<PAGE>
SEMI-ANNUAL
REPORT
[LOGO]
RSI RETIREMENT TRUST
CORE EQUITY FUND
VALUE EQUITY FUND
EMERGING GROWTH EQUITY FUND
INTERNATIONAL EQUITY FUND
ACTIVELY MANAGED BOND FUND
INTERMEDIATE-TERM BOND FUND
SHORT-TERM INVESTMENT FUND
DEDICATED BOND FUND
1996
BROKER/DEALER
[LOGO]
RETIREMENT SYSTEM
Distributors Inc.
P.O. Box 2064
Grand Central Station
New York, NY 10163-2064
<PAGE>
TABLE OF CONTENTS
- ------------------------------------------------------
<TABLE>
<S> <C>
President's Message...................................................... 1
Investment Review........................................................ 2
Financial Statements of Investment Funds................................. 8
Core Equity Fund..................................................... 10
Value Equity Fund.................................................... 14
Emerging Growth Equity Fund.......................................... 18
International Equity Fund............................................ 24
Actively Managed Bond Fund........................................... 29
Intermediate-Term Bond Fund.......................................... 34
Short-Term Investment Fund........................................... 39
Notes to Financial Statements............................................ 43
Officers, Consultants, Investment Managers,
Custodians, Distributor, Transfer Agent................................ 60
Board of Trustees........................................................ 61
</TABLE>
[LOGO]
is a registered trademark of Retirement System Group Inc.
This Semi-Annual Report is unaudited.
<PAGE>
PRESIDENT'S MESSAGE
To Our Unitholders:
Low inflation rates, modest economic growth, a huge cash inflow
into mutual funds by investors and corporate stock repurchases
have propelled the stock market over the past several years,
and continued to do so during the six-month period ended March
31, 1996.
Equity funds showed ongoing strength throughout the period,
with the S&P 500 Index (a measure of the U.S. broad equity
market) up 11.74%. The fixed-income markets, however, were
volatile during this period. Positive results were realized
during the first four months of the period, followed by
negative results for the remaining two months as interest rates
increased substantially due to stronger inflationary sentiments
in the marketplace. As a result, the Lehman Brothers Aggregate
Bond Index (a proxy for the fixed-income markets) returned
2.41% for the fiscal half year ended March 31, 1996.
During this period, the Trust's performance continued to be
solid. All of the investment funds reflected positive results,
and two of the funds--Emerging Growth Equity and Value
Equity--turned in double digit returns that were quite
favorable compared to their respective Lipper benchmarks. In
fact, the decision to change investment managers for the Value
Equity Fund has proved to be a good one. Retirement System
Investors Inc. was appointed investment manager of the fund as
of April 1, 1995. For the one year ended March 31, 1996, the
Fund returned 29.31%, and for the six months ended March 31,
1996, the Fund returned 12.90%.
During the fiscal year-to-date, another positive
development has been the growth of assets under Trust
management, which have increased by $38.4 million, to $635.9
million at March 31, 1996.
On behalf of the Board of Trustees, I'd like to thank our
unitholders for choosing RSI Retirement Trust to help meet
their retirement savings goals.
Sincerely,
[SIG]
William Dannecker
President and Trustee
May 24, 1996
1
<PAGE>
INVESTMENT REVIEW
EQUITY FUNDS
For the first six months of fiscal year ended March 31, 1996,
the equity market indices showed ongoing strength throughout
the period with the Dow Jones Industrial Average (DJIA)
reflecting the highest gains at +18.07%. This was a period when
cyclical stocks were generally in favor (vis-a-vis growth
companies) and the DJIA benefited accordingly since this index
contains a number of cyclical stocks. The S&P 500, a
representative index of the U.S. broad equity market, rose
11.74% for the period. The Russell 2000, a small capitalization
index, turned in the lowest performance increase for the
period, at +7.41%. (This segment of the market, however, began
to gain momentum during the first quarter of 1996; this
momentum continued strongly through the month of April.) Value
oriented stocks (traditionally, stocks selling at low p/e's
and/or high dividend yields) also did well for the past six
months. The representative index for this investment
discipline, the Russell 1000 Value Index, returned +12.67%.
Non-U.S. stock markets, as measured by the MSCI EAFE Index,
returned +4.05% for the first quarter of fiscal year 1996 and
+2.89% for the second quarter.
Modest economic growth, low inflation rates, huge cash
inflow by mutual fund investors and corporate stock repurchases
have propelled the stock market over the past several years.
This was also quite evident so far in fiscal year 1996.
Corporate earnings continue to benefit from productivity gains
from technological innovations and downsizing of costs.
Economic growth (Gross Domestic Product--"GDP") was
lackluster, growing at an annualized rate of only 0.5% for the
fourth quarter, 1995, but picked up momentum during the first
quarter of 1996. However, the crippling strikes at a number of
General Motors plants throughout the U.S. during the period had
some dampening effect on the economy. A change may be occurring
as recent data, though inconclusive, suggest the possibility of
stronger economic growth and we have seen a 75 basis point rise
in long interest rates since year end. Earnings valuations seem
full unless interest rates resume their decline or earnings
growth momentum accelerates.
In this environment, the Trust's equity funds turned in
respectable performance results for the six-month period
(October, 1995 through March, 1996) ranging from 8.27% for the
International Equity Fund to 12.90% for the Value Equity Fund.
CORE EQUITY FUND
The Core Equity Fund posted a 9.57% return for the six months
ended March 31, 1996, compared to the 10.51% return of the
Lipper Growth and Income Funds Average, its performance
benchmark. For the one-year period ended March 31, 1996, the
Core Fund returned 33.73%, six percentage points higher than
the 27.73% return of its Lipper benchmark. Over the longer term
(since inception, 13 1/4 years ended March 31, 1996), the Core
Fund achieved a 15.81% annualized return, compared to the
14.17% return of the Lipper Growth and Income Funds Average.
This annualized return ranked the Core Equity Fund in the top
16% of the Lipper Growth and Income Funds grouping (14th out of
90 funds).
2
<PAGE>
These long-term results for the Core Equity Fund have been
achieved while taking less risk (as measured by standard
deviation) than the overall market, as represented by the S&P
500. The standard deviation of return for the Fund was 13.53
versus 14.14 for the index over this 13 1/4-year period.
VALUE EQUITY FUND
The Value Equity Fund posted a 12.90% return for the fiscal
year-to-date, ended March 31, 1996, outperforming the 10.51%
return of its performance benchmark, the Lipper Growth & Income
Funds Average, by 239 basis points. For the one-year period
ended March 31, 1996, Value Equity returned 29.31%, again
outperforming the Lipper benchmark's return of 27.73%. For the
longer periods of time, this Fund underperformed versus its
Lipper benchmark.
EMERGING GROWTH EQUITY FUND
The Emerging Growth Equity Fund returned 10.86% for the six
months ended March 31, 1996, more than two and one-half
percentage points higher than its benchmark, the Lipper Small
Company Growth Funds Average, which returned 8.18%. For the
one-year period, the Fund posted a 46.09% return, nearly 15
percentage points higher than the 31.25% return of its Lipper
benchmark. The Fund also ranked in the top 11% of the Lipper
Small Company Growth Funds Average grouping (34th out of 324
funds) for the one-year time period ended March 31, 1996. Since
inception (13 1/4 years ended March 31, 1996), the Emerging
Growth Equity Fund achieved an annual return of 15.86%,
outperforming the benchmark's return of 13.67% for the same
period. This since inception performance ranked the Fund in the
top 15% of the Lipper Small Company Growth Funds grouping (3rd
out of 20 funds).
INTERNATIONAL EQUITY FUND
The International Equity Fund's return for the six-month period
ended March 31, 1996, 8.27%, outperformed the Lipper
International Equity Funds Average return of 6.38% by 189 basis
points. For the one-year period ended March 31, 1996, the Fund
returned 21.36% and significantly outperformed its Lipper
benchmark, which returned 16.08%. For this period, the Fund
ranked in the top 15% of the Lipper International Equity Fund
grouping (41st out of 279 funds). Since inception (11 11/12
years ended March 31, 1996), the Fund had an annualized return
of 13.22%, trailing the Lipper International Equity Funds
Average return of 13.79% per year for this period.
It is important to note that the International Equity
Fund's since inception return was achieved with appreciably
less risk (as measured by standard deviation) than the market,
as measured by the MSCI EAFE Index. The standard deviation of
return for the Fund was 14.85 versus 18.84 for the index over
this time period.
FIXED-INCOME FUNDS
In the fourth quarter of 1995, inflation remained well under
control, as the Consumer Price Index (CPI) was up only 0.2% for
the period. It was a period when interest rates throughout the
yield curve were declining and a period that the
3
<PAGE>
Federal Reserve (Fed) was somewhat concerned with the
sluggishness of the economy--in mid-December, it lowered the
Federal Funds Rate by 25 basis points to 5.50%, with the
expectation this would help to recharge economic growth. For
the longer-term portion of the yield curve, fixed-income total
returns (interest plus price changes), as measured by the
Lehman Brothers Aggregate Bond Index, rose 4.26% for the
quarter. For the short- to- intermediate-term securities
(represented by the Lehman Brothers Government-Intermediate
Bond Index), the total quarterly return was up 3.34%; and cash
equivalent-type investments (the 90-Day Treasury Bills)
increased 1.29% for this period.
The first quarter of 1996 reflected a turn in
events--intermediate and longer-term interest rates rose
substantially with the 5-year Treasury increasing to 6.08% at
quarter end from 5.38% at December 31, 1995 and the 30-year
Treasury up to 6.67% at March 31, 1996 from 5.95% at December
31, 1995. The strong upward movement in interest rates
ironically came after the Fed lowered the Federal Funds Rate by
25 basis points (to 5.25%) and the Discount Rate by 25 basis
points (to 5.00%). There is a growing concern that the economy
may be reaccelerating which is contributing to rising
inflationary concerns and the upward trend in interest rates.
In addition, fixed-income markets appeared to be reflecting
disappointment in current efforts to reduce federal deficits as
well as anxiety about prospects in the forthcoming election. As
a result of the conditions that prevailed during this quarter,
the bond markets reflected negative returns, but finished the
fiscal half year ending March 31, 1996 with positive results at
+2.41% for the Lehman Brothers Aggregate Bond Index and +2.64%
for the Lehman Brothers Government-Intermediate Bond Index.
Cash equivalent-type securities (90-Day U.S. Treasury Bills)
returned 1.22% for the recent quarter and 2.52% for the six
months ended March 31, 1996.
INTERMEDIATE-TERM BOND FUND
For the six-month period ended March 31, 1996, the
Intermediate-Term Bond Fund returned 2.29% and was within five
basis points of the 2.34% return of its benchmark, the Lipper
Short-Intermediate (1 to 5 year maturity) U.S. Government Funds
Average. Over every longer term period, however, this Fund
outperformed its Lipper benchmark. For the five-year period
ended March 31, 1996, it returned 7.09% per year, compared to
the 6.64% annual return of its benchmark. Since inception
(13 1/4 years ended March 31, 1996), this Fund, at an
annualized return of 9.29%, outperformed its benchmark by 53
basis points (9.29% versus 8.76%, respectively) and is the top
performing fund in the Lipper Short-Intermediate (1 to 5 year
maturity) U.S. Government Funds grouping for this period.
The Intermediate-Term Bond Fund continues to emphasize
quality of holdings, with over 93% in U.S. Government and other
AAA-rated securities. At March 31, 1996, the average maturity
and average duration of all portfolio holdings was 3.7 years
and 2.9 years, respectively, versus 4.0 years and 3.1 years,
respectively, at the start of fiscal year 1996.
4
<PAGE>
ACTIVELY MANAGED BOND FUND
The Actively Managed Bond Fund outperformed its benchmark, the
Lipper U.S. Government Bond Funds Average, for every period
ended March 31, 1996. For the fiscal year-to-date, the Fund
returned 1.89% versus 1.58% for the Lipper benchmark. For the
five-year period ended March 31, 1996, the Fund outpaced the
benchmark return of 7.36% per year by 105 basis points per
year, with an annualized return of 8.41%, and ranked in the top
18% of the Lipper U.S. Government Funds grouping (12th out of
70 funds). Since inception (13 1/4 years ended March 31, 1996),
the Fund's annualized return was 9.64%, and outperformed the
Lipper benchmark by 0.74% per year (9.64% versus 8.90%,
respectively). For the period, the Fund ranked in the top 25%
of the Lipper U.S. Government Bond Funds grouping (2nd out of 8
funds).
The Fund continues to emphasize quality of holdings, with
more than 95% in U.S. Government and other AAA-rated
securities. At March 31, 1996, the average maturity and average
duration of portfolio holdings was 7.1 years and 4.3 years,
respectively, compared to 7.2 years and 4.6 years,
respectively, at the start of fiscal year 1996.
SHORT-TERM INVESTMENT FUND
For the six months ended March 31, 1996, the Short-Term
Investment Fund posted a return of 2.43% and trailed the 2.56%
return of the Donoghue All Taxable Money Funds Average (a
representative benchmark). Since inception (13 1/4 years ended
March 31, 1996), the Fund produced an annual return of 6.62%,
exceeding the Donoghue benchmark's annualized return of 6.37%.
The Short-Term Investment Fund continues to emphasize
quality of holdings, with 84% in U.S. Government securities, 5%
in AA-rated securities and 11% in A-rated issues. The average
maturity of portfolio holdings increased to 111 days at March
31, 1996, from 78 days at September 30, 1995.
5
<PAGE>
EQUITY FUNDS
NET INVESTMENT PERFORMANCE1
FOR PERIODS ENDED MARCH 31, 1996
---------------------------------------------------------------
<TABLE>
<CAPTION>
Annualized
-------------------------------------
Since
6 Months 1 Year 5 Years 10 Years Inception2
------------ ---------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C>
CORE EQUITY FUND 9.57% 33.73% 13.69% 12.60% 15.81%
VALUE EQUITY FUND 12.90 29.31 11.51 10.13 11.88
Lipper Growth & Income
Funds Average3 10.51 27.73 13.51 11.91 14.17
EMERGING GROWTH EQUITY
FUND 10.86 46.09 21.72 14.29 15.86
Lipper Small Company
Growth Funds Average3 8.18 31.25 17.02 12.89 13.67
INTERNATIONAL EQUITY FUND 8.27 21.36 8.49 9.66 13.22
Lipper International
Equity Funds Average3 6.38 16.08 9.64 11.06 13.79
</TABLE>
1. All performance results shown are net of management fees
and all related expenses, unless otherwise footnoted.
2. The International Equity Fund was started on May 1, 1984.
The inception date for all other funds was January 1, 1983.
3. Lipper Analytical Services is an independent reporting
service that measures the performance of most U.S. mutual
funds. The performance results reflect an unmanaged index
and are net of all expenses other than sales charges and
redemption fees.
---------------------------------------------------------------
6
<PAGE>
FIXED-INCOME FUNDS
NET INVESTMENT PERFORMANCE1
FOR PERIODS ENDED MARCH 31, 1996
---------------------------------------------------------------
<TABLE>
<CAPTION>
Annualized
-------------------------------------
Since
6 Months 1 Year 5 Years 10 Years Inception2
------------ ---------- ---------- ----------- ------------
<S> <C> <C> <C> <C> <C>
INTERMEDIATE-TERM
FIXED-INCOME FUND 2.29% 8.57% 7.09% 7.70% 9.29%
Lipper Short-Intermediate
(1 to 5 year maturity)
U.S. Government Funds
Average3 2.34 7.89 6.64 7.26 8.76
ACTIVELY MANAGED BOND FUND 1.89 10.00 8.41 7.53 9.64
Lipper U.S. Government
Bond Funds Average3 1.58 9.28 7.36 7.27 8.90
SHORT-TERM INVESTMENT FUND 2.43 5.16 3.90 5.63 6.62
Donoghue All Taxable Money
Fund Average4 2.56 5.38 4.12 5.64 6.37
</TABLE>
1. All performance results shown are net of management fees
and all related expenses, unless otherwise footnoted.
2. The inception date was January 1, 1983.
3. Lipper Analytical Services is an independent reporting
service that measures the performance of most U.S. mutual
funds. The performance results reflect an unmanaged index
and are net of all expenses other than sales charges and
redemption fees.
4. Reported by the Donoghue Money Fund Reporting Service. The
performance results reflect an unmanaged index and are net,
since expenses are applicable.
---------------------------------------------------------------
7
<PAGE>
FINANCIAL STATEMENTS OF INVESTMENT FUNDS
RSI RETIREMENT TRUST
Combined Statement of Assets and Liabilities March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$492,882,598)--Note 2(A) $634,314,959
Cash 2,326,909
Receivable for investments sold 1,037,744
Receivable for units sold 532,856
Dividends and interest receivable 3,838,368
Other assets 51,497
Net gain on forward foreign currency
contracts 43,602
------------
642,145,935
LIABILITIES:
Payable for investments purchased $3,910,266
Payable for units redeemed 1,535,541
Payable to investment managers 270,264
Accrued expenses 506,047
Other liabilities 501 6,222,619
---------- ------------
NET ASSETS--Note 5 $635,923,316
------------
------------
</TABLE>
Combined Statement of Operations March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $9,673,938
Dividends 2,668,434
----------
Total Income $12,342,372
Expenses:
Investment managers's fees--Note 3(A) 1,645,639
Shareholder servicing fees and
expenses--Note 3(B) 1,330,389
Custodian fees and expenses 153,308
Legal and auditing fees 70,249
Consultant fees 38,752
Trustees' fees and expenses--Note 3(C) 81,132
Other 163,350
----------
Total Expenses 3,482,902
Less fees paid indirectly--Note 4 (33,247)
Less expense reimbursement--Note 3 (54,333)
----------
Net Expenses 3,395,239
------------
INVESTMENT INCOME--NET 8,947,133
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4:
Net realized gain (loss) on:
Investments 14,013,150
Foreign Currency Transactions 485,758
----------
14,498,908
----------
Unrealized appreciation (depreciation) on
investments
Investments 16,924,832
Foreign Currency Translations of other
assets and liabilities (191,309)
----------
16,733,523
----------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND FOREIGN CURRENCIES 31,232,431
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $40,179,564
------------
------------
</TABLE>
See Notes to Financial Statements
8
<PAGE>
RSI RETIREMENT TRUST (CONTINUED)
Combined Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
------------ ------------
<S> <C> <C>
OPERATIONS
Investment income--net $ 8,947,133 $ 18,238,984
Net realized gain on investments 14,498,908 19,805,975
Unrealized appreciation on investments 16,733,523 66,426,982
------------ ------------
Net increase in net assets resulting from operations 40,179,564 104,471,941
------------ ------------
CAPITAL TRANSACTIONS--Note 5
Value of units sold 49,590,715 91,722,398
Value of units redeemed (51,350,194) (108,767,059)
------------ ------------
Net (decrease) in net assets resulting from capital transactions (1,759,479) (17,044,661)
------------ ------------
Net increase 38,420,085 87,427,280
NET ASSETS at beginning of period 597,503,231 510,075,951
------------ ------------
NET ASSETS at end of period $635,923,316 $597,503,231
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements
9
<PAGE>
CORE EQUITY FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS 91.9%
AEROSPACE 4.6%
125,800 Lockheed Martin Corp. $ 9,545,075
------------
AUTOMOTIVE & PARTS 1.3%
32,900 Arvin Industries Inc. 682,675
31,281 Chrysler Corp. 1,947,242
------------
2,629,917
------------
BANKING 4.7%
17,900 BankAmerica Corp. 1,387,250
9,700 Chase Manhattan Bank 712,950
38,900 Citicorp 3,112,000
54,000 J.P. Morgan & Company
Inc. 4,482,000
------------
9,694,200
------------
BUILDING PRODUCTS 3.0%
90,500 Armstrong World
Industries Inc. 5,622,313
23,000 Martin Marietta Materials 523,250
------------
6,145,563
------------
CHEMICALS 1.6%
40,500 E.I. Du Pont De Nemours &
Company 3,361,500
------------
DRUG AND HEALTH CARE 14.3%
170,500 Johnson & Johnson 15,728,624
175,700 Merck & Company Inc. 10,937,324
42,400 Pfizer Inc. 2,840,800
------------
29,506,748
------------
ELECTRONICS & ELECTRICAL 11.9%
25,400 Cisco Systems Inc.* 1,177,925
54,300 Emerson Electric Company 4,384,725
108,200 General Electric Corp. 8,426,075
41,400 Hewlett Packard Corp. 3,891,600
88,200 Intel Corp. 5,016,375
30,700 Motorola Inc. 1,627,100
------------
24,523,800
------------
ENERGY 9.6%
40,400 Amoco Corp. 2,918,900
138,000 Dresser Industries Inc. 4,209,000
1,500 Exxon Corp. 122,438
46,000 Royal Dutch Petroleum
Company 6,497,500
69,300 Texaco Inc. 5,959,800
------------
19,707,638
------------
ENGINEERING AND
CONSTRUCTION 4.4%
131,400 Fluor Corp. 8,968,050
------------
<CAPTION>
Shares Value
- ----------- ------------
<C> <S> <C> <C>
FINANCIAL SERVICES 5.5%
349,900 Federal National Mortgage
Association $ 11,153,062
4,400 Sunamerica, Inc. 221,650
------------
11,374,712
------------
FOOD & BEVERAGES 0.1%
800 Dole Food Company 30,800
------------
HOUSEHOLD PRODUCTS 3.8%
91,600 Procter & Gamble Company 7,763,100
------------
INSURANCE 1.1%
45,400 Allstate Corp. 1,912,475
6,600 Travelers Group, Inc. 435,600
------------
2,348,075
------------
MACHINERY & ENGINEERING 1.5%
7,500 Cincinnati Milacron Inc. 196,875
1,700 Deere & Company 70,975
66,600 Ingersoll-Rand Company 2,713,950
------------
2,981,800
------------
METALS AND MINING 1.3%
24,800 Phelps Dodge Corp. 1,701,900
13,800 Potash Corp. of
Saskatchewan 862,500
------------
2,564,400
------------
OFFICE AND BUSINESS
EQUIPMENT 2.3%
8,100 International Business
Machines Corp. 900,113
30,900 Xerox Corp. 3,877,950
------------
4,778,063
------------
OTHER 3.5%
76,500 Allied Signal Inc. 4,523,063
29,700 Phillip Morris Companies
Inc. 2,606,175
------------
7,129,238
------------
SOFTWARE PRODUCTS 6.1%
2,800 3Com Corp. 111,300
4,200 General Motors Class E
shares 239,400
120,000 Informix Corp.* 3,165,000
22,300 Microsoft Corp.* 2,299,688
142,800 Oracle Systems Corp.* 6,729,450
800 Parametric Technology
Corp. 31,200
------------
12,576,038
------------
</TABLE>
See Notes to Financial Statements 10
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ----------- ------------
TELECOMMUNICATIONS 11.3%
<C> <S> <C> <C>
170,400 American Telephone &
Telegraph Corp. $ 10,436,999
116,300 DSC Communications Corp.* 3,140,100
197,700 GTE Corp. 8,674,089
21,000 Tellabs Inc.* 1,015,875
------------
23,267,063
------------
Total Common Stocks (Cost $86,933,785) $188,895,780
------------
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
SHORT-TERM INVESTMENTS
REPURCHASE AGREEMENTS 8.0%
$16,504,636 Bear Stearns & Co. Inc.
Dated 3/29/1996 5.25%
Due 4/1/1996
Collateralized by
40,580,000 United
States Treasury Strips
Due 8/15/2019 (Value
$7,925,680), 12,500,000
United States Treasury
Strips Due 11/15/2017
(Value $2,738,250),
17,385,00 United States
Treasury Strips Due
5/15/2011 (Value
$6,171,675) $ 16,504,636
------------
Total Investments (Cost
$103,438,420) 99.9% $205,400,416
Other Assets, Less Liabilities 0.1% 229,586
------ ------------
Net Assets 100.0% $205,630,002
------ ------------
------ ------------
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 11
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$103,438,420)--Note 2(A) $205,400,416
Receivable for units sold 236,313
Dividends and interest receivable 484,171
Other assets 9,250
------------
206,130,150
LIABILITIES:
Payable for investments purchased $319,644
Payable to investment managers 91,280
Accrued expenses 89,224 500,148
-------- ------------
NET ASSETS at value, applicable to 4,017,810
outstanding units of
beneficial interest--Note 5 $205,630,002
------------
------------
NET ASSET VALUE offering and redemption price
per unit
($205,630,002 divided by 4,017,810 units) $ 51.18
------------
------------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 1,796,654
Interest 523,329
-----------
Total Income $ 2,319,983
Expenses:
Investment manager's fees--Note 3(A) 525,654
Shareholder servicing fees and
expenses--Note 3(B) 326,017
Custodian fees and expenses 19,546
Legal and auditing fees 10,163
Consultant fees 5,538
Trustees' fees and expenses--Note 3(C) 10,144
Other 30,862
-----------
Total Expenses 927,924
-----------
INVESTMENT INCOME--NET 1,392,059
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4:
Net realized gain on investments 4,835,016
Unrealized appreciation on investments 12,004,802
-----------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 16,839,818
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $18,231,877
-----------
-----------
</TABLE>
See Notes to Financial Statements
12
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 1,392,059 $ 2,964,601
Net realized gain on investments 4,835,016 2,812,350
Unrealized appreciation on investments 12,004,802 39,148,975
------------ ------------
Net increase in net assets resulting from operations 18,231,877 44,925,926
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 10,970,267 28,004,631
Value of units redeemed (13,513,741) (24,532,607)
------------ ------------
Net increase (decrease) in net assets resulting from capital
transactions (2,543,474) 3,472,024
------------ ------------
Net increase 15,688,403 48,397,950
NET ASSETS at beginning of period 189,941,599 141,543,649
------------ ------------
NET ASSETS at end of period $205,630,002 $189,941,599
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements
13
<PAGE>
VALUE EQUITY FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ----------- ------------
<C> <S> <C> <C>
COMMON STOCKS 90.9%
AEROSPACE 2.3%
15,100 Lockheed Martin Corp. $ 1,145,713
------------
AUTOMOTIVE & PARTS 2.7%
17,831 Chrysler Corp. 1,109,980
4,000 Ford Motor Company 137,500
2,000 General Motors Corp. 106,500
------------
1,353,980
------------
BANKING 8.3%
18,000 Banc One Corp. 641,250
20,600 Chase Manhattan Bank 1,514,100
20,300 Citicorp 1,624,000
7,100 Mellon Bank Corp. 391,388
------------
4,170,738
------------
BUILDING PRODUCTS 1.9%
15,700 Armstrong World
Industries Inc 975,362
------------
CHEMICALS 1.8%
11,200 E.I. Du Pont De Nemours &
Company 929,600
------------
DRUG AND HEALTH CARE 7.0%
9,000 American Home Products
Corp. 975,375
19,000 Bristol-Myers Squibb
Company 1,626,875
10,500 Merck & Company Inc. 653,625
11,700 Mylan Laboratories 245,700
------------
3,501,575
------------
ELECTRONICS & ELECTRICAL 5.5%
15,500 General Electric Corp. 1,207,062
4,500 Hewlett Packard Corp. 423,000
7,000 Intel Corp. 398,124
18,600 Kemet Corp. 418,500
6,000 Texas Instruments Inc. 305,250
------------
2,751,936
------------
ENERGY 4.6%
17,200 Exxon Corp. 1,403,950
10,900 Texaco Inc. 937,400
------------
2,341,350
------------
FINANCIAL SERVICES 3.6%
16,949 Bear Stearns Companies 419,487
44,000 Federal National Mortgage
Association 1,402,500
------------
1,821,987
------------
FOOD & BEVERAGES 2.1%
<CAPTION>
Shares Value
- ----------- ------------
<C> <S> <C> <C>
27,400 Dole Food Company 1,054,900
------------
FOREST PRODUCTS 1.4%
13,800 Mead Corp. $ 745,200
------------
INSURANCE 4.0%
28,800 Allstate Corp. 1,213,200
11,800 Travelers Group Inc. 778,800
------------
1,992,000
------------
MACHINERY & ENGINEERING 4.4%
28,700 Deere & Company 1,198,225
21,700 GATX Corp. 998,200
------------
2,196,425
------------
MEDICAL EQUIPMENT 0.9%
9,700 Baxter International Inc. 438,925
------------
MERCHANDISING 5.1%
22,600 Melville Corp. 810,775
21,900 Sears Roebuck & Company 1,067,625
29,500 Wal-Mart Stores,Inc. 682,188
------------
2,560,588
------------
METALS AND MINING 2.6%
12,000 Phelps Dodge Corp. 823,500
8,000 Potash Corp. of
Saskatchewan 500,000
------------
1,323,500
------------
OFFICE AND BUSINESS
EQUIPMENT 3.1%
4,800 International Business
Machines Corp. 533,400
8,000 Xerox Corp. 1,004,000
------------
1,537,400
------------
OTHER 9.9%
26,400 Allied Signal Inc. 1,560,900
5,000 American Brands Inc. 211,875
15,700 Philip Morris Companies
Inc. 1,377,675
16,300 United Technologies Corp. 1,829,675
------------
4,980,125
------------
TELECOMMUNICATIONS 6.8%
10,900 American Telephone &
Telegraph Corp. 667,625
10,400 DSC Communications Corp.* 280,800
18,200 GTE Corp. 798,525
19,000 Nynex Corp. 947,625
22,300 U S West Inc. 721,963
------------
3,416,538
------------
</TABLE>
See Notes to Financial Statements 14
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ----------- ------------
SERVICES & MATERIALS 2.0%
<C> <S> <C> <C>
18,500 PHH Corp. 1,029,062
------------
TRANSPORTATION 1.2%
22,900 Ryder System Inc. $ 624,025
------------
UTILITIES 9.7%
26,300 Cinergy Corp. 789,000
15,700 DTE Energy Company 527,913
23,800 Nicor Inc. 636,650
19,500 Peoples Energy Corp. 631,313
36,300 Texas Utilities Company 1,501,912
41,300 Washington Water Power
Company 789,863
------------
4,876,651
------------
Total Common Stocks (Cost
$37,999,606) $ 45,767,580
------------
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
SHORT TERM INVESTMENTS
REPURCHASE AGREEMENTS 8.7%
$ 4,403,349 Bear Stearns & Co. Inc.
Dated 3/29/1996 5.25%
Due 4/1/1996
Collateralized by
10,520,000 United
States Treasury Strips
Due 5/15/2010 (Value
$4,037,050) and
1,410,000 United States
Treasury Strips Due
8/15/2012 (Value
$454,725) $ 4,403,349
------------
Total Investments (Cost $42,402,955) 99.6% $ 50,170,929
Other Assets, Less Liabilities 0.4% 184,193
------ ------------
Net Assets 100.0% $ 50,355,122
------ ------------
------ ------------
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 15
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$42,402,955)--Note 2(A) $50,170,929
Receivable for investments sold 208,300
Receivable for units sold 50,625
Dividends and interest receivable 142,134
Other assets 5,665
-----------
50,577,653
LIABILITIES:
Payable for investments purchased $152,196
Payable for units redeemed 8,105
Payable to investment managers 18,646
Accrued expenses 43,584 222,531
-------- -----------
NET ASSETS at value, applicable to 1,367,028 outstanding
units of
beneficial interest--Note 5 $50,355,122
-----------
-----------
NET ASSET VALUE offering and redemption price per unit
($50,355,122 divided by 1,367,028 units) $ 36.84
-----------
-----------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 663,205
Interest 123,001
----------
Total Income $ 786,206
Expenses:
Investment manager's fees--Note 3(A) 105,809
Shareholder servicing fees and expenses--Note 3(B) 130,292
Custodian fees and expenses 13,437
Legal and auditing fees 9,038
Consultant fees 5,536
Trustees' fees and expenses--Note 3(C) 10,139
Other 17,005
----------
Total Expenses 291,256
----------
Less fees paid indirectly--Note 4 (11,874)
----------
Net Expenses 279,382
----------
INVESTMENT INCOME--NET 506,824
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized gain on investments 2,909,991
Unrealized appreciation on investments 2,309,017
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 5,219,008
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $5,725,832
----------
----------
</TABLE>
See Notes to Financial Statements
16
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period
Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 506,824 $ 1,235,982
Net realized gain on investments 2,909,991 1,438,305
Unrealized appreciation on investments 2,309,017 4,775,796
----------- -----------
Net increase in net assets resulting from
operations 5,725,832 7,450,083
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 3,998,437 7,261,555
Value of units redeemed (3,192,976) (6,491,239)
----------- -----------
Net increase in net assets resulting from
capital transactions 805,461 770,316
----------- -----------
Net increase 6,531,293 8,220,399
NET ASSETS at beginning of period 43,823,829 35,603,430
----------- -----------
NET ASSETS at end of period $50,355,122 $43,823,829
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements
17
<PAGE>
EMERGING GROWTH EQUITY FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ---------- -----------
<C> <S> <C> <C>
COMMON STOCKS 98.1%
APPAREL AND TEXTILE 1.6%
6,335 Nautica Enterprises Inc.* $ 300,913
10,230 St. John Knits Inc. 689,246
6,460 Tommy Hilfiger* 296,352
-----------
1,286,511
-----------
AUTOMOTIVE PRODUCTS 0.2%
6,425 Custom Chrome* 154,200
-----------
BROADCASTING & PUBLISHING 1.3%
5,100 American Radio Systems
Corp.* 169,575
1,900 Chancellor Corp Cl A* 41,800
4,650 LIN Television Corp.* 163,913
3,510 Renaissance
Communications Corp.* 87,310
7,310 SFX Broadcasting Inc* 246,712
3,700 Sinclair Broadcast Group
Inc.* 94,350
8,425 Young Broadcasting Corp.
Cl. A* 248,538
-----------
1,052,198
-----------
BUILDING & CONSTRUCTION 0.3%
6,445 Fastenal Company 248,132
-----------
BUSINESS AND PUBLIC
SERVICES 2.1%
21,850 Accustaff Inc.* 551,712
3,660 Cambridge Technology
Partners Inc.* 208,620
12,809 Concord EFS, Inc.* 333,034
7,427 Keane Inc.* 221,882
8,775 Robert Half International
Inc.* 426,684
-----------
1,741,932
-----------
COMMERICAL SERVICES 5.1%
39,500 Career Horizons Inc.* 1,170,187
26,000 CDI Corp* 695,500
42,600 Corestaff Inc.* 1,278,000
5,800 F.Y.I., Inc.* 92,800
2,500 Mecon Inc.* 48,750
5,500 Physician Support
Systems* 92,812
9,800 PMT Services Inc.* 235,200
12,900 Wackenhut Corrections
Corp.* 501,487
-----------
4,114,736
-----------
CONSUMER GOODS AND
SERVICES 5.2%
10,000 American Homestar Corp.* 198,750
11,550 Blyth Industries Inc.* 384,038
1,945 Department 56* 42,547
18,700 Hollywood Entertainment
Corp.* 247,775
12,500 Nellcor Inc.* 803,125
20,000 Norrell Corp. 662,500
7,900 Pete's Brewing Company* 148,125
<CAPTION>
Shares Value
- ---------- -----------
<C> <S> <C> <C>
18,700 Rexall Sundown Inc.* $ 563,338
12,400 Speedway Motorsports
Inc.* 350,300
10,160 Stewart Enterprises Inc. 434,340
15,298 Wolverine World Wide 428,330
-----------
4,263,168
-----------
DATA PROCESSING 2.4%
1,200 Affiliated Computer
Svcs--A* 49,800
3,500 Alphanet Solutions Inc* 35,000
6,900 Alternative Resources
Corp.* 224,250
3,700 Business Objects SA ADR* 314,500
400 Clarify Inc.* 15,400
6,600 Comshare Inc* 148,500
6,300 Data Processing
Resources, Corp.* 173,250
2,800 HPR Inc.* 107,800
5,400 In Focus Systems, Inc.* 189,000
7,350 Mercury Interactive
Corp.* 112,088
3,750 Security Dynamics Tech
Inc.* 196,875
4,900 Vantive Corp.* 100,450
11,608 Zebra Technologies Corp.* 307,612
-----------
1,974,525
-----------
ELECTRONICS & ELECTRICAL 11.7%
17,000 Actel Corp.* 261,375
7,500 Advanced Lighting Techs* 104,063
10,453 Baldor Electric Company 210,367
30,000 Bel Fuse, Inc.* 540,000
10,350 C.P. Clare Corp.* 196,650
20,000 Data Processing
Resources, Corp.* 550,000
18,000 DII Group Inc.* 544,500
5,300 Eltron International
Inc.* 174,900
40,000 ESS Technology* 750,000
5,700 Flextronics International
Ltd.* 172,425
42,900 Gandalf Technologies* 627,413
40,000 Genrad Inc.* 510,000
19,000 Hadco Corp.* 579,500
5,255 Harman International
Industries Inc. 197,063
26,000 Kent Electronics* 919,750
900 Merix Corp.* 33,075
36,000 S3 Inc.* 427,500
10,750 Sanmina Corp.* 314,438
5,800 Sierra Semiconductor
Corp.* 109,475
5,700 Smart Flex Systems* 82,650
37,000 Smart Modular
Technologies* 578,125
12,900 Stormedia Inc.* 299,925
42,900 Tech Data Corp.* 713,213
3,800 Telecom Semiconductor
Inc.* 18,525
17,500 Zilog, Inc.* 590,625
-----------
9,505,557
-----------
</TABLE>
See Notes to Financial Statements 18
<PAGE>
EMERGING GROWTH EQUITY FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ---------- -----------
EMPLOYMENT AGENCY 0.4%
<C> <S> <C> <C>
6,775 On Assignment Inc.* $ 249,828
8,200 SOS Staffing Services* 89,175
-----------
339,003
-----------
ENTERTAINMENT 1.6%
20,000 Action Performance Cos,
Inc.* 440,000
9,300 Family Golf Centers,
Inc.* 246,450
7,000 Moovies, Inc.* 97,125
1,500 Penske Motorsports Inc.* 55,875
5,600 Regal Cinemas Inc.* 205,800
12,400 Sodak Gaming Inc.* 294,500
-----------
1,339,750
-----------
FOOD AND SERVICES 1.1%
8,600 Apple South Inc. 208,550
30,000 Hometown Buffet, Inc* 363,750
10,500 Landry Seafood
Restaurants* 191,625
7,300 Quantum Restaurant Group
Inc.* 120,450
-----------
884,375
-----------
FURNITURE/HOME APPLIANCES 2.2%
29,000 Bush Industries Cl A 732,250
17,800 Cort Business Services
Corp.* 320,400
25,000 U S Office Products
Company* 768,750
-----------
1,821,400
-----------
INSURANCE 4.7%
12,500 CMAC Investments Corp. 706,250
6,600 Compdent Corp.* 232,650
5,600 CRA Managed Care Inc.* 200,200
4,500 First Commonwealth Inc.* 112,500
11,810 HCC Insurance Holdings
Inc.* 648,074
4,625 Healthwise Of America
Inc.* 183,844
63,000 Prepaid Legal Services,
Inc.* 937,125
8,355 Reinsurance Group Of
America Inc.* 306,002
4,925 Sierra Health Services* 160,678
5,235 Trenwick Group Inc. 266,985
6,075 Wellcare Management Group
Inc.* 100,238
-----------
3,854,546
-----------
LODGING/MOTELS 1.6%
70,600 Prime Hospitality Corp.* 961,925
11,150 Studio Plus Hotels, Inc.* 301,050
-----------
1,262,975
-----------
MACHINERY & ENGINEERING 4.9%
3,200 Computational System
Inc.* 56,000
7,232 Credence Systems Corp.* 121,128
<CAPTION>
Shares Value
- ---------- -----------
<C> <S> <C> <C>
17,000 Greenfield Industries $ 582,250
70,600 JLG Industries, Inc. 3,194,650
1,700 Thermo Sentron, Inc.* 27,200
-----------
3,981,228
-----------
MEDICAL SERVICES AND
DRUGS 16.8%
1,350 ABR Information Services
Inc.* 62,100
4,350 Access Health Inc.* 168,562
21,000 Advanced Technology Labs,
Inc.* 556,500
11,800 American Homepatient
Inc.* 460,200
4,100 Arthrocare Corp.* 90,200
10,500 ARV Assisted Living Inc.* 173,250
12,315 Authentic Fitness Corp. 318,651
11,850 Avecor Cardiovascular
Inc.* 155,531
6,800 Bio-Vascular Inc.* 72,250
6,400 Community Health Systems* 262,400
14,630 Dura Pharmaceuticals
Inc.* 724,185
5,600 Emeritus Corp.* 114,100
2,400 Endosonics Corp.* 42,600
4,800 Gelman Sciences, Inc.* 124,800
8,075 Genesis Health Ventures
Inc.* 326,028
9,977 Health Management
Associates* 349,195
18,025 Healthcare Services Group
Inc.* 204,676
34,000 Healthplan Services
Corp.* 777,750
2,600 Hologic Inc.* 58,500
5,700 I Stat Corp.* 143,925
5,750 ICU Medical Inc.* 83,375
8,400 Idexx Laboratories Inc.* 350,700
9,600 IGEN Inc.* 48,000
10,600 Immulogic Pharmacetical
Corp.* 137,800
7,500 Impath, Inc.* 105,000
6,325 Instent Inc.* 140,730
11,000 Iridex Corp.* 112,750
54,500 Kinetic Concepts 728,937
6,790 Lincare Holdings Inc.* 220,675
7,625 Living Centers Of
America* 284,031
5,300 Lunar Corp.* 226,575
30,500 Maxxim Medical, Inc.* 575,687
10,700 Meridian Diagnostics Inc. 109,675
5,700 National Surgery Centers
Inc.* 179,550
8,900 NCS Healthcare Inc Cl A* 218,050
1,700 Occusystems, Inc.* 37,825
3,100 Oncormed, Inc.* 19,762
8,900 Owen Healthcare Inc.* 202,475
25,900 Pediatix Medical Group
Inc.* 919,450
3,600 Renal Care Group Inc.* 99,900
4,300 Research Medical Inc.* 98,900
9,700 Respironics, Inc.* 203,700
</TABLE>
See Notes to Financial Statements 19
<PAGE>
EMERGING GROWTH EQUITY FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ---------- -----------
20,000 Rotech Medical Corp.* $ 740,000
<C> <S> <C> <C>
11,675 Sola International Inc.* 363,384
9,800 Sterling House Corp.* 175,175
3,200 Target Therapeutics Inc.* 194,000
32,000 Tenet Healthcare Corp.* 672,000
3,900 United Dental Care Inc.* 151,125
11,900 Universal Health
Services--B* 632,188
29,000 Utah Medical Products,
Inc.* 485,750
-----------
13,702,572
-----------
OIL & GAS 6.4%
35,300 Benton Oil & Gas Company* 551,562
20,000 BJ Services Company* 670,000
40,000 Digicon, Inc.* 430,000
25,500 Energy Ventures Inc.* 678,937
50,000 Lomak Petroleum, Inc* 587,500
40,000 Marine Drilling
Companies* 315,000
50,000 Noble Drilling Corp.* 612,500
23,500 Petroleum Geo-Svcs Spon
Adr* 590,437
54,500 Pride Petroleum Svcs
Inc.* 756,188
-----------
5,192,124
-----------
PHARMACEUTICALS 0.6%
2,100 Alpha Beta Technology,
Inc.* 25,988
1,700 Gilead Sciences Inc.* 48,025
11,300 La Jolla Pharmaceutical
Company* 90,400
7,400 Parexel International
Corp.* 314,500
-----------
478,913
-----------
POLLUTION CONTROL 0.4%
40,000 Allied Waste Industries
Inc.* 360,000
-----------
PRINTING 0.1%
3,000 Mecklermedia Corp.* 33,750
-----------
RETAIL TRADE 3.4%
30,000 Baker (J.), Inc. 225,000
45,000 Claires Stores Inc. 815,625
22,300 Gadzooks, Inc.* 774,925
5,700 Globe Business Resources,
Inc.* 62,700
3,700 Party City Corp.* 53,650
50,000 Pier 1 Imports Inc. 631,250
4,500 West Marine Inc.* 209,250
-----------
2,772,400
-----------
SOFTWARE PRODUCTS 10.3%
4,000 Analysts International
Corp. 134,000
5,900 Bisys Group Inc.* 192,488
20,000 Cognos Inc.* 1,125,000
19,556 Computer Horizons Corp.* 738,220
1,500 Enterprise Systems* 41,250
5,400 Health Systems Design
Corp.* 74,250
<CAPTION>
Shares Value
- ---------- -----------
<C> <S> <C> <C>
20,800 Imnet Systems, Inc.* $ 618,800
3,930 Inso Corp.* 179,798
4,600 Logic Works, Inc.* 74,750
37,862 McAfee Associates Inc.* 2,072,945
40,000 Meridian Data Inc.* 405,000
7,100 Microcom Inc.* 212,113
46,900 Micrografx, Inc.* 603,838
1,700 Netcom On-Line
Communication* 40,800
8,100 Pairgain Technologies
Inc.* 521,438
9,650 Peak Technologies Group
Inc.* 171,288
7,300 PRI Automation, Inc.* 177,025
3,423 Project Software &
Development, Inc.* 130,930
5,600 Renaissance Solutions
Inc.* 162,400
1,700 Shiva Corp.* 154,275
4,418 Softkey International
Inc.* 88,360
12,800 Technology Solutions
Company* 347,200
2,600 Unison Software Inc.* 57,200
4,500 Workgroup Technology
Corp.* 96,750
-----------
8,420,118
-----------
TECHNOLOGY 1.4%
40,000 General Scanning Inc.* 510,000
16,700 Uniphase Corp.* 626,250
-----------
1,136,250
-----------
TELECOMMUNICATIONS 7.6%
5,800 BET Holdings* 161,675
18,700 CAI Wireless Systems
Inc.* 137,913
7,803 Centennial Cellular
Corp.* 118,020
11,622 Century Communications
Corp.* 112,587
8,340 Clear Channel
Communications Inc.* 471,210
3,600 CMG Information Services
Inc. 139,500
11,500 Coherent Communication
Systems Corp.* 238,625
39,650 Colonial Data
Technologies Corp.* 877,256
5,075 Commnet Cellular Inc.* 140,196
25,000 Comverse Technology Inc.* 603,125
9,500 Evergreen Media Corp* 339,625
14,620 EZ Communications Inc. Cl
A* 314,330
7,550 Heartland Wireless
Communications Inc.* 190,638
30,000 Intervoice Inc.* 858,750
8,000 P-Com Inc.* 156,000
11,275 Saga Communications Inc.
Cl A* 239,594
23,000 TCSI Corp.* 695,750
10,010 Transaction Network
Services* 345,345
2,300 Wireless One Inc.* 36,800
-----------
6,176,939
-----------
</TABLE>
See Notes to Financial Statements 20
<PAGE>
EMERGING GROWTH EQUITY FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ---------- -----------
TEXTILES AND APPAREL 1.7%
<C> <S> <C> <C>
22,000 Quicksilver, Inc.* $ 695,750
50,000 Vans, Inc.* 693,750
-----------
1,389,500
-----------
TOYS 0.3%
11,700 Galoob (Lewis) Toys Inc.* 236,925
-----------
TRANSPORTATION 2.7%
9,755 Expeditors International
Wash Inc. 256,068
6,150 Fritz Companies, Inc.* 235,237
40,000 Trans World Airlines* 800,000
37,000 United Transet, Inc. 874,125
-----------
2,165,430
-----------
Total Common Stocks (Cost
$57,733,941) $79,889,157
-----------
<CAPTION>
Principal
Amount Value
- ---------- -----------
<C> <S> <C> <C>
SHORT TERM INVESTMENTS
REPURCHASE AGREEMENTS 2.7%
$2,221,334 Bear, Stearns & Co. Dated
3/29/1996 5.25% Due
4/1/1996 Collateralized
by 4,435,000 United
States Treasury Strips
Due 5/1/2010 (Value
$1,701,931) and
1,595,000 United States
Treasury Strips Due
5/15/2011 (Value
$566,225) $ 2,221,334
-----------
Total Investments (Cost
$59,955,275) 100.8% $82,110,491
Liabilities, net of assets -0.8% (679,578)
----- -----------
Net Assets 100.0% $81,430,913
----- -----------
----- -----------
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 21
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$59,955,275)--Note 2(A) $82,110,491
Receivable for investments sold 535,344
Receivable for units sold 81,180
Dividends and interest receivable 17,427
Other assets 4,088
-----------
82,748,530
LIABILITIES:
Payable for investments purchased $1,154,740
Payable to investment managers 67,462
Accrued expenses 95,217
Other liabilities 198 1,317,617
---------- -----------
NET ASSETS at value, applicable to 1,397,085 outstanding
units of beneficial interest--Note 5 $81,430,913
-----------
-----------
NET ASSET VALUE offering and redemption price per unit
($81,430,913 divided by 1,397,085 units) $ 58.29
-----------
-----------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 40,093
Interest 119,399
----------
Total Income $ 159,492
Expenses:
Investment manager's fees--Note 3(A) 438,220
Shareholder servicing fees and expenses--Note 3(B) 211,972
Custodian fees and expenses 38,424
Legal and auditing fees 10,446
Consultant fees 5,536
Trustees' fees and expenses--Note 3(D) 20,278
Other 19,134
----------
Total Expenses 744,010
----------
Less fees paid indirectly--Note 4 (11,373)
----------
Net Expenses 732,637
----------
INVESTMENT (LOSS)--NET (573,145)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized gain on investments 4,188,908
Unrealized appreciation on investments 4,282,258
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 8,471,166
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $7,898,021
----------
----------
</TABLE>
See Notes to Financial Statements
22
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period Year
Ended Ended
3/31/96 9/30/95
(Unaudited) (Audited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Investment (loss)--net $ (573,145) $ (925,073)
Net realized gain on investments 4,188,908 15,078,221
Unrealized appreciation on investments 4,282,258 9,142,586
----------- -----------
Net increase in net assets resulting from operations 7,898,021 23,295,734
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 5,149,985 11,643,470
Value of units redeemed (6,242,421) (8,606,464)
----------- -----------
Net increase (decrease) in net assets resulting from capital
transactions (1,092,436) 3,037,006
----------- -----------
Net increase 6,805,585 26,332,740
NET ASSETS at beginning of period 74,625,328 48,292,588
----------- -----------
NET ASSETS at end of period $81,430,913 $74,625,328
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements
23
<PAGE>
INTERNATIONAL EQUITY FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------- -----------
<C> <S> <C> <C>
COMMON STOCKS 93.7%
AEROSPACE 0.6%
11,000 British Aerospace $ 144,239
33,500 Rolls Royce 110,458
-----------
254,697
-----------
AIRLINES 0.5%
21,900 British Airways 179,187
-----------
AUTOMOTIVE & PARTS 1.6%
50,000 Suzuki Motor Corp. 617,958
-----------
BANKING 8.2%
17,000 Asahi Bank 203,739
1,200 Banco Popular 207,290
19,000 Hang Seng Bank 194,102
15,000 HSBC Holdings 229,891
25,000 Kiyo Bank 128,741
30,500 Malayan Banking 284,672
13,650 Mitsubishi Bank 288,839
23,000 Mitsubishi Trust & Bank 366,093
20,000 National Westminster 194,171
10,960 Nordbanken Ab 181,198
25,666 Overseas Chinese Bank 344,637
918 Shinhan Bank Corp. 20,296
9,000 Siam Commerical Bank 138,405
15,000 Sumitomo Bank 303,361
12,000 Sumitomo Trust & Bank 165,163
-----------
3,250,598
-----------
BROADCASTING & PUBLISHING 2.2%
34,600 Elsevier NV 529,719
24,000 Ver Ned Uitgevers 357,269
-----------
886,988
-----------
BUILDING MATERIALS 0.5%
38,000 Blue Circle Industries 197,224
35,000 Indocement Tunggal 134,820
-----------
332,044
-----------
BUSINESS AND PUBLIC SERVICES 5.0%
8,000 Asatsu Inc. 314,597
23,000 Brambles Industries Ltd. 303,689
20,800 Reuters Holdings 225,751
2,450 SAP Ag Non Voting Pref. 350,810
5,000 Secom Company 327,237
6,085 Securitas Ab 362,346
8,000 Toppan Printing Company 104,117
-----------
1,988,547
-----------
<CAPTION>
Shares Value
- --------- -----------
<C> <S> <C> <C>
CHEMICALS 3.0%
15,500 Aga Ab Ser B $ 229,586
40,000 Asahi Chemical Industries 296,620
1,030 Bayer Ag 349,174
15,000 Nippon Shokubai Company 153,085
28,000 Teisan KK 163,066
-----------
1,191,531
-----------
CONSTRUCTION & HOUSING 2.8%
175,000 DMCI Holdings Inc. 113,636
8,000 Empresa Ica Soc ADR CV 104,000
6,500 IHC Caland Nv 265,107
16,000 Kajima Corp. 172,279
24,000 Nishimatsu Construction 274,149
16,000 Sekisui House 200,743
-----------
1,129,914
-----------
DATA PROCESSING & REPRODUCTION 1.3%
26,000 Canon Inc. 496,614
-----------
CONSUMER GOODS AND SERVICES 0.4%
15,500 Great Univ Stores 159,237
-----------
ELECTRICAL & ELECTRONICS 8.0%
2,200 Advantest 99,285
20,636 Ericsson (Lm) Tel Ser B 453,862
46,300 General Electric Ord 259,031
45,000 Hitachi Ltd 438,188
20,000 Matsushita Electric Industrial Corp. 325,832
6,380 Nokia Ab-A Shs 220,288
1,120 Rexel 246,909
1,700 Samsung Electronic 19,988
13,300 Securicor Group A Non Voting 243,223
6,200 SGS-Thomson Micro 219,184
3,600 Sony Corp. 215,386
2,300 Telebras Telec Bra Spon ADR 114,425
40,000 Toshiba Corp. 304,110
-----------
3,159,711
-----------
ENERGY 2.0%
6,000 Banpu Company 149,345
10,000 Ptt Exploration and Prd 126,832
17,000 Shell Transport & Trdg 224,991
29,000 Showa Shell Sekiyu 282,388
-----------
783,556
-----------
</TABLE>
See Notes to Financial Statements 24
<PAGE>
INTERNATIONAL EQUITY FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------- -----------
FINANCE 1.7%
<C> <S> <C> <C>
1,530 Cetelem $ 298,401
7,500 Grupo Fin Bancomer 60,488
5,555 Grupo Fin Bancomer Ser. L 1,827
14,000 Nomura Securities Company Ltd. 308,043
-----------
668,759
-----------
FOOD AND SERVICES 0.9%
11,000 Ceval Alimentos Sa Spon ADR 139,213
9,000 Ezaki Glico Co. 81,739
53,000 Morrison Supermarkets 126,616
-----------
347,568
-----------
FOREST PRODUCTS 0.1%
14,000 Settsu Corp 48,107
-----------
HEALTH 10.0%
365 Altana Ag 224,234
11,650 Astra Ab Ser B 535,984
3,225 British Biotech Ord 123,566
150,000 Cifra Sa De Cv Adr
(Cnv Into 1 Ord B) 199,695
18,000 Glaxo Plc 225,586
7,400 Hafslund Nycomed Ser "A" 207,701
3,000 Luxoitica Group Adr (Cnv 1 Ord) 234,375
22,000 Medeva 82,110
68 Roche Holding Ag 564,365
615 Sandoz Ag 720,682
18,000 Sankyo Company 412,908
4,360 Sanofi 316,931
5,000 Yamanouchi Pharm 111,420
-----------
3,959,557
-----------
INDUSTRIAL COMPONENTS 0.4%
3,050 BICC 15,504
20,000 NSK 152,430
-----------
167,934
-----------
INSURANCE 2.3%
8,286 Aegon 391,105
39,500 Royal Insurance 213,450
24,000 Tokio Marine & Fire 312,350
-----------
916,905
-----------
<CAPTION>
Shares Value
- --------- -----------
<C> <S> <C> <C>
LEISURE 2.1%
31,500 Genting Berhad $ 285,285
20,500 Granada Group Ord 234,699
763,000 Regal Hotels Intl. 188,455
2,400 Sony Music Entertainment 123,592
-----------
832,031
-----------
MACHINERY & ENGINEERING 6.0%
51,000 Hitachi Zosen Corp 275,047
2,000 Hyundai Eng And Con 95,339
38,000 Iochpe-Maxion Sa Adr Pref Shs 105,796
6,600 Kandenko Company 84,042
20,000 Keppel Corp. 181,879
11,000 Kurita Water Industries 255,423
8,000 Matsushita Electric Wks 86,140
12,000 Max Company 235,948
46,000 Mitsubishi Heavy Industries 397,965
24,000 Shinmaywa Industries 213,476
40,000 United Engineers Bhd 276,841
42,000 Vickers Plc Ord 167,976
-----------
2,375,872
-----------
MERCHANDISING 6.4%
7,267 Ahold 350,479
1,800 Autobacs Seven Co. 156,737
2,800 BIC 308,637
1,556 Castorama Dubois 284,311
12,000 Centros Com 272,649
3,040 Christian Dior 405,129
4,200 Fielmann Ag 199,135
7,000 Ito-Yokado Company 416,185
22,500 Makro Atacadista Gds Repr Com Npv 143,514
-----------
2,536,776
-----------
METALS AND MINING 3.7%
13,000 Acos Espec Itabira Adr Repr Npv 146,887
69,000 Kawasaki Steel Corp.* 247,436
270,000 Mim Holdings Ltd 390,718
30,000 Mitsubishi Materials 161,512
160,000 NKK Corp 462,907
3,000 Pohang Iron & Steel-Rep 1/4 Ord 72,750
-----------
1,482,210
-----------
</TABLE>
See Notes to Financial Statements 25
<PAGE>
INTERNATIONAL EQUITY FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------- -----------
MULTI INDUSTRY 5.1%
<C> <S> <C> <C>
21,220 B.A.T. Industries Ord. $ 156,617
195,000 First Pacific Co. 277,381
5,500 Getinge Industrier "B" 281,430
10,000 Grupo Carso Sa De Adr(Cv 2 Ord) 134,950
5,900 Hunter Douglas Nv 399,870
38,000 Hutchison Whampoa 239,802
30,200 Jardine Matheson 235,560
33,000 Swire Pacific "A" 290,183
-----------
2,015,793
-----------
REAL ESTATE 4.7%
23,000 British Land Co Ord 134,469
58,000 Cheung Kong Hldgs 408,765
17,872 City Developments Sing 158,717
117,000 Hong Kong Land Hld 280,800
21,000 Mitsubishi Estate 289,036
26,000 Mitsui Fudosan Co 338,379
27,300 Sun Hung Kai Props HK 244,473
-----------
1,854,639
-----------
TELECOMMUNICATIONS 5.1%
7,000 Advanced Info Serv 134,283
38,300 British Telecomm 216,028
530 DDI Corp. 404,435
165,600 Hong Kong Telecomm 330,855
41,000 Indosat 122,836
91,000 Technology Resource Inds* 327,503
167,000 Telecom Ital Mobile Spinoff* 303,180
12,000 Telefonica De Espana 190,467
-----------
2,029,587
-----------
TEXTILES & APPAREL 1.6%
1,500 Adidas Ag 110,744
6,500 Gucci Group Nv 314,668
35,000 Teijin 193,346
-----------
618,758
-----------
<CAPTION>
Shares Value
- --------- -----------
<C> <S> <C> <C>
TRANSPORTATION 2.7%
420 East Japan Railway $ 216,285
60,000 Mayne Nickless Ltd. 319,145
56,000 Nippon Yusen Kabush 319,316
33,000 Tobu Railways Company 214,740
-----------
1,069,486
-----------
UTILITIES 3.1%
53,000 British Gas 184,462
5,200 Cemig Cia Energ Mg Spon ADR 145,098
1,600 Gas Natural Sdg SA 276,645
10,000 Manila Electric Company 88,235
110,000 Monument Oil & Gas 109,145
53,000 Osaka Gas Company 192,044
16,000 Petronas Gas Berhad 72,137
48,000 Tokyo Gas Company 172,579
-----------
1,240,345
-----------
WHOLESALE INT'L TRADE 1.7%
431 Gehe Ag* 248,140
137 Gehe Rights Issue X6-6-95 4 For 1 77,205
25,000 Mitsubishi Corp. 327,705
-----------
653,050
-----------
Total Investments (Cost $31,544,992) 93.7% $37,247,959
Other Assets, less liabilities 6.3% 2,502,169
------ -----------
Net Assets 100.0% $39,750,128
------ -----------
------ -----------
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 26
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Geographical Diversification March 31, 1996
---------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of Net Assets
------------------------
Country Total
- ------------------------- ------------------------
<S> <C>
Japan 33.9%
United Kingdom 10.5
Hong Kong 6.8
Netherlands 6.6
France 5.2
Sweden 5.1
Germany 3.9
Switzerland 3.2
Malaysia 3.1
Australia 2.5
Spain 2.4
Brazil 2.0
Singapore 1.7
Thailand 1.4
Italy 1.4
Mexico 1.3
Indonesia 0.6
Finland 0.6
South Korea 0.5
Norway 0.5
Philippines 0.5
---
Total Investments 93.7%
Other Assets Less
Liabilities 6.3
---
Total 100.0%
---
---
</TABLE>
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$31,544,992)--Note 2(A) $37,247,959
Cash 2,145,017
Receivable for investments sold 294,100
Receivable for units sold 13,320
Dividends and interest receivable 133,099
Other assets 3,978
Net gain on forward foreign currency contracts 43,602
-----------
39,881,075
LIABILITIES:
Payable for investments purchased $34,513
Payable to investment managers 19,478
Accrued expenses 76,653
Other liabilities 303 130,947
------- -----------
NET ASSETS at value, applicable to 912,015
outstanding units of
beneficial interest--Note 5 $39,750,128
-----------
-----------
NET ASSET VALUE offering and redemption price per
unit
($39,750,128 divided by 912,015 units) $ 43.58
-----------
-----------
</TABLE>
See Notes to Financial Statements
27
<PAGE>
INTERNATIONAL EQUITY FUND
(CONTINUED)
Statement of Operations
Six Months Ended March 31, 1996 (Unaudited)
- ----------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 168,482
Interest 34,654
----------
Total Income $ 203,136
Expenses:
Investment managers's fees--Note 3(A) 136,109
Shareholder servicing fees and expenses--Note 3(B) 96,896
Custodian fees and expenses 44,732
Legal and auditing fees 12,988
Consultant fees 5,528
Trustees' fees and expenses--Note 3(C) 10,139
Other 30,671
----------
Total Expenses 337,063
----------
Less fees paid indirectly--Note 4 (10,000)
----------
Net Expenses 327,063
----------
INVESTMENT (LOSS)--NET (123,927)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized (loss) on:
Investments 1,847,694
Foreign currency transactions 485,758
----------
2,333,452
----------
Unrealized (depreciation) on investments
Investments 840,700
Foreign currency translations of other as (191,309)
----------
649,391
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND
FOREIGN CURRENCIES 2,982,843
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,858,916
----------
----------
</TABLE>
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period
Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Investment (loss)--net $ (123,927) $ (18,971)
Net realized gain on investments 2,333,452 417,722
Unrealized appreciation on investments 649,391 1,247,852
----------- -----------
Net increase in net assets resulting from operations 2,858,916 1,646,603
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 7,283,259 5,659,129
Value of units redeemed (1,535,628) (4,833,851)
----------- -----------
Net increase in net assets resulting from capital
transactions 5,747,631 825,278
----------- -----------
Net increase 8,606,547 2,471,881
NET ASSETS at beginning of period 31,143,581 28,671,700
----------- -----------
NET ASSETS at end of period $39,750,128 $31,143,581
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements
28
<PAGE>
ACTIVELY MANAGED BOND FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
CORPORATE BONDS 4.7%
FINANCIAL SERVICES
$ 500,000 Beneficial Corp.
9.32% Due 8/4/1997 $ 521,620
1,200,000 Ford Motor Co. CMO 1993-A
5.78% Due 1/1/1999 1,181,926
1,125,000 Ford Motor Credit Corp.
10.35% Due 10/1/1997 1,190,989
500,000 Ford Motor Credit Debenture
9.20% Due 5/07/1997 516,976
------------
3,411,511
------------
FOOD AND SERVICES
2,000,000 General Mills Inc.
8.95% Due 12/18/2000 2,192,358
------------
OIL
1,000,000 Consolidated Natural Gas Sf Db
8.625% Due 12/1/2011 1,048,417
------------
Total Corporate Bonds (Cost $6,325,943) $ 6,652,286
------------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 92.9%
$ 45,292 Collateralized Mortgage Obligation Tr 1
0.00% Due 5/20/2017 $ 34,174
259,786 Collateralized Mortgage ObligationTr 29
0.00% Due 5/01/2013 196,995
164,055 Collateralized Mortgage Sec. Corp.
7.00% Due 6/1/2006 163,209
1,000,000 Federal Farm Credit
7.03% Due 2/19/2008 962,583
2,000,000 Federal Home Loan Bank Note
7.70% Due 7/12/2010 1,953,734
2,000,000 Federal Home Loan Mortgage Corp.
7.29% Due 4/7/2004 1,991,232
1,445,000 Federal Home Loan Mortgage Corp.
6.08% Due 10/29/08 1,349,819
1,000,000 Federal Home Loan Mortgage Corp.
CMO 1534G
6.00% Due 5/15/2022 937,959
1,000,000 Federal Home Loan Mortgage Corp.
CMO 1617 H
6.50% Due 10/15/2023 910,369
1,000,000 Federal Home Loan Mortgage Corp. Note
6.375% Due 3/11/2003 966,115
1,042,191 Federal Home Loan Mortgage Corp.
Pool #141001
7.75% Due 9/1/2016 1,043,159
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 404,593 Federal Home Loan Mortgage Corp.
Pool #297625
8.50% Due 6/1/2017 $ 423,240
663,375 Federal Home Loan Mortgage Corp.
Pool #533624
8.50% Due 12/01/2007 693,112
540,806 Federal Home Loan Mortgage Corp.
Pool #533625
8.50% Due 12/1/2007 564,174
2,000,000 Federal Home Loan Mortgage Corp.
Remic 1206-GC
7.00% Due 2/15/2020 1,958,798
1,000,000 Federal Home Loan Mortgage Corp.
Remic 1601PJ
6.00% Due 10/15/2008 903,619
2,000,000 Federal Home Loan Mortgage Corp.
Remic (Gold) 1197G
6.75% Due 12/15/2006 1,968,138
2,000,000 Federal Home Loan Mortgage Corp.
Remic (Gold) 1278G
7.00% Due 11/15/2020 2,008,858
1,500,000 Federal Home Loan Mortgage Corp.
6.84% Due 3/2/2009 1,424,699
1,400,000 Federal Home Loan Mortgage Corp
Remic 1611-I
6.00% Due 02/15/2023 1,309,167
250,000 Federal Home Loan Board Structured Note
7.35% Due 6/16/2009 255,682
1,000,000 Federal National Mortgage Association
6.25% Due 1/14/2004 947,949
3,000,000 Federal National Mortgage Association
CMO 1993-32H
6.00% Due 3/25/2023 2,711,996
2,000,000 Federal National Mortgage Association CMO
1993-76PJ
6.00% Due 6/25/2008 1,816,018
500,000 Federal National Mortgage Association
CMO 93-61HB
6.75% Due 3/25/2022 487,735
1,000,000 Federal National Mortgage Association
CMO G93-31PL
6.50% Due 10/25/2021 948,429
1,040,000 Federal National Mortgage Association
CMO G93-14J
6.50% Due 3/25/2023 948,583
</TABLE>
See Notes to Financial Statements 29
<PAGE>
ACTIVELY MANAGED BOND FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- ------------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
<C> <S> <C> <C>
$ 1,000,000 Federal National Mortgage Association Note
7.00% Due 8/12/2002 $ 988,938
820,607 Federal National Mortgage Association
Pass Thru Pool #050987
6.50% Due 2/1/2009 805,720
1,257,742 Federal National Mortgage Association
Pass Thru Pool#239024
7.00% Due 10/1/2023 1,227,932
1,334,390 Federal National Mortgage Association
Pass Thru Pool#50966
7.00% Due 1/1/2024 1,302,764
885,689 Federal National Mortgage Association
Pass Thru Pool#87277
7.50% Due 4/1/2018 892,419
1,000,000 Federal National Mortgage Association
Remic 1993-251PJ
6.50% Due 12/25/2023 944,489
3,000,000 Federal National Mortgage Association
Remic G92-40L
7.00% Due 7/25/2007 2,947,707
1,000,000 Federal National Mortgage Association
Remic 1991-47H
7.50% Due 5/25/2006 1,017,409
1,500,000 Federal National Mortgage Association
5.99% Due 10/27/2008 1,362,899
1,000,000 Federal National Mortgage Association
6.39% Due 12/9/2003 956,049
2,000,000 Federal National Mortgage Association
7.14% Due 8/28/2002 2,003,877
2,000,000 Federal National Mortgage Association
7.46% Due 9/30/1999 2,048,558
1,000,000 Federal National Mortgage Association,
Remic 1993-226C
6.00% Due 12/25/2023 871,789
1,000,000 Federal Home Loan Mortgage Corp.
Remic 1356K
5.50% Due 5/15/2021 841,189
550,921 Government National Mortgage Association
Custom #152027
8.00% Due 10/20/2016 564,776
18,189 Government National Mortgage Association
Custom #209105
8.00% Due 3/20/2017 18,643
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 369,322 Government National Mortgage Association
Jumbo #000675
8.00% Due 12/20/2016 $ 378,610
89,690 Government National Mortgage Association
Jumbo #000710
8.00% Due 2/20/2017 91,926
1,864,733 Government National Mortgage Association
Pass Thru Pool #377341
8.00% Due 11/15/2024 1,901,672
889,329 Government National Mortgage Association
Pass Thru Pool #354611
7.00% Due 7/15/2023 866,813
899,427 Government National Mortgage Association
Pass Thru Pool#377003
8.00% Due 8/15/2024 917,244
908,479 Government National Mortgage Association
Pass Thru Pool#385850
8.00% Due 8/15/2024 926,475
2,508 Government National Mortgage Association
Pass thru Pool #002919
8.00% Due 2/15/2004 2,578
2,694 Government National Mortgage Association
Pass thru Pool #010855
8.00% Due 07/15/2006 2,773
39,291 Government National Mortgage Association
Pass thru Pool #011192
7.25% Due 4/15/2006 39,634
20,702 Government National Mortgage Association
Pass thru Pool #025811
9.00% Due 1/15/2009 22,103
94,519 Government National Mortgage Association
Pass thru Pool #05214
8.00% Due 7/15/2005 97,214
50,330 Government National Mortgage Association
Pool #1350
6.50% Due 3/15/2002 49,810
260,135 Government National Mortgage Association
Pool #169957
8.50% Due 7/15/2016 273,889
165,423 Government National Mortgage Association
Pool #193256
8.00% Due 3/15/2017 170,392
</TABLE>
See Notes to Financial Statements 30
<PAGE>
ACTIVELY MANAGED BOND FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- ------------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
<C> <S> <C> <C>
$ 355,154 Government National Mortgage Association
Pool #196754
8.50% Due 2/15/2017 $ 373,523
149,066 Government National Mortgage Association
Pool #202887
8.00% Due 4/15/2017 153,544
98,800 Government National Mortgage Association
Pool #205624
8.50% Due 3/15/2017 103,910
290,176 Government National Mortgage Association
Pool #213606
8.00% Due 4/15/2017 298,893
15,935 Government National Mortgage Association
Pool #216159
8.00% Due 4/15/2017 16,414
348,664 Government National Mortgage Association
Pool #218150
8.00% Due 6/15/2017 359,137
15,680 Government National Mortgage Association
Pool #247493
8.00% Due 7/15/2018 16,143
7,745 Government National Mortgage Association
Pool #290013
8.00% Due 4/15/2020 7,965
204,696 Government National Mortgage Association
Pool #290123
8.00% Due 6/15/2020 210,523
181,476 Government National Mortgage Association
Pool #291195
8.00% Due 5/15/2020 186,642
810,473 Government National Mortgage Association
Pool #364979
8.00% Due 04/15/2024 826,527
840,061 Government National Mortgage Association
Pool #373826
8.00% Due 9/15/2023 862,851
614,012 Government National Mortgage Association
Pass thru Pool #226673
9.50% Due 7/15/2017 662,426
10,020,000 United States Treasury Bonds
9.25% Due 2/15/2016 12,634,579
<CAPTION>
Principal
Amount Value
- ----------- ------------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 4,610,000 United States Treasury Notes
5.50% Due 9/30/1997 $ 4,597,027
16,100,000 United States Treasury Notes
5.625% Due 8/31/1997 16,079,875
6,880,000 United States Treasury Notes
5.75% Due 10/31/1997 6,869,240
6,025,000 United States Treasury Notes
6.00% Due 11/30/1997 6,047,594
5,000,000 United States Treasury Notes
7.875% Due 11/15/1999 5,290,625
3,100,000 United States Treasury Notes
8.75% Due 8/15/2000 3,411,938
1,800,000 United States Treasury Stripped Interest
Coupon
0.00% Due 2/15/2006 946,240
19,180,000 United States Treasury Stripped Interest
Coupon
0.00% Due 2/15/2010 7,503,772
1,000,000 United States Treasury Stripped Interest
Coupon
0.00% Due 2/15/1999 844,239
7,000,000 United States Treasury Stripped Interest
Coupon
0.00% Due 2/15/2002 4,882,073
5,000,000 United States Treasury Stripped Interest
Coupon
.00% Due 5/15/2004 2,981,250
------------
Total United States Government and Agency Obligations
(Cost $129,028,917) $130,582,786
------------
SHORT TERM INVESTMENTS
UNITED STATES GOVERNMENT AGENCY
OBLIGATIONS 2.4%
$ 3,400,000 Federal Home Loan Mortgage Corp. Discount
Note 5.35%
Due 4/01/1996 (Cost $3,400,000) $ 3,400,000
------------
Total Investments (Cost $138,754,860) 100.0% $140,635,072
Liabilities, net of assets 0.0% (52,450)
------ ------------
Net Assets 100.0% $140,582,622
------ ------------
------ ------------
</TABLE>
See Notes to Financial Statements 31
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$138,754,860)--Note 2(A) $140,635,072
Cash 89,913
Receivable for units sold 64,463
Dividends and interest receivable 1,513,625
Other assets 9,915
------------
142,312,988
LIABILITIES:
Payable for investments purchased $875,038
Payable for units redeemed 732,362
Payable to investment managers 40,108
Accrued expenses 82,858 1,730,366
-------- ------------
NET ASSETS at value, applicable to 4,664,398 outstanding
units of beneficial interest--Note 5 $140,582,622
------------
------------
NET ASSET VALUE offering and redemption price per unit
($140,582,622 divided by 4,664,398 units) $ 30.14
------------
------------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $ 4,781,100
-----------
Total Income $ 4,781,100
Expenses:
Investment manager's fees--Note 3(A) 241,138
Shareholder servicing fees and expenses--Note 3(B) 269,241
Custodian fees and expenses 15,568
Legal and auditing fees 10,388
Consultant fees 5,538
Trustees' fees and expenses--Note 3(C) 10,144
Other 27,676
-----------
Total Expenses 579,693
-----------
INVESTMENT INCOME--NET 4,201,407
REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS--Note
4:
Net realized gain on investments 160,284
Unrealized (depreciation) on investments (1,638,562)
-----------
NET REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS (1,478,278)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,723,129
-----------
-----------
</TABLE>
See Notes to Financial Statements
32
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 4,201,407 $ 8,025,855
Net realized gain (loss) on investments 160,284 (89,181)
Unrealized appreciation (depreciation) on investments (1,638,562) 9,180,073
------------ ------------
Net increase in net assets resulting from operations 2,723,129 17,116,747
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 8,517,827 15,769,704
Value of units redeemed (10,785,328) (28,969,909)
------------ ------------
Net (decrease) in net assets resulting from capital transactions (2,267,501) (13,200,205)
------------ ------------
Net increase 455,628 3,916,542
NET ASSETS at beginning of period 140,126,994 136,210,452
------------ ------------
NET ASSETS at end of period $140,582,622 $140,126,994
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements
33
<PAGE>
INTERMEDIATE-TERM BOND FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- -----------
<C> <S> <C> <C>
CORPORATE BONDS 6.9%
$ 800,000 Ford Motor Company CMO 1993-A
5.78% Due 1/01/1999 $ 787,950
2,500,000 General Telephone Of California
6.75% Due 12/01/1997 2,506,383
1,500,000 New Jersey Bell Telephone Debenture
4.875% Due 11/1/2000 1,401,089
1,500,000 Pepsico Inc.
7.625% Due 12/18/1998 1,550,625
-----------
Total Corporate Bonds (Cost $6,267,318) $ 6,246,047
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 91.3%
$ 2,000,000 Federal Home Loan Bank Notes
6.27% Due 1/14/2004 $ 1,913,844
1,000,000 Federal Home Loan Board Structured Note
7.30% Due 4/11/2005 1,000,344
1,000,000 Federal Home Loan Mortgage Corp.
7.29% Due 4/7/2004 995,616
1,000,000 Federal Home Loan Mortgage Corp.
6.91% Due 6/20/2005 983,367
1,206,986 Federal Home Loan Mortgage Corp.
Remic CMO 157A
8.75% Due 07/15/2000 1,241,010
1,500,000 Federal Home Loan Mortgage Corp.
CMO 1489G
5.85% Due 10/15/2006 1,455,554
500,000 Federal Home Loan Mortgage Corp.
CMO 1624M
6.00% Due 12/15/2008 464,535
1,000,000 Federal Home Loan Mortgage Corp.
Gold Remic 1331H
7.00% Due 11/15/2005 1,007,399
4,146,667 Federal Home Loan Mortgage Corp.
Gold Remic 1278G
7.00% Due 11/15/2020 4,165,033
1,000,000 Federal Home Loan Mortgage Corp.
Gold Remic Series 1324VC
7.00% Due 6/15/2001 1,015,069
31,867 Federal Home Loan Mortgage Corp.
Pool #140536
5.00% Due 10/01/1996 31,533
21,715 Federal Home Loan Mortgage Corp.
Pool #200030
9.00% Due 03/01/2001 22,677
<CAPTION>
Principal
Amount Value
- ----------- -----------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 62,893 Federal Home Loan Mortgage Corp.
Pool #200034
8.50% Due 05/01/2001 $ 65,034
29,597 Federal Home Loan Mortgage Corp.
Pool #200035
9.00% Due 05/01/2001 30,908
113,487 Federal Home Loan Mortgage Corp.
Pool #200040
9.00% Due 06/01/2001 118,514
94,018 Federal Home Loan Mortgage Corp.
Pool #200070
7.50% Due 04/01/2002 95,030
161,584 Federal Home Loan Mortgage Corp.
Pool #200071
7.50% Due 05/01/2002 163,323
157,973 Federal Home Loan Mortgage Corp.
Pool #212242
7.50% Due 07/01/2001 159,740
57,180 Federal Home Loan Mortgage Corp.
Pool #212719
7.50% Due 08/01/2001 57,820
162,486 Federal Home Loan Mortgage Corp.
Pool #213857
7.50% Due 11/01/2001 164,304
35,043 Federal Home Loan Mortgage Corp.
Pool #214040
7.50% Due 12/01/2001 35,435
228,496 Federal Home Loan Mortgage Corp.
Pool #251478
7.00% Due 12/01/1998 228,213
7,318 Federal Home Loan Mortgage Corp.
Pool #297945
7.50% Due 05/01/1997 7,315
90,018 Federal Home Loan Mortgage Corp.
Pool #309883
7.00% Due 09/01/1998 89,633
97,464 Federal Home Loan Mortgage Corp.
Pool #320139
8.00% Due 09/01/2001 100,003
682,205 Federal Home Loan Mortgage Corp.
Remic 1680E
6.50% Due 2/15/2024 648,299
660,000 Federal Home Loan Mortgage Corp.
Str Note
4.90% Due 9/3/2003 652,320
</TABLE>
See Notes to Financial Statements 34
<PAGE>
INTERMEDIATE-TERM BOND FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- -----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
<C> <S> <C> <C>
$ 1,000,000 Federal Home Loan Mortgage Corp.
CMO 1534 F
6.00% Due 04/15/2020 $ 968,699
1,000,000 Federal Home Loan Mortgage Corp.
Remic 1611-I
6.00% Due 2/15/2023 935,119
1,500,000 Federal National Mortgage Association
6.24% Due 1/28/2004 1,431,989
1,000,000 Federal National Mortgage Association
6.25% Due 1/14/2004 947,949
2,000,000 Federal National Mortgage Association
6.38% Due 6/25/2003 1,936,838
490,236 Federal National Mortgage Association
CMO 1991-19G
7.00% Due 02/25/2019 489,495
2,000,000 Federal National Mortgage Association
CMO 1993-162C
3.00% Due 8/25/2023 1,799,678
1,000,000 Federal National Mortgage Association
CMO 1994-10M
6.50% Due 06/25/2023 961,509
992,604 Federal National Mortgage Association
CMO 93-244A
0.00% Due 11/25/2023 925,423
2,000,000 Federal National Mortgage Association
CMO G93-27AE
6.00% Due 11/25/2019 1,821,658
1,000,000 Federal National Mortgage Association
CMO G93-3G
6.00% Due 06/25/2018 950,859
1,000,000 Federal National Mortgage Association
CMO G93-8PG
6.50% Due 7/25/2018 971,259
1,000,000 Federal National Mortgage Association Note
7.00% Due 8/12/2002 988,938
820,607 Federal National Mortgage Association
Pass Thru Pool #050987
6.50% Due 2/1/2009 805,720
4,665 Federal National Mortgage Association
Pool # 31435
8.50% Due 08/01/2001 4,810
1,452 Federal National Mortgage Association
Pool #24179
9.00% Due 04/01/2001 1,520
<CAPTION>
Principal
Amount Value
- ----------- -----------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 51,331 Federal National Mortgage Association
Pool #26607
9.00% Due 05/01/2001 $ 53,785
26,898 Federal National Mortgage Association
Pool #26707
9.00% Due 05/01/2001 28,184
111,279 Federal National Mortgage Association
Pool #28645
9.00% Due 06/01/2001 116,599
218,229 Federal National Mortgage Association
Pool #28785
9.00% Due 06/01/2001 228,663
43,583 Federal National Mortgage Association
Pool #29470
9.00% Due 07/01/2001 45,667
13,195 Federal National Mortgage Association
Pool #29658
8.50% Due 07/01/2001 13,605
104,943 Federal National Mortgage Association
Pool #30409
8.50% Due 09/01/2001 108,204
11,088 Federal National Mortgage Association
Pool #31393
8.50% Due 08/01/2001 11,433
172,711 Federal National Mortgage Association
Pool #46609
8.00% Due 05/01/2002 176,607
290,890 Federal National Mortgage Association
Pool #46872
8.00% Due 05/01/2002 296,980
23,017 Federal National Mortgage Association
Pool #47137
8.00% Due 05/01/2002 23,536
165,444 Federal National Mortgage Association
Pool #47402
8.00% Due 05/01/2002 169,177
179,549 Federal National Mortgage Association
Pool #47932
8.00% Due 05/01/2002 183,599
123,186 Federal National Mortgage Association
Pool #48103
8.00% Due 05/01/2002 125,965
</TABLE>
See Notes to Financial Statements 35
<PAGE>
INTERMEDIATE-TERM BOND FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ----------- -----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
<C> <S> <C> <C>
$ 48,621 Federal National Mortgage Association
Pool #7242
8.50% Due 07/01/2001 $ 50,132
1,511,713 Federal National Mortgage Association
Pool #82407
9.00% Due 3/1/2004 1,594,916
492,049 Federal National Mortgage Association
Pool #87277
7.50% Due 4/1/2018 495,788
1,500,000 Federal National Mortgage Association
Remic 1992-9G
7.00% Due 7/25/2005 1,508,699
840,646 Federal National Mortgage Association
Remic 1993-194E
5.70% Due 6/25/2008 778,942
500,000 Federal National Mortgage Association
Remic 1993-167H
6.35% Due 1/25/2022 478,500
1,000,000 Federal National Mortgage Association
Remic 1993-38V
5.757% Due 8/25/2021 922,859
2,000,000 Federal National Mortgage Association
7.46% Due 9/30/1999 2,048,558
1,024,274 Federal National Mortgage Association
Remic X-2256 UC
6.25% Due 9/25/2020 939,187
889,329 Government National Mortgage Association
Pool #354611
7.00% Due 7/15/2023 866,813
<CAPTION>
Principal
Amount Value
- ----------- -----------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 10,000 U.S. Treasury Bonds
3.50% Due 11/15/1998 $ 10,013
10,000,000 U.S. Treasury Notes
7.875% Due 11/15/1999 10,581,250
9,875,000 U.S. Treasury Notes
8.875% Due 11/15/1997 10,340,962
4,000,000 U.S. Treasury Stripped Coupons
0.00% Due 2/15/1999 3,376,956
4,000,000 U.S. Treasury Stripped Coupons
0.00% Due 8/15/2002 2,697,115
3,000,000 U.S. Treasury Stripped Coupons
0.00% Due 2/15/2000 2,380,617
11,000,000 U.S. Treasury Stripped Coupons
0.00% Due 2/15/1998 9,880,739
-----------
Total United States Government and Agency Obligations
(Cost $81,379,867) $83,387,385
-----------
SHORT TERM INVESTMENTS
DISCOUNT NOTE 1.9%
$ 1,750,000 Federal Home Loan Discount Note
5.35% Due 4/1/1996
(Cost $1,750,000) $ 1,750,000
-----------
Total Investments (Cost $89,397,185) 100.1% $91,383,432
Liabilities, net of assets -0.1% (85,108)
----- -----------
Net Assets 100.0% $91,298,324
----- -----------
----- -----------
</TABLE>
See Notes to Financial Statements 36
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$89,397,185)--Note 2(A) $91,383,432
Cash 62,647
Receivable for units sold 49,927
Dividends and interest receivable 1,248,704
Other assets 6,725
-----------
92,751,435
LIABILITIES:
Payable for investments purchased $874,760
Payable for units redeemed 480,057
Payable to investment managers 27,517
Accrued expenses 70,777 1,453,111
-------- -----------
NET ASSETS at value, applicable to 3,187,637 outstanding
units of
beneficial interest--Note 5 $91,298,324
-----------
-----------
NET ASSET VALUE offering and redemption price per unit
($91,298,324 divided by 3,187,637 units) $ 28.64
-----------
-----------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $3,294,522
----------
Total Income $3,294,522
Expenses:
Investment manager's fees--Note 3(A) 164,034
Shareholder servicing fees and expenses--Note 3(B) 214,103
Custodian fees and expenses 12,439
Legal and auditing fees 9,038
Consultant fees 5,538
Trustees' fees and expenses--Note 3(C) 10,144
Other 22,306
----------
Total Expenses 437,602
----------
INVESTMENT INCOME--NET 2,856,920
REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS--Note
4:
Net realized gain on investments 71,257
Unrealized (depreciation) on investments (844,076)
----------
NET REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS (772,819)
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $2,084,101
----------
----------
</TABLE>
See Notes to Financial Statements
37
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period
Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 2,856,920 $ 5,519,273
Net realized gain on investments 71,257 148,558
Unrealized appreciation (depreciation) on investments (844,076) 2,902,615
----------- -----------
Net increase in net assets resulting from operations 2,084,101 8,570,446
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 5,590,281 11,398,598
Value of units redeemed (6,858,047) (19,266,677)
----------- -----------
Net (decrease) in net assets resulting from capital transactions (1,267,766) (7,868,079)
----------- -----------
Net increase 816,335 702,367
NET ASSETS at beginning of period 90,481,989 89,779,622
----------- -----------
NET ASSETS at end of period $91,298,324 $90,481,989
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements
38
<PAGE>
SHORT-TERM INVESTMENT FUND
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ---------- -----------
<C> <S> <C> <C>
CORPORATE NOTES 17.1%
$ 500,000 Air Products & Chemicals
4.66% Due 8/26/1996 $ 498,464
500,000 CSX Transportation Inc.
5.55% Due 3/15/1997 499,262
800,000 Florida Power & Light
4.85% Due 6/24/1996 798,854
250,000 International Lease Finance
4.75% Due 7/15/1996 249,433
325,000 Merck & Company
7.75% Due 5/1/1996 325,692
490,000 Merrill Lynch & Co. Note
4.75% Due 6/24/1996 489,227
500,000 Pacific Gas & Electric
4.90% Due 12/9/1996 497,298
150,000 Pepsico Inc.
4.60% Due 6/30/1996 149,693
500,000 Pepsico Inc.
5.00% Due 2/24/1997 497,454
100,000 Waste Management Technologies
4.875% Due 6/15/1996 99,877
500,000 Waste Management Technologies
4.875% Due 6/15/1996 499,387
-----------
Total Corporate Notes (Cost $4,609,557) 4,604,641
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 84.7%
$2,000,000 Federal Farm Credit Bank
4.32% Due 4/29/1996 $ 1,998,020
1,000,000 Federal Farm Credit Bank
4.95% Due 3/3/1997 994,820
500,000 Federal Farm Credit Bank
5.125% Due 6/3/1996 499,904
900,000 Federal Farm Credit Bank
5.32% Due 4/1/1996 900,000
500,000 Federal Farm Credit Bank
4.42% Due 4/8/1996 499,917
565,000 Federal Home Loan Bank
4.36% Due 4/25/1996 563,446
500,000 Federal Home Loan Bank
4.36% Due 4/25/1996 499,643
300,000 Federal Home Loan Bank
4.41% Due 07/08/1996 299,126
1,000,000 Federal Home Loan Bank
4.43% Due 5/13/1996 998,977
350,000 Federal Home Loan Bank
4.50% 9/23/1996 348,651
<CAPTION>
Principal
Amount Value
- ---------- -----------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 100,000 Federal Home Loan Bank
4.55% Due 5/28/1996 $ 99,772
1,000,000 Federal Home Loan Bank
4.55% Due 5/28/1996 998,307
250,000 Federal Home Loan Bank
4.72% Due 12/30/1996 248,592
200,000 Federal Home Loan Bank
4.80% Due 7/12/1996 199,687
500,000 Federal Home Loan Bank
5.035% Due 3/6/1997 497,753
1,000,000 Federal Home Loan Bank
5.255% Due 1/29/1997 997,370
500,000 Federal Home Loan Bank
5.35% Due 3/14/1997 498,740
500,000 Federal Home Loan Bank
5.41% Due 3/14/1997 498,467
400,000 Federal Home Loan Bank
5.49% Due 1/16/1998 396,606
250,000 Federal Home Loan Bank
5.61% Due 1/26/1998 247,966
450,000 Federal Home Loan Mortgage Corp.
4.625% Due 11/15/1996 447,599
1,050,000 Federal Home Loan Mortgage Corp.
Disc Note
5.01% Due 5/17/1996 1,043,278
600,000 Federal Home Loan Mortgage Corp.
Discount Note
5.00% Due 5/16/1996 596,250
200,000 Federal Home Loan Mortgage Corp.
Discount Note
5.30% Due 4/2/1996 199,971
1,345,000 Federal Home Loan Mortgage Corp.
Discount Note
5.31% Due 4/1/1996 1,345,000
1,200,000 Federal Home Loan Mortgage Corp.
Discount Note
5.35% Due 4/1/1996 1,200,000
200,000 Federal Home Loan Mortgage Corp.
4.70% Due 7/26/1996 199,612
150,000 Federal Home Loan Mortgage Corp.
5.20% Due 8/4/1997 148,668
200,000 Federal Home Loan Mortgage Corp.
4.70% Due 7/26/1996 199,612
500,000 Federal Home Loan Mtg Corp.
5.47% Due 4/1/1997 499,475
</TABLE>
See Notes to Financial Statements 39
<PAGE>
SHORT-TERM INVESTMENT FUND
(CONTINUED)
Statement of Investments
March 31, 1996 (Unaudited)
- ----------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
- ---------- -----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
<C> <S> <C> <C>
$1,570,000 Federal Home Loan Mtg Corp
4.60% Due 6/28/1996 $ 1,567,122
30,000 Federal National Mortgage Assn
5.35% Due 10/10/1997 29,668
$2,000,000 Federal National Mortgage Assn
4.55% Due 4/8/1996 $ 2,000,000
500,000 Federal National Mortgage Assn
4.55% Due 4/8/1996 500,000
<CAPTION>
Principal
Amount Value
- ---------- -----------
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS (Continued)
$ 500,000 Federal National Mortgage Assn
4.55% Due 4/8/1996 $ 500,000
-----------
Total United States Government and Agency
Obligations (Cost $22,779,354) $22,762,019
-----------
Total Investments (Cost $27,388,911) 101.8% $27,366,660
Liabilities, net of assets -1.8% (490,455)
----- -----------
Net Assets 100.0% $26,876,205
----- -----------
----- -----------
</TABLE>
See Notes to Financial Statements 40
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 1996 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost
$27,388,911)--Note 2(A) $27,366,660
Cash 29,332
Receivable for units sold 37,028
Dividends and interest receivable 299,208
Other assets 11,876
-----------
27,744,104
LIABILITIES:
Payable for investments purchased $499,375
Payable for units redeemed 315,017
Payable to investment managers 5,773
Accrued expenses 47,734 867,899
-------- -----------
NET ASSETS at value, applicable to 1,359,001 outstanding
units of
beneficial interest--Note 5 $26,876,205
-----------
-----------
NET ASSET VALUE offering and redemption price per unit
($26,876,205 divided by 1,359,001 units) $ 19.78
-----------
-----------
</TABLE>
Statement of Operations Six Months Ended March 31, 1996
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $ 797,933
---------
Total Income $ 797,933
Expenses:
Investment manager's fees--Note 3(A) 34,675
Shareholder servicing fees and expenses--Note 3(B) 81,868
Custodian fees and expenses 9,162
Legal and auditing fees 8,188
Consultant fees 5,538
Trustees' fees and expenses--Note 3(C) 10,144
Other 15,696
---------
Total Expenses 165,271
Less expense reimbursement--Note 3 (54,333)
---------
Net Expenses 110,938
---------
INVESTMENT INCOME--NET 686,995
REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS--Note 4:
Realized Gain on investments 0
Unrealized (depreciation) on investments (29,307)
---------
NET REALIZED GAIN AND UNREALIZED (LOSS) ON INVESTMENTS (29,307)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 657,688
---------
---------
</TABLE>
See Notes to Financial Statements
41
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
Period
Ended Year Ended
3/31/96 9/30/95
(Unaudited) (Audited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 686,995 $ 1,437,317
Net realized gain on investments 0 --
Unrealized appreciation (depreciation) on investments (29,307) 29,085
----------- -----------
Net increase in net assets resulting from operations 657,688 1,466,402
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 8,080,659 11,985,311
Value of units redeemed (9,222,053) (16,066,312)
----------- -----------
Net (decrease) in net assets resulting from capital transactions (1,141,394) (4,081,001)
----------- -----------
Net (decrease) (483,706) (2,614,599)
NET ASSETS at beginning of period 27,359,911 29,974,510
----------- -----------
NET ASSETS at end of period $26,876,205 $27,359,911
----------- -----------
----------- -----------
</TABLE>
See Notes to Financial Statements
42
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NOTE 1--GENERAL
Participation in RSI Retirement Trust ("RSI") is limited to
IRA's and trusts established by eligible employers, which
include banks, savings banks, credit unions, savings and loan
associations and other organizations determined by the Trustees
of RSI to have business interests in common with organizations
participating in RSI. Such trusts are exempt from taxation
under Section 501(a) of the Internal Revenue Code ("Code") and
have been established under pension or profit sharing plans
which are qualified under Section 401 of the Code
("Participating Plans").
In order to provide investment products to Participating
Plans, RSI operates, pursuant to an Agreement and Declaration
of Trust amended effective as of August 31, 1984 ("Trust
Agreement"), as a series fund currently issuing as of March 31,
1996 seven classes of units of beneficial interest: Core Equity
Fund, Emerging Growth Equity Fund, Value Equity Fund,
International Equity Fund, Actively Managed Bond Fund,
Intermediate-Term Bond Fund and Short-Term Investment Fund
("Investment Funds"). The Trust Agreement was amended in 1984
to provide for the continued operation of RSI as an open-end
management investment company under the Investment Company Act
of 1940 ("Act"). Retirement System Distributors Inc.
("Distributors") acts as the distributor of the Investment
Funds' units of beneficial interest. The Distributor is a
wholly owned subsidiary of Retirement System Group Inc
("Group").
On April 24, 1992, the remaining unitholders of RSI's
Dedicated Bond Fund sold their units and the proceeds were used
to purchase units in other RSI fixed-income funds. The
Dedicated Bond Fund has been inactive subsequent to this date,
but may be reactivated again, should a number of clients elect
to "immunize" their retiree liabilities. The financial
highlights of the Dedicated Bond Fund are presented for each of
the two years in the period ended September 30, 1991 and for
the period from October 1, 1991 through April 24, 1992, the
date on which all of its units were redeemed.
The financial statements of the Investment Funds are
presented on a combined and individual basis. The combined
financial statements should be read in conjunction with the
individual financial statements.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
(A) SECURITIES VALUATION: Except for debt securities with
remaining maturities of 60 days or less, investments for
which market prices are available are valued as follows:
(1)each listed security is valued at its closing price
obtained from the respective exchange on which the
security is listed, or, if there were no sales on that
day, at its last reported closing or bid price. For
international securities other than those traded on Far
East markets, the last recorded
43
<PAGE>
prices at the close of business on the New York Stock
Exchange are used to price the holdings. For securities
traded in the Far East markets, the closing prices are
used to value the securities.
(2)each unlisted security quoted on the NASDAQ is valued at
the last current bid price obtained from the NASDAQ;
(3)United States Government and agency obligations and
certain other debt obligations are valued based upon bid
quotations from various market makers for identical or
similar obligations.
(4)Mortgage-backed securities and asset-backed securities
are valued with a cash flow model based on both the
pre-payment assumptions (Public Securities Association
median) and the price-yield spreads over comparable
United States Treasury Securities.
(5)short-term money market instruments (such as
certificates of deposit, bankers' acceptances and
commercial paper) are valued by bid quotations or by
reference to bid quotations of available yields for
similar instruments of issuers with similar credit
rating.
Debt securities with remaining maturities of 60 days or
less are valued on the basis of amortized cost. In the absence
of an ascertainable market value, investments are valued at
their fair value as determined by the officers of RSI using
methods and procedures reviewed and approved by RSI's Trustees.
Investments and other assets and liabilities denominated in
foreign currencies are translated to US. dollars at the
prevailing rates of exchange. It is not practical to isolate
that portion of income arising from changes in the exchange
rates from the portion arising from changes in the market
prices of securities.
(B) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities
transactions are recorded on a trade date basis. Realized
gain and loss from securities transactions are recorded on
a specific cost basis. Dividend income is recognized on the
ex-dividend date or when the dividend information is known;
interest income, including, where applicable, amortization
of discount and premium on investments and zero coupon
bonds, is recognized on an accrual basis.
The Investment Funds may enter into repurchase
agreements with financial institutions, deemed to be
creditworthy by the Investment Funds' Manager, subject to
the sellers' agreement to repurchase and the Funds'
agreement to resell such securities at a mutually agreed
upon price. Securities purchased subject to repurchase
agreements are deposited with the Investment Funds'
custodian and, pursuant to the terms of the repurchase
agreement, must have an aggregate market value greater than
or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls
below the value of the repurchase price plus accrued
interest, the Investment Funds will require the seller to
deposit additional collateral by the next business day. If
the request for additional collateral is not met, or the
seller defaults on its
44
<PAGE>
repurchase obligation, the Investment Funds maintain the
right to sell the underlying securities at market value and
may claim any resulting loss against the seller.
(C) DIVIDENDS TO UNITHOLDERS: RSI does not normally declare
nor pay dividends on its net investment income or capital
gains.
(D) FEDERAL INCOME TAXES: RSI has received a determination
letter from the Internal Revenue Service stating that it is
exempt from taxation under Section 501(a) of the Internal
Revenue Code with respect to funds derived from
Participating Plans which are pension or profit sharing
trusts maintained in conformity with Section 401 of the
Code.
(E) OTHER: RSI accounts separately for the assets, liabilities
and operations of each Investment Fund. Expenses directly
attributed to each Investment Fund are charged to that
Investment Fund's operations; expenses which are applicable
to all Investment Funds are allocated among them.
Administrative expenses incurred by RSI relating to the
administration of Plans of Participation are charged to
Full Participating Employers (as defined in the Trust
Agreement) and are not included in the operation of the
Investment Funds.
The Investment Funds may enter into financial futures
contracts which require initial margin deposits of cash or
U.S. Government securities equal to approximately 10% of
the value of the contract. During the period the financial
futures are open, changes in the value of the contracts are
recognized by "marking to market" on a daily basis to
reflect the market value of the contracts at the close of
each day's trading. Accordingly, variation margin payments
are made or received to reflect daily unrealized gains or
losses. The Investment Fund is exposed to market risk as a
result of movements in securities, values and interest
rates.
NOTE 3--INVESTMENT MANAGERS' FEES AND OTHER
TRANSACTIONS WITH AFFILIATES
(A) Retirement System Investors Inc. ("Investors") is the
Investment Advisor for each Investment Fund. Investors has
retained sub-advisors to manage the International Equity
Fund and the Emerging Growth Equity Fund. Investors acts as
Investment Manager to the remaining Trust Investment Funds,
and in the case of all Investment Funds, exercises general
oversight with respect to the portfolio management,
including reporting of manager performance to the Trustees
and Investment Committee, compliance matters, sub-advisory
portfolio analysis, and presentations to unitholders. Prior
to April 1, 1995, NFJ Investment Group was the sub-advisor
of the Value Equity Fund.
Fees incurred by Investors pursuant to the provisions of
its investment management contracts are payable monthly to
Investors and quarterly to all sub-
45
<PAGE>
advisors and are computed based on the value of the net
assets of each Investment Fund determined on a monthly or
quarterly bases as appropriate at the rates listed in the
following table.
<TABLE>
<CAPTION>
INVESTMENT FUND INVESTMENT MANAGER FEE
- ------------------------- ----------------------------------- ------------------------------
<S> <C> <C>
Core Equity Fund Retirement System Investors Inc. .60% on first $50 million
.50% on next $150 million,
and .40% over $200 million
Value Equity Fund Retirement System Investors Inc. .60% on first $10 million,
.50% on next $10 million,
.40% on next $20 million,
.30% on next $20 million,
.20% on next $40 million,
.15% on next $50 million,
and .10% over $150 million
Emerging Growth Equity Friess Associates, Inc. 1.00%
Fund (Sub-adviser) 1.00% on first $25 million,
The Putnam Advisory and .75% over $25 million
Company, Inc. (Sub-adviser)
International Equity Fund Morgan Grenfell Investment .60% on first $50 million,
Services Limited (Sub-adviser) and .50% over $50 million
Actively Managed Bond Retirement System Investors Inc. .40% on first $50 million,
Fund .30% on next $100 million,
and .20% over $150 million
Intermediate-Term Bond Retirement System Investors Inc. .40% on first $50 million,
Fund .30% on next $100 million,
and .20% over $150 million
Short-Term Investment Retirement System Investors Inc. .25 on first $50 million,
Fund and .20% over $50 million
</TABLE>
RSI's investment management agreement with Investors
provides for RSI to receive a management fee of 0.20% per
annum of the average daily net assets of the Investment
Funds that employ a sub-advisor. For the period ended March
31, 1996, Investors has voluntarily waived a portion of its
investment manager's fee from the Short-Term Investment
Fund amounting to $54,333, to limit the Funds annual
expenses to 0.80% of average net assets.
(B) Shareholder servicing fees and expenses for the period
ended March 31, 1996 consist of fees paid to Retirement
System Consultants Inc., (a subsidiary of
46
<PAGE>
Group) under a contract for providing administrative
services for the Investment Funds. The fee arrangement
applicable for each of the investment funds is as follows:
<TABLE>
<CAPTION>
AVERAGE NET ASSETS FEE
- --------------------------------- ---------
<S> <C>
First $25 million .60%
Next $25 million .50%
Next $25 million .40%
Next $25 million .30%
Over $100 million .20%
</TABLE>
(C) Each Trustee who is not an officer of RSI receives an
annual fee of $7,000 and a fee of $800 per meeting
attended, except that such fee is $400 for a telephonic
meeting. Such Trustees also participate in a deferred
compensation plan which permits each Trustee to defer
payment of a portion of their fees. A Trustee and several
officers of RSI are also officers of Group and its
subsidiaries.
NOTE 4--SECURITIES TRANSACTIONS
The following summarizes the securities transactions, other
than short-term securities, by the various Investment Funds for
the period ended March 31, 1996:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------- ----------------
<S> <C> <C>
Core Equity Fund $ 12,887,762 $ 9,910,332
Value Equity Fund 18,180,000 16,520,824
Emerging Growth Equity Fund 53,298,313 54,258,437
International Equity Fund 13,074,830 8,192,761
Actively Managed Bond Fund 11,048,896 8,077,812
Intermediate-Term Bond Fund 7,990,840 5,329,672
---------------- ----------------
Total $ 116,480,641 $ 102,289,838
---------------- ----------------
---------------- ----------------
</TABLE>
Net unrealized appreciation (depreciation) consisting of
gross unrealized appreciation and gross unrealized depreciation
at March 31, 1996 for each of the Investment Funds was as
follows:
<TABLE>
<CAPTION>
NET UNREALIZED GROSS
APPRECIATION GROSS UNREALIZED UNREALIZED
(DEPRECIATION) APPRECIATION DEPRECIATION
---------------- ---------------- -------------
<S> <C> <C> <C>
Core Equity Fund $ 101,961,996 $ 102,584,529 $ 622,533
Value Equity Fund 7,767,974 8,126,745 358,771
Emerging Growth Equity Fund 22,155,216 23,516,701 1,361,485
International Equity Fund 5,702,967 6,682,569 979,602
Actively Managed Bond Fund 1,880,212 3,235,311 1,355,099
Intermediate-Term Bond Fund 1,986,247 2,579,624 593,377
Short-Term Investment Fund (22,251) 3,229 25,480
---------------- ---------------- -------------
Total $ 141,432,361 $ 146,728,708 $ 5,296,347
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
47
<PAGE>
As of March 31, 1996, the International Equity Fund had
outstanding forward currency contracts as set forth below.
These contracts are reported in the financial statements at the
Fund's net gain of $43,602, which is the difference between the
forward foreign exchange rate at the dates of entry into the
contracts and the forward rates at March 31, 1996.
<TABLE>
<CAPTION>
CONTRACTS TO SELL
----------------------------------------------------------
<C> <S> <C>
200,900,000 Japanese Yen for U.S $1,899,107 6/7/96 36,051
1,000,000 German Marks for U.S $678,242 4/24/96 (423)
5,700,000 French Francs for U.S.$1,135,936, 5/31/96 8,642
1,135,000 Netherlands Guilders for U.S.$688,588 4/24/96 (668)
---------
$ 43,602
---------
---------
</TABLE>
The following summarizes the market value of securities
that were on loan to brokers and the value of securities and
cash held as collateral for these loans at March 31, 1996:
<TABLE>
<CAPTION>
VALUE OF
SECURITIES VALUE OF
LOANED COLLATERAL
-------------- --------------
<S> <C> <C>
Core Equity Fund $ 5,652,538 $ 5,767,101
Value Equity Fund 2,309,890 2,358,381
Emerging Growth Equity Fund 13,000,128 13,264,912
International Equity Fund 3,280,077 3,474,092
Actively Managed Bond Fund 35,895,919 36,717,192
Intermediate Term Bond Fund 15,613,830 15,932,325
-------------- --------------
Total $ 75,752,382 $ 77,514,003
-------------- --------------
-------------- --------------
</TABLE>
These securities lending arrangements may result in
significant credit exposure in the event the counterparty to
the transaction was unable to fulfill its contractual
obligations. In accordance with industry practice, the
securities lending agreements are generally collaterized by
cash or securities with a market value in excess of the
Investment Funds obligation under the contract. The Investment
Funds attempt to minimize credit risk associated with these
activities by monitoring broker credit exposure and collateral
values on a daily basis and requiring additional collateral to
be deposited with or returned to the Investment Funds when
deemed necessary.
For the period ended March 31, 1996 the Value Equity Fund,
Emerging Growth Equity Fund and the International Equity Fund
each had expenses paid through brokerage/service arrangements
which amounted to $11,874, $11,373, and $10,000, respectively.
48
<PAGE>
NOTE 5--CAPITAL TRANSACTIONS:
At September 30, 1995 there were an unlimited number of
units of beneficial interest authorized for each Investment
Fund.
Transactions in the units of beneficial interest of each
Investment Fund for the period ended March 31, 1996 were as
follows:
<TABLE>
<CAPTION>
Core Equity Value Equity
Fund Fund
----------------------- ----------------------
Units Amount Units Amount
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
Units sold 222,319 $ 10,970,267 115,421 $ 3,998,437
Units redeemed (270,773) (13,513,741) (91,407) (3,192,976)
--------- ------------ --------- -----------
Net increase
(decrease) (48,454) $ (2,543,474) 24,014 $ 805,461
--------- ------------ --------- -----------
--------- ------------ --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth International
Equity Fund Equity Fund
---------------------- ----------------------
Units Amount Units Amount
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Units sold 97,921 $ 5,149,985 175,546 $ 7,283,259
Units redeemed (120,174) (6,242,421) (37,271) (1,535,628)
--------- ----------- --------- -----------
Net increase (decrease) (22,253) $(1,092,436) 138,275 $ 5,747,631
--------- ----------- --------- -----------
--------- ----------- --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Actively Managed Intermediate-Term
Bond Fund Bond Fund
----------------------- ----------------------
Units Amount Units Amount
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
Units sold 280,542 $ 8,517,827 195,195 $ 5,590,281
Units redeemed (353,075) (10,785,328) (238,457) (6,858,047)
--------- ------------ --------- -----------
Net (decrease) (72,533) $ (2,267,501) (43,262) $(1,267,766)
--------- ------------ --------- -----------
--------- ------------ --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Short-Term
Investment Fund
----------------------
Units Amount
--------- -----------
<S> <C> <C>
Units sold 413,284 $ 8,080,659
Units redeemed (470,922) (9,222,053)
--------- -----------
Net (decrease) (57,638) $(1,141,394)
--------- -----------
--------- -----------
</TABLE>
49
<PAGE>
Transactions in the units of beneficial interest of each
Investment Fund for the year ended September 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Core Equity Value Equity
Fund Fund
----------------------- ----------------------
Units Amount Units Amount
--------- ------------ --------- -----------
<S> <C> <C> <C> <C>
Units sold 720,368 $ 28,004,631 255,492 $ 7,261,555
Units redeemed (633,274) (24,532,607) (228,928) (6,491,239)
--------- ------------ --------- -----------
Net increase 87,094 $ 3,472,024 26,564 $ 770,316
--------- ------------ --------- -----------
--------- ------------ --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth International
Equity Fund Equity Fund
---------------------- ----------------------
Units Amount Units Amount
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Units sold 291,562 $11,643,470 151,666 $ 5,659,129
Units redeemed (215,323) (8,606,464) (130,786) (4,833,851)
--------- ----------- --------- -----------
Net increase 76,239 $ 3,037,006 20,880 $ 825,278
--------- ----------- --------- -----------
--------- ----------- --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Actively Managed Intermediate-Term
Bond Fund Bond Fund
------------------------ ----------------------
Units Amount Units Amount
---------- ------------ --------- -----------
<S> <C> <C> <C> <C>
Units sold 575,262 $ 15,769,704 431,437 $11,398,598
Units redeemed (1,064,868) (28,969,909) (735,598) (19,266,677)
---------- ------------ --------- -----------
Net (decrease) (489,606) $(13,200,205) (304,161) $(7,868,079)
---------- ------------ --------- -----------
---------- ------------ --------- -----------
</TABLE>
<TABLE>
<CAPTION>
Short-Term
Investment Fund
-----------------------
Units Amount
--------- ------------
<S> <C> <C>
Units sold 637,944 $ 11,985,311
Units redeemed (853,573) (16,066,312)
--------- ------------
Net (decrease) (215,629) $ (4,081,001)
--------- ------------
--------- ------------
</TABLE>
50
<PAGE>
Net assets at March 31, 1996 are comprised as follows:
<TABLE>
<CAPTION>
Emerging
Core Equity Value Equity Growth International
Fund Fund Equity Fund Equity Fund
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Paid-in capital (deficit) $(21,244,931) $(18,781,747) $(12,738,251) $ 5,326,449
Accumulated income (loss) 43,752,911 17,536,562 (1,104,063) (1,606,238)
Accumulated realized gain 81,160,026 43,832,333 73,118,011 30,283,348
Unrealized appreciation 101,961,996 7,767,974 22,155,216 5,746,569
------------ ------------ ------------ -----------
Net Assets $205,630,002 $ 50,355,122 $ 81,430,913 $39,750,128
------------ ------------ ------------ -----------
------------ ------------ ------------ -----------
</TABLE>
<TABLE>
<CAPTION>
Actively Short-Term
Managed Intermediate-Term Investment
Bond Fund Bond Fund Fund
------------ --------------- --------------
<S> <C> <C> <C>
Paid-in capital (deficit) $(37,086,080) $ (40,855,649) $(13,517,859)
Accumulated income 142,859,541 116,320,787 39,086,401
Accumulated realized gain 32,928,949 13,846,939 1,329,913
Unrealized appreciation (depreciation) 1,880,212 1,986,247 (22,250)
------------ --------------- --------------
Net Assets $140,582,622 $ 91,298,324 $ 26,876,205
------------ --------------- --------------
------------ --------------- --------------
</TABLE>
51
<PAGE>
NOTE 6--FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CORE EQUITY FUND
--------------------------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $ 46.71 $ 35.57 $ 34.49 $ 30.09 $ 27.68 $ 23.15
-------- -------- -------- -------- -------- --------
Net Income from Investment
Operations:
Investment Income--net 0.33 0.74 0.54 0.56 0.65 0.75
Net realized and unrealized gain
(loss) on investments 4.14 10.40 0.54 3.84 1.76 3.78
-------- -------- -------- -------- -------- --------
Total from Investment
Operations 4.47 11.14 1.08 4.40 2.41 4.53
-------- -------- -------- -------- -------- --------
Net Asset Value, End of the
period $ 51.18 $ 46.71 $ 35.57 $ 34.49 $ 30.09 $ 27.68
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
Total Return 9.57% 31.32% 3.13% 14.62% 8.71% 19.57%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses (0.47)% (0.98)% (1.01)% (0.99)% (0.95)% (0.94)%
Investment income--net 0.69% 1.86% 1.56% 1.74% 2.25% 2.88%
Portfolio Turnover Rate 5.46% 7.91% 6.47% 13.41% 18.94% 18.88%
Net Assets at End of the period
($1,000's) $205,630 $189,942 $141,544 $146,137 $134,269 $158,578
</TABLE>
* Using average units basis.
52
<PAGE>
<TABLE>
<CAPTION>
VALUE EQUITY FUND
--------------------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Unit Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $32.63 $27.05 $26.48 $22.94 $21.48 $15.89
------- ------- ------- ------- ------- -------
Income from Investment Operations:
Investment Income--net 0.36 0.93 0.79 0.70 0.52 0.45
Net realized and unrealized gain
(loss) on investments 3.85 4.65 (0.22) 2.84 0.94 5.14
------- ------- ------- ------- ------- -------
Total from Investment Operations 4.21 5.58 0.57 3.54 1.46 5.59
------- ------- ------- ------- ------- -------
Net Asset Value, End of the period $36.84 $32.63 $27.05 $26.48 $22.94 $21.48
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
Total Return 12.90% 20.63% 2.15% 15.43% 6.80% 35.18%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses** (0.60)% (1.32)% (1.41)% (1.70)% (1.55)% (1.56)%
Investment income--net 1.08% 3.24% 3.02% 2.83% 2.32% 2.30%
Portfolio Turnover Rate 38.78% 67.06% 40.41% 54.46% 14.26% 23.55%
Net Assets at End of the period
($1,000's) $50,355 $43,824 $35,603 $38,104 $33,417 $37,955
</TABLE>
* Using average units basis.
** Ratio reflects fees paid with brokerage commissions only
for the period ended 3/31/96 and the year ended 9/30/95.
53
<PAGE>
<TABLE>
<CAPTION>
EMERGING GROWTH
EQUITY FUND
--------------------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Per Unit Operating
Performance:*
(for a unit
outstanding
throughout the
period)
Net Asset Value,
Beginning of Period $52.58 $35.96 $35.52 $24.26 $23.34 $14.97
------- ------- ------- ------- ------- -------
Income from Investment
Operations:
Investment Income
(loss)--net (0.37) (0.67) (0.57) (0.53) (0.35) (0.23)
Net realized and
unrealized gain
(loss) on investments 6.08 17.29 1.01 11.79 1.27 8.60
------- ------- ------- ------- ------- -------
Total from Investment
Operations 5.71 16.62 0.44 11.26 0.92 8.37
------- ------- ------- ------- ------- -------
Net Asset Value, End of
the period $58.29 $52.58 $35.96 $35.52 $24.26 $23.34
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
Total Return 10.86% 46.22% 1.24% 46.41% 3.94% 55.91%
Ratios/Supplemental
Data
Ratios to Average Net
Assets
Expenses** (0.99)% (2.12)% (2.08)% (2.27)% (2.18)% (2.27)%
Investment income--
net (0.78)% (1.61)% (1.64)% (1.78)% (1.43)% (1.19)%
Portfolio Turnover Rate 72.97% 170.54% 114.15% 145.59% 135.45% 101.10%
Net Assets at End of
Period ($1,000's) $81,431 $74,625 $48,293 $56,645 $40,844 $46,283
</TABLE>
* Using average units basis.
** Ratio reflects fees paid with brokerage commissions only
for the period ended 3/31/96 and the year ended 9/30/95.
54
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND
---------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Per Unit Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $40.25 $38.08 $34.36 $28.27 $29.26 $25.31
------- ------- ------- ------- ------- -------
Income from Investment Operations:
Investment Income (loss)--net (0.15) (0.02) (0.09) (0.21) (0.16) 0.15
Net realized and unrealized gain
(loss) on investments 3.48 2.19 3.81 6.30 (0.83) 3.80
------- ------- ------- ------- ------- -------
Total from Investment Operations 3.33 2.17 3.72 6.09 (0.99) 3.95
------- ------- ------- ------- ------- -------
Net Asset Value, End of the period $43.58 $40.25 $38.08 $34.36 $28.27 $29.26
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
Total Return 8.27% 5.70% 10.83% 21.54% (3.38)% 15.61%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses** (0.91)% (1.90)% (1.96)% (2.83)% (2.69)% (2.58)%
Investment income--net (0.36)% (0.07)% (0.25)% (0.68)% (0.50)% 0.54%
Portfolio Turnover Rate 25.71% 51.40% 44.25% 55.02% 52.58% 65.55%
Net Assets at End of the period
($1,000's) $39,750 $31,143 $28,672 $21,769 $18,997 $22,677
</TABLE>
* Using average units basis.
** Ratio reflects fees paid with brokerage commissions only
for period ended 3/31/96 and the year ended 9/30/95.
55
<PAGE>
<TABLE>
<CAPTION>
ACTIVELY MANAGED
BOND FUND
--------------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Unit Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $29.58 $26.06 $27.43 $24.57 $21.74 $18.44
-------- -------- -------- -------- -------- --------
Income from Investment Operations:
Investment Income--net 0.87 1.64 1.47 1.23 1.54 1.51
Net realized and unrealized gain
(loss) on investments (0.31) 1.88 (2.84) 1.63 1.29 1.79
-------- -------- -------- -------- -------- --------
Total from Investment Operations 0.56 3.52 (1.37) 2.86 2.83 3.30
-------- -------- -------- -------- -------- --------
Net Asset Value, End of the period $30.14 $29.58 $26.06 $27.43 $24.57 $21.74
-------- -------- -------- -------- -------- --------
-------- -------- -------- -------- -------- --------
Total Return 1.89% 13.51% (4.99)% 11.64% 13.02% 17.90%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses (0.41)% (0.84)% (0.82)% (0.87)% (0.84)% (0.84)%
Investment income--net 2.92% 5.95% 5.51% 5.22% 6.87% 7.56%
Portfolio Turnover Rate 5.81% 18.21% 8.54% 170.16% 132.97% 125.32%
Net Assets at End of the period
($1,000's) $140,583 $140,127 $136,210 $146,918 $189,827 $197,573
</TABLE>
* Using average units basis.
56
<PAGE>
<TABLE>
<CAPTION>
INTERMEDIATE-TERM
BOND FUND
----------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
------- ------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Unit Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $28.01 $25.40 $25.95 $24.20 $21.72 $19.10
------- ------- ------- ------- -------- --------
Income from Investment Operations:
Investment Income--net 0.88 1.66 1.46 1.48 1.55 1.46
Net realized and unrealized gain
(loss) on investments (0.25) 0.95 (2.01) 0.27 0.93 1.16
------- ------- ------- ------- -------- --------
Total from Investment Operations 0.63 2.61 (0.55) 1.75 2.48 2.62
------- ------- ------- ------- -------- --------
Net Asset Value, End of the period $28.64 $28.01 $25.40 $25.95 $24.20 $21.72
------- ------- ------- ------- -------- --------
------- ------- ------- ------- -------- --------
Total Return 2.25% 10.28% (2.12)% 7.23% 11.42% 13.72%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses (0.48)% (0.98)% (0.95)% (1.07)% (0.98)% (0.98)%
Investment income--net 3.09% 6.27% 5.68% 5.95% 6.78% 7.21%
Portfolio Turnover Rate 5.99% 15.95% 17.92% 12.39% 24.86% 43.70%
Net Assets at End of the period
($1,000's) $91,298 $90,482 $89,780 $97,796 $117,107 $108,144
</TABLE>
* Using average units basis.
57
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM
INVESTMENT FUND
---------------------------------------------------
Period Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
3/31/96 9/30/95 9/30/94 9/30/93 9/30/92 9/30/91
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Per Unit Operating Performance:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning of
Period $19.31 $18.36 $17.83 $17.43 $16.80 $15.79
------- ------- ------- ------- ------- -------
Income from Investment Operations:
Investment Income--net 0.49 0.93 0.53 0.43 0.64 0.99
Net realized and unrealized gain
(loss) on investments (0.02) 0.02 0.00 (0.03) (0.01) 0.02
------- ------- ------- ------- ------- -------
Total from Investment Operations 0.47 0.95 0.53 0.40 0.63 1.01
------- ------- ------- ------- ------- -------
Net Asset Value, End of the period $19.78 $19.31 $18.36 $17.83 $17.43 $16.80
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
Total Return 2.43% 5.17% 2.97% 2.29% 3.75% 6.40%
Ratios/Supplemental Data
Ratios to Average Net Assets
Expenses (0.40)% (0.80)% (0.80)% (0.89)% (0.79)% (0.79)%
Investment income--net 2.48% 4.94% 2.92% 2.43% 3.72% 6.06%
Decrease in above expense ratio
due to fee waiver 0.20% 0.34% 0.32% --% --% --%
Net Assets at End of the period
($1,000's) $26,876 $27,360 $29,975 $35,117 $34,911 $61,505
</TABLE>
* Using average units basis.
58
<PAGE>
<TABLE>
<CAPTION>
DEDICATED BOND FUND
(SEE NOTE 1)
----------------------
YEAR
YEAR ENDED ENDED
9/30/92** 9/30/91
---------- ---------
<S> <C> <C>
Per Unit Operating Performance:*
(for a unit outstanding throughout the period)
Net Asset Value, Beginning of Period $18.97 $16.36
----- ---------
Income from Investment Operations: 0.79 1.91
Net realized and unrealized gain (loss) on investments 0.07 0.70
----- ---------
Total from Investment Operations 0.86 2.61
----- ---------
Net Asset Value, End of the period $19.83** $18.97
----- ---------
----- ---------
Total Return 4.53% 15.95%
Ratios/Supplemental Data
Ratios to Average Net Assets**
Expenses (0.75) (0.68)
Investment income--net 7.45% 10.83%
----- ---------
----- ---------
Portfolio Turnover Rate 0.0% 0.0%
Net Assets at End of Period ($1,000's) $ 0.0 $14,133
</TABLE>
* Using average units basis.
** Period from October 1, 1991 to April 24, 1992
59
<PAGE>
OFFICERS
---------------------------------------------------------------
William Dannecker, President
James P. Coughlin, C.F.A., Executive Vice President and Chief
Investment Officer
Stephen P. Pollak, Esq., Executive Vice President, Counsel and
Secretary
John F. Meuser, Vice President and Treasurer
Durando J. Saccente, Vice President
Veronica A. Fisher, First Vice President and Assistant
Treasurer
Denise F. Roche, First Vice President
Herbert Kuhl, Jr., C.F.A., First Vice President
Peter M. Coleman, Second Vice President
Deborah A. Modzelewski, Second Vice President
Heidi Viceconte, Second Vice President
Chris R. Kaufman, Second Vice President
CONSULTANTS
---------------------------------------------------------------
Actuarial--Towers Perrin
Investments--Hewitt Associates
INVESTMENT MANAGERS
---------------------------------------------------------------
Friess Associates, Inc.
Morgan Grenfell Investment Services Limited
The Putnam Advisory Company, Inc.
Retirement System Investors Inc.
CUSTODIANS
---------------------------------------------------------------
The Chase Manhattan Bank, N.A.
Custodial Trust Company
DISTRIBUTOR
---------------------------------------------------------------
Retirement System Distributors Inc.
TRANSFER AGENT
---------------------------------------------------------------
Retirement System Consultants Inc.
INDEPENDENT AUDITORS
---------------------------------------------------------------
McGladrey & Pullen, LLP
COUNSEL
---------------------------------------------------------------
Shereff, Friedman, Hoffman & Goodman, LLP
60
<PAGE>
BOARD OF TRUSTEES
---------------------------------------------------------------
Herbert G. Chorbajian
Chairman, President and Chief Executive Officer
ALBANK, FSB, NY
Candace Cox
President
NYNEX Asset Management Co., NY
William Dannecker
President and Chief Executive Officer
Retirement System Group Inc., NY
Eugene C. Ecker
Pension and Group Insurance Consultant
Covington Hardee
Retired Chairman
The Lincoln Savings Bank, FSB, NY
Ralph L. Hodgkins, Jr.
Retired Chief Executive Officer
Mid Maine Savings Bank, FSB, Auburn, ME
Maurice E. Kinkade
Director of Development
Maplebrook School
President, KINCO Management
Willliam G. Lillis
Real Estate Consultant
William L. Schrauth
President and Chief Executive Officer
The Savings Banks of Utica, NY
William E. Swan
President and Chief Executive Officer
Lockport Savings Bank, NY
Raymond L. Willis
Private Investments
61
<PAGE>
THE INFORMATION CONTAINED HEREIN SHALL NOT BE CONSTRUED TO BE OR CONSTITUTE AN
OFFER OR SOLICITATION OF AN OFFER TO BUY UNITS IN THE RSI RETIREMENT TRUST.
SALES OF UNITS IN THE TRUST MAY BE MADE ONLY IN THOSE STATES WHERE SUCH UNITS
ARE EXEMPT FROM REGISTRATION OR HAVE BEEN QUALIFIED FOR SALE. TOTAL RETURNS ARE
BASED ON HISTORICAL RESULTS AND ARE NOT INTENDED TO INDICATE FUTURE PERFORMANCE.
FUTURE PERFORMANCE AND UNIT NET ASSET VALUE WILL FLUCTUATE SO THAT UNITS, IF
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THIS MATERIAL MUST
BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS.
<PAGE>
SEMI-ANNUAL
REPORT
[LOGO]
RSI RETIREMENT TRUST
CORE EQUITY FUND
VALUE EQUITY FUND
EMERGING GROWTH EQUITY FUND
INTERNATIONAL EQUITY FUND
ACTIVELY MANAGED BOND FUND
INTERMEDIATE-TERM BOND FUND
SHORT-TERM INVESTMENT FUND
DEDICATED BOND FUND
1996
BROKER/DEALER
[LOGO]
RETIREMENT SYSTEM
Distributors Inc.
P.O. Box 2064
Grand Central Station
New York, NY 10163-2064
