<PAGE> 1
MORGAN STANLEY DEAN WITTER Miller Anderson & Sherrerd, LLP
INVESTMENT MANAGEMENT
2000 Semi-Annual Report
Value Portfolio
Mid Cap Growth Portfolio
Mid Cap Value Portfolio
Small Cap Growth Portfolio
Fixed Income Portfolio
High Yield Portfolio
[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 Miller Anderson & Sherrerd service
representative at 800-354-8185 with any questions regarding these Financial
Statements.
TABLE OF CONTENTS
<TABLE>
<S> <C>
MAS Overview and Statement of Net Assets
Value Portfolio.......................... 1
Mid Cap Growth Portfolio................. 5
Mid Cap Value Portfolio.................. 8
Small Cap Growth Portfolio............... 13
Fixed Income Portfolio................... 17
High Yield Portfolio..................... 31
Statement of Operations..................... 41
Statement of Changes in Net Assets.......... 43
Financial Highlights........................ 47
Notes to Financial Statements............... 58
</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
-----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
1
<PAGE> 4
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
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
-----------------------------------------------------
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
-----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
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
-----------------------------------------------------
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
-----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
2
<PAGE> 5
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
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>
<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>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
3
<PAGE> 6
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (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.
--------------------------------------------------------------------------------
4
<PAGE> 7
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
-----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
5
<PAGE> 8
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
MID CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
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
* 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
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
* 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
-----------------------------------------------------
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
6
<PAGE> 9
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
-----------------------------------------------------
<S> <C> <C>
* 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>
<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.
--------------------------------------------------------------------------------
7
<PAGE> 10
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
----------------------------------------------------
</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>
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
* 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
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
----------------------------------------------------
<S> <C> <C>
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
* MedImmune, Inc. 18,600 3,239
* MGI Pharma, Inc. 80,800 3,257
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
9
<PAGE> 12
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
----------------------------------------------------
<S> <C> <C>
* 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
----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
----------------------------------------------------
<S> <C> <C>
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
* 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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
10
<PAGE> 13
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
----------------------------------------------------
<S> <C> <C>
* 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
* 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
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
----------------------------------------------------
<S> <C> <C>
* 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
----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
11
<PAGE> 14
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
MID CAP VALUE
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(CONT'D) (000) (000)!
----------------------------------------------------
<S> <C> <C>
CASH EQUIVALENT (6.6%)
----------------------------------------------------
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
----------------------------------------------------
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.
--------------------------------------------------------------------------------
12
<PAGE> 15
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
----------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
13
<PAGE> 16
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) SHARES (000)!
----------------------------------------------------
<S> <C> <C>
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
* 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
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
----------------------------------------------------
<S> <C> <C>
* 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
* 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
</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>
* 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>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(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>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
15
<PAGE> 18
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SMALL CAP GROWTH
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(CONT'D) (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.
--------------------------------------------------------------------------------
16
<PAGE> 19
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
17
<PAGE> 20
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
(cont'd)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
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
------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
18
<PAGE> 21
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
(+)++ Commercial Financial
Services, Inc.,
Series 97-5 A1
7.72%, 6/15/05 N/R $ 8,099 $ 2,025
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
</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 $ 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
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
19
<PAGE> 22
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
FIXED INCOME
(cont'd) PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
20
<PAGE> 23
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
Contimortgage Home Equity
Loan Trust,
Series:
96-4 A11 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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
21
<PAGE> 24
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
(cont'd)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
Federal National Mortgage
Association,
Series:
90-118 S Inv Fl REMIC
26.006%, 9/25/20 Agy $ 564 $ 779
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
+ 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
</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>
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
(+) DLJ Mortgage
Acceptance Corp.,
Series 97-CF1 S IO
1.097%, 3/15/17 AAA 71,630 2,957
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
+## GMAC Commercial
Mortgage Securities,
Inc.,
Series:
96-C1 X2 IO
1.967%, 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
------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
23
<PAGE> 26
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
(cont'd)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
)Mobile 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
------------------------------------------------------
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
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
</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>
(+) 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
------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
25
<PAGE> 28
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
FIXED INCOME
PORTFOLIO (UNAUDITED)
(cont'd)
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
(CONT'D) & POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
Ford Motor Co.
6.625%, 10/1/28 A+ $ 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
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
# Rhone-Poulenc Rorer,
Inc.,
Series 92-A 3
8.62%, 1/5/21 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
</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>
## 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
------------------------------------------------------------
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
------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
6.00%, 8/15/09 Tsy 86,725 85,625
6.25%, 1/31/02 Tsy 6,820 6,788
------------------------------------------------------------
GROUP TOTAL 283,251
------------------------------------------------------------
</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>
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
-----------------------------------------------------------
<S> <C> <C> <C>
(+) 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
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
-----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
28
<PAGE> 31
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
SHARES (000)!
------------------------------------------------------
<S> <C> <C> <C>
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
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
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
------------------------------------------------------
<S> <C> <C> <C>
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)
</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>
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
------------------------------------------------------
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.
) 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
--------------------------------------------------------------------------------
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
31
<PAGE> 34
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>
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
# 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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
0.3125%, 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
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
----------------------------------------------------------
</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>
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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
(+) 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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
33
<PAGE> 36
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>
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
(+)a 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
(+) 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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
(+) 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.
--------------------------------------------------------------------------------
34
<PAGE> 37
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& 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
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
SA
10.125%, 11/1/04 B- 5,125 4,202
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
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
35
<PAGE> 38
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>
(+)++a 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>
<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.
Series F
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
</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>
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
----------------------------------------------------------
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
----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATINGS FACE
(STANDARD AMOUNT VALUE
& POOR'S) (000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
----------------------------------------------------------
<CAPTION>
SHARES
------
<S> <C> <C> <C>
COMMON STOCK (0.2%)
----------------------------------------------------------
COMMUNICATIONS (0.2%)
* Tele1 Europe B.V.
ADR
(Cost $0) 121,400 2,322
----------------------------------------------------------
CONVERTIBLE PREFERRED STOCK (0.1%)
----------------------------------------------------------
MEDIA & ENTERTAINMENT (0.1%)
*(+) Paxson
Communications
Corp. PIK,
9.75% (Cost $1,130) N/R 13,123 1,207
----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
37
<PAGE> 40
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
(CONT'D) & POOR'S) SHARES (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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 --
</TABLE>
<TABLE>
<CAPTION>
RATINGS
(STANDARD VALUE
& POOR'S) SHARES (000)!
----------------------------------------------------------
<S> <C> <C> <C>
* Occidente y Caribe
Cellular expiring
3/15/04 N/R 56,770 $ 852
*(+) 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
----------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
------
<S> <C> <C> <C>
CASH EQUIVALENTS (1.2%)
----------------------------------------------------------
TREASURY BILL (0.0%)
!! U.S. Treasury Bill
5.33%, 4/20/2000 (Cost $499) $ 500 $ 499
----------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
38
<PAGE> 41
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
----------------------------------------------------------
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
----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)!
----------------------------------------------------------
<S> <C> <C> <C>
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
----------------------------------------------------------
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>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
39
<PAGE> 42
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
HIGH YIELD
PORTFOLIO (UNAUDITED)
<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.
a 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.
--------------------------------------------------------------------------------
40
<PAGE> 43
STATEMENT OF OPERATIONS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP MID CAP
VALUE GROWTH VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- ---------
Six Months Ended March 31, 2000
(In Thousands)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 10,809 $ 806 $ 3,469
Interest 299 3,213 1,944
-------------------------------------------------------------------------------------------------------------------------
Total Income 11,108 4,019 5,413
-------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 2,756 4,515 3,775
Administrative Fee--Note C 441 721 403
Custodian Fee--Note E 76 44 28
Audit Fee 17 8 8
Legal Fee 11 8 7
Filing & Registration Fees 34 135 39
Shareholder Servicing Fee--Investment Class shares--Note D 6 -- 17
Distribution Fees--Adviser Class shares--Note D 266 628 65
Other Expenses 93 49 39
-------------------------------------------------------------------------------------------------------------------------
Total Expenses 3,700 6,108 4,381
-------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (36) (37) (26)
-------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,664 6,071 4,355
-------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 7,444 (2,052) 1,058
-------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities (91,568) 249,561 97,098
-------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 105,848 474,861 123,214
-------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 14,280 724,422 220,312
-------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 21,724 $722,370 $221,370
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
41
<PAGE> 44
STATEMENT OF OPERATIONS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
CAP FIXED HIGH
GROWTH INCOME YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- ---------
Six Months Ended March 31, 2000
(In Thousands)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ 137 $ 1,887 $ 401
Interest 590 161,104 52,194
-------------------------------------------------------------------------------------------------------------------------
Total Income 727 162,991 52,595
-------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Services--Note B 1,465 8,418 2,327
Administrative Fee--Note C 117 1,796 413
Custodian Fee--Note E 25 146 23
Audit Fee 7 24 11
Legal Fee 1 35 7
Filing & Registration Fees 41 44 29
Shareholder Servicing Fee--Investment Class shares--Note D -- 33 6
Distribution Fees--Adviser Class shares--Note D -- 177 22
Other Expenses 9 194 53
-------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,665 10,867 2,891
-------------------------------------------------------------------------------------------------------------------------
Expense Offset--Note J (15) (146) (23)
-------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,650 10,721 2,868
-------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) (923) 152,270 49,727
-------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities 57,894 (71,064) (3,495)
Foreign Currency Transactions -- -- 5,443
Futures and Swaps -- 1,048 1,344
-------------------------------------------------------------------------------------------------------------------------
Realized Net Gain (Loss) 57,894 (70,016) 3,292
-------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 72,904 13,752 (22,587)
Foreign Currency Transactions -- -- 3,156
Futures and Swaps -- (16,947) (374)
-------------------------------------------------------------------------------------------------------------------------
Unrealized Appreciation (Depreciation) 72,904 (3,195) (19,805)
-------------------------------------------------------------------------------------------------------------------------
Net Gain (Loss) 130,798 (73,211) (16,513)
-------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $129,875 $ 79,059 $ 33,214
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
42
<PAGE> 45
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP
VALUE GROWTH 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 $ (943) $ (2,052) $ 3,425 $ 1,058
Realized Net Gain (Loss) 122,925 (91,568) 237,742 249,561 109,808 97,098
Change in Unrealized
Appreciation (Depreciation) 134,138 105,848 102,485 474,861 15,607 123,214
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 284,764 21,724 339,284 722,370 128,840 221,370
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income (30,731) (7,549) (2) -- (1,451) (2,940)
Realized Net Gain (346,188) (111,639) (77,567) (150,641) (31,726) (98,166)
INVESTMENT CLASS:
Net Investment Income (270) (59) -- -- (32) (36)
Realized Net Gain (3,540) (1,037) -- -- (1,377) (2,499)
ADVISER CLASS:
Net Investment Income (4,810) (1,471) -- -- (8) (79)
Realized Net Gain (52,186) (26,648) (14,328) (53,376) (355) (5,142)
---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (437,725) (148,403) (91,897) (204,017) (34,949) (108,862)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 348,999 143,214 565,037 807,974 370,988 377,896
In Lieu of Cash Distributions 327,810 110,625 71,047 137,702 31,687 92,684
Redeemed (1,761,799) (488,296) (486,282) (225,661) (188,868) (150,995)
INVESTMENT CLASS:
Issued 6,883 3,996 -- -- 6,915 10,928
In Lieu of Cash Distributions 2,822 1,024 -- -- 1,251 2,117
Redeemed (23,620) (6,487) -- -- (6,141) (18,158)
ADVISER CLASS:
Issued 78,928 54,170 181,375 385,766 40,211 26,408
In Lieu of Cash Distributions 51,418 27,542 14,192 52,577 363 4,843
Redeemed (173,003) (106,521) (24,798) (42,732) (7,784) (8,273)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (1,141,562) (260,733) 320,571 1,115,626 248,622 337,450
---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) (1,294,523) (387,412) 567,958 1,633,979 342,513 449,958
NET ASSETS:
Beginning of Period 2,638,035 1,343,512 481,013 1,048,971 444,335 786,848
---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,343,512 $956,100 $1,048,971 2$,682,950 $786,848 1$,236,806
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
43
<PAGE> 46
STATEMENT OF CHANGES IN NET ASSETS (CONT.)
--------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP
VALUE GROWTH 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>
Undistributed net investment
income (loss) included in end
of period net assets $ 5,140 $ 3,505 $ 2 $ (2,050) $ 3,056 $ 1,059
---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 22,907 11,978 24,011 24,783 17,268 16,946
In Lieu of Cash Distributions 23,236 9,485 3,801 4,778 1,661 4,550
Shares Redeemed (117,686) (39,899) (20,418) (6,959) (9,185) (6,694)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Institutional Class Shares
Outstanding (71,543) (18,436) 7,394 22,602 9,744 14,802
---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS:
Shares Issued 440 339 -- -- 324 496
In Lieu of Cash Distributions 200 88 -- -- 66 104
Shares Redeemed (1,547) (540) -- -- (279) (806)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Investment Class Shares
Outstanding (907) (113) -- -- 111 (206)
---------------------------------------------------------------------------------------------------------------------------------
ADVISER CLASS:
Shares Issued 5,078 4,506 7,873 11,847 1,930 1,183
In Lieu of Cash Distributions 3,645 2,365 763 1,839 19 238
Shares Redeemed (11,461) (8,602) (1,101) (1,286) (362) (374)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Adviser Class Shares
Outstanding (2,738) (1,731) 7,535 12,400 1,587 1,047
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
44
<PAGE> 47
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
SMALL CAP FIXED HIGH
GROWTH 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> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net Investment Income (Loss) $ (154) $ (923) $314,624 $ 152,270 $ 87,828 $ 49,727
Realized Net Gain (Loss) 15,676 57,894 (123,134) (70,016) (8,975) 3,292
Change in Unrealized
Appreciation (Depreciation) 12,161 72,904 (176,179) (3,195) (6,643) (19,805)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 27,683 129,875 15,311 79,059 72,210 33,214
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:--Note A10
INSTITUTIONAL CLASS:
Net Investment Income -- -- (273,978) (153,429) (75,740) (52,672)
Realized Net Gain -- (20,468) -- -- (3,816) --
In Excess of Realized Net
Gain -- -- (112,821) -- (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) (1,019) (891)
Realized Net Gain -- -- -- -- (40) --
In Excess of Realized Net
Gain -- -- (3,280) -- (145) --
---------------------------------------------------------------------------------------------------------------------------------
Total Distributions -- (20,468) (401,463) (159,868) (95,321) (53,894)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
INSTITUTIONAL CLASS:
Issued 81,536 370,838 958,460 426,275 564,421 266,034
In Lieu of Cash Distributions -- 18,296 349,941 135,413 64,229 35,894
Redeemed (18,994) (106,470) (1,222,480) (431,592) (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 28,455 14,610
In Lieu of Cash Distributions -- -- 8,285 3,750 1,072 778
Redeemed -- -- (25,174) (26,831) (25,988) (9,069)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
from Capital Share
Transactions 62,542 282,664 100,703 141,011 256,727 77,511
---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) 90,225 392,071 (285,449) 60,202 233,616 56,831
NET ASSETS:
Beginning of Period 3,004 93,229 4,805,262 4,519,813 724,608 958,224
---------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 93,229 $ 485,300 4$,519,813 $4,580,015 $958,224 $1,015,055
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
45
<PAGE> 48
STATEMENT OF CHANGES IN NET ASSETS (CONT.)
--------------------------------------------------------------------------------
(Amounts for the six months ended March 31, 2000 are unaudited)
<TABLE>
<CAPTION>
SMALL CAP FIXED HIGH
GROWTH 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> <C> <C>
Undistributed net investment
income (loss) included in
end of period net assets $ -- $ (923) $ 82,491 $ 74,893 $ 29,048 $ 24,881
---------------------------------------------------------------------------------------------------------------------------------
(1) Shares Issued and Redeemed
INSTITUTIONAL CLASS:
Shares Issued 3,253 7,338 82,479 38,845 62,967 30,702
In Lieu of Cash
Distributions -- 412 30,023 12,356 7,249 4,170
Shares Redeemed (715) (1,993) (105,699) (39,139) (41,499) (26,779)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Institutional Class
Shares Outstanding 2,538 5,757 6,803 12,062 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 3,188 1,683
In Lieu of Cash
Distributions -- -- 710 342 120 90
Shares Redeemed -- -- (2,166) (2,443) (2,883) (1,050)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease)
in Adviser Class
Shares Outstanding -- -- 1,846 311 425 723
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
46
<PAGE> 49
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
VALUE PORTFOLIO -------------------------------------------------------------- March 31,
1995 1996 1997+ 1998 1999+ 2000
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <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>
<S> <C>
* Annualized
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
47
<PAGE> 50
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
VALUE PORTFOLIO
(CONTINUED)
<TABLE>
<CAPTION>
Investment Class
------------------------------------------------------------
Six
May 6, Year Ended September 30, Months
1996** to -------------------------- Ended
September 30, 1997+ 1998 1999+ March 31,
1996 2000
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 14.97 $ 15.60 $ 20.36 $15.15 $13.38
----------------------------------------------------------------------------------------------
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, 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 $ 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>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
48
<PAGE> 51
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>
* Annualized.
++ Amount is less than $0.01 per share.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
49
<PAGE> 52
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
MID CAP GROWTH PORTFOLIO
(CONTINUED)
<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>
* Annualized
** Initial offering of Adviser Class shares
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
50
<PAGE> 53
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, Year Ended September 30, Six Months
1994** to ---------------------------------------- Ended
September 30, 1996 1997+ 1998+ 1999+ March 31,
MID CAP VALUE PORTFOLIO 1995 2000+
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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 0.55L 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%*L 1.61% 0.28% 0.40% 0.57% 0.23%*
Portfolio Turnover Rate 639%L 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>
* Annualized
** Commencement of Operations
+ Per share amounst are based upon average shares outstanding.
L Net Investment Income, the Ratio of Net Investment Income to
Average Net Assets and the Portfolio Turnover Rate reflect
activity relating to a nonrecurring initiative to invest in
higher-paying dividend income producing securities.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
51
<PAGE> 54
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
MID CAP VALUE PORTFOLIO
(CONTINUED)
<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) 1.24%* 1.12% 1.11%*
Ratio of Net Investment Income to
Average 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>
* Annualized
*** Initial offering of Investment Class shares
**** Initial offering of Adviser Class shares
+ Per share amounts are based upon average shares outstanding.
++ Amount is less than $0.01 per share.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
52
<PAGE> 55
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> <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.
--------------------------------------------------------------------------------
53
<PAGE> 56
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,
FIXED INCOME PORTFOLIO --------------------------------------
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>
Institutional Class
--------------------------------------------------------------
Year Ended September 30,
--------------------------------------------------------------
1997+ 1998+ 1999+
--------------------------------------------------------------
FIXED INCOME PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------------
<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>
Institutional Class
-------------------
Six Months
Ended
March 31,
2000
--------------------
FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------------------------
<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>
<S> <C>
* Annualized
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
54
<PAGE> 57
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
FIXED INCOME PORTFOLIO
(CONTINUED)
<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 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 $ 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%
------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $ 76,683 $131,303 $141,709 $ 142,416
Ratio of Expenses to Average Net
Assets (2) 0.77%* 0.73% 0.73% 0.72%*
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>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Class shares
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
55
<PAGE> 58
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
HIGH YIELD PORTFOLIO 1995 1996 1997+ 1998+ 1999+ March 31,
2000
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <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>
<S> <C>
* Annualized
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
56
<PAGE> 59
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
For a Share Outstanding Throughout Each Period
(Amounts for the six months ended March 31, 2000 are unaudited)
HIGH YIELD PORTFOLIO
(CONTINUED)
<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> <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> <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>
* Annualized
** Initial offering of Investment Class shares
*** Initial offering of Adviser Cl ass shares
+ Per share amounts are based on average shares outstanding.
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
57
<PAGE> 60
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 Funds
offer 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 accompanying financial
statements and financial highlights are those of the Value Portfolio, Mid Cap
Growth Portfolio, Mid Cap Value Portfolio, Small Cap Growth Portfolio, Fixed
Income Portfolio and High Yield Portfolio only. The financial statements for the
remaining 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. 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.
--------------------------------------------------------------------------------
58
<PAGE> 61
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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 initial settlement value (represented by cash
paid to or received from brokers as "variation margin") are accounted for
as unrealized appreciation (depreciation). When futures contracts are
closed, the difference between the opening value at the date of purchase
and the value at closing is recorded as realized gains or losses in the
Statement of Operations.
Futures contracts may be used by each Portfolio 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 Mid Cap Growth Portfolio, may
enter into swap agreements to exchange the return generated by one
instrument for the return generated by another instrument. The fol-
--------------------------------------------------------------------------------
59
<PAGE> 62
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
lowing summarizes interest rate 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 may purchase or sell
securities on a when-issued or forward commitment basis. Payment and
delivery may take place a month or more after the date of the transaction.
The price of the underlying securities and the date when the securities
will be delivered and paid for are fixed at the time the transaction is
negotiated. Collateral consisting of liquid securities or cash is
maintained in an amount at least equal to these commitments with the
custodian. Securities held in segregated accounts cannot be sold while this
strategy is outstanding, unless replaced with other assets. As a result,
there is a possibility that as asset segregation reaches certain levels, a
portfolio may lose some flexibility in managing its investments, responding
to shareholder redemption requests, or meeting other current obligations.
8. PURCHASED OPTIONS: Certain Portfolios may purchase call and put options on
their
--------------------------------------------------------------------------------
60
<PAGE> 63
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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 and Small Cap Growth 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
--------------------------------------------------------------------------------
61
<PAGE> 64
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
close of the period. The Portfolios do not isolate that portion of the
results of operations arising as a result of changes in the foreign
exchange rates from the fluctuations arising from changes in the market
prices of the securities held at period end. Similarly, the Portfolios do
not isolate the effect of changes in foreign exchange rates from the
fluctuations arising from changes in the market prices of securities sold
during the period. Accordingly, the components of realized and unrealized
foreign currency gains (losses) representing foreign exchange changes on
investments are included in the reported net realized and unrealized gains
(losses) on investment transactions and balances. Changes in currency
exchange rates will affect the value of and investment income from such
securities and currency.
Foreign security and currency transactions may involve certain
considerations and risks not typically associated with those of U.S. dollar
denominated transactions as a result of, among other factors, the possibly
lower levels of governmental supervision and regulation of foreign
securities markets and the possibility of political or economic
instability.
10. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income, if any, are declared and paid quarterly except for the Mid Cap
Growth, Mid Cap Value and Small Cap Growth Portfolios, which are declared
and paid annually. 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
--------------------------------------------------------------------------------
62
<PAGE> 65
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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>
Voluntary Expense Limitations
Annual ------------------------------------
Investment Institutional Investment Adviser
Portfolio Advisory Fee Class Class Class
--------- ------------ ------------- ---------- -------
<S> <C> <C> <C> <C>
Value 0.500% --% --% --%
Mid Cap Growth 0.500 -- -- --
Mid Cap Value 0.750 -- -- --
Small Cap Growth 1.000 1.15 -- --
Fixed Income 0.375 -- -- --
High Yield 0.450 -- -- --
</TABLE>
The Adviser has voluntarily agreed to reduce the fees payable to it and, if
necessary, reimburse certain Portfolios so that annual operating expenses will
not exceed voluntary expense limitations established for each class of shares as
presented in the table above.
C. ADMINISTRATION FEE. MAS serves as Administrator to the Fund pursuant to an
Administration Agreement. Under the agreement, MAS receives an annual fee,
accrued daily and payable monthly, of 0.08% of each Portfolio's average daily
net assets. Chase Global Funds Services Company ("CGFSC") serves as Transfer
Agent to the Fund and provides fund accounting and other services pursuant to a
sub-administration agreement with MAS and receives compensation from MAS for
these services.
D. DISTRIBUTOR. MAS Funds Distribution, Inc. ("MASDI" or the "Distributor"), a
wholly owned subsidiary of 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
--------------------------------------------------------------------------------
63
<PAGE> 66
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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 $74,000.
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 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
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
High Yield 311,526 192,802
</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
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)
High Yield 1,093,723 13,279 (101,663) (88,384)
</TABLE>
--------------------------------------------------------------------------------
64
<PAGE> 67
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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>
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
EUR26,095 25,965 4/28/00 25,025 940
EUR 8,870 8,822 4/28/00 8,506 316
GBP21,095 34,089 5/3/00 33,562 527
EUR 9,635 9,618 5/10/00 9,248 370
EUR13,475 12,907 6/30/00 12,980 (73)
--------
US$2,748
--------
Net US$2,740
========
</TABLE>
<TABLE>
<S> <C> <C>
EUR -- Euro
GBP -- British Pound
US$ -- 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
HIGH YIELD
U.S. Treasury
10 yr. Note 320 US$ 31,385 Jun-00 793
Sales:
FIXED INCOME
90 Day Euro 26 EUR 1,628 Jun-00- 27
Mar-01
U.S.Treasury
10 yr. Note 2,322 US$227,737 Jun-00 (6,103)
U.S. Treasury
Long Bond 6,393 US$624,516 Jun-00 (15,933)
HIGH YIELD
U.K. Long Gilt 161 GBP 28,972 Jun-00 (281)
</TABLE>
<TABLE>
<S> <C> <C>
EUR -- Euro
GBP -- British Pound
US$ -- U.S. Dollar
</TABLE>
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 $ (3,868)
terminating August 25, 2008 to pay 3
month LIBOR quarterly and to receive
fixed rate at 6.04% semiannually.
50,000 Agreement with Bankers Trust Company (3,600)
terminating August 27, 2008 to pay 3
month LIBOR quarterly and to receive
fixed rate at 6.10% semiannually.
</TABLE>
--------------------------------------------------------------------------------
65
<PAGE> 68
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
-------- ----------- --------------
<C> <S> <C>
$ 11,000 Agreement with Bankers Trust Company $ (840)
terminating August 28, 2008 to pay 3
month LIBOR monthly and to receive
fixed rate at 6.03% semiannually.
19,000 Agreement with Bankers Trust Company (1,921)
terminating September 17, 2008 to
pay 3 month LIBOR quarterly and to
receive fixed rate at 5.64%
semiannually.
31,000 Agreement with Bankers Trust Company (3,233)
terminating September 21, 2008 to
pay 3 month LIBOR quarterly and to
receive fixed rate at 5.59%
semiannually.
41,000 Agreement with Deutsche Bank (1,311)
terminating November 8, 2009 to pay
3 month LIBOR quarterly and to
receive fixed rate at 6.81%
semiannually.
134,350 Agreement with Goldman Sachs (183)
terminating March 24, 2010 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.25% semiannually.
56,450 Agreement with Salomon Brothers 82
terminating March 24, 2010 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.29% semiannually.
89,300 Agreement with Salomon Brothers 455
terminating February 10, 2030 to pay
3 month LIBOR quarterly and to
receive fixed rate at 7.26%
semiannually.
72,000 Agreement with Goldman Sachs 1,320
terminating March 2, 2030 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.36% semiannually.
39,500 Agreement with Goldman Sachs 602
terminating March 3, 2030 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.34% semiannually.
35,100 Agreement with Goldman Sachs 407
terminating March 9, 2030 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.31% semiannually.
40,200 Agreement with Salomon Brothers 383
terminating March 10, 2030 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.29% semiannually.
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Amount (Depreciation)
(000) Description (000)
-------- ----------- --------------
<C> <S> <C>
$ 42,000 Agreement with Salomon Brothers $ 312
terminating March 13, 2030 to pay 3
month LIBOR quarterly and to receive
fixed rate at 7.27% semiannually.
--------
$(11,395)
========
</TABLE>
LIBOR -- London Interbank Offer Rate
H. CAPITAL LOSS CARRY FORWARD. At March 31, 2000, 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
High Yield -- -- 908
</TABLE>
I. IN-KIND TRANSACTIONS. For the six months ended March 31, 2000, there were no
realized gains (losses) from in-kind redemptions.
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
Fixed Income 308
</TABLE>
--------------------------------------------------------------------------------
66
<PAGE> 69
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
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
Fixed Income 533,135 542,315
</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 $178,000 and $105,000 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 financial
condition of an issuer of these securities and general economic and industry
specific conditions may affect the issuer's ability to make payments of income
and principal on these securities.
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%
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
High Yield -- 77.7 79.6
</TABLE>
--------------------------------------------------------------------------------
67
<PAGE> 70
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
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MAS
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MAS FUNDS
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.
