment Class shares
</TABLE>
<TABLE>
<S> <C>
- -----------------------------------------------------------------
* Annualized
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
151
<PAGE> 154
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
MULTI-MARKET FIXED INCOME PORTFOLIO
Institutional Class
---------------------------------------------------
October 1, Year Six Months
1997** to Ended Ended
September 30, September 30, March 31,
1998 1999 2000
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $ 9.86 $ 9.46
- --------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.56 0.65 0.36
Net Realized and Unrealized Gain (Loss) on Investments (0.29) (0.42) (0.09)
- --------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.27 0.23 0.27
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40) (0.63) (0.33)
In Excess of Realized Net Gain (0.01) -- --
- --------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.41) (0.63) (0.33)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.86 $ 9.46 $ 9.40
- --------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.72% 2.36% 2.88%
- --------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $97,062 $101,306 $95,077
Ratio of Expenses to Average Net Assets (1) 0.58%* 0.58% 0.59%*
Ratio of Net Investment Income to Average Net Assets 6.48%* 6.79% 7.49%*
Portfolio Turnover Rate 163% 86% 32%
- --------------------------------------------------------------------------------------------------------------------
(1) SUPPLEMENTAL INFORMATION ON THE RATIO OF EXPENSES TO
AVERAGE NET ASSETS:
Reduction in Ratio due to Expense Reimbursement/Waiver 0.05%* N/A 0.01%*
Ratio Including Expense Offsets 0.58%* 0.58% 0.58%*
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
** Commencement of Operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
152
<PAGE> 155
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
Institutional Class
--------------------------------------------------------------------
Six Months
Ended
March 31,
BALANCED PORTFOLIO Year Ended September 30, 2000
------------------------------------------------
1995 1996 1997 1998! 1999!
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.28 $ 13.06 $ 13.81 $ 15.30 $ 13.46 $ 13.83
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.54 0.53 0.51 0.48 0.45 0.23
Net Realized and Unrealized Gain (Loss) on
Investments 1.78 1.15 2.91 (0.11) 1.71 1.80
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.32 1.68 3.42 0.37 2.16 2.03
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.47) (0.50) (0.54) (0.49) (0.43) (0.28)
Realized Net Gain (0.07) (0.43) (1.39) (1.72) (1.36) (1.89)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.54) (0.93) (1.93) (2.21) (1.79) (2.17)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.06 $ 13.81 $ 15.30 $ 13.46 $ 13.83 $ 13.69
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 21.37% 13.47% 27.44% 2.85% 16.99% 15.97%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $334,630 $300,868 $343,284 $382,339 $341,886 $371,120
Ratio of Expenses to Average Net Assets (1) 0.58% 0.57% 0.58% 0.59% 0.58% 0.58%*
Ratio of Net Investment Income to Average Net
Assets 4.55% 3.85% 3.56% 3.36% 3.21% 3.20%*
Portfolio Turnover Rate 95% 110% 145% 100% 111% 82%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.58%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class Adviser Class
--------------------------------------------- -------------------------
April 4, Year Ended Six Months November 7,
1997** to September 30, Ended 1996*** to
September 30, ------------- March 31, September 30,
1997 1998! 1999! 2000 1997
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.11 $15.30 $ 13.45 $ 13.82 $ 14.05
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.30 0.46 0.42 0.17 0.42
Net Realized and Unrealized Gain (Loss) on
Investments 2.09 (0.13) 1.72 1.85 2.60
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 2.39 0.33 2.14 2.02 3.02
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.20) (0.46) (0.41) (0.27) (0.38)
Realized Net Gain -- (1.72) (1.36) (1.89) (1.39)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.20) (2.18) (1.77) (2.16) (1.77)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 15.30 $13.45 $ 13.82 $ 13.68 $ 15.30
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.40% 2.56% 16.84% 15.84% 23.82%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 3,943 $ 445 $ 208 $ 8,746 $ 27,366
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.74% 0.74% 0.76%* 0.85%*
Ratio of Net Investment Income to Average Net
Assets 3.32%* 3.24% 3.03% 2.63%* 3.24%*
Portfolio Turnover Rate 145% 100% 111% 82% 145%
- ------------------------------------------------------------------------------------------------------------------------------
(2) SUPPLEMENTAL INFORMATION ON THE RATIO OF
EXPENSES TO AVERAGE NET ASSETS:
Reduction in Ratio due to Expense
Reimbursement/Waiver N/A N/A N/A N/A 0.03%*
Ratio Including Expense Offsets 0.70%* 0.72% 0.72% 0.75%* 0.84%*
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Adviser Class
------------------------------------------------
Year Ended Six Months
September 30, Ended
------------- ------------- March 31,
1998! 1999! 2000
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.30 $ 13.43 $ 13.80
- ------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.42 0.20
Net Realized and Unrealized Gain (Loss) on
Investments (0.12) 1.71 1.80
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.32 2.13 2.00
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.47) (0.40) (0.26)
Realized Net Gain (1.72) (1.36) (1.89)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (2.19) (1.76) (2.15)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 13.43 $ 13.80 $ 13.65
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 2.49% 16.76% 15.76%
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $24,654 $29,210 $ 33,539
Ratio of Expenses to Average Net Assets (2) 0.84% 0.83% 0.83%*
Ratio of Net Investment Income to Average Net
Assets 3.11% 2.97% 2.95%*
Portfolio Turnover Rate 100% 111% 82%
- ------------------------------------------------------------------------------------------------------------------------------
(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
Ratio Including Expense Offsets 0.82% 0.82% 0.83%*
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
153
<PAGE> 156
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
MULTI-ASSET-CLASS PORTFOLIO Institutional Class
-----------------------------------------------------------------------
Six Months
Year Ended September 30, Ended
------------------------------------------------------- March 31,
1995 1996 1997! 1998! 1999 2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.97 $ 11.34 $ 12.28 $ 13.64 $ 11.74 $ 12.43
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.44 0.46 0.38 0.38 0.37 0.18
Net Realized and Unrealized Gain (Loss) on
Investments 1.33 1.05 2.57 (0.45) 1.62 1.50
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 1.77 1.51 2.95 (0.07) 1.99 1.68
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.40) (0.42) (0.51) (0.34) (0.34) (0.23)
Realized Net Gain -- (0.15) (1.08) (1.49) (0.96) (1.36)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.40) (0.57) (1.59) (1.83) (1.30) (1.59)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.34 $ 12.28 $ 13.64 $ 11.74 $ 12.43 $ 12.52
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 18.28% 13.75% 26.50% (0.46%) 17.71% 14.36%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $96,839 $129,558 $173,155 $165,039 $152,862 $160,579
Ratio of Expenses to Average Net Assets (1) 0.58% 0.58% 0.74% 0.78% 0.78% 0.78%*
Ratio of Net Investment Income to Average Net
Assets 4.56% 3.82% 3.07% 2.98% 2.86% 2.81%*
Portfolio Turnover Rate 112% 122% 141% 107% 101% 83%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.04%*
Ratio Including Expense Offsets 0.58% 0.58% 0.74% 0.78% 0.78% 0.78%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Class
-----------------------------------------------------------
June 10,
1996** to Year Ended September 30, Six Months
September 30, ------------------------ Ended
1996 1997! 1998! 1999 March 31,
2000
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.17 $ 12.27 $ 13.63 $ 11.74 $12.41
- ---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.13 0.36 0.36 0.35 0.16
Net Realized and Unrealized Gain (Loss) on Investments 0.08 2.57 (0.45) 1.62 1.50
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL FROM INVESTMENT OPERATIONS 0.21 2.93 (0.09) 1.97 1.66
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.11) (0.49) (0.31) (0.34) (0.22)
Realized Net Gain -- (1.08) (1.49) (0.96) (1.36)
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (0.11) (1.57) (1.80) (1.30) (1.58)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.27 $ 13.63 $ 11.74 $ 12.41 $12.49
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN 1.75% 26.32% (0.61%) 17.53% 14.27%
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $3,074 $ 5,075 $ 6,233 $ 7,246 $6,283
Ratio of Expenses to Average Net Assets (2) 0.73%* 0.96% 0.93% 0.93% 0.91%*
Ratio of Net Investment Income to Average Net Assets 3.68%* 2.85% 2.86% 2.72% 2.68%*
Portfolio Turnover Rate 122% 141% 107% 101% 83%
- ---------------------------------------------------------------------------------------------------------------------------------
(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% 0.05%*
Ratio Including Expense Offsets 0.73%* 0.96% 0.93% 0.93% 0.91%*
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
** Initial offering of Investment Class shares.
- -----------------------------------------------------------------
* Annualized
! Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
154
<PAGE> 157
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
MAS Funds (the "Fund") is registered under the Investment Company Act of 1940
as an open-end investment company. At March 31, 2000, the Fund was comprised of
twenty-two active portfolios (each referred to as a "Portfolio"). The Fund
offers up to three different classes of shares for certain
Portfolios -- Institutional Class shares, Investment Class shares and Adviser
Class shares.
Each class of shares has identical voting rights (except shareholders of a
Class have exclusive voting rights regarding any matter relating solely to that
Class of shares), dividend, liquidation and other rights, except each class
bears different distribution fees as described in Note D. The financial
statements for the Advisory Foreign Fixed Income and Advisory Mortgage
Portfolios are presented separately.
A. SIGNIFICANT ACCOUNTING POLICIES. The following significant accounting
policies are in conformity with generally accepted accounting principles for
investment companies. Such policies are consistently followed by the Fund in
the preparation of its financial statements. Generally accepted accounting
principles may require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual
results may differ from those estimates.
1. SECURITY VALUATION: Market values for equity securities listed on the New
York Stock Exchange ("NYSE") or other U.S. exchanges or NASDAQ are based on
the latest quoted sales prices as of the close of the NYSE (normally 4:00
p.m. Eastern Time) on the valuation date; securities not traded on the
valuation date are valued at the mean of the most recent quoted bid and
asked prices. Equity securities not listed are valued at the mean of the
most recent bid and asked prices. Securities listed on foreign exchanges
are valued at the latest quoted sales prices. Bonds, including municipal
bonds, and other fixed income securities are valued using brokers'
quotations or on the basis of prices, provided by a pricing service, which
are based primarily on institutional size trading in similar groups of
securities. Mortgage-backed securities issued by certain government-related
organizations are valued using brokers' quotations which are based on a
matrix system which considers such factors as other security prices, yields
and maturities. Securities in the Cash Reserves Portfolio, and other
Portfolios' short-term securities, are valued using the amortized cost
method of valuation, which in the opinion of the Board of Trustees reflects
fair value. Securities for which no quotations are readily available
(including restricted securities) are valued at their fair value as
determined in good faith using methods approved by the Board of Trustees.
2. FEDERAL INCOME TAXES: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
and tax-exempt income. Accordingly, no provision for Federal income taxes
is required in the financial statements.
3. REPURCHASE AGREEMENTS: Securities pledged as collateral for repurchase
agreements are held by the Portfolios' custodian bank until maturity of the
repurchase agreements. Provisions of the agreements ensure that the market
value of the collateral is at least equal to the repurchase value in the
event of a default; however, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the
collateral may be subject to legal proceedings.
Pursuant to an Exemptive Order issued by the Securities and Exchange
Commission, the Portfolios may transfer their uninvested cash balances into
a joint trading account with other Portfolios of the Fund which invests in
one or more repurchase agreements. This joint repurchase agreement is
covered by the same collateral requirements as discussed above.
4. FUTURES: Futures contracts (secured by cash or securities deposited with
brokers as "initial margin") are valued based upon their quoted daily
settlement prices; changes in
- --------------------------------------------------------------------------------
155
<PAGE> 158
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
initial settlement value (represented by cash paid to or received from
brokers as "variation margin") are accounted for as unrealized appreciation
(depreciation). When futures contracts are closed, the difference between
the opening value at the date of purchase and the value at closing is
recorded as realized 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 swaps that may be 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
- --------------------------------------------------------------------------------
156
<PAGE> 159
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 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, Small 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 March 31, 2000, 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 from 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 are included in the reported net realized
and unrealized gains (losses) on investment transactions and balances.
Changes in currency exchange rates will
- --------------------------------------------------------------------------------
157
<PAGE> 160
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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
Limited Duration, Municipal 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. Net
realized capital gains are distributed at least annually. The amount and
character of income and gains to be distributed are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing book and tax treatments in the timing of the recognition of gains
or losses on securities, forwards and futures, including post october
losses and permanent differences such as gain (loss) on in-kind redemptions
(Note I), foreign currency transactions and gains on certain equity
securities designated as issued by "passive foreign investment companies".
Permanent book and tax differences relating to shareholder distributions
may result in reclassifications to undistributed net investment income
(loss), undistributed realized net gain (loss) and paid in capital.
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 six months ended
March 31, 2000, 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 0.450 -- -- --
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>
- --------------------------------------------------------------------------------
158
<PAGE> 161
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 Funds 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 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 six months ended March 31, 2000
by the Portfolios were $108,000.
Expenses incurred by the Fund for the six months ended March 31, 2000 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 six months ended March 31, 2000,
purchases
- --------------------------------------------------------------------------------
159
<PAGE> 162
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
and sales of investment securities other than temporary cash investments
were:
<TABLE>
<CAPTION>
(000)
----------------------
Portfolio Purchases Sales
- --------- ---------- ----------
<S> <C> <C>
Value $ 244,607 $ 620,979
Equity 802,071 843,497
Small Cap Value 1,207,938 1,062,047
Mid Cap Growth 2,508,648 1,804,852
Mid Cap Value 1,482,889 1,260,887
Small Cap Growth 562,159 306,516
Fixed Income 2,142,099 1,930,684
Domestic Fixed Income 94,506 92,490
High Yield 311,526 192,802
Cash Reserves -- --
Fixed Income II 154,083 177,171
Limited Duration 50,986 96,792
Special Purpose Fixed Income 159,271 214,372
Municipal 102,374 100,243
Global Fixed Income 18,419 34,186
International Fixed Income 50,975 62,445
Intermediate Duration 23,273 35,259
Multi-Market Fixed Income 48,966 33,103
Balanced 365,087 381,278
Multi-Asset-Class 125,337 146,220
</TABLE>
2. FEDERAL INCOME TAX COST AND UNREALIZED APPRECIATION (DEPRECIATION): At March
31, 2000, 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 $ 948,025 $116,356 $(105,846) $ 10,510
Equity 557,338 220,749 (19,971) 200,778
Small Cap Value 1,136,307 305,494 (82,368) 223,126
Mid Cap Growth 2,012,273 695,314 (93,428) 601,886
Mid Cap Value 1,112,637 209,455 (103,172) 106,283
Small Cap Growth 395,787 114,305 (29,559) 84,746
Fixed Income 6,383,593 34,080 (181,940) (147,860)
Domestic Fixed Income 245,808 896 (6,790) (5,894)
High Yield 1,093,723 13,279 (101,663) (88,384)
Cash Reserves 124,134 -- -- --
Fixed Income II 464,484 2,435 (15,669) (13,234)
Limited Duration 170,234 209 (3,565) (3,356)
Special Purpose Fixed
Income 576,972 3,932 (19,859) (15,927)
Municipal 138,277 1,836 (3,304) (1,468)
Global Fixed Income 46,169 902 (3,566) (2,664)
International Fixed
Income 122,792 2,045 (9,811) (7,766)
Intermediate Duration 67,879 473 (1,993) (1,520)
Multi-Market Fixed
Income 123,073 794 (5,615) (4,821)
Balanced 419,386 71,528 (13,963) 57,565
Multi-Asset-Class 142,628 23,707 (5,652) 18,055
</TABLE>
3. FORWARD FOREIGN CURRENCY CONTRACTS: Under the terms of the forward foreign
currency contracts open at March 31, 2000, each Portfolio is obligated to
deliver or receive currency in exchange for U.S. dollars as indicated in the
following table:
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- -------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
HIGH YIELD
Purchases
US$ 1,758 EUR 1,825 4/28/00 US$ 1,750 US$ (8)
1,030 EUR 1,070 4/28/00 1,026 (4)
2,065 GBP 1,300 5/3/00 2,069 4
------------
US$ (8)
------------
Sales
EUR 9,950 US$ 10,042 4/26/00 US$ 9,541 US$ 501
EUR 3,295 3,327 4/26/00 3,160 167
EUR 26,095 25,965 4/28/00 25,025 940
EUR 8,870 8,822 4/28/00 8,506 316
GBP 21,095 34,089 5/3/00 33,562 527
EUR 9,635 9,618 5/10/00 9,248 370
EUR 13,475 12,907 6/30/00 12,980 (73)
------------
US$2,748
------------
Net US$2,740
============
GLOBAL FIXED INCOME
Purchases
US$ 1,498 AUD 2,430 4/27/00 US$ 1,473 US$ (25)
348 DKK 2,695 4/28/00 347 (1)
1,089 EUR 1,095 4/28/00 1,050 (39)
719 EUR 730 4/28/00 700 (19)
770 EUR 800 4/28/00 767 (3)
427 AUD 675 5/3/00 409 (18)
592 DKK 4,575 5/9/00 590 (2)
2,750 EUR 2,755 5/10/00 2,644 (106)
258 GBP 160 5/10/00 255 (3)
631 SEK 5,390 5/15/00 626 (5)
296 AUD 480 5/31/00 291 (5)
651 AUD 1,055 5/31/00 640 (11)
248 CAD 360 6/5/00 248 --
449 CAD 650 6/5/00 448 (1)
93 CAD 135 6/6/00 93 --
1,170 JPY 123,000 6/12/00 1,214 44
1,683 GBP 1,065 6/14/00 1,695 12
2,761 JPY 285,000 6/19/00 2,816 55
179 DKK 1,380 6/28/00 179 --
------------
US$ (127)
------------
Sales
EUR 1,500 US$ 1,514 4/26/00 US$ 1,439 US$ 75
AUD 2,430 1,588 4/27/00 1,473 115
DKK 2,695 360 4/28/00 347 13
EUR 2,270 2,240 4/28/00 2,177 63
AUD 200 122 5/3/00 121 1
AUD 550 350 5/8/00 333 17
DKK 4,575 608 5/9/00 590 18
EUR 1,960 1,893 5/10/00 1,881 12
JPY 111,000 1,031 5/15/00 1,090 (59)
SEK 12,625 1,471 5/15/00 1,468 3
EUR 205 196 6/1/00 197 (1)
CAD 1,010 698 6/5/00 696 2
JPY 42,000 402 6/12/00 414 (12)
------------
US$ 247
------------
Net US$ 120
============
</TABLE>
- --------------------------------------------------------------------------------
160
<PAGE> 163
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- -------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL FIXED INCOME
Purchases
US$ 354 AUD 575 4/27/00 US$ 348 US$ (6)
5,513 EUR 5,545 4/28/00 5,317 (196)
140 EUR 145 4/28/00 139 (1)
7,055 JPY 745,000 5/1/00 7,298 243
1,095 CAD 1,585 5/2/00 1,091 (4)
1,190 AUD 1,870 5/9/00 1,134 (56)
160 EUR 160 5/10/00 154 (6)
1,235 JPY 135,000 5/15/00 1,326 91
7,061 AUD 11,450 5/31/00 6,943 (118)
1,045 AUD 1,695 5/31/00 1,027 (18)
4,270 EUR 4,420 6/1/00 4,249 (21)
14,672 JPY 1,542,000 6/12/00 15,217 545
2,558 GBP 1,620 6/14/00 2,578 20
3,128 GBP 1,980 6/14/00 3,151 23
------------
US$ 496
------------
Sales
EUR 7,190 US$ 7,256 4/26/00 US$ 6,894 US$ 362
SEK 6,940 819 4/26/00 806 13
AUD 575 376 4/27/00 349 27
DKK 7,310 976 4/28/00 941 35
EUR 1,060 1,068 4/28/00 1,016 52
EUR 475 462 4/28/00 456 6
SEK 4,455 519 4/28/00 517 2
SEK 4,215 487 4/28/00 489 (2)
JPY 205,000 1,962 5/1/00 2,008 (46)
JPY 150,000 1,468 5/1/00 1,470 (2)
GBP 1,430 2,309 5/2/00 2,275 34
DKK 23,550 3,129 5/9/00 3,036 93
EUR 160 161 5/10/00 153 8
JPY 172,000 1,597 5/15/00 1,689 (92)
SEK 5,130 600 5/15/00 596 4
SEK 12,290 1,425 5/15/00 1,429 (4)
AUD 11,025 6,935 5/16/00 6,685 250
EUR 4,955 4,804 6/1/00 4,763 41
------------
US$ 781
------------
Net US$1,277
============
MULTI-MARKET FIXED INCOME
Purchases
US$ 1,233 AUD 2,000 4/27/00 US$ 1,212 US$ (21)
497 AUD 785 5/3/00 476 (21)
477 AUD 750 5/9/00 455 (22)
1,938 EUR 1,940 5/10/00 1,862 (76)
244 AUD 395 5/31/00 240 (4)
948 GBP 600 6/14/00 955 7
------------
US$ (137)
------------
Sales
EUR 1,415 US$ 1,428 4/26/00 US$ 1,357 US$ 71
AUD 2,000 1,307 4/27/00 1,212 95
EUR 645 642 4/28/00 619 23
JPY 140,000 1,330 5/2/00 1,372 (42)
GBP 305 493 5/2/00 485 8
GBP 330 533 5/3/00 525 8
GBP 360 582 5/3/00 573 9
DKK 5,530 735 5/9/00 713 22
AUD 325 204 5/16/00 197 7
------------
US$ 201
------------
NET US$ 64
============
</TABLE>
<TABLE>
<CAPTION>
(000)
------------------------------------------------------------------
Net
Currency In Unrealized
to Exchange Settlement Appreciation
Portfolio Deliver For Date Value (Depreciation)
- --------- -------- --------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
MULTI-ASSET-CLASS
Purchases
US$ 4,976 EUR 4,600 4/27/00 US$ 4,411 US$ (565)
63 EUR 65 4/28/00 62 (1)
81 DKK 635 4/28/00 82 1
24 EUR 25 4/28/00 24 --
48 EUR 50 4/28/00 48 --
92 AUD 145 5/3/00 88 (4)
275 EUR 275 5/10/00 264 (11)
326 EUR 335 5/10/00 322 (4)
242 GBP 150 5/10/00 239 (3)
46 AUD 75 5/31/00 45 (1)
52 AUD 85 5/31/00 52 --
1,180 JPY 124,000 6/12/00 1,224 44
205 GBP 130 6/14/00 206 1
8,467 EUR 8,600 8/3/00 8,303 (164)
------------
US $(707)
------------
Sales
EUR 100 US$ 96 4/26/00 US$ 101 US$ (5)
EUR 20 19 4/26/00 20 (1)
EUR 450 431 4/26/00 453 (22)
DKK 1,810 233 4/28/00 241 (8)
EUR 450 432 4/28/00 448 (16)
EUR 85 82 4/28/00 85 (3)
SEK 1,410 164 4/28/00 165 (1)
JPY 74,500 730 5/2/00 708 22
GBP 165 263 5/3/00 267 (4)
DKK 460 59 5/9/00 61 (2)
EUR 100 96 5/10/00 100 (4)
EUR 200 192 5/10/00 194 (2)
GBP 20 32 5/10/00 32 --
JPY 12,000 118 5/15/00 111 7
SEK 355 41 5/15/00 42 (1)
AUD 75 45 5/16/00 47 (2)
JPY 24,000 237 6/12/00 231 6
EUR 280 270 6/30/00 268 2
------------
US$ (34)
------------
NET US$ (741)
============
</TABLE>
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
DKK -- Danish Krone
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
US$ -- U.S. Dollar
</TABLE>
4. FUTURES CONTRACTS: At March 31, 2000, 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
U.S. Treasury 2 yr.
Note 499 US$ 98,786
Jun-00 US$ 325
U.S. Treasury 5 yr.
Note 738 US$ 72,693
Jun-00 833
DOMESTIC FIXED
INCOME
U.S. Treasury 2 yr.
Note 95 US$ 18,807
Jun-00 65
U.S. Treasury 5 yr.
Note 18 US$ 1,773
Jun-00 29
</TABLE>
- --------------------------------------------------------------------------------
161
<PAGE> 164
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
HIGH YIELD
U.S. Treasury 10
yr. Note 320 US$ 31,385
Jun-00 US$ 793
FIXED INCOME II
U.S. Treasury 2 yr.
Note 45 US$ 8,909
Jun-00 37
U.S. Treasury 5 yr.
Note 105 US$ 10,343
Jun-00 169
LIMITED DURATION
U.S. Treasury 2 yr.
Note 78 US$ 7,683
Jun-00 95
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 5 yr.
Note 10 US$ 985
Jun-00 14
MUNICIPAL
Muni Bond 188 US$ 17,925
Jun-00 455
GLOBAL FIXED INCOME
Japanese Yen 10 yr.
Bond 1 JPY 131,500
Jun-00 7
U.S. Treasury 2 yr.
Note 34 US$ 6,731
Jun-00 24
INTERNATIONAL FIXED
INCOME
Japanese Yen 10 yr.
Bond 13 JPY 1,709,500
Jun-00 98
U.S. Treasury 2 yr.
Note 35 US$ 6,929
Jun-00 7
INTERMEDIATE
DURATION
U.S. Treasury 2 yr.
Note 10 US$ 1,980
Jun-00 5
U.S. Treasury 10
yr. Note 32 US$ 3,138
Jun-00 80
MULTI-MARKET
U.S. Treasury 5 yr.
Note 44 US$ 4,334
Jun-00 71
U.S. Treasury Long
Bond 1 US$ 98
Jun-00 3
BALANCED
U.S. Treasury 5 yr.
Note 8 US$ 788
Jun-00 11
U.S. Treasury 10
yr. Note 13 US$ 1,275
Jun-00 8
MULTI-ASSET CLASS
Hang Seng Index 41 JPY 3,492
Apr-00 3
MIB 30 Index 2 EUR 463
Jun-00 (27)
NIKKEI Index 172 JPY 346,800
Jun-00 222
DAX Index 13 EUR 2,472
Jun-00 (65)
IBEX Plus Index 131 EUR 1,553
Apr-00 (57)
TOPIX Index 88 JPY 1,500,400
Jun-00 84
FTSE 100 Index 12 EUR 792
Jun-00 4
OMX Index 81 SEK 11,223
Apr-00 (77)
SGX Taiwan Index 56 SGD 2,419
Apr-00 (11)
U.S. Treasury 2 yr.
Note 16 US$ 3,167
Jun-00 10
U.S. Treasury 10
yr. Note 4 US$ 392
Jun-00 10
U.S. Treasury 5 yr.
Note 11 US$ 1,084
Jun-00 18
Sales:
FIXED INCOME
Jun-00-
90 Day Euro 26 EUR 1,628
Mar-01 27
U.S. Treasury 10
yr. Note 2,322 US$ 227,737
Jun-00 (6,103)
U.S. Treasury Long
Bond 6,393 US$ 624,516
Jun-00 (15,933)
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Number Aggregate Appreciation
of Face Value Expiration (Depreciation)
Portfolio Contracts (000) Date (000)
--------- --------- ------------- ---------- --------------
<S> <C> <C> <C> <C>
DOMESTIC FIXED
INCOME
U.S. Treasury 10
yr. Note 231 US$ 22,656
Jun-00 US$ (512)
U.S. Treasury Long
Bond 255 US$ 24,912
Jun-00 (612)
HIGH YIELD
U.K. Long Gilt 161 GBP 18,275
Jun-00 (281)
FIXED INCOME II
U.S. Treasury 10
yr. Note 54 US$ 5,296
Jun-00 (146)
U.S. Treasury Long
Bond 607 US$ 59,296
Jun-00 (1,405)
LIMITED DURATION
U.S. Treasury 10
yr. Note 214 US$ 20,989
Jun-00 (554)
SPECIAL PURPOSE
FIXED INCOME
U.S. Treasury 10
yr. Note 9 US$ 883
Jun-00 (25)
U.S. Treasury Long
Bond 618 US$ 60,371
Jun-00 (1,587)
MUNICIPAL
U.S. Treasury Long
Bond 359 US$ 35,070
Jun-00 (724)
GLOBAL FIXED INCOME
U.S. Treasury Long
Bond 20 US$ 1,954
Jun-00 (41)
U.S. Treasury 10
yr. Note 56 US$ 5,492
Jun-00 (102)
INTERNATIONAL FIXED
INCOME
U.S. Treasury 10
yr. Note 11 US$ 1,079
Jun-00 (13)
INTERMEDIATE
DURATION
U.S. Treasury 5 yr.
Note 17 US$ 1,675
Jun-00 (28)
U.S. Treasury Long
Bond 65 US$ 6,350
Jun-00 (162)
MULTI-MARKET FIXED
INCOME
U.K. Long Gilt 2 GBP 227
Jun-00 (3)
U.S. Treasury 10
yr. Note 98 US$ 9,612
Jun-00 (138)
BALANCED
U.S. Treasury Long
Bond 226 US$ 22,077
Jun-00 (533)
MULTI-ASSET CLASS
U.K. Long Gilt 2 GBP 227
Jun-00 (4)
U.S. Long Bond 65 US$ 6,350
Jun-00 (165)
U.S. Treasury 10
yr. Note 19 US$ 1,863
Jun-00 (50)
</TABLE>
<TABLE>
<S> <C> <C>
EUR -- Euro
GBP -- British Pound
JPY -- Japanese Yen
SEK -- Swedish Krona
SGD -- Singapore Dollar
US$ -- U.S. Dollar
</TABLE>
- --------------------------------------------------------------------------------
162
<PAGE> 165
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
5. SWAP AGREEMENTS: At March 31, 2000, 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. $ (3,868)
50,000 Agreement with Bankers Trust
Company terminating August 27,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.10% semiannually. (3,600)
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. (840)
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. (1,921)
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. (3,233)
41,000 Agreement with Deutsche Bank
terminating November 8, 2009
to pay 3 month LIBOR quarterly
and to receive fixed rate at
6.81% semiannually. (1,311)
134,350 Agreement with Goldman Sachs
terminating March 24, 2010 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.25% semiannually. (183)
56,450 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 82
89,300 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. 455
</TABLE>
<TABLE>
- --------------------------------------------------------------
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
<C> <S> <C>
$72,000 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. $ 1,320
39,500 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 602
35,100 Agreement with Goldman Sachs
terminating March 9, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.31% semiannually. 407
40,200 Agreement with Salomon
Brothers terminating March 10,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 383
42,000 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 312
----------
$(11,395)
==========
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. $(68)
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. (108)
9,000 Agreement with Deutsche Bank
terminating November 8, 2009
to pay 3 month LIBOR quarterly
and to receive fixed rate at
6.81% semiannually. (287)
7,350 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 11
3,400 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. 17
</TABLE>
- --------------------------------------------------------------------------------
163
<PAGE> 166
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
- --------------------------------------------------------------
<C> <S> <C>
$4,150 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. $ 76
1,500 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 23
1,550 Agreement with Salomon
Brothers terminating March 10,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 15
1,650 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 12
-------
$(309)
=======
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. $(326)
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. (526)
13,850 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 20
7,000 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. 36
5,600 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. 103
3,000 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 46
</TABLE>
<TABLE>
- --------------------------------------------------------------
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
<C> <S> <C>
$2,700 Agreement with Goldman Sachs
terminating March 9, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.31% semiannually. $ 31
3,100 Agreement with Salomon
Brothers terminating March 10,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 30
3,250 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 24
-------
$(562)
=======
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. $(212)
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. (166)
-------
$(378)
=======
SPECIAL PURPOSE FIXED INCOME
6,000 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $(455)
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. (367)
2,600 Agreement with Goldman Sachs
terminating March 24, 2010 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.25% semiannually. (4)
14,500 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 21
</TABLE>
- --------------------------------------------------------------------------------
164
<PAGE> 167
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
- --------------------------------------------------------------
<C> <S> <C>
$8,100 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. $ 41
6,650 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. 122
3,650 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 56
3,150 Agreement with Goldman Sachs
terminating March 9, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.31% semiannually. 36
3,600 Agreement with Salomon
Brothers terminating March 10,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 34
3,850 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 29
-------
$(487)
=======
MUNICIPAL
21,500 Agreement with Goldman Sachs
terminating March 28, 2010 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.29% semiannually. $26
======
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. $(23)
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. (29)
------
$(52)
======
</TABLE>
<TABLE>
- --------------------------------------------------------------
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
<C> <S> <C>
INTERMEDIATE DURATION
$1,400 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $(106)
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. (180)
-------
$(286)
=======
MULTI-MARKET FIXED INCOME
1,000 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $(76)
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. (58)
7,000 Agreement with Goldman Sachs
terminating March 30, 2010 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.37% semiannually. 49
------
$(85)
======
BALANCED
2,200 Agreement with Bankers Trust
Company terminating August 25,
2008 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 6.04% semiannually. $(167)
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. (133)
6,600 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 10
3,100 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. 16
</TABLE>
- --------------------------------------------------------------------------------
165
<PAGE> 168
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
- --------------------------------------------------------------
<C> <S> <C>
$2,500 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. $ 46
1,350 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 20
1,200 Agreement with Goldman Sachs
terminating March 9, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.31% semiannually. 14
1,400 Agreement with Salomon
Brothers terminating March 10,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 13
1,450 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 11
-------
$(170)
=======
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. $(53)
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. (40)
650 Agreement with Goldman Sachs
terminating March 2, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.36% semiannually. 12
350 Agreement with Goldman Sachs
terminating March 3, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.34% semiannually. 5
300 Agreement with Goldman Sachs
terminating March 9, 2030 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.31% semiannually. 4
</TABLE>
<TABLE>
- --------------------------------------------------------------
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
AMOUNT (DEPRECIATION)
(000) DESCRIPTION (000)
<C> <S> <C>
$150 Agreement with Goldman Sachs
terminating March 24, 2010 to
pay 3 month LIBOR quarterly
and to receive fixed rate at
7.25% semiannually. $ --
1,400 Agreement with Salomon
Brothers terminating March 24,
2010 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.29% semiannually. 2
700 Agreement with Salomon
Brothers terminating February
10, 2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.26% semiannually. 4
350 Agreement with Salomon
Brothers Company terminating
March 10, 2030 to pay 3 month
LIBOR quarterly and to receive
fixed rate at 7.29%
semiannually. 3
400 Agreement with Salomon
Brothers terminating March 13,
2030 to pay 3 month LIBOR
quarterly and to receive fixed
rate at 7.27% semiannually. 3
------
$(60)
======
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At September 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. IN-KIND TRANSACTIONS. For the six months ended March 31, 2000, there were no
realized gains (losses) from in-kind redemptions.
- --------------------------------------------------------------------------------
166
<PAGE> 169
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
J. SECURITIES LENDING. Certain Portfolios loan securities to certain brokers
and receive security lending fees. Security lending fees are included as
expense offsets in the Statement of Operations. Fees greater than custodian
expenses are included in interest income. During the six months ended March 31,
2000, the following Portfolios had security lending fees totaling:
<TABLE>
<CAPTION>
Fees
Portfolio (000)
- --------- -------------
<S> <C>
Value $ 22
Equity 31
Fixed Income 308
Domestic Fixed Income 10
Fixed Income II 8
Special Purpose Fixed Income 10
Balanced 6
</TABLE>
Portfolios that lend securities receive securities issued or guaranteed by the
U.S. Government or its agencies, cash or letters of credit as collateral in an
amount at least equal to 100% of the current market value of loaned securities.
The value of loaned securities and related collateral outstanding at March 31,
2000, were as follows:
<TABLE>
<CAPTION>
Value of Value
Loaned of
Securities Collateral
Portfolio (000) (000)
- --------- ---------- ----------
<S> <C> <C>
Value $ 25,004 $ 25,692
Equity 20,646 20,780
Fixed Income 533,135 542,315
Domestic Fixed Income 10,419 10,640
Fixed Income II 13,038 13,253
Special Purpose
Fixed Income 39,813 40,482
Balanced 15,924 16,134
</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 $271,000 and $162,000 respectively, for the six months ended March 31,
2000.
K. OTHER. At March 31, 2000, the High Yield Portfolio's net assets were
substantially comprised of high yield fixed income securities. The finan-
cial condition of an issuer of these securities and general economic and
industry specific conditions may affect the issuer's ability to make payments
of income and principal on these securities.
A portion of the securities of the Municipal Portfolio are insured by certain
companies specializing in the insurance of municipal debt obligations. At March
31, 2000, approximately 51.9% of the net assets of the Municipal Portfolio are
covered by such insurance. Listed below are the insurers that insure obligations
constituting more than 10% of the Portfolios' net assets:
<TABLE>
<CAPTION>
Municipal
---------
<S> <C>
AMBAC 10.1%
FGIC 15.8
FSA 13.1
MBIA 11.0
</TABLE>
At March 31, 2000, 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 23.2% 83.6% 79.6%
Equity -- 100.0 80.3
Small Cap Value -- -- 61.3
Mid Cap Growth 40.5 -- 67.6
Mid Cap Value 12.0 51.1 74.5
Small Cap Growth 41.7 -- --
Fixed Income -- 34.9 67.5
Domestic Fixed Income 46.7 -- 99.4
High Yield -- 77.7 79.6
Cash Reserves 35.6 66.5 --
Fixed Income II 39.3 -- --
Limited Duration 38.7 -- --
Special Purpose
Fixed Income -- -- --
Municipal 11.8 -- --
Global Fixed Income 85.7 -- --
International
Fixed Income 83.0 -- --
Intermediate Duration 56.3 100.0 --
Multi-Market
Fixed Income 82.2 -- --
Balanced 58.5 97.9 98.2
Multi-Asset-Class 42.2 92.9 --
</TABLE>
- --------------------------------------------------------------------------------
167
<PAGE> 170
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
L. REORGANIZATION. 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
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>
- --------------------------------------------------------------------------------
168
<PAGE> 171
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 & Co.
Incorporated; 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,
ICG-Commerce, Inc., Investor Force Holdings; Sunoco; Fannie Mae; Reliance Group
Holdings; CVS Corporation; Knight-Ridder, Inc.; Internet Capital Group; formerly
Director, IKON Office Solutions, Inc., Fiserv, 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 & Co. Incorporated; 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 & Co. Incorporated;
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 & Co. Incorporated; 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: May, 2000
- --------------------------------------------------------------------------------
<PAGE> 172
[MAS LOGO]
Morgan Stanley Dean Witter Investment Management
Miller Anderson & Sherrerd, LLP
One Tower Bridge
West Conshohocken, PA 19428-2899
Investment Adviser: (610) 940-5000 - MAS Funds: (800) 354-8185
Printed in U.S.A.
This Report has been prepared for
shareholders and may be distributed to
others only if preceded or accompanied by a
current prospectus.
