<PAGE>
DEAR FELLOW SHAREHOLDER:
THE UNPRECEDENTED
BULL MARKET RUN
CONTINUED DURING
THE FIRST HALF
OF THIS YEAR.
ZWEIG
SERIES TRUST
1997 SEMI-ANNUAL REPORT
<PAGE>
The second quarter of 1997 capped a 12-month period in which the Standard &
Poor's 500 Index returned nearly 35%. For the three years ended this quarter,
the index had an average annual return of nearly 29%. This is a rare feat, and
one which not merely trivializes but punishes a risk-averse style of management
like ours.
A market like this develops-indeed, has long since developed-a momentum all its
own. It will cheerfully pay 42 times earnings for Coca-Cola, not because anyone
really thinks Coke is fairly valued at that multiple, but because so much money
is pouring into stock funds that tomorrow someone will pay 43, or 44, or
however-many-times earnings Coke gets to before the mania runs its course. This
is not, in any sense that I understand, investing. It's a cross between the
bigger-fool theory and musical chairs.
[PHOTO]
MARTIN E. ZWEIG, PH.D.
Our emphasis on exceptional risk control-that is, on producing superior returns
OVER COMPLETE MARKET CYCLES-remains the core of our strategy. Our funds are for
people who want and need exposure to the potential returns of equities, without
the extreme volatility that always punctuates the market's basic long-term
uptrend. We refuse to chase bull-market "peak performance," as this style of
management exposes people to peak volatility.
I am pleased that our equity funds have earned double-digit annualized returns
over the past one-, three- and five-year periods (before sales charges). That
said, I'd be less than candid if I didn't acknowledge that being the tortoise,
and watching another hare go whizzing by every time one turns around, gets
really tiresome after a while. As the veteran market commentator Ray DeVoe
observed (about 2000 Dow points ago), this is a very difficult market for anyone
with a memory-and I have a long memory.
I can remember seeing a lot of people, who thought the post-WWII bull market
would last forever, postpone their retirement as a result of the bear market of
1973-74. Others made do by sharply compromising their lifestyles. Still others
ended up living on what were supposed to be their children's legacies.
I believe I'll see things like that happen again-BUT NOT IF I CAN HELP IT, TO
OUR SHAREHOLDER. We can't (and we won't) break faith with our risk-averse
disciplines, nor with the investors who hired us to practice those
disciplines-least of all now.
TABLE OF CONTENTS
Shareholder Letter 1
An interview with Marty Zweig 4
Zweig Strategy Fund Review 6
Zweig Appreciation Fund Review 7
Zweig Managed Assets Review 8
Zweig Growth & Income Fund Review 9
Zweig Government Fund Review 10
Zweig Cash Fund Review 10
Statement of Net Assets 11
Statement of Operations 35
Statement of Changes in Net Assets 36
Notes to Financial Statements 37
Financial Highlights 41
2
<PAGE>
I'd like now to bring you up to date on the status of our current research. We
began the second quarter in a low-neutral position. On balance, our research
improved somewhat during the quarter to an essentially neutral reading. Thus, we
increased the market exposure of our funds slightly during the quarter.
The uptick was due largely to improvement in our monetary model, which looks at
interest rates, Federal Reserve policy and the bond market. The Fed decided not
to raise interest rates at its meetings in May and July-a plus for stocks. Bonds
have been making gains based on the news that inflation is low and the economy
doesn't appear overheated. The monetary model was high-neutral at quarter-end.
The thing that kept us from getting even further invested, however, was the
decline in our sentiment model. The model started the quarter at a mediocre
reading and fell to poor by the end of June. This happened because investor
optimism grew to what we began to see as unrealistic levels-not surprising when
you consider that the Dow Jones Industrial Average gained more than 1000 points
during the quarter!
Because of the strength of the market's rise this quarter, our momentum model is
positive. However, momentum gets the smallest weight in our research.
Commentaries on our mutual funds follow, starting on page 6. My associates and I
thank you for your support of our efforts.
Sincerely,
/s/ MARTIN E. ZWELG, Ph.D.
President
July 18, 1997
CALL 1-800-272-2700 TO ORDER THE STORY
OF CAUTIONS CAL AND AGGRESIVE AL. THIS
HANDOUT EXPLAINS HOW YOU CAN "UNDER-
PERFORM" IN A BULL MARKET AND STILL EARN
ATTRACTIVE LONG-TERM RETURNS BY LIMITING
LOSSES DURING SERIOUS MARKET DECLINES.
THIS REPORT HAS BEEN PREPARED FOR THE INFORMATION OF SHAREHOLDERS OF ZWEIG
SERIES TRUST AND IS NOT AUTHORIZED FOR USE UNLESS PRECEDED OR ACCOMPANIED BY A
CURRENT PROSPECTUS. THE PROSPECTUS INCLUDES INFORMATION REGARDING THE TRUST'S
SALES CHARGES, EXPENSES, OBJECTIVES, POLICES, MANAGEMENT, PERFORMANCE AND OTHER
INFORMATION. PLEASE READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY. CALL
ZWEIG AT 1-800-272-2700 TO OBTAIN ADDITIONAL COPIES OF THE PROSPECTUS.
THE PERFORMANCE DATA QUOTED REPRESENT PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. THE SHORTER THE TIME PERIOD OF YOUR INVESTMENT, THE GREATER THE
POSSIBILITY OF LOSS. FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR INSURED
OR GUARANTEED BY, THE U.S. GOVERNMENT, ANY FINANCIAL INSTITUTION, THE FEDERAL
DEPOSIT INSURANCE CORPORATION, OR ANY OTHER AGENCY, ENTITY OR PERSON.
3
<PAGE>
AN INTERVIEW WITH MARTY ZWEIG
YOUR RESEARCH HAS BEEN NEUTRAL FOR THE LAST 2000 DOW POINTS ON THE UPSIDE.
HAVEN'T YOU BEEN WRONG?
I guess it depends on what you mean by "wrong."
You're wrong when you predict that the market is going to do one thing, and
it does another. In that sense, we can never be wrong-or right, for that matter-
because we never predict anything. We have no market outlook; we obey our
research as it reacts to changing levels of risk in the markets.
This has been the greatest bull market of all time. It's defied virtually
every known historical standard, and kept on running. But when our research
picks up extremely high valuations and wildly bullish public sentiment, it
dictates caution. When fed policy goes from being very accommodative (as it was
from late 1990 through early 1994) to being essentially neutral, and then to a
tightening mode, our research wants to tap the brakes. And still the market,
driven now by mutual fund mania, surges on.
So the knock on us becomes "too cautious, too soon." I'm philosophical
about that, not least of all because I have to be. Very late in any orgy of
bullishness, caution is not merely devalued; it is scorned. For a defensive
manager, that just comes with the territory: whenever risk control is most
needed, it's always least wanted.
SO YOU FEEL YOU REALLY HAVE NO CHOICE?
Sure I have a choice. I've got lots of choices. I can turn my back on the
research we've been refining for nearly 30 years-and thereby scorn the investors
who hire us to manage risk-to play the momentum game. Or we can go back to our
models and torture the data until they confess that they're "really" bullish,
after all. Then we could justify being fully invested-just like most other
mutual funds-and become totally exposed to all the risks inherent in a
late-stage bull market. No, thanks.
THEN YOU'RE SATISFIED WITH THE WAY YOUR MODELS ARE WORKING?
I'm rarely satisfied, least of all now. We're constantly refining our research,
both in the area of risk management and in our stock selection models. Markets
are nothing if not dynamic, and we owe it to our investors and ourselves to
continue to improve our research capabilities. We also continue to learn about
how our models work in overseas markets; that will surely become increasingly
important as time goes by. And we have good reason to be pleased with our
progress in these areas.
WHEN OUR RESEARCH
PICKS UP EXTREMELY
HIGH VALUATIONS
AND WILDLY BULLISH
PUBLIC SENTIMENT,
IT DICTATES CAUTION.
4
<PAGE>
HOW SO?
Well, take our largest fund, Zweig Strategy, for instance. Since its inception
on 12/29/89, the A Shares have returned 11.5% annually before sales charges, or
80% of the average growth fund's return, according to Lipper Analytical. But
we've only been 65% invested, on average. Our stock selection is what's kept us
so close to our peers in absolute performance-closer, perhaps, than our
defensive cash position gave us any right to be. So in terms of risk-adjusted
return, I'd put Strategy Fund up against anybody.
ANY OTHER HIGHLIGHTS?
Our global asset allocation fund, Zweig Managed Assets, has returned 17.4% over
the last 12 months (for the A Shares before sales charges), despite having only
a 46% average stock position (26% was in bonds and 28% in cash). Our foreign
country models are a part of this story, but so is our growing understanding of
how to apply the different indicators we use domestically to foreign markets.
BUT ISN'T THE ESSENCE OF WHAT YOU DO LOSS LIMITATION IN DECLINING MARKETS?
That's a popular misconception, and it gives people an excuse to ignore us in
bull markets. The essence of what we try to do is provide superior returns over
bull and BEAR MARKETS. If we can solidly participate during market advances, and
then protect the bulk of those gains during serious market declines, we should
be able to produce superior absolute returns-and exceptional risk-adjusted
returns. The concept that risk control can enhance your long-term returns is
lost on most people this deep into a bull market.
IN CLOSING, WHAT DO YOU THINK IS THE GREATEST RISK TO TODAY'S MUTUAL FUND
INVESTORS?
That's easy: unrealistic expectations. Fifteen years into the greatest bull
market of all time, people have a wildly exaggerated idea of normal returns from
stocks-and a terribly limited idea of normal risk. The danger arises from the
fact that people react much more emotionally to loss than to gain.
Even those who try to keep a long-term focus are likely to be mislead these
days. In October, the 10-year records of stock funds will no longer include the
1987 crash. Thus, long-term fund performance will include only a single brief
bear market-the third quarter of 1990. This can only make investors'
expectations less realistic.
The fully invested school of fund management asks the investor to ride the
market all the way down in order to be there when it goes all the way up. I
remain convinced that the great preponderance of investors cannot ride that
roller coaster-and do not need to. Our funds are dedicated to offering investors
the long-term growth of capital they need without subjecting them to bear market
losses they can't withstand.
YOU MEAN, YOU DON'T HAVE TO BE IN IT TO WIN IT?
Not exactly. You have to be able to stay in it to win it. When all is said and
done, that's what we offer the risk-averse investor: a way to stay in it.
THE ESSENCE OF
WHAT WE TRY TO DO
IS PROVIDE SUPERIOR
RETURNS OVER BULL
AND BEAR MARKETS.
5
<PAGE>
ZWEIG STRATEGY FUND
A RISK-AVERSE APPROACH TO THE GROWTH POTENTIAL OF MID-SIZED AND LARGE-COMPANY
STOCKS
For the first half of 1997, the fund's Class A Shares returned 6.0%, versus
14.3% for the Lipper Growth Fund Average and 20.6% for the S&P 500. Our average
market exposure was 54%. The fund's Class B and C Shares (which have no initial
sales charge but bear higher annual expenses) each returned 5.6%.
Our stock selection, which has worked well for us over die life of the
fund, has cost us recently. We select stocks with above-average growth rates and
below-average valuation. But today's top-performing stocks are the very largest
companies, which are selling at high prices relative to their earnings. For the
past five years, Strategy Fund (Class A) has had an average annual return of
13.9%, versus 16.9% for the Lipper Growth Fund Average. We've captured 82% of
the return with an average market exposure of only 63%-evidence of superior
stock selection.
Some industry groups have done well for us in 1997. In the consumer
cyclical group, the stocks of retailing companies have benefited from strong
consumer spending and high levels of consumer confidence. In the financial
sector, brokerage stocks are doing well as the market continues to climb. The
fund's airline stocks are earning strong returns because business travel, the
most profitable area of the airline business, has increased dramatically with
the strong economy, and pricing is firm.
Our holdings in utilities and energy stocks have held us back this year.
Energy stocks did very well in late 1996, but are taking a breather relative to
other sectors. However, our reasons for buying them-good earnings growth at
reasonable prices -are still valid. While utility stocks presently are
underperforming, we continue to hold them because their earnings growth is far
more stable than that of most growth stocks, while we believe their valuations
make them good buys.
PERFORMANCE ANNUALIZED SINCE INCEPTION*
(12/29/89)
<TABLE>
<CAPTION>
<S> <C>
ZWEIG STRATEGY FUND A SHARES 11.5%
AVG. MARKET EXPOSURE 65%
LIPPER GROWTH FUND AVERAGE t 14.4%
S&P 500 16.2%
</TABLE>
AFTER ALL CHARGES AND EXPENSES
<TABLE>
<CAPTION>
INCEPTION AVG. MARKET EXPOSURE 5 YEAR 1 YEAR
<S> <C> <C> <C> <C>
A SHARES 10.7% 65% 12.6% 8.6%
B SHARES 7.6% 59% N/A 8.5%
C SHARES 11.4% 63% 13.1% 12.7%
</TABLE>
INCEPTION DATES: A SHARES-12/29/89, B SHARES-4/8/96, C SHARES-2/4/92
<TABLE>
<CAPTION>
ASSETS MIXES FOR 1997
JANAURY 1
<S> <C>
STOCKS 59%
CASH 41%
</TABLE>
<TABLE>
<CAPTION>
JUNE 30
<S> <C>
STOCKS 62%
CASH 38%
</TABLE>
<TABLE>
<CAPTION>
TOP INDUSTRY GROUPS AS OF 6/30/97**
<S> <C>
ENERGY 18.3%
NON-BANK FINANCIAL 16.3%
CONSUMER CYCLICAL 15.2%
UTILITIES 12.1%
CAPTITAL GOODS 8.6%
TRANSPORTATION 8.1%
BASIC MATERIALS 6.6%
TECHNOLOGY 6.3%
CONSUMER STAPLES 4.0%
COMMUNICATION SERVICES 3.6%
</TABLE>
* RETURNS DO NOT INCLUDE ANY INITIAL OR CONTINGENT DEFERRED SALES CHARGES.
THE LIPPER GROWTH FUND AVERAGE IS BASED ON THE TOTAL RETURN OF 205 FUNDS.
THE ANNUALIZED RETURN FOR THE CLASS B SHARES SINCE THEIR INCEPTION ON
4/8/96 IS 11.4%. THE ANNUALIZED RETURN FOR THE CLASS C SHARES SINCE THEIR
INCEPTION ON 2/4/92 IS 11.4%.
t THE PERIOD MEASURED IS FROM 12/31/89 DUE TO LIPPER'S WEEKLY DATA.
FOR PURPOSES OF DETERMINING ASSET MIX, THE FUND'S STOCK FUTURES POSITION IS
TREATED AS REDUCING OR INCREASING STOCK EXPOSURE AND INCREASING OR REDUCING
CASH.
** PERCENTAGE OF THE STOCK PORTION OF THE FUND ONLY; DOES NOT TAKE INTO
ACCOUNT THE FUND'S CASH POSITION.
6
<PAGE>
ZWEIG APPRECIATION FUND
A RISK-AVERSE APPROACH TO THE GROWTH POTENTIAL OF SMALL-COMPANY STOCKS
For the first half of 1997, the fund's Class A Shares returned 8.2%, versus 9.0%
for the Lipper Small-Company Fund Average. This solid participation was
accomplished with an average market exposure of only 54%. The Value Line
Geometric Index returned 12.9%, including our estimate for dividends reinvested,
and the Russell 2000 Index returned 10.2 %. The Class B and C Shares (which have
no initial sales charge but bear higher annual expenses) returned 7.8% and 7.9%.
Superior stock selection has kept the fund's performance very near that of
its fully invested (and therefore higher-risk) peer group. We've been helped by
our significant holdings in the non-bank financial sector. The extended bull
market has meant rising stock prices for brokerage firms, insurers and regional
banks. Basic materials stocks (such as cement and chemical companies) are
performing well as a result of the strong economy. Capital goods stocks are also
strong performers. These companies make heavy machinery, which is in demand
given the growth in the economy.
Our reduced market exposure kept us only slightly behind our peers for the
year-to-date. As Marty Zweig noted in his letter, we maintained a defensive
position in deference to the combination of high levels of optimism and
no-better-than neutral monetary conditions. In the recent quarter, however, we
began to increase our market exposure as the bond market strengthened.
This fund, because of its risk-conscious approach, is sometimes seen as
solely a bear market investment. Our performance over the last 12 months, 17.5%
with an average market exposure of only 57%, versus 16.2% for the Russell 2000
Index and 20.6% for the Value Line, shows that we can be risk-averse and still
manage to participate solidly during bull markets.
<TABLE>
<CAPTION>
PERFORMANCE ANNUALIZED SINCE INCEPTION*
(10/7/91)
<S> <C>
ZWEIG APPRECIATION FUND A SHARES 13.1%
AVG. MARKET EXPOSURE 65%
LIPPER SMALL-COMPANY FUND AVERAGE@ 17.2%
VALUE LINE GEOMETRIC INDEX 11.8%
</TABLE>
<TABLE>
<CAPTION>
AFTER ALL CHARGES AND EXPENSES
INCEPTION AVG. MARKET EXPOSURE 5 YEAR 1 YEAR
<S> <C> <C> <C> <C>
A SHARES 12.0% 65% 12.8% 11.1%
B SHARES 11.9% 59% N/A 10.9%
C SHARES 11.3% 64% 13.2% 15.3%
</TABLE>
INCEPTION DATES: A SHARES-10/7/91, B SHARES-4/8/96, C SHARES-2/4/92
<TABLE>
<CAPTION>
ASSETS MIXES FOR 1997
JANAURY 1
<S> <C>
STOCKS 60%
CASH 40%
<CAPTION>
JUNE 30
<S> <C>
STOCKS 62%
CASH 38%
</TABLE>
<TABLE>
<CAPTION>
TOP INDUSTRY GROUPS AS OF 6/30/97**
<S> <C>
NON-BANK FINANCIAL 20.5%
CAPTITAL GOODS 13.2%
CONSUMER CYCLICAL 13.2%
BASIC MATERIALS 10.9%
UTILITIES 10.0%
ENERGY 8.1%
TECHNOLOGY 7.1%
BANKING 5.8%
TRANSPORTATION 4.5%
</TABLE>
* RETURNS DO NOT INCLUDE ANY INITIAL OR CONTINGENT DEFERRED SALES CHARGES.
THE LIPPER SMALL-COMPANY FUND AVERAGE IS BASED ON THE TOTAL RETURN OF 93
FUNDS. THE ANNUALIZED RETURN FOR THE CLASS B SHARES SINCE THEIR INCEPTION
ON 4/8/96 IS 15.7%. THE ANNUALIZED RETURN FOR THE CLASS C SHARES SINCE
THEIR INCEPTION ON 2/4/92 IS 11.3%.
t THE PERIOD MEASURED IS FROM 10/1 0191 DUE TO LIPPER'S WEEKLY DATA.
THE VALUE LINE GEOMETRIC INDEX MEASURES THE RETURNS OF 1,700 STOCKS,
RANGING FROM LARGE-CAP TO SMALL-CAP, ON AN UNWEIGHTED BASIS. THE RETURNS
INCLUDE OUR ESTIMATE FOR DIVIDENDS REINVESTED.
FOR PURPOSES OF DETERMINING ASSET MIX, THE FUND'S STOCK FUTURES POSITION IS
TREATED AS REDUCING OR INCREASING STOCK EXPOSURE AND INCREASING OR REDUCING
CASH.
** PERCENTAGE OF THE STOCK PORTION OF THE FUND ONLY; DOES NOT TAKE INTO
ACCOUNT THE FUND'S CASH POSITION.
7
<PAGE>
ZWEIG MANAGED ASSETS
A RISK-AVERSE APPROACH TO INVESTING IN DOMESTIC AND FOREIGN STOCKS AND BONDS
For the first half of 1997, the fund's Class A Shares returned 9.3%, versus 9.6%
for the Lipper Global Flexible Fund Average. We very nearly kept pace with our
peers with an average asset mix of only 45% stocks, 24% bonds and 31% in the
safety of cash. The fund's Class B and C Shares (which have no initial sales
charge but bear higher expenses) both returned 8.9%.
WE ARE PRESENTLY QUITE BULLISH ON MANY FOREIGN STOCK AND BOND MARKETS. Some
of the countries that are performing well this year are Spain, Switzerland and
Germany. We've also earned strong returns in Japan because we hold the industry
groups that are outperforming, such as exporters of automobiles and electronics.
Conversely, we have avoided the Japanese industry groups that are lagging, such
as the financial stocks. We were invested in Hong Kong earlier this year and
achieved good performance. However, we left Hong Kong entirely several months
before the transition to Chinese rule because we thought that the political
risks dictated a wait-and-see stance.
The fund is hedged against currency risk everywhere except the United
Kingdom, Italy and New Zealand. We remain unhedged in these countries because
economic fundamentals there bode well for those currencies.
Our U.S. stock selection has added to the fund's returns. We focus on
large-company stocks-presently the best-performing segment of the U.S. market.
The bonds we hold in Australia and New Zealand have done well because the
central banks of those countries have lowered interest rates, resulting in
higher bond prices. The Italian and Spanish bonds we own are performing strongly
as well, due to the prospect that these countries will join the European
Monetary Union, which would link their bonds to more stable currencies.
<TABLE>
<CAPTION>
PERFORMANCE ANNUALIZED SINCE INCEPTION*
(2/8/93)
<S> <C>
ZWEIG MANAGED ASSETS A SHARES 9.9%
AVG. MARKET EXPOSURE 34% Stocks
32% Bonds
LIPPER GLOBAL FLEXIBLE FUND AVERAGE t 11.7%
</TABLE>
<TABLE>
<CAPTION>
AFTER ALL CHARGES AND EXPENSES
INCEPTION AVG. MARKET EXPOSURE 1 YEAR
<S> <C> <C> <C> <C>
A Shares 8.5% STOCKS 34%, BONDS 32% 11.0%
B Shares 11.3% STOCKS 47%, BONDS 25% 10.8%
C Shares 9.2% STOCKS 34%, BONDS 32% 15.2%
</TABLE>
INCEPTION DATES: A SHARES-2/8/93, B SHARES-4/8/96, C SHARES-2/8/93
<TABLE>
<CAPTION>
ASSETS MIXES FOR 1997
JANUARY 1
<S> <C>
STOCKS 45%
CASH 32%
BONDS 23%
<CAPTION>
JUNE 30
<S> <C>
STOCKS 54%
CASH 14%
BONDS 32%
</TABLE>
<TABLE>
<CAPTION>
COUNTRY ALLOCATIONS AS OF 6/30/97
<S> <C> <C>
UNITED STATES 23.5% 17.2
AUSTRALIA 3.1% 1.8%
BELGIUM 2.0% -%
CANADA 1.5% -%
DENMARK 1.6% 1.4%
FINLAND 1.5% 1.0%
FRANCE 2.0% 1.0%
GERMANY 1.6% 1.0%
ITALY 2.1% 3.0%
JAPAN 4.2% -%
MEXICO 1.0% -%
NETHERLANDS 1.0% -%
NEW ZEALAND 1.5% 1.5%
SPAIN 3.2% 1.0%
SWEDEN 1.6% 1.0%
SWITZERLAND 1.3% -%
UNITED KINGDOM 1.4% 2.1%
TOTAL STOCKS: 54.1% BONDS: 32.0%
</TABLE>
* RETURNS DO NOT INCLUDE ANY INITIAL OR CONTINGENT DEFERRED SALES CHARGES.
THE LIPPER GLOBAL FLEXIBLE FUND AVERAGE IS BASED ON THE TOTAL RETURN OF 17
FUNDS. THE ANNUALIZED RETURN FOR THE CLASS B SHARES SINCE THEIR INCEPTION
ON 4/8/96 IS 15.1%. THE ANNUALIZED RETURN FOR THE CLASS C SHARES SINCE
THEIR INCEPTION ON 2/8/93 IS 9.2%.
t THE PERIOD MEASURED IS FROM 2/11/93 DUE TO LIPPER'S WEEKLY DATA.
FOR PURPOSES OF DETERMINING ASSET MIX, THE FUND'S STOCK FUTURES POSITION IS
TREATED AS REDUCING OR INCREASING STOCK EXPOSURE AND INCREASING OR REDUCING
CASH.
8
<PAGE>
ZWEIG GROWTH & INCOME FUND
A RISH-AVERSE APPROACH TO GROWTH STOCKS AND HIGH DIVIDEND-YIELD STOCKS
For the first half of 1997, the fund's Class A Shares returned 7.3%, versus
15.5% for the Lipper Growth & Income Fund Average and 20.6% for the S&P 500. Our
average market exposure was 54%. The fund's Class B and C Shares (which have no
initial sales charge but bear higher annual expenses) returned 7.0% and 6.9%,
respectively.
We choose stocks for the fund from two separate groups of companies. Half
the fund's equity exposure is invested in growth stocks (companies with
above-average earnings growth), while the other half is invested in high
dividend-yield stocks (companies that pay above-average dividends). For the
first six months of 1997, the two groups earned roughly the same returns, but
they did so by performing well at different times. The growth portion did well
during the second quarter, when the market rose without interruption. The high
dividend-yield portion did well by limiting losses during the market's
first-quarter decline. This is precisely the benefit we anticipated achieving by
having the fund equally divided between two different types of stocks.
In spite of this, our equity-only returns trailed the S&P 500 during the
period. That index has been tough for most managers to beat in recent years. Our
holdings in the utilities in particular hurt our performance. Utilities are
experiencing increased competition and consolidation, and investors are hesitant
to buy those stocks as a result. Our research indicates that profits are
expanding due to the restructuring of the industry, and that the earnings growth
of utilities, though slower, is more stable than most growth stocks. We believe
that, although the market is currently focused on stocks with more sizzle,
investors will eventually be willing to pay up for solid, less volatile stocks.
<TABLE>
<CAPTION>
PERFORMANCE ANNUALIZED SINCE INCEPTION*
(11/26/96)
<S> <C>
ZWEIG GROWTH & INCOME FUND A SHARES 7.7%
AVG. MARKET EXPOSURE 56%
LIPPER GROWTH & INCOME FUND AVERAGE t 14.6%
S&P 500 18.4%
</TABLE>
<TABLE>
<CAPTION>
AFTER ALL CHARGES AND EXPENSES
INCEPTION AVG. MARKET EXPOSURE 1 YEAR
<S> <C> <C>
A Shares 1.8% 56% N/A
B Shares 1.9% 56% N/A
C Shares 6.0% 56% N/A
</TABLE>
INCEPTION DATES: 11/26/96
<TABLE>
<CAPTION>
ASSETS MIXES FOR 1997
JANUARY 1
<S> <C>
STOCKS 60%
CASH 40%
<CAPTION>
JUNE 30
<S> <C>
STOCKS 62%
CASH 38%
</TABLE>
<TABLE>
<CAPTION>
TOP INDUSTRY GROUPS AS OF 6/30/97**
<S> <C>
CONSUMER CYCLICAL 20.2%
UTILITIES 18.1%
ENERGY 12.3%
CAPTITAL GOODS 12.2%
NON-BANK FINANCIAL 11.8%
BASIC MATERIALS 7.0%
CONSUMER STAPLES 6.3%
TECHNOLOGY 5.5%
TRANSPORTATION 3.8%
BANKING 1.2%
</TABLE>
* CUMULATIVE RETURN SINCE INCEPTION ON 11/26/96. RETURNS DO NOT INCLUDE ANY
INITIAL OR CONTINGENT DEFERRED SALES CHARGES. THE LIPPER GROWTH & INCOME
FUND AVERAGE IS BASED ON THE TOTAL RETURN OF 611 FUNDS. THE CUMULATIVE
RETURN FOR BOTH THE CLASS B SHARES AND THE CLASS C SHARES SINCE THEIR
INCEPTION ON 11/26/96 IS 7.3%.
t THE PERIOD MEASURED IS FROM 11/27/96 DUE TO LIPPER'S WEEKLY DATA.
FOR PURPOSES OF DETERMINING ASSET MIX, THE FUND'S STOCK FUTURES POSITION IS
TREATED AS REDUCING OR INCREASING STOCK EXPOSURE AND INCREASING OR REDUCING
CASH.
** PERCENTAGE OF THE STOCK PORTION OF THE FUND ONLY; DOES NOT TAKE INTO
ACCOUNT THE FUND'S CASH POSITION.
9
<PAGE>
ZWEIG GOVERNMENT FUND
MONTHLY INCOME FROM U.S. GOVERNMENT SECURITIES
For the first half of 1997, the fund's Class A Shares returned 1.6%, versus 2.5%
for the Lipper U.S. Government Bond Fund Average. The fund's Class B and C
Shares (which have no initial sales charge but bear higher expenses) returned
1.1% and 1.3%, respectively.
This has been, until recently, a lackluster year for bonds. Our bond model
has been low-neutral for much of the year, and rightly so. Interest rates
fluctuated a bit, but at quarter-end were roughly where they were in January.
In the past few weeks, however, our bond model has upticked to a bullish
reading. This is due mostly to the economy appearing to slow at the margins.
While good weather boosted growth in the first quarter, flooding and poor
weather conditions in the second quarter forced the economy to take a breather.
This slowdown has resulted in declining interest rates, so we've increased our
duration, or sensitivity to interest rates, from 4 years, where it was for much
of the year, to 5.5 years at quarter-end.
In addition, the Federal Reserve, while not quite accommodative, is at
least not restrictive at present. After the Fed raised interest rates in March,
it decided at its May and July meetings not to tighten further, which gave the
bond market a lift.
<TABLE>
<CAPTION>
PERFORMANCE ANNUALIZED SINCE INCEPTION*
(3/25/85**)
<S> <C>
ZWEIG GOVERNMENT FUND A SHARES 7.0%
LIPPER U.S. GOVERNMENT FUND AVERAGE t 8.2%
</TABLE>
<TABLE>
<CAPTION>
AFTER ALL CHARGES AND EXPENSES
10 YEAR /INCEPTION 5 YEAR 1 YEAR
<S> <C> <C> <C>
A SHARES 6.0% 42% 0.1%
B SHARES 0.9% N/A (0.9)%
C SHARES 4.7% 4.6% 3.3%
</TABLE>
INCEPTION DATES: A SHARES-3/25/85**, B SHARES-4/8/96, C SHARES-2/4/92
We continuously review the model that we use to determine our exposure to
bonds. Some recent refinements we have made were to give additional weight to
several indicators that have worked well, such as prices of base industrial
commodities like copper, aluminum and lead. We've also emphasized indicators
that are updated frequently, such as new home sales and rail car traffic, as
these appear to give early indications of the direction of the bond market.
* RETURNS DO NOT INCLUDE ANY INITIAL OR CONTINGENT DEFERRED SALES CHARGES.
THE LIPPER U. S. GOVERNMENT FUND AVERAGE IS BASED ON THE TOTAL RETURN OF 20
FUNDS. THE ANNUALIZED RETURN FOR THE CLASS B SHARES SINCE THEIR INCEPTION
ON 4/8/96 IS 4.3 %. THE ANNUALIZED RETURN FOR THE CLASS C SHARES SINCE
THEIR INCEPTION ON 2/4/92 IS 4.7%.
t THE PERIOD MEASURED IS FROM 3/31/85 DUE TO LIPPER'S WEEKLY DATA.
** ZWEIG/GLASER ADVISERS ASSUMED RESPONSIBILITY FOR MANAGING THE FUND ON
SEPTEMBER 1, 1989.
ZWEIG CASH FUND The annualized net yield of Zweig Cash Fund for the year-to-date
through June 30, 1997, was 4.79% for Class A and C Shares, 5.02% for Class M
Shares, and 4.09% for Class B Shares.
10
<PAGE>
ZWEIG STRATEGY FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS: 85.33%
AIR FREIGHT: 0.70%
Airborne Freight Corp. . . . . . . . . . . . . . . . . . . . . 65,200 $ 2,730,250
*Federal Express Corp. . . . . . . . . . . . . . . . . . . . . 98,000 5,659,500
---------
8,389,750
---------
AIRLINES: 5.09%
*America West Holdings Corp., Class B . . 232,100 3,365,450
*AMR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 330,800 30,599,000
British Airways Plc.. . . . . . . . . . . . . . . . . . . . . . 32,300 3,712,481
Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . . . . . 96,200 7,888,400
Southwest Airlines Co. . . . . . . . . . . . . . . . . . . . . 135,000 3,493,125
*USAir Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 333,400 11,669,000
----------
60,727,456
----------
APPAREL: 0.06%
*Fruit of The Loom, Inc., Class A . . . . . . . . . . . . . . . 15,500 480,500
Russell Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 7,500 222,188
----------
702,688
----------
AUTOMOBILES: 5.15%
Chrysler Corp. . . . . . . . . . . . . . . . . . . . . . . . . 977,300 32,067,656
Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . 405,100 15,292,525
General Motors Corp. . . . . . . . . . . . . . . . . . . . . . 107,100 5,964,131
Honda Motor Co., Ltd., ADR . . . . . . . . . . . . . . . . . . 88,600 5,332,612
Volvo AB, ADR . . . . . . . . . . . . . . . . . . . . . . . . 105,500 2,822,125
Volvo AB, ADR Rights . . . . . . . . . . . . . . . . . . . . . 103,500 9,703
----------
61,488,752
----------
AUTOMOTIVE PARTS AND EQUIPMENT: 0.51%
Borg-Warner Automotive, Inc. . . . . . . . . . . . . . . . . . 28,500 1,540,781
ITT Industries Inc. . . . . . . . . . . . . . . . . . . . . . 176,000 4,532,000
---------
6,072,781
---------
BANKS: 0.56%
*Imperial Bancorp. . . . . . . . . . . . . . . . . . . . . . . 26,030 751,616
Popular Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 5,500 222,063
Republic New York Corp. . . . . . . . . . . . . . . . . . . . 52,700 5,665,250
---------
6,638,929
---------
BUILDING MATERIALS AND PRODUCTS: 0.61%
Lafarge Corp. . . . . . . . . . . . . . . . . . . . . . . . . 24,600 602,700
Lone Star Industries, Inc. . . . . . . . . . . . . . . . . . . 40,100 1,817,031
Southdown, Inc. . . . . . . . . . . . . . . . . . . . . . . . 111,200 4,851,100
---------
7,270,831
---------
CHEMICALS: 0.69%
Albemarle Corp. . . . . . . . . . . . . . . . . . . . . . . . 77,300 1,628,131
Dow Chemical Corp. . . . . . . . . . . . . . . . . . . . . . . 58,700 5,114,237
*International Specialty Products Inc.. . . . . . . . . . . . . 48,100 676,406
*Methanex Corp. . . . . . . . . . . . . . . . . . . . . . . . . 89,000 817,688
-------
8,236,462
---------
COMPUTERS AND SOFTWARE: 3.75%
*Creative Technology Ltd. . . . . . . . . . . . . . . . . . . . 458,500 7,794,500
*Data General Corp. . . . . . . . . . . . . . . . . . . . . . . 267,000 6,942,000
*Seagate Technology Inc. . . . . . . . . .. . . . . . . . . . . 60,000 2,111,250
*Storage Technology Corp., Class A . . . . . . . . . . . . . . 400,500 17,822,250
*Stratus Computer Inc. . . . . . . . .. . . . . . . . . . . . . 60,900 3,045,000
*Tandem Computers Inc. . . . . . . . . . . . . . . . . . . . . 344,100 6,968,025
---------
44,683,025
----------
CONGLOMERATES: 3.87%
Canadian Pacific Ltd. . . . . . . . . . . . . . . . . . . . . 625,300 17,781,969
Loews Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 283,300 28,365,412
----------
46,147,381
----------
CONSTRUCTION EQUIPMENT: 4.00%
AGCO Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 191,700 6,889,219
Case Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 121,500 8,368,312
Caterpillar Inc. . . . . . . . . . . . . . . . . . . . . . . . 183,000 19,649,625
Number Value
of Shares (Note 2)
- -------------------------------------------------------------------------------------------------
Ingersoll-Rand Co. . . . . . . . . . . . . . . . . . . . . . . 7,600 $ 469,300
Kaydon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 25,200 1,250,550
Timken Co. . . . . . . . . . . . . . . . . . . . . . . . . . . 311,200 11,067,050
----------
47,694,056
----------
CONTAINERS AND PACKAGING: 0.23%
Vitro Sociedad Anonima, ADR . . . . . . . . . . . . . . . . . . 247,900 2,788,875
---------
ELECTRONICS: 1.83%
*Applied Magnetics Corp. . . . . . . . . . . . . . . . . . . . . 100,500 2,273,812
*Hadco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 50,300 3,294,650
Harris Corp. . .. . . . . . . . . . . . . . . . . . . . . . . . 121,100 10,172,400
Innovex Inc. . .. . . . . . . . . . . . . . . . . . . . . . . . 128,200 3,733,825
*SCI Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . 37,300 2,377,875
---------
21,852,562
----------
FINANCE: 1.28%
AMBAC Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 87,900 6,713,362
*Americredit Corp. . . . . . . . . . . . . . . . . . . . . . . 70,200 1,474,200
*Providian Financial Corp. . . . . . . . . . . . . . . . . . . 222,300 7,141,388
---------
15,328,950
----------
FOOD AND BEVERAGES: 0.31%
Adolph Coors Co., Class B . . . . . . . . . . . . . . . . . . 138,800 3,695,550
---------
FOREST AND PAPER PRODUCTs: 0.65%
James River Corp.of Virginia . . . . . . . . . . . . . . . . . 209,800 7,762,600
---------
HEALTHCARE FACILITIES AND PRODUCTs: 0.40%
*Beverly Enterprises, Inc. . . . . . . . . . . . . . . . . . . 233,100 3,787,875
*Universal Health Services, Inc., Class B . . . . . . . . . . 24,300 935,550
-------
4,723,425
---------
HOMEBUILDING AND LAND DEVELOPMENT: 0.65%
Centex Corp. . . . . . . . . . . . . . . . . . . . . . . . . 109,000 4,428,125
Lennar Corp. . . . . . . . . . . . . . . . . . . . . . . . . 52,800 1,686,300
Pulte Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 47,000 1,624,438
---------
7,738,863
---------
HOUSEHOLD FURNISHINGS AND PRODUCTS: 0.18%
Ethan Allen Interiors Inc.. . . . . . . . . . . . . . . . . . 38,400 2,188,800
------ ---------
INSURANCE: 4.97%
ACE Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . 136,300 10,069,162
Allmerica Financial Corp. . . . . . . . . . . . . . . . . . . 101,000 4,027,375
American Bankers Insurance Group, Inc. 39,400 2,492,050
Capital Re Corp. . . . . . . . . . . . . . . . . . . . . . . 20,000 1,070,000
CIGNA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 87,500 15,531,250
EXEL Limited . . . . . . . . . . . . . . . . . . . . . . . . 37,800 1,993,950
Fremont General Corp. . . . . . . . . . . . . . . . . . . . . 105,400 4,242,350
Horace Mann Educators Corp. . . . . . . . . . . . . . . . . . 80,700 3,954,300
Istituto Naz Del Assic, ADR . . . . . . . . . . . . . . . . . 8,100 124,538
Mid Ocean Limited . . . . . . . . . . . . . . . . . . . . . . 69,100 3,623,431
NAC Re Corp. . . . . . . . . . . . . . . . . . . . . . . . . 9,700 469,238
Old Republic International Corp. . . . . . . . . . . . . . . 207,500 6,289,844
Presidential Life Corp. . . . . . . . . . . . . . . . . . . . 11,100 215,063
Reliastar Financial Corp. . . . . . . . . . . . . . . . . . . 43,000 3,144,375
W.R.Berkley Corp. . . . . . . . . . . . . . . . . . . . . . . 34,300 2,019,412
---------
59,266,338
----------
INVESTMENT BANKING AND BROKERAGE: 4.85%
A.G. Edwards, Inc. . . . . . . . . . . . . . . . . . . . . . 110,700 4,732,425
Bear, Stearns & Co. Inc. . . . . . . . . . . . . . . . . . . 330,798 11,309,157
Merrill Lynch & Co., Inc. . . . . . . . . . . . . . . . . . 204,800 12,211,200
PaineWebber Group Inc. . . . . . . . . . . . . . . . . . . . 204,200 7,147,000
Raymond James Financial Corp. . . . . . . . . . . . . . . . 95,450 2,612,944
Salomon Inc. . . . . . . . . . . . . . . . . . . . . . . . . 356,400 19,824,750
----------
57,837,476
----------
MANUFACTURING: 0.95%
Aeroquip-Vickers Inc. . . . . . . . . . . . . . . . . . . . 76,000 3,591,000
Koor Industries Ltd., ADR . . . . . . . . . . . . . . . . . 40,200 708,525
</TABLE>
11
<PAGE>
ZWEIG STRATEGY FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)(CONTINUED)
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
MANUFACTURING (CONTINUED)
Nova Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 11,600 $ 98,600
Premark International Inc. . . . . . . . . . . . . . . . . . . 110,100 2,945,175
Trinity Industries Inc. . . . . . . . . . . . . . . . . . . . 124,700 3,959,225
---------
11,302,525
----------
METAL FABRICATION: 0.15%
*Mueller Industries, Inc. . . . . . . . . . . . . . . . . . . . 40,825 1,786,094
---------
METALS AND MINING: 1.26%
*Alumax Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 187,600 7,117,075
ASARCO Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 179,500 5,497,187
Phelps Dodge Corp. . . . . . . . . . . . . . . . . . . . . . 28,600 2,436,363
---------
15,050,625
----------
OIL AND GAS: 18.14%
Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . 84,200 2,736,500
Ashland Inc. . . . . . . . . . . . . . . . . . . . . . . . . 84,600 3,923,325
Atlantic Richfield Co. . . . . . . . . . . . . . . . . . . . 98,600 6,951,300
*Benton Oil & Gas Co. . . . . . . . . . . . . . . . . . . . . 131,900 1,978,500
Burlington Resources Inc. . . . . . . . . . . . . . . . . . 32,100 1,416,412
Chevron Corp. . . . . . . . . . . . . . . . . . . . . . . . 18,900 1,397,419
Coastal Corp. . . . . . . . . . . . . . . . . . . . . . . . 287,500 15,291,406
Columbia Gas System, Inc. . . . . . . . . . . . . . . . . . 155,600 10,152,900
Elf Aquitaine S.A., ADR . . . . . . . . . . . . . . . . . . 183,700 10,000,169
Enserch Corp. . . . . . . . . . . . . . . . . . . . . . . . 72,100 1,604,225
Helmerich & Payne, Inc. . . . . . . . . . . . . . . . . . . 50,100 2,887,012
Kerr-McGee Corp. . .. . . . . . . . . . . . . . . . . . . . 152,800 9,683,700
*Marine Drilling Companies, Inc. . . . . . . . . . . . . . . 37,900 743,788
Murphy Oil Corp.. . . . . . . . . . . . . . . . . . . . . . 88,400 4,309,500
*Newfield Exploration Co. . . . . . . . . . . . . . . . . . 111,200 2,224,000
*Nuevo Energy Co. . . . . . . . . . . . . . . . . . . . . . 100,600 4,124,600
Occidental Petroleum Corp. . . . . . . . . . . . . . . . . 402,200 10,080,138
*Oryx Energy Co. . . . . . . . . . . . . . . . . . . . . . . 366,600 7,744,425
Pacific Enterprises . . . . . . . . . . . . . . . . . . . . 58,900 1,980,513
Parker & Parsley Petroleum Co.. . . . . . . . . . . . . . . 141,000 4,987,875
Pennzoil Co. . . . . . . . . . . . . . . . . . . . . . . . 90,500 6,945,875
Phillips Petroleum Co. . . . . . . . . . . . . . . . . . . 289,400 12,661,250
Questar Corp. . . . . . . . . . . . . . . . . . . . . . . . 33,300 1,344,488
Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . . . 171,600 9,330,750
*Santa Fe Energy Resources, Inc. . . . . . . . . . . . . . . 72,500 1,064,844
*SEACOR Smit Inc. . . . . . . . . . . . . . . . . . . . . . 49,400 2,584,238
Sun Company, Inc. . . . . . . . . . . . . . . . . . . . . . 98,800 3,062,800
Texaco Inc. . . . . . . . . . . . . . . . . . . . . . . . . 146,300 15,910,125
Total S.A., ADR . . . . . . . . . . . . . . . . . . . . . . 63,300 3,204,563
Union Texas Petroleum Holdings Inc. . . . . . . . . . . . . 164,800 3,450,500
Unocal Corp. . . . . . . . . . . . . . . . . . . . . . . . 119,500 4,638,094
USX-Marathon Group . . . . . . . . . . . . . . . . . . . . 924,200 26,686,275
Valero Energy Corp. . . . . . . . . . . . . . . . . . . . . 83,600 3,030,500
*Weatherford Enterra, Inc. . . . . . . . . . . . . . . . . . 64,800 2,494,800
YPF Sociedad Anonima, ADR . . . . . . . . . . . . . . . . . 516,800 15,891,600
-----------
216,518,409
-----------
PRECISION INSTRUMENTS: 0.24%
Johnson Controls Inc. . . . . . . . . . . . . . . . . . . . 71,100 2,919,544
-----------
RAILROADS: 0.90%
Canadian National Railway Co. . . . . . . . . . . . . . . . 53,800 2,353,750
CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 68,100 3,779,550
GATX Corp. . . . . . . . . . . . . . . . . . . . . . . . . 78,700 4,544,925
-----------
10,678,225
-----------
RETAIL TRADE: 6.39%
*Burlington Coat Factory Warehouse Corp. . . . . . . . . . . 154,300 3,008,850
Dayton Hudson Corp. . . . . . . . . . . . . . . . . . . . . 391,900 20,844,181
*Federated Department Stores, Inc. . . . . . . . . . . . . . 287,500 9,990,625
Fingerhut Companies, Inc. . . . . . . . . . . . . . . . . . 120,300 2,097,731
*Fred Meyer Inc. . . . . . . . . . . . . . . . . . . . . . 127,200 6,574,650
*K Mart Corp. . . . . . . . . . . . . . . . . . . . . . . . 227,300 2,784,425
*Proffitt's, Inc. . . . .. . . . . . . . . . . . . . . . . . 48,800 2,141,100
Ross Stores Inc. . . . . . . . . . . . . . . . . . . . . . 324,400 10,603,825
Number Value
of Shares (Note 2)
- -------------------------------------------------------------------------------------------------
Shopko Stores Inc. . . .. . . . . . . . . . . . . . . . . . 97,300 $ 2,481,150
*Waban Inc. . . . . . . . . . . . . . . . . . . . . . . . . 57,700 1,857,219
*Woolworth Corp. . . . . . . . . . . . . . . . . . . . . . 479,500 11,508,000
*Zale Corp. . . . . . . . . . . . . . . . . . . . . . . . . 120,100 2,379,481
---------
76,271,237
----------
SAVINGS AND LOAN ASSOCIATIONS: 0.40%
H.F. Ahmanson & Co. . . . . . . . . . . . . . . . . . . . . 74,600 3,207,800
TR Financial Corp. . . . . . . . . . . . . . . . . . . . . 62,000 1,561,625
---------
4,769,425
---------
STEEL: 2.16%
*Bethlehem Steel Corp. . . . . . . . . . . . . . . . . . . 206,100 2,151,169
Inland Steel Industries, Inc. . . . . . . . . . . . . . . . 187,100 4,887,987
LTV Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 357,500 5,094,375
Pohang Iron & Steel Co., ADR . . . . . . . . . . . . . . . 121,600 3,891,200
*Tubos De Acero de Mexico, ADR . . . . . . . . . . . . . 26,725 492,742
USX-U.S. Steel Group . . . . . . . . . . . . . . . . . . . 265,000 9,291,563
---------
25,809,036
----------
SUPERMARKET CHAINS: 0.64%
Great Atlantic & Pacific Tea Company, Inc. . . . . . . . . 78,900 2,145,094
Supervalu Inc. . . . . . . . . . . . . . . . . . . . . . . 160,000 5,520,000
---------
7,665,094
---------
TELECOMMUNICATIONS: 3.06%
British Telecommunications Plc, ADR . . . . . . . . . . . 59,100 4,388,175
Portugal Telecommunications S.A., ADR . . . . . . . . . . 51,000 2,046,375
Tele Danmark A.S., ADR . . . . . . . . . . . . . . . . . . 249,300 6,512,963
Telecommunications Brazil ADR . . . . . . . . . . . . . . 38,000 5,766,500
Telefonos de Mexico, S.A., ADR . . . . . . . . . . . . . . 373,800 17,848,950
----------
36,562,963
----------
TOBACCO: 2.45%
RJR Nabisco Holdings Corp. . . . . . . . . . . . . . . . 886,600 29,257,800
----------
Trucking: 0.51%
*Navistar International Corp. . . . . . . . . . . . . . . 119,700 2,064,825
PACCAR Inc. . . . . . . . . . . . . . . . . . . . . . . . 40,400 1,876,075
Ryder System, Inc. . . . . . . . . . . . . . . . . . . . 64,800 2,138,400
---------
6,079,300
---------
UTILITIES: 7.74%
Atlantic Energy Inc. . . . . . . . . . . . . . . . . . . 115,100 1,935,119
Baltimore Gas & Electric Co. . . . . . . . . . . . . . . 150,000 4,003,125
Boston Edison Co. . . . . . . . . . . . . . . . . . . . 85,500 2,255,062
DQE Inc. . . . . . . . . . . . . . . . . . . . . . . . . 24,400 689,300
Edison International . . . . . . . . . . . . . . . . . . 199,200 4,955,100
Enersis S.A., ADR . . . . . . . . . . . . . . . . . . . 92,600 3,293,087
Entergy Corp. . . . . . . . . . . . . . . . . . . . . . 486,300 13,312,462
GPU, Inc. . . . . . . . . . . . . . . . . . . . . . . . 137,300 4,925,637
Hawaiian Electric Industries Inc. . . . . . . . . . . . 10,400 401,700
Houston Industries Inc. . . . . . . . . . . . . . . . . 171,900 3,685,106
Illinova Corp. . . . . . . . . . . . . . . . . . . . . . 193,200 4,250,400
IPALCO Enterprises, Inc. . . . . . . . . . . . . . . . . 36,300 1,134,375
Long Island Lighting Co. . . . . . . . . . . . . . . . . 152,100 3,498,300
Midamerican Energy Holdings Co. . . . . . . . . . . . . 101,800 1,762,412
Montana Power Co. . . . . . . . . . . . . . . . . . . . 147,500 3,420,156
National Fuel Gas Co. . . . . . . . . . . . . . . . . . 32,800 1,375,550
New York State Electric & Gas Corp. . . . . . . . . . . 4,100 85,588
*Niagara Mohawk Power Corp. . . . . . . . . . . . . . . 156,500 1,340,031
NorAm Energy Corp. . . . . . . . . . . . . . . . . . . 424,700 6,476,675
Northern States Power Co. (Minn.) . . . . . . . . . . . 10,100 522,675
Peoples Energy Corp. . . . . . . . . . . . . . . . . . 90,400 3,384,350
Pinnacle West Capital Corp. . . . . . . . . . . . . . . 228,400 6,866,275
PP&L Resources, Inc. . . . . . . . . . . . . . . . . . 20,100 400,744
Public Service Enterprise Group Inc.. . . . . . . . . . 249,200 6,230,000
Shandong Huaneng Ltd., ADR . . . . . . . . . . . . . . 3,600 38,700
Sierra Pacific Resources Inc. . . . . . . . . . . . . 40,200 1,286,400
Texas Utilities Co. . . . . . . . . . . . . . . . . . . 194,300 6,691,206
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Number Value
of Shares (Note 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
Transcanada Pipelines Ltd. . . . . . . . . . . . . 28,200 $ 567,525
Utilicorp United Inc. . . . . . . . . . . . . . . . 78,800 2,295,050
Westcoast Energy Inc. . . . . . . . . . . . . . . . 70,800 1,287,675
---------
92,369,785
----------
Total Common Stocks
(Cost $873,599,001) . . . . . . . . . . . . . . . . . . . . . . . 1,018,275,612
------------ -------------
Principal Amount
----------------
SHORT-TERM OBLIGATIONS:2.26%
FEDERAL NATIONAL MORTGAGE ASSN.,
DISCOUNT NOTES: 0.84%
5.43%, 7/10/97 . . . . . . . . . . . . . . . . $10,000,000 9,983,876
UNITED STATES TREASURY BILLS: 1.42%
5.155%, 7/17/97 . . . . . . . . . . . . . . . 10,000,000(a) 9,977,985
5.185%, 7/24/97 . . . . . . . . . . . . . . . 1,000,000(a) 997,002
5.085%, 8/21/97 . . . . . . . . . . . . . . . 2,000,000(a) 1,986,280
5.13%, 8/21/97 . . . . . . . . . . . . . . . . 3,000,000(a) 2,979,421
5.065%, 9/4/97 . . . . . . . . . . . . . . . . 1,000,000(a) 990,864
----------
16,931,552
----------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $26,914,846) . . . . . . . . . . . . . . . . . . . . . . . . . 26,915,428
----------
REPURCHASE AGREEMENTS: 9.38 %
With Morgan Stanley & Co., Inc., (dated
6/30/97), 6.10%, due 7/1/97 (Repurchase
proceeds $61,980,500) collateralized by:
$63,000,000 Federal National Mortgage
Association Bonds, 5.50%-10.50%, 7/25/97-
3/1/2017 (Market value $63,590,496). 61,970,000 61,970,000
With Prudential Securities Inc., (dated
6/30/97), 5.98%, due 7/1/97 (Repurchase
proceeds $50,008,306); collateralized by:
$50,338,030 of various United States
Government and Agency Obligations,
6.875% -7.00%, 1/1/2000-5/15/2006
(Market value $51,000,370). . . 50,000,000 50,000,000
---------- ----------
TOTAL REPURCHASE AGREEMENTS
(COST $111,970,000) . . . . . . . . . . . . . . . . . . . . . . . 111,970,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $1,012,483,847) . . . . . . . . . . . . . . . . . . . . . . 1,157,161,040
-------------
Number Value
of Contracts (Note 2)
- -------------------------------------------------------------------------------------------------
UNREALIZED APPRECIATION (DEPRECIATION) ON
FUTURES CONTRACTS: (0.07) %
Mid-Cap 400 September 1997 Short futures (1,501) $ (1,326,364)
Standard & Poor's 500
September 1997 Short futures . . (140) 489,435
-------
NET UNREALIZED DEPRECIATION ON
FUTURES CONTRACTS (B) . . . . . . . . . . . . . . . . . . . . . . . . . (836,929)
--------
TOTAL INVESTMENTS
(Cost $1,012,483,847) . . . . . . . . . . . . . 96.90% 1,156,324,111
Other Assets . . . . . . . . . . . . . . . . . . . . . 16.39 195,646,089
------ -----------
Total Assets . . . . . . . . . . . . . . . . . . 113.29% 1,351,970,200
Total Liabilities . . . . . . . . . . . . . . . (13.29) (158,597,073)
------ --------------
NET ASSETS (Note 6) . . . . . . . . . . . . . . . . . 100.00% $1,193,373,127
======= ==============
* Non-income producing security.
(a) Pledged as collateral for futures transactions.
(b) The market value of the short futures was $279,662,300
(repesenting 23.43% of the Fund's net assets) with a cost of $280,499,229.
For Federal income tax purposes, the tax basis of investments owned at June 30,
1997 was $1,012,754,904 and net unrealized appreciation on investments consisted
of:
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . $155,316,443
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . (11,747,236)
------------
Net unrealized appreciation . . . . . . . . . . . . . . . . . . . . . $143,569,207
============
</TABLE>
See notes to financial statements.
13
<PAGE>
ZWEIG STRATEGY FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments in securities at value (identified cost $1,012,483,847 Note 1) . . .$1,157,161,040
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318,793
Receivables:
Investment securities sold . . . . . . . . . . . . . . . . . . . . . 188,835,806
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . 1,868,342
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . 2,300,021
Variation margin . . . . . . . . . . . . . . . . . . . . . . . . . . 1,486,198
-------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . 1,351,970,200
-------------
LIABILITIES:
Payables:
Investment securities purchased . . . . . . . . . . . . . . . . . . 153,385,942
Capital shares redeemed. . . . . . . . . . . . . . . . . . . . . . . 3,951,813
Advisory fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98,097
Distribution and service fees. . . . . . . . . . . . . . . . . . . . 668,650
Accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 492,571
-------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . 158,597,073
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,193,373,127
-------------
NET ASSETS CONSIST OF:
Capital paid-in . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 957,973,706
Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . 854,678
Undistributed net realized gain . . . . . . . . . . . . . . . . . . . . . . . . 90,704,479
Net unrealized appreciation of investments . . . . . . . . . . . . . . . . . . . 143,840,264
-------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .$1,193,373,127
-------------
CLASS A SHARES
Net asset value ("NAV") and redemption price per share $552,927,338/34,981,322 shares) .$15.81
======
Maximum public offering price per share - NAV/(1-maximum sales charge) ($15.81/.945) . .$16.73
======
CLASS B SHARES
Net asset value and offering price per share ($61,212,840/3,855,178 shares) . . . . . . $15.88
======
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .*
======
CLASS C SHARES
Net asset value and offering price per share ($578,274,135/36,501,888 shares) . . . . . $15.84
======
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .*
======
CLASS I SHARES
Net asset value, offering and redemption price per share ($958,814/60,339 shares) . . . $15.89
======
*Varies by length of time shares are held. (Note 3b)
</TABLE>
See notes to financial statements.
14
<PAGE>
<TABLE>
<CAPTION>
ZWEIG APPRECIATION FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS: 85.56%
AEROSPACE: 1.52%
AAR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 $ 646,250
*Alliant Techsystems Inc. . . . . . . . . . . . . . . . . . . . 3,200 176,000
*Aviall Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 23,600 330,400
*Moog Inc., Class A . . . . . . . . . . . . . . . . . . . . . . 21,600 680,400
*RMI Titanium Co. . . . . . . . . . . . . . . . . . . . . . . . 96,200 2,621,450
*Sequa Corp., Class A . . . . . . . . . . . . . . . . . . . . . 23,690 1,335,524
*UNC Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,900 349,538
*Wyman-Gordon Co. . . . . . . . . . . . . . . . . . . . . . . . 58,100 1,568,700
----------
7,708,262
----------
AIR FREIGHT: 0.30%
Airborne Freight Corp. . . . . . . . . . . . . . . . . . . . . 17,400 728,625
CNF Transportation Inc. . . . . . . . . . . . . . . . . . . . . 11,800 380,550
*Federal Express Corp. . . . . . . . . . . . . . . . . . . . . . 6,900 398,475
----------
1,507,650
----------
AIRLINES: 2.63%
*Alaska Air Group Inc. . . . . . . . . . . . . . . . . . . . . . 25,700 658,562
*AMR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,500 3,006,250
*British Airways Plc., ADR . . . . . . . . . . . . . . . . . . . 21,200 2,436,675
*Continental Airlines, Inc., Class B . . . . . . . . . . . . . . 19,600 684,775
Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . . . . . 26,400 2,164,800
KLM Royal Dutch Airlines N. V., ADR . . . . . . . . . . . . . . 51,141 1 ,578,978
*UAL Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,800 1,202,250
*USAir Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 46,100 1,613,500
----------
13,345,790
----------
APPAREL: 0.08%
Russell Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 10,700 316,988
*Tultex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 14,600 89,425
----------
406,413
----------
AUTOMOBILES: 1.24%
Chrysler Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 86,804 2,848,256
Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . 49,900 1,883,725
General Motors Corp. . . . . . . . . . . . . . . . . . . . . . . 7,100 395,381
Honda Motor Co., Ltd., ADR . . . . . . . . . . . . . . . . . . . 5,000 300,937
Volvo AB, ADR . . . . . . . . . . . . . . . . . . . . . . . . . 32,800 877,400
Volvo AB, ADR Rights . . . . . . . . . . . . . . . . . . . . . . 30,800 2,888
----------
6,308,587
----------
AUTOMOTIVE PARTS AND EQUIPMENT: 2.03%
Arvin Industries, Inc. . . . . . . . . . . . . . . . . . . . . . 7,200 196,200
Barnes Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 70,300 2,082,637
Borg-Warner Automotive, Inc. . . . . . . . . . . . . . . . . . . 15,000 810,937
Dana Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,400 965,200
Intermet Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 138,900 2,231,081
Johnson Controls Inc. . . . . . . . . . . . . . . . . . . . . . 30,200 1,240,087
Mascotech, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 31,700 661,738
Standard Products Co. . . . . . . . . . . . . . . . . . . . . . . 27,000 681,750
Wynn's International Inc. . . . . . . . . . . . . . . . . . . . . 49,500 1,404,563
----------
10,274,193
----------
BANKS: 4.93%
Allied Irish Banks, Plc, ADR . . . . . . . . . . . . . . . . . . . 5,900 275,456
Bank Of Montreal, ADR . . . . . . . . . . . . . . . . . . . . . . . 26,900 1,052,462
BankAmerica Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 37,400 2,414,637
Community First Bankshares, Inc. . . . . . . . . . . . . . . . . . . 3,100 118,962
Corporacion Bancaria de Espana, S.A., ADR . . . . . . . . . . . . . 300 8,513
Corus Bankshares Inc. . . . . . . . . . . . . . . . . . . . . . . . 5,600 158,200
CVB Financial Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,519 36,456
First Citizens BancShares Inc., Class A . . . . . . . . . . . . . . 2,000 174,000
Firstbank Puerto Rico . . . . . . . . . . . . . . . . . . . . . . . 25,212 652,360
F. N. B. Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,625 84,656
*Imperial Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . 37,765 1,090,464
North Fork Bancorporation, Inc. . . . . . . . . . . . . . . . . . 161,712 3,456,594
Peoples Heritage Financial Group Inc. . . . . . . . . . . . . . . 56,800 2,151,300
Popular Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 104,500 4,219,188
Provident Bankshares Corp. . . . . . . . . . . . . . . . . . . . . 12,180 506,993
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
Republic New York Corp. . . . . . . . . . . . . . . . . . . . . . 15,300 $ 1,644,750
Riggs National Corp. . . . . . . . . . . . . . . . . . . . . . . 20,400 420,750
Santa Monica Bank . . . . . . . . . . . . . . . . . . . . . . . . 24,180 510,803
Security Capital Corp. . . . . . . . . . . . . . . . . . . . . . 1,800 170,100
*Silicon Valley Bancshares . . . . . . . . . . . . . . . . . . . . 31,600 1,429,900
Sterling Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . 33,730 628,221
Sumitomo Bank of California . . . . . . . . . . . . . . . . . . . 4,900 141,488
Trust Company of New Jersey . . . . . . . . . . . . . . . . . . . 16,400 315,700
UMB Financial Corp. . . . . . . . . . . . . . . . . . . . . . . . 30 1,294
Union Planters Corp. . . . . . . . . . . . . . . . . . . . . . . . 5,002 259,479
UnionBancal Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 10,700 769,063
USBancorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,600 305,200
UST Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,700 1,760,913
Westpac Banking Corp., ADR . . . . . . . . . . . . . . . . . . . . 7,400 221,538
----------
24,979,440
----------
BUILDING MATERIALS AND PRODUCTS: 3.96%
Ameron International Corp. . . . . . . . . . . . . . . . . . . . 15,200 860,700
Apogee Enterprises, Inc. . . . . . . . . . . . . . . . . . . . . 69,300 1,489,950
Centex Construction Products Inc. . . . . . . . . . . . . . . . 50,844 991,458
Florida Rock Industries, Inc. . . . . . . . . . . . . . . . . . 28,700 1,165,937
Johns Manville Corp. . . . . . . . . . . . . . . . . . . . . . . 25,800 304,762
Lafarge Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 60,100 1,472,450
*Lamson & Sessions Co. . . . . . . . . . . . . . . . . . . . . . . 79,300 659,181
*Lone Star Industries, Inc. . . . . . . . . . . . . . . . . . . . 62,200 2,818,437
*Mastec Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,700 222,369
Medusa Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,800 913,325
*Mestek, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,200 911,625
*NCI Building Systems, Inc. . . . . . . . . . . . . . . . . . . . . 21,500 696,063
*Nortek Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,500 1,025,313
Puerto Rican Cement Co., Inc. . . . . . . . . . . . . . . . . . . 6,300 205,144
Shelter Components Corp. . . . . . . . . . . . . . . . . . . . . 14,820 175,988
*Simpson Manufacturing Inc. . . . . . . . . . . . . . . . . . . . 8,500 225,250
Southdown, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 54,300 2,368,838
TJ International Inc. . . . . . . . . . . . . . . . . . . . . . . 27,700 650,950
*Triangle Pacific Corp. . . . . . . . . . . . . . . . . . . . . . 12,200 390,400
Universal Forest Products Inc. . . . . . . . . . . . . . . . . . 53,700 785,363
*USG Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,600 934,400
Vulcan Materials Co. . . . . . . . . . . . . . . . . . . . . . . 10,300 808,550
----------
20,076,453
----------
CHEMICALS: 1.58%
*A. E. P. Industries, Inc. . . . . . . . . . . . . . . . . . . . . 18 720
American Filtrona Corp. . . . . . . . . . . . . . . . . . . . . . 6,100 250,100
Cambrex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 40,800 1,616,700
Dexter Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,900 124,800
Furon Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200 508,275
*International Specialty Products Inc. . . . . . . . . . . . . . . . 35,200 495,000
MacDermid, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 67,500 3,096,562
*Methanex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 35,200 323,400
Mine Safety Appliances Co. . . . . . . . . . . . . . . . . . . . . 2,900 175,450
Spartech Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 20,100 261,300
Stepan Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,200 201,925
Terra Industries Inc. . . . . . . . . . . . . . . . . . . . . . . 82,900 963,713
----------
8,017,945
----------
COGENERATION: 0.08%
*York Research Corp. . . . . . . . . . . . . . . . . . . . . . . . 51,000 395,250
----------
COMMERCIAL SERVICES: 0.33%
*Berlitz International, Inc. . . . . . . . . . . . . . . . . . . 22,922 571,617
*Volt Information Sciences Inc. . . . . . . . . . . . . . . . . . 4,050 204,525
World Fuel Services Corp. . . . . . . . . . . . . . . . . . . . 41,150 900,156
----------
1,676,298
----------
COMPUTERS AND SOFTWARE: 1.36%
*Advanced Logic Research Inc. . . . . . . . . . . . . . . . . . . 28,700 439,469
*Creative Technology Ltd. . . . . . . . . . . . . . . . . . . . . 35,200 598,400
*Data General Corp. . . . . . . . . . . . . . . . . . . . . . . . 57,200 1,487,200
*Hutchinson Technology Inc. . . . . . . . . . . . . . . . . . . . 16,600 404,625
*Lexmark International, Inc., Class A . . . . . . . . . . . . . . 5,300 160,987
*Storage Technology Corp., Class A . . . . . . . . . . . . . . . . 36,900 1,642,050
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTERS AND SOFTWARE (CONTINUED)
*Stratus Computer Inc. . . . . . . . . . . . . . . . . . . . . . 15,200 $ 760,000
*Tandem Computers Inc. . . . . . . . . . . . . . . . . . . . . . 67,800 1,372,950
----------
6,865,681
----------
CONGLOMERATES: 1.06%
Canadian Pacific Ltd. . . . . . . . . . . . . . . . . . . . . . 94,200 2,678,812
Loews Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 26,900 2,693,362
----------
5,372,174
----------
CONSTRUCTION EQUIPMENT: 0.77%
AGCO Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 16,900 607,344
Case Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 18,700 1,287,962
Caterpillar Inc. . . . . . . . . . . . . . . . . . . . . . . . 14,300 1,535,462
Manitowoc Company, Inc. . . . . . . . . . . . . . . . . . . . . 10,300 481,525
----------
3,912,293
----------
CONTAINERS AND PACKAGING: 0.28%
*Grupo Industrial Durango, S.A. de C.V., ADR . . . . . . . . . 43,266 659,806
*Owens-Illinois, Inc. . . . . . . . . . . . . . . . . . . . . . 18,600 576,600
Vitro Sociedad Anonima., ADR . . . . . . . . . . . . . . . . . 15,100 169,875
----------
1,406,281
----------
ELECTRICAL PRODUCTS: 0.89%
*Genlyte Group, Inc. . . . . . . . . . . . . . . . . . . . . . 57,900 759,937
Kollmorgen Corp. . . . . . . . . . . . . . . . . . . . . . . . 32,640 516,120
Kuhlman Corp. . . . . . . . . . . . . . . . . . . . . . . . . 27,300 880,425
*Plexus Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 17,900 999,044
*Powell Industries, Inc. . . . . . . . . . . . . . . . . . . . . 3,300 50,325
*Rexel Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,200 429,200
Thomas Industries Inc. . . . . . . . . . . . . . . . . . . . . . 30,660 881,475
----------
4,516,526
----------
ELECTRONIC DISTRIBUTORS: 0.16%
*Bell Industries, Inc. . . . . . . . . . . . . . . . . . . . . 17,202 268,781
InaCom Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 16,700 519,787
----------
788,568
----------
ELECTRONICS: 2.94%
*Applied Magnetics Corp. . . . . . . . . . . . . . . . . . . . . 4,200 95,025
*Bel Fuse Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 28,700 382,069
*Chips & Technologies, Inc. . . . . . . . . . . . . . . . . . . 67,300 698,237
CTS Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,400 1,751,013
*Esterline Technologies Corp. . . . . . . . . . . . . . . . . . 38,700 1,378,687
*Hadco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 50,300 3,294,650
Harris Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 21,400 1,797,600
Hitachi, Ltd., ADR . . . . . . . . . . . . . . . . . . . . . . 200 22,600
Innovex Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 60,900 1,773,712
*Jabil Circuit Inc. . . . . . . . . . . . . . . . . . . . . . . 16,200 1,358,775
Orbotech Ltd. . . . . . . . . . . . . . . . . . . . . . . . . 35,100 1,118,813
*Siliconix Inc. . . . . . . . . . . . . . . . . . . . . . . . . 17,100 470,250
Sony Corp., ADR . . . . . . . . . . . . . . . . . . . . . . . 5,800 510,400
*Xicor Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 42,600 250,275
----------
14,902,106
----------
ENGINEERING: 0.25%
Butler Mfg. Co. . . . . . . . . . . . . . . . . . . . . . . . . 17,050 564,781
Granite Construction Inc. . . . . . . . . . . . . . . . . . . . 7,600 150,100
*Layne Christensen Co. . . . . . . . . . . . . . . . . . . . . . 18,400 407,100
Stone & Webster, Inc. . . . . . . . . . . . . . . . . . . . . . 3,300 140,869
----------
1,262,850
----------
ENTERTAINMENT: 0.14%
*Hollywood Park, Inc. . . . . . . . . . . . . . . . . . . . . . 23,300 340,762
*King World Productions Inc. . . . . . . . . . . . . . . . . . 11,000 385,000
----------
725,762
----------
FARMING AND MILLING: 0.05%
Orange-Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . 34,100 264,275
----------
FINANCE: 3.15%
AMBAC Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 24,800 1,894,100
American General Corp. . . . . . . . . . . . . . . . . . . . . 3,652 174,383
*Americredit Corp. . . . . . . . . . . . . . . . . . . . . . . 33,800 709,800
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
Cash America International Inc. . . . . . . . . . . . . . . . . . 33,600 $ 352,800
Comdisco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 138,675 3,605,550
Dynex Capital Inc. . . . . . . . . . . . . . . . . . . . . . . . . 22,400 312,200
Equitable Companies Inc. . . . . . . . . . . . . . . . . . . . . . 49,600 1,649,200
First Financial Caribbean Corp. . . . . . . . . . . . . . . . . . 17,800 580,725
*Firstplus Financial Group . . . . . . . . . . . . . . . . . . . . 26,400 897,600
Imperial Credit Industries Inc. . . . . . . . . . . . . . . . . . 39,100 803,994
*Imperial Credit Mortgage Holdings Inc. . . . . . . . . . . . . . . 12,900 349,912
Liberty Financial Companies Inc. . . . . . . . . . . . . . . . . . 20,000 997,500
*Mercury Finance Co. . . . . . . . . . . . . . . . . . . . . . . . 102,800 250,575
Morgan Stanley, Dean Witter, Discover & Co. . . . . . . . . . . . 62,700 2,700,019
*Providian Financial Corp. . . . . . . . . . . . . . . . . . . . . 20,800 668,200
----------
15,946,558
----------
FLUID CONTROLS: 0.21%
Graco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 34,650 1,043,831
----------
FOOD AND BEVERAGES: 0.62%
Adolph Coors Co., Class B . . . . . . . . . . . . . . . . . . . 24,700 657,637
Chiquita Brands International Inc. . . . . . . . . . . . . . . . 5,100 70,125
Golden Poultry Company, Inc. . . . . . . . . . . . . . . . . . . 35,100 473,850
Pepsi-Gemex S.A.de C.V., ADR . . . . . . . . . . . . . . . . . . 27,100 338,750
Pilgrim's Pride Corp. . . . . . . . . . . . . . . . . . . . . . 30,000 354,375
Savannah Foods & Industries Inc. . . . . . . . . . . . . . . . . 61,300 1,076,581
*Seneca Foods Corp., Class A . . . . . . . . . . . . . . . . . . 3,700 66,369
*Seneca Foods Corp., Class B . . . . . . . . . . . . . . . . . . 5,800 103,675
----------
3,141,362
----------
FOREST AND PAPER PRODUCTS: 0.71%
*Asia Pulp & Paper Co. Ltd., ADR . . . . . . . . . . . . . . . . . 23,600 356,950
James River Corp. of Virginia . . . . . . . . . . . . . . . . . . 28,700 1,061,900
Mosinee Paper Corp. . . . . . . . . . . . . . . . . . . . . . . . 45,720 1,120,140
Republic Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 53,680 1,080,310
----------
3,619,300
----------
HEALTHCARE FACILITIES AND PRODUCTS: 0.78%
*Beverly Enterprises, Inc. . . . . . . . . . . . . . . . . . . . . 36,800 598,000
ICN Pharmaceuticals, Inc. . . . . . . . . . . . . . . . . . . . . 18,000 516,375
Integrated Health Services, Inc. . . . . . . . . . . . . . . . . 15,000 577,500
*Rotech Medical Corp. . . . . . . . . . . . . . . . . . . . . . . . 42,400 850,650
*Tenet Healthcare Corp. . . . . . . . . . . . . . . . . . . . . . . 32,405 957,973
*Universal Health Services, Inc., Class B . . . . . . . . . . . . . 11,700 450,450
----------
3,950,948
----------
HOMEBUILDING AND LAND DEVELOPMENT: 1.00%
Centex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 24,400 991,250
*Champion Enterprises Inc. . . . . . . . . . . . . . . . . . . . 56,236 843,540
Continental Homes Holding Corp. . . . . . . . . . . . . . . . . 41,700 734,962
Del Webb Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 8,700 141,375
Lennar Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 13,600 434,350
Pulte Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,300 79,494
*Southern Energy Homes, Inc. . . . . . . . . . . . . . . . . . . 29,700 271,013
Standard Pacific Corp. . . . . . . . . . . . . . . . . . . . . . 37,600 385,400
*Toll Brothers Inc. . . . . . . . . . . . . . . . . . . . . . . . 18,100 332,588
*U. S. Home Corp. . . . . . . . . . . . . . . . . . . . . . . . 29,500 783,594
*U. S. Home Corp., Warrants . . . . . . . . . . . . . . . . . . . 7,529 62,114
----------
5,059,680
----------
HOUSEHOLD FURNISHINGS AND PRODUCTS: 0.80%
Bush Industries Inc., Class A . . . . . . . . . . . . . . . . . 4,300 102,125
Church & Dwight Inc. . . . . . . . . . . . . . . . . . . . . . 1,400 37,450
Electrolux AB, ADR . . . . . . . . . . . . . . . . . . . . . . 3,600 261,450
Ethan Allen Interiors Inc. . . . . . . . . . . . . . . . . . . 20,800 1,185,600
*Furniture Brands International Inc. . . . . . . . . . . . . . 24,200 468,875
La-Z-boy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 43,200
L.S. Starrett Co., Class A . . . . . . . . . . . . . . . . . . 24,800 790,500
Oneida Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 42,700 1,139,556
----------
4,028,756
----------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY: 2.05%
Ampco-Pittsburgh Corp. . . . . . . . . . . . . . . . . . . . . 60,900 894,469
Applied Power Inc., Class A . . . . . . . . . . . . . . . . . . 24,400 1,259,650
DT Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . 11,700 418,275
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY (CONTINUED)
Gleason Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 39,000 $ 1,813,500
Katy Industries, Inc. . . . . . . . . . . . . . . . . . . . . . 50,500 751,187
Lincoln Electric Co. . . . . . . . . . . . . . . . . . . . . . 8,000 280,000
*Motivepower Industries Inc. . . . . . . . . . . . . . . . . . . 46,300 740,800
Robbins & Myers, Inc. . . . . . . . . . . . . . . . . . . . . . 81,400 2,645,500
*Specialty Equipment Companies Inc.. . . . . . . . . . . . . . . 26,300 387,925
Tecumseh Products Co., Class A . . . . . . . . . . . . . . . . 20,100 1,203,488
----------
10,394,794
----------
INSURANCE: 6.21%
ACE Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,300 1,647,412
AEGON N.V., ADR . . . . . . . . . . . . . . . . . . . . . . . . 9,035 633,015
Allmerica Financial Corp. . . . . . . . . . . . . . . . . . . . 12,600 502,425
American Annuity Group, Inc. . . . . . . . . . . . . . . . . . . 75,500 1,359,000
American Bankers Insurance Group, Inc. . . . . . . . . . . . . . 24,000 1,518,000
Capital Re Corp. . . . . . . . . . . . . . . . . . . . . . . . . 13,500 722,250
Capitol Transamerica Corp. . . . . . . . . . . . . . . . . . . . 4,100 111,725
Chartwell Re Corp. . . . . . . . . . . . . . . . . . . . . . . . 22,800 684,000
CIGNA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 8,400 1,491,000
Citizens Corp.. . . . . . . . . . . . . . . . . . . . . . . . . 33,900 936,487
CMAC Investment Corp. . . . . . . . . . . . . . . . . . . . . . 3,600 171,900
*CNA Financial Corp. . . . . . . . . . . . . . . . . . . . . . . 19,200 2,024,400
Conseco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 50,748 1,877,676
*Delphi Financial Group, Inc., Class A . . . . . . . . . . . . . 28,458 1,095,633
Enhance Financial Services Group Inc. . . . . . . . . . . . . . 4,500 197,437
Equitable of Iowa Companies . . . . . . . . . . . . . . . . . . 9,500 532,000
EXEL Limited . . . . . . . . . . . . . . . . . . . . . . . . . 25,200 1,329,300
Financial Security Assurance Holdings Ltd. . . . . . . . . . . . 3,600 140,175
Fremont General Corp. . . . . . . . . . . . . . . . . . . . . . 39,700 1,597,925
Frontier Insurance Group Inc. . . . . . . . . . . . . . . . . . 1,800 116,550
Life Re Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 11,800 550,175
*Life USA Holding, Inc. . . . . . . . . . . . . . . . . . . . . . 37,900 540,075
*Markel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,400 179,200
*Medical Assurance Inc. . . . . . . . . . . . . . . . . . . . . 6,254 254,069
NAC Re Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 9,500 459,563
*National Western Life Insurance Co., Class A . . . . . . . . . . 4,100 365,925
NYMAGIC, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 25,926 534,724
Old Republic International Corp. . . . . . . . . . . . . . . . . 101,350 3,072,172
Orion Capital Corp. . . . . . . . . . . . . . . . . . . . . . . 10,400 767,000
Penncorp Financial Group Inc. . . . . . . . . . . . . . . . . . 10,000 385,000
Presidential Life Corp. . . . . . . . . . . . . . . . . . . . . 55,700 1,079,188
Reliance Group Holdings, Inc. . . . . . . . . . . . . . . . . . 55,300 656,688
Reliastar Financial Corp. . . . . . . . . . . . . . . . . . . . 5,183 379,007
RLI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,700 790,694
Security-Connecticut Corp. . . . . . . . . . . . . . . . . . . . 7,300 401,956
Selective Insurance Group, Inc. . . . . . . . . . . . . . . . . 12,500 605,469
TIG Holdings Inc. . . . . . . . . . . . . . . . . . . . . . . . 18,400 575,000
Transatlantic Holdings Inc. . . . . . . . . . . . . . . . . . . 11,900 1,181,075
-----------
31,465,290
-----------
INVESTMENT BANKING AND BROKERAGE: 3.77%
A.G. Edwards, Inc. . . . . . . . . . . . . . . . . . . . . . . . 27,700 1,184,175
Bear, Stearns & Co. Inc. . . . . . . . . . . . . . . . . . . . . 75,323 2,575,105
Donaldson, Lufkin & Jenrette, Inc. . . . . . . . . . . . . . . . 12,200 728,950
Interra Financial Inc. . . . . . . . . . . . . . . . . . . . . . 21,416 898,133
Investors Financial Group Inc. . . . . . . . . . . . . . . . . . 387 18,383
Jefferies Group, Inc. . . . . . . . . . . . . . . . . . . . . . 46,200 2,633,400
Lehman Brothers Holdings Inc. . . . . . . . . . . . . . . . . . 81,000 3,280,500
McDonald & Co. Investments Inc. . . . . . . . . . . . . . . . . 29,800 1,367,075
PaineWebber Group Inc. . . . . . . . . . . . . . . . . . . . . . 28,100 983,500
Quick & Reilly Group Inc. . . . . . . . . . . . . . . . . . . . 73,111 1,699,831
Raymond James Financial Corp. . . . . . . . . . . . . . . . . . 39,145 1,071,594
Salomon Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 43,200 2,403,000
Southwest Securities Group Inc. . . . . . . . . . . . . . . . . 12,700 247,650
----------
19,091,296
----------
INVESTMENT MANAGEMENT: 0.00%
Atalanta/Sosnoff Capital Corp . . . . . . . . . . . . . . . . . 804 8,894
----------
MANUFACTURING: 1.52%
*ACX Technologies, Inc. . . . . . . . . . . . . . . . . . . . . . 2,600 58,500
Aeroquip-Vickers Inc. . . . . . . . . . . . . . . . . . . . . . 12,500 590,625
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
*Carlisle Companies Inc. . . . . . . . . . . . . . . . . . . . . . 13,100 $ 456,862
Core Industries Inc. . . . . . . . . . . . . . . . . . . . . . . 19,200 475,200
*Global Industrial Technologies, Inc. . . . . . . . . . . . . . . 9,600 196,800
*Insilco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 3,100 116,250
Lindsay Manufacturing Co. . . . . . . . . . . . . . . . . . . . . 16,650 545,287
Montedison S.P.A., ADR . . . . . . . . . . . . . . . . . . . . . 25,114 169,520
Nova Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,500 131,750
Premark International Inc. . . . . . . . . . . . . . . . . . . . 25,800 690,150
Transtechnology Corp. . . . . . . . . . . . . . . . . . . . . . . 33,700 766,675
Tredegar Industries Inc. . . . . . . . . . . . . . . . . . . . . 46,300 2,569,650
Trinity Industries Inc. . . . . . . . . . . . . . . . . . . . . . 24,200 768,350
Valmont Industries Inc. . . . . . . . . . . . . . . . . . . . . . 9,600 182,400
-------
7,718,019
---------
MARINE TRANSPORTATION: 0.35%
Interpool, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 11,550 170,362
Oglebay Norton Co. . . . . . . . . . . . . . . . . . . . . . . . 3,700 164,188
*OMI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,000 784,125
Stolt-Nielsen S.A. . . . . . . . . . . . . . . . . . . . . . . . 35,000 660,625
---------
1,779,300
---------
MEDICAL TECHNOLOGY: 0.70%
*Advanced Technology Laboratories, Inc. . . . . . . . . . . . . . 28,100 1,208,300
*Cooper Companies, Inc. . . . . . . . . . . . . . . . . . . . . . 78,900 1,834,425
*Creative Biomolecules Inc. . . . . . . . . . . . . . . . . . . . 67,600 477,425
---------
3,520,150
---------
METAL FABRICATION: 1.66%
*Avondale Industries, Inc. . . . . . . . . . . . . . . . . . . . 52,200 1,096,200
*Gibraltar Steel Corp . . . . . . . . . . . . . . . . . . . . . . 4,000 92,000
Kaydon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 9,100 451,587
*Mueller Industries, Inc. . . . . . . . . . . . . . . . . . . . . 52,700 2,305,625
*Oregon Metallurgical Corp. . . . . . . . . . . . . . . . . . . . 23,300 655,313
Reliance Steel & Aluminum Co. . . . . . . . . . . . . . . . . . 26,700 694,200
*Shiloh Industries, Inc. . . . . . . . . . . . . . . . . . . . . 40,500 817,594
Timken Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 64,000 2,276,000
---------
8,388,519
---------
METALS AND MINING: 1.02%
*Alumax Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 40,500 1,536,469
ASARCO Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 21,400 655,375
Brush Wellman Inc. . . . . . . . . . . . . . . . . . . . . . . 16,100 337,094
Cyprus Amax Minerals Co . . . . . . . . . . . . . . . . . . . . 9,900 242,550
De Beers Consolidated Mines Ltd., ADR . . . . . . . . . . . . . 17,600 650,100
Minorco, ADR . . . . . . . . . . . . . . . . . . . . . . . . . 4,300 99,169
Southern Peru Copper Corp. . . . . . . . . . . . . . . . . . . 35,200 686,400
*Tremont Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 12,100 530,888
Zeigler Coal Holdings Co. . . . . . . . . . . . . . . . . . . . 17,300 404,388
---------
5,142,433
---------
OFFICE AUTOMATION AND EQUIPMENT: 0.13%
Kimball International, Inc., Class B . . . . . . . . . . . . . 8,200 330,050
Standard Register Co. . . . . . . . . . . . . . . . . . . . . . 11,106 340,121
-------
670,171
-------
OIL AND GAS: 8.37%
Amerada Hess Corp. . . . . . . . . . . . . . . . . . . . . . . 6,300 350,044
Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 9,300 302,250
Aquila Gas Pipeline Corp. . . . . . . . . . . . . . . . . . . . 56,600 788,862
Atlantic Richfield Co. . . . . . . . . . . . . . . . . . . . . 11,200 789,600
*Benton Oil & Gas Co. . . . . . . . . . . . . . . . . . . . . . 30,100 451,500
Berry Petroleum, Class A . . . . . . . . . . . . . . . . . . . 15,100 286,900
Cabot Oil & Gas Corp., Class A . . . . . . . . . . . . . . . . 5,800 102,225
*Chieftain International, Inc. . . . . . . . . . . . . . . . . . 6,200 136,012
*Cliffs Drilling Co. . . . . . . . . . . . . . . . . . . . . . . 76,000 2,774,000
Coastal Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 57,400 3,052,962
Columbia Gas System, Inc. . . . . . . . . . . . . . . . . . . . 50,600 3,301,650
Cross Timbers Oil Co. . . . . . . . . . . . . . . . . . . . . . 11,850 228,112
Devon Energy Corp. . . . . . . . . . . . . . . . . . . . . . . 17,300 635,775
Elf Aquitaine S. A., ADR . . . . . . . . . . . . . . . . . . . 31,900 1,736,556
Eni S.P.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . 14,600 830,375
Fina, Inc., Class A . . . . . . . . . . . . . . . . . . . . . . 8,200 522,750
</TABLE>
17
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL AND GAS (CONTINUED)
*Forest Oil Corp. . . . . . . . . . . . . . . . . . . . . . . . . 33,300 $ 489,094
Helmerich & Payne, Inc. . . . . . . . . . . . . . . . . . . . . 5,400 311,175
Imperial Oil Ltd . . . . . . . . . . . . . . . . . . . . . . . . 8,500 436,687
Kerr-McGee Corp. . . . . . . . . . . . . . . . . . . . . . . . . 18,400 1,166,100
Lomak Petroleum, Inc. . . . . . . . . . . . . . . . . . . . . . 17,900 318,844
*Louis Dreyfus Natural Gas Corp. . . . . . . . . . . . . . . . . 20,700 336,375
Lufkin Industries, Inc. . . . . . . . . . . . . . . . . . . . . 26,800 703,500
*Marine Drilling Companies, Inc. . . . . . . . . . . . . . . . . 18,300 359,138
*Mesa Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,200 179,400
Mitchell Energy & Development Corp. . . . . . . . . . . . . . . 38,300 775,575
Murphy Oil Corp. . . . . . . . . . . . . . . . . . . . . . . . . 4,200 204,750
Occidental Petroleum Corp. . . . . . . . . . . . . . . . . . . . 29,800 746,863
*Oryx Energy Co. . . . . . . . . . . . . . . . . . . . . . . . . 58,000 1,225,250
Pacific Enterprises . . . . . . . . . . . . . . . . . . . . . . 19,100 642,238
Parker & Parsley Petroleum Co. . . . . . . . . . . . . . . . . . 20,200 714,575
Pennzoil Co. . . . . . . . . . . . . . . . . . . . . . . . . . . 10,300 790,525
Phillips Petroleum Co. . . . . . . . . . . . . . . . . . . . . . 39,300 1,719,375
*Plains Resources Inc. . . . . . . . . . . . . . . . . . . . . . 21,800 321,550
*Pool Energy Services Co. . . . . . . . . . . . . . . . . . . . . 31,100 563,688
PS Group Holdings Inc. . . . . . . . . . . . . . . . . . . . . . 38,075 490,216
*RPC Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72,860 1,074,685
*Santa Fe Energy Resources, Inc. . . . . . . . . . . . . . . . . 23,800 349,563
*SEACOR Smit Inc. . . . . . . . . . . . . . . . . . . . . . . . . 8,400 439,425
St Mary Land & Exploration Co. . . . . . . . . . . . . . . . . . 9,900 347,738
Sun Company, Inc. . . . . . . . . . . . . . . . . . . . . . . . 22,000 682,000
Texaco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 6,000 652,500
Total S.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . 9,400 475,875
*Tuboscope Vetco International Corp. . . . . . . . . . . . . . . 39,000 775,125
Union Texas Petroleum Holdings Inc. . . . . . . . . . . . . . . 29,900 626,031
USX-Marathon Group . . . . . . . . . . . . . . . . . . . . . . . 97,900 2,826,863
Valero Energy Corp. . . . . . . . . . . . . . . . . . . . . . . 11,600 420,500
*Veritas DGC Inc. . . . . . . . . . . . . . . . . . . . . . . . . 79,255 1,783,238
Vintage Petroleum Inc. . . . . . . . . . . . . . . . . . . . . . 5,200 159,900
Western Gas Resources Inc. . . . . . . . . . . . . . . . . . . . 8,100 157,950
YPF Sociedad Anonima, ADR . . . . . . . . . . . . . . . . . . . 91,600 2,816,700
----------
42,372,584
----------
PERSONAL CARE PRODUCTS: 0.14%
*NBTY, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,100 702,800
----------
POLLUTION CONTROL EQUIPMENT: 0.24%
BHA Group Inc., Class A . . . . . . . . . . . . . . . . . . . . 26,257 485,754
*Gundle/SLT Environmental, Inc. . . . . . . . . . . . . . . . . . 76,900 384,500
Met-Pro Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 21,420 323,978
----------
1,194,232
----------
PRECISION INSTRUMENTS: 1.12%
*Coherent, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 33,400 1,486,300
Fluke Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 4,700 278,475
MTS Systems Corp . . . . . . . . . . . . . . . . . . . . . . . . 32,000 976,000
*SPS Technologies Inc. . . . . . . . . . . . . . . . . . . . . . 24,800 1,754,600
Technitrol Inc. . . . . . . . . . . . . . . . . . . . . . . . . 33,600 919,800
*Zygo Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,000 276,750
---------
5,691,925
---------
PRINTING AND FORMS: 1.00%
Bowne & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . 33,500 1,168,312
*CSS Industries Inc. . . . . . . . . . . . . . . . . . . . . . . 1,300 41,113
*Gibson Greetings, Inc. . . . . . . . . . . . . . . . . . . . . 40,600 913,500
Graphic Industries, Inc. . . . . . . . . . . . . . . . . . . . 109,000 1,444,250
*Mail-Well, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 21,000 598,500
Quebecor Inc., Class A . . . . . . . . . . . . . . . . . . . . 46,800 871,650
---------
5,037,325
---------
PUBLISHING: 0.17%
Value Line Inc. . . . . . . . . . . . . . . . . . . . . . . . . 19,900 860,675
--------
RAILROADS: 0.39%
Canadian National Railway Co. . . . . . . . . . . . . . . . . . 9,800 428,750
CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,200 566,100
GATX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 17,100 987,525
---------
1,982,375
---------
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS: 0.33%
Capstead Mortgage Corp. . . . . . . . . . . . . . . . . . . . 5,600 $ 138,250
HRE Properties . . . . . . . . . . . . . . . . . . . . . . . . 695 12,336
Koger Equity Inc. . . . . . . . . . . . . . . . . . . . . . . 20,200 368,650
RFS Hotel Investors Inc. . . . . . . . . . . . . . . . . . . . 17,800 320,400
Thornburg Mortgage Asset Corp. . . . . . . . . . . . . . . . . 37,700 810,550
---------
1,650,186
---------
RECREATIONAL PRODUCTS: 0.36%
Brunswick Corp. . . . . . . . . . . . . . . . . . . . . . . . 24,600 768,750
Coachmen Industries, Inc. . . . . . . . . . . . . . . . . . . 43,300 741,512
Russ Berrie & Co., Inc. . . . . . . . . . . . . . . . . . . . 14,100 309,319
*The Score Board Inc. . . . . . . . . . . . . . . . . . . . . . 786 737
---------
1,820,318
---------
RENTAL AND LEASING: 0.76%
*Electro Rent Corp. . . . . . . . . . . . . . . . . . . . . . . 123,675 3,060,956
McGrath Rentcorp . . . . . . . . . . . . . . . . . . . . . . . 37,600 770,800
---------
3,831,756
---------
RESTAURANTS: 0.68%
CKE Restaurants, Inc. . . . . . . . . . . . . . . . . . . . . 13,800 436,425
*Foodmaker, Inc. . . . . . . . . . . . . . . . . . . . . . . . 119,800 1,961,725
*Ryan's Family Steak Houses Inc. . . . . . . . . . . . . . . . 70,000 599,375
*Showbiz Pizza Time, Inc. . . . . . . . . . . . . . . . . . . . 17,400 458,925
---------
3,456,450
---------
RETAIL TRADE: 2.89%
*Burlington Coat Factory Warehouse Corp. 15,300 298,350
Carson Pirie Scott & Co. . . . . . . . . . . . . . . . . . . . 13,900 441,325
*Central Garden & Pet Co. . . . . . . . . . . . . . . . . . . . 13,300 332,500
Dayton Hudson Corp. . . . . . . . . . . . . . . . . . . . . . 37,400 1,989,212
*Dress Barn, Inc. . . . . . . . . . . . . . . . . . . . . . . . 17,300 337,350
*Fabri-Centers of America, Inc., Class A . . . . . . . . . . . 41,000 1,117,250
*Federated Department Stores, Inc. . . . . . . . . . . . . . . 33,300 1,157,175
*Fred Meyer Inc. . . . . . . . . . . . . . . . . . . . . . . . 29,500 1,524,781
*Genesco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 42,400 601,550
*Goody's Family Clothing Inc. . . . . . . . . . . . . . . . . . 16,900 462,637
*K Mart Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 34,900 427,525
*Proffitt's Inc. . . . . . . . . . . . . . . . . . . . . . . . 1,600 70,200
Ross Stores Inc. . . . . . . . . . . . . . . . . . . . . . . . 78,000 2,549,625
Ruddick Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,200 19,800
Shopko Stores Inc. . . . . . . . . . . . . . . . . . . . . . . 27,200 693,600
*Waban Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 15,400 495,688
*Wet Seal Inc., Class A . . . . . . . . . . . . . . . . . . . . 23,500 741,719
*Woolworth Corp. . . . . . . . . . . . . . . . . . . . . . . . 43,700 1,048,800
*Zale Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200 320,963
----------
14,630,050
----------
SAVINGS AND LOAN ASSOCIATIONS: 3.43%
Albank Financial Corp. . . . . . . . . . . . . . . . . . . . . 25,400 1,003,300
Astoria Financial Corp. . . . . . . . . . . . . . . . . . . . 39,000 1,852,500
Bankers Corp. . . . . . . . . . . . . . . . . . . . . . . . . 13,400 375,200
Citfed Bancorp, Inc. . . . . . . . . . . . . . . . . . . . . . 5,900 228,625
*Coast Savings Financial, Inc. . . . . . . . . . . . . . . . . 14,900 677,019
Dime Bancorp, Inc. . . . . . . . . . . . . . . . . . . . . . . 32,100 561,750
Downey Financial Corp. . . . . . . . . . . . . . . . . . . . . 33,600 793,800
*Firstfed Financial Corp. . . . . . . . . . . . . . . . . . . . 31,800 987,787
*Glendale Federal Bank, F.S.B. . . . . . . . . . . . . . . . . 25,100 655,737
Golden West Financial Corp. . . . . . . . . . . . . . . . . . 6,800 476,000
H.F. Ahmanson & Co. . . . . . . . . . . . . . . . . . . . . . 13,900 597,700
MAF Bancorp Inc. . . . . . . . . . . . . . . . . . . . . . . . 20,500 858,438
New York Bancorp Inc. . . . . . . . . . . . . . . . . . . . . 13,950 484,763
Onbancorp Inc. . . . . . . . . . . . . . . . . . . . . . . . . 12,500 637,500
RCSB Financial Inc. . . . . . . . . . . . . . . . . . . . . . 58,400 2,795,900
Sovereign Bancorp Inc. . . . . . . . . . . . . . . . . . . . . 71,160 1,085,190
St. Paul Bancorp Inc. . . . . . . . . . . . . . . . . . . . . 14,800 490,250
TR Financial Corp. . . . . . . . . . . . . . . . . . . . . . . 74,400 1,873,950
Trans Financial Inc. . . . . . . . . . . . . . . . . . . . . . 9,600 267,600
Washington Mutual Inc. . . . . . . . . . . . . . . . . . . . . 11,400 681,150
----------
17,384,159
----------
</TABLE>
18
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
Shoes: 0.03%
*Vans, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 $ 75,625
Weyco Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 800 52,000
-------
127,625
-------
Steel: 3.05%
AK Steel Holding Corp. . . . . . . . . . . . . . . . . . . . . 46,100 2,034,162
British Steel Plc, ADR . . . . . . . . . . . . . . . . . . . . 75,700 1,911,425
Chaparral Steel Co. . . . . . . . . . . . . . . . . . . . . . 15,800 236,012
Cleveland-Cliffs Inc. . . . . . . . . . . . . . . . . . . . . 31,300 1,275,475
Inland Steel Industries, Inc. . . . . . . . . . . . . . . . . 26,400 689,700
Lone Star Technologies, Inc. . . . . . . . . . . . . . . . . . 76,000 2,175,500
LTV Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 25,400 361,950
Oregon Steel Mills, Inc. . . . . . . . . . . . . . . . . . . . 14,900 297,069
Pohang Iron & Steel Co., ADR . . . . . . . . . . . . . . . . . 37,200 1,190,400
Quanex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 24,400 748,775
Roanoke Electric Steel Corp. . . . . . . . . . . . . . . . . . 45,100 755,425
Tubos De Acero de Mexico, ADR . . . . . . . . . . . . . . . . 155,100 2,859,656
USX-U.S. Steel Group . . . . . . . . . . . . . . . . . . . . . 26,400 925,650
----------
15,461,199
----------
SUPERMARKET CHAINS: 0.22%
Great Atlantic & Pacific Tea Company, Inc. 36,000 978,750
Supervalu Inc. . . . . . . . . . . . . . . . . . . . . . . . . 3,800 131,100
----------
1,109,850
----------
TELECOMMUNICATIONS: 1.35%
*Atlantic Tele-Network, Inc. . . . . . . . . . . . . . . . . . 41,800 522,500
British Telecommunications Plc., ADR . . . . . . . . . . . . . 5,600 415,800
Philippine Long Distance Telephone Co., ADR . . . . . . . . . 2,000 128,500
Portugal Telecommunications S.A., ADR . . . . . . . . . . . . 14,900 597,863
Tadiran Ltd., ADR . . . . . . . . . . . . . . . . . . . . . . 33,000 944,625
Tele Danmark A.S., ADR . . . . . . . . . . . . . . . . . . . . 77,000 2,011,625
Telefonos de Mexico, S.A., ADR . . . . . . . . . . . . . . . . 46,500 2,220,375
---------
6,841,288
---------
TEXTILES: 0.41%
Guilford Mills, Inc. . . . . . . . . . . . . . . . . . . . . . 36,600 761,737
Interface Inc., Class A . . . . . . . . . . . . . . . . . . . 38,800 858,450
*Mohawk Industries Inc. . . . . . . . . . . . . . . . . . . . . 5,000 113,750
*O'Sullivan Industries Holdings, Inc. . . . . . . . . . . . . . 21,400 354,438
---------
2,088,375
---------
TOBACCO: 0.65%
RJR Nabisco Holdings Corp. . . . . . . . . . . . . . . . . . . 70,900 2,339,700
Universal Corp. . . . . . . . . . . . . . . . . . . . . . . . 29,400 933,450
---------
3,273,150
---------
TRANSPORTATION: 0.17%
*Greyhound Lines Inc. . . . . . . . . . . . . . . . . . . . . . 191,000 859,500
---------
TRUCKING: 1.08%
Cascade Corp. . . . . . . . . . . . . . . . . . . . . . . . . 11,800 227,887
*Gardner Denver Machinery Inc. . . . . . . . . . . . . . . . . 94,400 2,808,400
PACCAR Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 11,600 538,675
Raymond Corp. . . . . . . . . . . . . . . . . . . . . . . . . 20,800 679,250
Roadway Express, Inc. . . . . . . . . . . . . . . . . . . . . 21,700 507,238
*Yellow Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 30,600 684,675
---------
5,446,125
---------
UTILITIES: 6.96%
Allegheny Power System, Inc. . . . . . . . . . . . . . . . . . 23,000 613,812
Atlantic Energy Inc. . . . . . . . . . . . . . . . . . . . . . 37,900 637,194
Baltimore Gas & Electric Co. . . . . . . . . . . . . . . . . . 29,800 795,287
Black Hills Corp. . . . . . . . . . . . . . . . . . . . . . . 600 17,100
Boston Edison Co. . . . . . . . . . . . . . . . . . . . . . . 35,000 923,125
California Water Service Co. . . . . . . . . . . . . . . . . . 15,400 681,450
Centerior Energy Corp. . . . . . . . . . . . . . . . . . . . . 76,700 858,081
CMS Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . 38,600 1,360,650
Delmarva Power & Light Co. . . . . . . . . . . . . . . . . . . 6,300 120,094
DQE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,200 288,150
Edison International . . . . . . . . . . . . . . . . . . . . . 88,500 2,201,437
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
Enersis S.A., ADR . . . . . . . . . . . . . . . . . . . . . . 16,200 $ 576,112
Entergy Corp. . . . . . . . . . . . . . . . . . . . . . . . . 65,600 1,795,800
GPU, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 37,300 1,338,137
Hawaiian Electric Industries Inc. . . . . . . . . . . . . . . 3,900 150,638
Houston Industries Inc. . . . . . . . . . . . . . . . . . . . 18,000 385,875
*Huaneng Power International Inc., ADR . . . . . . . . . . . . 17,300 441,150
Illinova Corp. . . . . . . . . . . . . . . . . . . . . . . . . 57,900 1,273,800
IPALCO Enterprises, Inc. . . . . . . . . . . . . . . . . . . . 37,400 1,168,750
KU Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . 5,700 194,513
Long Island Lighting Co. . . . . . . . . . . . . . . . . . . . 15,900 365,700
MidAmerican Energy Holdings Co. . . . . . . . . . . . . . . . 34,600 599,013
Montana Power Co. . . . . . . . . . . . . . . . . . . . . . . 21,500 498,531
National Fuel Gas Co. . . . . . . . . . . . . . . . . . . . . 19,700 826,169
New England Electric System . . . . . . . . . . . . . . . . . 22,500 832,500
New York State Electric & Gas Corp. . . . . . . . . . . . . . 39,600 826,650
*Niagara Mohawk Power Corp. . . . . . . . . . . . . . . . . . . 51,700 442,681
NorAm Energy Corp. . . . . . . . . . . . . . . . . . . . . . . 65,400 997,350
Northern States Power Co. (Minn.) . . . . . . . . . . . . . . 5,900 305,325
Northwest Natural Gas Co. . . . . . . . . . . . . . . . . . . 15,100 395,431
NUI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 19,400 435,288
ONEOK Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 8,200 263,938
Pacific Gas & Electric Co. . . . . . . . . . . . . . . . . . . 16,300 395,275
PacifiCorp . . . . . . . . . . . . . . . . . . . . . . . . . . 15,600 343,200
Peoples Energy Corp. . . . . . . . . . . . . . . . . . . . . . 25,500 954,656
Pinnacle West Capital Corp. . . . . . . . . . . . . . . . . . 67,100 2,017,194
Powergen Plc, ADR . . . . . . . . . . . . . . . . . . . . . . 1,800 87,300
PP&L Resources, Inc. . . . . . . . . . . . . . . . . . . . . . 20,000 398,750
Public Service Co. of New Mexico . . . . . . . . . . . . . . . 16,000 286,000
Public Service Enterprise Group Inc. . . . . . . . . . . . . . 47,700 1,192,500
Shandong Huaneng Ltd., ADR . . . . . . . . . . . . . . . . . . 66,516 715,047
Sierra Pacific Resources Inc. . . . . . . . . . . . . . . . . 21,700 694,400
Texas Utilities Co. . . . . . . . . . . . . . . . . . . . . . 24,700 850,606
TNP Enterprises Inc. . . . . . . . . . . . . . . . . . . . . . 68,900 1,597,619
Transcanada Pipelines Ltd. . . . . . . . . . . . . . . . . . . 21,200 426,650
Unicom Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 40,100 892,225
UtiliCorp United Inc. . . . . . . . . . . . . . . . . . . . . 27,100 789,288
Washington Gas Light Co. . . . . . . . . . . . . . . . . . . . 11,600 291,450
Westcoast Energy Inc. . . . . . . . . . . . . . . . . . . . . 39,100 711,131
----------
35,253,022
----------
WHOLESALE DISTRIBUTORS: 0.50%
Hughes Supply, Inc. . . . . . . . . . . . . . . . . . . . . . 37,100 1,484,000
*United Stationers Inc. . . . . . . . . . . . . . . . . . . . . 42,100 1,063,025
---------
2,547,025
---------
TOTAL COMMON STOCKS
(Cost $314,345,924) . . . . . . . . . . . . . . . . . . . 433,304,092
------------ -----------
PRINCIPAL AMOUNT
----------------
SHORT-TERM OBLIGATIONS: 1.38%
United States Treasury Bills: 1.38%
5.155%, 7/17/97 . . . . . . . . . . . . . . . $6,000,000(a) 5,986,791
5.085%, 8/21/97 . . . . . . . . . . . . . . . 1,000,000(a) 993,140
---------
6,979,931
---------
Total Short-Term Obligations
(Cost $6,979,050) . . . . . . . . . . . . . . . . . . . . 6,979,931
---------- ---------
REPURCHASE AGREEMENTS: 12.59 %
With Morgan Stanley & Co., Inc.,
(dated 6/30/97), 6.10%, due 7/1/97
(Repurchase proceeds $33,761,720);
collateralized by: $34,000,000
Federal National Mortgage Association Bonds,
5.50%-10.00%, 3/1/2000-7/1/2022
(Market value $34,668,725) . . . . . . . . . 33,756,000 33,756,000
</TABLE>
19
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED) (CONCLUDED)
Principal
Amount or
Number of Value
Contracts (Note 2)
----------- ----------
<S> <C> <C>
With Prudential Securities Inc.,
(dated 6/30/97), 5.98%, due 7/1/97
(Repurchase proceeds $30,004,983);
collateralized by: $20,323,860 of various
United States Government and Agency Obligations,
5.75%-7.00%, 1/1/2000-10/31/2000
(Market value $30,600,960) . . . . . . . . . . $30,000,000 $ 30,000,000
-------------
TOTAL REPURCHASE AGREEMENTS
(Cost $63,756,000) . . . . . . . . . . . . . . . . . . . . . . . . . . 63,756,000
-------------
TOTAL INVESTMENTS IN SECURITIES
(Cost $385,080,974) . . . . . . . . . . . . . . . . . . . . . . . . . 504,040,023
-------------
UNREALIZED APPRECIATION (DEPRECIATION)
ON FUTURES CONTRACTS: (0.24) %
Mid-Cap 400 September 1997 Short futures . . . . . . (354) (459,494)
Russell 2000 September 1997 Short futures (257) (949,450)
Standard & Poor's 500
September 1997 Short futures . . . . . . . . . (43) 212,802
-------------
NET UNREALIZED DEPRECIATION ON
FUTURES CONTRACTS (B) . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,196,142)
-------------
TOTAL INVESTMENTS
(Cost $385,080,974) . . . . . . . . . . . . . . 99.29% 502,843,881
Other Assets . . . . . . . . . . . . . . . . . . . . 001.03 5,203,146
------ -------------
Total Assets . . . . . . . . . . . . . . . . . 100.32% 508,047,027
Total Liabilities (Note 5) . . . . . . . . . . (0.32) (1,602,729)
------ -------------
NET ASSETS (Note 6) . . . . . . . . . . . . . . . . 100.00% $506,444,298
======= =============
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
CLASS A SHARES
Net asset value (NAV) and redemption price per share
($267,667,752/15,557,878 shares) . . . . . . . . . . . . . . . . . . . . $17.20
======
Maximum public offering price per share-
NAV/(1-maximum sales charge) ($17.20/.945) . . . . . . . . . . . . . . . $18.20
======
Class B Shares
Net asset value and offering price per share
($13,145,650/770,820 shares) . . . . . . . . . . . . . . . . . . . . . . $17.05
======
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . **
======
Class C Shares
Net asset value and offering price per share
($223,244,775/13,109,045 shares) . . . . . . . . . . . . . . . . . . . $ 7.03
======
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . . **
======
Class I Shares
Net asset value, offering and redemption price per share
($2,386,121/137,313 shares) . . . . . . . . . . . . . . . . . . . . . . $17.38
======
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
** Varies by length of time shares are held. (Note 3b)
(a) Pledged as collateral for futures transactions.
(b) The market value of the short futures was $121,658,225 (repesenting 24.02%
of the Fund's net assets) with a cost of $122,854,367.
For Federal income tax purposes, the tax basis of investments owned at June 30,
1997 was $385,142,047 and net unrealized appreciation on investments consisted
of:
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . $123,501,597
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . (5,799,763)
------------
Net unrealized appreciation . . . . . . . . . . . . . . . . . . . $117,701,834
=============
See notes to financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
ZWEIG MANAGED ASSETS
STATEMENT OF NET ASSETS AS OF JUNE 30,1997
(UNAUDITED)
NUMBER VALUE
OF SHARES (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
COMMON STOCKS: 54.29%
UNITED STATES: 22.69%
AEROSPACE: 0.24%
Northrop Grumman Corp. . . . . . . . . . . . . . . . . . . . . . 15,000 $ 1,317,187
------------
AIRFREIGHT: 0.12%
CNF Transportation Inc. . . . . . . . . . . . . . . . . . . . 21,000 677,250
------------
AIRLINES: 0.07%
AMR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 4,000 370,000
------------
AUTOMOBILES: 0.07%
Chrysler Corp. . . . . . . . . . . . . . . . . . . . . . . . 12,000 393,750
------------
BANKS: 1.43%
Banc One Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 12,000 581,250
Bankers Trust New York Corp. . . . . . . . . . . . . . . . . . 23,000 2,001,000
BB & T Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 14,000 630,000
Chase Manhattan Corp. . . . . . . . . . . . . . . . . . . . . . 4,000 388,250
J.P. Morgan & Co., Inc. . . . . . . . . . . . . . . . . . . . . 22,000 2,296,250
PNC Bank Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 46,000 1,914,750
------------
7,811,500
------------
BIOTECHNOLOGY: 0.08%
*Biogen, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 13,000 440,375
------------
BROADCASTING: 0.07%
*Viacom Inc., Class B . . . . . . . . . . . . . . . . . . . . . . 12,000 360,000
------------
CHEMICALS: 0.88%
Dow Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . 12,000 1,045,500
Ethyl Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 140,000 1,295,000
Olin Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,000 1,718,750
Rohm and Haas Co. . . . . . . . . . . . . . . . . . . . . . . . 8,000 720,500
------------
4,779,750
------------
COMPUTERS AND SOFTWARE: 1.02%
Adobe Systems Inc. . . . . . . . . . . . . . . . . . . . . . . . 37,000 1,297,312
*BMC Software Inc. . . . . . . . . . . . . . . . . . . . . . . . 24,000 1,329,000
*Compaq Computer Corp. . . . . . . . . . . . . . . . . . . . . . 19,900 1,975,075
*Gateway 2000, Inc. . . . . . . . . . . . . . . . . . . . . . . . 20,000 648,750
*Oracle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 6,000 302,250
------------
5,552,387
------------
CONGLOMERATES: 0.23%
ITT Industries Inc. . . . . . . . . . . . . . . . . . . . . . . 29,000 746,750
Whitman Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 21,000 504,000
------------
1,250,750
------------
CONSUMER PRODUCTS AND SERVICES: 1.82%
Alberto-Culver Co., Class B . . . . . . . . . . . . . . . . . . 46,000 1,288,000
Colgate-Palmolive Co. . . . . . . . . . . . . . . . . . . . . . 62,000 4,045,500
CPC International, Inc. . . . . . . . . . . . . . . . . . . . . 29,000 2,677,063
International Flavors & Fragrances Inc. . . . . . . . . . . . . 30,000 1,515,000
Kimberly-Clark Corp. . . . . . . . . . . . . . . . . . . . . . . 8,000 398,000
------------
9,923,563
------------
CONTAINERS: 0.14%
*Stone Container Corp. . . . . . . . . . . . . . . . . . . . . . 17,500 250,469
Temple-Inland Inc. . . . . . . . . . . . . . . . . . . . . . . . 9,900 534,600
------------
785,069
------------
ELECTRICAL EQUIPMENT: 0.84%
Cooper Industries, Inc. . . . . . . . . . . . . . . . . . . . . 26,000 1,293,500
Maytag Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 52,000 1,358,500
Westinghouse Electric Corp. . . . . . . . . . . . . . . . . . . 22,600 522,625
Whirlpool Corp. . . . . . . . . . . . . . . . . . . . . . . . . 26,000 1,418,625
------------
4,593,250
------------
ELECTRONICS: 1.03%
*Atmel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 71,000 1,988,000
Intel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 709,063
*Litton Industries, Inc. . . . . . . . . . . . . . . . . . . . . 26,000 1,256,125
*SGS Thomson Microelectronics Corp. . . . . . . . . . . . . . . . 21,000 1,680,000
------------
5,633,188
------------
ENGINEERING: 0.18%
Harnischfeger Industries, Inc. . . . . . . . . . . . . . . . . . 23,000 $ 954,500
------------
ENTERTAINMENT: 0.49%
Gaylord Entertainment Co., Class A . . . . . . . . . . . . . . . 30,000 691,875
*Harrah's Entertainment, Inc. . . . . . . . . . . . . . . . . . . 31,000 558,000
*King World Productions Inc. . . . . . . . . . . . . . . . . . . 40,000 1,400,000
------------
2,649,875
------------
FARMING AND MILLING: 0.31%
Archer-Daniels-Midland Co. . . . . . . . . . . . . . . . . . . . 72,000 1,692,000
------------
FINANCE: 0.78%
Beneficial Corp. . . . . . . . . . . . . . . . . . . . . . . . . 5,000 355,313
Federal National Mortgage Association . . . . . . . . . . . . . 80,000 3,490,000
Greentree Financial Corp. . . . . . . . . . . . . . . . . . . . 11,500 409,687
------------
4,255,000
------------
FOOD AND BEVERAGES: 1.05%
Adolph Coors Co., Class B . . . . . . . . . . . . . . . . . . . 15,000 399,375
IBP Corp., Inc. . . . . . . . . . . . . . . . . . . . . . . . . 81,000 1,883,250
Lancaster Colony Corp. . . . . . . . . . . . . . . . . . . . . . 9,000 435,375
Pepsico, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 64,000 2,404,000
Tyson Foods, Inc., Class A . . . . . . . . . . . . . . . . . . . 31,350 599,569
------------
5,721,569
------------
FOREST AND PAPER PRODUCTS: 0.28%
Weyerhaeuser Co. . . . . . . . . . . . . . . . . . . . . . . . . 29,500 1,534,000
------------
HOSPITALS AND HEALTHCARE: 1.05%
Columbia/HCA Healthcare Corp. . . . . . . . . . . . . . . . . . 33,000 1,297,312
*Foundation Health Corp. . . . . . . . . . . . . . . . . . . . . 14,300 433,469
Manor Care, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 41,000 1,337,625
*Oxford Health Plans Inc. . . . . . . . . . . . . . . . . . . . . 30,000 2,152,500
Shared Medical Systems Corp. . . . . . . . . . . . . . . . . . . 10,000 540,000
------------
5,760,906
------------
HOTELS AND RESORTS: 0.25%
Hilton Hotels Corp. . . . . . . . . . . . . . . . . . . . . . . 51,000 1,354,687
------------
HOUSEHOLD PRODUCTS: 0.15%
Newell Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,900 511,163
Tupperware Corp. . . . . . . . . . . . . . . . . . . . . . . . . 8,000 292,000
------------
803,163
------------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY: 0.07%
NACCO Industries, Inc., Class A . . . . . . . . . . . . . . . . 7,000 395,062
------------
INSURANCE: 0.54%
Cigna Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 6,000 1,065,000
*CNA Financial Corp. . . . . . . . . . . . . . . . . . . . . . . 10,000 1,054,375
UNUM Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,000 840,000
------------
2,959,375
------------
INVESTMENT BANKING AND BROKERAGE: 0.13%
Paine Webber Group Inc. . . . . . . . . . . . . . . . . . . . . 21,000 735,000
------------
MANUFACTURING: 0.07%
Trinity Industries Inc. . . . . . . . . . . . . . . . . . . . . 12,000 381,000
------------
MEDICAL TECHNOLOGY: 0.10%
*Boston Scientific Corp. . . . . . . . . . . . . . . . . . . . . 9,000 552,938
------------
METALS AND MINING: 0.24%
Allegheny Teledyne Inc. . . . . . . . . . . . . . . . . . . . . 15,892 429,084
Asarco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 19,000 581,875
Homestake Mining Co. . . . . . . . . . . . . . . . . . . . . . . 21,000 274,313
------------
1,285,272
------------
OFFICE AUTOMATION AND EQUIPMENT: 0.26%
Xerox Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 18,000 1,419,750
------------
OIL AND GAS: 1.88%
Amerada Hess Corp. . . . . . . . . . . . . . . . . . . . . . . . 11,000 611,187
Ashland Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 45,000 2,086,875
Coastal Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 44,000 2,340,250
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
ZWEIG MANAGED ASSETS
STATEMENT OF NET ASSETS AS OF JUNE 30,1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
OIL AND GAS (CONTINUED)
Dresser Industries, Inc. . . . . . . . . . . . . . . . . . . . . 23,000 $ 856,750
Exxon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 21,600 1,328,400
Phillips Petroleum Co. . . . . . . . . . . . . . . . . . . . . . 43,000 1,881,250
Texaco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 543,750
Union Texas Petroleum Holdings Inc. . . . . . . . . . . . . . . 29,000 607,188
------------
10,255,650
------------
PHARMACEUTICALS: 1.31%
Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . 34,000 3,519,000
Pfizer Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 19,700 2,354,150
Pharmacia & Upjohn Inc. . . . . . . . . . . . . . . . . . . . . 6,000 208,500
Schering-Plough Corp. . . . . . . . . . . . . . . . . . . . . . 22,600 1,081,975
------------
7,163,625
------------
PRINTING AND PUBLISHING: 0.31%
McGraw-Hill Companies, Inc. . . . . . . . . . . . . . . . . . . 29,000 1,705,562
------------
RAILROADS: 0.13%
Burlington Northern Santa Fe Corp. . . . . . . . . . . . . . . . 8,000 719,000
------------
RESTAURANTS: 0.37%
*Brinker International Inc. . . . . . . . . . . . . . . . . . . . 23,000 327,750
Darden Restaurants, Inc. . . . . . . . . . . . . . . . . . . . . 187,000 1,694,687
------------
2,022,437
------------
RETAIL TRADE: 1.23%
Dayton-Hudson Corp. . . . . . . . . . . . . . . . . . . . . . . 18,800 999,925
Supervalu Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 27,000 931,500
TJX Companies, Inc. . . . . . . . . . . . . . . . . . . . . . . 60,000 1,582,500
*Toys R Us Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 32,000 1,120,000
Wal-Mart Stores, Inc . . . . . . . . . . . . . . . . . . . . . . 61,000 2,062,563
------------
6,696,488
------------
STEEL: 0.19%
USX-U.S. Steel Group . . . . . . . . . . . . . . . . . . . . . . 30,000 1,051,875
------------
TELECOMMUNICATIONS: 1.71%
AT & T Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 70,000 2,454,375
Frontier Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 38,000 757,625
MCI Communications Corp. . . . . . . . . . . . . . . . . . . . . 131,000 5,014,844
*U.S. Cellular Corp. . . . . . . . . . . . . . . . . . . . . . . 38,100 1,128,712
------------
9,355,556
------------
TOBACCO: 0.68%
Philip Morris Companies Inc. . . . . . . . . . . . . . . . . . . 42,000 1,863,750
RJR Nabisco Holdings Corp. . . . . . . . . . . . . . . . . . . . 56,000 1,848,000
------------
3,711,750
------------
UTILITIES: 0.89%
Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . . . . . 84,000 1,832,250
Texas Utilities Co. . . . . . . . . . . . . . . . . . . . . . . 25,000 860,937
Unicom Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 81,000 1,802,250
UtiliCorp United Inc. . . . . . . . . . . . . . . . . . . . . . 13,500 393,188
------------
4,888,625
------------
TOTAL UNITED STATES (Cost $108,880,449) . . . . . . . . . . . . . 123,912,684
------------
FOREIGN STOCKS: 31.60%
AUSTRALIA: 3.13%
BANKS: 0.46%
Australia & New Zealand Banking Group Ltd. 167,900 1,245,236
Commonwealth Bank of Australia Ltd. . . . . . . . . . . . . . . . 70,000 839,042
Westpac Banking Corp. . . . . . . . . . . . . . . . . . . . . . . 74,700 446,010
------------
2,530,288
------------
BUILDING MATERIALS AND PRODUCTS: 0.19%
Hardie James Industries Ltd. . . . . . . . . . . . . . . . . . . 206,600 657,787
Pioneer International Ltd. . . . . . . . . . . . . . . . . . . . 100,900 387,014
------------
1,044,801
------------
CONGLOMERATES: 0.82%
Broken Hill Proprietary Ltd. . . . . . . . . . . . . . . . . . . 189,800 $ 2,770,244
Pacific Dunlop Ltd. . . . . . . . . . . . . . . . . . . . . . . . 238,500 700,391
Southcorp Holdings . . . . . . . . . . . . . . . . . . . . . . . 262,900 976,873
------------
4,447,508
------------
FOOD AND BEVERAGES: 0.09%
Fosters Brewing Group . . . . . . . . . . . . . . . . . . . . . . 269,700 497,029
------------
INSURANCE: 0.09%
QBE Insurance Group Ltd. . . . . . . . . . . . . . . . . . . . . 85,300 511,217
------------
METALS AND MINING: 0.59%
Normandy Mining Ltd. . . . . . . . . . . . . . . . . . . . . . . 506,000 564,810
Rio Tinto Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 89,000 1,505,497
WMC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183,000 1,144,731
------------
3,215,038
------------
NEWSPAPERS: 0.22%
News Corp. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 250,300 1,190,695
------------
OIL AND GAS: 0.22%
Australia Gas Light Co. . . . . . . . . . . . . . . . . . . . . 102,700 600,110
Woodside Petroleum Ltd. . . . . . . . . . . . . . . . . . . . . . 71,000 606,358
------------
1,206,468
------------
REAL ESTATE: 0.12%
Lend Lease Corp. . . . . . . . . . . . . . . . . . . . . . . . . 31,500 660,746
------------
RETAIL TRADE: 0.33%
Coles Myer Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 207,300 1,070,002
Woolworths Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 224,100 730,293
1,800,295
------------
TOTAL AUSTRALIA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,104,085
------------
BELGIUM : 2.04%
BANKS: 0.40%
Generale de Banque SA . . . . . . . . . . . . . . . . . . . . . . 3,300 1,271,349
KredietBank NV . . . . . . . . . . . . . . . . . . . . . . . . . 2,300 927,677
------------
2,199,026
------------
CHEMICALS: 0.21%
Solvay SA, Class A . . . . . . . . . . . . . . . . . . . . . . . 1,900 1,120,445
------------
CONGLOMERATES: 0.31%
Groupe Bruxelles Lambert SA . . . . . . . . . . . . . . . . . . . 4,400 738,025
Tractebel Intl. . . . . . . . . . . . . . . . . . . . . . . . . . 2,300 959,666
------------
1,697,691
------------
ENERGY: 0.26%
Petrofina SA . . . . . . . . . . . . . . . . . . . . . . . . . . 3,800 1,440,194
------------
INSURANCE: 0.41%
Fortis AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,000 1,446,731
Royale Belge . . . . . . . . . . . . . . . . . . . . . . . . . . 2,700 784,840
------------
2,231,571
------------
RETAIL TRADE: 0.09%
Delhaize le Lion SA . . . . . . . . . . . . . . . . . . . . . . . 9,100 478,414
------------
UTILITIES: 0.36%
Electrabel SA . . . . . . . . . . . . . . . . . . . . . . . . . . 9,100 1,951,627
------------
Total Belgium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,118,968
------------
CANADA : 1.49%
AEROSPACE: 0.07%
Bombardier Inc. Class B . . . . . . . . . . . . . . . . . . . . . 17,400 394,779
------------
BANKS: 0.33%
Canadian Imperial Bank of Commerce . . . . . . . . . . . . . . . 42,800 1,079,650
Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . 16,100 729,984
------------
1,809,634
------------
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
BROADCASTING: 0.08%
Thomson Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 19,000 $ 437,966
------------
BUSINESS SERVICES: 0.05%
Moore Corp. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 12,700 250,399
------------
CONGLOMERATES: 0.11%
Canadian Pacific Ltd. . . . . . . . . . . . . . . . . . . . . . . 20,800 592,538
------------
ENERGY: 0.15%
*Renaissance Energy Ltd. . . . . . . . . . . . . . . . . . . . . . 12,600 350,721
*Talisman Energy Inc. . . . . . . . . . . . . . . . . . . . . . . . 14,900 458,484
------------
809,205
------------
FOOD AND BEVERAGES: 0.10%
Seagram Co. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 13,200 531,040
------------
FOREST AND PAPER PRODUCTS: 0.05%
Abitibi Consolidated Inc. . . . . . . . . . . . . . . . . . . . . 15,700 280,528
------------
METALS AND MINING: 0.28%
Alcan Aluminum Ltd. . . . . . . . . . . . . . . . . . . . . . . . 25,000 853,534
Barrick Gold Corp. . . . . . . . . . . . . . . . . . . . . . . . . 21,300 463,964
Teck Corp., Class B . . . . . . . . . . . . . . . . . . . . . . . 11,200 226,913
------------
1,544,411
------------
TELECOMMUNICATIONS: 0.27%
BCE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,500 960,307
Northern Telecom Ltd. . . . . . . . . . . . . . . . . . . . . . . 6,000 541,260
------------
1,501,567
------------
TOTAL CANADA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,152,067
------------
DENMARK: 1.62%
BANKS: 0.26%
Den Danske Bank . . . . . . . . . . . . . . . . . . . . . . . . . 9,045 881,213
Unidanmark AS, Class A . . . . . . . . . . . . . . . . . . . . . 9,060 509,655
------------
1,390,868
------------
CONGLOMERATES: 0.10%
Sophus Berendsen, Class B . . . . . . . . . . . . . . . . . . . . 3,783 547,706
------------
CONSUMER PRODUCTS AND SERVICES: 0.04%
ISS International Service Systems, Class B . . . . . . . . . . . 5,377 193,000
------------
FOOD AND BEVERAGES: 0.22%
Carlsberg, Class A . . . . . . . . . . . . . . . . . . . . . . . 10,425 573,863
Danisco AS . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,452 639,978
------------
1,213,841
------------
HOSPITAL AND HEALTHCARE: 0.26%
Novo-Nordisk AS, Class B . . . . . . . . . . . . . . . . . . . . 13,200 1,441,293
------------
MACHINERY AND EQUIPMENT: 0.05%
FLS Industries AS, Class B . . . . . . . . . . . . . . . . . . . 8,470 287,412
------------
TELECOMMUNICATIONS: 0.22%
Tele Danmark AS, Class B . . . . . . . . . . . . . . . . . . . . 23,442 1,219,701
------------
TRANSPORTATION: 0.47%
D/S AF 1912, Class B . . . . . . . . . . . . . . . . . . . . . . 71 2,543,089
------------
TOTAL DENMARK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,836,910
------------
FINLAND : 1.51%
BANKS: 0.10%
*Merita Ltd., Class A . . . . . . . . . . . . . . . . . . . . . . 162,600 541,556
------------
CHEMICALS: 0.08%
Kemira OY . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,300 408,471
------------
CONGLOMERATES: 0.08%
*Amer-Group . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,600 118,804
Metra OY, Class B . . . . . . . . . . . . . . . . . . . . . . . . 10,800 325,398
------------
444,202
------------
ELECTRONICS: 0.77%
Nokia AB, Class A . . . . . . . . . . . . . . . . . . . . . . . . 56,700 $ 4,234,280
------------
FOREST AND PAPER PRODUCTS: 0.26%
*UPM-Kymmen OY . . . . . . . . . . . . . . . . . . . . . . . . . . 61,400 1,418,490
------------
Insurance: 0.06%
Sampo Insurance Co., Class A . . . . . . . . . . . . . . . . . . 3,200 311,113
------------
METALS AND MINING: 0.10%
Outokumpu OY, Class A . . . . . . . . . . . . . . . . . . . . . . 26,900 533,416
------------
WHOLESALE DISTRIBUTORS: 0.06%
Kesko OY . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,700 333,992
------------
TOTAL FINLAND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,225,520
------------
FRANCE : 0.00%
CONGLOMERATES: 0.00%
Lyonnais Des Eaux- Dumez, New Shares. . . . . . . . . . . . . . . 78 7,865
------------
ELECTRONICS: 0.00%
Michelin Inc., New Shares . . . . . . . . . . . . . . . . . . . . 61 3,667
------------
TOTAL FRANCE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,532
------------
GERMANY : 3.55%
AUTOMOBILES: 0.64%
Daimler-Benz AG . . . . . . . . . . . . . . . . . . . . . . . . . 22,000 1,786,479
Volkswagen AG . . . . . . . . . . . . . . . . . . . . . . . . . 2,200 1,688,001
------------
3,474,480
------------
BANKS: 0.63%
*Bayerische Hypotheken-Und . . . . . . . . . . . . . . . . . . . . 26,800 802,062
Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . . . . . 26,200 1,532,125
Dresdner Bank AG . . . . . . . . . . . . . . . . . . . . . . . . 32,400 1,121,195
------------
3,455,382
------------
CHEMICALS: 0.68%
Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,650 1,871,139
Hoechst AG . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,900 1,863,793
------------
3,734,932
------------
CONGLOMERATES: 0.11%
Viag AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,300 591,610
------------
CONSUMER PRODUCTS AND SERVICES: 0.05%
Karstadt AG . . . . . . . . . . . . . . . . . . . . . . . . . . 750 267,283
------------
ELECTRONICS: 0.35%
Siemens AG . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,100 1,907,541
------------
INSURANCE: 0.43%
Allianz AG Holding . . . . . . . . . . . . . . . . . . . . . . . 11,000 2,351,460
------------
MACHINERY AND EQUIPMENT: 0.37%
Mannesmann AG . . . . . . . . . . . . . . . . . . . . . . . . . 4,550 2,028,856
------------
TELECOMMUNICATIONS: 0.07%
Deutsche Telekom AG . . . . . . . . . . . . . . . . . . . . . . 15,000 368,859
------------
UTILITIES: 0.22%
RWE AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,700 1,192,229
------------
TOTAL GERMANY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,372,632
------------
ITALY : 2.06%
APPAREL: 0.05%
Benetton Group SPA . . . . . . . . . . . . . . . . . . . . . . . 17,160 273,814
------------
AUTOMOBILES: 0.22%
Fiat SPA . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249,000 895,610
Fiat SPA Priv. . . . . . . . . . . . . . . . . . . . . . . . . . 147,000 271,278
------------
1,166,888
------------
</TABLE>
23
<PAGE>
<TABLE>
<CAPTION>
ZWEIG MANAGED ASSETS
STATEMENT OF NET ASSETS AS OF JUNE 30,1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
BANKS: 0.24%
Credito Italiano . . . . . . . . . . . . . . . . . . . . . . . . 345,000 $ 630,591
Istituto Banc San Paolo . . . . . . . . . . . . . . . . . . . . 55,500 404,140
Mediobanca SPA . . . . . . . . . . . . . . . . . . . . . . . . . 45,500 275,968
------------
1,310,699
------------
BROADCASTING: 0.07%
Mediaset SPA . . . . . . . . . . . . . . . . . . . . . . . . . . 93,500 396,475
------------
BUILDING MATERIALS AND PRODUCTS: 0.04%
Sirti SPA . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,500 227,621
------------
CONGLOMERATES: 0.03%
Snia BPD . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170,000 153,365
------------
ENERGY: 0.55%
Eni SPA . . . . . . . . . . . . . . . . . . . . . . . . . . . . 534,000 3,020,717
------------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY: 0.09%
Pirelli SPA . . . . . . . . . . . . . . . . . . . . . . . . . . 205,000 507,229
------------
INSURANCE: 0.26%
Assicurazioni Generali . . . . . . . . . . . . . . . . . . . . . 68,000 1,234,910
Ras Riun Adriat Di Sicurt . . . . . . . . . . . . . . . . . . . 23,000 181,810
------------
1,416,720
------------
TELECOMMUNICATIONS: 0.47%
Telecom Italia SPA . . . . . . . . . . . . . . . . . . . . . . . 430,000 1,286,336
Telecom Italia Mobile SPA . . . . . . . . . . . . . . . . . . . 397,500 1,284,896
------------
2,571,232
------------
UTILITIES: 0.04%
Edison SPA . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,000 223,611
------------
TOTAL ITALY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,268,371
------------
JAPAN : 4.16%
AIRLINES: 0.01%
All Nippon Airways Co., Ltd. . . . . . . . . . . . . . . . . . . 13,000 83,501
------------
APPAREL: 0.06%
Mitsukoshi Ltd. . . . . . . . . . . . . . . . . . . . . . . . . 16,000 113,956
Nisshinbo Industries . . . . . . . . . . . . . . . . . . . . . . 22,000 199,948
------------
313,904
------------
AUTOMOBILES: 0.48%
Honda Motor Co., Ltd. . . . . . . . . . . . . . . . . . . . . . 28,000 844,184
Mitsubishi Motors Corp. . . . . . . . . . . . . . . . . . . . . 98,000 702,263
Nissan Motor Co., Ltd. . . . . . . . . . . . . . . . . . . . . . 57,000 442,830
Suzuki Motor Co., Ltd. . . . . . . . . . . . . . . . . . . . . . 7,000 88,700
Toyota Motor Corp. . . . . . . . . . . . . . . . . . . . . . . . 18,000 531,679
------------
2,609,656
------------
BANKS: 0.14%
Dai-ichi Kangyo Bank Ltd. . . . . . . . . . . . . . . . . . . . 11,000 149,961
Fuji Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 9,000 135,279
Mitsubishi Trust & Banking . . . . . . . . . . . . . . . . . . 10,000 158,175
Mitsui Trust & Banking . . . . . . . . . . . . . . . . . . . . . 8,000 60,474
Sumitomo Bank . . . . . . . . . . . . . . . . . . . . . . . . . 9,000 147,863
The Bank of Tokyo-Mitsubishi . . . . . . . . . . . . . . . . . . 6,000 120,598
------------
772,350
------------
BUILDING MATERIALS AND PRODUCTS: 0.06%
Kajima Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 24,000 140,732
Toto Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 184,829
------------
325,561
------------
CHEMICALS: 0.29%
Asahi Denka Kogyo KK . . . . . . . . . . . . . . . . . . . . . . 18,000 129,931
Kuraray Co. . . . . . . . . . . . . . . . . . . . . . . . . . . 14,000 139,474
Kyowa Hakko Kogyo . . . . . . . . . . . . . . . . . . . . . . . 21,000 157,459
Nippon Chemical Industries . . . . . . . . . . . . . . . . . . . 14,000 100,935
Shin-Etsu Chemical Co. . . . . . . . . . . . . . . . . . . . . . 13,000 345,364
Takeda Chemical Industries . . . . . . . . . . . . . . . . . . . 25,000 703,487
------------
1,576,650
------------
CONSUMER PRODUCTS AND SERVICES: 0.02%
Eisai Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . 6,000 $ 113,781
------------
ELECTRONICS: 0.94%
Hitachi Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . 83,000 928,428
*Matsushita Electric Industrial Co. . . . . . . . . . . . . . . . 4,000 80,748
Nec Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,000 615,223
*Nippon Denso Corp. . . . . . . . . . . . . . . . . . . . . . . . 10,000 239,448
Pioneer Electronics Corp. . . . . . . . . . . . . . . . . . . . 9,000 218,649
*Sankyo Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . 21,000 706,545
*Sharp Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 11,000 151,883
Sony Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 1,309,534
Sumitomo Electric Industries Inc. . . . . . . . . . . . . . . . 14,000 234,903
TDK Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,000 514,463
Yokogawa Electric Industries Inc. . . . . . . . . . . . . . . . 13,000 113,039
------------
5,112,863
------------
ENTERTAINMENT: 0.06%
Noritake Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . 16,000 144,018
*Tokyo Dome Corp. . . . . . . . . . . . . . . . . . . . . . . . . 12,000 161,496
------------
305,514
------------
FINANCE: 0.07%
*Japan Securities Finance . . . . . . . . . . . . . . . . . . . . 17,000 167,876
Nikko Securities Co. . . . . . . . . . . . . . . . . . . . . . . 17,000 104,736
*Nomura Securities Co., Ltd. . . . . . . . . . . . . . . . . . . 8,000 110,461
------------
383,073
------------
FOOD AND BEVERAGES: 0.20%
Ajinomoto Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 31,000 333,217
Kirin Brewery Co., Ltd. . . . . . . . . . . . . . . . . . . . . 29,000 301,582
*Nisshin Flour Milling Corp. . . . . . . . . . . . . . . . . . . 15,000 148,125
Nissin Food Products . . . . . . . . . . . . . . . . . . . . . 4,000 104,168
Sapporo Breweries . . . . . . . . . . . . . . . . . . . . . . . 15,000 124,792
Takara Shuzo . . . . . . . . . . . . . . . . . . . . . . . . . . 8,000 57,817
------------
1,069,701
------------
FOREST AND PAPER PRODUCTS: 0.02%
Hokuetsu Paper Mills . . . . . . . . . . . . . . . . . . . . . . 22,000 134,003
------------
HOMEBUILDERS: 0.05%
*Daiwa House Industries Inc. . . . . . . . . . . . . . . . . . . 11,000 134,580
Shimizu Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 19,000 114,070
------------
248,650
------------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY: 0.09%
Asahi Glass Co., Ltd. . . . . . . . . . . . . . . . . . . . . . 14,000 139,474
Bridgestone Corp. . . . . . . . . . . . . . . . . . . . . . . . 9,000 209,211
Fujikura Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . 17,000 158,962
------------
507,647
------------
MACHINERY AND EQUIPMENT: 0.27%
Ebara Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 17,000 255,527
Kawasaki Heavy Industries Ltd. . . . . . . . . . . . . . . . . . 31,000 144,394
Komatsu Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . 13,000 105,654
*Mitsubishi Corp. . . . . . . . . . . . . . . . . . . . . . . . . 24,000 299,921
Mitsubishi Heavy Industries Ltd. . . . . . . . . . . . . . . . 50,000 384,077
*Nippon Sharyo Ltd. . . . . . . . . . . . . . . . . . . . . . . . 11,000 71,039
*Okuma Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 24,000 211,833
------------
1,472,445
------------
MANUFACTURING: 0.13%
*NGK Insulators . . . . . . . . . . . . . . . . . . . . . . . . . 21,000 231,233
Shinagawa Refractories . . . . . . . . . . . . . . . . . . . . . 11,000 99,012
*Toyo Seikan Kaisha . . . . . . . . . . . . . . . . . . . . . . . 9,000 199,773
*Yamaha Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 9,000 165,166
------------
695,184
------------
METALS AND MINING: 0.04%
*Chiyoda Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 22,000 105,934
*Mitsubishi Steel Manufacturing . . . . . . . . . . . . . . . . 15,000 53,089
*Sumitomo Metal Mining . . . . . . . . . . . . . . . . . . . . . 11,000 77,864
------------
236,887
------------
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS: 0.19%
Dainippon Pharmaceutical Co., Ltd. . . . . . . . . . . . . . . . 23,000 $ 174,666
Taisho Pharmaceutical Co., Ltd. . . . . . . . . . . . . . . . . 18,000 486,061
Yamanouchi Pharmaceuticals . . . . . . . . . . . . . . . . . . 13,000 349,908
----------
1,010,635
----------
PHOTOGRAPHIC PRODUCTS: 0.33%
Canon Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 27,000 736,170
Fuji Photo Film Ltd. . . . . . . . . . . . . . . . . . . . . 5,000 201,433
Fujitsu Ltd. . . . . . . . . . . . . . . . . . . . . . . . . 42,000 583,588
*Nikkon Corp. . . . . . . . . . . . . . . . . . . . . . . . . 8,000 134,930
*Ricoh Corp., Ltd. . . . . . . . . . . . . . . . . . . . . . 9,000 117,976
----------
1,774,097
----------
PRINTING AND PUBLISHING: 0.05%
Dai Nippon Printing Co., Ltd. . . . . . . . . . . . . . . . 9,000 203,705
Toppan Printing Co., Ltd. . . . . . . . . . . . . . . . . . . 6,000 94,381
----------
298,086
----------
RAILROADS: 0.02%
*Keisei Electric Railway Co. . . . . . . . . . . . . . . . . . 22,000 133,042
----------
Real Estate: 0.01%
*Mitsui Fudosan Corp. . . . . . . . . . . . . . . . . . . . . 2,000 27,615
----------
RETAIL TRADE: 0.26%
Daiei Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 17,000 109,193
Ito-Yokado Co., Ltd. . . . . . . . . . . . . . . . . . . . . 13,000 755,484
*Marui Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . 6,000 111,684
Seven-Eleven Japan . . . . . . . . . . . . . . . . . . . . . 6,000 454,077
----------
1,430,438
----------
TELECOMMUNICATIONS: 0.28%
DDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 49 362,265
Nippon Telegraph & Telephone Corp. . . . . . . . . . . . . . 124 1,191,995
----------
1,554,260
----------
TRANSPORTATION: 0.05%
*Mitsubishi Warehouse & Transportation Corp. 10,000 143,319
*Nippon Express Co., Ltd. . . . . . . . . . . . . . . . . . . 15,000 119,942
----------
263,261
----------
UTILITIES: 0.03%
Showa Shell Sekiyu . . . . . . . . . . . . . . . . . . . . . 11,000 103,819
Tonen Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 7,000 84,418
----------
188,237
----------
WHOLESALE DISTRIBUTORS: 0.01%
Sumitomo Corp. . . . . . . . . . . . . . . . . . . . . . . . 5,000 47,627
----------
TOTAL JAPAN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,688,668
----------
MEXICO : 1.03%
BANKS: 0.03%
*Grupo Financiero Banamex . . . . . . . . . . . . . . . . . . 67,000 175,196
----------
BROADCASTING: 0.06%
*Grupo Televisa SA . . . . . . . . . . . . . . . . . . . . . . 23,000 348,129
----------
BUILDING MATERIALS AND PRODUCTS : 0.12%
Cemex SA, Class A . . . . . . . . . . . . . . . . . . . . . 76,000 324,369
Cemex SA, Class B . . . . . . . . . . . . . . . . . . . . . 73,000 351,486
----------
675,855
----------
CONGLOMERATES: 0.16%
Desc-Sociedad de Fomento SA, Class B . . . . . . . . . . . 38,000 276,120
Grupo Carso SA . . . . . . . . . . . . . . . . . . . . . . 85,000 590,922
----------
867,042
----------
FOOD AND BEVERAGES: 0.18%
Empresas La Moderna SA . . . . . . . . . . . . . . . . . . 53,000 275,177
Grupo Industrial Bimbo SA . . . . . . . . . . . . . . . . 34,000 243,635
Grupo Modelo SA . . . . . . . . . . . . . . . . . . . . . 65,000 446,162
----------
964,974
----------
HOSPITAL AND HEALTHCARE: 0.09%
Kimberly-Clark de Mexico . . . . . . . . . . . . . . . . 122,00 $ 483,122
----------
METALS AND MINING: 0.10%
Grupo Mexico, Class B . . . . . . . . . . . . . . . . . . 144,000 535,847
----------
RETAIL TRADE: 0.09%
Cifra SA, Class A . . . . . . . . . . . . . . . . . . . . 45,131 82,495
*Cifra SA, Class B . . . . . . . . . . . . . . . . . . . . 216,000 396,454
----------
478,949
----------
TELECOMMUNICATIONS: 0.20%
Telefonos de Mexico SA . . . . . . . . . . . . . . . . . . 453,000 1,082,027
----------
TOTAL MEXICO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,611,141
----------
NETHERLANDS : 1.00%
BANKS: 0.02%
ABN Amro Holding NV . . . . . . . . . . . . . . . . . . . 7,000 130,760
----------
BROADCASTING: 0.11%
Elsevier NV . . . . . . . . . . . . . . . . . . . . . . . 20,200 338,158
Wolters Kluwer . . . . . . . . . . . . . . . . . . . . . 2,100 256,160
---------
594,318
----------
CHEMICALS: 0.05%
Akzo NV . . . . . . . . . . . . . . . . . . . . . . . . . 2,100 288,314
----------
ELECTRONICS: 0.12%
Philips Electronics . . . . . . . . . . . . . . . . . . . 8,700 624,308
----------
ENERGY: 0.13%
Royal Dutch Petroleum . . . . . . . . . . . . . . . . . . 13,600 708,694
----------
FINANCE: 0.10%
ING Groep NV . . . . . . . . . . . . . . . . . . . . . . 12,000 554,273
----------
FOOD AND BEVERAGES: 0.15%
Heineken NV . . . . . . . . . . . . . . . . . . . . . . 1,200 205,173
Unilever NV . . . . . . . . . . . . . . . . . . . . . . . 3,000 632,668
----------
837,841
----------
INSURANCE: 0.15%
Aegon NV . . . . . . . . . . . . . . . . . . . . . . . . 6,500 454,494
Fortis Amev NV . . . . . . . . . . . . . . . . . . . . . 8,600 383,623
----------
838,117
----------
RETAIL TRADE: 0.08%
Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . 4,800 405,691
----------
TELECOMMUNICATIONS: 0.09%
Kon Ptt Nederland . . . . . . . . . . . . . . . . . . . . 12,600 495,171
----------
TOTAL NETHERLANDS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,477,487
----------
NEW ZEALAND : 1.50%
BUILDING MATERIALS AND PRODUCTS : 0.16%
Fletcher Challenge Building . . . . . . . . . . . . . . . 294,140 883,109
----------
FINANCE: 0.19%
Brierley Investments Ltd. . . . . . . . . . . . . . . . . 1,060,200 1,034,682
----------
FOREST AND PAPER PRODUCTS: 0.36%
Carter Holt Harvey . . . . . . . . . . . . . . . . . . . 507,200 1,309,666
Fletcher Challenge Forest . . . . . . . . . . . . . . . . 423,075 613,603
Fletcher Challenge Forest, Class I . . . . . . . . . . . 21,557 30,681
----------
1,953,950
----------
TELECOMMUNICATIONS: 0.50%
Telecom Corp. of New Zealand . . . . . . . . . . . . . . 534,538 2,717,041
----------
TOBACCO: 0.16%
Lion Nathan Ltd. . . . . . . . . . . . . . . . . . . . . 338,410 855,477
----------
UTILITIES: 0.13%
Fletcher Challenge Energy . . . . . . . . . . . . . . . . 244,800 738,291
----------
TOTAL NEW ZEALAND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,182,550
----------
</TABLE>
25
<PAGE>
<TABLE>
<CAPTION>
ZWEIG MANAGED ASSETS
STATEMENT OF NET ASSETS AS OF JUNE 30,1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
SPAIN : 3.21%
BANKS: 1.12%
*Argentaria SA . . . . . . . . . . . . . . . . . . . . . . . 18,600 $ 1,043,380
Banco Bilbao Vizcaya SA . . . . . . . . . . . . . . . . . . 23,700 1,928,938
Banco Central Hispano . . . . . . . . . . . . . . . . . . . 18,800 689,005
Banco De Santander SA . . . . . . . . . . . . . . . . . . . 51,300 1,583,613
*Banco Espanol Credito . . . . . . . . . . . . . . . . . . . 85,100 859,274
----------
6,104,210
----------
BUSINESS SERVICES: 0.07%
Autopistas Cesa Co. . . . . . . . . . . . . . . . . . . . . 28,400 386,210
----------
ENERGY: 0.24%
Repsol Petroleo SA . . . . . . . . . . . . . . . . . . . . 31,300 1,325,892
----------
ENGINEERING: 0.06%
Dragados & Construcciones . . . . . . . . . . . . . . . . . 15,100 314,177
----------
FINANCE: 0.07%
Corporacion Financiera . . . . . . . . . . . . . . . . . . 2,900 368,539
----------
HOMEBUILDERS: 0.06%
Fomento De Construccion . . . . . . . . . . . . . . . . . . 2,600 332,182
----------
INSURANCE: 0.04%
Mapfre . . . . . . . . . . . . . . . . . . . . . . . . . . 4,200 223,893
----------
RETAIL TRADE: 0.09%
*Centros Com. Pryca SA . . . . . . . . . . . . . . . . . . . 23,100 501,047
----------
STEEL: 0.07%
Acerinox SA . . . . . . . . . . . . . . . . . . . . . . . . 2,000 375,467
----------
TELECOMMUNICATIONS: 0.48%
Telefonica De Espana . . . . . . . . . . . . . . . . . . . 90,800 2,630,093
----------
TOBACCO: 0.04%
Tabacalera SA, Class A . . . . . . . . . . . . . . . . . . 4,100 220,514
----------
UTILITIES: 0.87%
Empresa Nacional de Electricidad . . . . . . . . . . . . . 27,000 2,270,959
General De Aguas D'Barcelona . . . . . . . . . . . . . . . 6,800 278,806
Iberdrola I SA . . . . . . . . . . . . . . . . . . . . . . 130,300 1,647,909
Sevillana De Electricidad . . . . . . . . . . . . . . . . . 28,300 292,486
Union Electrica Fenosa . . . . . . . . . . . . . . . . . . 30,000 273,339
----------
4,763,499
----------
TOTAL SPAIN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,545,723
----------
SWEDEN : 1.64%
AUTOMOBILES: 0.14%
Volvo AB, Class A . . . . . . . . . . . . . . . . . . . . 9,400 252,859
Volvo AB, Class B . . . . . . . . . . . . . . . . . . . . 19,400 519,349
----------
772,208
----------
BANKS: 0.08%
Svenska Handelsbanken AB, Class A . . . . . . . . . . . . 13,500 432,111
----------
BUILDING MATERIALS AND PRODUCTS : 0.10%
Scancem AB, Class A . . . . . . . . . . . . . . . . . . . 5,000 200,456
Skanska AB, Class B . . . . . . . . . . . . . . . . . . . 8,300 367,106
----------
567,562
----------
BUSINESS SERVICES: 0.02%
Esselte AB, Class A . . . . . . . . . . . . . . . . . . . 4,300 101,211
----------
CHEMICALS: 0.03%
AGA AB , Class A . . . . . . . . . . . . . . . . . . . . . 13,200 179,246
----------
CONGLOMERATES: 0.03%
Trelleborg AB , Class B . . . . . . . . . . . . . . . . . 9,700 159,317
----------
CONSUMER PRODUCTS AND SERVICES: 0.11%
Hennes & Mauritz AB, Class B . . . . . . . . . . . . . . . 12,500 447,792
Securitas AB, Class B . . . . . . . . . . . . . . . . . . 5,600 157,882
----------
605,674
----------
ELECTRONICS : 0.54%
ABB AB, Class B . . . . . . . . . . . . . . . . . . . . . 29,000 $ 405,050
Electrolux AB, Class B . . . . . . . . . . . . . . . . . . 5,300 382,470
Ericsson LM AB, Class B . . . . . . . . . . . . . . . . . 54,700 2,154,078
----------
2,941,598
----------
FINANCE: 0.05%
Stadshypotek AB . . . . . . . . . . . . . . . . . . . . . 11,200 275,206
----------
FOREST AND PAPER PRODUCTS: 0.08%
Svenska Cellulosa AB, Class B . . . . . . . . . . . . . . 20,300 431,866
----------
HOSPITAL AND HEALTHCARE: 0.35%
Astra AB, Class A . . . . . . . . . . . . . . . . . . . . 80,800 1,504,737
Astra AB, Class B . . . . . . . . . . . . . . . . . . . . 22,400 398,325
----------
1,903,062
----------
INSURANCE: 0.05%
Skandia Group Forsakrings AB .. . . . . . . . . . . . . . 7,700 283,807
----------
MACHINERY AND EQUIPMENT: 0.05%
Atlas Copco AB, Class A . . . . . . . . . . . . . . . . . 10,000 261,239
----------
METALS AND MINING: 0.01%
Granges AB . . . . . . . . . . . . . . . . . . . . . . . 2,650 35,642
----------
TOTAL SWEDEN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,949,749
----------
SWITZERLAND: 1.29%
BANKS: 0.26%
Credit Suisse Group . . . . . . . . . . . . . . . . . . . 4,000 514,456
Schweizerische Bankverein . . . . . . . . . . . . . . . . 1,300 348,218
Union Bank of Switzerland . . . . . . . . . . . . . . . . 500 572,761
----------
1,435,435
----------
CHEMICALS: 0.01%
Clariant AG . . . . . . . . . . . . . . . . . . . . . . . 100 64,821
----------
CONSUMER PRODUCTS AND SERVICES: 0.01%
SMH AG Neuenburg . . . . . . . . . . . . . . . . . . . . 100 57,208
----------
FOOD AND BEVERAGES: 0.22%
Nestle SA . . . . . . . . . . . . . . . . . . . . . . . . 900 1,189,011
----------
HOSPITAL AND HEALTHCARE: 0.66%
Novartis AG . . . . . . . . . . . . . . . . . . . . . . . 1,100 1,761,087
Roche Holdings AG . . . . . . . . . . . . . . . . . . . . 200 1,811,572
----------
3,572,659
----------
INSURANCE: 0.13%
Schweiz Ruckversiche . . . . . . . . . . . . . . . . . . 500 708,235
----------
TOTAL SWITZERLAND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,027,369
----------
UNITED KINGDOM: 2.37%
BANKS: 0.46%
Abbey National Plc. . . . . . . . . . . . . . . . . . . . 33,500 457,183
HSBC Holdings . . . . . . . . . . . . . . . . . . . . . . 26,200 776,163
HSBC Holdings, Class A . . . . . . . . . . . . . . . . . 17,500 538,380
National Westminster Bank Plc. . . . . . . . . . . . . . 46,800 628,956
Royal Bank of Scotland . . . . . . . . . . . . . . . . . 12,772 118,930
----------
2,519,612
----------
BROADCASTING: 0.08%
Reed International Corp. . . . . . . . . . . . . . . . . 43,600 422,320
----------
BUILDING MATERIALS AND PRODUCTS : 0.08%
Redland Corp. . . . . . . . . . . . . . . . . . . . . . . 16,100 91,238
RMC Group Inc. . . . . . . . . . . . . . . . . . . . . . 8,500 138,000
Williams Holdings Co. . . . . . . . . . . . . . . . . . . 37,514 201,664
----------
430,902
----------
CHEMICALS: 0.08%
BOC Group . . . . . . . . . . . . . . . . . . . . . . . . 16,077 279,610
Imperial Chemical Industries Inc. . . . . . . . . . . . . 11,200 155,739
----------
435,349
----------
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
CONGLOMERATES: 0.07%
Hanson Co. . . . . . . . . . . . . . . . . . . . . . . . 10,121 $ 50,280
Siebe Plc. . . . . . . . . . . . . . . . . . . . . . . . 11,300 191,263
TI Group . . . . . . . . . . . . . . . . . . . . . . . . 17,900 155,956
----------
397,499
----------
CONSUMER PRODUCTS AND SERVICES: 0.28%
BAA Plc. . . . . . . . . . . . . . . . . . . . . . . . . 13,400 123,439
Caradon Plc. . . . . . . . . . . . . . . . . . . . . . . 11,340 38,029
Caradon Plc., Class B . . . . . . . . . . . . . . . . . . 3,200 5,246
De La Rue Plc. . . . . . . . . . . . . . . . . . . . . . 4,600 28,250
Glaxo Holdings Plc. . . . . . . . . . . . . . . . . . . . 40,600 837,875
Smithkline Beecham, Class A . . . . . . . . . . . . . . . 21,211 390,258
Tomkins Corp. . . . . . . . . . . . . . . . . . . . . . . 31,400 135,873
----------
1,558,970
----------
FINANCE: 0.01%
Mercury Asset Management . . . . . . . . . . . . . . . . 3,600 73,755
----------
FOOD AND BEVERAGES: 0.40%
Allied Domecq Plc. . . . . . . . . . . . . . . . . . . . 24,500 175,946
BASS Plc. . . . . . . . . . . . . . . . . . . . . . . . . 21,408 261,163
Bat Industries Inc. . . . . . . . . . . . . . . . . . . . 47,500 424,917
Cadbury Schweppes Inc. . . . . . . . . . . . . . . . . . 86,200 768,243
Unilever Plc. . . . . . . . . . . . . . . . . . . . . . 15,700 449,820
United Biscuits Corp. . . . . . . . . . . . . . . . . . . 33,200 112,996
----------
2,193,085
----------
INSURANCE: 0.13%
Prudential Corp. . . . . . . . . . . . . . . . . . . . . 41,700 403,569
Royal & Sun Alliance Insurance Co. . . . . . . . . . . . 37,900 279,431
----------
683,000
----------
OIL AND GAS: 0.29%
British Petroleum Plc. . . . . . . . . . . . . . . . . . 61,600 765,319
Shell Transport . . . . . . . . . . . . . . . . . . . . . 120,000 817,837
----------
1,583,156
----------
RETAIL TRADE: 0.24%
Boots Co. . . . . . . . . . . . . . . . . . . . . . . . . 26,764 313,362
Great Universal Stores Inc. . . . . . . . . . . . . . . . 15,800 159,879
Marks & Spencer Corp. . . . . . . . . . . . . . . . . . . 57,500 476,572
Sears Plc. . . . . . . . . . . . . . . . . . . . . . . . 52,700 58,765
Tesco Corp. . . . . . . . . . . . . . . . . . . . . . . 47,600 292,721
----------
1,301,299
----------
TELECOMMUNICATIONS: 0.18%
British Telecommunications Corp.. . . . . . . . . . . . . 94,100 698,484
Cable & Wireless Plc. . . . . . . . . . . . . . . . . . . 30,200 277,697
----------
976,181
----------
TOBACCO: 0.01%
Imperial Tobacco Group Plc. . . . . . . . . . . . . . . . 8,097 52,084
----------
TOURISM: 0.02%
Ladbroke Group . . . . . . . . . . . . . . . . . . . . . 18,800 73,529
Rank Group Plc. . . . . . . . . . . . . . . . . . . . . . 10,000 63,327
----------
136,856
----------
UTILITIES: 0.04%
Energy Group Plc. . . . . . . . . . . . . . . . . . . . . 8,097 86,380
National Power Corp. . . . . . . . . . . . . . . . . . . 13,500 117,283
----------
203,663
----------
TOTAL UNITED KINGDOM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,967,731
----------
TOTAL FOREIGN STOCKS
(Cost $149,573,372) . . . . . . . . . . . . . . . . . . . . . . . 172,540,503
-----------
TOTAL COMMON STOCKS
(Cost $258,453,821) . . . . . . . . . . . . . . . . . . . . . . . . 296,453,187
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 2)
- -------------------------------------------------------------------------------------------------
BONDS: 31.99%
UNITED STATES GOVERNMENT OBLIGATIONS: 17.18%
UNITED STATES TREASURY BONDS: 4.51%
10.75%, 5/15/2003 . . . . . . . . . . . . . . $ 7,000,000 $ 8,459,066
7.50%, 2/15/2005 . . . . . . . . . . . . . . 7,100,000 7,514,909
7.25%, 8/15/2022 . . . . . . . . . . . . . . . 8,300,000 8,663,133
---------
24,637,108
----------
UNITED STATES TREASURY
NOTES: 12.67%
6.25%, 8/31/2000 . . . . . . . . . . . . . . . 10,400,000 10,396,755
6.50%, 5/15/2005 . . . . . . . . . . . . . . . 5,400,000 5,393,255
6.875%, 5/15/2006 . . . . . . . . . . . . . . 27,700,000 28,279,981
6.50%, 10/15/2006 . . . . . . . . . . . . . . 25,200,000 25,097,637
----------
69,167,628
----------
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS
(Cost $94,209,587) . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,804,736
----------
FOREIGN GOVERNMENT OBLIGATIONS: 14.81%
AUSTRALIAN COMMONWEALTH
GOVERNMENT BONDS: 1.79%
6.75%, 11/15/2006 . . . . . . . . . A$ 13,250,000 9,769,934
-----------
DENMARK BULLET
GOVERNMENT BONDS: 1.46%
8.00%, 3/15/2006. . . . . . . . . . DKR 47,000,000 7,977,088
-----------
DEUTSCHLAND REPUBLIC
GOVERNMENT BONDS: 1.01%
6.25%, 4/26/2006 . . . . . . . . . DM 9,150,000 5,496,194
-----------
FINNISH GOVERNMENT BONDS: 0.99%
7.25%, 4/18/2006 . . . . . . . . . FIM 26,000,000 5,428,893
-----------
FRANCE O.A.T. BONDS: 0.98%
5.50%, 4/25/2007 . . . . . . . . . FF 31,800,000 5,380,764
-----------
ITALIAN GOVERNMENT BONDS: 2.97%
6.75%, 2/1/2007 . . . . . . . . . . LIRA 27,550,000,000 16,207,786
-----------
NEW ZEALAND GOVERNMENT BONDS: 1.46%
8.00%, 11/15/2006 . . . . . . . . . NZ$ 11,000,000 7,997,154
-----------
SPANISH GOVERNMENT BONDS: 0.99%
7.35%, 3/31/2007 . . . . . . . . . PTA 743,000,000 5,413,233
-----------
SWEDISH GOVERNMENT BONDS: 1.02%
8.00%, 8/15/2007 . . . . . . . . . SKR 39,000,000 5,544,063
-----------
UNITED KINGDOM TREASURY BONDS: 2.14%
8.50%, 7/16/2007 . . . . . . . . . 6,400,000 11,680,062
-----------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(COST $80,644,154 ) . . . . . . . . . . . . . . . . . . . . . . . . 80,895,171
-----------
TOTAL BONDS
(COST $174,853,741) . . . . . . . . . . . . . . . . . . . . . . . . 174,699,907
-----------
UNITED STATES SHORT-TERM OBLIGATIONS: 2.19%
FEDERAL NATIONAL MORTGAGE ASSN.,
DISCOUNT NOTES: 1.83%
5.42%, 7/18/97 . . . . . . . . . . . . . . . . $10,000,000 9,972,899
----------
UNITED STATES TREASURY BILLS: 0.36%
5.14%, 7/3/97 . . . . . . . . . . . . . . . . . 1,000,000(A) 999,607
5.12%, 7/17/97 . . . . . . . . . . . . . . . . 1,000,000(A) 997,798
----------
1,997,405
----------
TOTAL UNITED STATES SHORT-TERM OBLIGATIONS
(COST $11,971,844) . . . . . . . . . . . . . . . . . . . . . . . . . 11,970,304
----------
</TABLE>
27
<PAGE>
<TABLE>
<CAPTION>
ZWEIG MANAGED ASSETS
STATEMENT OF NET ASSETS AS OF JUNE 30,1997
(UNAUDITED)(CONCLUDED)
PRINCIPAL AMOUNT
OR NUMBER OF VALUE
CONTRACTS (NOTE 2)
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES REPURCHASE
AGREEMENTS: 11.26%
With Morgan Stanley & Co., Inc. (dated
6/30/97), 6.10%, due 7/1/97 (Repurchase
proceeds $31,005,253); collateralized by:
$74,626,484 various United States
Government Agency Obligations,
6.00%-10.00%, 3/1/2002-4/1/2027
(Market value $32,086,255) . . . . . . . . . . . . . . $ 31,000,000 $ 31,000,000
-----------
With Prudential Securities Inc., (dated
6/30/97), 5.98%, due 7/1/97 (Repurchase
proceeds $30,485,063); collateralized by:
$39,196,308 various United States
Government Agency Obligations,
6.071%-7.00%, 8/19/97-6/1/2032
(Market value $31,113,525) . . . . . . . . . . . . . . 30,480,000 30,480,000
-----------
TOTAL UNITED STATES REPURCHASE AGREEMENTS
(Cost $61,480,000) . . . . . . . . . . . . . . . . . . . . . . . . . . . 61,480,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $506,759,406) . . . . . . . . . . . . . . . . . . . . . . . . . . 544,603,398
-----------
NET UNREALIZED APPRECIATION ON FOREIGN FORWARD CURRENCY
CONTRACTS (Note 4): 0.07%. . . . . . . . . . . . . . . . . . . . . . . . . . 361,078
-----------
UNREALIZED APPRECIATION (DEPRECIATION) ON FUTURES
CONTRACTS: 0.01%
German DAX September 1997 Short Futures. . . . . . . . . . . (50) (317,330)
France CAC 40 September 1997 Long Futures. . . . . . . . . . 110 347,295
Standard & Poor's 500 September 1997 Long Futures. . . . . . 10 (48,330)
United Kingdom FTSE 100 September 1997 Short Futures . . . . (28) 71,935
NET UNREALIZED APPRECIATION ON
FUTURES CONTRACTS (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,570
TOTAL INVESTMENTS
(Cost $506,759,406) . . . . . . . . . . . . . . . . . . . . . 99.81% 545,018,046
Other Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . 001.50 8,175,655
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . 101.31% 553,193,701
Total Liabilities (Note 5) . . . . . . . . . . . . . . . . . (1.31) (7,142,109)
NET ASSETS (Note 6) . . . . . . . . . . . . . . . . . . . . . . . 100.00% $546,051,592
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
CLASS A SHARES
Net asset value (NAV) and redemption price per share
($113,750,219/8,164,243 shares) . . . . . . . . . . . . . . . . . . . . . $13.93
Maximum public offering price per share-
NAV/(1-maximum sales charge) ($13.93/.945) . . . . . . . . . . . . . . . . $14.74
CLASS B SHARES
Net asset value and offering price per share
($11,388,718/810,745 shares) . . . . . . . . . . . . . . . . . . . . . . . $14.05
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . **
CLASS C SHARES
Net asset value and offering price per share
($417,745,556/30,065,536 shares) . . . . . . . . . . . . . . . . . . . . . $13.89
Redemption price per share . . . . . . . . . . . . . . . . . . . . . . . . . . **
CLASS I SHARES
Net asset value, offering and redemption price per share
($3,167,099/222,672 shares) . . . . . . . . . . . . . . . . . . . . . . . . $14.22
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
** Varies by length of time shares are held. (Note 3b)
(a) Pledged as collateral for futures transactions.
(b) The market value of the short futures was $16,252,483 (repesenting 2.98%
of the Fund's net assets) with proceeds of $16,007,088.
<TABLE>
<CAPTION>
% OF
INDUSTRY BREAKDOWN--COMMON STOCK VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Aerospace . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,711,966 0.31%
Airfreight . . . . . . . . . . . . . . . . . . . . . . . . . 677,250 0.12%
Airlines . . . . . . . . . . . . . . . . . . . . . . . . . . 453,501 0.08%
Apparel. . . . . . . . . . . . . . . . . . . . . . . . . . . 587,718 0.11%
Automobiles . . . . . . . . . . . . . . . . . . . . . . . . 8,416,982 1.54%
Banks . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,618,627 5.97%
Biotechnology . . . . . . . . . . . . . . . . . . . . . . . 440,375 0.08%
Broadcasting . . . . . . . . . . . . . . . . . . . . . . . . 2,559,208 0.47%
Building Materials and Products . . . . . . . . . . . . . . 4,155,411 0.76%
Business Services . . . . . . . . . . . . . . . . . . . . . 737,820 0.14%
Chemicals . . . . . . . . . . . . . . . . . . . . . . . . . 12,587,978 2.31%
Computers and Software . . . . . . . . . . . . . . . . . . . 5,552,387 1.02%
Conglomerates . . . . . . . . . . . . . . . . . . . . . . . 11,157,093 2.04%
Consumer Products and Services . . . . . . . . . . . . . . . 12,719,479 2.33%
Containers . . . . . . . . . . . . . . . . . . . . . . . . . 785,069 0.14%
Electrical Equipment . . . . . . . . . . . . . . . . . . . . 4,593,250 0.84%
Electronics . . . . . . . . . . . . . . . . . . . . . . . . 20,457,445 3.75%
Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,304,702 1.34%
Engineering . . . . . . . . . . . . . . . . . . . . . . . . 1,268,677 0.23%
Entertainment . . . . . . . . . . . . . . . . . . . . . . . 2,955,389 0.54%
Farming and Milling . . . . . . . . . . . . . . . . . . . . 1,692,000 0.31%
Finance . . . . . . . . . . . . . . . . . . . . . . . . . . 6,944,528 1.27%
Food and Beverages . . . . . . . . . . . . . . . . . . . . . 14,218,091 2.60%
Forest and Paper Products . . . . . . . . . . . . . . . . . 5,752,837 1.05%
Homebuilders . . . . . . . . . . . . . . . . . . . . . . . . 580,832 0.11%
Hospital and Healthcare . . . . . . . . . . . . . . . . . . 13,161,042 2.41%
Hotels and Resorts . . . . . . . . . . . . . . . . . . . . . 1,354,687 0.25%
Household Products . . . . . . . . . . . . . . . . . . . . . 803,163 0.15%
Industrial Products, Services and Machinery . . . . . . . . 1,409,938 0.26%
Insurance . . . . . . . . . . . . . . . . . . . . . . . . . 12,518,508 2.29%
Investment Banking and Brokerage . . . . . . . . . . . . . . 735,000 0.13%
Machinery and Equipment . . . . . . . . . . . . . . . . . . 4,049,952 0.74%
Manufacturing . . . . . . . . . . . . . . . . . . . . . . . 1,076,184 0.20%
Medical Technology . . . . . . . . . . . . . . . . . . . . . 552,938 0.10%
Metals and Mining . . . . . . . . . . . . . . . . . . . . . 7,386,513 1.35%
Newspapers . . . . . . . . . . . . . . . . . . . . . . . . . 1,190,695 0.22%
Office Automation and Equipment . . . . . . . . . . . . . . 1,419,750 0.26%
Oil and Gas . . . . . . . . . . . . . . . . . . . . . . . . 13,045,274 2.39%
Pharmaceuticals . . . . . . . . . . . . . . . . . . . . . . 8,174,260 1.50%
Photographic Products . . . . . . . . . . . . . . . . . . . 1,774,097 0.32%
Printing and Publishing . . . . . . . . . . . . . . . . . . 2,003,648 0.37%
Railroads . . . . . . . . . . . . . . . . . . . . . . . . . 852,042 0.16%
Real Estate. . . . . . . . . . . . . . . . . . . . . . . . . 688,361 0.13%
Restaurants . . . . . . . . . . . . . . . . . . . . . . . . 2,022,437 0.37%
Retail Trade . . . . . . . . . . . . . . . . . . . . . . . . 13,092,621 2.40%
Steel . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,427,342 0.26%
Telecommunications . . . . . . . . . . . . . . . . . . . . . 24,471,688 4.48%
Tobacco . . . . . . . . . . . . . . . . . . . . . . . . . . 4,839,825 0.89%
Tourism . . . . . . . . . . . . . . . . . . . . . . . . . . 136,856 0.03%
Transportation . . . . . . . . . . . . . . . . . . . . . . . 2,806,350 0.51%
Utilities . . . . . . . . . . . . . . . . . . . . . . . . . 14,149,782 2.59%
Wholesale Distributors . . . . . . . . . . . . . . . . . . . 381,619 0.07%
------------ -----
$296,453,187 54.29%
============ =====
</TABLE>
- --------------------------------------------------------------------------------
The market value of the long futures was $15,277,122 (representing 2.80% of
the Fund's net assets) with a cost of $14,978,157.
For Federal income tax purposes, the tax basis of investments owned at June
30, 1997 was $507,269,387 and net unrealized appreciation on investments
consisted of:
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . $ 46,184,078
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . (8,435,419)
------------
Net unrealized appreciation . . . . . . . . . . . . . . . . . . . $ 37,748,659
============
See notes to financial statements.
28
<PAGE>
<TABLE>
<CAPTION>
ZWEIG GROWTH & INCOME FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)
NUMBER VALUE
OF SHARES (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
COMMON STOCKS: 73.53%
AEROSPACE: 1.27%
AAR Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500 $ 48,469
*Moog Inc., Class A . . . . . . . . . . . . . . . . . . . . . . 2,100 66,150
Precision Castparts Corp. . . . . . . . . . . . . . . . . . . . 600 35,775
*Rohr Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,400 52,650
*UNC Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 23,400
*Wyman-Gordon Co. . . . . . . . . . . . . . . . . . . . . . . . . 1,500 40,500
---------
266,944
---------
AIR FREIGHT: 0.08%
Air Express International Corp. . . . . . . . . . . . . . . . . 400 15,900
---------
AIRLINES: 1.06%
British Airways Plc., ADR . . . . . . . . . . . . . . . . . . . 500 57,469
Delta Air Lines Inc. . . . . . . . . . . . . . . . . . . . . . . 800 65,600
KLM Royal Dutch Airlines N.V., ADR . . . . . . . . . . . . . . 2,200 67,925
Southwest Airlines Co. . . . . . . . . . . . . . . . . . . . . . 1,200 31,050
---------
222,044
---------
APPAREL: 0.51%
Kellwood Co. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 44,400
Oxford Industries, Inc. . . . . . . . . . . . . . . . . . . . . 200 5,675
Russell Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 900 26,663
*Tultex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 5,000 30,625
---------
107,363
---------
AUTOMOBILES: 1.73%
Chrysler Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 2,900 95,156
Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . 2,500 94,375
General Motors Corp. . . . . . . . . . . . . . . . . . . . . . . 600 33,413
Honda Motor Co. Ltd., ADR . . . . . . . . . . . . . . . . . . . 1,800 108,337
Volvo AB, ADR . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 32,100
---------
363,381
---------
AUTOMOTIVE PARTS AND EQUIPMENT: 2.88%
A.O. Smith Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,800 64,013
Arvin Industries, Inc. . . . . . . . . . . . . . . . . . . . . . 3,600 98,100
Barnes Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 1,800 53,325
Borg-Warner Automotive, Inc. . . . . . . . . . . . . . . . . . . 1,200 64,875
Excel Industries, Inc. . . . . . . . . . . . . . . . . . . . . . 4,000 78,000
Intermet Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 200 3,213
Simpson Industries, Inc. . . . . . . . . . . . . . . . . . . . . 5,600 59,500
Standard Motor Products, Inc. . . . . . . . . . . . . . . . . . 200 2,750
Standard Products Co. . . . . . . . . . . . . . . . . . . . . . 2,400 60,600
Walbro Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,400 28,350
Wynn's International Inc. . . . . . . . . . . . . . . . . . . . 3,200 90,800
---------
603,526
---------
BANKS: 0.86%
City National Corp. . . . . . . . . . . . . . . . . . . . . . . 6,100 146,781
First Empire State Corp. . . . . . . . . . . . . . . . . . . . 100 33,700
---------
180,481
---------
BUILDING MATERIALS AND PRODUCTS: 1.75%
Ameron International Corp. . . . . . . . . . . . . . . . . . . . 1,500 84,937
Apogee Enterprises Inc . . . . . . . . . . . . . . . . . . . . . 2,300 49,450
Johns Manville Corp. . . . . . . . . . . . . . . . . . . . . . . 2,600 30,712
Lafarge Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 39,200
Medusa Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 300 11,513
*Morgan Products, Ltd. . . . . . . . . . . . . . . . . . . . . . 1,500 11,250
Southdown, Inc. . . . . . . . . . . . . . . . . . . . . . . . . 3,200 139,600
---------
366,662
---------
CHEMICALS: 0.51%
*Cytec Industries Inc. . . . . . . . . . . . . . . . . . . . . . 900 33,637
Dexter Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 700 22,400
Furon Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300 9,413
Pittway Corp., Class A . . . . . . . . . . . . . . . . . . . . . 200 9,950
Quaker Chemical Corp. . . . . . . . . . . . . . . . . . . . . . 1,800 31,275
---------
106,675
---------
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES: 0.62%
*CDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,100 $ 45,856
CPI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 600 12,600
*HFS Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615 35,670
Ogden Corp . . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 34,800
Unifirst Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 100 2,000
---------
130,926
---------
COMPUTER COMPONENTS AND SOFTWARE: 2.65%
*Compaq Computer Corp. . . . . . . . . . . . . . . . . . . . . . 500 49,625
*Data General Corp. . . . . . . . . . . . . . . . . . . . . . . . 3,100 80,600
*Dell Computer Corp. . . . . . . . . . . . . . . . . . . . . . . 1,400 164,412
*Gateway 2000, Inc. . . . . . . . . . . . . . . . . . . . . . . . 1,900 61,631
*Seagate Technology Inc. . . . . . . . . . . . . . . . . . . . . 700 24,631
*Storage Technology Corp., Class A . . . . . . . . . . . . . . . 1,300 57,850
*Sun Microsystems Inc. . . . . . . . . . . . . . . . . . . . . . 2,300 85,603
*Western Digital Corp. . . . . . . . . . . . . . . . . . . . . . 1,000 31,625
---------
555,977
---------
CONGLOMERATES: 0.71%
Canadian Pacific Ltd. . . . . . . . . . . . . . . . . . . . . . 4,200 119,437
Justin Industries, Inc. . . . . . . . . . . . . . . . . . . . . 2,300 29,325
---------
148,762
---------
CONSTRUCTION EQUIPMENT: 0.59%
Caterpillar Inc. . . . . . . . . . . . . . . . . . . . . . . . . 500 53,687
Manitowoc Company, Inc. . . . . . . . . . . . . . . . . . . . . 1,500 70,125
---------
123,812
---------
CONTAINERS AND PACKAGING: 0.01%
*Sealright Co., Inc. . . . . . . . . . . . . . . . . . . . . . . 200 2,400
---------
ELECTRICAL PRODUCTS: 0.67%
Kuhlman Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,100 35,475
*Rexel Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,700 105,450
---------
140,925
---------
ELECTRONICS: 1.05%
*Coherent, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 800 35,600
Fluke Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 400 23,700
Intel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 200 28,362
Logicon, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 600 31,800
MTS Systems Corp. . . . . . . . . . . . . . . . . . . . . . . . 1,600 48,800
*SCI Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . 800 51,000
---------
219,262
---------
ENGINEERING: 0.08%
*Jacobs Engineering Group Inc. . . . . . . . . . . . . . . . . . 600 16,125
---------
ENTERTAINMENT: 0.01%
*Playboy Enterprises, Inc. . . . . . . . . . . . . . . . . . . . 100 1,150
---------
FINANCE: 1.46%
American General Corp. . . . . . . . . . . . . . . . . . . . . . 1,438 68,664
Comdisco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 550 14,300
Countrywide Credit Industries, Inc. . . . . . . . . . . . . . . 800 24,950
Equitable Companies Inc. . . . . . . . . . . . . . . . . . . . . 2,000 66,500
Morgan Stanley, Dean Witter, Discover & Co. . . . . . . . . . . 1,925 82,895
The Money Store Inc. . . . . . . . . . . . . . . . . . . . . . . 1,700 48,769
---------
306,078
---------
FOOD AND BEVERAGES: 0.70%
Adolph Coors Co., Class B . . . . . . . . . . . . . . . . . . . 1,300 34,613
Interstate Bakeries Corp. . . . . . . . . . . . . . . . . . . . 700 41,519
*Morningstar Group Inc. . . . . . . . . . . . . . . . . . . . . . 1,200 35,250
Savannah Foods & Industries Inc. . . . . . . . . . . . . . . . . 2,000 35,125
---------
146,507
---------
</TABLE>
29
<PAGE>
<TABLE>
<CAPTION>
ZWEIG GROWTH & INCOME FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)(CONTINUED)
NUMBER VALUE
OF SHARES (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
FOREST AND PAPER PRODUCTS: 1.20%
James River Corp. of Virginia . . . . . . . . . . . . . . . . . 2,000 $ 74,000
Mosinee Paper Corp. . . . . . . . . . . . . . . . . . . . . . . 5,100 124,950
Pope & Talbot, Inc. . . . . . . . . . . . . . . . . . . . . . . 3,200 52,600
------------
251,550
------------
HEALTHCARE FACILITIES AND PRODUCTS: 0.71%
ICN Pharmaceuticals, Inc. . . . . . . . . . . . . . . . . . . . 300 8,606
*Rotech Medical Corp. . . . . . . . . . . . . . . . . . . . . . 3,200 64,200
United States Surgical Corp . . . . . . . . . . . . . . . . . . 1,200 44,700
West Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . 1,100 31,488
------------
148,994
------------
HOMEBUILDING AND LAND DEVELOPMENT: 1.03%
Centex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 40,625
Kaufman & Broad Home Corp. . . . . . . . . . . . . . . . . . . 3,700 64,981
Ryland Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 2,300 32,488
Standard Pacific Corp. . . . . . . . . . . . . . . . . . . . . 2,100 21,525
*Toll Brothers Inc. . . . . . . . . . . . . . . . . . . . . . . 3,100 56,963
------------
216,582
------------
HOTELS AND RESORTS: 0.10%
Royal Caribbean Cruises Ltd. . . . . . . . . . . . . . . . . . 600 20,963
------------
HOUSEHOLD FURNISHINGS AND PRODUCTS: 0.84%
Ethan Allen Interiors Inc. . . . . . . . . . . . . . . . . . . 1,600 91,200
*Helen Of Troy Corp. . . . . . . . . . . . . . . . . . . . . . . 900 23,063
La-Z Boy Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 500 18,000
Sony Corp., ADR . . . . . . . . . . . . . . . . . . . . . . . . 500 44,000
------------
176,263
------------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY: 1.01%
Applied Power Inc., Class A . . . . . . . . . . . . . . . . . . 1,300 67,112
Commercial Intertech Corp. . . . . . . . . . . . . . . . . . . 300 4,181
Gleason Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 300 13,950
Ingersoll-Rand Co. . . . . . . . . . . . . . . . . . . . . . . 400 24,700
NACCO Industries, Inc., Class A . . . . . . . . . . . . . . . . 700 39,506
Tecumseh Products Co., Class A . . . . . . . . . . . . . . . . 600 35,925
Varlen Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 26,875
------------
212,249
------------
INSURANCE: 3.95%
ACE Limited. . . . . . . . . . . . . . . . . . . . . . . . . . 900 66,487
CIGNA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 700 124,250
Conseco Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 44,400
Fremont General Corp. . . . . . . . . . . . . . . . . . . . . . 1,600 64,400
NAC Re Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 800 38,700
Old Republic International Corp . . . . . . . . . . . . . . . . 1,500 45,469
Orion Capital Corp. . . . . . . . . . . . . . . . . . . . . . . 1,300 95,875
Progressive Corp. . . . . . . . . . . . . . . . . . . . . . . . 400 34,800
Selective Insurance Group, Inc. . . . . . . . . . . . . . . . . 800 38,750
Sunamerica Inc. . . . . . . . . . . . . . . . . . . . . . . . . 3,500 170,625
Travelers Group Inc. . . . . . . . . . . . . . . . . . . . . . 1,100 69,369
W.R. Berkley Corp. . . . . . . . . . . . . . . . . . . . . . . 600 35,325
------------
828,450
------------
INVESTMENT BANKING AND BROKERAGE: 3.02%
A.G. Edwards, Inc. . . . . . . . . . . . . . . . . . . . . . . 2,300 98,325
Bear, Stearns & Co. Inc . . . . . . . . . . . . . . . . . . . . 7,185 245,637
Interra Financial Inc . . . . . . . . . . . . . . . . . . . . . 600 25,162
Legg Mason, Inc. . . . . . . . . . . . . . . . . . . . . . . . 600 32,287
Lehman Brothers Holdings Inc. . . . . . . . . . . . . . . . . . 1,100 44,550
Merrill Lynch & Co., Inc . . . . . . . . . . . . . . . . . . . 500 29,812
PaineWebber Group Inc. . . . . . . . . . . . . . . . . . . . . 2,400 84,000
Quick & Reilly Group Inc. . . . . . . . . . . . . . . . . . . . 700 16,275
Raymond James Financial Corp. . . . . . . . . . . . . . . . . . 2,100 57,488
------------
633,536
------------
MANUFACTURING: 1.95%
Amcast Industrial Corp. . . . . . . . . . . . . . . . . . . . . 2,600 65,000
Ametek, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 1,700 39,950
Carlisle Companies Inc. . . . . . . . . . . . . . . . . . . . . 1,200 41,850
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
Core Industries Inc. . . . . . . . . . . . . . . . . . . . . . 800 $ 19,800
Crane Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . 900 37,631
Kaman Corp., Class A . . . . . . . . . . . . . . . . . . . . . 3,000 46,125
Nova Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 8,500
Premark International Inc. . . . . . . . . . . . . . . . . . . 2,900 77,575
Trinity Industries Inc. . . . . . . . . . . . . . . . . . . . . 1,300 41,275
Valmont Industries Inc. . . . . . . . . . . . . . . . . . . . . 1,600 30,400
------------
408,106
------------
MARINE TRANSPORTATION: 0.61%
APL Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,700 53,125
*OMI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,800 36,338
Sea Containers Ltd., Class A . . . . . . . . . . . . . . . . . 1,000 22,625
Stolt-Nielsen S.A. . . . . . . . . . . . . . . . . . . . . . . 800 15,100
------------
127,188
------------
METAL FABRICATION: 2.13%
Brush Wellman Inc. . . . . . . . . . . . . . . . . . . . . . . 3,600 75,375
Commercial Metals Co. . . . . . . . . . . . . . . . . . . . . . 1,000 32,250
Kaydon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 800 39,700
*Oregon Metallurgical Corp. . . . . . . . . . . . . . . . . . . 2,300 64,688
Timken Co. . . . . . . . . . . . . . . . . . . . . . . . . . . 6,600 234,713
------------
446,726
------------
METALS AND MINING: 0.22%
ASARCO Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 36,750
Ashland Coal Inc . . . . . . . . . . . . . . . . . . . . . . . 300 8,550
------------
45,300
------------
NEWSPAPERS: 0.88%
Central Newspapers, Inc., Class A . . . . . . . . . . . . . . . 600 42,975
Pulitzer Publishing Co. . . . . . . . . . . . . . . . . . . . . 1,100 58,300
The New York Times Co., Class A . . . . . . . . . . . . . . . . 1,700 84,150
------------
185,425
------------
OFFICE AUTOMATION AND EQUIPMENT: 0.23%
Herman Miller, Inc. . . . . . . . . . . . . . . . . . . . . . . 1,300 46,800
Hunt Manufacturing Co. . . . . . . . . . . . . . . . . . . . . 100 1,875
------------
48,675
------------
OIL AND GAS: 9.04%
Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 900 29,250
Ashland Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 300 13,912
Atlantic Richfield Co. . . . . . . . . . . . . . . . . . . . . 400 28,200
Baker Hughes Inc. . . . . . . . . . . . . . . . . . . . . . . . 2,300 88,981
*BJ Services Co. . . . . . . . . . . . . . . . . . . . . . . . . 700 37,537
Cabot Oil & Gas Corp., Class A . . . . . . . . . . . . . . . . 3,100 54,637
Elf Aquitaine S.A., ADR . . . . . . . . . . . . . . . . . . . . 1,400 76,212
Ensco International Inc. . . . . . . . . . . . . . . . . . . . 1,000 52,750
*Global Marine Inc. . . . . . . . . . . . . . . . . . . . . . . 8,400 195,300
Helmerich & Payne, Inc. . . . . . . . . . . . . . . . . . . . . 1,600 92,200
Holly Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 200 4,963
Kerr-McGee Corp. . . . . . . . . . . . . . . . . . . . . . . . 1,200 76,050
*Mesa Inc. . . .. . . . . . . . . . . . . . . . . . . . . . . . 4,000 23,000
Murphy Oil Corp. .. . . . . . . . . . . . . . . . . . . . . . . 700 34,125
Pennzoil Co. . . . . . . . . . . . . . . . . . . . . . . . . . 1,300 99,775
*Rowan Companies, Inc. . . . . . . . . . . . . . . . . . . . . 2,900 81,744
Royal Dutch Petroleum Co. . . . . . . . . . . . . . . . . . . . 800 43,500
*Santa Fe Energy Resources, Inc. . . . . . . . . . . . . . . . . 6,800 99,875
*Smith International Inc. . . . . . . . . . . . . . . . . . . . 1,200 72,900
Sun Company, Inc. . . . . . . . . . . . . . . . . . . . . . . . 1,200 37,200
Tidewater Inc. . . . . . . . . . . . . . . . . . . . . . . . . 1,900 83,600
Union Texas Petroleum Holdings Inc. . . . . . . . . . . . . . . 4,400 92,125
Unocal Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 800 31,050
USX-Marathon Group . . . . . . . . . . . . . . . . . . . . . . 6,500 187,688
Valero Energy Corp. . . . . . . . . . . . . . . . . . . . . . 1,200 43,500
*Varco International, Inc. . . . . . . . . . . . . . . . . . . . 3,600 116,100
*Weatherford Enterra, Inc. . . . . . . . . . . . . . . . . . . . 800 30,800
YPF Sociedad Anonima, ADR . . . . . . . . . . . . . . . . . . . 2,200 67,650
------------
1,894,624
------------
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
NUMBER VALUE
OF SHARES (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
PRECISION INSTRUMENTS: 0.24%
*SPS Technologies Inc. . . . . . . . . . . . . . . . . . . . . . 700 $ 49,525
-----------
PRINTING AND FORMS: 1.32%
Bowne & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . 6,800 237,150
*Gibson Greetings, Inc. . . . . . . . . . . . . . . . . . . . . 1,800 40,500
-----------
277,650
-----------
PUBLISHING: 0.15%
Meredith Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,100 31,900
-----------
RAILROADS: 0.41%
GATX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500 86,625
-----------
RECREATIONAL PRODUCTS: 0.07%
Huffy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 14,625
-----------
RESTAURANTS: 1.45%
Applebees International Inc. . . . . . . . . . . . . . . . . . 600 6,050
Boston Chicken, Inc. . . . . . . . . . . . . . . . . . . . . . 1,700 23,800
CKE Restaurants, Inc. . . . . . . . . . . . . . . . . . . . . . 7,350 232,444
*Ryan's Family Steak Houses Inc. . . . . . . . . . . . . . . . . 3,600 30,825
-----------
303,119
-----------
RETAIL TRADE: 3.82%
*Burlington Coat Factory Warehouse Inc. 1,000 19,500
*Costco Companies Inc. . . . . . . . . . . . . . . . . . . . . . 1,900 62,462
Dayton Hudson Corp. . . . . . . . . . . . . . . . . . . . . . . 1,000 53,187
*Dress Barn, Inc. . . . . . . . . . . . . . . . . . . . . . . . 3,300 64,350
*Fabri-Centers of America, Inc., Class A . . . . . . . . . . . . 1,600 43,600
*Filenes Basement Corp. . . . . . . . . . . . . . . . . . . . . 5,000 33,125
*Fred Meyer, Inc. . . . . . . . . . . . . . . . . . . . . . . . 900 46,519
Haverty Furniture Cos., Inc. . . . . . . . . . . . . . . . . . 4,000 50,000
*K Mart Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 2,400 29,400
Pier 1 Imports, Inc. . . . . . . . . . . . . . . . . . . . . . 3,700 98,050
Ross Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . 2,500 81,719
Shopko Stores Inc. . . . . . . . . . . . . . . . . . . . . . . 5,700 145,350
TJX Companies, Inc. . . . . . . . . . . . . . . . . . . . . . . 2,800 73,850
-----------
801,112
-----------
SAVINGS AND LOAN ASSOCIATIONS: 0.35%
*Glendale Federal Bank, F.S.B. . . . . . . . . . . . . . . . . . 1,500 39,188
H.F. Ahmanson & Co. . . . . . . . . . . . . . . . . . . . . . . 800 34,400
-----------
73,588
-----------
SHIPPING: 0.08%
Alexander & Baldwin, Inc. . . . . . . . . . . . . . . . . . . . 600 15,675
-----------
SHOES: 0.18%
Brown Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . 2,000 37,375
-----------
STEEL: 1.36%
British Steel Plc, ADR . . . . . . . . . . . . . . . . . . . . 3,500 88,375
Cleveland-Cliffs Inc. . . . . . . . . . . . . . . . . . . . . . 1,300 52,975
Oregon Steel Mills, Inc. . . . . . . . . . . . . . . . . . . . 4,400 87,725
USX-U.S. Steel Group. . . . . . . . . . . . . . . . . . . . . . 1,600 56,100
-----------
285,175
-----------
SUPERMARKET CHAINS: 0.62%
Fleming Companies, Inc. . . . . . . . . . . . . . . . . . . . 300 5,400
Marsh Supermarkets, Inc. . . . . . . . . . . . . . . . . . . . 1,100 15,125
Nash-Finch Co. . . . . . . . . . . . . . . . . . . . . . . . . 2,700 59,738
Safeway Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 242 11,162
Supervalu Inc. . . . . . . . . . . . . . . . . . . . . . . . . 1,100 37,950
-----------
129,375
-----------
TELECOMMUNICATIONS: 0.50%
Telefonos de Mexico, S.A., ADR . . . . . . . . . . . . . . . . 2,200 105,050
-----------
TEXTILES: 1.17%
Culp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500 27,187
*Dixie Group Inc. . . . . . . . . . . . . . . . . . . . . . . . 4,100 42,025
Guilford Mills, Inc. . . . . . . . . . . . . . . . . . . . . . 3,200 66,600
NUMBER VALUE
OF SHARES (NOTE 2)
- -------------------------------------------------------------------------------------------------
INTERFACE INC., Class A . . . . . . . . . . . . . . . . . . . . 1,400 $ 30,975
Springs Industries, Inc., Class A . . . . . . . . . . . . . . . 1,100 58,025
Wellman, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 20,850
-----------
245,662
-----------
TOBACCO: 0.87%
RJR Nabisco Holdings Corp. . . . . . . . . . . . . . . . . . . 3,100 102,300
Universal Corp. . . . . . . . . . . . . . . . . . . . . . . . . 2,500 79,375
-----------
181,675
-----------
TRUCKING: 1.11%
PACCAR Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . 800 37,150
Raymond Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 2,500 81,641
Roadway Express, Inc. . . . . . . . . . . . . . . . . . . . . . 1,900 44,413
Rollins Truck Leasing Corp . . . . . . . . . . . . . . . . . . 1,400 20,825
Ryder System, Inc. . . . . . . . . . . . . . . . . . . . . . . 400 13,200
*Yellow Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,600 35,800
-----------
233,029
-----------
UTILITIES: 13.27%
Allegheny Power System Inc.. . . . . . . . . . . . . . . . . . 800 21,350
Atlantic Energy Inc. . . . . . . . . . . . . . . . . . . . . . 1,500 25,219
Baltimore Gas & Electric Co. . . . . . . . . . . . . . . . . . 1,400 37,362
Boston Edison Co. . . . . . . . . . . . . . . . . . . . . . . . 2,200 58,025
California Water Service Co. . . . . . . . . . . . . . . . . . 100 4,425
Central Hudson Gas & Electric Corp.. . . . . . . . . . . . . . 2,500 86,094
Central Maine Power Co. . . . . . . . . . . . . . . . . . . . . 5,800 71,775
CMS Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . 1,200 42,300
Commonwealth Energy System . . . . . . . . . . . . . . . . . . 3,200 76,600
Consolidated Edison Co. of New York, Inc. . . . . . . . . . . . 900 26,494
Delmarva Power & Light Co. . . . . . . . . . . . . . . . . . . 2,100 40,031
DQE Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 33,900
DTE Energy Co. . . . . . . . . . . . . . . . . . . . . . . . . 800 22,100
Eastern Utilities Associates . . . . . . . . . . . . . . . . . 1,100 20,075
Edison International . . . . . . . . . . . . . . . . . . . . . 2,800 69,650
Energen Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,400 47,162
Enova Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . 1,700 40,906
Entergy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 3,800 104,025
Florida Progress Corp.. . . . . . . . . . . . . . . . . . . . . 1,100 34,444
GPU, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,100 75,338
Green Mountain Power Corp. . . . . . . . . . . . . . . . . . . 1,700 40,269
Hawaiian Electric Industries Inc. . . . . . . . . . . . . . . . 1,200 46,350
Houston Industries Inc. . . . . . . . . . . . . . . . . . . . . 1,900 40,731
Illinova Corp. . . . . . . . . . . . . . . . . . . . . . . . . 1,500 33,000
IPALCO Enterprises, Inc.. . . . . . . . . . . . . . . . . . . . 400 12,500
Long Island Lighting Co. . . . . . . . . . . . . . . . . . . . 2,100 48,300
MDU Resources Group Inc. . . . . . . . . . . . . . . . . . . . 900 21,600
MidAmerican Energy Holdings Co. . . . . . . . . . . . . . . . . 5,300 91,756
Montana Power Co. . . . . . . . . . . . . . . . . . . . . . . . 2,900 67,244
National Fuel Gas Co. . . . . . . . . . . . . . . . . . . . . . 400 16,775
Nevada Power Co. . . . . . . . . . . . . . . . . . . . . . . . 700 14,875
New England Electric System . . . . . . . . . . . . . . . . . . 1,000 37,000
New York State Electric & Gas Corp. . . . . . . . . . . . . . . 3,300 68,887
NorAm Energy Corp. . . . . . . . . . . . . . . . . . . . . . . 4,600 70,150
Northern States Power Co. (Minn.) . . . . . . . . . . . . . . 900 46,575
Northwest Natural Gas Co. . . . . . . . . . . . . . . . . . . . 2,300 60,231
NUI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000 67,313
Ohio Edison Co. . . . . . . . . . . . . . . . . . . . . . . . . 1,700 37,081
Orange & Rockland Utilities, Inc. . . . . . . . . . . . . . . . 1,600 53,800
Pacific Enterprises . . . . . . . . . . . . . . . . . . . . . . 1,100 36,988
PacifiCorp. . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000 44,000
Peoples Energy Corp. . . . . . . . . . . . . . . . . . . . . . 500 18,719
Pacific Gas & Electric Co. . . . . . . . . . . . . . . . . . . 1,900 46,075
Pinnacle West Capital Corp. . . . . . . . . . . . . . . . . . . 3,800 114,238
PP&L Resources, Inc. . . . . . . . . . . . . . . . . . . . . . 1,100 21,931
Public Service Co. of New Mexico . . . . . . . . . . . . . . . 3,000 53,625
Public Service Enterprise Group Inc. . . . . . . . . . . . . . 2,200 55,000
Rochester Gas & Electric Corp. . . . . . . . . . . . . . . . . 3,200 67,400
Sierra Pacific Resources Inc. . . . . . . . . . . . . . . . . . 2,300 73,600
Southwestern Energy Co. . . . . . . . . . . . . . . . . . . . . 1,700 22,100
</TABLE>
31
<PAGE>
<TABLE>
<CAPTION>
ZWEIG GROWTH & INCOME FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)(CONCLUDED)
NUMBER VALUE
OF SHARES (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
UTILITIES (CONTINUED)
TNP Enterprises Inc. . . . . . . . . . . . . . . . . . . . . . 4,200 $ 97,388
Transcanada Pipelines Ltd . . . . . . . . . . . . . . . . . . . 1,600 32,200
Unicom Corp. . . . . . . . . . . . . . . . . . . . . . . . . . 1,100 24,475
United Illuminating Co. . . . . . . . . . . . . . . . . . . . . 2,300 71,013
UtiliCorp United Inc. . . . . . . . . . . . . . . . . . . . . . 1,600 46,600
Westcoast Energy Inc. . . . . . . . . . . . . . . . . . . . . . 5,100 92,756
Western Resources Inc. . . . . . .. . . . . . . . . . . . . . . 700 22,706
WPL Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . 1,100 30,731
-----------
2,783,257
-----------
WHOLESALE DISTRIBUTORS: 0.44%
Hughes Supply, Inc. . . . . . . . . . . . . . . . . . . . . . . 2,300 92,000
TOTAL COMMON STOCKS
(Cost $13,820,707) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,415,948
Principal
Amount
---------
SHORT-TERM OBLIGATIONS: 10.57%
FEDERAL NATIONAL MORTGAGE ASSN., DISCOUNT
NOTES: 9.50%
5.40%, 7/23/97 . . . . . . . . . . . . . . . . . . . . . . $2,000,000 1,993,100
-----------
UNITED STATES TREASURY BILLS: 1.07%
5.155%, 7/17/97 . . . . . . . . . . . . . . . . . . . . . 200,000(a) 199,560
5.12%, 8/21/97 . . . . . . . . . . . . . . . . . . . . . . 25,000(a) 24,828
-----------
224,388
TOTAL SHORT-TERM OBLIGATIONS
(Cost $2,217,760) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,217,48
-----------
REPURCHASE AGREEMENTS: 15.36%
With Morgan Stanley & Co., Inc.,
(dated 6/30/97), 6.10%, due 7/1/97
(Repurchase proceeds $3,220,546) ;
collateralized by: $3,300,000
Federal Home Loan Mortgage Corporation
Bonds, 5.50%-10.00%, 12/1/97-12/1/2024
(Market value $3,371,965). . . . . . . . . . . . . . . . . 3,220,000 3,220,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $3,220,000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,220,000
-----------
TOTAL INVESTMENTS IN SECURITIES
(Cost $19,258,467) . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,853,436
-----------
NUMBER VALUE
OF CONTRACTS (NOTE 2)
- -------------------------------------------------------------------------------------------------
UNREALIZED APPRECIATION (DEPRECIATION)
ON FUTURES CONTRACTS: (0.05) %
Mid-Cap 400 September 1997 Short futures (7) $ (11,900)
Russell 2000 September 1997 Short futures (5) (4,427)
Standard & Poor's 500
September 1997 Short futures . . (1) 5,928
-----------
NET UNREALIZED DEPRECIATION ON
FUTURES CONTRACTS (b) . . . . . . . . . . . . . . . . . . . . . . . . . (10,399)
-----------
TOTAL INVESTMENTS
(Cost $19,258,467) . . . . . . . . . . . . . . 99.41% 20,843,037
Other Assets . . . . . . . . . . . . . . . . . . 0.93 195,502
---------------------------
Total Assets . . . . . . . . . . . . . . . . 100.34% 21,038,539
Total Liabilities (Note 5). . . .. . . . . . (0.34) (72,005)
---------------------------
NET ASSETS (Note 6) . . . . . . . . . . . . . . . 100.00% $20,966,534
===========================
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
CLASS A SHARES
Net asset value (NAV) and redemption price per share
($4,884,837/405,035 shares) . . . . . . . . . . . . . . . . . . . . . $12.06
======
Maximum public offering price per share-
NAV/(1-maximum sales charge) ($12.06/.945). . . . . . . . . . . . . . $12.76
======
CLASS B SHARES
Net asset value and offering price per share
($5,922,394/491,130 shares). . . . . . . . . . . . . . . . . . . . . $12.06
======
Redemption price per share. . . . . . . . . . . . . . . . . . . . . . . . **
======
CLASS C SHARES
Net asset value and offering price per share
($8,985,347/744,973 shares). . . . . . . . . . . . . . . . . . . . . $12.06
======
Redemption price per share. . . . . . . . . . . . . . . . . . . . . . . . **
======
CLASS I SHARES
Net asset value, offering and redemption price per share
($1,173,956/96,916 shares). . . . . . . . . . . . . . . . . . . . . . $12.11
======
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing security.
** Varies by length of time shares are held. (Note 3b)
(a) Pledged as collateral for futures transactions.
(b) The market value of the short futures was $2,455,975 (repesenting 11.71%
of the Fund's net assets) with a cost of $2,466,374.
For Federal income tax purposes, the tax basis of investments owned at June
30, 1997 was $19,258,467 and net unrealized appreciation on investments
consisted of:
Gross unrealized appreciation . . . . . . . . . . . . . $1,796,554
Gross unrealized depreciation . . . . . . . . . . . . . (211,984)
-----------
Net unrealized appreciation . . . . . . . . . . . . . . $1,584,570
===========
32
<PAGE>
<TABLE>
<CAPTION>
ZWEIG GOVERNMENT FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
UNITED STATES GOVERNMENT &
AGENCY OBLIGATIONS: 89.95%
FEDERAL HOME LOAN MORTGAGE CORP.,
MODIFIED MTGE. PASS-THROUGH
SECURITIES: 0.86%
10.50%, 1/1/2001 . . . . . . . . . . $ 18,173 $ 19,208
10.50%, 6/1/2011 . . . . . . . . . . 101,122 111,361
11.50%, 10/1/2015 . . . . . . . . . 90,720 102,287
12.00%, 11/1/2015 . . . . . . . . . 107,169 121,871
-----------
354,727
-----------
FEDERAL NATIONAL MORTGAGE ASSN.: 5.09%
Deb., 8.25%, 12/18/2000 . . . . . . 950,000 1,003,776
Notes, 6.95%, 9/10/2002 . . . . . . 1,100,000 1,098,670
-----------
2,102,446
-----------
FEDERAL NATIONAL MORTGAGE ASSN.,
MODIFIED MTGE. PASS-THROUGH
SECURITIES: 0.10%
12.50%, 10/1/2014 . . . . . . . . . 37,067 42,453
-----------
GOVERNMENT NATIONAL MORTGAGE ASSN.,
MODIFIED MTGE. PASS-THROUGH
SECURITIES: 0.26%
12.50%, 11/20/2013 . . . . . . . . . 21,208 24,197
12.00%, 9/15/2015 . . . . . . . . . 52,592 60,086
8.00%, 8/15/2022 . . . . . . . . . . 20,821 21,296
-----------
105,579
-----------
PRIVATE EXPORT FUNDING CORP.: 2.52%
7.90%, 3/31/2000 . . . . . . . . . . 1,000,000 1,039,708
-----------
UNITED STATES TREASURY BONDS: 20.10%
10.75%, 2/15/2003 . . . . . . . . . 1,000,000 1,201,563
10.75%, 5/15/2003 . . . . . . . . . 2,000,000 2,416,876
12.00%, 8/15/2013 . . . . . . . . . 1,025,000 1,443,649
7.25%, 8/15/2022 . . . . . . . . . . 3,100,000 3,235,628
8,297,716
UNITED STATES TREASURY NOTES: 61.02%
6.25%, 8/31/2000 . . . . . . . . . . 3,800,000 3,798,814
6.375%, 8/15/2002 . . . . . . . . . 1,200,000 1,199,626
7.25%, 5/15/2004 . . . . . . . . . . 1,036,000 1,080,031
6.875%, 5/15/2006 . . . . . . . . . 11,200,000 11,434,505
6.50%, 10/15/2006 . . . . . . . . . 7,700,000 7,668,722
-----------
25,181,698
-----------
TOTAL UNITED STATES GOVERNMENT & AGENCY OBLIGATIONS
(Cost $37,226,420) . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,124,327
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 2)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS: 6.67%
With Morgan Stanley & Co., Inc., (dated
6/30/97), 6.10%, due 7/1/97 (Repurchase
proceeds $2,752,466); collateralized by:
$2,705,454 Federal National Mortgage
Association Bonds, 8.50%-9.00%,
9/1/2017-6/1/26 (Market value $2,843,985). . . . . . . . . . $ 2,752,000 $ 2,752,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,752,000) . . . . . . . . . . . . . . . . . . . . . 2,752,000
-----------
TOTAL INVESTMENTS
(Cost $39,978,420) . . . . . . . . . . . . . . . . . . . . . 96.62% 39,876,327
Other Assets. . . . . . . . . . . . . . . . . . . . . . . . . . 3.89 1,606,987
-----------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . 100.51% 41,483,314
Total Liabilities (Note 5). . . . . . . . . . . . . . . . (0.51) (212,380)
-----------
NET ASSETS (Note 6) . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 41,270,934
====== ==============
WEIGHTED AVERAGE DURATION . . . . . . . . . . . . . . . . . . . . . . . . . . 5.5 years
===
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
CLASS A SHARES
Net asset value (NAV) and redemption price per share
($29,387,176/3,025,739 shares) . . . . . . . . . . . . . . . . . . . . . $ 9.71
======
Maximum public offering price per share-
NAV/(1-maximum sales charge) ($9.71/.9525). . . . . . . . . . . . . . . . $10.19
======
CLASS B SHARES
Net asset value and offering price per share
($662,779/67,882 shares). . . . . . . . . . . . . . . . . . . . . . . . . $ 9.76
======
Redemption price per share. . . . . . . . . . . . . . . . . . . . . . . . . . *
======
CLASS C SHARES
Net asset value and offering price per share
($11,220,979/1,155,176 shares). . . . . . . . . . . . . . . . . . . . . $ 9.71
======
Redemption price per share . . .. . . . . . . . . . . . . . . . . . . . . . . *
======
- --------------------------------------------------------------------------------
* Varies by length of time shares are held. (Note 3b)
(For Federal income tax purposes, the tax basis of investments owned at June
30, 1997 was $39,978,420 and net unrealized depreciation on investments
consisted of:
Gross unrealized appreciation . . . . . . . . . . . . . . . . . . . . $ 241,230
Gross unrealized depreciation . . . . . . . . . . . . . . . . . . . . (343,323)
----------
Net unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . $ (102,093)
==========
</TABLE>
See notes to financial statements.
33
<PAGE>
<TABLE>
<CAPTION>
ZWEIG CASH FUND
STATEMENT OF NET ASSETS AS OF JUNE 30, 1997
(UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 2)
<S> <C> <C>
- -------------------------------------------------------------------------------------------------
UNITED STATES GOVERNMENT AGENCY
OBLIGATIONS: 89.36%
FEDERAL FARM CREDIT BANK,
DISCOUNT NOTES: 5.37%
5.43%, 7/10/97 . . . . . . . . . . . . . . . . $ 3,000,000 $ 2,995,927
-----------
FEDERAL HOME LOAN BANK,
DISCOUNT NOTES: 8.94%
5.41%, 7/18/97 . . . . . . . . . . . . . . . . 3,000,000 2,992,336
5.45%, 7/24/97 . . . . . . . . . . . . . . . . 2,000,000 1,993,036
-----------
4,985,372
-----------
FEDERAL HOME LOAN MORTGAGE CORP.,
DISCOUNT NOTES: 32.19%
5.41%, 7/2/97 . . . . . . . . . . . . . . . . 4,000,000 3,999,399
5.43%, 7/14/97 . . . . . . . . . . . . . . . . 7,000,000 6,986,274
5.44%, 7/15/97 . . . . . . . . . . . . . . . . 2,000,000 1,995,769
5.53%, 8/12/97 . . . . . . . . . . . . . . . . 2,000,000 1,987,097
5.43%, 8/13/97 . . . . . . . . . . . . . . . . 3,000,000 2,980,542
-----------
17,949,081
-----------
FEDERAL NATIONAL MORTGAGE ASSN.,
DISCOUNT NOTES: 42.86%
5.41%, 7/2/97 . .. . . . . . . . . . . . . . . . . 2,000,000 1,999,699
5.42%, 7/3/97 . . . . . . . . . . . . . . . . . . 3,000,000 2,999,097
5.51%, 7/3/97 . . . . . . . . . . . . . . . . . . 3,000,000 2,999,082
5.51%, 7/15/97 . . . . . . . . . . . . . . . . . . 3,000,000 2,993,572
5.41%, 7/23/97 . .. . . . . . . . . . . . . . . . 3,000,000 2,990,082
5.53%, 8/11/97 . . . . . . . . . . . . . . . . . . 2,000,000 1,987,404
5.44%, 8/18/97 . . . . . . . . . . . . . . . . . . 3,000,000 2,978,240
5.44%, 8/25/97 . . . . . . . . . . . . . . . . . . 3,000,000 2,975,066
5.44%, 9/24/97 . .. . . . . . . . . . . . . . . . 2,000,000 1,974,311
-----------
23,896,553
-----------
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
(Cost $49,826,933) . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,826,933
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 2)
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS: 11.41%
With Morgan Stanley & Co., Inc. (dated 6/30/97),
6.10%, due 7/1/97 (Repurchase proceeds
$4,364,739); collateralized by: $4,508,486
6.00%-9.50%, 9/1/2017-9/1/2025
(Market value $4,493,952) . . . . . . . . . . . . . $ 4,364,000 $ 4,364,000
With Prudential Securities, Inc. (dated 6/30/97),
5.98%, due 7/1/97 (Repurchase proceeds
$2,000,332); collateralized by: $1,975,000
United States Treasury Notes, 6.875%,
5/15/2006 (Market value $2,040,190). . . . . . . . 2,000,000 2,000,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,364,000) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,364,000
-----------
TOTAL INVESTMENTS
(Cost $56,190,933) . . . . . . . . . . . . . . . . . 100.77% 56,190,933
Other Assets . . . . . . . . . . . . . . . . . . . . . 001.21 676,199
-------- -----------
Total Assets . . . . . . . . . . . . . . . . . . . 101.98% 56,867,132
Total Liabilities (Note 5) . . . . . . . . . . . . (1.98) (1,105,675)
- -------- -----------
NET ASSETS (Note 6) . . . . . . . . . . . . . . . . . . 100.00% $55,761,457
= ======= ===========
Net asset value, offering and redemption
price per share (2,717,748 Class A Shares
111,482 Class B Shares, 3,149,111 Class C Shares,
1,746,671 Class I Shares and 48,036,445
Class M Shares) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1.00
=====
WEIGHTED AVERAGE DAYS TO MATURITY . . . . . . . . . . . . . . . . . . . . . . 21
=====
</TABLE>
See notes to financial statements.
34
<PAGE>
ZWEIG SERIES TRUST
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997
(UNAUDITED) (IN THOUSANDS)
<TABLE>
<CAPTION>
ZWEIG ZWEIG ZWEIG ZWEIG GROWTH ZWEIG ZWEIG
STRATEGY APPRECIATION MANAGED & INCOME GOVERNMENT CASH
FUND FUND ASSETS FUND FUND FUND
---- ---- ------ ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Income:
Dividends* $12,001 $ 3,939 $ 3,147 $ 262 $- $-
Interest 3,900 2,098 8,326** 125 1,454 1,590
- ----------------------------------------------------------------------------------------------------------------------
Total income 15,901 6,037 11,473 387 1,454 1,590
- ----------------------------------------------------------------------------------------------------------------------
Expenses: (Note 2)
Advisory fees (Note 3) 4,518 2,447 2,687 61 134 146
Distribution fees,
Class A (Note 3) 838 394 169 5 47 5
Distribution fees,
Class B (Note 3) 256 51 42 23 3 1
Distribution fees,
Class C (Note 3) 2,968 1,072 2,066 37 48 6
Distribution fees,
Class M (Note 3) -- -- -- -- -- 16
Transfer agent fees 687 326 323 18 38 35
Amortization of
organization expenses -- -- 77 2 -- --
Custodian fees 77 56 202 18 10 10
Portfolio accounting fees 117 84 106 9 18 2
Professional fees 75 41 49 5 5 5
Reports to shareholders 136 62 68 2 6 5
Registration fees 47 32 32 44 26 22
Insurance 23 9 11 1 1 2
Trustees' fees 14 7 8 2 3 3
Miscellaneous 20 8 11 1 1 1
- ----------------------------------------------------------------------------------------------------------------------
Total expenses 9,776 4,589 5,851 228 340 259
Less: Expenses
reimbursed by
investment adviser
(Note 3) - - - (82) - (129)
- ----------------------------------------------------------------------------------------------------------------------
Net expenses 9,776 4,589 5,851 146 340 130
- ----------------------------------------------------------------------------------------------------------------------
Net investment income 6,125 1,448 5,622 241 1,114 1,460
- ----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
AND FOREIGN CURRENCY:
Net realized gains (losses):
Security transactions 129,204 37,091 28,185 (92) (212) -
Futures transactions (68,440) (23,114) (3,803) (385) - -
Currency transactions - - 11,535 - - -
Net realized
gains (losses) 60,764 13,977 35,917 (477) (212) -
- ----------------------------------------------------------------------------------------------------------------------
Increase in unrealized
appreciation
(depreciation)
of investments
and foreign currency 1,152 22,689 5,306 1,532 (286) --
- ----------------------------------------------------------------------------------------------------------------------
Net realized and
unrealized gains
(losses) on investments
and foreign currency 61,916 36,666 41,223 1,055 (498) --
- ----------------------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting
from operations $68,041 $38,114 $46,845 $1,296 $616 $1,460
- ----------------------------------------------------------------------------------------------------------------------
**Net of taxes withheld
on foreign dividends $ 290 $ 67 $ 295 $ 1 - -
======================================================================================================================
**Net of taxes withheld on foreign interest of $65.
</TABLE>
See notes to financial statements.
35
<PAGE>
ZWEIG SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 1997 AND
FOR THE YEAR ENDED DECEMBER 31, 1996
(UNAUDITED) (IN THOUSANDS)
<TABLE>
<CAPTION>
ZWEIG ZWEIG ZWEIG
STRATEGY FUND APPRECIATION FUND MANAGED ASSETS
------------- ----------------- --------------
1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
Operations:
Net investment income $ 6,125 $ 11,919 $ 1,448 $ 3,596 $ 5,622 $ 2,744
Net realized
gains (losses)
on investments 60,764 80,859 13,977 59,098 35,917 31,187
Unrealized appreciation
(depreciation)
of investments
and foreign currency 1,152 48,334 22,689 5,819 5,306 6,798
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from
operations 68,041 141,112 38,114 68,513 46,845 50,729
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS
FROM NET INVESTMENT INCOME:
Class A (3,478) (7,570) -- (2,921) -- (4,262)
Class B (152) (126) -- (16) -- (74)
Class C (1,461) (4,367) -- (775) -- (12,584)
Class I (7) (3) -- (5) -- (9)
Class M -- -- -- -- -- --
DISTRIBUTIONS TO SHAREHOLDERS
FROM NET REALIZED GAINS
ON INVESTMENTS:
Class A -- (42,767) -- (34,739) -- (4,252)
Class B -- (2,917) -- (984) -- (218)
Class C -- (45,605) -- (27,713) -- (15,742)
Class I -- (65) -- (271) -- (105)
- ----------------------------------------------------------------------------------------------------------------
Total dividends
and distributions
to shareholders (5,098) (103,420) -- (67,424) -- (37,246)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (NOTE 7):
Net proceeds from
sale of shares 74,698 286,753 23,117 71,443 20,661 60,565
Net asset value of
shares issued to
shareholders in
reinvestment of
dividends and
distributions 4,010 94,207 -- 60,141 -- 31,988
- ----------------------------------------------------------------------------------------------------------------
78,708 380,960 23,117 131,584 20,661 92,553
Cost of shares redeemed (193,981) (261,535) (59,988) (95,266) (71,718) (224,314)
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease)
in net assets
derived from
capital share
transactions (115,273) 119,425 (36,871) 36,318 (51,057) (131,761)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets (52,330) 157,117 1,243 37,407 (4,212) (118,278)
NET ASSETS:
Beginning of period 1,245,703 1,088,586 505,201 467,794 550,264 668,542
- ----------------------------------------------------------------------------------------------------------------
End of period $1,193,373 $1,245,703 $506,444 $505,201 $546,052 $ 550,264
Undistributed net
investment income (loss) $ 855 $ (172) $ 1,113 $ (335) $ 2,945 $ (2,677)
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
ZWEIG GROWTH ZWEIG ZWEIG
& INCOME FUND GOVERNMENT FUND CASH FUND
------------- --------------- ---------
1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 241 $ 8 $ 1,114 $ 2,758 $ 1,460 $ 3,219
Net realized gains (losses)
on investments (477) (5) (212) (1,290) -- --
Unrealized appreciation
(depreciation) of investments
and foreign currency 1,532 53 (286) (2,075) -- --
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from
operations 1,296 56 616 (607) 1,460 3,219
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS
FROM NET INVESTMENT INCOME:
Class A (56) (3) (806) (1,935) (73) (169)
Class B (49) (2) (12) (9) (2) (1)
Class C (73) (3) (293) (784) (92) (188)
Class I (10) -- -- -- (49) (8)
Class M -- -- -- -- (1,244) (2,853)
DISTRIBUTIONS TO SHAREHOLDERS
FROM NET REALIZED GAINS
ON INVESTMENTS:
Class A -- -- -- -- -- --
Class B -- -- -- -- -- --
Class C -- -- -- -- -- --
Class I -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (188) (8) (1,111) (2,728) (1,460) (3,219)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (NOTE 7):
Net proceeds from
sale of shares 11,348 10,511 904 3,408 180,039 314,285
Net asset value of
shares issued to
shareholders in
reinvestment of
dividends and
distributions 155 6 652 1,609 814 1,962
- ----------------------------------------------------------------------------------------------------------------
11,503 10,517 1,556 5,017 180,853 316,247
Cost of shares redeemed (1,455) (754) (8,482) (14,976) (179,692) (318,281)
- ----------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
derived from capital share
transactions 10,048 9,763 (6,926) (9,959) 1,161 (2,034)
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets 11,156 9,811 (7,421) (13,294) 1,161 (2,034)
NET ASSETS:
Beginning of period 9,811 0 48,692 61,986 54,600 56,634
- ----------------------------------------------------------------------------------------------------------------
End of period $20,967 $9,811 $41,271 $ 48,692 $ 55,761 $ 54,600
- ----------------------------------------------------------------------------------------------------------------
Undistributed net
investment income (loss) $ 53 $ -- $ 33 $ 30 $ -- $ --
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commenced operations on November 26, 1996.
36
<PAGE>
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997 (UNAUDITED)
NOTE-1 ORGANIZATION
Zweig Series Trust (the "Trust"), organized as a Delaware business trust,
is registered under the Investment Company Act of 1940 (the "Act") as a
diversified, open-end management investment company. The Trust presently
consists of six separate investment portfolios ("Series"): Zweig Strategy Fund,
Zweig Appreciation Fund, Zweig Managed Assets, Zweig Growth & Income Fund, Zweig
Government Fund and Zweig Cash Fund. Each Series offers Class A, Class B, Class
C and Class I Shares and Zweig Cash Fund also offers Class M Sh ares. Class I
Shares in Zweig Government Fund are currently inactive.
NOTE- 2 SIGNIFICANT ACCOUNTING POLICIES
(a) GENERAL: Securities transactions are recorded on trade date. Realized
gains and losses on sales of investments are determined on the identified cost
basis for both financial reporting and income tax purposes. Distributions to
shareholders and dividend income are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Direct expenses are charged to each
class or Series and general expenses are allocated in proportion to net assets.
Organization expenses are amortized on a straight-line basis over the first 60
months of operations of a Series. The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
(b) PORTFOLIO VALUATION: Stocks, futures and options are valued at the
closing prices reported on recognized securities exchanges or if no sale was
reported, and for unlisted securities, at the mean between the last-reported bid
and asked prices. Bonds and other fixed-income securities are valued at prices
obtained from an established bond-pricing service. Forward foreign currency
contracts are valued using forward currency exchange rates supplied by a
quotation service. Securities for which market quotations are not readily
available (of which there were none at June 30, 1997) are valued at fair value
as determined by the Board of Trustees. Short-term obligations having a
remaining maturity of 60 days or less are valued at amortized cost (which
approximates market value). Zweig Cash Fund values all short-term investments
using the amortized cost method pursuant to Rule 2a-7 under the Act.
(c) FUTURES CONTRACTS AND OPTION ACCOUNTING PRINCIPLES: Initial margin
deposits on futures contracts are recorded as assets. The value of such
contracts are "marked to market" daily and changes are recognized as unrealized
gains or losses. Variation margin payments are recognized as assets or
liabilities, depending upon whether unrealized gains or losses are incurred.
When a futures contract is closed, the Series realizes a gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and its basis in the contract. When a Series writes an option, an amount equal
to the premium received is recorded as an asset and a corresponding liability.
The liability is subsequently "marked to market" daily. When an option written
is exercised, the proceeds of sale of the underlying security are increased by
the premium originally received and the Series realizes a gain or loss. When an
option written expires or the Series enters into a closing purchase transaction,
the liability is extinguished and the Series realizes a gain or loss.
(d) FOREIGN CURRENCY TRANSLATION: Assets and liabilities denominated in a
foreign currency are translated into U.S. dollars using exchange rates on the
valuation date. Purchases and sales of securities, expense payments and income
receipts are translated into U.S. dollars using the exchange rate on the
transaction date. The Trust does not segregate that portion of the results of
operations resulting from changes in foreign exchange rates from the portion
resulting from changes in market prices of securities held; both are included in
net realized and unrealized gains or losses.
(e) OFF-BALANCE-SHEET RISK, REPURCHASE AGREEMENTS AND DERIVATIVES: Foreign
securities and forward foreign currency contracts may involve risks relating to
the level of governmental supervision and regulation of foreign markets, and the
possibility of political or economic instability. With respect to forward
foreign currency contracts and repurchase agreements, losses may arise if the
counterparty does not perform under the contract or agreement. The Trust's
investment manager monitors the requirement that the market value of the
securities used to collateralize a repurchase agreement exceed the dollar amount
of the counterparty's obligation to repurchase. A Series' use of futures
contracts, forward foreign currency contracts and options involves, to varying
degrees, elements of market risk in excess of the amount recognized in the
statement of net assets. These derivative financial instruments ("derivatives")
are used to adjust the risk and return characteristics of a Series' portfolio.
Derivatives are not used for the purpose of leverage. The objective in buying or
selling a derivative instrument is to increase or decrease a Series' exposure to
changing security prices, interest rates or currency exchange rates. If the
Manager misjudges market conditions or employs a strategy that does not
correlate well with the Series' other investments, use of these derivatives
could result in a loss, regardless of the Manager's original intent to reduce
risk.
(f) FEDERAL INCOME TAXES: It is the policy of each Series to continue to
comply with the requirements of the Internal Revenue Code applicable to
regulated investment companies and to distribute all of its net taxable income,
including any net realized gain on investments, to its shareholders; therefore,
no provision for federal income tax is required.
(g) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends and
distributions are declared separately for each class of shares of a Series.
Dividends from net investment income are declared and paid monthly by Zweig
Government Fund, semi-annually by Zweig Strategy Fund, Zweig Managed Assets and
Zweig Growth & Income Fund, and at least annually by Zweig Appreciation Fund.
Zweig Managed Assets did not declare or pay a dividend from net investment
income during the six months ended June 30, 1997 because the Fund did not have
any taxable net investment income available for distribution. Any net realized
capital gain distributions are declared and paid annually, except that amounts
attributable to net short-term capital gains may be
37
<PAGE>
included with dividends from net investment income. Zweig Cash Fund declares
daily dividends of all net investment income, plus or minus realized gains or
losses, and pays dividends monthly. The character of distributions made during
the year from net investment income or net realized gains may differ from their
ultimate characterization for federal income tax purposes due to differences in
the recognition of income and expense items for financial statement and federal
income tax purposes.
At October 31, 1996 (each Series' tax fiscal year-end), Zweig Government
Fund had capital loss carryforwards, including acquired loss carryforwards, of
$13,506,640, $2,631,923, $249,274, $7,227,155 and $1,010,121 expiring October
31, 1997, 1998, 1999, 2002 and 2004 respectively; available to offset any net
capital gains subsequently realized, subject to certain limitations.
NOTE-3 INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
(a) INVESTMENT MANAGER: The Trust's investments are managed by Zweig/Glaser
Advisers (the "Manager"). The Manager's investment advisory fee is based on the
average daily net assets of each Series at the following annual rates: Zweig
Strategy Fund and Zweig Growth & Income FundN0.75%; Zweig Appreciation Fund and
Zweig Managed AssetsN1.00%; Zweig Government FundN0.60%; and Zweig Cash
FundN0.50%. The fees are accrued daily and paid monthly. Investment advisory
fees for the six months ended June 30, 1997 aggregated $9,991,859 before expense
reimbursements.
The Manager has voluntarily undertaken to limit the expenses of Zweig Cash
Fund (exclusive of taxes, interest, brokerage commissions, the distribution fees
described below and extraordinary expenses) until April 30, 1998 to 0.35% of its
average daily net assets. During the six months ended June 30, 1997, the
Manager's reimbursements to Zweig Cash Fund aggregated $129,272. The Manager
reserves the right to discontinue this expense limitation at any time after
April 30, 1998.
The Manager has voluntarily undertaken to limit the expenses of Zweig
Growth & Income Fund (exclusive of taxes, interest, brokerage commissions, the
distribution fees described below and extraordinary expenses) until April 30,
1998 to 1.00% of its average daily net assets. During the six months ended June
30, 1997, the Manager's reimbursements to Zweig Growth & Income Fund aggregated
$81,944. The Manager reserves the right to discontinue this expense limitation
at any time after April 30, 1998.
(b) PRINCIPAL DISTRIBUTOR: Zweig Securities Corp. (the "Distributor")
serves as principal distributor of shares of the Trust. The Trust's Class A
Shares (excluding Zweig Cash Fund shares) are sold with an initial sales charge,
Class B Shares and Class C Shares are sold without an initial sales charge, but
are subject to a contingent deferred sales charge, and Class I Shares and Class
M Shares are sold without a sales charge. During the six months ended June 30,
1997, the Distributor's share of the initial and contingent deferred sales
charges was $143,622 and $185,291, respectively.
Pursuant to a Rule 12b-1 plan of distribution, the Trust pays the
Distributor a combined service and distribution fee equal to an annual rate of
0.30% of average daily net assets for each Series of Class A Shares, 1.00% for
each Series of Class B Shares, and 1.00% for Class C Shares of Zweig Strategy
Fund, Zweig Appreciation Fund, Zweig Managed Assets and Zweig Growth & Income
Fund, 0.75% for Class C Shares of Zweig Government Fund and 0.30% for Class C
Shares of Zweig Cash Fund, respectively. A separate Rule 12b-1 distribution
sharing plan for Class M Shares of Zweig Cash Fund provides that service
organizations for investors in Class M Shares are paid equally by the Class M
Shares and the Manager up to a maximum of 0.15% each. Class I Shares, which are
available for purchase by tax-exempt retirement plans of the Distributor and its
affiliates and certain institutional investors, do not have a Rule 12b-1 Plan.
During the six months ended June 30, 1997, the Trust paid Zweig Securities
Corp. brokerage commissions of $201,169 in connection with portfolio
transactions effected by it.
One Trustee and all of the officers of the Trust are also officers of the
Manager and/or the Distributor.
38
<PAGE>
NOTE- 4 PURCHASES AND SALES OF SECURITIES AND FORWARD CURRENCY CONTRACTS
During the six months ended June 30, 1997, purchase and sale transactions
of the Trust, excluding repurchase transactions, short-term obligations held to
maturity, and futures contracts, were:
<TABLE>
<CAPTION>
Zweig Zweig Zweig Zweig Growth Zweig
Strategy Appreciation Managed & Income Government
Fund Fund Assets Fund Fund
---- ---- ------ ---- ----
<S> <C> <C> <C> <C> <C>
Securities purchases $585,789,962 $127,293,478 $425,360,869 $19,278,320 $29,468,297
Securities sales 755,098,020 181,551,373 366,320,139 11,448,002 26,171,937
</TABLE>
Forward currency contracts outstanding at June 30, 1997, for Zweig Managed
Assets were:
<TABLE>
<CAPTION>
Net Unrealized
Settlement Appreciation
Contracts to Deliver In Exchange For Date Value (Depreciation)
-------------------- --------------- ---- ----- --------------
<S> <C> <C> <C> <C> <C>
Sales
Australian Dollar A$ 34,600,000 $ 26,254,480 9/17/97 $ (25,999,725) $ 254,755
Belgium Franc BEF 392,200,000 11,050,066 9/17/97 (10,965,079) 84,987
Canadian Dollar Can$ 11,500,000 8,337,986 9/17/97 (8,374,727) (36,741)
Danish Krone DKr 109,000,000 16,620,668 9/17/97 (16,500,913) 119,755
Finnish Markka Fim 69,400,000 13,477,555 9/17/97 (13,454,539) 23,016
French Franc ff 29,500,000 5,068,729 9/17/97 (5,046,835) 21,894
German Deutsche
Mark DM 41,500,000 24,141,241 9/17/97 (23,945,145) 196,096
Japanese Yen YEN 2,600,000,000 22,686,223 9/17/97 (22,964,308) (278,085)
Netherlands
Guilder NLG 11,000,000 5,658,436 9/17/97 (5,637,736) 20,700
Spanish Peseta Pta 3,150,000,000 21,572,387 9/17/97 (21,402,996) 169,391
Swedish Krona Skr 106,700,000 13,807,829 9/17/97 (13,855,462) (47,633)
Swiss Franc Sf 9,500,000 6,642,521 9/17/97 (6,575,294) 67,227
U.K. Pound
Sterling PS 14,800,000 24,104,020 9/17/97 (24,579,741) (475,721)
---------- ----------- --------
$ 199,422,141 $(199,302,500) $ (119,641
============= ============= ===========
Purchases
U.K. Pound
Sterling $ 24,338,304 PS 114,800,000 9/17/97 $(124,579,741 $ (241,437
================= ============= ===========
Net Unrealized Appreciation on Foreign Forward Currency Contracts $ (361,078
===========
</TABLE>
NOTE 5--LIABILITIES--JUNE 30, 1997 (IN THOUSANDS)
<TABLE>
<CAPTION>
ZWEIG ZWEIG ZWEIG GROWTH ZWEIG ZWEIG
APPRECIATION MANAGED & INCOME GOVERNMENT CASH
FUND ASSETS FUND FUND FUND
---- ------ ---- ---- ----
<S> <C> <C> <C> <C> <C>
Advisory fee $ 55 $ 60 $-- $ 3 $ 3
Distribution and
service fees 257 379 21 15 4
Capital shares redeemed 1,015 831 31 156 835
Dividends -- -- -- -- 241
Securities purchased -- 5,532 -- -- --
Accrued expenses 276 340 20 38 23
--------------------------------------------------------------------------------
Total Liabilities $1,603 $7,142 $372 $212 $1,106
================================================================================
</TABLE>
NOTE 6--NET ASSETS--JUNE 30, 1997 (IN THOUSANDS)
<TABLE>
<CAPTION>
ZWEIG ZWEIG ZWEIG GROWTH ZWEIG ZWEIG
APPRECIATION MANAGED & INCOME GOVERNMENT CASH
FUND ASSETS FUND FUND FUND
---- ------ ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Assets consist of:
Capital paid-in $369,612 $457,738 $19,811 $63,004 $55,761
Undistributed net
investment income 1,113 2,945 53 33 --
Accumulated net
realized
gain (loss) 17,956 47,195 (482) (21,664) --
Net unrealized
appreciation
(depreciation)
of investments 117,763 38,174 1,585 (102) --
--------------------------------------------------------------------------------
$506,444 $546,052 $20,967 $41,271 $55,761
================================================================================
</TABLE>
39
<PAGE>
NOTE 7--CAPITAL SHARES
The Trust has unlimited authorized shares of beneficial interest ($0.10 par
value), divided into Series and issued in classes (see note 1). Capital share
transactions for the six months ended June 30, 1997 and for the year ended
December 31, 1996 are set forth below.
<TABLE>
<CAPTION>
CLASS A CLASS B
------- -------
1997 1996 1997 1996(2)
---- ---- ---- -------
<S> <C> <C> <C> <C>
ZWEIG STRATEGY FUND
Sold 1,402,616 5,310,565 1,216,470 2,674,142
Issued in reinvestment of
dividends and distributions 177,660 3,017,222 7,417 187,019
Redeemed (5,325,763) (8,068,624) (177,002) (52,868)
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (3,745,487) 259,163 1,046,885 2,808,293
===============================================================================================================
ZWEIG APPRECIATION FUND
Sold 356,799 1,366,791 282,486 478,983
Issued in reinvestment of
dividends and distributions -- 2,080,245 -- 60,465
Redeemed (2,153,057) (3,223,564) (39,554) (11,560)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) (1,796,258) 223,472 242,932 527,888
===============================================================================================================
ZWEIG MANAGED ASSETS
Sold 315,269 935,264 362,517 488,970
Issued in reinvestment of
dividends and distributions -- 582,313 -- 19,353
Redeemed (1,159,628) (3,815,288) (43,250) (16,845)
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (844,359) (2,297,711) 319,267 491,478
===============================================================================================================
ZWEIG GROWTH & INCOME FUND(4)
Sold 223,960 222,285 275,358 239,579
Issued in reinvestment of
dividends and distributions 4,442 265 2,910 112
Redeemed (43,894) (2,023) (24,014) (2,815)
- ---------------------------------------------------------------------------------------------------------------
Net increase 184,508 220,527 254,254 236,876
===============================================================================================================
ZWEIG GOVERNMENT FUND
Sold 20,051 72,327 25,161 60,506
Issued in reinvestment of
dividends 47,948 113,204 807 559
Redeemed (491,117) (799,865) (10,132) (9,019)
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (423,118) (614,334) 15,836 52,046
===============================================================================================================
ZWEIG CASH FUND(1)
Sold 920,055 3,251,313 100,630 267,603
Issued in reinvestment of
dividends 62,021 139,547 1,593 1,135
Redeemed (1,624,455) (3,691,361) (23,692) (235,787)
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (642,379) (300,501) 78,531 32,951
===============================================================================================================
<CAPTION>
CLASS C CLASS I
------- -------
1997 1996 1997 1996(3)
---- ---- ---- -------
<S> <C> <C> <C> <C>
ZWEIG STRATEGY FUND
Sold 2,286,071 11,001,933 10 55,405
Issued in reinvestment of
dividends and distributions 67,752 3,044,500 415 4,509
Redeemed (7,176,555) (9,152,149) -- --
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) (4,822,732) 4,894,284 425 59,914
===============================================================================================================
ZWEIG APPRECIATION FUND
Sold 801,926 2,349,161 10 119,892
Issued in reinvestment of
dividends and distributions -- 1,645,320 -- 17,411
Redeemed (1,541,596) (2,475,552) -- --
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (739,670) 1,518,929 10 137,303
===============================================================================================================
ZWEIG MANAGED ASSETS
Sold 876,164 3,156,176 -- 213,961
Issued in reinvestment of
dividends and distributions -- 1,875,546 -- 8,711
Redeemed (4,218,872) (13,854,155) -- --
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (3,342,708) (8,822,433) -- 222,672
===============================================================================================================
ZWEIG GROWTH & INCOME FUND(4)
Sold 402,194 458,447 87,260 8,843
Issued in reinvestment of
dividends and distributions 4,826 177 800 13
Redeemed (58,366) (62,305) -- --
- ---------------------------------------------------------------------------------------------------------------
Net increase 348,654 396,319 88,060 8,856
===============================================================================================================
ZWEIG GOVERNMENT FUND
Sold 47,731 211,764 -- --
Issued in reinvestment of
dividends 18,676 49,766 -- --
Redeemed (371,500) (706,323) -- --
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) 305,093 (444,793) -- --
===============================================================================================================
ZWEIG CASH FUND(1)
Sold 1,957,233 6,804,176 1,359,182 1,497,941
Issued in reinvestment of
dividends 83,277 156,899 46,707 2,841
Redeemed (3,426,725) (6,884,138) (1,060,000) (100,000)
- ---------------------------------------------------------------------------------------------------------------
Net increase
(decrease) (1,386,215) 76,937 345,889 1,400,782
===============================================================================================================
</TABLE>
(1) For the six months ended June 30, 1997 and for the year ended December 31,
1996, respectively, shares of Zweig Cash Fund Class M sold were 175,701,833
and 302,464,048; shares issued in reinvestment of dividends were 620,318
and 1,661,513; and shares redeemed were 173,556,751 and 307,369,088 for a
net increase (decrease) of 2,765,400 and (3,243,527) shares, respectively.
(2) Class B Shares commenced operations on April 8, 1996.
(3) Class I Shares commenced operations on November 1, 1996.
(4) Zweig Growth & Income Fund commenced operations on November 26, 1996.
40
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR EACH SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT THE SIX
MONTHS ENDED JUNE 30, 1997 AND THE YEARS ENDED DECEMBER 31, 1996, 1995, 1994,
1993 AND 1992 (UNAUDITED)
<TABLE>
<CAPTION>
NET
NET REALIZED DISTRIBUTIONS
ASSET AND DIVIDENDS FROM NET TOTAL NET ASSET
VALUE NET UNREALIZED TOTAL FROM FROM NET REALIZED DIVIDENDS VALUE
PERIOD BEGINNING INVESTMENT GAINS INVESTMENT INVESTMENT CAPITAL AND END OF
ENDED OF PERIOD INCOME (LOSSES) OPERATIONS INCOME GAINS DISTRIBUTIONS PERIOD
- ----- --------- ------ -------- ---------- ------ ----- ------------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ZWEIG STRATEGY FUND CLASS A
1997 $15.01 $0.12 $0.78 $0.90 $(0.10) -- $(0.10) $15.81
1996 14.51 0.20 1.68 1.88 (0.20) (1.18) (1.38) 15.01
1995 12.36 0.27 2.80 3.07 (0.37) (0.55) (0.92) 14.51
1994 12.52 0.24 (0.10) 0.14 (0.20) (0.10) (0.30) 12.36
1993 13.60 0.13 1.72 1.85 (0.12) (2.81) (2.93) 12.52
1992 13.03 0.17 0.80 0.97 (0.21) (0.19) (0.40) 13.60
ZWEIG STRATEGY FUND CLASS B (4)
1997 15.07 0.05 0.85 0.85 (0.04) -- (0.04) 15.88
1996 15.12 0.06 1.13 1.19 (0.06) (1.18) (1.24) 15.07
ZWEIG STRATEGY FUND CLASS C (1)
1997 15.04 0.04 0.80 0.84 (0.04) -- (0.04) 15.84
1996 14.56 0.11 1.66 1.77 (0.11) (1.18) (1.29) 15.04
1995 12.35 0.16 2.82 2.98 (0.22) (0.55) (0.77) 14.56
1994 12.51 0.15 (0.10) 0.05 (0.11) (0.10) (0.21) 12.35
1993 13.61 0.05 1.71 1.76 (0.05) (2.81) (2.86) 12.51
1992 12.89 0.08 0.69 0.77 (0.05) - (0.05) 13.61
ZWEIG STRATEGY FUND CLASS I (5)
1997 15.07 0.13 0.80 0.93 (0.11) -- (0.11) 15.89
1996 15.42 0.04 0.83 0.87 (0.04) (1.18) (1.22) 15.07
ZWEIG APPRECIATION FUND CLASS A
1997 15.90 0.08 1.22 1.30 -- -- -- 17.20
1996 15.91 0.17 2.25 2.42 (0.17) (2.26) (2.43) 15.90
1995 13.54 0.16 3.05 3.21 (0.33) (0.51) (0.84) 15.91
1994 14.33 0.16 (0.43) (0.27) (0.06) (0.46) (0.52) 13.54
1993 13.10 0.07 1.83 1.90 (0.06) (0.61) (0.67) 14.33
1992 12.03 0.06 1.07 1.13 (0.03) (0.03) (0.06) 13.10
ZWEIG APPRECIATION FUND CLASS B (4)
1997 15.82 0.01 1.22 1.23 -- -- -- 17.05
1996 16.34 0.03 1.74 1.77 (0.03) (2.26) (2.29) 15.82
ZWEIG APPRECIATION FUND CLASS C (1)
1997 15.79 0.02 1.22 1.24 -- -- -- 17.03
1996 15.83 0.06 2.23 2.28 (0.06) (2.26) (2.32) 15.79
1995 13.36 0.06 3.03 3.09 (0.11) (0.51) (0.62) 15.83
1994 14.19 0.06 (0.43) (0.37) -- (0.46) (0.46) 13.36
1993 13.01 (0.01) 1.80 1.79 -- (0.61) (0.61) 14.19
1992 12.33 (0.02) 0.70 0.68 -- -- -- 13.01
ZWEIG APPRECIATION FUND CLASS I (5)
1997 16.04 0.10 1.24 1.34 -- -- -- 17.38
1996 17.28 0.04 1.02 1.06 (0.04) (2.26) (2.30) 16.04
ZWEIG MANAGED ASSETS CLASS A (2)
1997 12.75 0.17 1.01 1.18 -- -- -- 13.93
1996 12.48 0.35 0.86 1.21 (0.45) (0.49) (0.94) 12.75
1995 11.76 0.47 1.40 1.87 (0.75) (0.40) (1.15) 12.48
1994 12.38 0.33 (0.69) (0.36) (0.26) -- (0.26) 11.76
1993 11.34 0.22 1.13 1.35 (0.14) (0.17) (0.31) 12.38
ZWEIG MANAGED ASSETS CLASS B (4)
1997 12.90 0.09 1.06 1.15 -- -- -- 14.05
1996 12.43 0.13 1.00 1.13 (0.17) (0.49) (0.66) 12.90
ZWEIG MANAGED ASSETS CLASS C (2)
1997 12.76 0.13 1.00 1.13 -- -- -- 13.89
1996 12.49 0.27 0.85 1.12 (0.36) (0.49) (0.85) 12.76
1995 11.73 0.38 1.40 1.78 (0.62) (0.40) (1.02) 12.49
1994 12.36 0.23 (0.68) (0.45) (0.18) -- (0.18) 11.73
1993 11.34 0.15 1.13 1.28 (0.09) (0.17) (0.26) 12.36
ZWEIG MANAGED ASSETS CLASS I (5)
1997 12.99 0.09 1.14 1.23 -- - -- 14.22
1996 13.02 0.05 0.45 0.50 (0.04) (0.49) (0.53) 12.99
ZWEIG GROWTH & INCOME FUND CLASS A (6)
1997 (13) 11.37 0.16 0.67 0.83 (0.14) - (0.14) 12.06
1996 (12) 11.34 0.01 0.03 0.04 (0.01) - (0.01) 11.37
ZWEIG GROWTH & INCOME FUND CLASS B (6)
1997 (13) 11.37 0.13 0.67 0.79 (0.10) - (0.10) 12.06
1996 (12) 11.34 0.01 0.03 0.04 (0.01) - (0.01) 11.37
ZWEIG GROWTH & INCOME FUND CLASS C (6)
1997 (13) 11.38 0.14 0.64 0.78 (0.10) - (0.10) 12.06
1996 (12) 11.34 0.01 0.04 0.05 (0.01) - (0.01) 11.38
<CAPTION>
RATIOS TO AVERAGE AVERAGE
NET ASSETS ASSETS COMMISSION
NET PORTFOLIO PER SHARE ON NET ASSETS
TOTAL INVESTMENT TURNOVER PORTFOLIO END OF PERIOD
RETURN*** EXPENSES INCOME RATE TRANSACTIONS (IN THOUSANDS)
--------- -------- ------ ---- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ZWEIG STRATEGY FUND CLASS A
6.00% 1.25%* 1.38%* 112%* $0.03 $552,927
3.00 1.28 1.27 181 0.03 581,149
5.12 1.27 1.92 95 0.03 558,286
1.14 1.40 1.90 70 N/A 424,805
14.97 1.43 1.00 359 N/A 405,884
7.61 1.63 1.32 249 N/A 358,318
ZWEIG STRATEGY FUND CLASS B (4)
5.64 1.95* 0.68* 112* 0.03 61,213
7.88** 1.98* 0.57** 181 0.03 42,317
ZWEIG STRATEGY FUND CLASS C (1)
5.59 1.95* 0.68* 112* 0.03 578,274
12.19 1.98 0.57 181 0.03 621,334
24.26 1.97 1.22 95 0.03 530,300
0.41 2.10 1.20 70 N/A 307,011
14.18 2.13 0.30 359 N/A 188,631
6.00 2.43* 0.40* 249 N/A 64,697
ZWEIG STRATEGY FUND CLASS I (5)
6.17 0.95* 1.68* 112* 0.03 959
5.68** 0.98* 1.57* 181 0.03 903
ZWEIG APPRECIATION FUND CLASS A
8.18 1.56* 0.90* 62* 0.03 267,668
15.39 1.62 1.03 88 0.03 275,935
24.00 1.63 1.10 68 0.03 272,590
(1.83) 1.70 1.09 97 N/A 213,400
14.65 1.73 0.52 69 N/A 230,230
9.52 1.96 0.49 61 N/A 200,656
ZWEIG APPRECIATION FUND CLASS B (4)
7.78 2.26* 0.20* 62* 0.03 13,146
11.01** 2.32* 0.33* 88 0.03 8,350
ZWEIG APPRECIATION FUND CLASS C (1)
7.85 2.26* 0.20* 62* 0.03 223,245
14.54 2.32 0.33 88 0.03 218,714
23.20 2.33 0.40 68 0.03 195,204
(2.55) 2.40 0.39 97 N/A 139,397
13.84 2.43 (0.18) 69 N/A 105,957
5.52 2.80* (0.32)* 61 N/A 42,089
ZWEIG APPRECIATION FUND CLASS I (5)
8.35 1.26* 1.20* 62* 0.03 2,386
6.30** 1.32* 1.33* 88 0.03 2,202
ZWEIG MANAGED ASSETS CLASS A (2)
9.26 1.63* 2.62* 186* 0.03 113,750
9.80 1.64 2.64 187 0.02 114,837
16.26 1.59 3.69 239 0.03 141,110
(2.93) 1.68 2.70 299 N/A 154,441
11.98 1.67* 1.93* 196 N/A 121,620
ZWEIG MANAGED ASSETS CLASS B (4)
8.92 2.33* 1.92* 186* 0.03 11,389
9.11** 2.34* 1.94* 187 0.02 6,339
ZWEIG MANAGED ASSETS CLASS C (2)
8.86 2.33* 1.92* 186* 0.03 417,746
9.03 2.34 1.94 187 0.02 426,194
15.44 2.29 2.99 239 0.03 527,432
(3.66) 2.38 2.00 299 N/A 570,710
11.34 2.37* 1.23* 196 N/A 429,088
ZWEIG MANAGED ASSETS CLASS I (5)
9.47 1.33* 2.92* 186* 0.03 3,167
3.83** 1.34* 2.94* 187 0.02 2,893
ZWEIG GROWTH & INCOME FUND CLASS A (6)
7.31 1.30* 3.41* 198* 0.03 4,885
0.39** 1.30* 1.47* 2 0.03 2,508
ZWEIG GROWTH & INCOME FUND CLASS B (6)
6.96 2.00* 2.71* 198* 0.03 5,922
0.42** 2.00* 0.77* 2 0.03 2,693
ZWEIG GROWTH & INCOME FUND CLASS C (6)
6.86 2.00* 2.71* 198* 0.03 8,985
0.42** 2.00* 0.77* 2 0.03 4,509
</TABLE>
41
<PAGE>
FINANCIAL HIGHLIGHTS
(UNAUDITED)(CONTINUED)
<TABLE>
<CAPTION>
NET
NET REALIZED DISTRIBUTIONS
ASSET AND DIVIDENDS FROM NET TOTAL NET ASSET
VALUE NET UNREALIZED TOTAL FROM FROM NET REALIZED DIVIDENDS VALUE
PERIOD BEGINNING INVESTMENT GAINS INVESTMENT INVESTMENT CAPITAL AND END OF
ENDED OF PERIOD INCOME (LOSSES) OPERATIONS INCOME GAINS DISTRIBUTIONS PERIOD
- ------- ---------- ------------ -------- ---------- ------------ ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
ZWEIG GROWTH & INCOME FUND CLASS I (6)
1997(13) $11.37 $0.13 $0.71 $0.84 $(0.10) - $(0.10) $ 12.11
1996(12) 11.34 0.02 0.03 0.05 (0.02) - (0.02) 11.37
ZWEIG GOVERNMENT FUND CLASS A
1997 9.81 0.25 (0.10) 0.15 (0.25) - (0.25) 9.71
1996(11) 10.39 0.53 (0.58) (0.05) (0.53) - (0.53) 9.81
1995+ 9.63 0.52 0.77 1.29 (0.53) - (0.53) 10.39
1994 10.43 0.50 (0.79) (0.29) (0.51) - (0.51) 9.63
1993 10.01 0.55 0.46 1.01 (0.59) - (0.59) 10.43
1992 10.21 0.65 (0.22) 0.43 (0.63) - (0.63) 10.01
ZWEIG GOVERNMENT FUND CLASS B(4)
1997 9.86 0.21 (0.10) 0.11 (0.21) - (0.21) 9.76
1996(11) 9.76 0.29 0.11 0.40 (0.30) - (0.30) 9.86
ZWEIG GOVERNMENT FUND CLASS C(1)
1997 9.81 0.23 (0.10) 0.13 (0.23) - (0.23) 9.71
1996(11) 10.38 0.49 (0.58) (0.09) (0.48) - (0.48) 9.81
1995+ 9.62 0.48 0.76 1.24 (0.48) - (0.48) 10.38
1994 10.40 0.46 (0.79) (0.33) (0.45) - (0.45) 9.62
1993 10.02 0.52 0.41 0.93 (0.55) - (0.55) 10.40
1992 9.86 0.52 0.09 0.61 (0.45) - (0.45) 10.02
ZWEIG CASH FUND CLASS A(3)
1997(9) 1.00 0.02 - 0.02 (0.02) - (0.02) 1.00
1996(8) 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1995(7) 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1994 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
ZWEIG CASH FUND CLASS B(4)
1997(9) 1.00 0.02 - 0.02 (0.02) - (0.02) 1.00
1996(8) 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
ZWEIG CASH FUND CLASS C(3)
1997(9) 1.00 0.02 - 0.02 (0.02) - (0.02) 1.00
1996(8) 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1995(7) 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1994 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
ZWEIG CASH FUND CLASS I
1997(9) 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
1996(8) 1.00 0.01 - 0.01 (0.01) - (0.01) 1.00
ZWEIG CASH FUND CLASS M(10)
1997 1.00 0.02 - 0.02 (0.02) - (0.02) 1.00
1996 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1995 1.00 0.05 - 0.05 (0.05) - (0.05) 1.00
1994 1.00 0.04 - 0.04 (0.04) - (0.04) 1.00
1993 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
1992 1.00 0.03 - 0.03 (0.03) - (0.03) 1.00
<CAPTION>
RATIOS TO AVERAGE AVERAGE
NET ASSETS COMMISSION
NET PORTFOLIO PER SHARE ON NET ASSETS
TOTAL INVESTMENT TURNOVER PORTFOLIO END OF PERIOD
RETURN*** EXPENSES INCOME RATE TRANSACTIONS (IN THOUSANDS)
---------- ---------- --------------- ---------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
ZWEIG GROWTH & INCOME FUND CLASS I (6)
7.40% 1.00% 3.71%* 198%* $0.03 $ 1,174
0.41** 1.00* 1.77* 2 0.03 101
ZWEIG GOVERNMENT FUND CLASS A
1.59 1.39* 5.12* 164* N/A 29,387
(0.42) 1.14 5.25 170 N/A 33,848
13.84 1.26 5.22 195 N/A 42,207
(2.83) 1.28 5.07 191 N/A 47,622
10.35 1.30 5.46 256 N/A 60,207
4.51 1.30 6.58 200 N/A 70,062
ZWEIG GOVERNMENT FUND CLASS B(4)
1.14 2.09* 4.42* 164* N/A 663
4.16** 1.84* 4.55* 170 N/A 513
ZWEIG GOVERNMENT FUND CLASS C(1)
1.31 1.84* 4.67* 164* N/A 11,221
(0.82) 1.59 4.80 170 N/A 14,330
13.27 1.71 4.77 195 N/A 19,778
(3.18) 1.73 4.62 191 N/A 22,599
9.48 1.75 5.01 256 N/A 21,301
6.31 1.81* 5.93* 200 N/A 9,210
ZWEIG CASH FUND CLASS A(3)
2.37 0.65* 4.75* N/A N/A 2,718
4.83 0.65 473 N/A N/A 3,360
5.08 0.87 4.97 N/A N/A 3,661
2.55** 0.62** 2.52** N/A N/A 4,303
ZWEIG CASH FUND CLASS B(4)
2.03 1.35* 4.05* N/A N/A 111
3.03** 1.35* 4.03* N/A N/A 33
ZWEIG CASH FUND CLASS C(3)
2.37 0.65* 4.75* N/A N/A 3,149
4.83 0.65 4.73 N/A N/A 4,535
5.08 0.87 4.97 N/A N/A 4,458
2.55** 0.61** 2.52** N/A N/A 5,040
ZWEIG CASH FUND CLASS I
2.52 0.35* 5.05* N/A N/A 1,747
0.80** 0.35* 5.03* N/A N/A 1,401
ZWEIG CASH FUND CLASS M(10)
2.49 0.42* 4.98* N/A N/A 48,036
5.09 0.40 4.98 N/A N/A 45,271
5.32 0.64 5.20 N/A N/A 48,515
3.67 0.70 3.58 N/A N/A 78,149
2.86 0.70 2.83 N/A N/A 92,471
3.40 0.70 3.35 N/A N/A 145,169
- ------------
</TABLE>
(1) Commenced operations on February 4, 1992.
(2) Commenced operations on February 8, 1993.
(3) Commenced operations on May 1, 1994.
(4) Commenced operations on April 8, 1996.
(5) Commenced operations on November 1, 1996.
(6) Commenced operations on November 26, 1996.
(7) During 1995, the Manager voluntarily reimbursed Zweig Cash Fund Class A and
Class C $.005 and $.003 per share (0.47% and 0.28% ratio of expenses to
average net assets), respectively.
(8) During 1996, the Manager voluntarily reimbursed Zweig Cash Fund Class A,
Class B, Class C and Class I $.007, $.006 and $.004 per share (0.66%,
0.60%, 0.60% and 0.38% ratio of expenses to average net assets),
respectively.
(9) During 1997, the Manager voluntarily reimbursed Zweig Cash Fund Class A,
Class B, Class C and Class I $.005, $.131, $.005 and $.002 per share(1.07%,
26.20%, 0.92% and 0.40% ratio of expenses to average net assets),
respectively.
(10) During 1997, 1996, 1995, 1994, 1993 and 1992, the Manager voluntarily
reimbursed Zweig Cash Fund Class M $.002, $.003, $.001, $.002, $.001 and
$.002 per share (0.32%, 0.32%, 0.10%, 0.15%, 0.08% and 0.15% ratio of
expenses to average net assets), respectively.
(11) During 1996, the Manager voluntarily reimbursed Zweig Growth & Income Fund
Class A, Class B and Class C $.002, $.003 and $.002 per share (0.22%, 0.26%
and 0.22% ration of expenses to average net assets), respectively.
(12) During 1996, the Manager voluntarily reimbursed Zweig Growth & Income Fund
Class A, Class B, Class C and Class I $.021, $.021, $.020 and $.021 per
share (2.07%, 2.07% and 2.07% ratio of expenses to average net assets),
respectively.
(13) During 1997, the Manager voluntarily reimbursed Zweig Growth & Income Fund
Class A, Class B, Class C and Class I, $.058, $.058, $.058 and $.058 per
share (1.00%, 1.00%, 1.00% and 1.00% ratio of expenses to average net
assets), respectively.
* Annualized
** Not Annualized
*** Total Return does not consider the effect of any initial or contingent
deferred sales charge.
+ Based on the average of the number of shares outstanding during the year.
42
<PAGE>
ZWEIG SERIES TRUST
TRUSTEES
Claire B. Benenson
Richard E. Deems
S. Leland Dill
Eugene J. Glaser
Donald B. Romans
OFFICERS
Eugene J. Glaser
CHAIRMAN, CHIEF EXECUTIVE OFFICER
AND TRUSTEE
Martin E. Zweig
PRESIDENT
David Katzen
SENIOR VICE PRESIDENT
Barry M. Mandinach
FIRST VICE PRESIDENT
Carlton B. Neel
FIRST VICE PRESIDENT
Alfred J. Ratcliffe
FIRST VICE PRESIDENT & TREASURER
Charles I. Leone
FIRST VICE PRESIDENT
& ASSISTANT SECRETARY
Annemarie Gilly
VICE PRESIDENT
Jeffrey Lazar
VICE PRESIDENT
Marc Baltuch
SECRETARY
Thomas Disbrow
ASSISTANT VICE PRESIDENT
& ASSISTANT TREASURER
Beth Abraham
ASSISTANT VICE PRESIDENT
Rhonda Berzner
ASSISTANT VICE PRESIDENT
INVESTMENT MANAGER
Zweig/Glaser Advisers
900 Third Avenue
New York, New York 10022-4728
PRINCIPAL DISTRIBUTOR
Zweig Securities Corp.
900 Third Avenue
New York, New York 10022-4728
CUSTODIAN
The Bank of New York
48 Wall Street
New York, New York 10015
TRANSFER AGENT
State Street Bank & Trust Co.
225 Franklin Street
Boston, Massachusetts 02110
SERVICING AGENT
Boston Financial Data Services, Inc.
2 Heritage Drive
North Quincy, Massachusetts 02171
COUNSEL
Shearman & Sterling
599 Lexington Avenue
New York, New York 10022
DESIGN: THE BLANK PAGE, INC. NEW YORK, NY
43
<PAGE>
ZWEIG
MUTUAL FUNDS
900 Third Avenue
New York, NY 10022-4728
BULK RATE
U.S. POSTAGE
PAID
METRO SELIGER
INDUSTRIES
VISIT ZWEIG MUTUAL FUNDS ON THE INTERNET AT
www.zweig.com
RECYCLED SYMBOL THIS REPORT IS PRINTED ON RYCYCLED PAPER.
COPYRIGHT SYMBOL ZWEIG SECURITIES CORP. MEMBER NASD.
T972
