<PAGE>
A N N U A L R E P O R T
MAY 31, 1996
FIXED INCOME FUNDS
STABLE INCOME FUND
INTERMEDIATE GOVERNMENT INCOME FUND
DIVERSIFIED BOND FUND
INCOME FUND
TOTAL RETURN BOND FUND
-------------------
TAX-FREE FIXED INCOME FUNDS
TAX-FREE INCOME FUND
COLORADO TAX-FREE FUND
MINNESOTA TAX-FREE FUND
-------------------
BALANCED FUNDS
CONSERVATIVE BALANCED FUND
MODERATE BALANCED FUND
GROWTH BALANCED FUND
-------------------
EQUITY FUNDS
INCOME EQUITY FUND
VALUGROWTH-TM- STOCK FUND
INDEX FUND
DIVERSIFIED EQUITY FUND
GROWTH EQUITY FUND
LARGE COMPANY GROWTH FUND
SMALL COMPANY STOCK FUND
SMALL COMPANY GROWTH FUND
CONTRARIAN STOCK FUND
INTERNATIONAL FUND
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NOT FDIC INSURED
<PAGE>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS MAY 31, 1996
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS......................................................................... 1
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA
Stable Income Fund........................................................................... 2
Intermediate Government Income Fund.......................................................... 3
Diversified Bond Fund........................................................................ 4
Income Fund.................................................................................. 5
Total Return Bond Fund....................................................................... 6
Tax-Free Income Fund......................................................................... 7
Colorado Tax-Free Fund....................................................................... 8
Minnesota Tax-Free Fund...................................................................... 9
Conservative Balanced Fund................................................................... 10
Moderate Balanced Fund....................................................................... 11
Growth Balanced Fund......................................................................... 12
Income Equity Fund........................................................................... 13
ValuGrowth-SM- Stock Fund.................................................................... 14
Index Fund................................................................................... 15
Diversified Equity Fund...................................................................... 16
Growth Equity Fund........................................................................... 17
Large Company Growth Fund.................................................................... 18
Small Company Stock Fund..................................................................... 19
Small Company Growth Fund.................................................................... 20
Contrarian Stock Fund........................................................................ 21
International Fund........................................................................... 22
INDEPENDENT AUDITORS' REPORT (NORWEST ADVANTAGE FUNDS)................................................ 23
FINANCIAL STATEMENTS OF NORWEST ADVANTAGE FUNDS
Statements of Assets and Liabilities......................................................... 24
Statements of Operations..................................................................... 27
Statements of Changes in Net Assets.......................................................... 32
Notes to Financial Statements................................................................ 35
Financial Highlights......................................................................... 46
Supplementary Unaudited Information.......................................................... 53
Portfolios of Investments
Stable Income Fund.................................................................. 55
Intermediate Government Income Fund................................................. 58
Diversified Bond Fund............................................................... 59
Income Fund......................................................................... 62
Total Return Bond Fund.............................................................. 64
Tax-Free Income Fund................................................................ 65
Colorado Tax-Free Fund.............................................................. 72
Minnesota Tax-Free Fund............................................................. 75
Conservative Balanced Fund.......................................................... 78
Moderate Balanced Fund.............................................................. 87
Growth Balanced Fund................................................................ 95
Income Equity Fund.................................................................. 101
ValuGrowth-SM- Stock Fund........................................................... 102
Index Fund.......................................................................... 104
Diversified Equity Fund............................................................. 112
Growth Equity Fund.................................................................. 115
Large Company Growth Fund........................................................... 117
Small Company Stock Fund............................................................ 118
Small Company Growth Fund........................................................... 119
Contrarian Stock Fund............................................................... 122
International Fund.................................................................. 123
FINANCIAL STATEMENTS OF CORE TRUST (DELAWARE)
Statements of Assets and Liabilities......................................................... 125
Statements of Operations..................................................................... 126
Statements of Changes in Nets Assets......................................................... 128
Notes to Financial Statements................................................................ 129
Portfolios of Investments of Core Trust (Delaware)
Index Portfolio..................................................................... 133
Small Company Portfolio............................................................. 141
International Portfolio II.......................................................... 147
International Portfolio............................................................. 150
INDEPENDENT AUDITORS' REPORT (CORE TRUST (DELAWARE)).................................................. 155
</TABLE>
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<PAGE>
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A MESSAGE TO OUR SHAREHOLDERS MAY 31, 1996
July 12, 1996
Dear Shareholders:
We are pleased to present the May 31, 1996 annual report
for the Norwest Advantage Funds. This report includes
twenty-one of the twenty-six Norwest Advantage Funds
portfolios. The five Norwest Advantage Funds money market
portfolios are reported separately.
This annual report includes twelve months of operations
(June 1, 1995 through May 31, 1996) for Income Fund, Total
Return Bond Fund, Tax-Free Income Fund, Colorado Tax-Free
Fund, Minnesota Tax-Free Fund, ValuGrowth-SM- Stock Fund,
Small Company Stock Fund, and Contrarian Stock Fund. Due
to a change in fiscal year end from October 31 to May 31,
this annual report represents seven months of operations
(November 1, 1995 through May 31, 1996) for Stable Income
Fund, Intermediate Government Income Fund, Diversified
Bond Fund, Conservative Balanced Fund, Moderate Balanced
Fund, Growth Balanced Fund, Income Equity Fund, Index
Fund, Diversified Equity Fund, Growth Equity Fund, Large
Company Growth Fund, Small Company Growth Fund, and
International Fund. This change to the same fiscal year
end will improve the operational efficiencies of the
Norwest Advantage Funds.
The stock market performed well over the past year with
the Standard and Poor's 500 Composite Stock Index
returning 28.41% for the twelve months ended May 31, 1996,
compared to a 13.94% average annual return for the past
ten years. The bull market appears to be continuing as
baby boomers in their peak earning years invest more and
more of their retirement savings in stock mutual funds.
The bond market did not fare as well this year, with the
Lehman Brothers Aggregate Bond Index returning only 4.38%
for the twelve months ended May 31, 1996, compared to a
8.69% average annual return over the past ten years.
Norwest Advantage Funds experienced significant growth
over the last year with net assets increasing from one
year ago by 50% to over twelve billion dollars on May 31,
1996. In a recent ranking by size of assets under
management, Norwest Advantage Funds ranked eighth among
bank-advised mutual funds and forty-fourth among all (more
than 300) mutual fund complexes. This success is the
result of the continued positive performance of the
Norwest Advantage Funds and the confidence and support of
the shareholders of the Funds.
If you have any questions or would like additional
information about the Norwest Advantage Funds, please call
800-338-1348 or 612-667-8833 (press 1). Thank you for
choosing to invest with Norwest Advantage Funds.
Sincerely,
[SIG]
John Y. Keffer
CHAIRMAN, NORWEST ADVANTAGE FUNDS
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1
<PAGE>
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INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA MAY 31, 1996
- --------------------------------------------------------------------------------
STABLE INCOME FUND MANAGED BY: KARL TOURVILLE
The fixed income market endured a volatile year as growing economic momentum put
an end to the year long rally in interest rates. The fiscal period beginning
November 1, 1995 and ending May 31, 1996 saw a considerable steepening in the
yield curve, as long Treasury yields increased approximately 0.65% and short
Treasury bill yields declined 0.30%. It took the better part of 1995 to correct
an inventory buildup which constrained Gross Domestic Product ("GDP") numbers
through the second half of the year. However, economic fundamentals continued to
strengthen in early 1996 as record employment statistics and a solid first
quarter 1996 GDP number inflated bond market anxiety. Market participants will
closely monitor forthcoming economic numbers and earnings releases to gain a
better sense as to whether or not the Federal Reserve Bank will tighten fiscal
policy at the Federal Open Market Committee meeting in early July.
The Fund's merger with the Norwest Adjustable U.S. Government Reserve Fund was
successfully completed in May and Fund assets now exceed $100,000,000. Our
strategy has been to diversify our holdings across different asset classes to
maximize returns while limiting the volatility of those returns. We have
purchased quality asset backed securities, adjustable rate mortgages, corporates
and taxable municipals toward that end. Our long term targets for the Fund's
primary asset classes are 10% in adjustable rate mortgages, 20% in asset backed
securities, 40% in mortgage backed securities, and 30% in corporates and other
spread products.
The Stable Income Fund's continued emphasis on a diversified portfolio of
quality mortgage backed, asset backed and corporate securities resulted in
outperformance against its benchmark since the prior fiscal period ended October
31, 1995; the I Shares of the Fund returned 2.97% versus 2.93% for the One Year
U.S. Treasury Bill during this time period. We continue to pay close attention
to any spread widening pressure and changes in prepayment expectations while
maintaining a yield higher than that of the benchmark. As we look ahead to the
rest of 1996 and beyond, we feel the Fund is well positioned versus its
benchmark.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
STABLE INCOME FUND VS. ONE YEAR U.S. TREASURY BILL ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $11,040
INDEX VALUE $10,968
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------
A SHARES B SHARES I SHARES INDEX
--------- ------------ --------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 4.03% N.A. 5.63% 5.46%
SINCE INCEPTION 5.51% (1.38%)** 6.54% 6.10%
INCEPTION DATE 11/11/94* 5/17/96 11/11/94 10/31/94
</TABLE>
* 5/2/96 was the actual inception date of A Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
** Represents total return for the period from inception to May 31, 1996.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
11/11/1994 $10,000 $10,000
11/30/1994 $10,030 $9,995
Dec-94 $10,070 $10,029
Jan-95 $10,120 $10,128
Feb-95 $10,200 $10,218
Mar-95 $10,280 $10,276
Apr-95 $10,340 $10,336
May-95 $10,450 $10,428
Jun-95 $10,510 $10,488
Jul-95 $10,550 $10,540
Aug-95 $10,610 $10,590
Sep-95 $10,660 $10,634
Oct-95 $10,720 $10,698
Nov-95 $10,800 $10,768
Dec-95 $10,860 $10,822
Jan-96 $10,940 $10,891
Feb-96 $10,940 $10,904
Mar-96 $10,970 $10,934
Apr-96 $11,000 $10,972
May-96 $11,040 $10,968
</TABLE>
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2
<PAGE>
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INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND MANAGED BY: MARJORIE GRACE
The fiscal period ended May 31, 1996 (commencing November 1, 1995) was another
volatile period in the fixed income markets. Bond yields dropped during most of
1995, and continued to drop into January of 1996. Yields then began to rise
significantly, increasing over 1.3% in the intermediate part of the yield curve
in which this Fund is situated. The bulk of the yield increases occurred on the
days when the monthly employment statistics were released, breaking records for
daily price declines. All of this activity occurred in the absence of any rate
increases by the Federal Reserve Bank ("Fed"). Rather, the Fed seemed to be
conducting monetary policy through public statements made by Fed Chairman
Greenspan and Federal Open Market Committee members.
Since our prior fiscal year ended on October 31, 1995, assets have increased
significantly due to a sister fund merging into the Fund. The name of the Fund
has changed (formerly Intermediate U.S. Government Fund), but our management
style has remained the same. Our goal is to provide consistent returns for our
shareholders by focusing on a low volatility style, managing our maturity close
to our benchmark. The Fund consists of a core portfolio of U.S. Treasury notes
supplemented with higher yielding U.S. agency notes and mortgage backed
securities. We increased the mortgage sector during 1996, as these securities
perform well in increasing interest rate environments.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INTERMEDIATE GOVERNMENT INCOME FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT
INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $19,329
INDEX VALUE $21,500
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
--------- ----------- --------- -----
<S> <C> <C> <C> <C>
ONE YEAR (0.46%) N.A. 3.42% 4.53%
FIVE YEAR 5.14% N.A. 5.94% 7.18%
TEN YEAR 6.41% N.A. 6.82% 7.96%
SINCE INCEPTION N.A. (3.48%)** N.A. N.A.
INCEPTION DATE N.A. 5/17/96 N.A. N.A.
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
** Represents total return for the period from inception to May 31, 1996.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
5/31/86 $10,000 $10,000
5/31/87 $10,519 $10,669
5/31/88 $11,260 $11,420
5/31/89 $12,168 $12,459
5/31/90 $13,029 $13,585
5/31/91 $14,491 $15,202
5/31/92 $16,027 $16,927
5/31/93 $17,743 $18,625
5/31/94 $17,254 $18,855
5/31/95 $18,688 $20,568
5/31/96 $19,329 $21,500
</TABLE>
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3
<PAGE>
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INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
DIVERSIFIED BOND FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
For the seven-month fiscal period ended May 31, 1996, the Fund returned 0.22%.
Prior to April 1, 1996, the Fund was called the Managed Fixed Income Fund, and
was run entirely in that style. Effective April 1, the Fund began pursuing its
investment objective by investing equally in three distinct investment styles:
managed fixed income, positive return and total return bond styles. This shift
toward a more diversified approach to investing is a result of the success
Norwest Advantage Funds have achieved in the blended equity funds.
The year 1996 has been a rather unprofitable year for bond investors, quite in
contrast to 1995, which witnessed one of the biggest bond market rallies in
history. The Federal Reserve Bank's "soft landing" economic scenario which
unfolded last year, together with tame inflation, led to a large decline in
interest rates, and with it, a surge in bond prices. This year, the bond market
has viewed economic data very differently. Continued economic strength (as
evidenced by growth in the Gross Domestic Product) has reinforced fears in the
minds of investors that upward pressure on wages and prices will lead to rising
inflation. Since the beginning of this year, the market has given up the hope of
an interest rate decrease by the Federal Reserve Bank. As a result, interest
rates moved higher, leading to a decline in bond prices. The Lehman Brothers
Intermediate Government/Corporate Index, which was up 2.37% during the last two
months of 1995, has since declined to end the Fund's fiscal period with a modest
gain of 1.09%.
The diversified structure of the Fund has insulated it from losing money during
this difficult year. Bond management styles perform differently in various
interest rate environments. The managed fixed income style is a defensive
approach that provides moderate levels of return in strong bond markets and a
low level of volatility across long periods of time. The positive return style
is designed to provide investors the ability to fully participate in a falling
rate environment (strong bond market) while affording a cushion against a rising
rate environment. The total return style is an approach that takes advantage of
changes in the direction of interest rates and the repetitive nature of the
business cycle. By employing these styles, we have succeeded in preventing a
loss to our investors during this fiscal period.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
DIVERSIFIED BOND FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE
INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $20,044
INDEX VALUE $21,849
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
-----------------
I SHARES* INDEX
--------- -----
<S> <C> <C>
ONE YEAR 4.06% 4.60%
FIVE YEAR 5.92% 7.44%
TEN YEAR 7.20% 8.13%
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
5/31/86 $10,000 $10,000
5/31/87 $10,741 $10,674
5/31/88 $11,487 $11,447
5/31/89 $12,556 $12,504
5/31/90 $13,581 $13,638
5/31/91 $15,032 $15,265
5/31/92 $16,568 $17,034
5/31/93 $17,687 $18,805
5/31/94 $17,975 $19,049
5/31/95 $19,263 $20,888
5/31/96 $20,044 $21,849
</TABLE>
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4
<PAGE>
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INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
INCOME FUND MANAGED BY: MARJORIE GRACE
The fiscal year ended May 31, 1996 was another volatile year in the fixed income
markets. Bond yields dropped during most of 1995, and continued to drop into
January of 1996. Yields then began to rise significantly, increasing over 1.3%
in the intermediate part of the yield curve in which this Fund is situated. The
bulk of the yield increase occurred on the days when the monthly employment
statistics were released, breaking records for daily price declines. All of this
activity occurred in the absence of any rate increase by the Federal Reserve
Bank ("Fed"). Rather, the Fed seemed to be conducting monetary policy through
public statements made by Fed Chairman Greenspan and Federal Open Market
Committee members.
At the end of 1995, assets increased due in part to the additional assets of a
Norwest common trust fund. Our goal continues to be to provide a high level of
income by utilizing a core portfolio of U.S. Treasury and Agency notes
supplemented with higher yielding mortgage backed securities and corporate
bonds. The corporate sector performed well over the entire fiscal year and the
mortgage backed sector has performed well during 1996 as yields have risen.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INCOME FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $18,857
INDEX VALUE $20,470
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------
A SHARES B SHARES I SHARES INDEX
-------- -------- -------- --------
<S> <C> <C> <C> <C>
ONE YEAR (1.31%) (1.08%) 2.58% 4.60%
FIVE YEAR 5.94% N.A. 6.73% 7.44%
SINCE INCEPTION 7.32% 1.14% 7.76% 8.29%
INCEPTION DATE 6/9/87 8/5/93 6/9/87* 5/31/87
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
6/9/87 $10,000 $10,000
5/31/88 $10,232 $10,725
5/31/89 $11,130 $11,714
5/31/90 $12,099 $12,778
5/31/91 $13,597 $14,301
5/31/92 $15,444 $15,959
5/31/93 $17,214 $17,618
5/31/94 $16,943 $17,847
5/31/95 $18,382 $19,570
5/31/96 $18,857 $20,470
</TABLE>
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5
<PAGE>
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INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1996
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND MANAGED BY: DAVE KINNEY
The bond market giveth and the bond market taketh away. That sums up the
volatility experienced over the last twelve months. Long-term rates began the
period at 6.65% and ended at 7.00%. But in between they dropped as low as 5.95%.
Just as investors became convinced that rates were headed to 5%, the bond market
reversed course. In the second half of the fiscal year interest rates rose as a
surprisingly strong economy raised investors' fears of accelerating inflation.
Early in the fiscal year, the average maturity of the Fund was shortened from
5.1 years to 4.5 years as interest rates fell. Even though the Fund has
performed well since the beginning of 1996 it was this defensive strategy during
the second half of calendar 1995 that contributed to the Fund's underperformance
for the fiscal year. By May 1996, with rates back over the 7% level, the average
maturity of the Fund was again extended out to 5.0 years. We still view this as
a defensive strategy and expect that interest rates have not yet seen their
peak. However, as rates move higher we will become more aggressive and continue
to extend the average maturity of the Fund.
Corporate yield spreads remain at historically narrow levels. Therefore, as
short duration corporate bonds have matured, proceeds have been reinvested in
government securities. As a result, the sector weighting in corporate bonds has
decreased from 27.8% at May 31, 1995 to 14.1% at May 31, 1996. This trend is
likely to continue until spreads widen to a level that justifies purchase of
lower quality credits.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
TOTAL RETURN BOND FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE
INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $10,678
INDEX VALUE $11,168
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------
A SHARES B SHARES I SHARES INDEX
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ONE YEAR (0.48%) (0.37%) 3.42% 4.60%
SINCE INCEPTION 2.75% 2.84% 4.41% 4.68%
INCEPTION DATE 12/31/93 12/31/93 12/31/93 12/31/93
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES. PERFORMANCE OF
THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON
DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE
DIFFERENT CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
12/31/93 $9,625 $10,000
May-94 $9,437 $9,737
May-95 $10,326 $10,677
May-96 $10,678 $11,168
</TABLE>
[LOGO]
6
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
TAX-FREE INCOME FUND MANAGED BY: BILL JACKSON
Fiscal year 1996 began in the middle of a rally in bond prices which extended
through 1995 into early 1996. The net asset value of the Fund rose from $9.82
per share at the beginning of the fiscal year to a high of $10.27 per share on
February 14, 1996 which marked the end of the bull market in bonds. Interest
rates have generally risen since that time which has caused the value of the
Fund's shares to fall to $9.78 per share at the end of the fiscal year. The Fund
paid a tax-exempt dividend every month and did not make any taxable
distributions during the year. The total return for the Fund for the fiscal year
was 5.29% compared to the average return of 3.49% for the funds in the Lipper
Analytical Services, Inc. General Municipal Debt category. The Fund's investment
performance is ranked fourth of two hundred and twenty-seven funds in its Lipper
category for the fiscal year and twenty-second of one hundred and thirty-nine
funds in its category for the three year period ended May 31, 1996. The total
return for the Fund for the three year period ended May 31, 1996 was 5.14%
compared to 4.43% for its Lipper category and 6.16% compared to 7.70% for the
five year period ended May 31, 1996. The Fund's assets grew 145% during the year
to over $316 million primarily as a result of a Norwest common trust fund's
decision to invest its assets in the Fund.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
TAX-FREE INCOME FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $14,681
INDEX VALUE $16,736
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------
A SHARES B SHARES I SHARES INDEX
-------- -------- -------- --------
<S> <C> <C> <C> <C>
ONE YEAR 1.37% 1.50% 5.29% 4.73%
FIVE YEAR 5.35% N.A. 6.16% 7.70%
SINCE INCEPTION 5.78% 3.27% 6.37% 7.83%
INCEPTION DATE 8/1/89 8/6/93 8/1/89* 7/31/89
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
8/1/89 $9,625 $10,000
5/31/90 $9,971 $10,461
5/31/91 $10,885 $11,548
5/31/92 $11,719 $12,622
5/31/93 $12,641 $14,177
5/31/94 $12,860 $14,663
5/31/95 $13,944 $15,980
5/31/96 $14,681 $16,736
</TABLE>
[LOGO]
7
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
COLORADO TAX-FREE FUND MANAGED BY: BILL JACKSON
Fiscal year 1996 began in the middle of a rally in bond prices which extended
through 1995 into early 1996. The net asset value of A Shares of the Fund rose
from $9.90 per share at the beginning of the fiscal year to a high of $10.39 per
share on February 14, 1996 which marked the end of the bull market in bonds.
Interest rates have generally risen since that time which has caused the value
of the Fund's A Shares to fall to $9.89 per share at the end of the fiscal year.
The total return of the A Shares of the Fund for the fiscal year was 5.35%
compared to the average return of 4.30% for the funds in the Lipper Analytical
Services, Inc. Colorado Municipal Debt category. The Fund's investment
performance is ranked second of nineteen funds in its Lipper category for the
fiscal year. The Fund's assets grew 3% during the fiscal year to over $57
million.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
COLORADO TAX-FREE FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $11,118
INDEX VALUE $11,805
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------
A SHARES B SHARES I SHARES INDEX
-------- -------- -------- --------
<S> <C> <C> <C> <C>
ONE YEAR 1.36% 1.56% 5.35% 4.73%
SINCE INCEPTION 3.60% 3.35% 4.92% 5.69%
INCEPTION DATE 6/1/93 8/2/93 6/1/93* 5/31/93
</TABLE>
* 8/23/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
6/1/93 $9,625 $10,000
May-94 $9,819 $10,343
May-95 $10,553 $11,272
May-96 $11,118 $11,805
</TABLE>
[LOGO]
8
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
MINNESOTA TAX-FREE FUND MANAGED BY: PATRICIA HOVANETZ
For the fiscal year ended May 31, 1996, the A Shares of the Fund provided total
return of 3.97% compared to the average return of 3.09% for the Minnesota funds
in the Lipper Analytical Services, Inc. Minnesota Municipal Debt category.
Prior to the beginning of the 1996 fiscal year, certain presidential candidates
and congressional leaders had advanced several potentially far-reaching tax
reform proposals. For much of the year, the municipal market struggled with
assessing the likelihood and probable impact of the proposed reforms. As a
result, the municipal market did not perform as well as other fixed income
markets. Following the presidential primary season, the market seemed to
discount the likelihood of sweeping reform, leading municipals back toward a
more normal yield relationship with U.S. Treasury Bonds. Nevertheless, at May
31, 1996 municipal yields stood near their highs of the previous twelve months
as signs of unexpected strength in the economy again fueled inflation worries.
The Fund continued to benefit from the change in strategy implemented during the
previous fiscal year. The longer maturity focus proved to be a boon for the
Fund's total return and for the income return during the year. At fiscal year
end, statistics for the Fund show an average maturity of 17.3 years, duration of
9.0 years, and an average quality rating high in the AA category. General
obligation issues represent about 40% of holdings and the remaining holdings are
a well-diversified array of revenue bond sectors. Assets of the Fund increased
76% during the year.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
MINNESOTA TAX-FREE FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $16,461
INDEX VALUE $19,428
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------
A SHARES B SHARES I SHARES INDEX
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 0.05% 3.28% 3.97% 4.73%
FIVE YEAR 5.41% N.A. 6.22% 7.70%
SINCE INCEPTION 6.12% 2.97% 6.61% 8.21%
INCEPTION DATE 1/12/88 8/6/93 1/12/88* 12/31/87
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
1/12/88 $9,625 $10,000
5/31/88 $6,510 $10,300
5/31/89 $10,621 $11,311
5/31/90 $11,239 $12,144
5/31/91 $12,167 $13,406
5/31/92 $13,084 $14,653
5/31/93 $14,306 $16,457
5/31/94 $14,584 $17,022
5/31/95 $15,832 $18,551
5/31/96 $16,461 $19,428
</TABLE>
[LOGO]
9
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1996
- --------------------------------------------------------------------------------
CONSERVATIVE BALANCED FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
This Fund, which has a 25% stock and 75% bond mix, posted a gain of 5.14% for
the seven-month fiscal period ended May 31, 1996. Overall, this period has been
a very profitable one for investors in the domestic equity market. A healthy
economy and benign inflation, which have displayed few signs of acceleration,
together with rising productivity and strong corporate profits, have all helped
fuel the continuing stock market rally. During the fiscal period, the Standard &
Poor's 500 Index of large capitalization stocks was up 16.70%, while the Russell
2000 Index of small stocks gained 23.08%.
The bond market has been a different story. The year 1996 has been a rather
unprofitable year for investors, quite in contrast to 1995, which witnessed one
of the biggest bond market rallies in history. The Federal Reserve Bank's "soft
landing" economic scenario which unfolded last year, together with tame
inflation, led to a large decline in interest rates, and with it, a surge in
bond prices. This year, the bond market has viewed economic data very
differently. Continued economic strength (as evidenced by growth in the Gross
Domestic Product) has reinforced fears in the minds of investors that upward
pressure on wages and prices will lead to rising inflation. Since the beginning
of this year, the market has given up hope of an interest rate decrease by the
Federal Reserve Bank. As a result, interest rates have moved higher, leading to
a decline in bond prices. The Lehman Brothers Intermediate Government/Corporate
Index, which had gained 2.37% during the last two months of 1995, has since
declined to end the Fund's fiscal period with a modest gain of 1.09%.
The diversified equity portfolio, which makes up 25% of the Fund's assets, had a
solid fiscal period, returning 16.38%. The diversified bond style, comprising
50% of the Fund, returned 0.22%, while the stable income portion, at 15% of
assets, returned 2.97%. The short maturity investment style, which represents
10% of the Fund's assets, posted a return of 3.27%.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
CONSERVATIVE BALANCED FUND VS. STANDARD & POOR'S 500 INDEX AND
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Standard & Poor's 500 Index ("S&P 500 Index") and the
Lehman Brothers Intermediate Government/Corporate Index ("Lehman Index"). These
indices exclude the effect of any fees or sales charges. Investment return and
principal value of an investment in the Fund will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $18,356
S&P 500 INDEX $26,721
LEHMAN INDEX $17,821
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
--------- -------- --------
<S> <C> <C> <C>
ONE YEAR 10.16% 28.41% 4.60%
FIVE YEAR 7.93% 14.54% 7.44%
SINCE INCEPTION 8.94% 14.88% 8.50%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund S&P 500 Index
<S> <C> <C> <C>
5/1/89 $10,000 $10,000 $10,000
5/31/89 $10,188 $10,403 $10,198
5/31/90 $11,282 $12,127 $11,124
5/31/91 $12,528 $13,554 $12,450
5/31/92 $13,721 $14,887 $13,893
5/31/93 $14,731 $16,612 $15,338
5/31/94 $15,308 $17,318 $15,537
5/31/95 $16,663 $20,809 $17,037
5/31/96 $18,356 $26,721 $17,821
</TABLE>
[LOGO]
10
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
MODERATE BALANCED FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
This Fund, which has a 40% stock and 60% bond mix, gained 7.03% during the seven
month period ended May 31, 1996. Domestic equity investors have been well
rewarded during this period. A healthy economy and benign inflation, which have
displayed few signs of acceleration, together with rising productivity and
strong corporate profits, have all helped fuel the continuing stock market
rally. During the fiscal period the Standard & Poor's 500 Index of large
capitalization stocks was up 16.70%, while the Russell 2000 Index of small
stocks gained 23.08%.
The bond market has been a different story. The year 1996 has been a rather
unprofitable year for investors, quite in contrast to 1995, which witnessed one
of the biggest bond market rallies in history. This year's continued economic
strength (as evidenced by growth in the Gross Domestic Product) has reinforced
fears in the minds of investors that upward pressure on wages and prices will
lead to rising inflation. Since the beginning of this year, the market has given
up hope of an interest rate decrease by the Federal Reserve Bank. As a result,
interest rates have moved higher, leading to a decline in bond prices. The
Lehman Brothers Intermediate Government/Corporate Index, which had gained 2.37%
during the last two months of 1995, has since declined to end the Fund's fiscal
period with a modest gain of 1.09%.
The diversified bond style, comprising 45% of the Fund's assets, returned 0.22%,
while the stable income portfolio, at 15% of assets, returned 2.97% during the
fiscal period. The diversified equity style, which is 40% of the Fund's assets,
had an excellent fiscal period, returning 16.38%.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
MODERATE BALANCED FUND VS. STANDARD & POOR'S 500 INDEX AND
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Standard & Poor's 500 Index ("S&P 500 Index") and the
Lehman Brothers Intermediate Government/Corporate Index ("Lehman Index"). These
indices exclude the effect of any fees or sales charges. Investment return and
principal value of an investment in the Fund will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $20,292
S&P 500 INDEX $26,721
LEHMAN INDEX $17,821
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
--------- -------- --------
<S> <C> <C> <C>
ONE YEAR 13.85% 28.41% 4.60%
FIVE YEAR 9.27% 14.54% 7.44%
SINCE INCEPTION 10.50% 14.88% 8.50%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund S&P 500 Index
<S> <C> <C> <C>
5/1/89 $10,000 $10,000 $10,000
5/31/89 $10,228 $10,403 $10,198
5/31/90 $11,673 $12,127 $11,124
5/31/91 $13,017 $13,554 $12,450
5/31/92 $14,350 $14,887 $13,893
5/31/93 $15,512 $16,612 $15,338
5/31/94 $16,186 $17,318 $15,537
5/31/95 $17,823 $20,809 $17,037
5/31/96 $20,292 $26,721 $17,821
</TABLE>
[LOGO]
11
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
GROWTH BALANCED FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
The assets of this Fund consist of a 65% stock and 35% bond mix, and experienced
a return of 10.87% during the seven-month fiscal period ended May 31, 1996.
Overall, this period has been a very profitable one for investors in the
domestic equity market. A healthy economy and benign inflation, which have
displayed few signs of acceleration, coupled with rising productivity and strong
corporate profits, have all helped fuel the continuing stock market rally. The
last two months of 1995 were characterized by a broad market, with roughly
similar performance of large and small capitalization stocks, as well as
international holdings. The Standard & Poor's 500 Index ("S&P 500 Index") of
large company stocks returned 6.40%, while the Russell 2000 Index of small
capitalization stocks was up 6.95%. The Morgan Stanley Capital International
Europe, Australia, and Far East Index of foreign stocks rose by 6.92% in the
same period. Year to date, 1996 has been dominated by the outperformance of
small company stocks. After a brief pause in January this group, particularly
growth-oriented small stocks, has rallied to return 15.09%, as measured by the
Russell 2000 Index. Large company stocks have not been far behind, with the S&P
500 Index posting a gain of 9.68%. The international markets have been less
fruitful this year, returning 3.93% as of May 31, 1996.
The bond market has been a different story. The year 1996 has been a rather
unprofitable year for investors, quite in contrast to 1995, which witnessed one
of the biggest bond market rallies in history. This year's continued economic
strength (as evidenced by growth in the Gross Domestic Product) has reinforced
fears in the minds of investors that upward pressure on wages and prices will
lead to rising inflation. As a result, interest rates have moved higher, leading
to a decline in bond prices. The Lehman Brothers Intermediate
Government/Corporate Index, which was up 2.37% during the last two months of
1995, has since declined to end the Fund's fiscal period with a modest gain of
1.09%.
The diversified equity portfolio, which makes up 65% of the Fund's assets,
performed extremely well during the fiscal period, gaining 16.38%. The
diversified bond style, comprising 35% of the assets, returned 0.22%.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GROWTH BALANCED FUND VS. STANDARD & POOR'S 500 INDEX AND LEHMAN BROTHERS
INTERMEDIATE GOVERNMENT/CORPORATE INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Standard & Poor's 500 Index ("S&P 500 Index") and the
Lehman Brothers Intermediate Government/Corporate Index ("Lehman Index"). These
indices exclude the effect of any fees or sales charges. Investment return and
principal value of an investment in the Fund will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than their original
cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $22,495
S&P 500 INDEX $26,721
LEHMAN INDEX $17,821
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
--------- -------- --------
<S> <C> <C> <C>
ONE YEAR 19.78% 28.41% 4.60%
FIVE YEAR 11.22% 14.54% 7.44%
SINCE INCEPTION 12.11% 14.88% 8.50%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund S&P 500 Index
<S> <C> <C> <C>
5/1/89 $10,000 $10,000 $10,000
5/31/89 $10,154 $10,403 $10,198
5/31/90 $11,720 $12,127 $11,124
5/31/91 $13,208 $13,554 $12,450
5/31/92 $14,668 $14,887 $13,893
5/31/93 $15,980 $16,612 $15,338
5/31/94 $16,758 $17,318 $15,537
5/31/95 $18,781 $20,809 $17,037
5/31/96 $22,495 $26,721 $17,821
</TABLE>
[LOGO]
12
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
INCOME EQUITY FUND MANAGED BY: DAVID ROBERTS
Fund performance continues to be very competitive versus the market as measured
by the Standard & Poor's 500 Index ("S&P 500 Index"). The Fund had a significant
advantage versus the S&P 500 Index for the seven month period ended May 31, 1996
(18.14% vs. 16.70%, respectively).
A noteworthy contribution to the Fund's performance were the very strong results
posted by the combined technology-capital goods sector. Two other sectors that
have been overweighted in the Fund, consumer cyclicals and energy, also produced
above market returns.
The Fund's current emphasis is focused on several sectors including
technology-capital goods, energy and consumer cyclicals. The technology-capital
goods sector should continue to benefit from the emphasis on improving
productivity resulting in increased capital investments, as well as improving
foreign economies. The above average yield of the energy sector should help the
Fund if the market weakens and the sector's fundamentals continue to improve.
The Fund's overall fundamentals compare very favorably to the market with regard
to valuation, gross yield, as well as conservative estimated earnings growth for
the longer term.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INCOME EQUITY FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $28,459
INDEX VALUE $26,378
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
--------- ---------- --------- --------
<S> <C> <C> <C> <C>
ONE YEAR 22.64% N.A. 28.41% 28.41%
FIVE YEAR 13.22% N.A. 14.27% 14.54%
SINCE INCEPTION 14.96% (1.77%)** 15.70% 14.48%
INCEPTION DATE 3/31/89 5/2/96 3/31/89 3/31/89
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
** Represents total return for the period from inception to May 31, 1996.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
FUND INDEX
<S> <C> <C>
03/31/89 $10,000 $10,000
05/31/89 $10,972 $10,891
05/31/90 $12,624 $12,753
05/31/91 $14,599 $14,253
05/31/92 $15,914 $15,651
05/31/93 $17,614 $17,462
05/31/94 $17,832 $18,204
05/31/95 $22,163 $21,875
05/31/96 $28,459 $26,378
</TABLE>
[LOGO]
13
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1996
- --------------------------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND MANAGED BY: DAVE BEECK/ANN WHITEN
Although the Fund's absolute performance was strong, its performance relative to
the Standard & Poor's 500 Index was disappointing for the fiscal year ended May
31, 1996. Fortunately, fund performance has dramatically improved for the first
five months of 1996. The Fund's underperformance for the first seven months of
its fiscal year primarily reflects three factors. First, corporate profits in
general were very strong, especially for cyclical and lower quality companies.
During periods of exceptional profit recovery, quality growth stocks often
underperform. The year 1995 was no exception. Second, the markets were fairly
narrow in terms of leadership. Financial, health care, and technology issues
were particularly strong during this period. While the Fund held a number of
these issues, the Fund was not "overweighted" relative to the market in these
sectors and had full exposure to other sectors that lagged the market. The
Fund's consumer cyclical holdings in particular hurt performance. Finally,
performance was hurt by stock selection and management style. The Fund's stock
selection is based upon fundamental analysis and value. Unfortunately, the Fund
held too many stocks with lagging price performance while waiting for their
fundamentals to improve or be recognized. During previous years, this patience
has added value, but in a strong bull market it weighed down performance.
As noted above, performance has substantially improved since December. In part,
this relative improvement reflects the slow down in the economic growth of
corporate profits. As a result, quality growth companies and companies with
stable earnings are outperforming the market. In addition, a number of the
issues held by the Fund while waiting for fundamental improvement are now
outperforming the market as those fundamentals are more broadly recognized.
Finally, we have made certain strategic shifts in sector weightings aimed at
increasing diversification and making the Fund more neutrally balanced relative
to economic sensitivity. These strategies have proven to be beneficial.
Looking forward, we believe that the Fund remains well positioned for the
upcoming economic environment. While the Fund is neutrally balanced with regard
to economic activity, it does have a global bias with strong representation in
the stocks of companies with gold franchises and international distribution. In
addition, the Fund is focused on companies with new products, rising product
demand, financial cost restructuring or a combination of these factors such that
earnings should continue to grow and meet expectations in either a slow growth
economy or modest recession. Therefore, the Fund's holdings should experience
accelerating relative earnings momentum. We believe that this anticipated
earnings momentum, combined with diversification and compelling values, will
continue to make the Fund an attractive investment opportunity.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
VALUGROWTH-SM- STOCK FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $25,798
INDEX VALUE $35,084
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------
A SHARES B SHARES I SHARES INDEX
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 16.20% 16.79% 21.72% 28.41%
FIVE YEAR 10.12% N.A. 11.10% 14.54%
SINCE INCEPTION 11.94% 10.40% 12.53% 16.08%
INCEPTION DATE 1/8/88 8/5/93 1/8/88* 12/31/87
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
1/8/88 $9,550 $10,000
5/31/88 $9,348 $10,776
5/31/89 $11,486 $13,659
5/31/90 $13,906 $15,923
5/31/91 $15,205 $17,796
5/31/92 $17,225 $19,546
5/31/93 $18,830 $21,812
5/31/94 $19,147 $22,738
5/31/95 $21,199 $27,322
5/31/96 $25,798 $35,084
</TABLE>
[LOGO]
14
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
INDEX FUND MANAGED BY: DAVE SYLVESTER
Stocks continued to be the big market news during the seven month fiscal period
ended May 31, 1996. The strongest performing sector was capital goods, followed
closely by basic industries and consumer durables. Once again the technology
stocks led the way to producing superior returns, led by computer-related,
electronics, and communications issues. This Fund, which seeks to replicate the
return of the Standard & Poor's 500 Index ("S&P 500 Index"), continued to
participate in the stock market rally, producing a return of 16.27% for the
seven month period ended May 31, 1996.
In January 1996, we took several steps designed to enhance the Fund's ability to
track with the S&P 500 Index. First, the portfolio was rebalanced to bring it
into line with the S&P 500 Index. Positions in all 500 stocks were established,
each according to their weight in the S&P 500 Index. The Fund also began a
program of quarterly rebalancing in order to keep the Fund in line with the S&P
500 Index. In addition, a program of hedging the cash portion of the portfolio
with near-term S&P 500 Index futures contracts was implemented, allowing the
Fund to both meet its liquidity needs as well as to provide a market rate of
return. These important changes have helped to improve the performance of the
Fund against its benchmark. The Fund will consider incorporating other measures
in the future that will improve the ability of the Fund to replicate the S&P 500
Index.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INDEX FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $30,952
INDEX VALUE $32,544
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL
RETURN
--------------------
I SHARES* INDEX
--------- --------
<S> <C> <C>
ONE YEAR 27.41% 28.41%
FIVE YEAR 13.82% 14.54%
SINCE INCEPTION 12.86% 13.48%
INCEPTION DATE 2/1/87 1/31/87
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
2/1/87 $10,000 $10,000
5/31/87 $10,682 $10,692
5/31/88 $9,933 $9,995
5/31/89 $12,523 $10,919
5/31/90 $14,454 $14,770
5/31/91 $16,189 $16,507
5/31/92 $17,701 $15,626
5/31/93 $19,686 $20,232
5/31/94 $20,363 $21,092
5/31/95 $24,293 $21,842
5/31/96 $30,952 $32,544
</TABLE>
[LOGO]
15
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
DIVERSIFIED EQUITY FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
During the seven month fiscal period ended May 31, 1996, the I Shares of the
Fund experienced a gain of 16.38%. This period has been a very profitable one
for investors in the domestic equity market. A healthy economy and benign
inflation, which have displayed few signs of acceleration, coupled with rising
productivity and strong corporate profits, have all helped fuel the continuing
stock market rally.
The last two months of 1995 were characterized by a broad market, with roughly
similar performance for large and small capitalization stocks, as well as
international holdings. The Standard & Poor's 500 Index ("S&P 500 Index") of
large company stocks returned 6.40%, while the Russell 2000 Index of small
capitalization stocks was up 6.95%. The Morgan Stanley Capital International
Europe, Australia, and Far East Index ("MSCI EAFE Index") of foreign stocks rose
by 6.92% during the same period. Year to date, 1996 has been dominated by the
outperformance of small company stocks. After a brief pause in January this
group, particularly growth-oriented small stocks, has rallied to return 15.09%
as measured by the Russell 2000 Index. Large company stocks have not been far
behind, with the S&P 500 Index posting a gain of 9.68%. The international
markets have been less fruitful this year, turning in a total return of 3.93% as
of May 31. These gains are reflected in the performance of the Fund.
The small company portfolio of the Diversified Equity Fund led returns on the
heels of the rally in that market with a gain of 20.20% during the past fiscal
period. The income equity style returned 18.14%, beating its benchmark by 1.45%,
while the index portion, which tracks the S&P 500 Index, returned 16.27%. The
large company style followed closely with a return of 15.40%. Returns on the
international portfolio were 12.17% during this period. It is worthy to note
that this style beat its benchmark, the MSCI EAFE Index by 1.04% over this seven
month period.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
DIVERSIFIED EQUITY FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $30,470
INDEX VALUE $30,099
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
--------- ---------- --------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 22.56% N.A. 28.31% 28.41%
FIVE YEAR 13.31% N.A. 14.34% 14.54%
SINCE INCEPTION 15.49% (0.16%)** 16.20% 16.02%
INCEPTION DATE 1/1/89 5/6/96 1/1/89 12/31/88
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
** Represents total return for the period from inception to May 31, 1996.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
1/1/89 $10,000 $10,000
5/31/89 $11,541 $11,718
5/31/90 $13,698 $13,661
5/31/91 $15,579 $15,268
5/31/92 $17,379 $16,769
5/31/93 $19,112 $18,712
5/31/94 $20,370 $19,507
5/31/95 $23,747 $23,440
5/31/96 $30,470 $30,099
</TABLE>
[LOGO]
16
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
GROWTH EQUITY FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE
MANAGERS
During the seven month fiscal period ended May 31, 1996, the I Shares of the
Fund experienced a gain of 15.83%. This Fund is a globally diversified equity
fund with investments in large and small capitalization stocks spread over the
domestic and international stock markets.
Overall, this fiscal period has been a very profitable one for investors in the
domestic equity market. A healthy economy and benign inflation, which has
displayed few signs of acceleration, coupled with rising productivity and strong
corporate profits, have all helped fuel the continuing stock market rally. The
last two months of 1995 were characterized by a broad market, with roughly
similar performance for large and small capitalization stocks, as well as
international holdings. The Standard & Poor's 500 Index ("S&P 500 Index") of
large company stocks returned 6.40%, while the Russell 2000 Index of small
capitalization stocks was up 6.95%. The Morgan Stanley Capital International
Europe, Australia, and Far East Index ("MSCI EAFE Index") of foreign stocks rose
by 6.92% during the same period. Year to date, 1996 has been dominated by the
outperformance of small company stocks. After a brief pause in January this
group, particularly growth-oriented small stocks, has rallied to return 15.09%
as measured by the Russell 2000 Index. Large company stocks have not been far
behind, with the S&P 500 Index posting a gain of 9.68%. The international
markets have been less fruitful this year, turning a total return of 3.93% so
far. These gains are reflected in the performance of the Fund.
The small company style utilized in the Growth Equity Fund led returns on the
heels of the rally in that market with a gain of 20.20% as of its May 31, 1996
fiscal period end. The large company style followed closely with a return of
15.40%. International investors earned 12.17%, with this style beating its
benchmark, the MSCI EAFE Index, by 1.04%.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GROWTH EQUITY FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $29,618
INDEX VALUE $26,721
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
--------- ---------- --------- --------
<S> <C> <C> <C> <C>
ONE YEAR 23.23% N.A. 29.03% 28.41%
FIVE YEAR 14.62% N.A. 15.69% 14.54%
SINCE INCEPTION 15.79% (0.84%)** 16.55% 14.88%
INCEPTION DATE 5/1/89 5/6/96 5/1/89 4/30/89
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
** Represents total return for the period from inception to May 31, 1996.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
5/1/89 $10,000 $10,000
5/31/89 $10,317 $10,403
5/31/90 $12,520 $12,127
5/31/91 $14,282 $13,554
5/31/92 $16,299 $14,887
5/31/93 $18,435 $16,612
5/31/94 $20,541 $17,318
5/31/95 $22,955 $20,809
5/31/96 $29,618 $26,721
</TABLE>
[LOGO]
17
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1996
- --------------------------------------------------------------------------------
LARGE COMPANY GROWTH FUND MANAGED BY: JOHN S. DALE
The Fund was affected by two dramatically different environments over the
October 1995 to May 1996 time frame. The Fund was negatively impacted during the
final weeks of 1995 as investors fled high growth stocks. Defensive stocks such
as energy and slow growth consumer staples soared due to widespread concern that
the U.S. economy was headed toward recession. The recession scare continued into
early 1996, only to give way to an economic growth scare later in the first
quarter. By February, growth stocks began to reemerge in dramatic fashion. The
Fund has been outperforming both its growth and general market benchmarks year
to date through May. Throughout these market episodes, the Fund has delivered
outstanding earnings gains. The market can ignore these gains for awhile, but
eventually the stronger fundamentals get reflected in higher stock prices.
The sharp decline in growth stocks allowed us to strengthen and enhance the
portfolio's growth profile. We initiated positions on long followed companies
such as Cisco Systems, HBO & Company, and Amgen. Turnover has remained
relatively light over this period. In direct contrast to end of year 1995, a
vast majority of the Fund's holdings are outperforming the market indices in
1996.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
LARGE COMPANY GROWTH FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $33,518
INDEX VALUE $36,878
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
---------------------
I SHARES* INDEX
--------- ---------
<S> <C> <C>
ONE YEAR 32.35% 28.41%
FIVE YEAR 13.59% 14.54%
TEN YEAR 12.84% 13.94%
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
5/31/86 $10,000 $10,000
5/31/87 $11,922 $12,116
5/31/88 $9,477 $11,326
5/31/89 $11,742 $14,357
5/31/90 $14,382 $16,737
5/31/91 $17,712 $18,706
5/31/92 $20,828 $20,545
5/31/93 $21,352 $22,927
5/31/94 $22,115 $23,901
5/31/95 $25,326 $28,719
5/31/96 $33,518 $36,878
</TABLE>
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18
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
SMALL COMPANY STOCK FUND MANAGED BY: KIRK MCCOWN
Over the last fiscal year ending May 31, 1996, the Fund enjoyed an orderly
growth in size while outperforming its benchmark, the Russell 2000 Index. As
with most small cap funds, the pattern of the last fiscal year was:
outperformance of the market in the summer of 1995 as technology stocks
dominated; underperformance in the fall of 1995 as small cap stocks corrected;
and renewed outperformance in the late winter and spring of 1996 as small cap
stocks outperformed large cap stocks. This Fund doubled in size over the last
fiscal year, forming the basis of what would have to be called a successful
year.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
SMALL COMPANY STOCK FUND VS. RUSSELL 2000 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $14,471
INDEX VALUE $14,554
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------
A SHARES B SHARES I SHARES INDEX
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 32.01% 33.32% 38.30% 35.90%
SINCE INCEPTION 16.39% 16.75% 18.43% 16.66%
INCEPTION DATE 12/31/93 12/31/93 12/31/93 12/31/93
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES. PERFORMANCE OF
THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON
DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE
DIFFERENT CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
12/31/1993 $9,550 $10,000
May-94 $9,471 $9,682
May-95 $10,440 $10,680
May-96 $14,471 $14,554
</TABLE>
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19
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
SMALL COMPANY GROWTH FUND MANAGED BY: ROBERT MERSKY
Over the seven month period ended May 31, 1996, the Fund returned 21.43% versus
returns of 23.08% for the Russell 2000 Index, 20.4% for the NASDAQ OTC Composite
Index and 16.70% for the Standard & Poor's 500 Index.
Over the most recent seven-month period:
Small stocks have considerably outperformed large stocks, a trend that
became particularly pronounced after early January concerns over rising
interest rates and a slowing economy subsided.
The market was buoyed by strong mutual fund cash flows as evidence that
continuing economic growth would be accompanied by modest inflationary
pressures.
Both "overlooked" stocks and small, rapidly growing "discovery" stocks
performed well for the Fund. Discovery stocks really stood out as the seven
month period drew to a close as continued earnings advances drew investor
interest during a period that saw overall corporate profit gains slow
substantially.
At May 31, 1996, the Fund possesses strong appreciation prospects:
Valuations for the Fund's stocks (a portfolio price/earnings ratio of 15)
are in line with historic norms, a stark contrast to the historically high
valuations being accorded the general stock market (17 times earnings).
The outlook for earnings growth is strong both for this year and the longer
term. While the Fund's stocks are expected to show a 23% per annum profit
increase over the next several years, corporate earnings in general are
struggling thus far in 1996 and are expected to grow only 7% over the longer
term.
With the Fund's stocks being inexpensive and their growth expectations
bright, the Fund is ideally situated to capitalize on the resumption of the
favorable small stock investment cycle.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
SMALL COMPANY GROWTH FUND VS. RUSSELL 2000 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $55,875
INDEX VALUE $28,084
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
------------------
I SHARES* INDEX
--------- ------
<S> <C> <C>
ONE YEAR 47.43% 35.90%
FIVE YEAR 23.02% 17.09%
TEN YEAR 18.77% 10.88%
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
5/31/86 $10,000 $10,000
5/31/87 $12,460 $10,603
5/31/88 $10,906 $9,532
5/31/89 $13,415 $11,789
5/31/90 $14,170 $11,837
5/31/91 $19,804 $12,762
5/31/92 $23,537 $14,449
5/31/93 $30,515 $17,238
5/31/94 $32,524 $18,735
5/31/95 $37,898 $20,666
5/31/96 $55,875 $28,084
</TABLE>
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20
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
CONTRARIAN STOCK FUND MANAGED BY: LON SCHREUR
The past twelve months proved to be very difficult for the Fund's relative
performance, as the Fund significantly underperformed the Standard & Poor's 500
Index. The Fund's holdings, concentrated in economically sensitive stocks,
trailed the general market as confidence in the sustainability of world economic
activity was continually questioned over the last year. During the second half
of 1995, the economy's slowdown and associated nervousness among investors about
the possibility of a recessionary period negatively impacted the Fund's cyclical
holdings. This slowdown and the associated decline in interest rates had acted
to shift market focus and momentum toward "growth" and interest sensitive
stocks. By early 1996, concerns shifted from a slowing economy to an
accelerating economy. Worries about inflation and rising interest rates induced
investors to shift back into "cyclical" stocks, such as steel, paper, aluminum,
and capital goods companies, that tend to benefit from a growing economy.
However, during May these concerns subsided and momentum once again shifted away
from these economically sensitive stocks.
Uncertainty about the extent of the economy's current rebound has led investors
to question previous economic assumptions (for example, continued low inflation
and falling bond yields). Reports of rising employment and stronger than
expected retail sales have been somewhat offset by benign reports on inflation.
The gradual acceptance that the economy is stronger than previously anticipated
will result in a progressive shift into "cyclical" stocks (which had been
discarded as earnings expectations shrank and inventories rose). We expect this
shift into cyclicals to persist as the economy continues to expand.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
CONTRARIAN STOCK FUND VS. STANDARD & POOR'S 500 INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $11,753
INDEX VALUE $15,282
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------
A SHARES B SHARES I SHARES INDEX
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ONE YEAR 5.95% 6.02% 10.90% 28.41%
SINCE INCEPTION 6.91% 7.06% 8.97% 19.18%
INCEPTION DATE 12/31/93 12/31/93 12/31/93 12/31/93
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES. PERFORMANCE OF
THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON
DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE
DIFFERENT CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
12/31/93 $9,550 $10,000
May-94 $9,335 $9,904
May-95 $10,597 $11,901
May-96 $11,753 $15,282
</TABLE>
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21
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONCLUDED) MAY 31, 1996
- --------------------------------------------------------------------------------
INTERNATIONAL FUND MANAGED BY: SCHRODER CAPITAL MANAGEMENT INTERNATIONAL INC.
An economic backdrop of falling short-term rates has been a feature in nearly
all European countries during the past six months. In Japan, the rates have
already fallen so low that they cannot meaningfully go lower. This environment
has fed optimism that a recovery in economic growth and in corporate profits is
in prospect, although still somewhat delayed in Europe. Japan is now firmly on
its way to recovery from a long recession. Continental Europe is still lagging
behind and is now expected to bounce back in the second half of the year. Lower
interest rates and a weaker currency are the two main reasons why economists
believe European economies will show better growth in the coming months. Over
the seven month period, the Fund's exposure to Japan rose from 27% to over 31%
and the exposure to the UK was reduced from 14.5% of the portfolio to less than
13%. The Netherlands still accounted for 11% at the end of May while the
exposure to Hong Kong was reduced from 6.4% to 4.6%, bringing it more in line
with the MSCI EAFE index.
Purchases in Japan have focused almost exclusively on companies with an exposure
to a pick-up in domestic demand. As of May 31, 1996, two-thirds of the
portfolio's Japanese weighting was invested in companies wholly or largely
exposed to domestic consumption or capital investment spending and the remaining
third was invested in companies sensitive to world demand. We have avoided the
banking sector completely where the only potential for improvement is an end to
bad loan provisions. At this point, we believe the risks involved in owning
banking stocks are too high while the potential returns seem limited due to
historically high valuations. We have sold a broad range of stocks in the UK and
in the process have left the portfolio with a particular bias towards medium
sized British companies, many of which are sensitive to consumer spending. Lower
interest rates and tax cuts are creating a "feel good" effect which is no longer
dampened by high unemployment rates. The risk in the British market, as we
perceive it at the present time, is that the overly stimulative economic policy
could result in higher inflation and higher interest rates; hence our
underweight position.
Elsewhere in Europe, we maintained a small overweight position heavily skewed
towards Germany, the Netherlands and Switzerland which comprise approximately
75% of aggregate exposure to the region. Growth stocks, i.e. shares of companies
that are expected to show strong and regular earnings per share growth, have
been in strong demand over the past year in Europe. Particularly in the
Netherlands, the Fund has taken advantage of this trend as some of the Fund's
growth stocks have enjoyed impressive upward earnings revisions. Currency
hedging remained limited in scope: approximately 2% of the portfolio's Japanese
yen and Swiss franc exposure was sold forward into dollars. Together, these
hedges covered around 15% of the portfolio.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INTERNATIONAL FUND VS. MSCI EAFE INDEX
- --------------------------------------------------------------------------------
The following chart reflects a comparison of a change in value of a $10,000
investment in the Fund, including reinvested dividends and distributions, and
the performance of the Index. The Index excludes the effect of any fees or sales
charges. Investment return and principal value of an investment in the Fund will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. PAST PERFORMANCE IS NOT PREDICTIVE NOR A GUARANTEE OF
FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1996
--------------------
<S> <C>
FUND VALUE $19,742
INDEX VALUE $16,138
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
--------- -------- --------- --------
<S> <C> <C> <C> <C>
ONE YEAR 10.34% 10.67% 15.57% 10.67%
FIVE YEAR 9.79% N.A. 10.63% 8.21%
SINCE INCEPTION 7.39% 15.52% 7.85% 5.46%
INCEPTION DATE 6/1/87 5/12/95 6/1/87 5/31/87
</TABLE>
* Performance information includes the performance of the Fund's predecessor
collective trust fund for periods before the Fund's registration statement
became effective on November 11, 1994. Performance reflects the historic
performance of the mutual fund in which the collective trust invested, which is
managed by Schroder Capital Management International Inc. Performance has been
adjusted to reflect the fees and expenses of the fund, which are higher than the
fees and expenses of the predecessor collective trust fund during those periods.
The collective trust fund was not registered under the Investment Company Act of
1940 (the "1940 Act") or subject to certain investment restrictions that are
imposed by the 1940 Act. If the collective trust fund had been registered under
the 1940 Act, the collective trust fund historical return may have been
adversely affected. Index returns do not reflect expenses, which have been
deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND OR REIMBURSED.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
7/15/87 $10,000 $10,000
5/31/88 $9,480 $10,707
5/31/89 $10,126 $11,614
5/31/90 $12,443 $11,895
5/31/91 $11,456 $11,257
5/31/92 $11,867 $10,878
5/31/93 $12,564 $12,662
5/31/94 $15,917 $14,380
5/31/95 $16,431 $15,089
5/31/96 $18,989 $16,699
</TABLE>
[LOGO]
22
<PAGE>
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT MAY 31, 1996
The Trustees and Shareholders of
Norwest Advantage Funds
We have audited the accompanying statements of assets and
liabilities, including the portfolios of investments of
Stable Income Fund, Intermediate Government Income Fund
(formerly Intermediate U.S. Government Fund), Diversified
Bond Fund (formerly Managed Fixed Income Fund), Income
Fund, Total Return Bond Fund, Tax-Free Income Fund,
Colorado Tax-Free Fund, Minnesota Tax-Free Fund,
Conservative Balanced Fund, Moderate Balanced Fund, Growth
Balanced Fund, Income Equity Fund, ValuGrowth-SM- Stock
Fund, Index Fund, Diversified Equity Fund, Growth Equity
Fund, Large Company Growth Fund, Small Company Stock Fund,
Small Company Growth Fund, Contrarian Stock Fund and
International Fund, portfolios of Norwest Advantage Funds
(the Funds) as of May 31, 1996, the related statements of
operations for the periods presented on pages 27 to 29 and
pages 30 to 31, changes in net assets for each of the
periods presented on pages 32 to 34 and financial
highlights for each of the periods subsequent to May 31,
1993 presented on pages 46 to 52. These financial
statements and financial highlights are the responsibility
of the Funds' management. Our responsibility is to express
an opinion on these financial statements and financial
highlights based on our audits. The financial highlights
for each of the years or periods ended on or before May
31, 1993 were audited by other auditors whose report dated
July 20, 1993 expressed an unqualified opinion on those
financial highlights.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of
securities owned as of May 31, 1996 by correspondence with
the custodian and brokers. An audit also includes
assessing the accounting principles used and significant
estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the
financial position of Stable Income Fund, Intermediate
Government Income Fund (formerly Intermediate U.S.
Government Fund), Diversified Bond Fund (formerly Managed
Fixed Income Fund), Income Fund, Total Return Bond Fund,
Tax-Free Income Fund, Colorado Tax-Free Fund, Minnesota
Tax-Free Fund, Conservative Balanced Fund, Moderate
Balanced Fund, Growth Balanced Fund, Income Equity Fund,
ValuGrowth-SM- Stock Fund, Index Fund, Diversified Equity
Fund, Growth Equity Fund, Large Company Growth Fund, Small
Company Stock Fund, Small Company Growth Fund, Contrarian
Stock Fund and International Fund, portfolios of Norwest
Advantage Funds, at May 31, 1996, results of their
operations for the periods presented on pages 27 to 29 and
30 to 31, changes in their net assets for each of the
periods presented on pages 32 to 34, and financial
highlights for each of the periods subsequent to May 31,
1993 presented on pages 46 to 52 in conformity with
generally accepted accounting principles.
KPMG Peat Marwick LLP
Boston, Massachusetts
July 19, 1996
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23
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
INTERMEDIATE
STABLE GOVERNMENT DIVERSIFIED TOTAL RETURN
INCOME INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $ - $ - $ - $ - $ -
Investments in affiliated funds (Note
2)(a).............................. - - - - -
Portfolio Investments at value (Note
2)(a).............................. 99,704,416 421,358,205 166,395,537 278,150,793 125,173,840
Collateral for securities loaned (Note
6)................................. - 23,660,946 9,664,018 52,793,200 31,753,979
Interest, dividends and other
receivables........................ 698,853 5,511,180 2,178,725 3,539,856 1,900,419
Receivable for securities sold......... - - - - -
Receivable for fund shares issued...... 61,796 127,554 313,254 143,605 133,392
Receivable for principal paydowns...... 133,335 - - - -
Receivable from advisor................ - - - - -
Receivable from manager................ 3,971 - - - -
Organization costs, net of amortization
(Note 2)........................... 41,158 41,158 41,158 - 16,892
------------- ------------- ------------- ------------- -------------
TOTAL ASSETS............................ 100,643,529 450,699,043 178,592,692 334,627,454 158,978,522
------------- ------------- ------------- ------------- -------------
LIABILITIES
Payable for securities purchased....... - - 1,517,791 - 1,250,000
Payable for secruities loaned (Note
6)................................. - 23,660,946 9,664,018 52,793,200 31,753,979
Payable for fund shares redeemed....... 50,972 127,448 128,292 25,755 334,014
Payable for daily variation margin on
futures contracts.................. - - - - -
Accrued advisory or administration
fees............................... 27,220 131,866 49,722 95,186 21,303
Accrued transfer agency fees........... 20,638 85,970 35,516 55,841 25,992
Accrued custodial fees................. 315 2,479 - 3,650 2,021
Accrued management fees................ 17,093 110,704 38,201 8,418 22,351
Accrued expenses and other payables.... 899 11,347 - 97,541 34,429
Dividends payable...................... - - - 1,577,082 659,010
------------- ------------- ------------- ------------- -------------
TOTAL LIABILITIES....................... 117,137 24,130,760 11,433,540 54,656,673 34,103,099
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 100,526,392 $426,568,283 $ 167,159,152 $ 279,970,781 $124,875,423
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $ 101,006,341 $435,308,686 $ 159,424,971 $ 301,258,185 $126,564,545
Undistributed \ (distributions in
excess) net investment income...... 52,885 366,268 6,771,050 - -
Accumulated net realized gain (loss)
from investments................... (56,263) (652,169) 2,167,114 (11,310,700) 361,280
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... (476,571) (8,454,502) (1,203,983) (9,976,704) (2,050,402)
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... - - - - -
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 100,526,392 $426,568,283 $ 167,159,152 $ 279,970,781 $124,875,423
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 16,255,562 $ 16,562,005 $ - $ 5,521,272 $ 2,009,676
B Shares............................... 866,797 10,682,499 - 3,292,138 2,098,487
I Shares............................... 83,404,033 399,323,779 167,159,152 271,157,371 120,767,260
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 100,526,392 $426,568,283 $ 167,159,152 $ 279,970,781 $124,875,423
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 1,593,432 1,521,439 - 595,441 213,883
B Shares............................... 84,979 981,297 - 355,612 223,158
I Shares............................... 8,174,791 36,670,955 6,422,748 29,270,686 12,848,575
NET ASSET VALUE PER SHARE(B)
A Shares............................... $10.20 $10.89 - $9.27 $9.40
B Shares............................... $10.20 $10.89 - $9.26 $9.40
I Shares............................... $10.20 $10.89 $26.03 $9.26 $9.40
(a).....................................
Investments at Cost $100,180,987 $429,812,707 $167,599,520 $288,127,497 $127,224,242
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
<CAPTION>
TAX-FREE
INCOME
FUND
-------------
<S> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $ -
Investments in affiliated funds (Note
2)(a).............................. -
Portfolio Investments at value (Note
2)(a).............................. 315,394,214
Collateral for securities loaned (Note
6)................................. -
Interest, dividends and other
receivables........................ 6,113,825
Receivable for securities sold......... -
Receivable for fund shares issued...... 123,474
Receivable for principal paydowns...... -
Receivable from advisor................ 16,800
Receivable from manager................ -
Organization costs, net of amortization
(Note 2)........................... -
-------------
TOTAL ASSETS............................ 321,648,313
-------------
LIABILITIES
Payable for securities purchased....... 3,697,310
Payable for secruities loaned (Note
6)................................. -
Payable for fund shares redeemed....... 352,404
Payable for daily variation margin on
futures contracts.................. -
Accrued advisory or administration
fees............................... -
Accrued transfer agency fees........... 5,716
Accrued custodial fees................. 3,985
Accrued management fees................ 44,412
Accrued expenses and other payables.... 123,454
Dividends payable...................... 1,451,061
-------------
TOTAL LIABILITIES....................... 5,678,342
-------------
NET ASSETS.............................. $ 315,969,971
-------------
-------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $ 324,773,960
Undistributed \ (distributions in
excess) net investment income...... -
Accumulated net realized gain (loss)
from investments................... (11,244,254)
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... 2,440,265
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... -
-------------
NET ASSETS.............................. $ 315,969,971
-------------
-------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 33,913,555
B Shares............................... 5,896,943
I Shares............................... 276,159,473
-------------
NET ASSETS.............................. $ 315,969,971
-------------
-------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 3,468,665
B Shares............................... 603,071
I Shares............................... 28,229,963
NET ASSET VALUE PER SHARE(B)
A Shares............................... $9.78
B Shares............................... $9.78
I Shares............................... $9.78
(a).....................................
Investments at Cost $312,953,949
-------------
-------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
</TABLE>
See Notes to Financial Statements.
[LOGO]
24
<PAGE>
- --------------------------------------------------------------------------------
MAY 31, 1996
<TABLE>
<CAPTION>
COLORADO MINNESOTA CONSERVATIVE MODERATE GROWTH
TAX-FREE TAX-FREE BALANCED BALANCED BALANCED
FUND FUND FUND FUND FUND
------------ ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $ - $ - $ - $ - $ -
Investments in affiliated funds (Note
2)(a).............................. - - 21,444,829 86,189,119 161,623,145
Portfolio Investments at value (Note
2)(a).............................. 56,400,862 39,759,411 126,516,088 312,397,652 324,336,796
Collateral for securities loaned (Note
6)................................. - - 10,113,934 36,629,189 39,456,968
Interest, dividends and other
receivables........................ 1,169,955 726,457 982,099 2,534,300 2,542,730
Receivable for securities sold......... 110,000 - - - -
Receivable for fund shares issued...... 47,842 25,200 95,548 222,732 624,610
Receivable for principal paydowns...... - - - - -
Receivable from advisor................ - - - - -
Receivable from manager................ - - - - -
Organization costs, net of amortization
(Note 2)........................... - - 41,158 41,158 41,158
------------ ------------ ------------- ------------- -------------
TOTAL ASSETS............................ 57,728,659 40,511,068 159,193,656 438,014,150 528,625,407
------------ ------------ ------------- ------------- -------------
LIABILITIES
Payable for securities purchased....... - 993,780 1,416,642 2,748,911 3,541,802
Payable for secruities loaned (Note
6)................................. - - 10,113,934 36,629,189 39,456,968
Payable for fund shares redeemed....... 67,348 - 594,009 281,854 532,667
Payable for daily variation margin on
futures contracts.................. - - - - -
Accrued advisory or administration
fees............................... - - 56,614 176,612 234,787
Accrued transfer agency fees........... 4,395 5,459 31,452 83,308 101,201
Accrued custodial fees................. 977 657 - - -
Accrued management fees................ - 1,434 31,326 88,956 116,805
Accrued expenses and other payables.... 25,489 35,008 - - -
Dividends payable...................... 165,320 51,805 - - -
------------ ------------ ------------- ------------- -------------
TOTAL LIABILITIES....................... 263,529 1,088,143 12,243,977 40,008,830 43,984,230
------------ ------------ ------------- ------------- -------------
NET ASSETS.............................. $ 57,465,130 $ 39,422,925 $146,949,679 $ 398,005,320 $ 484,641,177
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $ 58,514,530 $ 39,936,695 $132,570,534 $ 341,896,745 $ 396,554,468
Undistributed \ (distributions in
excess) net investment income...... - - 3,940,753 9,088,733 6,559,973
Accumulated net realized gain (loss)
from investments................... (1,523,467) (411,697) 881,353 5,297,430 9,432,835
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... 474,067 (102,073) 9,557,039 41,722,412 72,093,901
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... - - - - -
------------ ------------ ------------- ------------- -------------
NET ASSETS.............................. $ 57,465,130 $ 39,422,925 $146,949,679 $ 398,005,320 $ 484,641,177
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 26,990,794 $ 26,609,840 $ - $ - $ -
B Shares............................... 6,400,000 8,825,354 - - -
I Shares............................... 24,074,336 3,987,731 146,949,679 398,005,320 484,641,177
------------ ------------ ------------- ------------- -------------
NET ASSETS.............................. $ 57,465,130 $ 39,422,925 $146,949,679 $ 398,005,320 $ 484,641,177
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 2,729,365 2,583,851 - - -
B Shares............................... 646,381 857,172 - - -
I Shares............................... 2,434,085 387,169 8,111,728 19,632,091 21,224,323
NET ASSET VALUE PER SHARE(B)
A Shares............................... $9.89 $10.30 - - -
B Shares............................... $9.90 $10.30 - - -
I Shares............................... $9.89 $10.30 $18.12 $20.27 $22.83
(a).....................................
Investments at Cost $55,926,795 $39,861,484 $138,403,878 $356,864,359 $413,866,040
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
<CAPTION>
INCOME VALUGROWTH-SM- DIVERSIFIED
EQUITY STOCK INDEX EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $ - $ - $ - $ -
Investments in affiliated funds (Note
2)(a).............................. - - - 455,930,728
Portfolio Investments at value (Note
2)(a).............................. 278,354,309 177,562,991 248,504,828 455,426,178
Collateral for securities loaned (Note
6)................................. 45,238,086 46,375,824 - 81,412,578
Interest, dividends and other
receivables........................ 1,292,883 476,378 606,895 1,045,138
Receivable for securities sold......... - - 43,401 -
Receivable for fund shares issued...... 263,015 93,820 835,175 1,303,993
Receivable for principal paydowns...... - - - -
Receivable from advisor................ - - - -
Receivable from manager................ 1,979 - - -
Organization costs, net of amortization
(Note 2)........................... 41,158 - 41,158 41,158
------------- ------------- ------------- -------------
TOTAL ASSETS............................ 325,191,430 224,509,013 250,031,457 995,159,773
------------- ------------- ------------- -------------
LIABILITIES
Payable for securities purchased....... - 698,263 - -
Payable for secruities loaned (Note
6)................................. 45,238,086 46,375,824 - 81,412,578
Payable for fund shares redeemed....... 76,893 109,017 32,078 499,601
Payable for daily variation margin on
futures contracts.................. - - 271,425 -
Accrued advisory or administration
fees............................... 116,187 117,752 - 491,445
Accrued transfer agency fees........... 57,430 36,095 31,200 189,017
Accrued custodial fees................. 1,527 2,659 - -
Accrued management fees................ 93,271 27,701 52,555 198,415
Accrued expenses and other payables.... 10,191 34,075 - -
Dividends payable...................... - 192,948 - -
------------- ------------- ------------- -------------
TOTAL LIABILITIES....................... 45,593,585 47,594,334 387,258 82,791,056
------------- ------------- ------------- -------------
NET ASSETS.............................. $ 279,597,845 $176,914,679 $ 249,644,199 $ 912,368,717
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $ 223,611,602 $121,541,548 $ 186,670,729 $ 699,121,511
Undistributed \ (distributions in
excess) net investment income...... 617,697 (33,223) 2,947,559 649,098
Accumulated net realized gain (loss)
from investments................... - 8,586,456 3,705,903 3,395,837
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... 55,368,546 46,819,898 56,320,008 209,202,271
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... - - - -
------------- ------------- ------------- -------------
NET ASSETS.............................. $ 279,597,845 $176,914,679 $ 249,644,199 $ 912,368,717
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 31,448,401 $ 15,231,676 $ - $ 2,699,194
B Shares............................... 17,318,337 5,130,036 - 2,446,754
I Shares............................... 230,831,107 156,552,967 249,644,199 907,222,769
------------- ------------- ------------- -------------
NET ASSETS.............................. $ 279,597,845 $176,914,679 $ 249,644,199 $ 912,368,717
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 1,140,937 673,199 - 88,333
B Shares............................... 628,841 230,299 - 80,122
I Shares............................... 8,375,913 6,923,780 7,927,736 29,691,586
NET ASSET VALUE PER SHARE(B)
A Shares............................... $27.56 $22.63 - $30.56
B Shares............................... $27.54 $22.28 - $30.54
I Shares............................... $27.56 $22.61 $31.49 $30.55
(a).....................................
Investments at Cost $222,985,763 $130,743,093 $192,725,145 $702,154,635
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
</TABLE>
[LOGO]
25
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (CONCLUDED) MAY 31, 1996
<TABLE>
<CAPTION>
LARGE SMALL SMALL
GROWTH COMPANY COMPANY COMPANY CONTRARIAN
EQUITY GROWTH STOCK GROWTH STOCK
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $ - $ - $ - $ - $ -
Investments in affiliated funds (Note
2)(a).............................. 477,223,063 - - - -
Portfolio Investments at value (Note
2)(a).............................. 261,330,610 82,187,693 136,132,827 378,640,512 38,211,818
Collateral for securities loaned (Note
6)................................. 74,703,639 18,987,170 14,111,478 8,507,025 9,253,612
Interest, dividends and other
receivables........................ 70,211 21,262 98,900 127,222 84,076
Receivable for securities sold......... - - 2,716,220 3,667,806 66,665
Receivable for fund shares issued...... 2,152,483 2,126 165,101 370,907 18,810
Receivable for principal paydowns...... - - - - -
Receivable from advisor................ - - - - -
Receivable from manager................ - 4,442 - - -
Organization costs, net of amortization
(Note 2)........................... 41,158 41,158 16,892 41,158 16,892
------------- ------------- ------------- ------------- -------------
TOTAL ASSETS............................ 815,521,164 101,243,851 153,241,418 391,354,630 47,651,873
------------- ------------- ------------- ------------- -------------
LIABILITIES
Payable for securities purchased....... - - 3,417,173 3,774,918 -
Payable for secruities loaned (Note
6)................................. 74,703,639 18,987,170 14,111,478 8,507,025 9,253,612
Payable for fund shares redeemed....... 162,425 58,062 2,091 51,719 787,861
Payable for daily variation margin on
futures contracts.................. - - - - -
Accrued advisory or administration
fees............................... 551,617 44,411 76,508 282,002 21,209
Accrued transfer agency fees........... 153,227 17,082 26,017 78,333 8,139
Accrued custodial fees................. - - 2,111 - 663
Accrued management fees................ 181,812 23,247 22,253 114,463 3,971
Accrued expenses and other payables.... - - 44,795 - 17,283
Dividends payable...................... - - 2,240 - 31,496
------------- ------------- ------------- ------------- -------------
TOTAL LIABILITIES....................... 75,752,720 19,129,972 17,704,666 12,808,460 10,124,234
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 739,768,444 $ 82,113,879 $ 135,536,752 $ 378,546,170 $ 37,527,639
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $ 597,851,557 $ 58,573,041 $ 104,916,979 $ 270,992,886 $ 35,441,293
Undistributed \ (distributions in
excess) net investment income...... (1,160,468) (128,949) (137,695) (772,022) (5,426)
Accumulated net realized gain (loss)
from investments................... 8,991,064 809,610 10,984,077 23,534,194 2,442,571
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... 134,086,291 22,860,177 19,773,391 84,791,112 (350,799)
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... - - - - -
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 739,768,444 $ 82,113,879 $ 135,536,752 $ 378,546,170 $ 37,527,639
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 3,337,729 $ - $ 5,426,231 $ - $ 908,220
B Shares............................... 702,567 - 4,124,793 - 599,566
I Shares............................... 735,728,148 82,113,879 125,985,728 378,546,170 36,019,853
------------- ------------- ------------- ------------- -------------
NET ASSETS.............................. $ 739,768,444 $ 82,113,879 $ 135,536,752 $ 378,546,170 $ 37,527,639
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 114,782 - 386,905 - 83,960
B Shares............................... 24,168 - 298,337 - 56,042
I Shares............................... 25,302,120 3,044,663 9,023,682 11,472,450 3,330,312
NET ASSET VALUE PER SHARE(B)
A Shares............................... $29.08 - $14.02 - $10.82
B Shares............................... $29.07 - $13.83 - $10.70
I Shares............................... $29.08 $26.97 $13.96 $33.00 $10.82
(a).....................................
Investments at Cost $604,467,382 $59,327,516 $116,359,436 $293,849,400 $38,562,617
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
<CAPTION>
INTERNATIONAL
FUND
-------------
<S> <C>
ASSETS
Investment in International Portfolio
of Core Trust (Delaware) (Note
2)(a).............................. $145,755,249
Investments in affiliated funds (Note
2)(a).............................. -
Portfolio Investments at value (Note
2)(a).............................. -
Collateral for securities loaned (Note
6)................................. -
Interest, dividends and other
receivables........................ 1,279
Receivable for securities sold......... -
Receivable for fund shares issued...... 120,832
Receivable for principal paydowns...... -
Receivable from advisor................ -
Receivable from manager................ -
Organization costs, net of amortization
(Note 2)........................... 41,158
-------------
TOTAL ASSETS............................ 145,918,518
-------------
LIABILITIES
Payable for securities purchased....... -
Payable for secruities loaned (Note
6)................................. -
Payable for fund shares redeemed....... 33,420
Payable for daily variation margin on
futures contracts..................
Accrued advisory or administration
fees............................... 30,254
Accrued transfer agency fees........... 30,254
Accrued custodial fees................. -
Accrued management fees................ 107,022
Accrued expenses and other payables.... 37
Dividends payable...................... -
-------------
TOTAL LIABILITIES....................... 200,987
-------------
NET ASSETS.............................. 145,717,531
-------------
-------------
COMPONENTS OF NET ASSETS
Capital paid in........................ $130,356,993
Undistributed \ (distributions in
excess) net investment income...... 298,208
Accumulated net realized gain (loss)
from investments................... (158,190)
Net unrealized appreciation
(depreciation) from investments
(Note 3)........................... -
Net unrealized appreciation of
investments of International
Portfolio of Core Trust
(Delaware)......................... 15,220,520
-------------
NET ASSETS.............................. $145,717,531
-------------
-------------
NET ASSETS BY SHARE CLASS
A Shares............................... $ 1,079,683
B Shares............................... 994,784
I Shares............................... 143,643,064
-------------
NET ASSETS.............................. 145,717,531
-------------
-------------
SHARES OF BENEFICIAL INTEREST, NO PAR
VALUE
A Shares............................... 54,473
B Shares............................... 50,474
I Shares............................... 7,241,433
NET ASSET VALUE PER SHARE(B)
A Shares............................... $19.82
B Shares............................... $19.71
I Shares............................... $19.84
(a).....................................
Investments at Cost $130,534,729
-------------
-------------
(b)
Net Assets by Share Class divided by
Shares of Beneficial Interest
</TABLE>
See Notes to Financial Statements.
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26
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED MAY 31, 1996(A)
<TABLE>
<CAPTION>
INTERMEDIATE
STABLE GOVERNMENT DIVERSIFIED TOTAL RETURN
INCOME INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
------------ ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 2,292,171 $ 3,240,712 $ 7,347,611 $ 13,870,709 $ 8,582,848
Dividend income........................ - - - - -
Securities lending income.............. 3,815 7,049 121,391 47,518 24,095
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1).......... - - - - -
------------ ------------ ------------- ------------- -------------
TOTAL INCOME............................ 2,295,986 3,247,761 7,469,002 13,918,227 8,606,943
------------ ------------ ------------- ------------- -------------
EXPENSES
Advisory............................... 106,127 142,125 344,777 981,244 584,872
Administration......................... - - - - -
Management............................. 35,376 43,068 98,508 392,498 233,949
Transfer Agent......................... 88,439 107,671 246,269 490,622 292,436
Custodian.............................. - - - 32,741 22,542
Accounting............................. 37,452 29,452 29,500 79,500 57,500
Legal.................................. 12,870 19,060 10,685 10,752 5,907
Filing................................. 16,710 125,331 8,962 78,321 35,617
Auditing............................... 18,283 17,921 15,514 12,717 10,132
Trustees............................... 611 495 1,723 3,992 2,303
Shareholder reporting.................. 7,370 13,389 3,950 9,325 14,265
Distribution -- B Shares............... 245 2,646 - 33,668 16,320
Amortization of organization costs..... 6,953 6,953 6,953 - 6,539
Other.................................. 1,649 1,914 5,939 10,073 5,122
------------ ------------ ------------- ------------- -------------
TOTAL EXPENSES.......................... 332,085 510,025 772,780 2,135,453 1,287,504
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (97,646) (196,825) (74,830) (622,279) (390,125)
------------ ------------ ------------- ------------- -------------
NET EXPENSES............................ 234,439 313,200 697,950 1,513,174 897,379
------------ ------------ ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............ 2,061,547 2,934,561 6,771,052 12,405,053 7,709,564
------------ ------------ ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... 50,930 (422,976) 2,167,114 (1,226,739) 373,776
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - - - -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - - - - -
------------ ------------ ------------- ------------- -------------
Net Realized Gain (Loss) from
Investments........................ 50,930 (422,976) 2,167,114 (1,226,739) 373,776
------------ ------------ ------------- ------------- -------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... (430,849) (3,981,603) (8,517,603) (12,614,751) (4,459,522)
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - - - -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - - - - -
------------ ------------ ------------- ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... (430,849) (3,981,603) (8,517,603) (12,614,751) (4,459,522)
------------ ------------ ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... (379,919) (4,404,579) (6,350,489) (13,841,490) (4,085,746)
------------ ------------ ------------- ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 1,681,628 $(1,470,018) $ 420,563 $ (1,436,437) $ 3,623,818
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
(a)..................................... November 1, November 1, November 1,
Beginning of Period 1995 1995 1995 June 1, 1995 June 1, 1995
<CAPTION>
TAX-FREE
INCOME
FUND
-------------
<S> <C>
INVESTMENT INCOME
Interest income........................ $ 14,072,632
Dividend income........................ -
Securities lending income.............. -
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1).......... -
-------------
TOTAL INCOME............................ 14,072,632
-------------
EXPENSES
Advisory............................... 1,187,026
Administration......................... -
Management............................. 474,810
Transfer Agent......................... 593,513
Custodian.............................. 37,256
Accounting............................. 66,000
Legal.................................. 13,785
Filing................................. 94,770
Auditing............................... 14,030
Trustees............................... 4,595
Shareholder reporting.................. 10,075
Distribution -- B Shares............... 49,336
Amortization of organization costs..... -
Other.................................. 30,554
-------------
TOTAL EXPENSES.......................... 2,575,750
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (1,742,381)
-------------
NET EXPENSES............................ 833,369
-------------
NET INVESTMENT INCOME (LOSS)............ 13,239,263
-------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... (581,189)
Investments of International
Portfolio of Core Trust
(Delaware)........................ -
Foreign currency transactions........ -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ -
Futures transactions................. -
-------------
Net Realized Gain (Loss) from
Investments........................ (581,189)
-------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... (3,661,087)
Investments of International
Portfolio of Core Trust
(Delaware)........................ -
Foreign currency transactions........ -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ -
Futures transactions................. -
-------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... (3,661,087)
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... (4,242,276)
-------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 8,996,987
-------------
-------------
(a).....................................
Beginning of Period June 1, 1995
</TABLE>
See Notes to Financial Statements.
[LOGO]
27
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (CONCLUDED)
<TABLE>
<CAPTION>
COLORADO MINNESOTA CONSERVATIVE MODERATE GROWTH
TAX-FREE TAX-FREE BALANCED BALANCED BALANCED
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 3,233,325 $ 1,786,362 $ 4,180,619 $ 9,279,077 $ 5,741,607
Dividend income........................ - - 440,893 1,789,435 3,133,233
Securities lending income.............. - - 5,734 42,820 23,570
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1) (b)...... - - - - -
------------- ------------- ------------- ------------- -------------
TOTAL INCOME............................ 3,233,325 1,786,362 4,627,246 11,111,332 8,898,410
------------- ------------- ------------- ------------- -------------
EXPENSES
Advisory............................... 286,768 154,733 376,529 1,208,825 1,424,260
Administration......................... - - - - -
Management............................. 114,707 61,893 83,673 228,080 245,562
Transfer Agent......................... 143,384 77,367 209,183 570,201 613,905
Custodian.............................. 11,471 6,189 - - -
Accounting............................. 60,000 56,000 32,500 36,000 34,000
Legal.................................. 5,045 5,006 6,692 18,174 19,877
Filing................................. 2,602 7,414 10,057 12,195 33,324
Auditing............................... 10,089 13,732 15,703 15,226 14,833
Trustees............................... 1,155 602 1,463 4,003 4,234
Shareholder reporting.................. 4,108 3,055 3,452 9,175 10,909
Distribution -- B Shares............... 57,841 69,560 - - -
Amortization of organization costs..... - - 6,953 6,953 6,953
Other.................................. 14,352 9,237 7,011 10,336 10,342
------------- ------------- ------------- ------------- -------------
TOTAL EXPENSES.......................... 711,522 464,788 753,216 2,119,168 2,418,199
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (494,303) (262,175) (75,638) (133,182) (143,495)
------------- ------------- ------------- ------------- -------------
NET EXPENSES............................ 217,219 202,613 677,578 1,985,986 2,274,704
------------- ------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............ 3,016,106 1,583,749 3,949,668 9,125,346 6,623,706
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... 340,617 111,837 924,842 5,371,779 9,129,844
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - 43,588 194,111 320,330
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - - 33,344 137,191 231,786
------------- ------------- ------------- ------------- -------------
Net Realized Gain (Loss) from
Investments........................ 340,617 111,837 1,001,774 5,703,081 9,681,960
------------- ------------- ------------- ------------- -------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... (487,596) (800,461) 2,110,106 11,416,989 27,063,677
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - 25,610 91,092 179,705
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - - 23,489 92,999 175,199
------------- ------------- ------------- ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... (487,596) (800,461) 2,159,205 11,601,080 27,418,581
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... (146,979) (688,624) 3,160,979 17,304,161 37,100,541
------------- ------------- ------------- ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 2,869,127 $ 895,125 $ 7,110,647 $ 26,429,507 $ 43,724,247
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(a)..................................... November 1, November 1, November 1,
Beginning of Period June 1, 1995 June 1, 1995 1995 1995 1995
(b)
Net of expenses of $572,599
<CAPTION>
INCOME
EQUITY
FUND
-------------
<S> <C>
INVESTMENT INCOME
Interest income........................ $ 156,572
Dividend income........................ 1,523,744
Securities lending income.............. 1,664
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1) (b)...... -
-------------
TOTAL INCOME............................ 1,681,980
-------------
EXPENSES
Advisory............................... 227,790
Administration......................... -
Management............................. 45,558
Transfer Agent......................... 113,895
Custodian.............................. -
Accounting............................. 22,935
Legal.................................. 17,566
Filing................................. 63,461
Auditing............................... 17,269
Trustees............................... 659
Shareholder reporting.................. 12,666
Distribution -- B Shares............... 5,031
Amortization of organization costs..... 6,953
Other.................................. 2,043
-------------
TOTAL EXPENSES.......................... 535,826
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (128,997)
-------------
NET EXPENSES............................ 406,829
-------------
NET INVESTMENT INCOME (LOSS)............ 1,275,151
-------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... 239,076
Investments of International
Portfolio of Core Trust
(Delaware)........................ -
Foreign currency transactions........ -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ -
Futures transactions................. -
-------------
Net Realized Gain (Loss) from
Investments........................ 239,076
-------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... 9,644,184
Investments of International
Portfolio of Core Trust
(Delaware)........................ -
Foreign currency transactions........ -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ -
Futures transactions................. -
-------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... 9,644,184
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... 9,883,260
-------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 11,158,411
-------------
-------------
(a)..................................... November 1,
Beginning of Period 1995
(b)
Net of expenses of $572,599
</TABLE>
See Notes to Financial Statements.
[LOGO]
28
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIOD ENDED MAY 31, 1996(A)
<TABLE>
<CAPTION>
LARGE
VALUGROWTH-SM- DIVERSIFIED GROWTH COMPANY
STOCK INDEX EQUITY EQUITY GROWTH
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 80,485 $ 471,067 $ 459,366 $ 297,616 $ 54,953
Dividend income........................ 2,966,499 2,887,034 8,885,017 4,328,307 238,072
Securities lending income.............. 14,607 - 28,094 40,084 4,927
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1) (b)...... - - - - -
------------- ------------- ------------- ------------- -------------
TOTAL INCOME............................ 3,061,591 3,358,101 9,372,477 4,666,007 297,952
------------- ------------- ------------- ------------- -------------
EXPENSES
Advisory............................... 1,335,281 193,373 3,038,858 3,342,391 274,152
Administration......................... - - - - -
Management............................. 333,820 128,916 467,517 371,377 42,177
Transfer Agent......................... 417,297 322,289 1,168,792 928,442 105,443
Custodian.............................. 30,037 - - - -
Accounting............................. 57,500 30,500 30,306 30,306 21,000
Legal.................................. 8,270 10,835 40,201 31,972 3,382
Filing................................. 21,564 18,797 47,839 49,843 8,918
Auditing............................... 11,713 17,275 13,848 13,224 14,612
Trustees............................... 3,329 2,246 8,085 6,411 726
Shareholder reporting.................. 12,942 5,579 20,931 16,832 1,845
Distribution -- B Shares............... 43,821 - 719 187 -
Amortization of organization costs..... - 6,953 6,953 6,953 6,953
Other.................................. 6,047 13,057 12,700 9,618 2,017
------------- ------------- ------------- ------------- -------------
TOTAL EXPENSES.......................... 2,281,621 749,820 4,856,749 4,807,556 481,225
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (229,629) (339,278) (246,866) (195,598) (54,324)
------------- ------------- ------------- ------------- -------------
NET EXPENSES............................ 2,051,992 410,542 4,609,883 4,611,958 426,901
------------- ------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............ 1,009,599 2,947,559 4,762,594 54,049 (128,949)
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... 11,920,837 3,070,589 18,915,295 28,739,774 869,085
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - 872,008 1,370,298 -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - 668,758 672,926 - -
------------- ------------- ------------- ------------- -------------
Net Realized Gain (Loss) from
Investments........................ 11,920,837 3,739,347 20,460,229 30,110,072 869,085
------------- ------------- ------------- ------------- -------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... 19,702,082 25,282,400 95,857,152 66,085,168 10,088,697
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Foreign currency transactions........ - - 562,291 923,611 -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - - -
Futures transactions................. - 540,325 492,587 - -
------------- ------------- ------------- ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... 19,702,082 25,822,725 96,912,030 67,008,779 10,088,697
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... 31,622,919 29,562,072 117,372,259 97,118,851 10,957,782
------------- ------------- ------------- ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 32,632,518 $ 32,509,631 $ 122,134,853 $ 97,172,900 $ 10,828,833
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(a)..................................... November 1, November 1, November 1, November 1,
Beginning of Period June 1, 1995 1995 1995 1995 1995
(b)
Net of expenses of $572,599
<CAPTION>
SMALL SMALL
COMPANY COMPANY CONTRARIAN
STOCK GROWTH STOCK INTERNATIONAL
FUND FUND FUND FUND
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 471,592 $ 688,387 $ 214,943 $ -
Dividend income........................ 664,490 833,146 692,568 -
Securities lending income.............. 11,506 32,446 1,440 -
Net investment income from
International Portfolio of Core
Trust (Delaware) (Note 1) (b)...... - - - 923,362
------------- ------------- ------------- -------------
TOTAL INCOME............................ 1,147,588 1,553,979 908,951 923,362
------------- ------------- ------------- -------------
EXPENSES
Advisory............................... 909,200 1,653,578 349,877 -
Administration......................... - - - 175,887
Management............................. 181,840 183,731 87,469 70,355
Transfer Agent......................... 227,300 459,327 109,337 175,887
Custodian.............................. 17,934 - 8,747 -
Accounting............................. 60,500 30,000 52,000 23,000
Legal.................................. 4,794 14,372 2,135 10,554
Filing................................. 39,214 28,251 19,262 26,714
Auditing............................... 14,157 13,866 9,480 8,402
Trustees............................... 1,725 3,144 894 1,274
Shareholder reporting.................. 6,775 8,409 1,979 3,709
Distribution -- B Shares............... 22,132 - 5,973 2,959
Amortization of organization costs..... 6,539 6,953 6,539 6,953
Other.................................. 4,160 6,407 3,319 4,980
------------- ------------- ------------- -------------
TOTAL EXPENSES.......................... 1,496,270 2,408,038 657,011 510,674
EXPENSES REIMBURSED AND FEES WAIVED
(Note 4)........................... (378,131) (82,037) (123,891) (10,738)
------------- ------------- ------------- -------------
NET EXPENSES............................ 1,118,139 2,326,001 533,120 499,936
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............ 29,449 (772,022) 375,831 423,426
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS
Net realized gain (loss) from:
Securities........................... 14,281,284 23,582,293 5,483,045 -
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - 894,334
Foreign currency transactions........ - - - -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - 806,006
Futures transactions................. - - - -
------------- ------------- ------------- -------------
Net Realized Gain (Loss) from
Investments........................ 14,281,284 23,582,293 5,483,045 1,700,340
------------- ------------- ------------- -------------
Net change in unrealized appreciation
(depreciation) from:
Securities........................... 17,166,511 41,196,035 (1,213,188) -
Investments of International
Portfolio of Core Trust
(Delaware)........................ - - - 10,935,915
Foreign currency transactions........ - - - -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)........................ - - - 605,599
Futures transactions................. - - - -
------------- ------------- ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from Investments.... 17,166,511 41,196,035 (1,213,188) 11,541,514
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.................... 31,447,795 64,778,328 4,269,857 13,241,854
------------- ------------- ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS.. $ 31,477,244 $ 64,006,306 $ 4,645,688 $ 13,665,280
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(a)..................................... November 1, November 1,
Beginning of Period June 1, 1995 1995 June 1, 1995 1995
(b)
Net of expenses of $572,599
</TABLE>
[LOGO]
29
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
EFFECTIVE MAY 31, 1996, THESE FUNDS
CHANGED THEIR FISCAL YEAR END TO MAY 31,
1996. PRIOR TO MAY 31, 1996 THEIR FISCAL
YEAR END WAS OCTOBER 31. THESE
STATEMENTS SUPPLEMENT THE STATEMENTS OF INTERMEDIATE
OPERATIONS FOR STABLE U.S. MANAGED CONSERVATIVE MODERATE
THE PERIOD ENDED MAY 31, 1996, BEGINNING INCOME GOVERNMENT FIXED INCOME BALANCED BALANCED
AT PAGE 27. FUND FUND FUND FUND FUND
----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 2,495,297 $4,116,759 $11,321,853 $ 6,076,035 $ 12,451,104
Dividend income........................ - - - 556,754 2,589,123
Net investment income from Portfolio of
Core Trust (Delaware)(a)........... - - - - -
----------- ----------- ------------ ------------ ------------
TOTAL INCOME............................ 2,495,297 4,116,759 11,321,853 6,632,789 15,040,227
----------- ----------- ------------ ------------ ------------
EXPENSES
Advisory............................... 114,429 160,764 607,061 547,353 1,722,174
Administration......................... - - - - -
Management............................. 38,143 48,716 173,446 121,634 324,938
Transfer agent......................... 95,358 121,791 433,615 304,085 812,346
Accounting............................. 51,700 52,700 46,700 54,266 52,266
Legal.................................. 2,799 3,268 13,791 9,382 25,183
Filing................................. 23,256 23,162 60,739 50,092 121,625
Auditing............................... 14,046 13,049 15,166 14,132 14,359
Trustees............................... 963 1,055 2,871 2,117 5,029
Amortization of organization costs..... 11,490 11,490 11,490 11,490 11,490
Other.................................. 14,670 6,191 22,708 21,723 37,045
----------- ----------- ------------ ------------ ------------
TOTAL EXPENSES.......................... 366,854 442,186 1,387,587 1,136,274 3,126,455
EXPENSES REIMBURSED AND FEES WAIVED
(NOTE 4)........................... (118,932) (110,930) (224,741) (163,231) (267,050)
----------- ----------- ------------ ------------ ------------
NET EXPENSES............................ 247,922 331,256 1,162,846 973,043 2,859,405
----------- ----------- ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS)............ 2,247,375 3,785,503 10,159,007 5,659,746 12,180,822
----------- ----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS
Net realized gain (loss) from:
Securities........................... 186,598 849,868 1,828,032 2,074,585 7,801,548
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Foreign currency transactions........ - - - 62,602 302,489
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Futures transactions................. - - - (452,227) (3,133,798)
----------- ----------- ------------ ------------ ------------
Net Realized Gain (Loss) from
Investments........................ 186,598 849,868 1,828,032 1,684,960 4,970,239
----------- ----------- ------------ ------------ ------------
Net Change in Unrealized Appreciation
(Depreciation) from:
Securities........................... 279,309 775,097 7,313,620 7,396,784 30,114,974
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Foreign currency transactions........ - - - 1,050 6,358
----------- ----------- ------------ ------------ ------------
Net Change in Unrealized Appreciation
from Investments................... 279,309 775,097 7,313,620 7,397,834 30,121,332
----------- ----------- ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS......................... 465,907 1,624,965 9,141,652 9,082,794 35,091,571
----------- ----------- ------------ ------------ ------------
INCREASE IN NET ASSETS FROM
OPERATIONS.......................... $ 2,713,282 $5,410,468 $19,300,659 $14,742,540 $ 47,272,393
----------- ----------- ------------ ------------ ------------
----------- ----------- ------------ ------------ ------------
(a)
Net of expenses of $653,702.
</TABLE>
[LOGO]
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIOD FROM NOVEMBER 11, 1994 TO OCTOBER 31, 1995
<TABLE>
<CAPTION>
GROWTH INCOME DIVERSIFIED GROWTH
BALANCED EQUITY INDEX EQUITY EQUITY
FUND FUND FUND FUND FUND
------------ ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 7,446,004 $ 97,233 $ 116,289 $ 1,212,227 $ 1,300,105
Dividend income........................ 3,880,336 1,162,013 3,594,444 10,345,112 3,732,158
Net investment income from Portfolio of
Core Trust (Delaware)(a)........... - - - - -
------------ ----------- ------------ ------------- ------------
TOTAL INCOME............................ 11,326,340 1,259,246 3,710,733 11,557,339 5,032,263
------------ ----------- ------------ ------------- ------------
EXPENSES
Advisory............................... 1,849,672 187,584 212,875 3,737,147 3,961,897
Administration......................... - - - - -
Management............................. 318,909 37,517 141,917 574,946 440,211
Transfer agent......................... 797,273 93,792 354,791 1,437,364 1,100,527
Accounting............................. 50,833 34,700 46,266 34,700 34,700
Legal.................................. 25,100 2,384 9,054 44,420 33,572
Filing................................. 118,670 21,346 60,283 210,697 172,888
Auditing............................... 14,363 14,047 16,176 16,689 14,549
Trustees............................... 4,989 954 2,473 8,839 6,959
Amortization of organization costs..... 11,490 11,490 11,490 11,490 11,490
Other.................................. 36,730 6,212 29,261 49,617 38,671
------------ ----------- ------------ ------------- ------------
TOTAL EXPENSES.......................... 3,228,029 410,026 884,586 6,125,909 5,815,464
EXPENSES REIMBURSED AND FEES WAIVED
(NOTE 4)........................... (262,160) (91,123) (174,996) (376,212) (312,356)
------------ ----------- ------------ ------------- ------------
NET EXPENSES............................ 2,965,869 318,903 709,590 5,749,697 5,503,108
------------ ----------- ------------ ------------- ------------
NET INVESTMENT INCOME (LOSS)............ 8,360,471 940,343 3,001,143 5,807,642 (470,845)
------------ ----------- ------------ ------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS
Net realized gain (loss) from:
Securities........................... 6,064,209 (25,794) 1,288,749 9,649,973 21,000,402
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Foreign currency transactions........ 623,875 - - 1,249,050 1,944,318
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Futures transactions................. (3,230,733) - - - -
------------ ----------- ------------ ------------- ------------
Net Realized Gain (Loss) from
Investments........................ 3,457,351 (25,794) 1,288,749 10,899,023 22,944,720
------------ ----------- ------------ ------------- ------------
Net Change in Unrealized Appreciation
(Depreciation) from:
Securities........................... 44,676,415 8,269,668 30,497,283 112,282,613 67,089,871
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - - - -
Foreign currency transactions........ (1,095) - - 7,628 (12,359)
------------ ----------- ------------ ------------- ------------
Net Change in Unrealized Appreciation
from Investments................... 44,675,320 8,269,668 30,497,283 112,290,241 67,077,512
------------ ----------- ------------ ------------- ------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS......................... 48,132,671 8,243,874 31,786,032 123,189,264 90,022,232
------------ ----------- ------------ ------------- ------------
INCREASE IN NET ASSETS FROM
OPERATIONS.......................... $ 56,493,142 $ 9,184,217 $ 34,787,175 $ 128,996,906 $ 89,551,387
------------ ----------- ------------ ------------- ------------
------------ ----------- ------------ ------------- ------------
(a)
Net of expenses of $653,702.
<CAPTION>
LARGE SMALL
COMPANY COMPANY
GROWTH GROWTH INTERNATIONAL
FUND FUND FUND
------------ ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest income........................ $ 71,892 $ 771,311 $ 533
Dividend income........................ 358,029 951,456 -
Net investment income from Portfolio of
Core Trust (Delaware)(a)........... - - 1,016,917
------------ ------------ -----------
TOTAL INCOME............................ 429,921 1,722,767 1,017,450
------------ ------------ -----------
EXPENSES
Advisory............................... 362,480 1,984,348 -
Administration......................... - - 205,150
Management............................. 55,766 220,483 82,060
Transfer agent......................... 139,415 551,208 205,150
Accounting............................. 34,700 36,700 51,766
Legal.................................. 3,540 13,908 13,323
Filing................................. 25,055 80,068 49,881
Auditing............................... 14,062 14,271 8,090
Trustees............................... 1,185 3,615 1,566
Amortization of organization costs..... 11,490 11,490 11,490
Other.................................. 7,113 22,250 15,739
------------ ------------ -----------
TOTAL EXPENSES.......................... 654,806 2,938,341 644,215
EXPENSES REIMBURSED AND FEES WAIVED
(NOTE 4)........................... (97,115) (182,017) (69,517)
------------ ------------ -----------
NET EXPENSES............................ 557,691 2,756,324 574,698
------------ ------------ -----------
NET INVESTMENT INCOME (LOSS)............ (127,770) (1,033,557) 442,752
------------ ------------ -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS
Net realized gain (loss) from:
Securities........................... 680,905 27,823,268 -
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - (1,858,530)
Foreign currency transactions........ - - -
Foreign currency transactions from
investments in International
Portfolio of Core Trust
(Delaware)....................... - - 1,135,597
Futures transactions................. - - -
------------ ------------ -----------
Net Realized Gain (Loss) from
Investments........................ 680,905 27,823,268 (722,933)
------------ ------------ -----------
Net Change in Unrealized Appreciation
(Depreciation) from:
Securities........................... 12,771,480 43,595,077 -
Investments of International
Portfolio of Core Trust
(Delaware)....................... - - 3,679,006
Foreign currency transactions........ - - -
------------ ------------ -----------
Net Change in Unrealized Appreciation
from Investments................... 12,771,480 43,595,077 3,679,006
------------ ------------ -----------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS......................... 13,452,385 71,418,345 2,956,073
------------ ------------ -----------
INCREASE IN NET ASSETS FROM
OPERATIONS.......................... $ 13,324,615 $ 70,384,788 $3,398,825
------------ ------------ -----------
------------ ------------ -----------
(a)
Net of expenses of $653,702.
</TABLE>
[LOGO]
31
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INTERMEDIATE
STABLE GOVERNMENT DIVERSIFIED TOTAL RETURN
INCOME INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ - $ - $ - $ 102,446,565 $ 12,030,416
------------- ------------- ------------- ------------- -------------
OPERATIONS
Net investment income.................. 2,247,375 3,785,503 10,159,007 7,847,074 4,294,636
Realized gain (loss) from
investments........................ 186,598 849,868 1,828,032 (9,293,991) 371,411
Change in unrealized appreciation from
investments........................ 279,309 775,097 7,313,620 10,595,038 2,735,355
------------- ------------- ------------- ------------- -------------
2,713,282 5,410,468 19,300,659 9,148,121 7,401,402
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ - - - (428,762) (23,376)
Net investment income, B Shares........ - - - (173,377) (28,451)
Net investment income, I Shares........ - - - (7,244,935) (4,242,809)
Realized gain on investments, A
Shares............................. - - - - -
Realized gain on investments, B
Shares............................. - - - - -
Realized gain on investments, I
Shares............................. - - - - -
------------- ------------- ------------- ------------- -------------
- - - (7,847,074) (4,294,636)
------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... - - - 1,669,466 469,528
Sale of B Shares....................... - - - 857,395 725,150
Sale of I Shares....................... 19,314,379 57,693,187 165,471,906 40,750,927 89,397,922
Sale of Shares issued in conversion, I
Shares (Note 1).................... 54,013,693 12,232,271 49,356,217 - -
Reinvestment of dividends, A Shares.... - - - 354,261 20,425
Reinvestment of dividends, B Shares.... - - - 130,689 22,759
Reinvestment of dividends, I Shares.... - - - 373,375 2,572,353
Cost of repurchasing A Shares.......... - - - (2,020,650) (54,585)
Cost of repurchasing B Shares.......... - - - (355,303) (39,734)
Cost of repurchasing I Shares.......... (27,954,786) (25,122,913) (62,675,817) (25,986,787) (10,535,132)
------------- ------------- ------------- ------------- -------------
45,373,286 44,802,545 152,152,306 15,773,373 82,578,686
------------- ------------- ------------- ------------- -------------
NET ASSETS END OF PERIOD(B)............. 48,086,568 50,213,013 171,452,965 119,520,985 97,715,868
------------- ------------- ------------- ------------- -------------
OPERATIONS
Net investment income.................. 2,061,547 2,934,561 6,771,052 12,405,053 7,709,564
Realized gain (loss) from
investments........................ 50,930 (422,976) 2,167,114 (1,226,739) 373,776
Change in unrealized appreciation
(depreciation) from investments.... (430,849) (3,981,603) (8,517,603) (12,614,751) (4,459,522)
------------- ------------- ------------- ------------- -------------
1,681,628 (1,470,018) 420,563 (1,436,437) 3,623,818
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (69,993) (42,791) - (378,659) (78,735)
Net investment income, B Shares........ (3,559) (25,500) - (188,666) (94,365)
Net investment income, I Shares........ (4,182,485) (6,285,505) (10,159,009) (11,837,728) (7,536,461)
Realized gain on investments, A
Shares............................. - - - - (2,358)
Realized gain on investments, B
Shares............................. - - - - (3,618)
Realized gain on investments, I
Shares............................. (293,791) (1,079,061) (1,828,032) - (245,694)
------------- ------------- ------------- ------------- -------------
(4,549,828) (7,432,857) (11,987,041) (12,405,053) (7,961,231)
------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 25,709 66,723 - 2,291,426 1,956,528
Sale of B Shares....................... 478,396 4,314 - 899,180 1,523,367
Sale of I Shares....................... 33,067,211 7,989,936 26,153,631 197,433,835 49,367,074
Sale of Shares issued in merger, A
Shares (Note 8).................... 16,263,468 18,921,088 - - -
Sale of Shares issued in merger, B
Shares (Note 8).................... 393,994 10,829,902 - - -
Sale of Shares issued in merger, I
Shares (Note 8).................... 16,857,313 354,137,467 - - -
Reinvestment of dividends, A Shares.... 43,901 31,592 - 337,470 70,922
Reinvestment of dividends, B Shares.... 2,620 16,277 - 161,167 92,460
Reinvestment of dividends, I Shares.... 4,405,074 6,463,069 11,987,041 179,740 2,814,343
Cost of repurchasing A Shares.......... (16,429) (2,337,507) - (3,106,414) (548,923)
Cost of repurchasing B Shares.......... (5,075) (87,494) - (928,666) (364,624)
Cost of repurchasing I Shares.......... (16,208,158) (10,777,222) (30,868,007) (22,976,452) (23,414,179)
------------- ------------- ------------- ------------- -------------
55,308,024 385,258,145 7,272,665 174,291,286 31,496,968
------------- ------------- ------------- ------------- -------------
NET ASSETS
May 31, 1996........................... $ 100,526,392 $426,568,283 $ 167,159,152 $ 279,970,781 $124,875,423
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(a)..................................... November 11, November 11, November 11,
Beginning of Period 1994 1994 1994 June 1, 1994 June 1, 1994
(b)..................................... October 31, October 31, October 31,
End of Period 1995 1995 1995 May 31, 1995 May 31, 1995
<CAPTION>
TAX-FREE
INCOME
FUND
-------------
<S> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ 139,184,677
-------------
OPERATIONS
Net investment income.................. 7,829,056
Realized gain (loss) from
investments........................ (7,290,713)
Change in unrealized appreciation from
investments........................ 8,986,928
-------------
9,525,271
-------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (1,879,495)
Net investment income, B Shares........ (160,249)
Net investment income, I Shares........ (5,789,312)
Realized gain on investments, A
Shares............................. -
Realized gain on investments, B
Shares............................. -
Realized gain on investments, I
Shares............................. -
-------------
(7,829,056)
-------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 4,116,272
Sale of B Shares....................... 1,148,602
Sale of I Shares....................... 34,208,535
Sale of Shares issued in conversion, I
Shares (Note 1).................... -
Reinvestment of dividends, A Shares.... 1,435,640
Reinvestment of dividends, B Shares.... 93,294
Reinvestment of dividends, I Shares.... 197,801
Cost of repurchasing A Shares.......... (9,708,331)
Cost of repurchasing B Shares.......... (276,349)
Cost of repurchasing I Shares.......... (43,126,975)
-------------
(11,911,511)
-------------
NET ASSETS END OF PERIOD(B)............. 128,969,381
-------------
OPERATIONS
Net investment income.................. 13,239,263
Realized gain (loss) from
investments........................ (581,189)
Change in unrealized appreciation
(depreciation) from investments.... (3,661,087)
-------------
8,996,987
-------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (1,868,529)
Net investment income, B Shares........ (236,778)
Net investment income, I Shares........ (11,133,956)
Realized gain on investments, A
Shares............................. -
Realized gain on investments, B
Shares............................. -
Realized gain on investments, I
Shares............................. -
-------------
(13,239,263)
-------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 8,363,276
Sale of B Shares....................... 2,517,278
Sale of I Shares....................... 212,589,116
Sale of Shares issued in merger, A
Shares (Note 8).................... -
Sale of Shares issued in merger, B
Shares (Note 8).................... -
Sale of Shares issued in merger, I
Shares (Note 8).................... -
Reinvestment of dividends, A Shares.... 1,689,697
Reinvestment of dividends, B Shares.... 170,166
Reinvestment of dividends, I Shares.... 106,017
Cost of repurchasing A Shares.......... (6,743,422)
Cost of repurchasing B Shares.......... (479,398)
Cost of repurchasing I Shares.......... (26,969,864)
-------------
191,242,866
-------------
NET ASSETS
May 31, 1996........................... $ 315,969,971
-------------
-------------
(a).....................................
Beginning of Period June 1, 1994
(b).....................................
End of Period May 31, 1995
</TABLE>
[LOGO]
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
FOR THE YEARS OR PERIODS ENDED MAY 31, 1996 AND THE PERIODS ENDED OCTOBER 31,
1995
<TABLE>
<CAPTION>
COLORADO MINNESOTA CONSERVATIVE MODERATE GROWTH
TAX-FREE TAX-FREE BALANCED BALANCED BALANCED
FUND FUND FUND FUND FUND
------------ ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ 51,370,168 $ 13,365,327 $ - $ - $ -
------------ ------------ ------------- ------------- -------------
OPERATIONS
Net investment income.................. 2,581,650 687,509 5,659,746 12,180,822 8,360,471
Realized gain (loss) from
investments........................ (1,388,271) (447,743) 1,684,960 4,970,239 3,457,351
Change in unrealized appreciation from
investments........................ 2,551,346 928,665 7,397,834 30,121,332 44,675,320
------------ ------------ ------------- ------------- -------------
3,744,725 1,168,431 14,742,540 47,272,393 56,493,142
------------ ------------ ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (1,427,564) (505,288) - - -
Net investment income, B Shares........ (203,657) (135,131) - - -
Net investment income, I Shares........ (950,429) (47,090) - - -
Realized gain on investments, A
Shares............................. - - - - -
Realized gain on investments, B
Shares............................. - - - - -
Realized gain on investments, I
Shares............................. - - - - -
------------ ------------ ------------- ------------- -------------
(2,581,650) (687,509) - - -
------------ ------------ ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 2,283,364 7,975,823 - - -
Sale of B Shares....................... 732,184 2,574,142 - - -
Sale of I Shares....................... 17,122,451 1,388,340 121,670,509 306,233,476 281,218,952
Sale of Shares issued in conversion, I
Shares (Note 1).................... - - 34,871,159 100,309,597 111,127,105
Reinvestment of dividends, A Shares.... 1,158,952 394,894 - - -
Reinvestment of dividends, B Shares.... 132,884 101,509 - - -
Reinvestment of dividends, I Shares.... 10,651 15,984 - - -
Cost of repurchasing A Shares.......... (9,483,389) (3,131,320) - - -
Cost of repurchasing B Shares.......... (277,123) (208,851) - - -
Cost of repurchasing I Shares.......... (8,479,204) (508,707) (34,574,397) (79,817,235) (73,947,039)
------------ ------------ ------------- ------------- -------------
3,200,770 8,601,814 121,967,271 326,725,838 318,399,018
------------ ------------ ------------- ------------- -------------
NET ASSETS END OF PERIOD(B)............. 55,734,013 22,448,063 136,709,811 373,998,231 374,892,160
------------ ------------ ------------- ------------- -------------
OPERATIONS
Net investment income.................. 3,016,106 1,583,749 3,949,668 9,125,346 6,623,706
Realized gain (loss) from
investments........................ 340,617 111,837 1,001,774 5,703,081 9,681,960
Change in unrealized appreciation
(depreciation) from investments.... (487,596) (800,461) 2,159,205 11,601,080 27,418,581
------------ ------------ ------------- ------------- -------------
2,869,127 895,125 7,110,647 26,429,507 43,724,247
------------ ------------ ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (1,437,522) (1,160,466) - - -
Net investment income, B Shares........ (269,519) (315,283) - - -
Net investment income, I Shares........ (1,309,065) (108,000) (5,731,263) (12,519,924) (9,048,079)
Realized gain on investments, A
Shares............................. - - - - -
Realized gain on investments, B
Shares............................. - - - - -
Realized gain on investments, I
Shares............................. - - (1,742,779) (5,073,401) (3,082,601)
------------ ------------ ------------- ------------- -------------
(3,016,106) (1,583,749) (7,474,042) (17,593,325) (12,130,680)
------------ ------------ ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 4,568,871 13,073,591 - - -
Sale of B Shares....................... 1,869,835 4,415,986 - - -
Sale of I Shares....................... 6,423,556 2,423,693 25,829,440 74,842,548 115,893,160
Sale of Shares issued in merger, A
Shares (Note 8).................... - - - - -
Sale of Shares issued in merger, B
Shares (Note 8).................... - - - - -
Sale of Shares issued in merger, I
Shares (Note 8).................... - - - - -
Reinvestment of dividends, A Shares.... 1,247,299 1,004,820 - - -
Reinvestment of dividends, B Shares.... 189,093 267,653 - - -
Reinvestment of dividends, I Shares.... 12,673 19,399 7,474,042 17,593,325 12,130,682
Cost of repurchasing A Shares.......... (4,732,320) (2,585,119) - - -
Cost of repurchasing B Shares.......... (814,836) (793,041) - - -
Cost of repurchasing I Shares.......... (6,886,075) (163,496) (22,700,219) (77,264,966) (49,868,392)
------------ ------------ ------------- ------------- -------------
1,878,096 17,663,486 10,603,263 15,170,907 78,155,450
------------ ------------ ------------- ------------- -------------
NET ASSETS
May 31, 1996........................... $ 57,465,130 $ 39,422,925 $146,949,679 $ 398,005,320 $ 484,641,177
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
(a)..................................... November 11, November 11, November 11,
Beginning of Period June 1, 1994 June 1, 1994 1994 1994 1994
(b)..................................... October 31, October 31, October 31,
End of Period May 31, 1995 May 31, 1995 1995 1995 1995
<CAPTION>
INCOME VALUGROWTH-SM- DIVERSIFIED
EQUITY STOCK INDEX EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ - $128,201,480 $ - $ -
------------- ------------- ------------- -------------
OPERATIONS
Net investment income.................. 940,343 1,417,415 3,001,143 5,807,642
Realized gain (loss) from
investments........................ (25,794) (752,212) 1,288,749 10,899,023
Change in unrealized appreciation from
investments........................ 8,269,668 14,104,085 30,497,283 112,290,241
------------- ------------- ------------- -------------
9,184,217 14,769,288 34,787,175 128,996,906
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ - (122,777) - -
Net investment income, B Shares........ - (21,641) - -
Net investment income, I Shares........ - (1,282,800) - -
Realized gain on investments, A
Shares............................. - - - -
Realized gain on investments, B
Shares............................. - - - -
Realized gain on investments, I
Shares............................. - - - -
------------- ------------- ------------- -------------
- (1,427,218) - -
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... - 2,466,769 - -
Sale of B Shares....................... - 1,561,962 - -
Sale of I Shares....................... 32,004,647 35,528,998 124,576,780 496,787,751
Sale of Shares issued in conversion, I
Shares (Note 1).................... 16,330,430 - 48,078,887 188,578,327
Reinvestment of dividends, A Shares.... - 109,377 - -
Reinvestment of dividends, B Shares.... - 17,994 - -
Reinvestment of dividends, I Shares.... - 70,143 - -
Cost of repurchasing A Shares.......... - (4,478,873) - -
Cost of repurchasing B Shares.......... - (512,240) - -
Cost of repurchasing I Shares.......... (8,519,290) (24,011,552) (21,246,270) (103,252,075)
------------- ------------- ------------- -------------
39,815,787 10,752,578 151,409,397 582,114,003
------------- ------------- ------------- -------------
NET ASSETS END OF PERIOD(B)............. 49,000,004 152,296,128 186,196,572 711,110,909
------------- ------------- ------------- -------------
OPERATIONS
Net investment income.................. 1,275,151 1,009,599 2,947,559 4,762,594
Realized gain (loss) from
investments........................ 239,076 11,920,837 3,739,347 20,460,229
Change in unrealized appreciation
(depreciation) from investments.... 9,644,184 19,702,082 25,822,725 96,912,030
------------- ------------- ------------- -------------
11,158,411 32,632,518 32,509,631 122,134,853
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ - (84,795) - -
Net investment income, B Shares........ - (22,463) - -
Net investment income, I Shares........ (1,597,797) (920,207) (3,001,143) (11,170,188)
Realized gain on investments, A
Shares............................. - (79,478) - -
Realized gain on investments, B
Shares............................. - (25,735) - -
Realized gain on investments, I
Shares............................. (213,282) (874,467) (1,322,193) (26,714,365)
------------- ------------- ------------- -------------
(1,811,079) (2,007,145) (4,323,336) (37,884,553)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 2,520,809 2,965,125 - 2,685,565
Sale of B Shares....................... 748,680 1,356,765 - 2,417,385
Sale of I Shares....................... 31,446,734 26,276,880 44,343,984 156,508,771
Sale of Shares issued in merger, A
Shares (Note 8).................... 28,896,764 - - -
Sale of Shares issued in merger, B
Shares (Note 8).................... 16,515,834 - - -
Sale of Shares issued in merger, I
Shares (Note 8).................... 145,790,368 - - -
Reinvestment of dividends, A Shares.... - 181,544 - -
Reinvestment of dividends, B Shares.... - 50,538 - -
Reinvestment of dividends, I Shares.... 1,811,078 106,150 4,323,406 37,884,552
Cost of repurchasing A Shares.......... (97,978) (2,587,716) - (12,102)
Cost of repurchasing B Shares.......... (27,196) (625,881) - -
Cost of repurchasing I Shares.......... (6,354,584) (33,730,227) (13,406,058) (82,476,663)
------------- ------------- ------------- -------------
221,250,509 (6,006,822) 35,261,332 117,007,508
------------- ------------- ------------- -------------
NET ASSETS
May 31, 1996........................... $ 279,597,845 $176,914,679 $ 249,644,199 $ 912,368,717
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(a)..................................... November 11, November 11, November 11,
Beginning of Period 1994 June 1, 1994 1994 1994
(b)..................................... October 31, October 31, October 31,
End of Period 1995 May 31, 1995 1995 1995
</TABLE>
[LOGO]
33
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE YEARS OR PERIODS ENDED MAY 31, 1996
AND THE PERIODS ENDED OCTOBER 31, 1995
<TABLE>
<CAPTION>
LARGE SMALL SMALL
GROWTH COMPANY COMPANY COMPANY CONTRARIAN
EQUITY GROWTH STOCK GROWTH STOCK
FUND FUND FUND FUND FUND
------------- ------------ ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ - $ - $ 9,710,908 $ - $ 4,767,049
------------- ------------ ------------- ------------- -------------
OPERATIONS
Net investment income.................. (470,845) (127,770) 364,378 (1,033,557) 295,000
Realized gain (loss) from
investments........................ 22,944,720 680,905 965,922 27,823,268 1,190,947
Change in unrealized appreciation from
investments........................ 67,077,512 12,771,480 2,743,762 43,595,077 1,035,192
------------- ------------ ------------- ------------- -------------
89,551,387 13,324,615 4,074,062 70,384,788 2,521,139
------------- ------------ ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ - - (9,212) - (3,623)
Net investment income, B Shares........ - - (4,231) - (1,290)
Net investment income, I Shares........ - - (352,830) - (289,008)
Realized gain on investments, A
Shares............................. - - (5,960) - (103)
Realized gain on investments, B
Shares............................. - - (3,839) - (43)
Realized gain on investments, I
Shares............................. - - (269,796) - (14,518)
------------- ------------ ------------- ------------- -------------
- - (645,868) - (308,585)
------------- ------------ ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... - - 1,290,079 - 416,869
Sale of B Shares....................... - - 777,480 - 385,276
Sale of I Shares....................... 346,892,541 59,880,621 46,911,637 207,281,383 49,711,822
Sale of Shares issued in conversion, I
Shares (Note 1).................... 187,721,674 9,419,837 - 44,901,924 -
Reinvestment of dividends, A Shares.... - - 14,637 - 3,207
Reinvestment of dividends, B Shares.... - - 7,961 - 1,109
Reinvestment of dividends, I Shares.... - - 28,272 - 149,803
Cost of repurchasing A Shares.......... - - (111,737) - (31,102)
Cost of repurchasing B Shares.......... - - (66,404) - (17,607)
Cost of repurchasing I Shares.......... (60,161,325) (19,058,149) (5,248,243) (44,510,221) (10,732,262)
------------- ------------ ------------- ------------- -------------
474,452,890 50,242,309 43,603,682 207,673,086 39,887,115
------------- ------------ ------------- ------------- -------------
NET ASSETS END OF PERIOD(B)............. 564,004,277 63,566,924 56,742,784 278,057,874 46,866,718
------------- ------------ ------------- ------------- -------------
OPERATIONS
Net investment income.................. 54,049 (128,949) 29,449 (772,022) 375,831
Realized gain (loss) from
investments........................ 30,110,072 869,085 14,281,284 23,582,293 5,483,045
Change in unrealized appreciation
(depreciation) from investments.... 67,008,779 10,088,697 17,166,511 41,196,035 (1,213,188)
------------- ------------ ------------- ------------- -------------
97,172,900 10,828,833 31,477,244 64,006,306 4,645,688
------------- ------------ ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ - - (5,330) - (6,448)
Net investment income, B Shares........ - - (1,964) - (3,399)
Net investment income, I Shares........ (2,687,990) - (157,562) - (372,373)
Realized gain on investments, A
Shares............................. - - (124,863) - (60,262)
Realized gain on investments, B
Shares............................. - - (93,838) - (57,350)
Realized gain on investments, I
Shares............................. (42,119,410) (612,610) (3,804,614) (26,837,810) (4,102,714)
------------- ------------ ------------- ------------- -------------
(44,807,400) (612,610) (4,188,171) (26,837,810) (4,602,546)
------------- ------------ ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 3,337,642 - 3,231,815 - 542,495
Sale of B Shares....................... 694,106 - 2,541,448 - 233,371
Sale of I Shares....................... 132,045,471 11,429,389 55,628,805 54,322,606 16,652,803
Sale of Shares issued in merger, A
Shares (Note 8).................... - - - - -
Sale of Shares issued in merger, B
Shares (Note 8).................... - - - - -
Sale of Shares issued in merger, I
Shares (Note 8).................... - - - - -
Reinvestment of dividends, A Shares.... - - 130,687 - 67,001
Reinvestment of dividends, B Shares.... - - 93,288 - 58,754
Reinvestment of dividends, I Shares.... 44,807,402 612,610 224,735 26,837,810 638,476
Cost of repurchasing A Shares.......... (10,957) - (422,224) - (279,551)
Cost of repurchasing B Shares.......... - - (202,809) - (148,560)
Cost of repurchasing I Shares.......... (57,474,997) (3,711,267) (9,720,850) (17,840,616) (27,147,010)
------------- ------------ ------------- ------------- -------------
123,398,667 8,330,732 51,504,895 63,319,800 (9,382,221)
------------- ------------ ------------- ------------- -------------
NET ASSETS
May 31, 1996........................... $ 739,768,444 $82,113,879 $ 135,536,752 $ 378,546,170 $ 37,527,639
------------- ------------ ------------- ------------- -------------
------------- ------------ ------------- ------------- -------------
(a)..................................... November 11, November 11, November 11,
Beginning of Period 1994 1994 June 1, 1994 1994 June 1, 1994
(b)..................................... October 31, October 31, October 31,
End of Period 1995 1995 May 31, 1995 1995 May 31, 1995
<CAPTION>
INTERNATIONAL
FUND
-------------
<S> <C>
NET ASSETS BEGINNING OF PERIOD(A)....... $ -
-------------
OPERATIONS
Net investment income.................. 442,752
Realized gain (loss) from
investments........................ (722,933)
Change in unrealized appreciation from
investments........................ 3,679,006
-------------
3,398,825
-------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ -
Net investment income, B Shares........ -
Net investment income, I Shares........ -
Realized gain on investments, A
Shares............................. -
Realized gain on investments, B
Shares............................. -
Realized gain on investments, I
Shares............................. -
-------------
-
-------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 218,716
Sale of B Shares....................... 395,763
Sale of I Shares....................... 86,709,689
Sale of Shares issued in conversion, I
Shares (Note 1).................... 17,857,644
Reinvestment of dividends, A Shares.... -
Reinvestment of dividends, B Shares.... -
Reinvestment of dividends, I Shares.... -
Cost of repurchasing A Shares.......... (3,261)
Cost of repurchasing B Shares.......... (2,647)
Cost of repurchasing I Shares.......... (16,562,251)
-------------
88,613,653
-------------
NET ASSETS END OF PERIOD(B)............. 92,012,478
-------------
OPERATIONS
Net investment income.................. 423,426
Realized gain (loss) from
investments........................ 1,700,340
Change in unrealized appreciation
(depreciation) from investments.... 11,541,514
-------------
13,665,280
-------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A Shares........ (6,180)
Net investment income, B Shares........ (7,672)
Net investment income, I Shares........ (1,689,715)
Realized gain on investments, A
Shares............................. -
Realized gain on investments, B
Shares............................. -
Realized gain on investments, I
Shares............................. -
-------------
(1,703,567)
-------------
CAPITAL SHARE TRANSACTIONS
Sale of A Shares....................... 857,967
Sale of B Shares....................... 530,692
Sale of I Shares....................... 44,692,502
Sale of Shares issued in merger, A
Shares (Note 8).................... -
Sale of Shares issued in merger, B
Shares (Note 8).................... -
Sale of Shares issued in merger, I
Shares (Note 8).................... -
Reinvestment of dividends, A Shares.... 6,176
Reinvestment of dividends, B Shares.... 7,632
Reinvestment of dividends, I Shares.... 1,627,705
Cost of repurchasing A Shares.......... (60,668)
Cost of repurchasing B Shares.......... (4,128)
Cost of repurchasing I Shares.......... (5,914,538)
-------------
41,743,340
-------------
NET ASSETS
May 31, 1996........................... $145,717,531
-------------
-------------
(a)..................................... November 11,
Beginning of Period 1995
(b)..................................... October 31,
End of Period 1995
</TABLE>
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See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Norwest Advantage Funds (the "Trust") is registered as an open-end management
investment company. The Trust currently has twenty-six separate investment
portfolios. These financial statements relate to twenty-one of those portfolios
(each a "Fund" and collectively the "Funds"), each of which is a diversified
portfolio, with the exception of Colorado Tax-Free Fund and Minnesota Tax-Free
Fund. The classes of each Fund and their date of commencement of operations are
as follows:
<TABLE>
<CAPTION>
A SHARES B SHARES I SHARES
---------------- ---------------- -----------------
<S> <C> <C> <C>
Stable Income Fund.............................. May 2, 1996 May 17, 1996 November 11, 1994
Intermediate Government Income Fund............. May 2, 1996 May 17, 1996 November 11, 1994
Diversified Bond Fund........................... N/A N/A November 11, 1994
Income Fund..................................... June 9, 1987 August 5, 1993 August 2, 1993
December 31, December 31,
Total Return Bond Fund.......................... 1993 1993 December 31, 1993
Tax-Free Income Fund............................ August 1, 1989 August 6, 1993 August 2, 1993
Colorado Tax-Free Fund.......................... June 1, 1993 August 2, 1993 August 23, 1993
Minnesota Tax-Free Fund......................... January 12, 1988 August 6, 1993 August 2, 1993
Conservative Balanced Fund...................... N/A N/A November 11, 1994
Moderate Balanced Fund.......................... N/A N/A November 11, 1994
Growth Balanced Fund............................ N/A N/A November 11, 1994
Income Equity Fund.............................. May 2, 1996 May 2, 1996 November 11, 1994
ValuGrowthSM Stock Fund......................... January 8, 1988 August 5, 1993 August 2, 1993
Index Fund...................................... N/A N/A November 11, 1994
Diversified Equity Fund......................... May 2, 1996 May 6, 1996 November 11, 1994
Growth Equity Fund.............................. May 2, 1996 May 6, 1996 November 11, 1994
Large Company Growth Fund....................... N/A N/A November 11, 1994
December 31, December 31,
Small Company Stock Fund........................ 1993 1993 December 31, 1993
Small Company Growth Fund....................... N/A N/A November 11, 1994
December 31, December 31,
Contrarian Stock Fund........................... 1993 1993 December 31, 1993
International Fund.............................. April 12, 1995 May 12, 1995 November 11, 1994
</TABLE>
Each share of each class represents an undivided proportionate interest in the
Fund. A Shares are sold with a front-end sales charge to the general public but
do not incur distribution expenses. B Shares are sold to the general public with
a contingent deferred sales charge imposed on most redemptions made within six
years of purchase and, after a specified number of years, automatically convert
to A Shares. B Shares incur distribution expenses. I Shares are offered
primarily to fiduciary, agency and custodial clients of bank trust departments,
trust companies and their affiliates, are sold without a sales charge and do not
incur distribution expenses.
Prior to July 31, 1993, the Trust's operation was conducted as Prime Value
Funds, Inc., a Maryland corporation. On October 1, 1995 the Trust changed its
name from Norwest Funds to Norwest Advantage Funds and Investor A Shares,
Investor B Shares and Advantage Trust Shares were renamed A Shares, B Shares and
I Shares, respectively. Each Fund's fiscal year end is May 31.
International Fund seeks to achieve its investment objective by investing all of
its assets in International Portfolio, a separate diversified portfolio of Core
Trust (Delaware) ("Core Trust"), which is registered as an open-end management
investment company. This is commonly referred to as a master-feeder arrangement.
Conservative Balanced Fund, Moderate Balanced Fund, Growth Balanced Fund,
Diversified Equity Fund and Growth Equity Fund (the "Blended Funds") invest a
portion of their assets in various portfolios of Core Trust pursuant to the
conditions of an exemptive order issued by the Securities and Exchange
Commission. International Fund and the Blended Funds account for their
investments in the portfolios of Core Trust as partnership investments and
record their share of each portfolio's income, expense and realized and
unrealized gains and losses daily.
FINANCIAL STATEMENT PERIODS AND CHANGE OF FISCAL YEAR-For certain share classes,
the earliest period presented in the financial highlights reflects operations
for the period beginning with the commencement date above through the date of
its then fiscal year end, as noted. Otherwise a full year is presented.
Effective May 31, 1992, Minnesota Tax-Free Fund and ValuGrowthSM Stock Fund
changed their fiscal year end to May 31. Prior to May 31, 1992, their fiscal
year end was November 30. Effective May 31, 1996 Stable Income Fund,
Intermediate Government Income Fund, Diversified Bond Fund, Conservative
Balanced Fund, Moderate Balanced Fund, Growth Balanced Fund, Income Equity Fund,
Index Fund, Diversified Equity Fund, Growth Equity Fund, Large Company Growth
Fund, Small Company Growth Fund and International Fund changed their fiscal year
end to May 31. Prior to May 31, 1996, their fiscal year end was October 31.
[LOGO]
35
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION (CONTINUED)
COLLECTIVE TRUST FUND CONVERSION-Upon commencement of operations, in exchange
for the portfolio securities of certain collective trust funds managed by
Norwest Bank Minnesota, N.A. ("Norwest"), Intermediate Government Income Fund,
Diversified Bond Fund, Conservative Balanced Fund, Moderate Balanced Fund,
Growth Balanced Fund, Income Equity Fund, Index Fund, Diversified Equity Fund,
Growth Equity Fund, Large Company Growth Fund, Small Company Growth Fund and
International Fund issued I Shares to the collective trust funds. Immediately
after this conversion, the collective trust funds distributed the I Shares of
these Funds to the investors of the collective trust funds and ceased
operations.
STOCK SPLIT-Intermediate Government Income Fund declared a stock split as of the
close of business on March 22, 1996 to the shareholders of record of the Fund as
of the close of business on March 22, 1996. Each shareholder of the Fund
received four additional shares of beneficial interest of the Fund for each
outstanding share of beneficial interest of the Fund held by the shareholder on
that date.
NAME CHANGES-Managed Fixed Income Fund was renamed Diversified Bond Fund on
April 1, 1996. Intermediate U.S. Government Fund was renamed Intermediate
Government Income Fund on May 20, 1996.
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles which requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increase and decrease in net assets from
operations during the fiscal period. Actual results could differ from those
estimates and are expected to be immaterial to the net assets of the Funds.
The following represent significant accounting policies of the Funds:
SECURITY VALUATION-Securities purchased that mature in 60 days or less are
valued at amortized cost. Securities for which market quotations are readily
available are valued using the last reported sales price provided by independent
pricing services. If no sales are reported, the mean of the last bid and ask
price is used. Fixed income securities and other securities traded on an
exchange for which market quotations are readily available are valued at the
mean of the last bid and ask price provided by independent pricing services. If
no mean price is available, the last bid price is used. In the absence of
readily available market quotations, securities are valued at fair value
determined in accordance with procedures adopted by the Board. Interest rate
swap, cap and floor valuations are based on interest rates quoted by independent
brokers on the date of valuation.
INTEREST AND DIVIDEND INCOME-Interest income is accrued as earned. Dividends on
securities held by the Funds are recorded on the ex-dividend date.
DIVIDENDS TO SHAREHOLDERS-Dividends to shareholders of net investment income, if
any, are declared daily and paid monthly by Income Fund, Total Return Bond Fund,
Tax-Free Income Fund, Colorado Tax-Free Fund and Minnesota Tax-Free Fund; are
declared and paid monthly by Stable Income Fund, Intermediate Government Income
Fund, ValuGrowthSM Stock Fund, Small Company Stock Fund and Contrarian Stock
Fund; are declared and paid quarterly by Income Equity Fund; and are declared
and paid annually by Diversified Bond Fund, Conservative Balanced Fund, Moderate
Balanced Fund, Growth Balanced Fund, Index Fund, Diversified Equity Fund, Growth
Equity Fund, Large Company Growth Fund, Small Company Growth Fund and
International Fund. Net capital gain, if any, is distributed to shareholders at
least annually.
Distributions from net investment income and realized capital gain are based on
amounts calculated in accordance with applicable income tax regulations. Any
differences between financial statement amounts available for distribution and
distributions made in accordance with income tax regulations are primarily
attributable to certain income tax calculations being based on an October 31
year end, wash sales (the purchase of a security within a specified time frame
in conjunction with a loss being realized on the sale of a similar security),
the utilization of capital loss carryovers and the treatment of foreign currency
transactions.
PREMIUM AMORTIZATION AND DISCOUNT ACCRETION-Except for Stable Income Fund, fixed
income investments with a maturity greater than sixty days and purchased at a
premium or discount (other than original issue discount) are not amortized or
accreted. Stable Income Fund amortizes premium and accretes discount.
EXPENSE ALLOCATION-Expenses are allocated in accordance with procedures adopted
by the Board of Trustees (the "Board"). Certain expenses are allocated to the
various share classes on the basis of usage of services or contractual
differences. The Funds' class specific expenses include distribution expenses,
if any, transfer agent fees and expenses, and certain other expenses that are
solely attributable to a class.
[LOGO]
36
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
REALIZED GAINS AND LOSSES-Security transactions are recorded on a trade date
basis and realized gains and losses on investments sold are determined on the
basis of identified cost.
FEDERAL INCOME TAX-Each Fund intends to qualify, and continue to qualify, as a
regulated investment company and distribute all of its taxable income.
Therefore, no Federal income tax provision is required.
REPURCHASE AGREEMENTS-Each Fund may purchase portfolio securities from financial
institutions deemed to be creditworthy by the Fund's investment adviser subject
to the seller's agreement to repurchase and the Fund's agreement to resell such
securities. Securities received as collateral in connection with the repurchase
agreements are maintained by the Trust and must have, at all times, an aggregate
market value greater than or equal to the repurchase price plus accrued
interest. If the value of the underlying securities falls below the value of the
repurchase price plus accrued interest, the Funds require the seller to deposit
additional collateral by the next business day. In the event that the seller
under the agreement defaults on its repurchase obligation or fails to deposit
sufficient collateral, the Funds have the contractual right, subject to the
requirements of applicable bankruptcy and insolvency laws, to sell the
underlying securities at market value and may claim any resulting loss from the
seller. For certain demand agreements, there is no agreed upon repurchase date
and interest payments are calculated daily, often based upon the prevailing
overnight repurchase rate.
ORGANIZATIONAL COSTS-The costs incurred by certain Funds in connection with
their organization and registration of shares have been capitalized and are
being amortized using the straight line method over a five year period beginning
on the commencement of the specific Fund's operations.
SECURITY LOANS-The Funds may receive compensation for lending securities in the
form of fees or by retaining a portion of interest on the investment securities
or any cash received as collateral. A Fund also continues to receive interest or
dividends on the securities loaned. Security loans are secured at all times by
collateral equal to at least 102% of the market value of the securities loaned
plus accrued interest. Gain or loss in the market price of the securities loaned
that may occur during the term of the loan are reflected in the value of the
Fund.
- --------------------------------------------------------------------------------
NOTE 3. FINANCIAL INSTRUMENTS
FINANCIAL FUTURES CONTRACTS-As of May 31, 1996, Index Fund had open futures
contracts, entered into for hedging purposes. The contractual amount of a
futures contract represents the investment the Fund has in a particular contract
and does not necessarily represent the amounts potentially subject to risk. The
measurement of futures contracts is meaningful only when all related and
offsetting transactions are considered. A summary of obligations under open
futures contracts at May 31, 1996 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
NOTIONAL APPRECIATION
POSITION CONTRACTS AMOUNT INDEX (DEPRECIATION)
- -------- --------- ----------- -------------------------------------------- --------------
<S> <C> <C> <C> <C>
Long 63 $21,008,925 S&P 500 Futures, Expiring June 21, 1996 $590,825
Long 21 7,063,875 S&P 500 Futures, Expiring September 20, 1996 (50,500)
----------- --------------
28,072,800 $540,325
----------- --------------
----------- --------------
</TABLE>
As of May 31, 1996, the Fund had segregated sufficient cash and/or securities to
cover segregation and margin requirements on open futures contracts.
INTEREST RATE SWAP TRANSACTIONS-In order to preserve return Stable Income Fund
has entered into an interest rate index swap agreement with Merrill Lynch
Capital Services, Inc., exchanging interest payments based on the one month
LIBOR for interest payments based on the monthly change in the index value of
the Merrill Lynch 1 Year Treasury Index. The notional amount of the contract is
$12,000,000. Interest rate and index return differentials are settled monthly
and the contract will terminate November 1, 1996. As of May 31, 1996 there was
no unrealized gain or loss related to the agreement.
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISERS-The investment adviser of each Fund is Norwest Investment
Management ("the Adviser"), a part of Norwest. Norwest is a subsidiary of
Norwest Corporation. The Adviser receives an annual advisory fee from each Fund
based on a percentage of average daily net assets of each Fund. Refer to Exhibit
A of Notes to Financial Statements for a detail listing of the fees.
[LOGO]
37
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
Pursuant to its investment advisory agreements with each Fund or its
administrative services agreement with International Fund, Norwest is obligated
to reimburse each Fund for certain operating expenses (exclusive of interest,
taxes, brokerage fees, fees and other expenses paid pursuant to any distribution
plan and organization expenses, all to the extent permitted by applicable state
law or regulation) which in any year exceed the limits prescribed by any state
in which the Fund's shares are qualified for sale. The Funds' annual expenses
are estimated and accrued daily and any related reimbursements are made monthly
by the Adviser. Pursuant to an agreement among the Adviser, the Trust and
Crestone Capital Management, Inc. ("Crestone"), a subsidiary of Norwest, the
Adviser has delegated certain of its advisory responsibilities to Crestone and
pays Crestone a fee.
The investment adviser of International Portfolio of Core Trust is Schroder
Capital Management International Inc. ("Schroder"). International Fund may
withdraw its investment from International Portfolio at any time if the Board
determines that it is in the best interest of the Fund and its shareholders to
do so. Should International Fund make such a withdrawal, the Trust has retained
Schroder to act as investment subadviser. Neither the Adviser nor Schroder will
receive any advisory or subadvisory fees with respect to International Fund as
long as the Fund remains completely invested in International Portfolio.
The investment subadvisor of each Blended Fund is Schroder. Schroder advises
that portion of each of these Funds' investment portfolios that the Adviser
believes should be invested using Schroder's investment philosophy. Schroder
receives a fee from the Adviser for its subadvisory services; however, that
compensation does not increase the amount paid by any Fund.
During the year ended May 31, 1996, pursuant to procedures adopted by the Board,
ValuGrowthSM Stock Fund placed a portion of its portfolio transactions through
Norwest Investment Services, Inc., an affiliate of the Adviser, for which
brokerage commissions of $11,124 were paid.
ADMINISTRATIVE AND OTHER SERVICES-As manager of the Trust, Forum Financial
Services, Inc. ("Forum"), a registered broker-dealer, provides administrative
services to the Funds. For these services Forum receives a management fee
between 0.10% and 0.20% of the average daily net assets attributable to each
class of each Fund. In addition, for the period ended May 31, 1996, Forum
charged the Trust legal expenses aggregating $57,414.
Forum Financial Corp. ("FFC"), an affiliate of Forum, provides fund accounting
services to the Funds. For these services, FFC receives a fee of $36,000 per
year per Fund plus certain amounts based upon the number of classes and number
and types of portfolio transactions within each Fund.
Norwest serves as the Trust's transfer agent and dividend disbursing agent. For
these services Norwest receives a fee at an annual rate of 0.25% of the average
daily net assets attributable to each class of each Fund's shares. Norwest also
serves as the Trust's custodian and may appoint subcustodians for foreign
securities and other assets held in foreign countries. For some of the Funds,
Norwest is compensated for its custodial services at an annual rate of up to
0.05% of the Fund's average daily net assets. Refer to Exhibit A of Notes to
Financial Statements for a detail listing of the applicable rates for transfer
agency and custodial services.
On behalf of International Fund, the Trust has entered into an administrative
services agreement with Norwest under which Norwest receives a fee at an annual
rate of 0.25% of the average daily net assets of the Fund. Under this agreement,
Norwest is responsible for compiling data for and preparing communications
between the Fund and its shareholders, maintaining requisite information flows
between the Fund and Schroder as the investment adviser to International
Portfolio of Core Trust and monitoring and reporting to the Board on the
performance of International Portfolio. No fees are payable under this agreement
in the event that the Fund is not completely invested in International Portfolio
or another investment company.
The Trust has adopted a Distribution Plan (the "Plan") with respect to B Shares
of each Fund currently offering B Shares pursuant to Rule 12b-1 under the
Investment Company Act of 1940. The Plan authorizes the payment to Forum of an
annual distribution service fee of 0.75% of the average daily net assets, and a
maintenance fee of 0.25% of the average daily net assets, of each Fund
attributable to B Shares. No Fund incurred any maintenance fees during the
period ended May 31, 1996. The distribution payments are used to reimburse the
distributor for commissions and interest on the outstanding balance of
unreimbursed distribution charges. The Plan may be terminated by vote of a
majority of the Funds' shareholders or by vote of a majority of Trustees who do
not have any direct or indirect financial interest in the Plan. In the event
that the Plan is terminated or not continued, at the discretion of the Board of
Trustees, the Fund may continue to pay distribution service fees to Forum (but
only with respect to sales that occurred prior to the termination or
discontinuance of the Plan) until the earlier of (a) four years after the date
of termination or discontinuance or (b) such time as there exist no unreimbursed
distribution charges attributable to that Fund under the Plan, as calculated
pursuant to the Plan. The respective unreimbursed distribution charges at May
31, 1996 were as follows: Stable Income Fund, $17,409; Intermediate Government
Income Fund, $230,269; Income Fund, $86,309; Total Return Bond Fund, $52,580;
Tax-
[LOGO]
38
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
Free Income Fund, $115,529; Colorado Tax-Free Fund, $119,334; Minnesota Tax-Free
Fund, $206,736; Income Equity Fund, $565,223; ValuGrowthSM Stock Fund, $138,168;
Diversified Equity Fund, $88,615; Growth Equity Fund, $20,558; Small Company
Stock Fund, $117,941; Contrarian Stock Fund, $24,975; and International Fund,
$34,880.
Each Blended Fund incurs certain expenses that are passed through from Core
Trust. Total net expenses incurred by each Blended Fund for the period from
November 1, 1995 to May 31, 1996 attributable to each Blended Funds' investment
in the Blended Portfolios of Core Trust were as follows: Conservative Balanced
Fund, $21,685; Moderate Balanced Fund, $88,155; Growth Balanced Fund, $154,654;
Diversified Equity Fund, $435,114; and Growth Equity Fund $461,271.
VOLUNTARY WAIVERS AND REIMBURSEMENTS-For the periods ended May 31, 1996 and
October 31, 1995, the Trust's service providers voluntarily waived and
reimbursed certain expenses incurred by the Funds. Refer to Exhibit A of Notes
to Financial Statements for a detail listing of voluntary waivers and
reimbursements for each Fund.
- --------------------------------------------------------------------------------
NOTE 5. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales (including maturities) of securities
(excluding short-term investments) during the period ended May 31, 1996 are
presented in Exhibit B of Notes to Financial Statements. (The cost of purchases
and proceeds from sales for the Blended Funds and International Fund reflect
additions and reductions in the Funds' investments in Index Portfolio, Small
Company Portfolio, International Portfolio and International Portfolio II of
Core Trust.)
The Federal tax cost basis of investments, related gross unrealized appreciation
and depreciation for Federal income tax purposes, and capital loss carryovers
available to offset future capital gains, as of May 31, 1996, are presented in
Exhibit B of Notes to Financial Statements.
- --------------------------------------------------------------------------------
NOTE 6. PORTFOLIO SECURITIES LOANED
As of May 31, 1996 certain Funds had loaned securities which were collateralized
by various securities, including time deposits, commercial paper, corporate
bonds and repurchase agreements. Norwest receives transaction fees for providing
services in connection with the securities lending program. The value of the
securities on loan and the value of the related collateral were as follows:
<TABLE>
<CAPTION>
SECURITIES COLLATERAL
----------- -----------
<S> <C> <C>
Intermediate Government Income Fund............... $23,312,116 $23,660,946
Diversified Bond Fund............................. 9,307,815 9,664,018
Income Fund....................................... 50,786,436 52,793,200
Total Return Bond Fund............................ 30,363,145 31,753,979
Conservative Balanced Fund........................ 9,735,034 10,113,934
Moderate Balanced Fund............................ 35,410,724 36,629,189
Growth Balanced Fund.............................. 38,419,969 39,456,968
Income Equity Fund................................ 43,580,913 45,238,086
ValuGrowthSM Stock Fund........................... 44,838,530 46,375,824
Diversified Equity Fund........................... 79,267,588 81,412,578
Growth Equity Fund................................ 73,090,039 74,703,639
Large Company Growth Fund......................... 18,517,347 18,987,170
Small Company Stock Fund.......................... 13,678,688 14,111,478
Small Company Growth Fund......................... 8,316,508 8,507,025
Contrarian Stock Fund............................. 8,735,088 9,253,612
</TABLE>
[LOGO]
39
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 7. CAPITAL SHARE TRANSACTIONS
The Trust Instrument authorizes the issuance of an unlimited number of shares of
beneficial interest without par value. Transactions of Trust shares for the past
two years or periods were as follows:
<TABLE>
<CAPTION>
OTHER SHARES ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
END(A) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
---------------- ----------- ------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund
A Shares................... May 31, 1996 2,512 1,588,229 4,300 (1,609) 1,593,432
B Shares................... May 31, 1996 46,741 38,476 257 (495) 84,979
I Shares................... May 31, 1996 3,171,044 1,646,222 429,364 (1,557,800) 3,688,830
I Shares................... October 31, 1995 7,185,816 - - (2,699,855) 4,485,961
Intermediate Government
Income Fund
A Shares................... May 31, 1996 6,716 1,724,803 2,885 (212,965) 1,521,439
B Shares................... May 31, 1996 579 987,229 1,486 (7,997) 981,297
I Shares................... May 31, 1996 1,177,241 34,509,135 572,649 (398,252) 35,860,773
I Shares................... October 31, 1995 208,300 1,038,496 - (436,614) 810,182
Diversified Bond Fund
I Shares................... May 31, 1996 985,367 - 456,475 (1,160,178) 281,664
I Shares................... October 31, 1995 1,885,663 6,596,859 - (2,341,438) 6,141,084
Income Fund
A Shares................... May 31, 1996 236,584 - 35,126 (323,284) (51,574)
A Shares................... May 31, 1995 178,942 - 38,329 (218,980) (1,709)
B Shares................... May 31, 1996 93,265 - 16,806 (97,218) 12,853
B Shares................... May 31, 1995 92,963 - 14,153 (38,366) 68,750
I Shares................... May 31, 1996 20,209,039 - 18,760 (2,390,661) 17,837,138
I Shares................... May 31, 1995 4,383,174 - 40,804 (2,837,868) 1,586,110
Total Return Bond Fund
A Shares................... May 31, 1996 201,628 - 7,319 (56,614) 152,333
A Shares................... May 31, 1995 49,366 - 2,169 (5,757) 45,778
B Shares................... May 31, 1996 157,199 - 9,555 (37,976) 128,778
B Shares................... May 31, 1995 76,640 - 2,415 (4,136) 74,919
I Shares................... May 31, 1996 5,082,461 - 289,805 (2,412,585) 2,959,681
I Shares................... May 31, 1995 9,509,232 - 274,125 (1,120,809) 8,662,548
Tax-Free Income Fund
A Shares................... May 31, 1996 844,644 - 170,761 (683,344) 332,061
A Shares................... May 31, 1995 432,472 - 152,099 (1,034,258) (449,687)
B Shares................... May 31, 1996 254,385 - 17,185 (48,446) 223,124
B Shares................... May 31, 1995 121,081 - 9,889 (29,621) 101,349
I Shares................... May 31, 1996 21,317,628 - 10,725 (2,717,376) 18,610,977
I Shares................... May 31, 1995 3,617,332 - 21,238 (4,649,999) (1,011,429)
Colorado Tax-Free Fund
A Shares................... May 31, 1996 453,951 - 124,490 (474,632) 103,809
A Shares................... May 31, 1995 240,052 - 121,929 (1,009,103) (647,122)
B Shares................... May 31, 1996 184,980 - 18,848 (81,822) 122,006
B Shares................... May 31, 1995 76,674 - 13,992 (29,369) 61,297
I Shares................... May 31, 1996 638,741 - 1,264 (683,956) (43,951)
I Shares................... May 31, 1995 1,822,348 - 1,121 (908,624) 914,845
Minnesota Tax-Free Fund
A Shares................... May 31, 1996 1,244,834 - 95,738 (246,111) 1,094,461
A Shares................... May 31, 1995 783,054 - 39,538 (318,995) 503,597
B Shares................... May 31, 1996 420,449 - 25,555 (76,177) 369,827
B Shares................... May 31, 1995 253,488 - 10,155 (21,120) 242,523
I Shares................... May 31, 1996 228,639 - 1,852 (15,455) 215,036
I Shares................... May 31, 1995 136,301 - 1,722 (51,766) 86,257
</TABLE>
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40
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 7. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
OTHER SHARES ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
END(A) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
---------------- ----------- ------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Conservative Balanced Fund
I Shares................... May 31, 1996 1,455,459 - 425,387 (1,275,154) 605,692
I Shares................... October 31, 1995 2,035,455 7,514,366 - (2,043,785) 7,506,036
Moderate Balanced Fund
I Shares................... May 31, 1996 3,798,355 - 907,808 (3,925,457) 780,706
I Shares................... October 31, 1995 5,463,069 17,749,616 - (4,361,300) 18,851,385
Growth Balanced Fund
I Shares................... May 31, 1996 5,279,837 - 571,663 (2,273,197) 3,578,303
I Shares................... October 31, 1995 5,817,900 15,666,998 - (3,838,878) 17,646,020
Income Equity
A Shares................... May 31, 1996 90,978 1,053,473 - (3,514) 1,140,937
B Shares................... May 31, 1996 27,490 602,328 - (977) 628,841
I Shares................... May 31, 1996 1,201,965 5,314,997 69,338 (250,449) 6,335,851
I Shares................... October 31, 1995 763,606 1,693,544 - (417,088) 2,040,062
ValuGrowthSM Stock Fund
A Shares................... May 31, 1996 142,948 - 8,842 (123,725) 28,065
A Shares................... May 31, 1995 140,912 - 6,298 (254,529) (107,319)
B Shares................... May 31, 1996 66,819 - 2,473 (30,373) 38,919
B Shares................... May 31, 1995 89,782 - 1,034 (29,138) 61,678
I Shares................... May 31, 1996 1,282,430 - 5,183 (1,627,713) (340,100)
I Shares................... May 31, 1995 2,048,579 - 4,043 (1,376,569) 676,053
Index Fund
I Shares................... May 31, 1996 1,494,825 - 150,066 (446,260) 1,198,631
I Shares................... October 31, 1995 1,918,980 5,714,937 - (904,812) 6,729,105
Diversified Equity Fund
A Shares................... May 31, 1996 88,731 - - (398) 88,333
B Shares................... May 31, 1996 80,122 - - - 80,122
I Shares................... May 31, 1996 5,447,250 - 1,313,210 (2,902,396) 3,858,064
I Shares................... October 31, 1995 7,672,804 22,368,531 - (4,207,813) 25,833,522
Growth Equity Fund
A Shares................... May 31, 1996 115,164 - - (382) 114,782
B Shares................... May 31, 1996 24,168 - - - 24,168
I Shares................... May 31, 1996 4,846,652 - 1,651,658 (2,108,869) 4,389,441
I Shares................... October 31, 1995 7,804,338 15,568,747 - (2,460,406) 20,912,679
Large Company Growth Fund
I Shares................... May 31, 1996 471,467 - 26,577 (148,296) 349,748
I Shares................... October 31, 1995 442,993 3,236,987 - (985,065) 2,694,915
Small Company Stock Fund
A Shares................... May 31, 1996 266,295 - 11,419 (35,555) 242,159
A Shares................... May 31, 1995 127,352 - 1,473 (10,985) 117,840
B Shares................... May 31, 1996 216,344 - 8,232 (17,389) 207,187
B Shares................... May 31, 1995 77,049 - 808 (6,562) 71,295
I Shares................... May 31, 1996 4,695,219 - 19,738 (813,654) 3,901,303
I Shares................... May 31, 1995 4,701,475 - 2,864 (526,044) 4,178,295
Small Company Growth Fund
I Shares................... May 31, 1996 1,838,657 - 972,032 (610,709) 2,199,980
I Shares................... October 31, 1995 1,653,407 9,475,352 - (1,856,289) 9,272,470
</TABLE>
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41
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 7. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
OTHER SHARES ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
END(A) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
---------------- ----------- ------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Contrarian Stock Fund
A Shares................... May 31, 1996 50,267 - 6,560 (25,341) 31,486
A Shares................... May 31, 1995 40,379 - 310 (3,000) 37,689
B Shares................... May 31, 1996 20,976 - 5,826 (13,448) 13,354
B Shares................... May 31, 1995 36,555 - 108 (1,670) 34,993
I Shares................... May 31, 1996 1,546,052 - 61,649 (2,481,497) (873,796)
I Shares................... May 31, 1995 4,757,781 - 14,330 (1,036,666) 3,735,445
International Fund
A Shares................... May 31, 1996 45,286 - 344 (3,189) 42,441
A Shares................... October 31, 1995 12,219 - - (187) 12,032
B Shares................... May 31, 1996 28,226 - 426 (229) 28,423
B Shares................... October 31, 1995 22,197 - - (146) 22,051
I Shares................... May 31, 1996 2,387,598 - 90,228 (318,244) 2,159,582
I Shares................... October 31, 1995 1,065,477 5,018,364 - (1,001,990) 5,081,851
</TABLE>
(a) See the related Statements of Changes in Net Assets for dates of beginning
of period presented.
- --------------------------------------------------------------------------------
NOTE 8. MERGER OF FUNDS
On May 17, 1996, Stable Income Fund, Intermediate Government Income Fund and
Income Equity Fund ("Acquiring Funds") acquired all of the assets and
liabilities of Adjustable U.S. Government Reserve Fund, Government Income Fund
and Income Stock Fund ("Target Funds"), respectively, pursuant to a plan of
reorganization and liquidation approved by the shareholders on May 13, 1996. The
acquisition was accomplished by a tax free exchange of assets and liabilities of
the individual Target Funds for shares of an existing Acquiring Fund, and the
distribution of such shares to the Target Funds' shareholders and the subsequent
termination of the respective Target Funds.
The Stable Income Fund issued the following shares in exchange for the assets
and liabilities, including unrealized appreciation and accumulated net realized
capital losses of the Adjustable U.S. Government Reserve Fund:
<TABLE>
<CAPTION>
STABLE INCOME FUND ADJUSTABLE U.S. RESERVE FUND
- ------------------------------------- -----------------------------------------------------------
MAY 17, 1996 MAY 17,1996
SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER SHARE
SHARE CLASS ISSUED VALUE GAIN (LOSS) NET GAIN (LOSS) NET ASSETS VALUE
- ------------ --------- ------------ ----------- --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
A Shares 1,588,229 $10.24 $(422,368) $(4,968,020) $16,263,468 $9.40
B Shares 38,476 10.24 4,677 (33,733) 393,994 9.36
I Shares 1,646,222 10.24 92,660 (2,270,066) 16,857,313 9.40
----------- --------------- ------------
$(325,031) $(7,271,819) $33,514,775
----------- --------------- ------------
----------- --------------- ------------
</TABLE>
Immediately after the exchange, combined net assets were: A Shares, $16,280,721;
B Shares, $741,524; and I Shares, $82,560,262.
[LOGO]
42
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 8. MERGER OF FUNDS (CONTINUED)
The Intermediate Government Income Fund issued the following shares in exchange
for the assets and liabilities, including unrealized depreciation and
accumulated net realized capital losses of the Government Income Fund:
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT INCOME FUND GOVERNMENT INCOME FUND
- -------------------------------------- ----------------------------------------------------------
MAY 17, 1996 MAY 17,1996
SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER SHARE
SHARE CLASS ISSUED VALUE GAIN (LOSS) NET GAIN (LOSS) NET ASSETS VALUE
- ------------ ---------- ------------ ------------ --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
A Shares 1,724,803 $10.97 $ 5,553,969 $ (2,372,866) $18,921,088 $8.57
B Shares 987,229 10.97 5,528 (1,329,344) 10,829,902 8.56
I Shares 32,282,358 10.97 (10,807,493 ) (17,017,680) 354,137,467 8.57
------------ --------------- ------------
$(5,247,996 ) $(20,719,890) $383,888,457
------------ --------------- ------------
------------ --------------- ------------
</TABLE>
Immediately after the exchange, combined net assets were: A Shares, $18,958,902;
B Shares, $10,829,902; and I Shares, $401,687,938.
The Income Equity Fund issued the following shares in exchange for the assets
and liabilities, including unrealized appreciation and accumulated net realized
capital losses of the Income Stock Fund:
<TABLE>
<CAPTION>
INCOME EQUITY FUND INCOME STOCK FUND
- ------------------------------------- ---------------------------------------------------------
MAY 17, 1996 MAY 17,1996
SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER SHARE
SHARE CLASS ISSUED VALUE GAIN (LOSS) NET GAIN (LOSS) NET ASSETS VALUE
- ------------ --------- ------------ ----------- --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
A Shares 1,053,473 $27.43 $6,204,781 $ 64,930 $28,896,764 $14.20
B Shares 602,328 27.42 2,169,156 47,510 16,515,834 14.09
I Shares 5,314,997 27.43 29,080,757 54,367 145,790,368 14.21
----------- --------------- ------------
$37,454,694 $ 166,807 $191,202,966
----------- --------------- ------------
----------- --------------- ------------
</TABLE>
Immediately after the exchange, combined net assets were: A Shares, $29,152,935;
B Shares, $16,971,366; and I Shares, $227,899,458.
- --------------------------------------------------------------------------------
NOTE 9. CONCENTRATION OF CREDIT RISK
The Colorado and Minnesota Tax-Free Funds invest substantially all of their
assets in debt obligations of issuers located in the states of Colorado and
Minnesota, respectively. The issuers' abilities to meet their obligations may be
affected by Colorado and Minnesota economic or political developments.
[LOGO]
43
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
EXHIBIT A--ADDITIONAL EXPENSE INFORMATION
<TABLE>
<CAPTION>
YEAR OR PERIOD ENDED MAY 31,
1996
--------------------------------
FEE RATES FEES VOLUNTARILY WAIVED
-------------------- --------------------------------
CUSTODIAN CUSTODIAN EXPENSES
AND AND VOLUNTARILY
TRANSFER TRANSFER REIMBURSED
ADVISORY AGENT AGENT ADVISER FORUM BY FORUM
-------- --------- --------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund................................ 0.30% 0.25% $ - $ - $ 42,756 $ 54,890
Intermediate Government Income Fund............... 0.33% 0.25% - - 51,036 145,789
Diversified Bond Fund............................. 0.35% 0.25% - - 74,830 -
Income Fund....................................... 0.50% 0.30% 32,741 196,249 387,621 5,668
Total Return Bond Fund............................ 0.50% 0.30% 7,615 352,590 26,124 3,796
Tax-Free Income Fund.............................. 0.50% 0.30% 353,797 1,032,179 356,405 -
Colorado Tax-Free Fund............................ 0.50%(a) 0.30% 91,766 286,768 115,769 -
Minnesota Tax-Free Fund........................... 0.50%(a) 0.30% 50,627 154,733 56,815 -
Conservative Balanced Fund........................ 0.45% 0.25% - - 75,638 -
Moderate Balanced Fund............................ 0.53% 0.25% - - 133,182 -
Growth Balanced Fund.............................. 0.58% 0.25% - - 143,495 -
Income Equity Fund................................ 0.65% 0.25% - - 49,877 79,120
ValuGrowth-SM- Stock Fund......................... 0.80%(b) 0.30% 13,346 16,691 199,505 87
Index Fund........................................ 0.15% 0.25% 95,863 143,794 99,621 -
Diversified Equity Fund........................... 0.65% 0.25% - - 245,354 1,512
Growth Equity Fund................................ 0.90% 0.25% - - 194,190 1,408
Large Company Growth Fund......................... 0.65% 0.25% - - 43,905 10,419
Small Company Stock Fund.......................... 1.00%(c) 0.30% 12,493 327,218 35,501 2,919
Small Company Growth Fund......................... 0.90% 0.25% - - 82,037 -
Contrarian Stock Fund............................. 0.80%(b) 0.30% 1,972 70,170 45,820 5,929
International Fund................................ - - - - 7,622 3,116
</TABLE>
(a) For the first $300 million of average net assets of the Fund, declining to
0.42% for average net assets in excess of $700 million.
(b) For the first $300 million of average net assets of the Fund, declining to
0.72% for average net assets in excess of $700 million.
(c) For the first $300 million of average net assets of the Fund, declining to
0.92% for average net assets in excess of $700 million.
<TABLE>
<CAPTION>
PERIOD ENDED OCTOBER 31, 1995
-------------------------------------
FEES EXPENSES EXPENSES
VOLUNTARILY VOLUNTARILY VOLUNTARILY
WAIVED REIMBURSED REIMBURSED
FORUM BY FORUM BY NORWEST
----------- ---------- ----------
<S> <C> <C> <C>
Stable Income Fund...................... $ 38,143 $ 72,111 $ 8,678
Intermediate U.S. Government Fund....... 48,717 55,600 6,613
Managed Fixed Income Fund............... 147,461 26,073 -
Conservative Balanced Fund.............. 121,634 41,597 -
Moderate Balanced Fund.................. 212,921 54,129 -
Growth Balanced Fund.................... 209,411 52,749 -
Income Equity Fund...................... 37,517 45,002 8,604
Index Fund.............................. 141,917 33,079 -
Diversified Equity Fund................. 287,473 88,739 -
Growth Equity Fund...................... 286,137 26,219 -
Large Company Growth Fund............... 55,766 35,036 6,313
Small Company Growth Fund............... 177,287 4,730 -
International Fund...................... 41,566 27,951 -
</TABLE>
Additionally, Forum waived $868 of International Fund's distribution expense and
Norwest waived $51,207 of Managed Fixed Income Fund's investment advisory fee.
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44
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1996
- --------------------------------------------------------------------------------
EXHIBIT B--ADDITIONAL INVESTMENT/SECURITIES INFORMATION
<TABLE>
<CAPTION>
YEAR OR PERIOD
ENDED MAY 31, 1996
---------------------------- UNREALIZED
COST OF PROCEEDS -------------------------- TAX COST CAPITAL LOSS
PURCHASES FROM SALES APPRECIATION DEPRECIATION BASIS CARRYOVERS(A)
-------------- ------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund...................... $ 80,145,857 $ 63,456,829 $ 177,188 $ 653,759 $100,180,987 $ 7,063,621 (b)
Intermediate Government Income Fund..... 77,711,093 69,933,097 225,834 8,851,321 429,983,692 16,286,482 (c)
Diversified Bond Fund................... 174,690,759 196,602,182 - 2,059,568 168,455,105 -
Income Fund............................. 697,168,930 519,377,118 - 10,292,742 288,443,535 8,567,590
Total Return Bond Fund.................. 119,929,514 87,445,855 890,348 3,149,581 127,433,073 -
Tax-Free Income Fund.................... 451,095,411 285,193,586 3,568,492 2,858,358 314,684,080 9,367,065
Colorado Tax-Free Fund.................. 97,549,430 97,044,946 455,098 275,894 56,221,658 1,228,604
Minnesota Tax-Free Fund................. 39,140,913 22,981,897 315,653 444,105 39,887,863 385,409
Conservative Balanced Fund.............. 81,750,003 68,888,595 10,889,449 1,397,270 138,468,738 -
Moderate Balanced Fund.................. 203,481,261 187,854,351 45,000,158 3,314,335 356,900,948 -
Growth Balanced Fund.................... 1,236,891,396 152,221,463 74,956,144 3,120,036 414,123,833 -
Income Equity Fund...................... 22,703,842 584,832 56,781,912 1,413,366 222,985,763 -
ValuGrowth-SM- Stock Fund............... 174,401,581 182,484,346 47,906,003 1,387,251 131,044,239 -
Index Fund.............................. 25,175,023 18,834,873 57,932,437 1,603,407 192,175,798 -
Diversified Equity Fund................. 116,848,979 45,738,086 211,109,995 1,778,474 702,025,385 -
Growth Equity Fund...................... 124,212,428 47,003,089 135,175,699 1,203,420 604,581,394 -
Large Company Growth Fund............... 20,832,657 11,994,350 23,225,062 401,055 59,363,686 -
Small Company Stock Fund................ 157,152,587 113,944,567 21,279,205 1,505,814 116,359,436 -
Small Company Growth Fund............... 224,790,443 184,411,884 88,255,250 3,464,138 293,849,400 -
Contrarian Stock Fund................... 11,272,247 22,953,818 3,852,496 4,216,439 38,575,761 -
International Fund...................... - - 15,220,520 - 130,534,565 963,070
</TABLE>
(a) Expiring in various years through 2004.
(b) Includes $7,063,621 of capital loss carryforward transferred from Adjustable
U.S. Government Reserve Fund.
(c) Includes $15,970,754 of capital loss carryforward transferred from
Government Income Fund.
<TABLE>
<CAPTION>
FOR THE PERIOD
NOVEMBER 11, 1994 TO
OCTOBER 31, 1995
--------------------------
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
Stable Income Fund................................ $ 88,658,327 $ 36,145,717
Intermediate U.S. Government Fund................. 115,584,612 119,842,742
Managed Fixed Income Fund......................... 127,941,351 94,114,250
Conservative Balanced Fund........................ 102,981,972 67,668,680
Moderate Balanced Fund............................ 269,245,223 189,140,934
Growth Balanced Fund.............................. 877,692,247 126,119,264
Income Equity Fund................................ 10,835,113 2,612,032
Index Fund........................................ 50,417,321 20,971,876
Diversified Equity Fund........................... 152,534,660 59,996,284
Growth Equity Fund................................ 169,160,229 39,615,418
Large Company Growth Fund......................... 17,936,691 29,574,486
Small Company Growth Fund......................... 228,324,354 233,337,807
International Fund................................ - -
</TABLE>
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45
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BEGINNING NET NET REALIZED DIVIDENDS DISTRIBUTIONS ENDING
NET ASSET INVESTMENT AND UNREALIZED FROM NET FROM NET NET ASSET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT INVESTMENT VALUE PER
SHARE (LOSS) INVESTMENTS INCOME GAINS SHARE
--------- ---------- -------------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C>
STABLE INCOME FUND
A SHARES
May 2, 1996 to May 31, 1996........... $ 10.22 $ 0.02 - $ (0.04) - $ 10.20
B SHARES
May 17, 1996 to May 31, 1996.......... 10.23 0.02 $ (0.01) (0.04) - 10.20
I SHARES
November 1, 1995 to May 31, 1996...... 10.72 0.28 0.03 (0.77) $ (0.06) 10.20
November 11, 1994 to October 31,
1995................................ 10.00 0.50 0.22 - - 10.72
INTERMEDIATE GOVERNMENT INCOME FUND
A SHARES
May 2, 1996 to May 31, 1996........... 10.89 0.03 - (0.03) - 10.89
B SHARES
May 17, 1996 to May 31, 1996.......... 10.97 0.03 (0.08) (0.03) - 10.89
I SHARES
November 1, 1995 to May 31, 1996...... 12.40 0.40 0.53 (1.32) (1.12) 10.89
November 11, 1994 to October 31, 1995
(e)................................. 11.11 0.93 0.36 - - 12.40
DIVERSIFIED BOND FUND
I SHARES
November 1, 1995 to May 31, 1996...... 27.92 1.07 (0.99) (1.67) (0.30) 26.03
November 11, 1994 to October 31,
1995................................ 25.08 1.65 1.19 - - 27.92
INCOME FUND
A SHARES
June 1, 1995 to May 31, 1996.......... 9.63 0.61 (0.36) (0.61) - 9.27
June 1, 1994 to May 31, 1995.......... 9.52 0.65 0.11 (0.65) - 9.63
June 1, 1993 to May 31, 1994.......... 10.61 0.70 (0.83) (0.70) (0.26) 9.52
June 1, 1992 to May 31, 1993.......... 10.52 0.77 0.39 (0.77) (0.30) 10.61
June 1, 1991 to May 31, 1992.......... 10.23 0.82 0.53 (0.82) (0.24) 10.52
B SHARES
June 1, 1995 to May 31, 1996.......... 9.61 0.54 (0.35) (0.54) - 9.26
June 1, 1994 to May 31, 1995.......... 9.51 0.58 0.10 (0.58) - 9.61
August 5, 1993 to May 31, 1994........ 10.67 0.50 (0.90) (0.50) (0.26) 9.51
I SHARES
June 1, 1995 to May 31, 1996.......... 9.62 0.61 (0.36) (0.61) - 9.26
June 1, 1994 to May 31, 1995.......... 9.51 0.65 0.11 (0.65) - 9.62
August 2, 1993 to May 31, 1994........ 10.68 0.58 (0.91) (0.58) (0.26) 9.51
TOTAL RETURN BOND FUND
A SHARES
June 1, 1995 to May 31, 1996.......... 9.73 0.64 (0.31) (0.64) (0.02) 9.40
June 1, 1994 to May 31, 1995.......... 9.54 0.67 0.19 (0.67) - 9.73
December 31, 1993 to May 31, 1994..... 10.00 0.27 (0.46) (0.27) - 9.54
B SHARES
June 1, 1995 to May 31, 1996.......... 9.73 0.57 (0.31) (0.57) (0.02) 9.40
June 1, 1994 to May 31, 1995.......... 9.54 0.59 0.19 (0.59) - 9.73
December 31, 1993 to May 31, 1994..... 10.00 0.24 (0.46) (0.24) - 9.54
I SHARES
June 1, 1995 to May 31, 1996.......... 9.73 0.64 (0.31) (0.64) (0.02) 9.40
June 1, 1994 to May 31, 1995.......... 9.54 0.67 0.19 (0.67) - 9.73
December 31, 1993 to May 31, 1994..... 10.00 0.27 (0.46) (0.27) - 9.54
TAX-FREE INCOME FUND
A SHARES
June 1, 1995 to May 31, 1996.......... 9.82 0.55 (0.04) (0.55) - 9.78
June 1, 1994 to May 31, 1995.......... 9.60 0.55 0.22 (0.55) - 9.82
June 1, 1993 to May 31, 1994.......... 10.06 0.58 (0.39) (0.58) (0.07) 9.60
June 1, 1992 to May 31, 1993.......... 9.98 0.66 0.11 (0.66) (0.03) 10.06
June 1, 1991 to May 31, 1992.......... 9.95 0.70 0.04 (0.70) (0.01) 9.98
B SHARES
June 1, 1995 to May 31, 1996.......... 9.82 0.48 (0.04) (0.48) - 9.78
June 1, 1994 to May 31, 1995.......... 9.60 0.48 0.22 (0.48) - 9.82
August 6, 1993 to May 31, 1994........ 10.17 0.39 (0.50) (0.39) (0.07) 9.60
I SHARES
June 1, 1995 to May 31, 1996.......... 9.82 0.55 (0.04) (0.55) - 9.78
June 1, 1994 to May 31, 1995.......... 9.60 0.55 0.22 (0.55) - 9.82
August 2, 1993 to May 31, 1994........ 10.14 0.47 (0.47) (0.47) (0.07) 9.60
</TABLE>
[LOGO]
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSET NET ASSETS AT
- ----------------------------------------- PORTFOLIO NET END OF AVERAGE
NET INVESTMENT NET GROSS TOTAL TURNOVER PERIOD COMMISSION
INCOME (LOSS) EXPENSES EXPENSES(C) RETURN RATE (000'S OMITTED) RATE(D)
- ---------------- -------- ----------- ---------- -------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C>
5.77 %(b) 0.70%(b) 2.22%(b) 0.23% 109.95% $ 16,256 N/A
5.02 %(b) 1.42%(b) 3.07%(b) 0.12% 109.95% 867 N/A
5.74 %(b) 0.65%(b) 0.92%(b) 2.97% 109.95% 83,404 N/A
5.91 %(b) 0.65%(b) 0.98%(b) 7.20% 115.85% 48,087 N/A
7.32 %(b) 0.75%(b) 1.74%(b) 0.26% 74.64% 16,562 N/A
5.56 %(b) 1.35%(b) 2.65%(b) (0.49%) 74.64% 10,682 N/A
6.71 %(b) 0.71%(b) 1.17%(b) 0.60% 74.64% 399,324 N/A
7.79 %(b) 0.68%(b) 0.93%(b) 11.58% 240.90% 50,213 N/A
6.78 %(b) 0.70%(b) 0.77%(b) 0.22% 118.92% 167,159 N/A
5.87 %(b) 0.67%(b) 0.82%(b) 11.32% 58.90% 171,453 N/A
6.33 % 0.75% 1.16% 2.58% 270.17% 5,521 N/A
7.02 % 0.75% 1.24% 8.49% 98.83% 6,231 N/A
6.72 % 0.60% 1.16% (1.58%) 26.67% 6,177 N/A
7.18 % 0.60% 1.10% 11.46% 87.98% 85,252 N/A
7.80 % 0.31% 1.08% 13.58% 84.24% 63,973 N/A
5.57 % 1.50% 2.27% 1.92% 270.17% 3,292 N/A
6.24 % 1.50% 2.21% 7.57% 98.83% 3,296 N/A
5.82 %(b) 1.33%(b) 2.08%(b) (4.82%)(b) 26.67% 2,605 N/A
6.30 % 0.75% 1.06% 2.58% 270.17% 271,157 N/A
7.02 % 0.75% 1.06% 8.49% 98.83% 109,994 N/A
6.75 %(b) 0.61%(b) 1.09%(b) (4.04%)(b) 26.67% 93,665 N/A
6.48 % 0.76% 1.57% 3.41% 77.49% 2,010 N/A
6.94 % 0.64% 2.38% 9.42% 35.19% 599 N/A
6.04 %(b) 0.37%(b) 13.29%(b) (4.64%)(b) 37.50% 150 N/A
5.75 % 1.51% 2.48% 2.63% 77.49% 2,098 N/A
6.17 % 1.41% 3.09% 8.59% 35.19% 919 N/A
5.40 %(b) 1.11%(b) 8.29%(b) (5.23%)(b) 37.50% 186 N/A
6.57 % 0.75% 1.07% 3.41% 77.49% 120,767 N/A
7.04 % 0.71% 1.17% 9.43% 35.19% 96,199 N/A
6.81 %(b) 0.46%(b) 2.10%(b) (4.62%)(b) 37.50% 11,694 N/A
5.54 % 0.40% 1.06% 5.29% 126.20% 33,914 N/A
5.87 % 0.60% 1.12% 8.42% 130.90% 30,786 N/A
5.77 % 0.60% 1.14% 1.74% 116.54% 34,426 N/A
6.47 % 0.60% 1.12% 7.86% 42.81% 109,983 N/A
7.03 % 0.34% 1.14% 7.65% 73.66% 56,250 N/A
4.77 % 1.14% 2.21% 4.50% 126.20% 5,897 N/A
5.05 % 1.35% 2.21% 7.61% 130.90% 3,729 N/A
4.76 %(b) 1.31%(b) 2.24%(b) (0.98%)(b) 116.54% 2,674 N/A
5.57 % 0.32% 1.06% 5.29% 126.20% 276,159 N/A
5.84 % 0.60% 1.05% 8.42% 130.90% 94,454 N/A
5.71 %(b) 0.60%(b) 1.10%(b) (0.21%)(b) 116.54% 102,084 N/A
</TABLE>
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47
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
BEGINNING NET NET REALIZED DIVIDENDS DISTRIBUTIONS ENDING
NET ASSET INVESTMENT AND UNREALIZED FROM NET FROM NET NET ASSET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT INVESTMENT VALUE PER
SHARE (LOSS) INVESTMENTS INCOME GAINS SHARE
--------- ---------- -------------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C>
COLORADO TAX-FREE FUND
A SHARES
June 1, 1995 to May 31,
1996...................... $9.90 $0.53 $(0.01) $(0.53) - $ 9.89
June 1, 1994 to May 31,
1995...................... 9.69 0.48 0.21 (0.48) - 9.90
June 1, 1993 to May 31,
1994...................... 10.00 0.51 (0.30) (0.51) $(0.01) 9.69
B SHARES
June 1, 1995 to May 31,
1996...................... 9.91 0.46 (0.01) (0.46) - 9.90
June 1, 1994 to May 31,
1995...................... 9.70 0.41 0.21 (0.41) - 9.91
August 2, 1993 to May 31,
1994...................... 10.04 0.35 (0.33) (0.35) (0.01) 9.70
I SHARES
June 1, 1995 to May 31,
1996...................... 9.90 0.53 (0.01) (0.53) - 9.89
June 1, 1994 to May 31,
1995...................... 9.69 0.48 0.21 (0.48) - 9.90
August 23, 1993 to May 31,
1994...................... 10.22 0.39 (0.52) (0.39) (0.01) 9.69
MINNESOTA TAX-FREE FUND
A SHARES
June 1, 1995 to May 31,
1996...................... 10.45 0.56 (0.15) (0.56) - 10.30
June 1, 1994 to May 31,
1995...................... 10.15 0.53 0.30 (0.53) - 10.45
June 1, 1993 to May 31,
1994...................... 10.65 0.53 (0.31) (0.53) (0.19) 10.15
June 1, 1992 to May 31,
1993...................... 10.27 0.55 0.39 (0.55) (0.01) 10.65
December 1, 1991 to May 31,
1992...................... 10.20 0.30 0.11 (0.30) (0.04) 10.27
December 1, 1990 to November
30, 1991.................. 10.15 0.61 0.12 (0.61) (0.07) 10.20
B SHARES
June 1, 1995 to May 31,
1996...................... 10.44 0.48 (0.14) (0.48) - 10.30
June 1, 1994 to May 31,
1995...................... 10.15 0.45 0.29 (0.45) - 10.44
August 6, 1993 to May 31,
1994...................... 10.77 0.35 (0.43) (0.35) (0.19) 10.15
I SHARES
June 1, 1995 to May 31,
1996...................... 10.45 0.56 (0.15) (0.56) - 10.30
June 1, 1994 to May 31,
1995...................... 10.16 0.53 0.29 (0.53) - 10.45
August 2, 1993 to May 31,
1994...................... 10.74 0.43 (0.39) (0.43) (0.19) 10.16
CONSERVATIVE BALANCED FUND
I SHARES
November 1, 1995 to May 31,
1996...................... 18.21 0.48 0.42 (0.76) (0.23) 18.12
November 11, 1994 to October
31, 1995.................. 16.19 0.75 1.27 - - 18.21
MODERATE BALANCED FUND
I SHARES
November 1, 1995 to May 31,
1996...................... 19.84 0.46 0.89 (0.66) (0.26) 20.27
November 11, 1994 to October
31, 1995.................. 17.25 0.65 1.94 - - 19.84
GROWTH BALANCED FUND
I SHARES
November 1, 1995 to May 31,
1996...................... 21.25 0.31 1.95 (0.51) (0.17) 22.83
November 11, 1994 to October
31, 1995.................. 17.95 0.47 2.83 - - 21.25
INCOME EQUITY FUND
A SHARES
May 2, 1996 to May 31,
1996...................... 26.94 0.07 0.55 - - 27.56
B SHARES
May 2, 1996 to May 31,
1996...................... 26.94 0.02 0.58 - - 27.54
I SHARES
November 1, 1995 to May 31,
1996...................... 24.02 0.29 4.02 (0.69) (0.08) 27.56
November 11, 1994 to October
31, 1995.................. 18.90 0.46 4.66 - - 24.02
VALUGROWTH-SM- STOCK FUND
A SHARES
June 1, 1995 to May 31,
1996...................... 18.82 0.13 3.93 (0.13) (0.12) 22.63
June 1, 1994 to May 31,
1995...................... 17.17 0.17 1.66 (0.18) - 18.82
June 1, 1993 to May 31,
1994...................... 17.27 0.10 0.19 (0.17) (0.22) 17.17
June 1, 1992 to May 31,
1993...................... 16.30 0.17 1.34 (0.17) (0.37) 17.27
December 1, 1991 to May 31,
1992...................... 14.48 0.09 1.83 (0.10) - 16.30
December 1, 1990 to November
30, 1991.................. 11.67 0.18 2.82 (0.19) - 14.48
B SHARES
June 1, 1995 to May 31,
1996...................... 18.65 (0.02) 3.87 (0.10) (0.12) 22.28
June 1, 1994 to May 31,
1995...................... 17.10 0.07 1.61 (0.13) - 18.65
August 5, 1993 to May 31,
1994...................... 17.12 0.07 0.23 (0.10) (0.22) 17.10
I SHARES
June 1, 1995 to May 31,
1996...................... 18.80 0.14 3.91 (0.12) (0.12) 22.61
June 1, 1994 to May 31,
1995...................... 17.16 0.18 1.64 (0.18) - 18.80
August 2, 1993 to May 31,
1994...................... 16.91 0.13 0.46 (0.12) (0.22) 17.16
</TABLE>
[LOGO]
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
<TABLE>
<CAPTION>
RATIO TO AVERAGE
NET ASSETS NET ASSETS AT
- -------------------------------------------------- PORTFOLIO END OF PERIOD AVERAGE
NET INVESTMENT NET GROSS TOTAL TURNOVER (000'S COMMISSION
INCOME (LOSS) EXPENSES EXPENSES(C) RETURN RATE OMITTED) RATE(D)
- ---------------- -------- ----------- --------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
5.30% 0.30% 1.13% 5.35% 171.41% $26,991 N/A
5.10% 0.30% 1.15% 7.47% 47.88% 25,997 N/A
4.94% 0.07% 1.23% 2.02% 40.92% 31,724 N/A
4.64% 1.05% 2.16% 4.56% 171.41% 6,400 N/A
4.32% 1.05% 2.16% 6.67% 47.88% 5,198 N/A
4.08%(b) 0.85%(b) 2.24%(b) 0.27%(b) 40.92% 4,494 N/A
5.30% 0.30% 1.13% 5.35% 171.41% 24,074 N/A
5.08% 0.30% 1.16% 7.47% 47.88% 24,539 N/A
5.03%(b) 0.11%(b) 1.21%(b) 0.90%(b) 40.92% 15,153 N/A
5.26% 0.48% 1.26% 3.97% 77.10% 26,610 N/A
5.25% 0.49% 1.61% 8.55% 139.33% 15,559 N/A
4.92% 0.61% 1.52% 1.94% 84.23% 10,008 N/A
5.13% 0.75% 1.79% 9.35% 44.29% 10,852 N/A
5.86%(b) 0.90%(b) 2.38%(b) 8.10%(b) 6.70% 4,896 N/A
6.01% 0.90% 2.63% 7.40% 37.32% 4,575 N/A
4.51% 1.23% 2.29% 3.28% 77.10% 8,825 N/A
4.52% 1.21% 2.62% 7.63% 139.33% 5,090 N/A
3.99%(b) 1.31%(b) 2.45%(b) (0.58%)(b) 84.23% 2,485 N/A
5.24% 0.51% 1.30% 3.97% 77.10% 3,988 N/A
5.29% 0.48% 1.58% 8.44% 139.33% 1,799 N/A
4.90%(b) 0.61%(b) 1.54%(b) 0.29%(b) 84.23% 872 N/A
4.65%(b) 0.82%(b)(f) 0.97%(b)(f) 5.14% 56.47% 146,950 $0.0648
4.67%(b) 0.82%(b)(f) 1.03%(b)(f) 12.48% 65.53% 136,710 N/A
3.95%(b) 0.90%(b)(f) 1.04%(b)(f) 7.03% 52.71% 398,005 0.0658
3.76%(b) 0.92%(b)(f) 1.11%(b)(f) 15.01% 62.08% 373,998 N/A
2.66%(b) 0.98%(b)(f) 1.16%(b)(f) 10.87% 38.78% 484,641 0.0696
2.63%(b) 0.99%(b)(f) 1.23%(b)(f) 18.38% 41.04% 374,892 N/A
3.69%(b) 0.91%(b) 1.91%(b) 2.30% 0.69% 31,448 0.0942
2.92%(b) 1.72%(b) 2.63%(b) 2.23% 0.69% 17,318 0.0942
2.72%(b) 0.86%(b) 1.13%(b) 18.14% 0.69% 230,831 0.0942
2.51%(b) 0.85%(b) 1.12%(b) 27.09% 7.03% 49,000 N/A
0.63% 1.20% 1.42% 21.69% 105.43% 15,232 0.0603
1.01% 1.20% 1.43% 10.72% 63.82% 12,138 N/A
1.06% 1.20% 1.43% 1.68% 86.07% 12,922 N/A
1.02% 1.20% 1.42% 9.32% 57.34% 109,669 N/A
1.34%(b) 1.19%(b) 1.64%(b) 26.46%(b) 29.50% 68,659 N/A
1.57% 1.19% 4.33% 25.84% 31.17% 4,853 N/A
(0.12%) 1.96% 2.54% 20.79% 105.43% 5,130 0.0603
(0.28%) 1.95% 2.51% 9.88% 63.82% 3,569 N/A
0.25%(b) 1.95%(b) 2.55%(b) 2.36%(b) 86.07% 2,218 N/A
0.62% 1.20% 1.32% 21.72% 105.43% 156,553 0.0603
1.02% 1.20% 1.33% 10.67% 63.82% 136,589 N/A
0.92%(b) 1.20%(b) 1.39%(b) 2.99%(b) 86.07% 113,061 N/A
</TABLE>
[LOGO]
49
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONCLUDED)
<TABLE>
<CAPTION>
BEGINNING NET NET REALIZED DIVIDENDS DISTRIBUTIONS ENDING
NET ASSET INVESTMENT AND UNREALIZED FROM NET FROM NET NET ASSET
VALUE PER INCOME GAIN (LOSS) ON INVESTMENT INVESTMENT VALUE PER
SHARE (LOSS) INVESTMENTS INCOME GAINS SHARE
--------- ---------- -------------- ---------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C>
INDEX FUND
I SHARES
November 1, 1995 to May
31, 1996............. $27.67 $ 0.36 $ 4.08 $(0.43) $ (0.19) $31.49
November 11, 1994 to
October 31, 1995..... 21.80 0.45 5.42 - - 27.67
DIVERSIFIED EQUITY FUND
A SHARES
May 2, 1996 to May 31,
1996................. 29.89 0.02 0.65 - - 30.56
B SHARES
May 6, 1996 to May 31,
1996................. 29.41 0.02 1.11 - - 30.54
I SHARES
November 1, 1995 to May
31, 1996............. 27.53 0.16 4.25 (0.42) (0.97) 30.55
November 11, 1994 to
October 31, 1995..... 22.21 0.22 5.10 - - 27.53
GROWTH EQUITY FUND
A SHARES
May 2, 1996 to May 31,
1996................. 28.50 - 0.58 - - 29.08
B SHARES
May 6, 1996 to May 31,
1996................. 28.18 - 0.89 - - 29.07
I SHARES
November 1, 1995 to May
31, 1996............. 26.97 - 4.09 (0.12) (1.86) 29.08
November 11, 1994 to
October 31, 1995..... 22.28 (0.02) 4.71 - - 26.97
LARGE COMPANY GROWTH
I SHARES
November 1, 1995 to May
31, 1996............. 23.59 (0.04) 3.64 - (0.22) 26.97
November 11, 1994 to
October 31, 1995..... 18.50 (0.05) 5.14 - - 23.59
SMALL COMPANY STOCK FUND
A SHARES
June 1, 1995 to May 31,
1996................. 10.64 0.01 3.93 (0.03) (0.53) 14.02
June 1, 1994 to May 31,
1995................. 9.84 0.12 0.87 (0.11) (0.08) 10.64
December 31, 1993 to
May 31, 1994......... 10.00 0.07 (0.15) (0.08) - 9.84
B SHARES
June 1, 1995 to May 31,
1996................. 10.56 (0.08) 3.90 (0.02) (0.53) 13.83
June 1, 1994 to May 31,
1995................. 9.82 0.07 0.84 (0.09) (0.08) 10.56
December 31, 1993 to
May 31, 1994......... 10.00 0.06 (0.17) (0.07) - 9.82
I SHARES
June 1, 1995 to May 31,
1996................. 10.59 0.01 3.93 (0.03) (0.54) 13.96
June 1, 1994 to May 31,
1995................. 9.80 0.12 0.87 (0.12) (0.08) 10.59
December 31, 1993 to
May 31, 1994......... 10.00 0.08 (0.20) (0.08) - 9.80
SMALL COMPANY GROWTH FUND
I SHARES
November 1, 1995 to May
31, 1996............. 29.99 (0.07) 5.94 - (2.86) 33.00
November 11, 1994 to
October 31, 1995..... 21.88 (0.11) 8.22 - - 29.99
CONTRARIAN STOCK FUND
A SHARES
June 1, 1995 to May 31,
1996................. 10.90 0.09 1.02 (0.10) (1.09) 10.82
June 1, 1994 to May 31,
1995................. 9.71 0.11 1.19 (0.11) (0.003) 10.90
December 31, 1993 to
May 31, 1994......... 10.00 0.06 (0.28) (0.07) - 9.71
B SHARES
June 1, 1995 to May 31,
1996................. 10.84 0.01 1.00 (0.06) (1.09) 10.70
June 1, 1994 to May 31,
1995................. 9.69 0.07 1.16 (0.08) (0.003) 10.84
December 31, 1993 to
May 31, 1994......... 10.00 0.05 (0.30) (0.06) - 9.69
I SHARES
June 1, 1995 to May 31,
1996................. 10.90 0.10 1.01 (0.10) (1.09) 10.82
June 1, 1994 to May 31,
1995................. 9.71 0.11 1.19 (0.11) (0.003) 10.90
December 31, 1993 to
May 31, 1994......... 10.00 0.07 (0.29) (0.07) - 9.71
INTERNATIONAL FUND
A SHARES
November 1, 1995 to May
31, 1996............. 17.97 0.35 1.83 (0.33) - 19.82
April 12, 1995 to
October 31, 1995..... 16.50 0.01 1.46 - - 17.97
B SHARES
November 1, 1995 to May
31, 1996............. 17.91 0.25 1.83 (0.28) - 19.71
May 12, 1995 to October
31, 1995............. 16.50 0.01 1.40 - - 17.91
I SHARES
November 1, 1995 to May
31, 1996............. 17.99 0.14 2.04 (0.33) - 19.84
November 11, 1994 to
October 31, 1995..... 17.28 0.09 0.62 - - 17.99
</TABLE>
[LOGO]
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
<TABLE>
<CAPTION>
RATIO TO AVERAGE
NET ASSETS
- --------------------------------------------- PORTFOLIO NET ASSETS AT AVERAGE
NET INVESTMENT NET GROSS TOTAL TURNOVER END OF PERIOD COMMISSION
INCOME (LOSS) EXPENSES EXPENSES(C) RETURN RATE (000'S OMITTED) RATE(D)
- ---------------- ----------- ------------ ---------- -------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C>
2.25%(b) 0.31%(b) 0.57%(b) 16.27% 9.12% $249,644 $0.0517
2.12%(b) 0.50%(b) 0.64%(b) 26.93% 14.48% 186,197 N/A
1.88%(b) 1.52%(b)(f) 4.06%(b)(f) 2.24% 5.76% 2,699 0.0671
1.24%(b) 2.37%(b)(f) 4.95%(b)(f) 3.84% 5.76% 2,447 0.0671
1.00%(b) 1.06%(b)(f) 1.30%(b)(f) 16.38% 5.76% 907,223 0.0671
1.01%(b) 1.09%(b)(f) 1.37%(b)(f) 23.95% 10.33% 711,111 N/A
0.34%(b) 2.08%(b)(f) 6.40%(b)(f) 2.04% 7.39% 3,338 0.0617
(0.40%)(b) 2.92%(b)(f) 7.44%(b)(f) 3.16% 7.39% 703 0.0617
0.01%(b) 1.35%(b)(f) 1.85%(b)(f) 15.83% 7.39% 735,728 0.0617
(0.11%)(b) 1.38%(b)(f) 1.92%(b)(f) 21.10% 8.90% 564,004 N/A
(0.30%)(b) 1.00%(b) 1.13%(b) 15.40% 16.93% 82,114 0.0616
(0.23%)(b) 1.00%(b) 1.20%(b) 27.51% 31.60% 63,567 N/A
0.03% 1.21% 1.87% 38.22% 134.53% 5,426 0.0555
1.14% 0.53% 2.32% 10.19% 68.09% 1,540 N/A
1.95%(b) 0.22%(b) 10.66%(b) (1.98%)(b) 14.98% 265 N/A
(0.74%) 1.96% 2.96% 37.32% 134.53% 4,125 0.0555
0.38% 1.27% 3.56% 9.31% 68.09% 963 N/A
1.27%(b) 0.98%(b) 20.87%(b) (2.77%)(b) 14.98% 195 N/A
0.05% 1.21% 1.60% 38.30% 134.53% 125,986 0.0555
1.14% 0.52% 1.82% 10.13% 68.09% 54,240 N/A
2.03%(b) 0.20%(b) 4.33%(b) (2.93%)(b) 14.98% 9,251 N/A
(0.41%)(b) 1.25%(b) 1.29%(b) 21.43% 62.06% 378,546 0.0583
(0.47%)(b) 1.25%(b) 1.35%(b) 37.07% 106.55% 278,058 N/A
0.86% 1.21% 2.26% 10.91% 28.21% 908 0.0467
1.05% 1.01% 2.96% 13.52% 30.32% 572 N/A
1.77%(b) 0.61%(b) 7.22%(b) (5.35%)(b) 2.67% 144 N/A
0.11% 1.96% 3.46% 10.02% 28.21% 600 0.0467
0.35% 1.78% 4.92% 12.78% 30.32% 463 N/A
1.14%(b) 1.28%(b) 9.09%(b) (6.05%)(b) 2.67% 75 N/A
A0.87% 1.20% 1.45% 10.90% 28.21% 36,020 0.0467
0.91% 1.12% 1.57% 13.52% 30.32% 45,832 N/A
1.82%(b) 0.62%(b) 3.52%(b) (5.35%)(b) 2.67% 4,548 N/A
0.92%(b) 1.50%(b)(f) 2.51%(b)(f) 12.31% N/A 1,080 N/A
0.26%(b) 1.32%(b)(f) 20.95%(b)(f) 8.91% N/A 216 N/A
(0.02%)(b) 2.25%(b)(f) 3.11%(b)(f) 11.79% N/A 995 N/A
0.17%(b) 1.27%(b)(f) 14.57%(b)(f) 8.55% N/A 395 N/A
0.60%(b) 1.50%(b)(f) 1.52%(b)(f) 12.31% N/A 143,643 N/A
0.54%(b) 1.50%(b)(f) 1.66%(b)(f) 4.11% N/A 91,401 N/A
</TABLE>
[LOGO]
51
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS MAY 31, 1996
(a) See Note 1 of Notes to Financial Statements regarding periods covered.
(b) Annualized.
(c) During each period, various fees and expenses were voluntarily waived and
reimbursed. The ratio of Gross Expenses to Average Net Assets reflects the
expense ratio in the absence of any voluntary waivers and reimbursements and
in the case of the Blended Funds and International Fund, the absence of
waivers and reimbursements from the Blended Portfolios of Core Trust
(Delaware). See Note 4 of Notes to Financial Statements.
(d) Amount represents the average commission per share paid to brokers on the
purchase or sale of equity securities.
(e) Adjusted for five for one stock split. See Note 1 of Notes to Financial
Statements.
(f) Includes expenses allocated from Index Portfolio, Small Company Portfolio,
International Portfolio, and International Portfolio II of Core Trust
(Delaware):
<TABLE>
<CAPTION>
FOR PERIOD
ENDED OCTOBER
31, 1995
FOR PERIOD ENDED MAY 31, 1996 -------------
-----------------------------------------
DIVERSIFIED
DIVERSIFIED EQUITY FUND EQUITY FUND
----------------------------------------- -------------
A SHARES B SHARES I SHARES A SHARES
--------------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Gross Expenses allocated from Index Portfolio, Small Company
Portfolio, and International Portfolio II of Core Trust
(Delaware) ("Core Portfolios")............................... 1.92% 2.19% 0.28% -
Voluntary waivers allocated from the Core Portfolios........... 1.30% 1.49% 0.19% -
------ ----------- ----------- ------
Net expenses allocated from the Core Portfolios................ 0.62% 0.70% 0.09% -
------ ----------- ----------- ------
------ ----------- ----------- ------
Voluntary fee waivers.......................................... 1.24% 1.09% 0.05% -
------ ----------- ----------- ------
------ ----------- ----------- ------
<CAPTION>
B SHARES I SHARES
----------- -----------
<S> <C> <C>
Gross Expenses allocated from Index Portfolio, Small Company
Portfolio, and International Portfolio II of Core Trust
(Delaware) ("Core Portfolios")............................... - 0.29%
Voluntary waivers allocated from the Core Portfolios........... - 0.20%
----------- -----------
Net expenses allocated from the Core Portfolios................ - 0.09%
----------- -----------
----------- -----------
Voluntary fee waivers.......................................... - 0.08%
----------- -----------
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
GROWTH EQUITY
GROWTH EQUITY FUND FUND
----------------------------------------- -------------
A SHARES B SHARES I SHARES A SHARES
--------------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Gross Expenses allocated from Core Portfolios.................. 3.82% 4.36% 0.57% -
Voluntary waivers allocated from the Core Portfolios........... 2.99% 3.42% 0.44% -
------ ----------- ----------- ------
Net expenses allocated from the Core Portfolios................ 0.83% 0.94% 0.13% -
------ ----------- ----------- ------
------ ----------- ----------- ------
Voluntary fee waivers.......................................... 1.33% 1.11% 0.06% -
------ ----------- ----------- ------
------ ----------- ----------- ------
<CAPTION>
B SHARES I SHARES
----------- -----------
<S> <C> <C>
Gross Expenses allocated from Core Portfolios.................. - 0.58%
Voluntary waivers allocated from the Core Portfolios........... - 0.45%
----------- -----------
Net expenses allocated from the Core Portfolios................ - 0.13%
----------- -----------
----------- -----------
Voluntary fee waivers.......................................... - 0.09%
----------- -----------
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE GROWTH CONSERVATIVE
BALANCED BALANCED BALANCED BALANCED
FUND FUND FUND FUND
I SHARES I SHARES I SHARES I SHARES
--------------- ------------- ----------- ---------------
<S> <C> <C> <C> <C>
Gross Expenses allocated from Core Portfolios........... 0.08% 0.12% 0.19% 0.07%
Voluntary waivers allocated from the Core Portfolios.... 0.05% 0.08% 0.13% 0.05%
------ ------ ----------- ------
Net expenses allocated from the Core Portfolios......... 0.03% 0.04% 0.06% 0.02%
------ ------ ----------- ------
------ ------ ----------- ------
Voluntary fee waivers................................... 0.09% 0.06% 0.06% 0.16%
------ ------ ----------- ------
------ ------ ----------- ------
<CAPTION>
MODERATE GROWTH
BALANCED BALANCED
FUND FUND
I SHARES I SHARES
------------- -----------
<S> <C> <C>
Gross Expenses allocated from Core Portfolios........... 0.13% 0.20%
Voluntary waivers allocated from the Core Portfolios.... 0.09% 0.13%
------ -----------
Net expenses allocated from the Core Portfolios......... 0.04% 0.07%
------ -----------
------ -----------
Voluntary fee waivers................................... 0.10% 0.10%
------ -----------
------ -----------
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL FUND INTERNATIONAL FUND
------------------------------------------- --------------------------
A SHARES B SHARES I SHARES A SHARES B SHARES
--------------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Gross Expenses allocated from International Portfolio.... 0.82% 0.82% 0.82% 1.55% 1.82%
Voluntary waivers allocated from International
Portfolio.............................................. 0.02% 0.02% 0.02% 0.17% 0.20%
------ ------ ----------- ------------- -----------
Net expenses allocated from International Portfolio...... 0.80% 0.80% 0.80% 1.38% 1.62%
------ ------ ----------- ------------- -----------
------ ------ ----------- ------------- -----------
Voluntary fee waivers.................................... 0.99% 0.84% - 19.46% 13.10%
------ ------ ----------- ------------- -----------
------ ------ ----------- ------------- -----------
<CAPTION>
I SHARES
-----------
<S> <C>
Gross Expenses allocated from International Portfolio.... 0.89%
Voluntary waivers allocated from International
Portfolio.............................................. 0.10%
-----------
Net expenses allocated from International Portfolio...... 0.79%
-----------
-----------
Voluntary fee waivers.................................... 0.06%
-----------
-----------
</TABLE>
[LOGO]
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY UNAUDITED INFORMATION MAY 31, 1996
- --------------------------------------------------------------------------------
SPECIAL MEETINGS OF SHAREHOLDERS (UNAUDITED)
There was a special meeting of shareholders of Income Stock Fund, Adjustable
U.S. Government Reserve Fund and Government Income Fund of the Trust on May 13,
1996. At the meeting, (i) shareholders of Adjustable U.S. Government Fund
approved a Plan of Reorganization and Liquidation providing for the transfer of
all the assets of the Fund in exchange for shares of Stable Income Fund of the
Trust and the assumption by Stable Income Fund of all the liabilities of the
Fund, the distribution of such shares to shareholders of the Fund in liquidation
of the Fund, (ii) shareholders of Government Income Fund approved a Plan of
Reorganization and Liquidation providing for the transfer of all the assets of
the Fund in exchange for shares of Intermediate Government Income Fund (formerly
Intermediate U.S. Government Fund) of the Trust and the assumption by
Intermediate Government Income Fund of all the liabilities of the Fund, the
distribution of such shares to shareholders of the Fund in liquidation of the
Fund, and (iii) shareholders of Income Stock Fund approved a Plan of
Reorganization and Liquidation providing for the transfer of all the assets of
the Fund in exchange for shares of Income Equity Fund of the Trust and the
assumption by Income Equity Fund of all the liabilities of the Fund, the
distribution of such shares to shareholders of the Fund in liquidation of the
Fund.
There was also a special meeting of shareholders of Income Equity Fund of the
Trust on May 13, 1996. At the meeting, shareholders of the Fund did not approve
an amendment to the Investment Advisory Agreement between the Trust and Norwest
Bank Minnesota, N.A. that would have increased the advisory fee paid by the
Fund.
The following is a summary of the votes for each of the proposals at each
meeting:
MEETING OF SHAREHOLDERS OF INCOME STOCK FUND, ADJUSTABLE
U.S. GOVERNMENT RESERVE FUND AND GOVERNMENT INCOME FUND
<TABLE>
<CAPTION>
ADJUSTABLE
INCOME U.S. GOVERNMENT GOVERNMENT
STOCK FUND RESERVE FUND INCOME FUND
----------- ---------------- -------------
<S> <C> <C> <C>
Shares Present.................................... 10,080,024 1,940,576 35,079,625
For............................................... 99.04% 99.79% 99.87%
Against........................................... 0.34% 0.06% 0.01%
Abstain........................................... 0.63% 0.15% 0.12%
</TABLE>
MEETING OF SHAREHOLDERS OF INCOME EQUITY FUND
<TABLE>
<S> <C> <C> <C>
Shares Present.................................... 1,333,397 Against 49.73%
For............................................... 48.00% Abstain 2.27%
</TABLE>
- --------------------------------------------------------------------------------
FEDERAL TAX STATUS OF DIVIDENDS DECLARED (UNAUDITED)
The federal tax status of capital gain dividends declared during the period are
presented below. For federal income tax purposes, dividends from short-term
capital gain are classified as ordinary income. All net investment income
dividends were ordinary income, except for Tax-Free Income Fund, Colorado
Tax-Free Fund, and Minnesota Tax-Free Fund, which were federal tax exempt
interest income dividends.
<TABLE>
<CAPTION>
SHORT-TERM LONG-TERM QUALIFYING
CAPITAL GAIN CAPITAL GAIN DIVIDENDS*
--------------- --------------- -------------
<S> <C> <C> <C>
Stable Income Fund................................ $ 0.057 - -
Intermediate Government Income Fund............... 0.251 $ 0.016 -
Diversified Bond Fund............................. 0.300 - -
Total Return Bond Fund............................ 0.021 - -
Conservative Balanced Fund........................ 0.232 - 10.97%
Moderate Balanced Fund............................ 0.266 - 19.00%
Growth Balanced Fund.............................. 0.172 - 43.90%
Income Equity Fund................................ - 0.077 100.00%
ValuGrowth Stock Fund............................. 0.121 100.00%
Index Fund........................................ 0.191 - 81.53%
Diversified Equity Fund........................... 0.548 0.423 100.00%
Growth Equity Fund................................ 1.337 0.526 30.16%
Large Company Growth Fund......................... 0.217 - 100.00%
Small Company Stock Fund.......................... 0.535 - 5.49%
Small Company Growth Fund......................... 2.858 - 13.86%
Contrarian Stock Fund............................. 0.910 0.178 22.93%
</TABLE>
* Percentage of ordinary and short-term capital gain distributions qualifying
for the corporate dividend received deduction.
For the period ended May 31, 1996 Income Fund, Tax-Free Income Fund, Colorado
Tax-Free Fund, Minnesota Tax-Free Fund, and International Fund did not pay
short-term capital or long-term capital gain dividends.
[LOGO]
53
<PAGE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY UNAUDITED INFORMATION (CONCLUDED) MAY 31, 1996
- --------------------------------------------------------------------------------
FOREIGN DIVIDENDS AND FOREIGN TAX PER SHARE (UNAUDITED)
Foreign dividends and foreign tax, for a share outstanding on May 31, 1996, for
International Fund are as follows:
<TABLE>
<CAPTION>
COUNTRY DIVIDENDS FOREIGN TAX
- ------------------------------------------------------------------------------------------------- ----------- -----------
<S> <C> <C>
Argentina........................................................................................ $ 0.0007 $ -
Brazil........................................................................................... 0.0052 0.0004
Canada........................................................................................... 0.0053 0.0008
Chile............................................................................................ 0.0012 0.0004
France........................................................................................... 0.0027 0.0003
Germany.......................................................................................... 0.0227 0.0023
Hong Kong........................................................................................ 0.0158 -
Indonesia........................................................................................ 0.0016 0.0002
Italy............................................................................................ 0.0055 0.0008
Japan............................................................................................ 0.0213 0.0032
Korea............................................................................................ 0.0012 0.0002
Malaysia......................................................................................... 0.0024 0.0007
Mexico........................................................................................... 0.0001 -
Netherlands...................................................................................... 0.0294 0.0044
Philippines...................................................................................... 0.0008 0.0002
Singapore........................................................................................ 0.0013 0.0004
Sweden........................................................................................... 0.0093 0.0014
Switzerland...................................................................................... 0.0132 0.0020
Thailand......................................................................................... 0.0044 0.0004
United Kingdom................................................................................... 0.0709 0.0108
</TABLE>
[LOGO]
54
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (22.2%)
2,607,014 AFC Home Equity Loan Trust Series
1995-2 A1, 7.4424% variable rate,
due 7/25/26 $ 2,617,669
219,909 BW Trust Series 1989-1 A, 9.10%, due
9/15/04 221,787
620,184 General Motors Acceptance Corporation
Grantor Trust, Series 1992-F A,
4.50%, due 9/15/97 618,584
816,829 General Motors Acceptance Corporation
Grantor Trust, Series 1993-B A,
4.00%, due 9/15/98 811,021
1,312,248 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 1,302,536
1,079,751 Green Tree Financial Corporation,
Series 1994-1 A1, 5.60%, due 4/15/19 1,076,543
108,168 Green Tree Financial Corporation,
Series 1994-8 A1, 7.75%, due 4/15/25 108,376
221,144 Rochester Community Savings Bank
Grantor Trust, Series 1992-A A,
5.70%, due 12/15/97 220,776
127,415 Small Business Administration,
Adjustable Rate Pool 500025, 8.125%,
due 12/25/10 133,627
85,840 Small Business Administration,
Adjustable Rate Pool 500276,
10.125%, due 5/25/07 94,209
250,687 Small Business Administration,
Adjustable Rate Pool 500299,
10.125%, due 6/25/07 274,816
766,474 Small Business Administration,
Adjustable Rate Pool 500392, 8.125%,
due 11/25/12 820,127
109,623 Small Business Administration,
Adjustable Rate Pool 500569,
10.125%, due 6/25/08 118,255
746,878 Small Business Administration,
Adjustable Rate Pool 500957, 8.50%,
due 7/25/14 813,163
72,996 Small Business Administration,
Adjustable Rate Pool 501013, 9.125%,
due 6/25/98 73,725
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
733,165 Small Business Administration,
Adjustable Rate Pool 501224, 7.00%,
due 6/25/15 $ 762,492
156,420 Small Business Administration,
Adjustable Rate Pool 501828, 8.875%,
due 9/25/98 158,571
120,774 Small Business Administration,
Adjustable Rate Pool 501973,
9.87500%, due 12/25/01 126,359
565,832 Small Business Administration,
Adjustable Rate Pool 502083, 8.125%,
due 11/25/04 582,100
325,574 Small Business Administration,
Adjustable Rate Pool 502241, 8.125%,
due 4/25/03 332,492
651,434 Small Business Administration,
Adjustable Rate Pool 502394, 9.875%,
due 6/25/13 732,049
1,791,278 Small Business Administration,
Adjustable Rate Pool 502462, 9.475%,
due 11/25/07 1,945,775
1,434,570 Small Business Administration,
Adjustable Rate Pool 502501, 9.475%,
due 4/25/03 1,504,506
603,369 Small Business Administration,
Adjustable Rate Pool 502568, 9.475%,
due 9/25/03 634,292
619,933 Small Business Administration,
Adjustable Rate Pool 502583, 9.475%,
due 9/25/03 651,704
1,281,070 Structured Asset Securities
Corporation, Series 1992-M1 A1,
7.05%, due 11/25/07 1,277,419
976,022 Structured Asset Securities
Corporation, Series 1996-CFL A2A,
7.75%, due 2/25/28 983,083
1,026,039 Structured Asset Securities
Corporation, Series 1995-C3 A,
6.03359% variable rate, due 1/25/10
(d) 1,026,009
2,144,532 Union Federal Savings Bank Trust,
Series 1993-A A, 4.525%, due 5/15/99 2,118,066
-------------
TOTAL ASSET BACKED SECURITIES (COST $22,277,806)
22,140,131
-------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
55
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (34.9%)
1,750,000 Federal Home Loan Bank, Series DU-98,
4.597%, due 8/3/98 $ 1,672,398
1,263,507 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 1,269,267
2,500,000 Federal Home Loan Mortgage
Corporation, Series 1694 PL, 5.25%,
due 1/15/14 2,469,148
63,971 Federal Home Loan Mortgage
Corporation, Series G8 SB, 9.60%
variable rate, due 3/25/23(g) 51,656
2,444,748 Federal Home Loan Mortgage
Corporation-General National
Mortgage Association, Series 24 ZC,
5.15%, due 8/25/12 2,358,324
2,686,749 Federal National Mortgage Association
Swap Trust, Series 1994-1 A1,
5.7625% variable rate, due 10/1/04 2,680,676
198,447 Federal National Mortgage Association,
Series 1993-39 FA, 6.8375% variable
rate, due 4/25/23 204,301
1,955,333 Merrill Lynch Credit Corporation
Mortgage Investors, Series 1994-B
A1, 5.90% variable rate, due
12/15/19 1,959,594
1,289,543 Maryland National Bank Mortgage
Pass-thru Certificates, Series
1990-1 A, 9.50%, due 6/25/19 1,292,778
459,250 Residential Funding Mortgage Security,
Series 1991-21 BA, 7.6169% variable
rate, due 8/25/21 460,980
605,522 Resolution Trust Corporation, Series
1991-6 E, 11.60972% variable rate,
due 5/25/24 641,381
1,414,235 Resolution Trust Corporation, Series
1992-9 B4, 7.51636% variable rate,
due 4/25/27 1,399,400
1,279,782 Resolution Trust Corporation, Series
1992-18P A4, 6.45% variable rate,
due 4/25/28 (d) 1,278,546
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,117,346 Resolution Trust Corporation, Series
1992-4 A2, 7.65287% variable rate,
due 7/25/28 $ 1,145,480
4,059,085 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 4,091,042
2,777,357 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate,
due 10/25/21 2,780,482
2,000,474 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate,
due 8/25/23 2,021,661
793,163 Resolution Trust Corporation, Series
1992-CHF A2, 6.53% variable rate,
due 12/25/20 796,363
1,837,451 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
7/25/30 1,823,016
1,323,847 Resolution Trust Corporation, Series
1993-3 A2B, 7.25%, due 10/25/23 1,324,456
2,094,044 Resolution Trust Corporation, Series
1995-1 A3, 7.40119% variable rate,
due 10/25/28 2,141,868
916,107 Resolution Trust Corportion, Series
1991-M6 A3, 8.175% variable rate,
due 6/25/21 916,692
-------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$34,895,340) 34,779,509
-------------
CORPORATE BONDS & NOTES (4.9%)
900,000 American General Corporation, 9.75%,
due 10/15/97 939,398
850,000 Chrysler Financial Corporation, 6.26%,
due 7/20/98 843,481
750,000 Consolidated Rail Corporation, 5.71%,
due 3/24/97 747,946
1,000,000 Lehman Brothers Holdings, 8.875%, due
11/1/98 1,043,899
1,300,000 USAA Capital, 4.76%, due 1/28/97(d) 1,292,139
-------------
TOTAL CORPORATE BONDS & NOTES (COST $4,899,618)
4,866,863
-------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (8.7%)
400,000 Federal Home Loan Bank, 3.565%
variable rate, due 7/15/98(g) $ 376,068
2,000,000 Federal Home Loan Bank, 4.50% variable
rate, due 3/2/98 1,965,644
500,000 Federal Home Loan Bank, 4.95% variable
rate, due 3/4/98 487,556
1,000,000 Federal Home Loan Bank, 5.50% variable
rate, due 3/28/97 1,000,125
350,000 Federal Home Loan Bank, 5.78% variable
rate, due 12/23/97 351,512
950,000 Federal Home Loan Bank, Series AP98,
4.90% variable rate, due 4/27/98 927,604
1,790,000 Federal Home Loan Bank, Series RR98,
4.25% variable rate, due 3/16/98 1,741,879
1,300,000 Federal National Mortgage Association,
5.40% variable rate, due 3/10/98 1,274,397
500,000 Student Loan Marketing Association,
5.80% variable rate, due 10/22/96 500,908
-------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$8,608,028) 8,625,693
-------------
MORTGAGE BACKED SECURITIES (6.8%)
1,776,164 Federal Home Loan Mortgage Corporation
Adjustable Rate Mortgage Pool
410220, 6.23%, due 10/1/25 1,797,443
2,745,340 Federal National Mortgage Association
Adjustable Rate Mortgage Pool
321051, 6.235%, due 8/1/25 2,781,166
2,166,974 Federal National Mortgage Association
Adjustable Rate Mortgage Pool
155506, 6.845%, due 4/1/22 2,208,457
-------------
TOTAL MORTGAGE BACKED SECURITIES (COST $6,799,138)
6,787,066
-------------
MUNICIPAL BONDS (2.2%)
745,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 744,955
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
1,000,000 Utah State School District Financial
Corporation Revenue Bonds, 6.90%,
due 2/15/10, Putable 8/17/98 at 100 $ 992,870
480,000 York County Pennsylvania Tax-Exempt
Economic Development Revenue Bonds,
5.45%, due 12/30/98 473,299
-------------
TOTAL MUNICIPAL BONDS (COST $2,254,036) 2,211,124
-------------
RECEIVABLES BACKED SECURITIES (3.7%)
823,434 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due 10/15/98 818,525
1,000,000 First Merchants Auto Receivables
Corporation, Series 1996-A A2,
6.70%. due 7/17/00 (d) 993,916
870,000 Nationsbank Credit Card Master Trust,
Series 1993-1 A, 4.75% variable
rate, due 9/15/98 865,501
1,035,389 World Omni Automobile Lease
Securitization Trust, Series 1994-B
A, 7.95%, due 1/25/01 1,052,110
-------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$3,734,404) 3,730,052
-------------
REPURCHASE AGREEMENTS (11.3%)
11,247,418 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$11,252,456 (cost $11,247,418)(c) 11,247,418
-------------
U.S. TREASURY OBLIGATIONS (5.2%)
3,900,000 U.S. Treasury Notes, 5.50%, due
2/28/99 3,812,250
1,400,000 U.S. Treasury Notes, 6.75%, due
5/31/99 1,411,810
-------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $5,372,699)
5,224,060
-------------
SHORT-TERM HOLDINGS (0.1%)
92,500 Institutional Funds Group Federal
Trust Fund (cost $92,500) 92,500
-------------
TOTAL INVESTMENTS STABLE INCOME FUND (100.0%) (COST
$100,180,987) $99,704,416
-------------
-------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
57
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (continued) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.7%)
3,105,499 Federal Home Loan Mortgage
Corporation, Series 1991 1130 J,
7.50%, due 9/15/20 $ 3,125,840
-------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$3,040,477) 3,125,840
-------------
GOVERNMENT AGENCY BONDS & NOTES (16.9%)
5,000,000 Federal Home Loan Bank, 6.365%, due
4/9/01 4,866,700
9,000,000 Federal Home Loan Bank, 6.41%, due
10/11/05 8,561,970
5,000,000 Federal Home Loan Bank, 7.59%, due
3/10/05 5,147,150
1,000,000 Federal Home Loan Bank, 8.25%, due
6/25/96 1,001,610
4,000,000 Federal Home Loan Mortgage
Corporation, 8.065%, due 1/27/05 4,232,480
11,500,000 Federal National Mortgage Association,
6.18%, due 3/15/01 (b) 11,193,065
19,000,000 Student Loan Marketing Association,
6.05%, due 9/14/00 (b) 18,482,820
2,000,000 Tennessee Valley Authority, Series D,
8.375%, due 10/1/99 2,100,000
16,000,000 Tennessee Valley Authority, Series D,
6.00%, due 11/1/00 (b) 15,460,000
-------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$74,206,242) 71,045,795
-------------
MORTGAGE BACKED SECURITIES (19.0%)
9,791,078 Federal Home Loan Mortgage
Corporation, Gold Pool G10446,
6.50%, due 2/1/11 9,419,996
9,655,699 Federal Home Loan Mortgage
Corporation, Gold Pool G10513,
7.50%, due 4/1/11 9,679,742
2,500,000 Federal National Mortgage Association,
Pool 160159, 7.516%, due 7/1/99 2,533,200
12,902,962 Federal National Mortgage Association,
Pool 160337, 7.025%, due 7/1/97 12,850,833
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
9,991,185 Federal National Mortgage Association,
Pool 250586, 7.00%, due 5/1/03 $ 9,941,229
10,324,433 Federal National Mortgage Association,
Pool 303790, 6.00%, due 3/1/03 9,919,818
9,799,981 Federal National Mortgage Association,
Pool 303851, 7.00%, due 4/1/11 9,642,888
10,058,372 Federal National Mortgage Association,
Pool 303857, 6.50%, due 4/1/11 9,672,231
6,791,236 Federal National Mortgage Association,
Pool 333406, 6.00%, due 7/1/09 6,428,652
-------------
TOTAL MORTGAGE BACKED SECURITIES (COST $81,918,486)
80,088,589
-------------
U.S. TREASURY OBLIGATIONS (62.2%)
10,000,000 U.S. Treasury Bonds, 10.75%, due
2/15/03 12,113,300
3,000,000 U.S. Treasury Bonds, 10.75%, due
5/15/03 3,647,460
14,700,000 U.S. Treasury Bonds, 13.75%, due
8/15/04 20,968,080
8,000,000 U.S. Treasury Notes, 5.125%, due
6/30/98 7,829,840
10,500,000 U.S. Treasury Notes, 6.375%, due
7/15/99 (b) 10,474,170
10,000,000 U.S. Treasury Notes, 6.875%, due
8/31/99 (b) 10,103,700
41,000,000 U.S. Treasury Notes, 7.25%, due
2/15/98 41,678,550
6,000,000 U.S. Treasury Notes, 7.75%, due
1/31/00 6,226,260
13,000,000 U.S. Treasury Notes, 7.75%, due
11/30/99 13,479,570
13,500,000 U.S. Treasury Notes, 7.875%, due
4/15/98 13,888,664
9,000,000 U.S. Treasury Notes, 8.00%, due
5/15/01 (b) 9,508,590
18,950,000 U.S. Treasury Notes, 8.25%, due
7/15/98 19,680,523
</TABLE>
[LOGO]
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (continued) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (continued)
12,000,000 U.S. Treasury Notes, 8.50%, due
11/15/00 $ 12,856,440
5,000,000 U.S. Treasury Notes, 8.50%, due
2/15/00 5,311,550
20,000,000 U.S. Treasury Notes, 8.875%, due
11/15/98 21,123,200
16,000,000 U.S. Treasury Notes, 9.00%, due
5/15/98 16,800,960
28,000,000 U.S. Treasury Notes, 9.125%, due
5/15/99 29,981,000
6,000,000 U.S. Treasury Notes, 9.25%, due
8/15/98 6,358,560
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $265,579,938) 262,030,417
--------------
SHORT-TERM HOLDINGS (1.2%)
2,901,265 Dreyfus Treasury Cash Management A
Series Fund 2,901,265
2,166,299 Federated Treasury Obligations Fund 2,166,299
--------------
TOTAL SHORT-TERM HOLDINGS (COST $5,067,564) 5,067,564
--------------
TOTAL INVESTMENTS INTERMEDIATE GOVERNMENT INCOME
FUND (100.0%) (COST $429,812,707)
$421,358,205
--------------
--------------
- ----------------------------------------------------
DIVERSIFIED BOND FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (33.3%)
ASSET BACKED SECURITIES (1.2%)
1,100,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 1,084,709
915,050 Structured Asset Securities
Corporation, 7.05%, due 11/25/07 912,442
--------------
TOTAL ASSET BACKED SECURITIES (COST $2,034,572)
1,997,151
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.1%)
816,432 CMC Securities Corporation II,
Series 1993-2I A2, 7.134640%, due
9/25/23 822,718
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
606,483 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 $ 604,015
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 887,337
900,000 Federal Home Loan Mortgage
Corporation, Series 1992-1374 B,
6.50%, due 6/15/15 888,075
504,794 Federal National Mortgage
Association, 9.20%, due 3/25/18 526,328
494,643 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 494,737
2,800,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 2,737,868
893,875 Resolution Trust Corporation, Series
1992-4 A2, variable rate 7.65287%,
due 7/25/28 916,384
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 593,993
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$8,164,709) 8,471,455
--------------
CORPORATE BONDS & NOTES (12.6%)
900,000 Applied Materials, 7.00%, due
9/06/05 870,022
1,000,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,063,302
600,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 562,630
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,068,616
1,000,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 972,500
1,000,000 Citicorp, 9.50%, due 2/1/02 1,102,221
</TABLE>
[LOGO]
See Notes to Financial Statements.
59
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,000,000 Citi Group Holdings, 6.15%, due
12/15/02 $ 946,258
500,000 The Coca Cola Bottling Co., 6.85%,
due 11/01/07 469,144
625,000 Colonial Pipeline, 7.45%, due
8/15/07(d) 624,119
1,000,000 Continental Bank, N.A.
(a BankAmerica subsidiary),
11.25%, due 7/1/01 1,077,500
675,000 Corestates Capital Corporation,
5.875%, due 10/15/03 620,168
1,000,000 Dean Witter Discover, 6.25%, due
3/15/00 977,500
1,000,000 Federal Express Corporation, 6.25%,
due 4/15/98 991,250
1,000,000 First Data Corporation, 6.75%, due
7/15/05 958,160
1,300,000 Ford Motor Credit Corporation,
6.25%, due 12/8/05 1,194,176
1,000,000 Heller Financial, 7.875%, due
11/1/99 1,028,750
625,000 International Lease Finance, 6.43%,
due 3/1/00 614,683
1,000,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 1,092,216
400,000 Norcen Energy Resources, 7.375%, due
5/15/06 392,137
1,000,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 991,450
500,000 Parker Hannifin Corporation, 7.30%,
due 5/15/11 490,651
600,000 Philips Electronics, 6.75, due
8/15/03 577,762
500,000 Potomac Capital Investment
Corporation, 7.32%, due 4/14/00(d) 502,391
1,000,000 Reinsurance Group of America, 7.25%,
due 4/1/06(d) 970,000
750,000 Whitman Corporation, 7.50%, due
2/1/03 752,352
--------------
TOTAL CORPORATE BONDS & NOTES (COST $20,828,021)
20,909,958
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (1.1%)
1,800,000 Federal National Mortgage
Association, 7.56528% inverse
floater, due 7/23/97 (cost
$1,692,756)(g) $ 1,815,804
--------------
MORTGAGE BACKED SECURITIES (1.8%)
907,130 Federal Home Loan Mortgage
Corporation Adjustable Rate
Mortgage, Pool 606279, 7.317%, due
2/1/15 922,747
989,844 Federal National Mortgage
Association, Pool 344692, 7.526%,
due 10/1/25 1,015,520
1,000,000 Government National Mortgage
Association, 6.50%, due 8/16/17 958,059
2,043 Government National Mortgage
Association, Pool 2218, 6.50%, due
12/15/02 1,987
158 Government National Mortgage
Association, Pool 665, 7.50%, due
5/15/01 158
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $2,915,507)
2,898,471
--------------
RECEIVABLES BACKED SECURITIES (1.5%)
750,000 First Merchants Auto Receivables
Corporation, Series 1996-A A2,
6.70%, due 7/17/00(d) 745,437
1,000,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 986,072
800,000 Sears Credit Account Master Trust,
Series 1994-1 A, 7.00%, due
1/15/04 808,599
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$2,560,313) 2,540,108
--------------
REPURCHASE AGREEMENTS (0.5%)
886,617 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$887,014 (cost $886,617)(c) 886,617
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (9.5%)
7,000,000 U.S. Treasury Notes, 5.00%, due
1/31/98(b) $ 6,873,126
6,750,000 U.S. Treasury Notes, 5.00%, due
1/31/99(b) 6,524,287
2,500,000 U.S. Treasury Notes, 6.25%, due
8/31/00 2,465,625
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $16,013,206)
15,863,038
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE
(COST $55,095,701) $ 55,382,602
--------------
POSITIVE RETURN INVESTMENT STYLE (33.2%)
ASSET BACKED SECURITIES (1.6%)
2,414,226 Ford Credit Auto Lease Trust, 6.35%,
due 10/15/98 2,422,577
132,870 ML Asset Backed Corporation, Series
1992-1 A2, 5.50%, due 5/15/98 132,827
--------------
TOTAL ASSET BACKED SECURITIES (COST $2,551,813)
2,555,404
--------------
CERTIFICATES OF DEPOSIT (2.4%)
2,000,000 Deutsche Bank, 5.62%, due 1/15/97 1,998,136
2,000,000 Rabobank, 5.43%, due 11/15/96 1,997,976
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $4,001,237)
3,996,112
--------------
GOVERNMENT AGENCY BONDS & NOTES (3.0%)
5,000,000 Student Loan Marketing Association,
5.2675% variable rate, due 7/1/96
(cost $4,999,419) 4,999,770
--------------
RECEIVABLES BACKED SECURITIES (6.5%)
2,720,000 Bombardier Receivables Master Trust
I Series 1994-1 A, 5.7625%
variable rate, due 3/15/99 2,722,448
2,700,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 2,700,402
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
2,700,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.5775% variable
rate, due 4/17/00 $ 2,703,696
2,700,000 Peoples Bank Credit Card Master
Trust, Series 1994-2 A, 5.57969%
variable rate, due 3/15/01 2,704,074
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$10,843,369) 10,830,620
--------------
REPURCHASE AGREEMENTS (1.3%)
2,221,548 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$2,222,543 (cost $2,221,548)(c) 2,221,548
--------------
U.S. TREASURY OBLIGATIONS (18.4%)
6,000,000 U.S. Treasury Bills, 5.46% yield,
due 1/9/97 5,809,692
6,000,000 U.S. Treasury Notes, 7.50%, due
12/31/96 6,069,366
6,175,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 6,149,905
4,000,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 3,576,244
8,600,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 8,997,750
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $31,331,082)
30,602,957
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE
(COST $55,948,468) $ 55,206,411
--------------
TOTAL RETURN BOND INVESTMENT STYLE (33.5%)
CORPORATE BONDS & NOTES (2.1%)
1,000,000 Boston Edison Company, 5.70%, due
3/15/97 993,967
1,250,000 Houston Industries, Incorporated,
7.25%, due 12/1/96 1,258,206
</TABLE>
[LOGO]
See Notes to Financial Statements.
61
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (continued) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
CORPORATE BONDS & NOTES (continued)
1,150,000 USX Corporation, 8.875%, due 9/15/97 $ 1,181,685
--------------
TOTAL CORPORATE BONDS & NOTES (COST $3,446,320)
3,433,858
--------------
GOVERNMENT AGENCY BONDS & NOTES (1.2%)
1,000,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 994,147
1,000,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 990,665
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$1,999,690) 1,984,812
--------------
REPURCHASE AGREEMENTS (1.1%)
1,856,451 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,857,282 (cost $1,856,451)(c) 1,856,451
--------------
U.S. TREASURY OBLIGATIONS (29.1%)
4,350,000 U.S. Treasury Notes, 6.75%, due
5/31/97 4,386,697
1,625,000 U.S. Treasury Notes, 8.50%, due
7/15/97 1,669,177
4,375,000 U.S. Treasury Notes, 7.375%, due
11/15/97 4,450,188
600,000 U.S. Treasury Notes, 8.25%, due
7/15/98 622,875
1,900,000 U.S. Treasury Notes, 5.875%, due
8/15/98 1,882,778
2,450,000 U.S. Treasury Notes, 8.875%, due
11/15/98 2,587,812
4,325,000 U.S. Treasury Notes, 7.125%, due
2/29/00 4,400,687
3,600,000 U.S. Treasury Notes, 6.875%, due
3/31/00 3,634,869
4,000,000 U.S. Treasury Notes, 6.25%, due
5/31/00 3,950,000
5,800,000 U.S. Treasury Notes, 6.125%, due
7/31/00 5,698,500
3,200,000 U.S. Treasury Notes, 7.25%, due
8/15/04 3,282,000
3,350,000 U.S. Treasury Notes, 6.50%, due
8/15/05 3,263,105
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
2,400,000 U.S. Treasury Bonds, 11.625%, due
11/15/04 $ 3,120,746
2,700,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,175,875
2,175,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 2,406,094
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $49,252,890)
48,531,403
--------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE
(COST $56,555,351) 55,806,524
--------------
TOTAL INVESTMENTS DIVERSIFIED BOND FUND (100.0%)
(COST $167,599,520) $166,395,537
--------------
--------------
- ----------------------------------------------------
INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (9.2%)
10,800,000 Olympic Automobile Receivables
Trust, Series 1996 A CTFS, 5.90%,
due 11/15/03 10,603,764
5,250,000 Spiegel Charge Account Trust, Series
1992 2 A, 6.95%, due 12/15/01 5,285,490
9,902,000 The Money Store Home Equity Trust,
Series 1996A A 6, 6.96%, due
7/15/21 9,642,073
--------------
TOTAL ASSET BACKED SECURITIES (COST $25,838,800)
25,531,327
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.5%)
5,300,000 Federal Home Loan Mortgage
Corporation, Series 1991 1106 E,
7.50%, due 7/15/06 5,274,772
5,800,000 Federal Home Loan Mortgage
Corporation, Series 1991 1141 F,
8.50%, due 10/15/20 5,954,686
4,000,000 Federal Home Loan Mortgage
Corporation, Series 1991 1161 H,
8.00%, due 11/15/20 4,084,720
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$15,511,370) 15,314,178
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
CORPORATE BONDS & NOTES (17.9%)
3,000,000 BHP Finance (USA) Inc., 6.69%, due
3/1/06 $ 2,846,250
3,000,000 Bayerische Landesbank, New York,
6.20%, due 2/9/06 2,786,250
3,000,000 Burlington Northern, Inc., 7.00%,
due 8/1/02 2,970,000
3,000,000 Cyprus Amazon Minerals, Inc.,
9.875%, due 6/13/01 3,326,250
3,000,000 Equitable Life Assurance Society,
6.95%, due 12/1/05(d) 2,850,000
5,000,000 First USA Bank, 5.75%, due 1/15/99 4,856,250
3,000,000 GTE California, Inc., 6.75%, due
3/15/04 2,925,000
3,000,000 General Electric Capital
Corporation, 8.70%, due 2/15/03 3,270,000
3,000,000 Grand Metropolitan Investment,
8.625%, due 8/15/01 3,213,750
3,000,000 Hydro-Quebec, 7.50%, due 4/1/16 2,887,500
3,000,000 McDonnell Douglas Financial
Corporation, 6.50%, due 7/6/99 2,973,750
3,000,000 Philips Electronics NV, 7.75%, due
5/15/25(b) 2,921,250
3,000,000 Sears, Roebuck & Company, 9.12%, due
3/1/12 3,386,250
3,000,000 Tele-Communications, Inc., 7.375%,
due 2/15/00 2,988,750
3,000,000 Tenneco, Inc., 6.50%, due 12/15/05 2,778,750
3,000,000 USF&G Corporation, 7.125%, due
6/1/05 2,902,500
--------------
TOTAL CORPORATE BONDS & NOTES (COST $51,442,653)
49,882,500
--------------
GOVERNMENT AGENCY BONDS & NOTES (9.9%)
7,700,000 Federal Home Loan Bank, 6.69%, due
9/6/05 7,472,003
5,000,000 Federal Home Loan Mortgage
Corporation, 6.40%, due 8/1/00 4,929,650
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
GOVERNMENT AGENCY BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
5,500,000 Federal Home Loan Mortgage
Corporation, 6.80%, due 8/22/05 $ 5,378,010
9,000,000 Federal Home Loan Mortgage
Corporation, 8.25%, due 6/1/16 9,811,710
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$29,974,341) 27,591,373
--------------
MORTGAGE BACKED SECURITIES (33.3%)
3,338,350 Federal Home Loan Mortgage
Corporation, Gold Pool B00464,
8.50%, due 4/1/05 3,455,626
4,764,632 Federal Home Loan Mortgage
Corporation, Gold Pool G10399,
6.50%, due 7/1/09 4,590,425
9,791,078 Federal Home Loan Mortgage
Corporation, Gold Pool G10446,
6.50%, due 2/1/11 9,419,996
9,655,699 Federal Home Loan Mortgage
Corporation, Gold Pool G10513,
7.50%, due 4/1/11 9,679,742
10,168,490 Federal National Mortgage
Association, Pool 250547, 6.00%,
due 3/1/26 9,161,097
9,927,339 Federal National Mortgage
Association, Pool 303790, 6.00%,
due 3/1/03 9,538,287
9,799,981 Federal National Mortgage
Association, Pool 303851, 7.00%,
due 4/1/11 9,642,887
11,064,209 Federal National Mortgage
Association, Pool 303857, 6.50%,
due 4/1/11 10,639,454
7,652,097 Federal National Mortgage
Association, Pool 333406, 6.00%,
due 7/1/09 7,243,551
9,991,636 Government National Mortgage
Association, Pool 345613, 7.00%,
due 4/15/26 9,523,528
</TABLE>
[LOGO]
See Notes to Financial Statements.
63
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (continued) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (continued)
9,825,228 Government National Mortgage
Association, Pool 410168, 7.50%,
due 11/15/25 $ 9,631,180
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST
$95,052,303) 92,525,773
--------------
U.S. TREASURY OBLIGATIONS (23.6%)
15,000,000 U.S. Treasury Notes, 8.25%, due
7/15/98(b) 15,578,250
10,000,000 U.S. Treasury Notes, 8.875%, due
11/15/98(b) 10,561,600
8,000,000 U.S. Treasury Notes, 6.25%, due
4/30/01(b) 7,870,480
1,500,000 U.S. Treasury Notes, 8.00%, due
5/15/01(b) 1,584,765
2,000,000 U.S. Treasury Notes, 5.75%, due
8/15/03 1,883,920
7,000,000 U.S. Treasury Bonds, 10.75%, due
5/15/03(b) 8,510,740
5,000,000 U.S. Treasury Bonds, 11.875%, due
11/15/03 6,453,450
5,000,000 U.S. Treasury Bonds, 7.25%, due
5/15/16(b) 5,047,050
8,000,000 U.S. Treasury Bonds, 7.25%, due
8/15/22 8,073,920
TOTAL U.S. TREASURY OBLIGATIONS (COST $68,566,563)
65,564,175
--------------
SHORT-TERM HOLDINGS (0.6%)
1,741,467 Dreyfus Cash Management Fund (cost
$1,741,467) 1,741,467
--------------
TOTAL INVESTMENTS INCOME FUND (100.0%) (COST
$288,127,497) $278,150,793
--------------
--------------
- ----------------------------------------------------
TOTAL RETURN BOND FUND
- ----------------------------------------------------
CORPORATE BONDS & NOTES (14.2%)
1,000,000 AMR Corporation, 7.47%, due 1/28/97 1,010,036
1,000,000 CIGNA Corporation, 8.00%, due 9/1/96 1,005,212
790,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 799,875
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
2,000,000 Cleveland Electric Illuminating
Company, 8.70%, due 6/3/96 $ 2,000,752
400,000 Cleveland Electric Illuminating
Company, 9.10%, due 7/22/96 400,939
1,100,000 Commonwealth Edison Company, 8.92%,
due 8/15/96 1,105,637
250,000 Detroit Edison Company, 6.00%, due
12/1/96 249,989
1,400,000 General Motors Acceptance
Corporation, 8.25%, due 8/29/96 1,408,388
200,000 General Motors Acceptance
Corporation, 7.85%, due 10/25/96 201,656
1,500,000 Houston Industries, Inc., 7.25%, due
12/1/96 1,509,848
2,500,000 Illinois Power Company, 9.25%, due
12/16/96 2,542,127
1,000,000 McDermott International, Inc.,
7.94%, due 6/25/97 1,011,912
1,500,000 Pacificorp, 8.69%, due 7/16/96 1,505,360
750,000 Pennsylvania Electric Company,
7.45%, due 10/28/96 755,170
1,205,000 Salomon Brothers, Inc., 7.30%, due
6/11/96 1,205,167
1,000,000 USX Corporation, 8.875%, due 9/15/97 1,027,552
--------------
TOTAL CORPORATE BONDS & NOTES (COST $17,902,608)
17,739,620
--------------
GOVERNMENT AGENCY BONDS & NOTES (3.8%)
1,100,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 1,090,465
1,250,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 1,242,684
1,200,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 1,196,333
1,300,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 1,281,300
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$4,852,696) 4,810,782
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (79.9%)
750,000 U.S. Treasury Notes, 6.75%, due
5/31/97 $ 756,327
7,600,000 U.S. Treasury Notes, 7.375%, due
11/15/97 7,730,613
1,900,000 U.S. Treasury Notes, 8.875%, due
11/15/97 1,972,438
3,000,000 U.S. Treasury Notes, 8.25%, due
7/15/98(b) 3,114,375
3,175,000 U.S. Treasury Notes, 5.875%, due
8/15/98(b) 3,146,222
4,500,000 U.S. Treasury Notes, 8.875%, due
11/15/98(b) 4,753,125
3,475,000 U.S. Treasury Notes, 6.875%, due
7/31/99(b) 3,513,003
3,650,000 U.S. Treasury Notes, 8.50%, due
2/15/00 3,878,125
5,650,000 U.S. Treasury Notes, 7.125%, due
2/29/00(b) 5,748,875
7,725,000 U.S. Treasury Notes, 6.875%, due
3/31/00 7,799,824
2,200,000 U.S. Treasury Notes, 8.875%, due
5/15/00(b) 2,371,875
6,375,000 U.S. Treasury Notes, 6.25%, due
5/31/00 6,295,313
6,475,000 U.S. Treasury Notes, 6.125%, due
7/31/00 6,361,688
6,825,000 U.S. Treasury Notes, 8.75%, due
8/15/00 7,351,793
300,000 U.S. Treasury Notes, 5.875%, due
2/15/04 282,938
700,000 U.S. Treasury Notes, 7.25%, due
5/15/04 717,063
4,750,000 U.S. Treasury Notes, 7.25%, due
8/15/04 4,871,718
7,850,000 U.S. Treasury Notes, 6.50%, due
8/15/05(b) 7,646,379
2,675,000 U.S. Treasury Bonds, 11.625%, due
11/15/04 3,478,332
10,200,000 U.S. Treasury Bonds, 9.375%, due
2/15/06(b) 11,997,750
415,000 U.S. Treasury Bonds, 11.25%, due
2/15/15 590,078
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
5,425,000 U.S. Treasury Bonds, 7.50%, due
11/15/16(b) $ 5,616,562
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$101,839,916) 99,994,416
--------------
SHORT-TERM HOLDINGS (2.1%)
1,829,600 Dreyfus Cash Management Fund 1,829,600
799,422 Institutional Funds Group TempFund
Fund 799,422
--------------
TOTAL SHORT-TERM HOLDINGS (COST $2,629,022) 2,629,022
--------------
TOTAL INVESTMENTS TOTAL RETURN BOND FUND (100.0%)
(COST $127,224,242) $125,173,840
--------------
--------------
- ----------------------------------------------------
TAX-FREE INCOME FUND
- ----------------------------------------------------
MUNICIPAL BONDS (95.0%)
ARIZONA (4.2%)
3,000,000 Maricopa County, AZ, School District
#48, General Obligation Bonds,
9.00%, due 7/1/05 3,835,620
3,500,000 Phoenix, AZ, General Obligation
Refunding Bonds, Series A, 7.00%,
due 7/1/10 4,019,050
4,000,000 Phoenix, AZ, Street & Highway User
Revenue Bonds, 9.25%, due 7/1/07 5,357,440
--------------
13,212,110
--------------
CALIFORNIA (1.9%)
5,000,000 California Statewide Communities,
Health Care Revenue Bonds, 6.638%,
due 11/1/15(g) 3,893,750
1,910,000 Los Angeles, CA, Community
Redevelopment Agency Housing
Revenue, Monterey Hills
Redevelopment Project A, 8.20%,
due 12/1/13 2,101,573
--------------
5,995,323
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
65
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
COLORADO (14.7%)
10,240,000 Adams County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Refunding Series A-2, 8.70%, due
6/1/12 $ 11,145,318
5,250,000 Arapahoe County, CO, Capital
Improvements & Transportation
Highway Revenue Bonds, Series
E-470, 0.00% (7.00% effective
yield), due 8/31/15 1,336,283
12,000,000 Arapahoe County, CO, Capital
Improvements & Transportation,
Highway Revenue Bonds, Series
E-470, Remarketed 8/31/95, 0.00%
(7.50% effective yield), due
8/31/11 4,166,520
10,000,000 Arapahoe County, CO, Capital
Improvements & Transportation
Highway Revenue Bonds, Series
E-470, MBIA insured, 0.00%, (7.56%
effective yield), due 8/31/26 1,082,500
1,950,000 Castle Rock Ranch, CO, Public
Facilities Revenue Bonds, 5.70%,
due 12/1/06 1,928,199
1,000,000 Colorado Housing Finance Authority,
General Obligation Revenue
Refunding Bonds, Series A, 7.40%,
due 5/1/11 1,064,050
995,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series B-2, 7.50%, due
12/1/16 1,099,783
2,695,000 Colorado Housing Finance Authority,
Single Family Mortgage Revenue
Refunding Bonds, Series D-11,
8.125%, due 6/1/25 3,028,937
7,820,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.75%, due 11/15/16 7,685,965
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
COLORADO (continued)
<TABLE>
<C> <S> <C>
5,200,000 Denver, CO, Urban Renewal Authority,
Tax Increment Revenue Bonds,
Series A, 9.125%, due 9/1/17 $ 5,963,308
2,445,000 Interstate South Metropolitan
District, CO, General Obligation
Refunding Bonds, 5.75%, due
12/1/09 2,414,535
2,175,000 Larimer County, CO, School District
#1, Poudre, General Obligation
Refunding Bonds, 8.50%, due
12/15/07 2,755,921
1,100,000 Logan County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Series A, 8.50%, due 11/1/11 1,181,433
1,340,000 Vail, CO, Single Family Mortgage
Revenue Refunding Bonds, Series
1992 A, 8.125%, due 6/1/10 1,447,482
--------------
46,300,234
--------------
FLORIDA (3.9%)
5,000,000 Florida State Division Board,
Finance Department, General
Services Revenue Bonds,
Environmental Preservation 2000
Project, Series A, AMBAC insured,
5.70%, due 7/1/09 5,078,300
2,500,000 Florida State University,
Educational & Athletic Facilities
Revenue Refunding Bonds,
Nationsbank of Florida LOC, 5.25%,
due 10/1/15 2,251,275
5,650,000 Gainesville, FL, Utilities System
Revenue Bonds, Series A, 5.20%,
due 10/1/22 5,085,961
--------------
12,415,536
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
GEORGIA (5.6%)
1,200,000 Fulton County, GA, Development
Authority Revenue Bonds, 5.375%,
due 1/1/20 $ 1,093,980
3,400,000 Georgia State General Obligation
Revenue Bonds, Series B, 3.20%,
due 3/1/15 2,402,032
2,610,000 Georgia State General Obligation
Revenue Bonds, Series C, 3.25%,
due 7/1/14 1,890,528
2,000,000 Georgia State General Obligation
Revenue Bonds, 3.25%, due 9/1/15 1,415,840
1,000,000 Georgia State Municipal Electric
Authority Power Revenue Refunding
Bonds, Series Z, 5.40%, due 1/1/08 977,080
9,250,000 Municipal Electric Authority of
Georgia, Special Obligation Bonds,
Fifth Crossover Series, Project
One, AMBAC insured, 6.40%, due
1/1/13 9,932,928
--------------
17,712,388
--------------
HAWAII (2.0%)
5,000,000 Hawaii State, General Obligation
Bonds, Series CA, 8.00%, due
1/1/13 6,238,200
--------------
ILLINOIS (8.0%)
3,360,000 Bureau Lee & Whiteside County, IL,
Community Unit School District
#340, 6.30%, due 12/1/13 3,318,672
2,500,000 Chicago, IL, General Obligation
Refunding Bonds, Series B, FGIC
insured, 5.125%, due 1/1/25 2,191,800
2,000,000 Chicago, IL, Metropolitan Water,
General Obligation Bonds, 5.50%,
due 12/1/10 1,995,060
1,500,000 Du Page County, IL, General
Obligation Revenue Refunding
Bonds, 5.60%, due 1/1/21 1,424,220
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
ILLINOIS (continued)
<TABLE>
<C> <S> <C>
3,000,000 Illinois Development Financial
Authority Revenue Bonds, Community
Rehabilitation Providers Facility,
Series A, 7.875%, due 7/1/20 $ 2,893,680
4,000,000 Illinois Health Facilities
Authority, Health Care Revenue
Bonds, OSF Health Care System
Project, 6.00%, due 11/15/10 3,922,320
500,000 Illinois State, General Obligation
Refunding Bonds, 4.00%, due 6/1/96 500,000
7,350,000 Regional Transportation Authority,
IL, Sales Tax Revenue Refunding
Bonds, Series D, FGIC insured,
7.75%, due 6/1/19 9,033,518
--------------
25,279,270
--------------
INDIANA (0.4%)
1,250,000 Indianapolis, IN, Airport Authority
Revenue Refunding Bonds, Series A,
FGIC insured, 5.60%, due 7/1/15 1,199,725
--------------
KANSAS (1.2%)
3,175,000 Kansas State Department of
Transportation, Highway Revenue
Bonds, Series A, 7.25%, due 9/1/08 3,716,338
--------------
LOUISIANA (1.5%)
545,000 East Baton Rouge, LA, Mortgage
Finance Authority Revenue Bonds,
GNMA Collateralized, Series 1988
C, 8.375%, due 2/1/17 576,757
1,910,000 Louisiana Public Facilities
Authority Revenue Bonds, Lutheran
Social Services of the South
Project, 7.60%, due 8/15/15 1,976,812
</TABLE>
[LOGO]
See Notes to Financial Statements.
67
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
LOUISIANA (continued)
<TABLE>
<C> <S> <C>
5,000,000 Rapides Parish, LA, Housing &
Mortgage Finance Authority,
Capital Appreciation Refunding
Bonds, Series C, 0.00% (7.45%
effective yield), due 7/10/14 $ 1,345,100
2,900,000 St Bernard Parish, LA, Housing
Mortgage Agency, Single Family
Mortgage Residual Revenue Bonds,
Series 1992 C, 0.00% (7.65%
effective yield), due 7/10/14 735,701
--------------
4,634,370
--------------
MARYLAND (0.2%)
3,000,000 Maryland State Community Development
Administration, Multi Family
Housing Revenue Bonds, Series C,
0.00% (9.10% effective yield), due
5/15/11 674,700
--------------
MASSACHUSETTS (2.9%)
5,325,000 Massachusetts Bay Transportation
Authority, General Transportation
System Revenue Bonds, Series B,
6.20%, due 3/1/16 5,525,114
2,500,000 Massachusetts State College Building
Authority, Educational Facilities
Revenue Refunding Bonds, Series A,
7.50%, due 5/1/14 2,958,625
775,000 New Bedford, MA, Industrial
Development Revenue Bonds, Aerovox
Incorporated Project, 7.42%, due
7/1/02 795,483
--------------
9,279,222
--------------
MICHIGAN (3.2%)
1,500,000 Dickinson County, MI, Memorial
Hospital System Revenue Bonds,
8.125%, due 11/1/24 1,556,910
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
MICHIGAN (continued)
<TABLE>
<C> <S> <C>
3,230,000 Grandville, MI, Public School
District Revenue Refunding Bonds,
FGIC insured, 8.40%, due 5/1/08 $ 4,074,871
1,000,000 Kalamazoo, MI, Public Library
General Obligation Bonds, MBIA
insured, 5.10%, due 5/1/10 948,170
2,760,000 Wayland, MI, Unified School
District, General Obligation
Bonds, FGIC insured, 8.00%, due
5/1/10 3,404,846
--------------
9,984,797
--------------
MINNESOTA (3.1%)
2,000,000 Minnesota State Housing Finance
Agency, Housing Development
Revenue Bonds, Series A, 6.85%,
due 2/1/07 2,119,420
4,950,000 North St. Paul Maplewood, MN,
Independent School District #622,
General Obligation Refunding
Bonds, State Credit Program
insured, 5.125%, due 2/1/20 4,466,484
3,500,000 North St. Paul Maplewood, MN,
Independent School District #622,
General Obligation Refunding
Bonds, State Credit Program
insured, 5.125%, due 2/1/25 3,129,000
--------------
9,714,904
--------------
MISSISSIPPI (0.2%)
2,000,000 Mississippi Home Corporation,
Residual Revenue Capital
Appreciation Bonds, Series 1992
II, 0.00%, (7.375% effective
yield), due 4/15/12 648,720
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
MISSOURI (0.9%)
2,000,000 Ritenour, MO, Consolidated School
District, General Obligation
Bonds, Series A, FGIC insured,
9.50%, due 2/1/08 $ 2,716,340
--------------
NEW HAMPSHIRE (1.3%)
2,480,000 New Hampshire State Higher Education
& Health Facilities Authority
Revenue Bonds, New London Hospital
Project, 7.00%, due 6/1/00 2,568,635
1,705,000 New Hampshire State Higher Education
& Health Facilities Authority
Revenue Bonds, Brewster Academy,
6.75%, due 6/1/25 1,651,361
--------------
4,219,996
--------------
NEW MEXICO (0.5%)
555,000 Las Cruces, NM, South Central Solid
Waste Authority, Environmental
Revenue Bonds, 5.55% due 6/1/08 545,942
585,000 Las Cruces, NM, South Central Solid
Waste Authority, Environmental
Revenue Bonds, 5.65%, due 6/1/09 574,973
470,000 Las Cruces, NM, South Central Solid
Waste Authority, Environmental
Revenue Bonds, 5.75%, due 6/1/10 462,466
--------------
1,583,381
--------------
NEW YORK (5.9%)
500,000 New York State Dormitory Authority
Revenue Bonds, Colgate University,
4.90%, due 7/1/09 466,985
400,000 New York State Dormitory Authority
Revenue Bonds, Colgate University,
5.00%, due 7/1/11 372,476
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
NEW YORK (continued)
<TABLE>
<C> <S> <C>
2,340,000 New York State Dormitory Authority
Revenue Bonds, Mental Health
Services Facilities Improvement,
Series B, 6.00%, due 8/15/16 $ 2,271,836
255,000 New York State Housing Finance
Agency, Health Facilities Revenue
Bonds, New York City Series A,
8.00%, due 11/1/08 284,598
5,000,000 New York State Thruway Authority
Service Contract Revenue Bonds,
Local Highway & Bridge Project,
6.00%, due 4/1/03 5,160,450
6,850,000 New York State Urban Development
Revenue Bonds, 6.00%, due 1/1/06 6,909,184
1,500,000 New York, NY, General Obligation
Bonds, Series B, 7.375%, due
8/15/13 1,638,615
1,480,000 New York, NY, General Obligation
Bonds, Series B, 7.30%, due
8/15/10 1,615,686
--------------
18,719,830
--------------
NORTH CAROLINA (5.3%)
7,545,000 Charlotte, NC, General Obligation
Water & Sewer Revenue Bonds,
5.60%, due 5/1/17 7,475,812
2,000,000 Charlotte, NC, General Obligation
Water & Sewer Revenue Bonds,
5.60%, due 5/1/20 1,964,980
3,200,000 North Carolina Eastern Municipal
Power Revenue Refunding Bonds,
Series B, 7.00%, due 1/1/08 3,442,016
3,400,000 North Carolina Eastern Municipal
Power Revenue Refunding Bonds,
Series C, 7.00% due 1/1/13 3,664,384
--------------
16,547,192
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
69
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
NORTH DAKOTA (1.2%)
3,590,000 Ward County, ND, Health Care
Facilities Revenue Bonds, St.
Joseph Hospital Corporation
Project, 8.875%, due 11/15/14 $ 3,916,403
--------------
OHIO (1.3%)
2,900,000 Lucas County, OH, Hospital Revenue
Bonds, Series B, MBIA insured,
5.25%, due 8/15/12 2,713,385
1,385,000 Ohio State Water Development
Authority Refunding Revenue Bonds,
Improvement in Pure Water Project,
AMBAC insured, 5.70%, due 12/1/08 1,410,955
--------------
4,124,340
--------------
OKLAHOMA (0.4%)
1,360,000 Tulsa, OK, Industrial Development
Authority Revenue Bonds,
University of Tulsa, Series A,
MBIA insured, 6.00%, due 10/1/16 1,396,203
--------------
OREGON (0.7%)
2,100,000 Deschutes Valley Water District, OR,
Hydroelectric Facilities Revenue
Refunding Bonds, 5.875%, due
9/1/05 2,098,299
--------------
PENNSYLVANIA (1.3%)
4,205,000 Pennsylvania State Higher Education
Facilities Authority, College &
University Refunding Revenue
Bonds, Series B, 5.90%, due 9/1/15 4,179,223
--------------
PUERTO RICO (2.7%)
3,055,000 Commonwealth of Puerto Rico,
Aqueduct & Sewer Authority Revenue
Bonds, 6.00%, due 7/1/06 3,167,057
3,000,000 Commonwealth of Puerto Rico, General
Obligation Bonds, MBIA insured,
6.25%, due 7/1/09 3,244,200
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
PUERTO RICO (continued)
<TABLE>
<C> <S> <C>
2,000,000 Commonwealth of Puerto Rico, General
Obligation Bonds, MBIA insured,
6.25%, due 7/1/11 $ 2,153,360
--------------
8,564,617
--------------
SOUTH CAROLINA (0.4%)
1,325,000 Marion County, SC, Hospital District
Revenue Bonds, Connie Lee LOC,
5.375%, due 11/1/25 1,196,833
--------------
SOUTH DAKOTA (1.2%)
3,500,000 South Dakota State Health &
Education, Hospital Facilities
Revenue Bonds, Huron Regional
Medical Center, 7.30%, due 4/1/16 3,693,270
--------------
TEXAS (10.2%)
695,000 Baytown, TX, Housing Finance
Corporation, Single Family Housing
Revenue Refunding Bonds, Series
1992 A, 8.50%, due 9/1/11 758,113
2,880,000 Beaumont, TX, Housing Finance
Corporation Revenue Refunding
Bonds, 9.20%, due 3/1/12 3,145,277
1,855,000 Bexar County, TX, Health Facilities
Development Corporation Hospital
Revenue Bonds, Baptist Memorial
Hospital System Project, 6.90%,
due 8/15/13 2,016,719
2,440,000 Corpus Christi, TX, Housing Finance
Corporation, Revenue Bonds, Series
A, MBIA insured, 7.70%, due 7/1/11 2,614,533
2,395,000 Desoto, TX Housing Finance
Corporation, Multi-Family Housing
Revenue Bonds, 7.00%, due 2/1/25 2,521,600
</TABLE>
[LOGO]
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
TEXAS (continued)
<TABLE>
<C> <S> <C>
325,000 El Paso, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series A,
8.75%, due 10/1/11 $ 352,450
455,000 Galveston County, TX, Property
Finance Authority Incorporated
Single Family Mortgage Revenue
Bonds, Series A, 8.50%, due 9/1/11 494,030
1,300,000 Grape Creek, TX, Pulliam Independent
School District Public Facilities
Corporation, General Obligation
Bonds, 7.25%, due 5/15/21 1,281,514
3,975,000 Grapevine-Colleyville, TX,
Independent School District,
General Obligation Refunding
Bonds, 5.75%, 8/15/12 4,035,460
1,000,000 Irving, TX, Hospital Authority,
Health Care Revenue Bonds, Irving
Healthcare System, Series B, CGIC
insured, 5.60%, due 7/1/07 1,000,230
1,500,000 Milam County, Texas, Pollution
Control Alcoa Revenue Bonds,
5.65%, due 12/1/12 1,442,910
290,000 Port Arthur, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, 8.70%, due
3/1/12 314,931
4,180,000 San Antonio, TX, Higher Education
Authority, Educational Facilities
Revenue Bonds, 7.125%, due 11/1/15 4,197,431
2,200,000 Texas State Department of Housing
and Community Affairs, Single
Family Mortgage Revenue Bonds,
8.10%, due 9/1/15 2,407,790
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
TEXAS (continued)
<TABLE>
<C> <S> <C>
5,540,000 Washington County, TX, Health
Facilities Development Corporation
Revenue Bonds, Lutheran Social
Services of the South Project,
Series 1994, 7.50%, due 8/15/15 $ 5,694,067
--------------
32,277,055
--------------
UTAH (1.1%)
1,655,000 Timpanogos Special Service District,
UT, Sewer Revenue Bonds, Series A,
AMBAC insured, 5.80%, due 6/1/10 1,669,100
1,785,000 Timpanogos Special Service District,
UT, Sewer Revenue Bonds, Series A,
AMBAC insured, 5.90%, due 6/1/11 1,809,061
--------------
3,478,161
--------------
VIRGINIA (1.6%)
1,510,000 Hanover County, VA, Industrial
Development Authority, Hospital
Revenue Bonds, Memorial Regional
Medical Center Project, MBIA
insured, 6.50%, due 8/15/09 1,637,700
1,300,000 Hanover County, VA, Industrial
Development Authority, Hospital
Revenue Bonds, Memorial Regional
Medical Center Project, MBIA
insured, 6.50%, due 8/15/10 1,406,145
2,000,000 Virginia State Housing Development
Authority, Commonwealth Single
Family Mortgage Revenue Bonds
Series H, 6.85%, due 1/1/05 2,083,900
--------------
5,127,745
--------------
WASHINGTON (4.3%)
3,920,000 King & Snohomish Counties, WA,
School District #417, General
Obligation Bonds, Northshore, FGIC
insured, 5.60%, due 12/1/11 3,897,930
</TABLE>
[LOGO]
See Notes to Financial Statements.
71
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (continued)
WASHINGTON (continued)
500,000 Washington State Housing Finance
Commission, Non-Profit Housing
Revenue Bonds, Tacoma Lutheran
Home & Retirement, 7.50%, due
1/1/11 $ 526,450
1,000,000 Washington State Public Power Supply
System, Power Revenue Bonds,
Nuclear Project #1, Series B,
5.60%, due 7/1/07 971,680
2,000,000 Washington State Public Power Supply
System, Power Revenue Bonds,
Nuclear Project #2, Series B,
5.60%, due 7/1/07 1,943,360
2,750,000 Washington State Public Power Supply
System, Power Revenue Bonds,
Nuclear Project #2, Series A,
6.00%, due 7/1/07 2,774,200
3,000,000 Yakima County, WA, School District
#007, General Obligation Refunding
Bonds, MBIA insured, 6.75%, due
12/1/06 3,350,700
--------------
13,464,320
--------------
WEST VIRGINIA (1.1%)
4,000,000 West Virginia General Obligation
Bonds, Series A, FGIC insured,
5.25%, due 11/1/26 3,600,560
--------------
WISCONSIN (0.6%)
1,800,000 Wisconsin Center District, Tax
Revenue Bonds, JR Dedicated Series
B, 5.75%, due 12/15/27 1,710,990
--------------
TOTAL MUNICIPAL BONDS (COST $297,180,330) 299,620,595
--------------
SHORT-TERM HOLDINGS (5.0%)
6,843,619 Norwest Municipal Money Market Fund 6,843,619
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
SHORT-TERM HOLDINGS (continued)
<TABLE>
<C> <S> <C>
930,000 Parkview Metropolitan District, CO,
Arapahoe County, General
Obligation Bonds, 3.95% variable
rate demand notes, due 12/1/12 $ 930,000
8,000,000 Salt River, AZ, 3.65% yield, due
06/14/96 8,000,000
--------------
TOTAL SHORT-TERM HOLDINGS (COST $15,773,619)
15,773,619
--------------
TOTAL INVESTMENTS TAX-FREE INCOME FUND (100.0%)
(COST $312,953,949) $315,394,214
--------------
--------------
- ----------------------------------------------------
COLORADO TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (97.2%)
EDUCATION FACILITIES REVENUE (4.9%)
3,000,000 Auraria, CO, Higher Education Center
Revenue Refunding Bonds, AMBAC
insured, 5.30%, due 5/1/21 2,753,610
--------------
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (12.7%)
1,000,000 Arapahoe County, CO, General
Obligation Bonds, Arapahoe Water &
Sanitation District, Series A,
First Bank System LOC, 6.00%, due
12/1/10 1,011,700
380,000 Eagle County, CO, Eagle Valley
Library District, General
Obligation Bonds, 7.125%, due
12/1/14 404,343
2,670,000 Interstate South Metropolitan
District, CO, Unlimited Tax
General Obligation Refunding
Bonds, National Bank of Denver
LOC, 6.00%, due 12/1/20 2,627,948
1,160,000 Highlands Ranch, CO, Metropolitan
District #2, Unlimited Tax General
Obligation Refunding Bonds, FSA
insured, 6.50%, due 6/15/10 1,259,946
</TABLE>
[LOGO]
See Notes to Financial Statements.
72
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (continued)
<TABLE>
<C> <S> <C>
1,000,000 Highlands Ranch, CO, Metropolitan
District #2, Unlimited Tax General
Obligation Refunding Bonds, FSA
insured, 6.50%, due 6/15/11 $ 1,084,800
2,000,000 Mesa County, CO, General Obligation
Residual Revenue Refunding Bonds,
0.00% (6.25% effective yield), due
12/1/11 797,580
--------------
7,186,317
--------------
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (12.4%)
1,700,000 Adams County, CO, School District
#12, Unlimited Tax General
Obligation Bonds, Series A, MBIA
insured, 0.00% (5.75% effective
yield), due 12/15/10 738,259
1,225,000 Arapahoe County, CO, School District
#6, Littleton, Unlimited Tax
General Obligation Bonds, Series
A, 5.30%, due 12/1/12 1,169,642
500,000 Denver, CO, City & County School
District #1, General Obligation
Bonds, Series A, 6.50%, due 6/1/10 544,035
3,000,000 Garfield Pitkin & Eagle Counties,
CO, School District #RE 1, Roaring
Fork, Unlimited Tax General
Obligation Refunding Bonds, MBIA
insured, 5.20%, due 12/15/14 2,790,660
1,385,000 Larimer County, CO, School District
#1, Poudre, General Obligation
Refunding Bonds, AMBAC insured,
8.50%, due 12/15/08 1,781,996
--------------
7,024,592
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
GENERAL OBLIGATIONS--STATES, TERRITORIES (1.9%)
1,000,000 Commonwealth of Puerto Rico,
Unlimited Tax General Obligation
Bonds, MBIA insured, 6.25%, due
7/1/08 $ 1,085,320
--------------
HEALTH CARE REVENUE (1.5%)
1,000,000 Denver, CO, City & County Revenue
Bonds, Sisters of Charity of
Leavenworth, 5.00%, due 12/1/23 840,830
--------------
HOUSING REVENUE (24.2%)
2,625,000 Adams County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Series A-2, 8.70%, due 6/1/12 2,857,076
300,000 Aurora, CO, Housing Authority
Finance Corporation, Multi-Family
Mortgage Revenue Refunding Bonds,
Mountainview Place, FHA insured,
7.125%, due 9/1/22 310,404
1,500,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series A-2, 7.15%, due
11/1/14 1,652,565
500,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series B-2, 7.50%, due
12/1/16 552,655
1,750,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series C-2, 7.45%, due
6/1/17 1,906,713
1,650,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series D-2, 7.10%, due
6/1/14 1,778,848
240,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Refunding Bonds, Series D-1,
Remarketed 7/15/94, 6.25%, due
12/1/01 246,386
</TABLE>
[LOGO]
See Notes to Financial Statements.
73
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
2,065,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Refunding Bonds, Series D-1,
Remarketed 7/15/94, 8.00%, due
12/1/24 $ 2,298,841
250,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Refunding Bonds, Series D-II,
Remarketed 11/15/94 6.375%, due
12/1/01 256,805
1,000,000 Fremont County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Series 1979 A, escrowed to
maturity, 8.50%, due 10/1/10 1,265,910
550,000 San Miguel County, CO, Housing
Authority, Multi-Family Housing
Revenue Bonds, Telluride Village
Apartments Project, Series 1993,
6.30%, due 7/1/13 534,304
--------------
13,660,507
--------------
INDUSTRIAL DEVELOPMENT REVENUE (1.5%)
250,000 Summit County, CO, Sports Facilities
Revenue Refunding Bonds, Keystone
Resorts Management Project,
guaranteed by Ralston Purina
Corporation, 7.75%, due 9/1/06 291,245
500,000 Summit County, CO, Sports Facilities
Revenue Refunding Bonds, Keystone
Resorts Management Project,
guaranteed by Ralston Purina
Corporation, 7.375%, due 9/1/10 564,655
--------------
855,900
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
OTHER REVENUE (9.9%)
290,000 Black Hawk, CO, Device Tax Revenue
Bonds, 6.40%, due 12/1/07 $ 294,921
3,000,000 Castle Rock Ranch, CO, Public
Facilities Revenue Bonds, 6.25%,
due 12/1/17(d) 2,984,220
2,000,000 Jefferson County, CO, Certificate of
Participation, MBIA insured,
5.25%, due 12/1/10 1,924,400
360,000 Pueblo, CO, Certificate of
Participation, Public Parking-
Lease, Purchase & Sublease, 6.90%,
due 7/1/15 361,728
--------------
5,565,269
--------------
POLLUTION CONTROL REVENUE (4.1%)
2,280,000 Moffat County, CO, Pollution Control
Revenue Refunding Bonds, Tri-State
Generation Project, AMBAC insured,
5.625%, due 11/1/07 2,304,760
--------------
TRANSPORTATION REVENUE (17.4%)
2,000,000 Arapahoe County, CO, Capital
Improvement & Transportation,
Highway Revenue Bonds, Series
E-470, Remarketed 8/31/95, 0.00%
(6.977% effective yield), due
8/31/10 752,660
5,000,000 Arapahoe County, CO, Capital
Improvements & Transportation,
Highway Revenue Bonds, Series
E-470, Remarketed 8/31/95, 0.00%
(7.50% effective yield), due
8/31/11 1,736,050
1,490,000 Arapahoe County, CO, Capital
Improvements & Transportation,
Highway Revenue Bonds, Series
E-470, MBIA insured, Remarketed
8/31/95, 6.15%, due 8/31/26 1,523,957
</TABLE>
[LOGO]
See Notes to Financial Statements.
74
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (continued)
TRANSPORTATION REVENUE (continued)
3,000,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.75%, due 11/15/16 $ 2,948,580
3,000,000 Denver, CO, City & County, Aiport
Revenue Refunding Bonds, Series A,
MBIA insured, 5.50%, due 11/15/25 2,831,220
-------------
9,792,467
-------------
UTILITIES REVENUE (6.7%)
2,000,000 Colorado Springs, CO, Utilities
Revenue Bonds, 6.10%, due 11/15/24 2,017,780
750,000 Colorado Water Reserve & Power
Development Authority, Small Water
Reserve Revenue Bonds, Series A,
FGCI insured, 5.45%, due 11/1/16 715,770
1,000,000 Upper Eagle Regional Water Authority,
CO, Water Revenue Refunding Bonds,
Water Refining & Improvement, Eagle
County, 6.375%, due 12/1/10 1,022,490
-------------
3,756,040
-------------
TOTAL MUNICIPAL BONDS (COST $54,351,545) 54,825,612
-------------
SHORT-TERM HOLDINGS (2.8%)
575,250 Norwest Municipal Money Market Fund 575,250
1,000,000 Parkview Metropolitan District, CO,
Arapahoe County, General Obligation
Refunding Bonds, 3.95% variable rate
demand notes, due 12/1/12 1,000,000
TOTAL SHORT-TERM HOLDINGS (COST $1,575,250) 1,575,250
-------------
TOTAL INVESTMENTS COLORADO TAX-FREE FUND (100.0%)
(COST $55,926,795) $56,400,862
-------------
-------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (95.6%)
EDUCATION FACILITIES REVENUE (1.3%)
500,000 Minnesota Higher Education Facilities
Authority Revenue Bonds, College of
St. Benedict, Series 3-W, 6.00%, due
3/1/07 $ 509,240
-------------
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (6.1%)
210,000 Bloomington, MN, Tax Increment General
Obligation Bonds, 9.75%, due 2/1/07 278,212
1,000,000 Metropolitan Council, MN,
Minneapolis-St. Paul Metropolitan
Area, Unlimited Tax General
Obligation Bonds, Series A, 5.10%,
due 1/1/11 945,040
1,000,000 Minneapolis, MN, Unlimited Tax General
Obligation Refunding Bonds, Series
B, 5.20%, due 3/1/13 944,650
245,000 Waconia, MN, Unlimited Tax General
Obligation Water Revenue Bonds,
6.00%, due 6/1/07 249,618
-------------
2,417,520
-------------
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (34.2%)
1,100,000 Anoka-Hennepin, MN, Independent School
District #11, Unlimited Tax General
Obligation Bonds, Series B, 5.50%,
due 2/1/12 1,078,979
1,675,000 Burnsville, MN, Independent School
District #191, Unlimited Tax General
Obligation Bonds, Series A, 5.125%,
due 2/1/17 1,533,144
1,000,000 Centennial, MN, Independent School
District #12, General Obligation
Bonds, Series A, 5.625%, due 2/1/16 978,970
500,000 Chaska, MN, Independent School
District #112, Unlimited Tax General
Obligation Bonds, Series B, 6.00%,
due 2/1/13 508,570
</TABLE>
[LOGO]
See Notes to Financial Statements.
75
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (continued)
<TABLE>
<C> <S> <C>
515,000 Faribault, MN, Independent School
District #656, Unlimited Tax General
Obligation Bonds, 6.10%, due 6/1/09 $ 533,267
1,000,000 Fridley, MN, Independent School
District, Unlimited Tax General
Obligation Bonds, FSA insured,
5.30%, due 2/1/17 935,020
1,000,000 Minneapolis, MN, Special School
District #1, Unlimited Tax General
Obligation Bonds, FGIC insured,
5.375%, due 2/1/12 966,030
1,500,000 Minneapolis, MN, Special School
District #1, Unlimited Tax General
Obligation Bonds, FGIC insured,
5.375%, due 2/1/14 1,434,780
1,300,000 North St. Paul Maplewood, MN,
Independent School District #622,
Unlimited Tax General Obligation
Bonds, 5.125%, due 2/1/20 1,173,016
810,000 Richfield, MN, Independent School
District #280, Unlimited Tax General
Obligation Bonds, FGIC insured,
5.20%, due 2/1/07 805,367
840,000 Spring Lake Park, MN, Independent
School District #16, Unlimited Tax
General Obligation Bonds, MBIA
insured, 5.25%, due 2/1/11 800,688
1,000,000 St. Anthony, MN, Independent School
District #282, Unlimited Tax General
Obligation Bonds, Series B, 5.70%,
due 2/1/16 986,540
1,000,000 St. Paul, MN, Independent School
District #625, Certificates of
Participation, Series C, 5.50%, due
2/1/13 974,910
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (continued)
<TABLE>
<C> <S> <C>
250,000 St. Paul, MN, Independent School
District #625, Certificates of
Participation, Series C, 6.05%, due
2/1/12 $ 255,118
1,285,000 West St. Paul, MN, Independent School
District #197, General Obligation
Bonds, Capital Appreciation-School
Building Project, MBIA insured,
0.00%, (5.90%, effective yield), due
2/1/08 664,807
-------------
13,629,206
-------------
GENERAL OBLIGATIONS--STATES, TERRITORIES (3.6%)
500,000 Commonwealth of Puerto Rico, Unlimited
Tax General Obligation Refunding
Bonds, MBIA insured, 5.00%, due
7/1/21 445,330
1,000,000 State of Minnesota, Unlimited Tax
General Obligation Bonds, 5.40%, due
8/1/13 968,300
-------------
1,413,630
-------------
HEALTH CARE REVENUE (22.7%)
200,000 Bemidji, MN, Hospital Facilities
Revenue Bonds, North Country Health
Services Project, Series 1991 A,
7.00%, due 9/1/11, prerefunded
9/1/01 at 102 223,552
1,000,000 Brainerd, MN, Health Care Facilities
Revenue Bonds, Benedictine
Health-St. Joseph's Health Center,
Series 1993 E, Connie Lee insured,
6.00%, due 2/15/20 986,830
500,000 Duluth, MN, Economic Development
Authority, Health Care Facilities
Revenue Bonds, Benedictine Health
System-St. Mary's Medical Center,
Series 1993 C, Connie Lee insured,
6.00%, due 2/15/12 503,820
</TABLE>
[LOGO]
See Notes to Financial Statements.
76
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
HEALTH CARE REVENUE (continued)
<TABLE>
<C> <S> <C>
500,000 Duluth, MN, Economic Development
Authority, Hospital Facilities
Revenue Bonds, St. Luke's Hospital
of Duluth, Series B, Connie Lee
insured, 6.40%, due 5/1/18 $ 514,170
200,000 Edina, MN, Health Care Facilities,
Nursing Home Revenue Bonds,
Volunteers of America Care Project,
7.75%, due 3/1/15 201,774
1,000,000 Fergus Falls, MN, Health Care
Facilities Revenue Bonds, Lake
Region Hospital Corporation Project
A, 6.50%, due 9/1/18 999,870
1,000,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Childrens Health Care
Revenue Refunding Bonds, Series A,
5.70%, due 8/15/16 973,600
500,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Health Care Revenue
Refunding Bonds, Group Health Plan,
Incorporated Project, 6.75%, due
12/1/13 533,075
600,000 Minneapolis & St. Paul, MN, Housing
and Redevelopment Authority Health
Care System, Health Care Revenue
Refunding Bonds, Health One
Obligated Group Project, Series A,
MBIA insured, 7.40%, due 8/15/11 656,628
500,000 Minneapolis, MN, Health Care
Facilities Revenue Bonds, Ebenezer
Social Project, Series A, 7.20%, due
7/1/23 501,275
115,000 Red Wing, MN, Health Care Facilities
Revenue Refunding Bonds, River
Region Obligated Group, Series 1993
B, 6.35%, due 9/1/07 117,240
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
HEALTH CARE REVENUE (continued)
<TABLE>
<C> <S> <C>
1,000,000 Rochester, MN, Health Care Facilities
Revenue Bonds, Mayo Medical Center,
Series F, 6.25%, due 11/15/21 $ 1,014,040
700,000 Saint Cloud, MN, Hospital Facilities
Revenue Refunding Bonds, St. Cloud
Hospital Project, Series C, AMBAC
insured, 5.30%, due 10/1/20 635,572
750,000 St. Louis Park, MN, Health Care
Facilities Revenue, Health System of
Minnesota, Series A, AMBAC insured,
5.20%, due 7/1/23 666,923
500,000 Waconia, MN, Housing and Redevelopment
Authority Refunding Revenue Bonds,
The Evangelical Lutheran Project,
Series A, 5.85%, due 6/1/06 500,695
-------------
9,029,064
-------------
HOUSING REVENUE (14.3%)
550,000 Minnesota State Housing Finance
Agency, Housing Development Revenue
Bonds, Series A, 6.85%, due 2/1/07 582,841
640,000 Minnesota State Housing Finance
Agency, Housing Development Revenue
Bonds, 6.25%, due 2/1/20 644,294
750,000 Minnesota State Housing Finance
Agency, Multi-Family Housing Revenue
Bonds, 6.375%, due 2/1/20 758,790
1,500,000 Minnesota State Housing Finance
Agency, Rental Housing Revenue
Bonds, Series D, MBIA insured,
5.90%, due 8/1/15 1,476,195
1,000,000 Minnesota State Housing Finance
Agency, Single Family Mortgage
Revenue Bonds, Remarketed 8/12/92,
6.25%, due 1/1/03 1,014,510
</TABLE>
[LOGO]
See Notes to Financial Statements.
77
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
675,000 St. Paul, MN, Housing & Redevelopment
Authority, Single Family Mortgage
Revenue Refunding Bonds, FNMA
Mortgage Backed Securities Project,
FNMA insured, 6.25%, due 9/1/14,
mandatory extraordinary redemption
at 100 3/1/07 $ 684,942
500,000 Vadnais Heights, MN, Single Family
Housing Mortgage Revenue Refunding
Bonds, 6.00%, due 11/1/09 502,260
-------------
5,663,832
-------------
OTHER REVENUE (3.6%)
250,000 Duluth, MN, Gross Revenue Bonds,
Spirit Mountain Recreation Area,
Series 1992, 6.40%, due 2/1/03 256,648
1,250,000 Puerto Rico Public Buildings Authority
Guaranteed Revenue Bonds, Series L,
5.75%, due 7/1/16 1,193,400
-------------
1,450,048
-------------
POLLUTION CONTROL REVENUE (5.2%)
875,000 Minnesota Public Facilities Authority,
Water Pollution Control Revenue
Bonds, Series A, 6.50%, due 3/1/14 926,966
1,000,000 Minnesota Public Facilities Authority,
Water Pollution Control Revenue
Bonds, Series A, 7.00%, due 3/1/05 1,124,020
-------------
2,050,986
-------------
UTILITIES REVENUE (4.6%)
120,000 Northern Minnesota Municipal Power
Agency, Electric System Revenue
Bonds, Series A, 5.00%, due 1/1/21 103,091
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
UTILITIES REVENUE (continued)
<TABLE>
<C> <S> <C>
400,000 Southern Minnesota Municipal Power
Agency, Power Supply System Revenue
Refunding Bonds, Series B, MBIA
insured, 5.00%, due 1/1/09 $ 375,932
2,500,000 Southern Minnesota Municipal Power
Agency, Power Supply System Revenue
Refunding Bonds, Series A, MBIA
insured, 0.00%, (5.51%, effective
yield), due 1/1/27 397,125
1,000,000 Owatonna, MN, Public Utilities Space
Commission, Public Utilities Revenue
Refunding Bonds, Series A, AMBAC
insured, 5.45%, due 1/1/16 958,850
-------------
1,834,998
-------------
TOTAL MUNICIPAL BONDS (COST $38,100,597) 37,998,524
-------------
SHORT-TERM HOLDINGS (4.4%)
1,060,887 Norwest Municipal Money Market Fund 1,060,887
700,000 Moorhead, MN, Industrial Development
Revenue Refunding Demand Bonds,
SuperValu Store Project, 4.20%
variable rate demand notes, due
11/1/09 700,000
-------------
TOTAL SHORT-TERM HOLDINGS (COST $1,760,887) 1,760,887
-------------
TOTAL INVESTMENTS MINNESOTA TAX-FREE FUND (100.0%)
(COST $39,861,484) $39,759,411
-------------
-------------
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME INVESTMENT STYLE (15.1%)
ASSET BACKED SECURITIES (2.2%)
500,547 AFC Home Equity Loan Trust Series
1995-2 A1, 7.4424% variable rate,
due 7/25/26 502,593
</TABLE>
[LOGO]
See Notes to Financial Statements.
78
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
ASSET BACKED SECURITIES (continued)
311,004 General Motors Acceptance
Corporation Grantor Trust, Series
1992-F A, 4.50%, due 9/15/97 $ 310,202
392,078 General Motors Acceptance
Corporation Grantor Trust, Series
1993-B A, 4.00%, due 9/15/98 389,290
562,392 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 558,230
611,859 Green Tree Financial Corporation,
Series 1994-1 A1, 5.60%, due
4/15/19 610,041
340,443 Green Tree Financial Corporation,
Series 1994-4 A1, 6.55%, due
7/15/19 342,077
58,245 Green Tree Financial Corporation,
Series 1994-8 A1, 7.75%, due
4/15/25 58,357
456,017 Structured Asset Securities
Corporation, Series 1995-C3 A,
6.03359% variable rate, due
1/25/10(d) 456,005
--------------
TOTAL ASSET BACKED SECURITIES (COST $3,206,287)
3,226,795
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (6.8%)
900,000 Federal Home Loan Bank, Series
DU-98, 4.597%, due 8/3/98 860,091
505,403 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 507,707
1,000,000 Federal Home Loan Mortgage
Corporation, Series 1694 PL,
5.25%, due 1/15/14 987,659
682,255 Federal Home Loan Mortgage
Corporation-General National
Mortgage Association, Series 24
ZC, 5.15%, due 8/25/12 658,137
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,343,375 Federal National Mortgage
Association Swap Trust, Series
1994-1 A1, 5.7625% variable rate,
due 10/1/04 $ 1,340,338
428,175 Merrill Lynch Capital Credit
Corporation Mortgage Investors,
Series 1994-B A1, 5.90% variable
rate, due 12/15/19 429,108
360,948 Maryland National Bank Mortgage
Pass-thru Certificates, 9.50%, due
6/25/19 361,853
597,232 Resolution Trust Corporation, Series
1992-18P A4, 6.45% variable rate,
due 4/25/28(d) 596,654
716,309 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 721,948
1,666,414 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate
due 10/25/21 1,668,289
1,000,237 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate
due 8/25/23 1,010,830
944,975 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
7/25/30 937,551
94,639 Sears Mortgage Securities, Series
1992-3 T6, 8.00%, due 7/25/20 94,349
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$10,197,648) 10,174,514
--------------
CORPORATE BONDS & NOTES (0.4%)
250,000 BankAmerica Corporation, 6.00%, due
7/15/97 249,347
300,000 Chrysler Financial Corporation,
6.26%, due 7/20/98 297,699
--------------
TOTAL CORPORATE BONDS & NOTES (COST $556,260)
547,046
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
79
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (1.3%)
520,720 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 318464, 6.86%, due
4/1/25 $ 530,772
866,977 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 321051, 6.235%, due
8/1/25 878,293
548,037 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 331866, 5.592%, due
12/1/25 552,758
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $1,959,154)
1,961,823
--------------
MUNICIPAL BONDS (0.6%)
500,000 Utah State School District Financial
Corporation Revenue Bonds, 6.90%,
due 2/15/10, Putable 8/17/98 at
100 496,435
330,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 329,980
--------------
TOTAL MUNICIPAL BONDS (COST $847,830) 826,415
--------------
RECEIVABLES BACKED SECURITIES (0.3%)
481,297 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due
10/15/98 (cost $476,296) 478,428
--------------
REPURCHASE AGREEMENTS (2.2%)
3,294,090 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$3,295,566 (cost $3,294,090)(c) 3,294,090
--------------
U.S. TREASURY OBLIGATIONS (1.3%)
1,900,000 U.S. Treasury Notes, 6.125%, due
9/30/00 (cost $1,945,507) 1,864,967
--------------
TOTAL STABLE INCOME INVESTMENT STYLE (COST
$22,483,072) 22,374,078
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (15.0%)
ASSET BACKED SECURITIES (0.4%)
549,030 Structured Asset Securities
Corporation, 7.05%, due 11/25/07
(cost $548,987) $ 547,465
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.0%)
349,899 CMC Securities Corporation II,
Series 1993-2I A2, 7.134639%, due
9/25/23 352,593
435,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 428,879
350,000 Federal Home Loan Mortgage
Corporation, Series 1992-1374 B,
6.50%, due 6/15/15 345,362
164,881 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 164,912
1,000,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 977,810
446,938 Resolution Trust Corporation, Series
1992-4 A2, 7.65287% variable rate,
due 7/25/28 458,192
200,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 197,997
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$2,861,750) 2,925,745
--------------
CORPORATE BONDS & NOTES (4.4%)
400,000 Applied Materials, 7.00%, due 9/6/05 386,677
500,000 Cargill, Inc., 8.35%, due 2/12/11(d) 531,652
200,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 187,544
400,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 427,447
500,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 486,251
400,000 Citicorp, 9.50%, due 2/1/02 440,889
</TABLE>
[LOGO]
See Notes to Financial Statements.
80
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
400,000 Citi Group Holdings, 6.15%, due
12/15/02 $ 378,504
100,000 The Coca Cola Bottling
Company, 6.85%, due 11/1/07 93,829
400,000 Continental Bank, N.A.(a
BankAmerica subsidiary),
11.25%, due 7/1/01 431,000
250,000 Corestates Capital
Corporation, 5.875%, due
10/15/03 229,693
300,000 Dean Witter Discover, 6.25%,
due 3/15/00 293,598
200,000 Federal Express Corporation,
6.25%, due 4/15/98 198,333
200,000 First Bank N.A., 6.00%, due
10/15/03 185,607
500,000 Ford Motor Credit
Corporation, 6.25%, due
12/8/05 459,298
400,000 Heller Financial, 7.875%, due
11/1/99 411,500
250,000 International Lease Finance,
6.43%, due 3/1/00 245,873
100,000 Norcen Energy Resources,
7.375%, due 5/15/06 98,034
500,000 Paine Webber Group, Inc.,
7.00%, due 3/1/00 495,725
500,000 Reinsurance Group of America,
7.25%, due 4/1/06(d) 485,000
-----------
TOTAL CORPORATE BONDS & NOTES (COST
$6,508,010) 6,466,454
-----------
GOVERNMENT AGENCY BONDS & NOTES (0.5%)
700,000 Federal National Mortgage
Association, 7.56528%
inverse floater, due
7/23/97(g) (cost $658,294) 706,146
-----------
MORTGAGE BACKED SECURITIES (0.6%)
375,301 Federal National Mortgage
Association, Pool 344689,
6.959%, due 11/1/25 382,285
500,000 Government National Mortgage
Association, 6.50%, due
8/16/17 479,029
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$871,713) 861,314
-----------
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
RECEIVABLES BACKED SECURITIES (0.2%)
300,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 (cost
$299,859) $ 295,821
--------------
REPURCHASE AGREEMENTS (0.1%)
102,549 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$102,595 (cost $102,549)(c) 102,549
--------------
U.S. TREASURY OBLIGATIONS (6.6%)
4,500,000 U.S. Treasury Notes, 5.00%, due
1/31/98(b) 4,418,438
2,500,000 U.S. Treasury Notes, 5.00%, due
1/31/99(b) 2,416,403
500,000 U.S. Treasury Notes, 6.25%, due
8/31/00 493,125
500,000 U.S. Treasury Notes, 6.50%, due
8/15/05 487,030
2,000,000 U.S. Treasury Notes, 7.50%, due
5/15/02(b) 2,080,000
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $10,018,984)
9,894,996
--------------
ZERO COUPON SECURITIES (0.2%)
500,000 Resolution Funding Corporation
STRIP, principal only, due
4/15/00(h) (cost $342,892) 386,815
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$22,213,038) 22,187,305
--------------
POSITIVE RETURN INVESTMENT STYLE (15.8%)
ASSET BACKED SECURITIES (0.7%)
1,000,000 Premier Auto Trust, 5.5075% variable
rate, due 9/6/98 (cost $1,000,000) 1,000,759
--------------
CERTIFICATES OF DEPOSIT (1.4%)
1,000,000 Deutsche Bank, 5.62%, due 1/15/97 999,068
1,000,000 Rabobank, 5.43%, due 11/15/96 998,988
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $2,000,618)
1,998,056
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
81
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
1,000,000 Federal National Mortgage
Association, TBA, due 6/11/97
(cost $999,604) $ 999,604
--------------
RECEIVABLES BACKED SECURITIES (3.5%)
1,700,000 Bombardier Receivables Master Trust
I, Series 1994-1 A, 5.63750%
variable rate, due 3/15/99 1,701,530
1,000,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,000,149
1,000,000 Chevy Chase Master Credit Card
Trust, 5.62969% variable rate, due
10/15/99 1,001,949
480,744 IBM Credit Receivables Lease Asset
Master Trust, Series 1993-1 A,
4.55%, due 11/15/00 475,641
1,000,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.58969% variable
rate, due 9/15/00 999,379
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$5,177,950) 5,178,648
--------------
REPURCHASE AGREEMENTS (5.8%)
8,626,671 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$8,630,535 (cost $8,626,671) 8,626,671
--------------
U.S. TREASURY OBLIGATIONS (3.8%)
2,400,000 U.S. Treasury Bills, 5.46% yield,
due 1/9/97 2,323,877
2,400,000 U.S. Treasury Notes, 7.50%, due
12/31/96 2,427,747
500,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 447,030
400,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 418,500
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $5,749,063)
5,617,154
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$23,553,906) 23,420,892
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
TOTAL RETURN BOND INVESTMENT STYLE (15.0%)
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
175,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 $ 173,483
75,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 74,561
225,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 224,312
225,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 221,763
225,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 222,899
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$925,456) 917,018
--------------
CORPORATE BONDS & NOTES (2.4%)
500,000 AMR Corporation, 7.47%, due 1/28/97 505,018
200,000 CIGNA Corporation, 8.00%, due 9/1/96 201,042
425,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 430,312
550,000 General Motors Acceptance
Corporation Medium Term Note,
5.25%, due 11/15/96 548,853
500,000 Houston Industries, Inc., 7.25%, due
12/1/96 503,282
275,000 McDermott International, Inc.,
7.94%, due 6/25/97 278,781
200,000 National Rural Utilities
Corporation, 9.64%, due 5/19/97 206,249
500,000 Salomon, Inc., 5.34%, due 12/17/96 497,433
280,000 USX Corporation, 8.875%, due 9/15/97 287,715
--------------
TOTAL CORPORATE BONDS & NOTES (COST $3,472,327)
3,458,685
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
82
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PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.2%)
328,896 BA Securities, Inc., 5.375%,
due 6/3/96, to be
repurchased at $329,043
(cost $328,896)(c) $ 328,896
-----------
U.S. TREASURY OBLIGATIONS (11.8%)
275,000 U.S. Treasury Notes, 6.875%,
due 2/28/97 277,406
100,000 U.S. Treasury Notes, 8.50%,
due 4/15/97 102,312
250,000 U.S. Treasury Notes, 7.375%,
due 11/15/97 254,296
225,000 U.S. Treasury Notes, 8.875%,
due 11/15/97 233,578
725,000 U.S. Treasury Notes, 8.25%,
due 7/15/98 752,640
575,000 U.S. Treasury Notes, 5.875%,
due 8/15/98 569,788
2,400,000 U.S. Treasury Notes, 8.875%,
due 11/15/98 2,535,000
650,000 U.S. Treasury Notes, 8.50%,
due 2/15/00 690,625
1,025,000 U.S. Treasury Notes, 7.125%,
due 2/29/00 1,042,937
1,375,000 U.S. Treasury Notes, 6.875%,
due 3/31/00 1,388,318
400,000 U.S. Treasury Notes, 8.875%,
due 5/15/00 431,250
1,350,000 U.S. Treasury Notes, 6.25%,
due 5/31/00 1,333,125
1,150,000 U.S. Treasury Notes, 6.125%,
due 7/31/00 1,129,876
975,000 U.S. Treasury Notes, 8.75%,
due 8/15/00 1,050,257
250,000 U.S. Treasury Notes, 8.00%,
due 5/15/01 263,907
1,375,000 U.S. Treasury Notes, 7.25%,
due 8/15/04 1,410,235
1,350,000 U.S. Treasury Notes, 6.50%,
due 8/15/05 1,314,983
1,200,000 U.S. Treasury Bonds, 9.375%,
due 2/15/06 1,411,501
975,000 U.S. Treasury Bonds, 8.125%,
due 8/15/19 1,078,594
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C> <C>
200,000 U.S. Treasury Bonds, 8.75%, due
8/15/20 $ 235,813
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $18,212,207)
17,506,441
--------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE (COST
$22,938,886) 22,211,040
--------------
INCOME EQUITY INVESTMENT STYLE (7.3%)
COMMON STOCKS (7.1%)
CHEMICALS & ALLIED PRODUCTS (0.4%)
4,100 E.I. du Pont de Nemours & Company 326,975
6,900 Morton International, Inc. 262,200
--------------
589,175
--------------
COMMUNICATIONS (0.4%)
5,300 AT&T Corporation 330,587
6,500 GTE Corporation 277,875
--------------
608,462
--------------
DEPOSITORY INSTITUTIONS (0.4%)
4,300 First Bank System, Inc.(b) 259,612
3,500 J.P. Morgan & Company, Inc. 304,062
--------------
563,674
--------------
EATING & DRINKING PLACES (0.1%)
4,100 McDonald's Corporation 197,312
--------------
ELECTRIC, GAS, & SANITARY SERVICES (0.6%)
5,100 Consolidated Natural Gas Company 246,712
2,200 FPL Group, Inc. 94,050
3,600 Pacific Gas and Electric Company 83,700
6,200 Public Service Enterprise Group,
Inc. 164,300
2,500 Texas Utilities Company 102,187
6,500 WMX Technologies, Inc. 229,125
--------------
920,074
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (0.7%)
3,000 Emerson Electric Company 256,875
4,000 General Electric Company 331,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
83
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C> <C>
7,700 Honeywell, Inc. $ 390,775
--------------
978,650
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.2%)
5,000 Dun & Bradstreet Corporation 319,375
--------------
FOOD & KINDRED PRODUCTS (0.4%)
7,000 PepsiCo, Inc. 232,750
2,500 Procter & Gamble Company 219,687
3,500 Sara Lee Corporation 116,812
--------------
569,249
--------------
GENERAL MERCHANDISE STORES (0.4%)
2,100 Dayton Hudson Corporation 214,200
400 J.C. Penney Company, Inc. 20,750
3,300 May Department Stores Company 156,337
528 Payless ShoeSource, Inc.(a) 14,850
3,000 Sears Roebuck and Company 152,625
--------------
558,762
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.3%)
4,700 Hewlett-Packard Company 501,725
--------------
INSURANCE CARRIERS (0.1%)
4,300 American General Corporation 152,650
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.2%)
3,500 Eastman Kodak Company 260,312
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.4%)
4,700 American Express Company 215,025
3,800 Transamerica Corporation 307,800
--------------
522,825
--------------
OIL & GAS EXTRACTION (0.2%)
4,100 Schlumberger, Ltd. 341,837
--------------
PAPER & ALLIED PRODUCTS (0.2%)
4,000 Minnesota Mining & Manufacturing
Company 273,000
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (0.7%)
1,500 Atlantic Richfield Company $ 179,438
4,100 Chevron Corporation(b) 244,976
3,300 Exxon Corporation 279,676
1,800 Mobil Corporation 203,176
1,300 Royal Dutch Petroleum Company(b) 195,000
--------------
1,102,266
--------------
PHARMACEUTICAL PREPARATIONS (0.6%)
4,200 American Home Products Corporation 224,700
2,400 Johnson & Johnson 233,700
3,100 Merck & Company, Inc. 200,339
3,400 Pfizer, Inc. 240,550
--------------
899,289
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.2%)
6,500 Deluxe Corporation 235,626
--------------
TOBACCO PRODUCTS (0.3%)
4,100 American Brands, Inc. 179,375
3,000 Philip Morris Companies, Inc. 298,125
--------------
477,500
--------------
TRANSPORTATION EQUIPMENT (0.3%)
2,800 United Technologies Corporation 306,250
--------------
TOTAL COMMON STOCKS (COST $7,181,085) 10,378,013
--------------
REPURCHASE AGREEMENTS (0.2%)
361,987 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$362,150 (cost $361,987)(c) 361,987
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$7,543,072) 10,740,000
--------------
INDEX INVESTMENT STYLE (7.3%)
331,983 Index Portfolio of Core Trust
(Delaware)(k) 10,797,784
--------------
TOTAL INDEX INVESTMENT STYLE (COST $7,953,921) 10,797,784
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
84
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (7.3%)
COMMON STOCKS (7.2%)
AMUSEMENT & RECREATION SERVICES (0.1%)
3,500 The Walt Disney Company $ 212,625
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
3,600 Cintas Corporation(b) 192,600
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.3%)
5,800 Home Depot, Inc. 296,525
5,700 Lowe's Companies, Inc.(b) 195,225
--------------
491,750
--------------
BUSINESS SERVICES (1.3%)
3,700 DST Systems, Inc.(a) 129,037
7,000 First Data Corporation(b) 558,250
4,600 Fiserv, Inc.(a) 144,325
5,300 General Motors Corporation, Class E 298,787
5,500 Microsoft Corporation(a) 653,125
2,800 Sungard Data Systems, Inc.(a) 105,700
--------------
1,889,224
--------------
COMMUNICATIONS (0.1%)
3,300 Airtouch Communications, Inc.(a) 105,187
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.1%)
7,000 Intel Corporation 528,500
17,500 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) 403,593
6,456 Molex, Inc., Class A 189,645
3,600 Motorola, Inc. 240,300
4,500 Solectron Corporation(a) 195,191
--------------
1,557,229
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.3%)
8,900 Medaphis Corporation(a) 335,975
3,450 Paychex, Inc. 151,800
--------------
487,775
--------------
FOOD & KINDRED PRODUCTS (0.3%)
8,800 The Coca-Cola Company $ 404,800
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
HEALTH SERVICES (0.4%)
6,600 Columbia HCA Healthcare
Corporation(b) 355,575
1,500 HBO & Company 187,312
--------------
542,887
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.4%)
6,500 Franklin Resources, Inc. 381,062
7,600 T. Rowe Price 212,800
--------------
593,862
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.5%)
6,000 Cisco Systems, Inc.(a)(b) 328,500
4,000 Hewlett-Packard Company 427,000
--------------
755,500
--------------
INSURANCE CARRIERS (0.3%)
5,450 American International Group, Inc. 513,662
--------------
MISCELLANEOUS RETAIL (0.5%)
9,700 Autozone, Inc.(a) 340,713
5,550 Petsmart, Inc.(a)(b) 246,976
4,700 Viking Office Products, Inc.(a) 134,538
--------------
722,227
--------------
PHARMACEUTICAL PREPARATIONS (0.3%)
3,100 Amgen, Inc.(a) 184,451
3,700 Pfizer, Inc. 261,776
--------------
446,227
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.4%)
20,100 Charles Schwab Corporation 487,425
3,500 Donaldson, Lufkin & Jenrette, Inc. 111,562
--------------
598,987
--------------
TOBACCO PRODUCTS (0.2%)
2,600 Philip Morris Companies, Inc. 258,375
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
85
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WHOLESALE TRADE--DURABLE GOODS (0.1%)
4,300 Danka Business Systems, plc
Sponsored ADR(b) $ 212,850
-----------
WHOLESALE TRADE--NONDURABLE GOODS (0.5%)
1,650 Alco Standard Corporation(b) 103,126
4,600 Corporate Express, Inc.(a) 193,200
17,400 Office Depot, Inc.(a) 445,876
-----------
742,202
-----------
TOTAL COMMON STOCKS (COST $7,686,914) 10,727,969
-----------
REPURCHASE AGREEMENTS (0.1%)
123,778 BA Securities, Inc., 5.375%,
due 6/3/96, to be
repurchased at $123,834
(cost $123,778)(c) 123,778
-----------
TOTAL LARGE COMPANY GROWTH INVESTMENT
STYLE (COST $7,810,692) 10,851,747
-----------
SMALL COMPANY GROWTH INVESTMENT STYLE (2.9%)
125,287 Small Company Portfolio of
Core Trust (Delaware)(k) 4,331,337
-----------
TOTAL SMALL COMPANY GROWTH INVESTMENT
STYLE (COST $3,634,481) 4,331,337
-----------
INTERNATIONAL INVESTMENT STYLE (4.3%)
260,550 International Portfolio II of
Core Trust (Delaware)(k) 6,315,708
-----------
TOTAL INTERNATIONAL INVESTMENT STYLE
(COST $5,543,164) 6,315,708
-----------
SHORT MATURITY INVESTMENT STYLE (10.0%)
COMMERCIAL PAPER (2.0%)
500,000 FP Funding Corp., 5.404%
yield, due 6/28/96 498,133
500,000 Hartz 667 Corporation, Bank
of Tokyo-Mitsubishi, Ltd.,
LOC, 5.424% yield, due
6/7/96 499,700
500,000 Southland Corporation, 5.303%
yield, due 7/31/96 495,844
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMERCIAL PAPER (continued)
<TABLE>
<C> <S> <C>
500,000 Sumitomo Bank Capital Markets, Inc.,
5.503% yield, due 8/5/96 $ 495,169
500,000 Tri-Lateral Capital, Inc., 5.495%
yield, due 8/30/96 493,307
500,000 Working Capital Management Company,
5.396% yield, due 6/10/96 499,482
--------------
TOTAL COMMERCIAL PAPER (COST $2,981,783) 2,981,635
--------------
CORPORATE BONDS & NOTES (1.4%)
500,000 Bear Stearns Company, 5.71563%,
variable rate, due 8/12/96 500,232
500,000 Citicorp Medium Term Notes, Series
A, 8.50%, due 2/11/97 508,633
500,000 Ford Motor Credit, 5.38%, due
7/12/96 500,004
500,000 Ford Motor Credit Medium Term Note,
5.53% variable rate, due 6/13/97 499,936
--------------
TOTAL CORPORATE BONDS & NOTES (COST $2,008,180)
2,008,805
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.2%)
150,000 Federal Farm Credit Bank, 5.78%
variable rate, due 11/19/97 149,904
100,000 Federal National Mortgage
Association, 4.78% variable rate,
due 6/4/97 99,061
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$248,062) 248,965
--------------
REPURCHASE AGREEMENTS (6.4%)
4,491,621 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$4,493,633(c) 4,491,621
</TABLE>
[LOGO]
See Notes to Financial Statements.
86
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (continued)
5,000,000 BA Securities, Inc., 5.20%, due
6/5/96, to be repurchased at
$5,005,006. Collateralized by
$4,280,000 Federal National
Mortgage Association discount
notes, 5.20%, due 6/7/96;
$14,110,000 Federal National
Mortgage Association notes, 5/20%,
due 6/19/96; $20,300,000 Federal
Home Loan Mortgage Corporation
discount notes, 5.20%, due 6/25/96;
$11,310,000 Federal National
Mortgage Association discount
notes, due 8/30/96 (cost
$5,000,000) $ 5,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (COST $9,491,621)
9,491,621
--------------
TOTAL SHORT MATURITY INVESTMENT STYLE (COST
$14,729,646) 14,731,026
--------------
TOTAL INVESTMENTS CONSERVATIVE BALANCED FUND
(100.0%) (COST $138,403,878) $147,960,917
--------------
--------------
- ----------------------------------------------------
MODERATE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME INVESTMENT STYLE (14.9%)
ASSET BACKED SECURITIES (1.8%)
1,173,156 AFC Home Equity Loan Trust Series
1995-2 A1, 7.4424% variable rate,
due 7/25/26 1,177,951
623,605 General Motors Acceptance Corporation
Grantor Trust, Series 1992-F A,
4.50%, due 9/15/97 621,995
816,829 General Motors Acceptance Corporation
Grantor Trust, Series 1993-B A,
4.00%, due 9/15/98 811,021
1,562,200 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 1,550,638
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,547,643 Green Tree Financial Corporation,
Series 1994-1 A1, 5.60%, due
4/15/19 $ 1,543,045
145,611 Green Tree Financial Corporation,
Series 1994-8 A1, 7.75%, due
4/15/25 145,891
1,368,052 Structured Asset Securities
Corporation, Series 1995-C3 A,
6.03359% variable rate, due
1/25/10(d) 1,368,012
--------------
TOTAL ASSET BACKED SECURITIES (COST $7,175,590)
7,218,553
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (7.0%)
2,350,000 Federal Home Loan Bank, Series DU-98,
4.597%, due 8/3/98 2,245,792
1,263,507 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 1,269,267
3,000,000 Federal Home Loan Mortgage
Corporation, Series 1694 PL, 5.25%,
due 1/15/14 2,962,977
1,819,348 Federal Home Loan Mortgage
Corporation-General National
Mortgage Association, Series 24 ZC,
5.15%, due 8/25/12 1,755,032
3,582,332 Federal National Mortgage Association
Swap Trust, Series 1994-1 A1,
5.7625% variable rate, due 10/1/04 3,574,236
927,713 Merrill Lynch Credit Corporation
Mortgage Investors, Series 1994-B
A1, 5.90% variable rate, due
12/15/19 929,734
1,289,543 Maryland National Bank Mortgage
Pass-thru Certificates, 9.50%, due
6/25/19 1,292,778
1,456,818 Resolution Trust Corporation, Series
1992-18P A4, 6.45% variable rate,
due 4/25/28(d) 1,455,411
</TABLE>
[LOGO]
See Notes to Financial Statements.
87
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,910,157 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 $ 1,925,196
3,888,300 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate,
due 10/25/21 3,892,674
3,000,711 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate,
due 8/25/23 3,032,491
793,163 Resolution Trust Corporation, Series
1992-CHF A2, 6.53% variable rate,
due 12/25/20 796,363
2,467,434 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
7/25/30 2,448,050
283,918 Sears Mortgage Securities, Series
1992-3 T6, 8.00%, due 7/25/20 283,046
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$27,917,641) 27,863,047
--------------
CORPORATE BONDS & NOTES (0.5%)
850,000 Chrysler Financial Corporation,
6.26%, due 7/20/98 843,481
1,043,000 Lehman Brothers Holdings, 8.875%, due
11/1/98 1,088,787
--------------
TOTAL CORPORATE BONDS & NOTES (COST $1,963,455)
1,932,268
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.5%)
2,000,000 Federal Home Loan Bank, 7.11%, due
7/8/99 (cost $2,041,250) 2,022,562
--------------
MORTGAGE BACKED SECURITIES (1.6%)
1,894,027 Federal National Mortgage Association
Adjustable Rate Mortgage Pool
220706, 7.856%, due 6/1/23 1,948,859
2,825,809 Federal National Mortgage Association
Adjustable Rate Mortgage, Pool
318464, 6.86%, due 4/1/25 2,880,363
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,391,170 Federal National Mortgage Association
Adjustable Rate Mortgage, Pool
331866, 5.592%, due 12/1/25 $ 1,403,155
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $6,205,581)
6,232,377
--------------
MUNICIPAL BONDS (0.5%)
1,100,000 Utah State School District Financial
Corporation Revenue Bonds, 6.90%,
due 2/15/10, Putable 8/17/98 at 100 1,092,157
885,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 884,947
--------------
TOTAL MUNICIPAL BONDS (COST $2,024,226) 1,977,104
--------------
RECEIVABLES BACKED SECURITIES (0.2%)
823,434 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due
10/15/98 (cost $814,878) 818,525
--------------
REPURCHASE AGREEMENTS (0.8%)
3,013,325 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$3,014,674 (cost $3,013,325)(c) 3,013,325
--------------
U.S. TREASURY OBLIGATIONS (2.0%)
8,500,000 U.S. Treasury Notes, 4.75%, due
10/31/98 (cost $8,418,984)(b) 8,202,500
--------------
TOTAL STABLE INCOME INVESTMENT STYLE (COST
$59,574,930) 59,280,261
--------------
MANAGED FIXED INCOME INVESTMENT STYLE (13.6%)
COLLATERALIZED MORTGAGE OBLIGATIONS (1.6%)
816,432 CMC Securities Corporation II, Series
1993-2I A2, 7.134639%, due 9/25/23 822,718
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 887,337
</TABLE>
[LOGO]
See Notes to Financial Statements.
88
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
900,000 Federal Home Loan Mortgage
Corporation, Series 1992-1374 B,
6.50%, due 6/15/15 $ 888,075
329,762 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 329,825
2,100,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 2,053,401
893,876 Resolution Trust Corporation, Series
1992-4 A2, 7.65287% variable rate,
due 7/25/28 916,384
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 593,993
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$6,360,214) 6,491,733
--------------
CORPORATE BONDS & NOTES (4.3%)
850,000 Applied Materials, 7.00%, due 9/06/05 821,687
1,100,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,169,632
600,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 562,630
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,068,616
1,100,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 1,069,750
1,000,000 Citicorp, 9.50%, due 2/1/02 1,102,221
800,000 Citi Group Holdings, 6.15%, due
12/15/02 757,006
500,000 The Coca Cola Bottling Co., 6.85%,
due 11/1/07 469,144
800,000 Continental Bank, N.A.(a BankAmerica
subsidiary), 11.25%, due 7/1/01 862,000
650,000 Corestates Capital Corporation,
5.875%, due 10/15/03 597,199
650,000 Dean Witter Discover, 6.25%, due
3/15/00 636,131
450,000 Federal Express Corporation, 6.25%,
due 4/15/98 446,250
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,100,000 Ford Motor Credit Corporation, 6.25%,
due 12/8/05 $ 1,010,457
800,000 Heller Financial, 7.875%, due 11/1/99 823,000
625,000 International Lease Finance, 6.43%,
due 3/1/00 614,683
750,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 819,162
500,000 Norcen Energy Resources, 7.375%, due
5/15/6 490,172
1,100,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 1,090,595
500,000 Parker Hannifin Corporation, 7.30%,
due 5/15/11 490,651
500,000 Philips Electronics, 6.75, due
8/15/03 481,468
1,000,000 Reinsurance Group of America, 7.25%,
due 4/1/06(d) 970,000
600,000 Weatherford Enterra, 7.25%, due
5/15/06(b) 589,518
--------------
TOTAL CORPORATE BONDS & NOTES (COST $17,080,429)
16,941,972
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.3%)
1,400,000 Federal National Mortgage
Association, 7.56528% inverse
floater, due 7/23/97(g) (cost
$1,316,588) 1,380,501
--------------
MORTGAGE BACKED SECURITIES (0.7%)
1,068,158 Federal Home Loan Mortgage
Corporation Adjustable Rate
Mortgage, Pool 606279, 7.317%, due
2/1/15 1,086,548
844,426 Federal National Mortgage
Association, Pool 344689, 6.959%,
due 11/1/25 860,143
1,000,000 Government National Mortgage
Association, 6.50%, due 8/16/17 958,059
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $2,929,159)
2,904,750
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
89
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
RECEIVABLES BACKED SECURITIES (0.1%)
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 (cost
$499,765) $ 502,391
--------------
REPURCHASE AGREEMENTS (0.1%)
262,182 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$262,299 (cost $262,182)(c) 262,182
--------------
U.S. TREASURY OBLIGATIONS (6.3%)
7,000,000 U.S. Treasury Notes, 5.00%, due
1/31/98(b) 6,873,125
7,000,000 U.S. Treasury Notes, 5.875%, due
8/15/98(b) 6,936,552
5,500,000 U.S. Treasury Notes, 5.00%, due
1/31/99(b) 5,316,086
2,500,000 U.S. Treasury Notes, 6.25%, due
8/31/00 2,465,625
1,000,000 U.S. Treasury Notes, 7.50%, due
5/15/02(b) 1,040,000
2,500,000 U.S. Treasury Notes, 5.75%, due
8/15/03(b) 2,354,688
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $25,273,384)
24,986,076
--------------
ZERO COUPON SECURITIES (0.2%)
1,000,000 Resolution Funding Corporation STRIP,
principal only, due 4/15/00(h)
(cost $685,785) 773,630
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$54,407,506) 54,243,235
--------------
POSITIVE RETURN INVESTMENT STYLE (14.5%)
ASSET BACKED SECURITIES (0.6%)
2,250,000 Navistar Financial Corporation Owner
Trust, Series 1995-B A2, 5.94%, due
10/15/98 (cost $2,249,962) 2,250,029
--------------
CERTIFICATES OF DEPOSIT (1.1%)
2,250,000 Deutsche Bank, 5.62%, due 1/15/97 2,247,903
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CERTIFICATES OF DEPOSIT (continued)
<TABLE>
<C> <S> <C>
2,250,000 Rabobank, 5.43%, due 11/15/96 $ 2,247,723
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $4,501,392)
4,495,626
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.7%)
2,750,000 Federal National Mortgage
Association, TBA, due 6/11/97 (cost
$2,748,911) 2,748,911
--------------
RECEIVABLES BACKED SECURITIES (2.8%)
3,400,000 Bombardier Receivables Master Trust
I, Series 1994-1 A, 5.63750%
variable rate, due 3/15/99 3,403,060
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,750,261
1,500,000 Chevy Chase Master Credit Card Trust,
5.62969% variable rate, due
10/15/99 1,502,924
1,750,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.5775% variable
rate, due 4/17/00 1,752,396
1,009,562 IBM Credit Receivables Lease Asset
Master Trust, Series 1993-1 A,
4.55%, due 11/15/00 998,847
1,750,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.58969% variable
rate, due 9/15/00 1,748,913
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$11,151,195) 11,156,401
--------------
REPURCHASE AGREEMENTS (5.9%)
23,651,578 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$23,662,172 (cost $23,651,578)(c) 23,651,578
--------------
U.S. TREASURY OBLIGATIONS (3.4%)
6,000,000 U.S. Treasury Bills, 5.46% yield, due
1/9/97 5,809,692
6,000,000 U.S. Treasury Notes, 7.50%, due
12/31/96 6,069,366
</TABLE>
[LOGO]
See Notes to Financial Statements.
90
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,000,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 $ 995,936
725,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 758,531
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $13,789,061)
13,633,525
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$58,092,099) 57,936,070
--------------
TOTAL RETURN BOND INVESTMENT STYLE (13.6%)
GOVERNMENT AGENCY BONDS & NOTES (0.8%)
500,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 495,666
1,550,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 1,545,263
600,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 591,370
575,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 569,632
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$3,227,165) 3,201,931
--------------
CORPORATE BONDS & NOTES (2.1%)
1,000,000 AMR Corporation, 7.47%, due 1/28/97 1,010,036
475,000 CIGNA Corporation, 8.00%, due 9/1/96 477,476
1,025,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 1,037,813
1,350,000 General Motors Acceptance Corporation
Medium Term Note, 5.25%, due
11/15/96 1,347,187
1,250,000 Houston Industries, Inc., 7.25%, due
12/1/96 1,258,206
250,000 Limited, Inc., 8.875%, due 8/15/99 258,721
750,000 McDermott International, Inc., 7.94%,
due 6/25/97 760,313
500,000 National Rural Utilities Corporation,
9.64%, due 5/19/97 515,624
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
900,000 Salomon Inc., 5.37%, due 12/17/96 $ 895,522
675,000 USX Corporation, 8.875%, due 9/15/97 693,598
--------------
TOTAL CORPORATE BONDS & NOTES (COST $8,294,002)
8,254,496
--------------
REPURCHASE AGREEMENTS (0.3%)
1,149,345 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,149,860 (cost $1,149,345)(c) 1,149,345
--------------
U.S. TREASURY OBLIGATIONS (10.4%)
825,000 U.S. Treasury Notes, 8.875%, due
11/15/97 856,453
500,000 U.S. Treasury Notes, 7.875%, due
4/15/98 514,375
1,325,000 U.S. Treasury Notes, 8.25%, due
7/15/98 1,375,516
1,425,000 U.S. Treasury Notes, 5.875%, due
8/15/98 1,412,083
6,500,000 U.S. Treasury Notes, 8.875%, due
11/15/98 6,865,625
675,000 U.S. Treasury Notes, 6.875%, due
7/31/99 682,382
1,700,000 U.S. Treasury Notes, 8.50%, due
2/15/00 1,806,250
2,550,000 U.S. Treasury Notes, 7.125%, due
2/29/00 2,594,626
3,475,000 U.S. Treasury Notes, 6.875%, due
3/31/00 3,508,658
1,000,000 U.S. Treasury Notes, 8.875%, due
5/15/00 1,078,125
2,875,000 U.S. Treasury Notes, 6.25%, due
5/31/00 2,839,063
2,900,000 U.S. Treasury Notes, 6.125%, due
7/31/00 2,849,250
2,425,000 U.S. Treasury Notes, 8.75%, due
8/15/00 2,612,176
3,150,000 U.S. Treasury Notes, 7.25%, due
8/15/04 3,230,719
2,800,000 U.S. Treasury Notes, 6.50%, due
8/15/05 2,727,371
3,025,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,558,156
</TABLE>
[LOGO]
See Notes to Financial Statements.
91
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PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,175,000 U.S. Treasury Bonds, 7.50%, due
11/15/16 $ 1,216,490
1,725,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 1,908,281
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $43,328,191)
41,635,599
--------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE (COST
$55,998,703) 54,241,371
--------------
INCOME EQUITY INVESTMENT STYLE (10.7%)
COMMON STOCKS (10.6%)
CHEMICALS & ALLIED PRODUCTS (0.6%)
18,700 E.I. du Pont de Nemours & Company 1,491,325
24,900 Morton International, Inc. 946,200
--------------
2,437,525
--------------
COMMUNICATIONS (0.7%)
25,200 AT&T Corporation(b) 1,571,850
27,400 GTE Corporation 1,171,350
--------------
2,743,200
--------------
DEPOSITORY INSTITUTIONS (0.6%)
17,000 First Bank System, Inc.(b) 1,026,375
14,200 J.P. Morgan & Company, Inc.(b) 1,233,625
--------------
2,260,000
--------------
EATING & DRINKING PLACES (0.2%)
17,400 McDonald's Corporation 837,375
--------------
ELECTRIC, GAS, & SANITARY SERVICES (0.9%)
18,700 Consolidated Natural Gas Company 904,612
9,400 FPL Group, Inc. 401,850
17,000 Pacific Gas and Electric Company(b) 395,250
21,000 Public Service Enterprise Group, Inc. 556,500
10,200 Texas Utilities Company 416,925
28,800 WMX Technologies, Inc. 1,015,200
--------------
3,690,337
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (0.9%)
11,500 Emerson Electric Company $ 984,687
15,800 General Electric Company 1,307,450
27,000 Honeywell, Inc. 1,370,250
--------------
3,662,387
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.3%)
18,800 Dun & Bradstreet Corporation 1,200,850
--------------
FOOD & KINDRED PRODUCTS (0.6%)
30,000 PepsiCo, Inc. 997,500
11,900 Procter & Gamble Company 1,045,712
9,000 Sara Lee Corporation 300,375
--------------
2,343,587
--------------
GENERAL MERCHANDISE STORES (0.6%)
8,700 Dayton Hudson Corporation 887,400
5,400 J.C. Penney Company, Inc. 280,125
13,700 May Department Stores Company 649,037
2,192 Payless ShoeSource, Inc.(a) 61,650
13,680 Sears Roebuck and Company 695,970
--------------
2,574,182
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.5%)
19,000 Hewlett-Packard Company 2,028,250
--------------
INSURANCE CARRIERS (0.2%)
18,000 American General Corporation 639,000
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.3%)
15,200 Eastman Kodak Company 1,130,500
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.6%)
21,000 American Express Company 960,750
15,600 Transamerica Corporation 1,263,600
--------------
2,224,350
--------------
OIL & GAS EXTRACTION (0.3%)
14,750 Schlumberger, Ltd. 1,229,781
--------------
PAPER & ALLIED PRODUCTS (0.3%)
18,000 Minnesota Mining & Manufacturing
Company 1,228,500
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
92
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PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (1.1%)
4,900 Atlantic Richfield Company $ 586,162
14,900 Chevron Corporation(b) 890,275
13,500 Exxon Corporation 1,144,125
7,400 Mobil Corporation 835,275
5,400 Royal Dutch Petroleum Company(b) 810,000
--------------
4,265,837
--------------
PHARMACEUTICAL PREPARATIONS (0.9%)
16,000 American Home Products Corporation 856,000
9,000 Johnson & Johnson 876,375
12,000 Merck & Company, Inc. 775,500
13,000 Pfizer, Inc. 919,750
--------------
3,427,625
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.2%)
27,400 Deluxe Corporation 993,250
--------------
TOBACCO PRODUCTS (0.5%)
17,400 American Brands, Inc. 761,250
12,500 Philip Morris Companies, Inc. 1,242,187
--------------
2,003,437
--------------
TRANSPORTATION EQUIPMENT (0.3%)
11,900 United Technologies Corporation 1,301,562
--------------
TOTAL COMMON STOCKS (COST $29,084,387) 42,221,535
--------------
REPURCHASE AGREEMENTS (0.1%)
347,589 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$347,744 (cost $347,589)(c) 347,589
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$29,431,976) 42,569,124
--------------
INDEX INVESTMENT STYLE (10.7%)
1,314,196 Index Portfolio of Core Trust
(Delaware)(l) 42,744,379
--------------
TOTAL INDEX INVESTMENT STYLE (COST $30,226,625) 42,744,379
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (10.8%)
COMMON STOCKS (10.5%)
AMUSEMENT & RECREATION SERVICES (0.2%)
12,700 The Walt Disney Company(b) $ 771,525
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.2%)
11,900 Cintas Corporation(b) 636,650
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.5%)
24,400 Home Depot, Inc. 1,247,451
19,900 Lowe's Companies, Inc.(b) 681,575
--------------
1,929,026
--------------
BUSINESS SERVICES (1.9%)
14,300 DST Systems, Inc.(a) 498,712
28,300 First Data Corporation(b) 2,256,925
18,400 Fiserv, Inc.(a) 577,300
19,500 General Motors Corporation, Class
E(b) 1,099,314
22,500 Microsoft Corporation(a) 2,671,875
11,500 Sungard Data Systems, Inc.(a) 434,125
--------------
7,538,251
--------------
COMMUNICATIONS (0.1%)
13,300 Airtouch Communications, Inc.(a) 423,938
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.5%)
28,400 Intel Corporation 2,144,200
63,700 Telefonaktiebolaget LM Ericsson,
Series B Sponsored ADR(b) 1,469,081
26,443 Molex, Inc., Class A 776,763
13,700 Motorola, Inc. 914,475
16,200 Solectron Corporation(a) 702,675
--------------
6,007,194
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.5%)
35,400 Medaphis Corporation(a) 1,336,350
15,075 Paychex, Inc. 663,300
--------------
1,999,650
--------------
FOOD & KINDRED PRODUCTS (0.4%)
36,700 The Coca-Cola Company(b) 1,688,200
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
93
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<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HEALTH SERVICES (0.5%)
24,600 Columbia HCA Healthcare
Corporation(b) $ 1,325,325
5,900 HBO & Company 736,762
--------------
2,062,087
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.6%)
25,800 Franklin Resources, Inc. 1,512,525
28,100 T. Rowe Price 786,800
--------------
2,299,325
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.7%)
23,200 Cisco Systems, Inc.(a)(b) 1,270,200
14,400 Hewlett-Packard Company 1,537,200
--------------
2,807,400
--------------
INSURANCE CARRIERS (0.5%)
21,200 American International Group, Inc. 1,998,101
--------------
MISCELLANEOUS RETAIL (0.7%)
38,300 Autozone, Inc.(a)(b) 1,345,287
19,450 Petsmart, Inc.(a)(b) 865,525
16,300 Viking Office Products, Inc.(a) 466,587
--------------
2,677,399
--------------
PHARMACEUTICAL PREPARATIONS (0.4%)
12,100 Amgen, Inc.(a) 719,950
15,900 Pfizer, Inc. 1,124,925
--------------
1,844,875
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.6%)
80,000 Charles Schwab Corporation(b) 1,940,000
13,400 Donaldson, Lufkin & Jenrette, Inc. 427,126
--------------
2,367,126
--------------
TOBACCO PRODUCTS (0.2%)
10,300 Philip Morris Companies, Inc. 1,023,562
--------------
WHOLESALE TRADE-DURABLE GOODS (0.2%)
17,300 Danka Business Systems, plc Sponsored
ADR(b) 856,350
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WHOLESALE TRADE-NONDURABLE GOODS (0.8%)
6,900 Alco Standard Corporation $ 431,250
19,500 Corporate Express, Inc.(a) 819,000
69,300 Office Depot, Inc.(a)(b) 1,775,812
--------------
3,026,062
--------------
TOTAL COMMON STOCKS (COST $29,736,210) 41,956,721
--------------
--------------
REPURCHASE AGREEMENTS (0.3%)
1,174,694 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,175,220 (cost $1,174,694) (c) 1,174,694
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$30,910,904) 43,131,415
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (4.3%)
494,970 Small Company Portfolio of Core Trust
(Delaware)(l) 17,111,736
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$14,215,391) 17,111,736
--------------
INTERNATIONAL INVESTMENT STYLE (6.6%)
1,086,349 International Portfolio II of Core
Trust (Delaware)(l) 26,333,004
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$23,010,049) 26,333,004
--------------
OTHER INVESTMENTS (0.3%)
REPURCHASE AGREEMENTS (0.3%)
996,176 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$996,622(c) 996,176
--------------
TOTAL OTHER INVESTMENTS (COST $996,176) 996,176
--------------
TOTAL INVESTMENTS MODERATE BALANCED FUND (100.0%)
(COST $356,864,359) $398,586,771
--------------
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
94
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<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
GROWTH BALANCED FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (10.9%)
ASSET BACKED SECURITIES (0.2%)
1,200,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 (cost $1,221,375) $ 1,183,318
--------------
COLLATERALIZED MORTGAGE OBLIGATION (1.4%)
816,431 CMC Securities Corporation II, Series
1993-2I A2, 7.134639%, due 9/25/23 822,719
1,010,805 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 1,006,691
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 887,337
900,000 Federal Home Loan Mortgage
Corporation, Series 1992-1374 B,
6.50%, due 6/15/15 888,075
247,321 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 247,369
1,600,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 1,564,496
893,876 Resolution Trust Corporation, Series
1992-4 A2, 7.65287% variable rate,
due 7/25/28 916,384
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 593,993
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$6,835,928) 6,927,064
--------------
CORPORATE BONDS & NOTES (3.4%)
850,000 Applied Materials, 7.00%, due 9/6/05 821,688
1,000,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,063,302
600,000 Charles Schwab Corporation, 6.25%,
due 01/23/03 562,629
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,068,617
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,100,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 $ 1,069,750
1,000,000 Citicorp, 9.50%, due 2/1/02 1,102,222
800,000 Citi Group Holdings, 6.15%, due
12/15/02 757,007
400,000 The Coca Cola Bottling Company,
6.85%, due 11/1/07 375,315
800,000 Continental Bank, N.A.(a BankAmerica
subsidiary), 11.25%, due 7/1/01 862,000
600,000 Corestates Capital Corporation,
5.875%, due 10/15/03 551,260
650,000 Dean Witter Discover, 6.25%, due
3/15/00 636,130
450,000 Federal Express Corporation, 6.25%,
due 4/15/98 446,247
1,100,000 Ford Motor Credit Corporation, 6.25%,
due 12/8/05 1,010,457
800,000 Heller Financial, 7.875%, due 11/1/99 823,000
500,000 International Lease Finance, 6.43%,
due 3/1/00 491,746
750,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 819,162
400,000 Norcen Energy Resources, 7.375%, due
5/15/6 392,137
1,000,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 991,450
559,000 Philips Electronics, 6.75%, due
8/15/03 538,282
500,000 Potomac Capital Investment
Corporation, 7.32%, due 4/14/00(d) 502,390
1,000,000 Reinsurance Group of America, 7.25%,
due 4/1/06(d) 970,000
600,000 Weatherford Enterra, 7.25%, due
5/15/6 589,518
--------------
TOTAL CORPORATE BONDS & NOTES (COST $16,582,164)
16,444,309
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.2%)
1,100,000 Federal National Mortgage
Association, 7.56528% inverse
floater, due 7/23/97(g) (cost
$1,034,462) 1,109,658
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
95
<PAGE>
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PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (0.4%)
792,284 Federal National Mortgage
Association, Pool 344689, 6.959%,
due 11/1/25 $ 807,030
1,000,000 Government National Mortgage
Association, 6.50%, due 8/16/17 958,059
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $1,839,304)
1,765,089
--------------
RECEIVABLES BACKED SECURITIES (0.2%)
750,000 First Merchants Auto Receivables
Corporation, Series 1996-A, A2,
6.70%, due 7/17/00(d) 745,437
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 493,036
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$1,249,360) 1,238,473
--------------
REPURCHASE AGREEMENTS (0.1%)
262,605 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$262,723 (cost $262,605)(c) 262,605
--------------
U.S. TREASURY OBLIGATIONS (4.9%)
6,000,000 U.S. Treasury Notes, 5.00%, due
1/31/98(b) 5,891,250
9,250,000 U.S. Treasury Notes, 5.00%, due
1/31/99(b) 8,940,690
6,000,000 U.S. Treasury Notes, 6.25%, due
8/31/00 5,917,500
3,000,000 U.S. Treasury Notes, 5.50%, due
12/31/00 2,867,809
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $23,894,103)
23,617,249
--------------
ZERO COUPON SECURITIES (0.1%)
800,000 Resolution Funding Corporation STRIP,
principal only, due 4/15/00(h)
(cost $548,630) 618,904
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$53,467,931) 53,166,669
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
POSITIVE RETURN INVESTMENT STYLE (11.5%)
ASSET BACKED SECURITIES (0.4%)
1,750,000 Premier Auto Trust, 5.5075% variable
rate, due 9/6/98 (cost $1,750,000) $ 1,751,328
--------------
CERTIFICATES OF DEPOSIT (0.9%)
2,250,000 Deutsche Bank, 5.62%, due 1/15/97 2,247,903
2,250,000 Rabobank, 5.43%, due 11/15/96 2,247,723
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $4,501,391)
4,495,626
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.5%)
2,500,000 Federal National Mortgage
Association, TBA, due 6/11/97 (cost
$2,499,010) 2,499,010
--------------
RECEIVABLES BACKED SECURITIES (2.1%)
2,600,000 Bombardier Receivables Master Trust
I, Series 1994-1 A, 5.63750%
variable rate, due 3/15/99 2,602,340
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,750,260
2,000,000 Chevy Chase Master Credit Card Trust,
5.62969% variable rate, due
10/15/99 2,003,898
769,190 IBM Credit Receivables Lease Asset
Master Trust, Series 1993-1 A,
4.55%, due 11/15/00 761,027
1,500,000 Peoples Bank Credit Card Master
Trust, Series 1994-2 A, 5.57969%
variable rate, due 3/15/01 1,502,264
1,750,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.58969% variable
rate, due 9/15/00 1,748,914
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$10,366,248) 10,368,703
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
96
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (3.4%)
16,396,231 BA Securities, Inc., 5.375%,
due 6/3/96, to be
repurchased at $16,403,575
(cost $16,396,231)(c) $16,396,231
-----------
U.S. TREASURY OBLIGATIONS (4.2%)
5,600,000 U.S. Treasury Bills, 5.46%
yield, due 1/9/97 5,422,379
14,600,000 U.S. Treasury Notes, 7.50%,
due 12/31/96 14,768,790
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$20,208,268) 20,191,169
-----------
TOTAL POSITIVE RETURN INVESTMENT STYLE
(COST $55,721,148) 55,702,067
-----------
TOTAL RETURN BOND INVESTMENT STYLE (10.9%)
GOVERNMENT AGENCY BONDS & NOTES (0.4%)
350,000 Federal Farm Credit, 5.69%,
due 11/12/97 346,966
525,000 Federal Home Loan Mortgage
Corporation, 6.45%, due
6/4/99 521,928
375,000 Federal National Mortgage
Association, 6.06%, due
10/2/97 373,854
400,000 Federal National Mortgage
Association, 5.375%, due
1/13/98 394,246
500,000 Federal National Mortgage
Association, 5.92%, due
4/3/98 495,332
-----------
TOTAL GOVERNMENT AGENCY BONDS & NOTES
(COST $2,150,854) 2,132,326
-----------
CORPORATE BONDS & NOTES (1.4%)
800,000 AMR Corporation, 7.47%, due
1/28/97 808,029
325,000 CIGNA Corporation, 8.00%, due
9/1/96 326,693
850,000 Chrysler Financial
Corporation, 8.125%, due
12/15/96 860,625
1,100,000 General Motors Acceptance
Corporation Medium Term
Note, 5.25%, due 11/15/96 1,097,708
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C> <C>
1,000,000 Houston Industries, Inc., 7.25%, due
12/1/96 $ 1,006,565
750,000 Limited, Inc., 8.875%, due 8/15/99 776,163
475,000 McDermott International, Inc., 7.94%,
due 6/25/97 481,531
300,000 National Rural Utilities Corporation,
9.64%, due 5/19/97 309,375
500,000 Salomon, Inc., 5.34%, due 12/17/96 497,432
475,000 USX Corporation, 8.875%, due 9/15/97 488,088
--------------
TOTAL CORPORATE BONDS & NOTES (COST $6,685,708)
6,652,209
--------------
REPURCHASE AGREEMENTS (0.3%)
1,358,342 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,358,951 (cost $1,358,342)(c) 1,358,342
--------------
U.S. TREASURY OBLIGATIONS (8.8%)
575,000 U.S. Treasury Notes, 7.375%, due
11/15/97 584,882
3,275,000 U.S. Treasury Notes, 8.875%, due
11/15/97 3,399,859
500,000 U.S. Treasury Notes, 7.875%, due
4/15/98 514,375
1,650,000 U.S. Treasury Notes, 8.25%, due
7/15/98 1,712,907
1,200,000 U.S. Treasury Notes, 5.875%, due
8/15/98 1,189,123
4,500,000 U.S. Treasury Notes, 8.875%, due
11/15/98 4,753,125
1,200,000 U.S. Treasury Notes, 8.50%, due
2/15/00 1,275,000
1,800,000 U.S. Treasury Notes, 7.125%, due
2/29/00 1,831,500
2,500,000 U.S. Treasury Notes, 6.875%, due
3/31/00 2,524,215
725,000 U.S. Treasury Notes, 8.875%, due
5/15/00 781,640
2,650,000 U.S. Treasury Notes, 6.25%, due
5/31/00 2,616,875
5,075,000 U.S. Treasury Notes, 6.125%, due
7/31/00 4,986,188
</TABLE>
[LOGO]
See Notes to Financial Statements.
97
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C> <C>
2,200,000 U.S. Treasury Notes, 8.75%, due
8/15/00 $ 2,369,809
2,450,000 U.S. Treasury Notes, 7.25%, due
8/15/04 2,512,781
2,500,000 U.S. Treasury Notes, 8.00%, due
5/15/01 2,639,062
3,150,000 U.S. Treasury Notes, 6.50%, due
8/15/05 3,068,293
200,000 U.S. Treasury Bonds, 8.75%, due
8/15/20 235,813
3,150,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,705,188
2,125,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 2,350,781
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $44,752,003)
43,051,416
--------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE (COST
$54,946,907) 53,194,293
--------------
INCOME EQUITY INVESTMENT STYLE (16.5%)
COMMON STOCKS (15.5%)
CHEMICALS & ALLIED PRODUCTS (0.8%)
28,700 E.I. du Pont de Nemours & Company 2,288,825
40,500 Morton International, Inc. 1,539,000
--------------
3,827,825
--------------
COMMUNICATIONS (0.9%)
40,000 AT&T Corporation(b) 2,495,000
41,300 GTE Corporation 1,765,575
--------------
4,260,575
--------------
DEPOSITORY INSTITUTIONS (0.7%)
28,500 First Bank System, Inc.(b) 1,720,687
21,300 J.P. Morgan & Company, Inc.(b) 1,850,437
--------------
3,571,124
--------------
EATING & DRINKING PLACES (0.3%)
26,900 McDonald's Corporation 1,294,562
--------------
ELECTRIC, GAS, & SANITARY SERVICES (1.4%)
31,500 Consolidated Natural Gas Company 1,523,812
13,500 FPL Group, Inc. 577,125
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS, & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C> <C>
32,900 Pacific Gas and Electric Company(b) $ 764,925
56,400 Public Service Enterprise Group,
Inc.(b) 1,494,600
19,300 Texas Utilities Company 788,887
44,200 WMX Technologies, Inc. 1,558,050
--------------
6,707,399
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.3%)
18,800 Emerson Electric Company 1,609,750
26,000 General Electric Company 2,151,500
49,600 Honeywell, Inc. 2,517,200
--------------
6,278,450
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.5%)
40,000 Dun & Bradstreet Corporation 2,555,000
--------------
FOOD & KINDRED PRODUCTS (1.1%)
53,800 PepsiCo, Inc. 1,788,850
21,600 Procter & Gamble Company 1,898,100
45,400 Sara Lee Corporation 1,515,225
--------------
5,202,175
--------------
GENERAL MERCHANDISE STORES (1.1%)
13,500 Dayton Hudson Corporation 1,377,000
19,400 J.C. Penney Company, Inc. 1,006,375
31,600 May Department Stores Company 1,497,050
5,056 Payless ShoeSource, Inc.(a) 142,200
21,500 Sears Roebuck and Company 1,093,812
--------------
5,116,437
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.7%)
32,000 Hewlett-Packard Company 3,416,000
--------------
INSURANCE CARRIERS (0.2%)
27,800 American General Corporation 986,900
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.3%)
22,400 Eastman Kodak Company 1,666,000
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.7%)
34,800 American Express Company 1,592,100
</TABLE>
[LOGO]
See Notes to Financial Statements.
98
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
NONDEPOSITORY CREDIT INSTITUTIONS (continued)
<TABLE>
<C> <S> <C> <C>
23,400 Transamerica Corporation $ 1,895,400
--------------
3,487,500
--------------
OIL & GAS EXTRACTION (0.4%)
23,900 Schlumberger, Ltd. 1,992,663
--------------
PAPER & ALLIED PRODUCTS (0.5%)
38,200 Minnesota Mining & Manufacturing
Company 2,607,150
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.7%)
15,000 Atlantic Richfield Company(b) 1,794,377
35,200 Chevron Corporation(b) 2,103,200
21,200 Exxon Corporation 1,796,700
11,700 Mobil Corporation 1,320,639
8,650 Royal Dutch Petroleum Company(b) 1,297,500
--------------
8,312,416
--------------
PHARMACEUTICAL PREPARATIONS (1.3%)
36,400 American Home Products Corporation 1,947,400
15,800 Johnson & Johnson 1,538,525
20,100 Merck & Company, Inc. 1,298,963
21,600 Pfizer, Inc. 1,528,200
--------------
6,313,088
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.4%)
43,100 Deluxe Corporation 1,562,375
--------------
TOBACCO PRODUCTS (0.8%)
40,000 American Brands, Inc. 1,750,000
22,600 Philip Morris Companies, Inc. 2,245,875
--------------
3,995,875
--------------
TRANSPORTATION EQUIPMENT (0.4%)
18,900 United Technologies Corporation 2,067,188
--------------
TOTAL COMMON STOCKS (COST $53,660,362) 75,220,702
--------------
REPURCHASE AGREEMENTS (1.0%)
4,726,646 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$4,728,763 (cost $4,726,646)(c) 4,726,646
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$58,387,008) 79,947,348
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
INDEX INVESTMENT STYLE (16.6%)
2,475,769 Index Portfolio of Core Trust
(Delaware)(m) $ 80,524,635
--------------
TOTAL INDEX INVESTMENT STYLE (COST $60,178,974) 80,524,635
--------------
LARGE COMPANY GROWTH INVESTMENT STYLE (16.7%)
COMMON STOCKS (16.3%)
AMUSEMENT & RECREATION SERVICES (0.3%)
23,700 The Walt Disney Company(b) 1,439,775
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.2%)
22,400 Cintas Corporation(b) 1,198,400
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.8%)
46,200 Home Depot, Inc. 2,361,975
39,000 Lowe's Companies, Inc.(b) 1,335,750
--------------
3,697,725
--------------
BUSINESS SERVICES (2.8%)
26,200 DST Systems, Inc.(a) 913,725
53,100 First Data Corporation(b) 4,234,725
30,700 Fiserv, Inc.(a) 963,212
38,900 General Motors Corporation, Class E 2,192,987
39,900 Microsoft Corporation(a) 4,738,125
20,400 Sungard Data Systems, Inc.(a) 770,100
--------------
13,812,874
--------------
COMMUNICATIONS (0.1%)
22,400 Airtouch Communications, Inc.(a) 714,000
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (2.4%)
55,800 Intel Corporation 4,212,900
125,700 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) 2,898,957
50,731 Molex Inc., Class A 1,490,223
26,000 Motorola, Inc. 1,735,500
28,900 Solectron Corporation(a)(b) 1,253,537
--------------
11,591,117
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.8%)
64,800 Medaphis Corporation(a) 2,446,200
</TABLE>
[LOGO]
See Notes to Financial Statements.
99
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES (continued)
<TABLE>
<C> <S> <C> <C>
29,400 Paychex, Inc. $ 1,293,600
--------------
3,739,800
--------------
FOOD & KINDRED PRODUCTS (0.6%)
67,400 The Coca-Cola Company(b) 3,100,400
--------------
HEALTH SERVICES (0.9%)
47,400 Columbia HCA Healthcare
Corporation(b) 2,553,675
13,100 HBO & Company 1,635,863
--------------
4,189,538
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.9%)
49,700 Franklin Resources, Inc. 2,913,663
58,600 T. Rowe Price 1,640,800
--------------
4,554,463
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.2%)
47,200 Cisco Systems, Inc.(a)(b) 2,584,200
29,000 Hewlett-Packard Company 3,095,750
--------------
5,679,950
--------------
INSURANCE CARRIERS (0.8%)
39,500 American International Group, Inc. 3,722,875
--------------
MISCELLANEOUS RETAIL (1.0%)
63,400 Autozone, Inc.(a) 2,226,925
40,500 Petsmart, Inc.(a)(b) 1,802,250
35,600 Viking Office Products, Inc.(a) 1,019,050
--------------
5,048,225
--------------
PHARMACEUTICAL PREPARATIONS (0.7%)
22,600 Amgen, Inc.(a) 1,344,700
28,500 Pfizer, Inc. 2,016,375
--------------
3,361,075
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.9%)
145,700 Charles Schwab Corporation 3,533,225
24,600 Donaldson, Lufkin & Jenrette, Inc. 784,125
--------------
4,317,350
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
TOBACCO PRODUCTS (0.4%)
19,100 Philip Morris Companies, Inc. $ 1,898,062
--------------
WHOLESALE TRADE-DURABLE GOODS (0.3%)
33,200 Danka Business Systems, plc Sponsored
ADR(b) 1,643,400
--------------
WHOLESALE TRADE-NONDURABLE GOODS (1.2%)
12,200 Alco Standard Corporation 762,500
36,100 Corporate Express, Inc.(a) 1,516,200
132,900 Office Depot, Inc.(a)(b) 3,405,566
--------------
5,684,266
--------------
TOTAL COMMON STOCKS (COST $57,648,317) 79,393,295
--------------
REPURCHASE AGREEMENTS (0.4%)
1,723,303 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,724,075 (cost $1,723,303)(c) 1,723,303
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$59,371,620) 81,116,598
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (6.6%)
932,535 Small Company Portfolio of Core Trust
(Delaware)(m) 32,238,810
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$27,318,664) 32,238,810
--------------
INTERNATIONAL INVESTMENT STYLE (10.1%)
2,015,672 International Portfolio II of Core
Trust (Delaware)(i) 48,859,700
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$43,263,967) 48,859,700
--------------
OTHER INVESTMENTS (0.2%)
REPURCHASE AGREEMENTS (0.2%)
1,209,821 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,210,363(c) 1,209,821
--------------
TOTAL OTHER INVESTMENTS (COST $1,209,821) 1,209,821
--------------
TOTAL INVESTMENTS GROWTH BALANCED FUND (100.0%)
(COST $413,866,040) $485,959,941
--------------
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
100
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY FUND
- ----------------------------------------------------
COMMON STOCKS (94.9%)
CHEMICALS & ALLIED PRODUCTS (5.0%)
97,000 E.I. du Pont de Nemours & Company(b) $ 7,735,750
162,500 Morton International, Inc. 6,175,000
-------------
13,910,750
-------------
COMMUNICATIONS (5.9%)
162,500 AT&T Corporation(b) 10,135,937
149,000 GTE Corporation 6,369,750
-------------
16,505,687
-------------
DEPOSITORY INSTITUTIONS (4.6%)
89,200 First Bank System, Inc.(b) 5,385,450
86,500 J.P. Morgan & Company, Inc.(b) 7,514,687
-------------
12,900,137
-------------
EATING & DRINKING PLACES (1.3%)
74,700 McDonald's Corporation 3,594,937
-------------
ELECTRIC, GAS, & SANITARY SERVICES (8.7%)
105,900 Consolidated Natural Gas Company 5,122,912
45,500 FPL Group, Inc. 1,945,125
125,000 Pacific Gas & Electric Company(b) 2,906,250
144,000 Public Service Enterprise Group, Inc. 3,816,000
67,600 Texas Utilities Company(b) 2,763,150
216,000 WMX Technologies, Inc. 7,614,000
-------------
24,167,437
-------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (6.7%)
48,500 Emerson Electric Company(b) 4,152,812
79,300 General Electric Company 6,562,075
158,500 Honeywell, Inc. 8,043,875
-------------
18,758,762
-------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(3.4%)
147,000 Dun & Bradstreet Corporation 9,389,625
-------------
FOOD & KINDRED PRODUCTS (6.6%)
176,000 PepsiCo, Inc. 5,852,000
73,000 Procter & Gamble Company 6,414,876
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
182,000 Sara Lee Corporation(b) $ 6,074,250
-------------
18,341,126
-------------
GENERAL MERCHANDISE STORES (5.7%)
40,800 Dayton Hudson Corporation 4,161,600
84,200 J.C. Penney Company, Inc. 4,367,875
88,400 May Department Stores Company 4,187,951
13,824 Payless ShoeSource, Inc.(a) 388,800
56,900 Sears Roebuck and Company(b) 2,894,787
-------------
16,001,013
-------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (4.2%)
108,500 Hewlett-Packard Company 11,582,375
-------------
INSURANCE CARRIERS (2.1%)
19,467 Allstate Corporation 822,480
144,000 American General Corporation(b) 5,112,000
-------------
5,934,480
-------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.7%)
100,200 Eastman Kodak Company 7,452,375
-------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.2%)
113,800 American Express Company 5,206,350
79,100 Transamerica Corporation 6,407,100
-------------
11,613,450
-------------
OIL & GAS EXTRACTION (2.6%)
85,400 Schlumberger, Ltd. 7,120,225
-------------
PAPER & ALLIED PRODUCTS (3.0%)
124,000 Minnesota Mining & Manufacturing
Company(b) 8,463,000
-------------
PETROLEUM REFINING & RELATED INDUSTRIES (10.3%)
58,000 Atlantic Richfield Company 6,938,251
119,900 Chevron Corporation(b) 7,164,025
69,100 Exxon Corporation 5,856,225
39,000 Mobil Corporation 4,402,125
28,700 Royal Dutch Petroleum Company(b) 4,305,000
-------------
28,665,626
-------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
101
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
PHARMACEUTICAL PREPARATIONS (7.7%)
111,000 American Home Products Corporation $ 5,938,500
60,000 Johnson & Johnson 5,842,501
69,500 Merck & Company, Inc. 4,491,438
74,200 Pfizer, Inc. 5,249,650
--------------
21,522,089
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.7%)
129,400 Deluxe Corporation 4,690,750
--------------
TOBACCO PRODUCTS (5.4%)
179,500 American Brands, Inc. 7,853,125
70,500 Philip Morris Companies, Inc. 7,005,937
--------------
14,859,062
--------------
TRANSPORTATION EQUIPMENT (3.1%)
78,100 United Technologies Corporation 8,542,187
--------------
TOTAL COMMON STOCKS (COST $208,646,547) 264,015,093
--------------
REPURCHASE AGREEMENTS (2.8%)
7,898,028 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$7,901,566 (cost $7,898,028)(c) 7,898,028
--------------
SHORT-TERM HOLDINGS (2.3%)
3,169,692 Dreyfus Cash Management Fund 3,169,692
3,271,496 Institutional Funds Group TempFund
Fund 3,271,496
--------------
TOTAL SHORT-TERM HOLDINGS (COST $6,441,188) 6,441,188
--------------
TOTAL INVESTMENTS INCOME EQUITY FUND (100.0%)
(COST $222,985,763) $278,354,309
--------------
--------------
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (98.7%)
AMUSEMENT & RECREATION SERVICES (1.6%)
47,900 The Walt Disney Company(b) 2,909,925
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY,
& MOBILE HOME DEALERS (2.2%)
38,100 Home Depot, Inc. 1,947,863
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY,
& MOBILE HOME DEALERS (continued)
<TABLE>
<C> <S> <C>
56,400 Lowe's Companies, Inc.(b) $ 1,931,700
--------------
3,879,563
--------------
BUSINESS SERVICES (6.7%)
28,400 Cabletron Systems, Inc.(a) 2,066,100
43,600 First Data Corporation 3,477,100
59,100 General Motors Corporation, Class E 3,331,762
26,000 Microsoft Corporation(a) 3,087,500
--------------
11,962,462
--------------
CHEMICALS & ALLIED PRODUCTS (7.3%)
32,700 E.I. du Pont de Nemours & Company 2,607,825
42,700 Great Lakes Chemical Corporation(b) 2,754,150
59,600 Hercules, Inc. 3,382,300
49,400 Morton International, Inc. 1,877,200
73,500 Witco Corporation 2,342,812
--------------
12,964,287
--------------
DEPOSITORY INSTITUTIONS (3.9%)
58,500 First Bank System, Inc.(b) 3,531,937
64,300 State Street Boston Corporation 3,351,638
--------------
6,883,575
--------------
ELECTRIC, GAS, & SANITARY SERVICES (7.2%)
81,700 American Electric Power Company 3,278,212
72,100 Consolidated Natural Gas Company 3,487,837
115,800 DPL, Inc. 2,605,500
83,600 Texas Utilities Company 3,417,150
--------------
12,788,699
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT &
COMPONENTS, EXCEPT COMPUTER EQUIPMENT (12.1%)
84,000 Duracell International, Inc.(b) 3,916,500
35,700 Emerson Electric Company 3,056,813
43,500 General Electric Company 3,599,626
70,800 Honeywell, Inc. 3,593,100
41,700 Intel Corporation 3,148,350
</TABLE>
[LOGO]
See Notes to Financial Statements.
102
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT &
COMPONENTS, EXCEPT COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
83,000 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) $ 1,914,187
32,500 Motorola, Inc. 2,169,375
--------------
21,397,951
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (4.1%)
74,600 Crown Cork & Seal Company, Inc.(b) 3,487,550
64,000 Gillette Company 3,784,000
--------------
7,271,550
--------------
FOOD STORES (1.9%)
86,200 Albertson's, Inc.(b) 3,437,225
--------------
FOOD & KINDRED PRODUCTS (5.8%)
104,200 PepsiCo, Inc.(b) 3,464,650
41,800 Procter & Gamble Company(b) 3,673,175
68,800 The Coca-Cola Company 3,164,800
--------------
10,302,625
--------------
GENERAL MERCHANDISE STORES (2.2%)
73,500 May Department Stores Company 3,482,062
11,760 Payless ShoeSource, Inc.(a) 330,750
--------------
3,812,812
--------------
HEALTH SERVICES (4.2%)
65,516 Columbia HCA Healthcare
Corporation(b) 3,529,674
124,700 Vencor, Inc.(a) 3,943,638
--------------
7,473,312
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.9%)
57,900 Franklin Resources, Inc. 3,394,387
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (8.2%)
87,800 Black & Decker Corporation(b) 3,610,775
85,700 EMC Corporation(a) 1,896,112
27,500 Hewlett-Packard Company 2,935,625
93,000 Silicon Graphics, Inc.(a) 2,557,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
68,000 York International Corporation $ 3,595,500
--------------
14,595,512
--------------
INSURANCE CARRIERS (6.3%)
43,450 American International Group, Inc. 4,095,162
75,600 Chubb Corporation 3,524,850
64,300 SunAmerica, Inc.(b) 3,600,800
--------------
11,220,812
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (4.2%)
57,000 Thermo Electron Corporation(b) 3,633,750
24,700 Xerox Corporation 3,887,163
--------------
7,520,913
--------------
OIL & GAS EXTRACTION (1.7%)
36,600 Schlumberger, Ltd. 3,051,525
--------------
PAPER & ALLIED PRODUCTS (1.9%)
124,200 Sonoco Products Company(b) 3,399,976
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (5.7%)
31,000 Mobil Corporation 3,499,126
91,500 Repsol, S.A. ADR(b) 3,111,000
23,785 Royal Dutch Petroleum Company(b) 3,567,750
--------------
10,177,876
--------------
PHARMACEUTICAL PREPARATIONS (4.0%)
69,400 American Home Products Corporation 3,712,900
29,200 IVAX Corporation(b) 803,000
131,200 Mylan Laboratories(b) 2,492,800
--------------
7,008,700
--------------
RAILROAD TRANSPORTATION (1.8%)
44,500 Conrail, Inc. 3,126,125
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (1.9%)
109,400 Newell Company(b) 3,282,000
--------------
WHOLESALE TRADE-NONDURABLE GOODS (1.9%)
54,800 Alco Standard Corporation(b) 3,425,000
--------------
TOTAL COMMON STOCKS (COST $128,466,914) 175,286,812
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
103
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
SHORT-TERM HOLDINGS (1.3%)
1,140,923 Dreyfus Cash Management Fund $ 1,140,923
1,135,256 Institutional Funds Group TempFund
Fund 1,135,256
--------------
TOTAL SHORT-TERM HOLDINGS (COST $2,276,179) 2,276,179
--------------
TOTAL INVESTMENTS VALUGROWTHSM STOCK FUND (100.0%)
(COST $130,743,093) $177,562,991
--------------
--------------
- ----------------------------------------------------
INDEX FUND
- ----------------------------------------------------
COMMON STOCKS (88.5%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
3,600 Pioneer Hi-Bred International, Inc. 203,400
--------------
AMUSEMENT & RECREATION SERVICES (0.8%)
4,500 Harrah's Entertainment, Inc.(a) 151,312
29,500 The Walt Disney Company 1,792,125
--------------
1,943,437
--------------
APPAREL & ACCESSORY STORES (0.5%)
4,500 Charming Shoppes, Inc. 36,000
12,600 Gap, Inc. 423,675
4,600 Melville Corporation 186,875
3,500 Nordstrom, Inc. 178,500
3,200 TJX Companies, Inc. 112,800
11,900 The Limited, Inc. 246,925
--------------
1,184,775
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
3,200 Liz Claiborne, Inc. 118,800
2,800 V.F. Corporation 170,450
--------------
289,250
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.0%)
2,700 Pep Boys-Manny, Moe & Jack 89,100
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.0%)
1,200 Centex Corporation 36,150
1,400 Kaufman & Broad Home Corporation 20,825
1,200 Pulte Corporation 33,600
--------------
90,575
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.5%)
20,766 Home Depot, Inc. $ 1,061,661
7,000 Lowe's Companies, Inc. 239,750
--------------
1,301,411
--------------
BUSINESS SERVICES (3.5%)
7,200 3Com Corporation(a) 354,600
2,000 Autodesk, Inc. 69,500
12,700 Automatic Data Processing, Inc. 487,362
8,000 C.U.C. International, Inc.(a) 296,000
3,100 Cabletron Systems, Inc.(a) 225,525
2,900 Ceridian Corporation(a) 153,337
10,600 Computer Associates International,
Inc. 771,150
2,400 Computer Sciences Corporation(a) 189,300
9,700 First Data Corporation 773,575
3,400 Interpublic Group of Companies, Inc. 157,675
25,900 Microsoft Corporation(a) 3,075,625
16,000 Novell, Inc.(a) 228,000
2,100 Ogden Corporation 40,687
28,500 Oracle Systems Corporation(a) 944,062
2,500 Safety Kleen Corporation 41,562
1,000 Shared Medical Systems Corporation 66,875
8,000 Sun Microsystems, Inc.(a) 501,000
8,400 UST, Inc. 277,200
--------------
8,653,035
--------------
CHEMICALS & ALLIED PRODUCTS (6.7%)
34,500 Abbott Laboratories 1,487,812
4,900 Air Products & Chemicals, Inc. 291,550
1,200 Alberto Culver Company 47,550
2,800 Allergan, Inc. 107,800
3,600 Alza Corporation(a) 102,600
3,000 Avon Products, Inc. 277,500
11,800 Baxter International, Inc. 522,150
22,000 Bristol-Myers Squibb Company 1,878,250
2,300 Clorox Company 195,787
6,400 Colgate-Palmolive Company 504,000
4,100 Dial Corporation 117,875
11,450 Dow Chemical Company 957,506
24,200 E.I. du Pont de Nemours & Company 1,929,950
</TABLE>
[LOGO]
See Notes to Financial Statements.
104
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
3,500 Eastman Chemical Company $ 234,500
2,800 Ecolab, Inc. 91,000
24,100 Eli Lilly & Company 1,548,425
1,600 FMC Corporation(a) 107,600
2,200 Goodrich (B.F.) Company 87,175
2,800 Great Lakes Chemical Corporation 180,600
4,800 Hercules, Inc. 272,400
4,800 International Flavors & Fragrances,
Inc. 233,400
3,200 Mallinckrodt Group, Inc. 120,400
5,100 Monsanto Company 774,562
6,400 Morton International, Inc. 243,200
2,900 Nalco Chemical Company 92,075
8,400 PPG Industries, Inc. 434,700
22,000 Pharmacia & Upjohn, Inc. 899,250
6,100 Praxair, Inc. 247,812
2,900 Rohm & Haas Company 196,475
15,900 Schering-Plough Corporation 932,137
3,700 Sherwin-Williams Company 166,037
6,000 Union Carbide Corporation 258,750
4,200 W.R. Grace & Company 312,900
11,800 Warner-Lambert Company 660,800
--------------
16,514,528
--------------
COMMUNICATIONS (7.6%)
5,066 360 Communications Company(a) 117,151
69,700 AT&T Corporation 4,347,537
21,600 Airtouch Communications, Inc.(a) 688,500
8,300 Alltel Corporation 261,450
24,200 Ameritech Corporation 1,367,300
19,100 Bell Atlantic Corporation 1,191,362
43,400 BellSouth Corporation 1,763,125
10,500 Comcast Corporation, Class A 182,437
42,300 GTE Corporation 1,808,325
1,600 King World Productions, Inc.(a) 66,800
29,700 MCI Communications Corporation 865,012
18,800 NYNEX Corporation 867,150
18,700 Pacific Telesis Group 624,112
26,600 SBC Communications, Inc. 1,313,375
18,700 Sprint Corporation 792,412
28,500 Tele-Communications, Inc.(a) 537,937
20,500 US West Communications Group 668,812
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
COMMUNICATIONS (continued)
<TABLE>
<C> <S> <C>
20,600 US West Media Group(a) $ 388,825
16,105 Viacom, Inc., Class B(a) 682,449
8,300 WorldCom, Inc.(a) 405,662
--------------
18,939,733
--------------
DEPOSITORY INSTITUTIONS (6.4%)
19,790 Banc One Corporation 732,230
4,900 Bank of Boston Corporation 244,387
8,700 Bank of New York Company, Inc. 451,312
16,100 BankAmerica Corporation 1,211,525
3,400 Bankers Trust New York Corporation 255,425
4,100 Barnett Banks, Inc. 256,250
6,900 Boatmen's Bancshares, Inc. 279,018
19,016 Chase Manhattan Corporation 1,331,120
21,200 Citicorp 1,780,800
5,200 Comerica, Inc. 227,500
6,100 Corestates Financial Corporation 240,187
4,400 Fifth Third Bancorp 239,800
6,400 First Bank System, Inc. 386,400
14,000 First Chicago NBD Corporation 610,750
12,415 First Union Corporation 758,866
11,600 Fleet Financial Group, Inc. 511,850
2,600 Golden West Financial Corporation 142,675
6,000 Great Western Financial Corporation 138,000
5,100 H.F. Ahmanson & Company 131,325
8,200 J.P. Morgan & Company, Inc. 712,375
10,300 KeyCorp 399,125
5,800 Mellon Bank Corporation 331,325
9,500 National City Corporation 338,437
12,900 NationsBank Corporation 1,046,512
15,400 Norwest Corporation(f) 537,075
14,900 PNC Bank Corporation 452,587
2,500 Republic New York Corporation 158,125
9,800 Suntrust Banks, Inc. 357,700
6,600 U.S. Bancorp 235,125
7,400 Wachovia Corporation 317,275
4,200 Wells Fargo & Company 1,012,200
--------------
15,827,281
--------------
EATING & DRINKING PLACES (0.8%)
6,900 Darden Restaurants, Inc. 81,937
</TABLE>
[LOGO]
See Notes to Financial Statements.
105
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
EATING & DRINKING PLACES (continued)
<TABLE>
<C> <S> <C>
1,000 Luby's Cafeterias, Inc. $ 24,625
5,500 Marriott International, Inc. 261,250
30,400 McDonald's Corporation 1,463,000
2,300 Ryan's Family Steak Houses, Inc.(a) 20,412
1,800 Shoney's, Inc.(a) 22,050
5,200 Wendy's International, Inc. 93,600
--------------
1,966,874
--------------
ELECTRIC, GAS, & SANITARY SERVICES (3.9%)
8,100 American Electric Power Company 325,012
6,400 Baltimore Gas & Electric Company 175,200
9,300 Browning-Ferris Industries 283,650
6,882 CINergy Corporation 203,879
6,700 Carolina Power & Light Company 242,037
9,000 Central & Southwest Corporation 248,625
4,600 Coastal Corporation 188,600
2,100 Columbia Gas System, Inc. 102,637
10,200 Consolidated Edison Company of New
York, Inc. 284,325
4,100 Consolidated Natural Gas Company 198,337
6,300 DTE Energy Company 184,275
7,700 Dominion Resources, Inc. 291,637
8,900 Duke Power Company 429,425
3,000 ENSERCH Corporation 64,875
900 Eastern Enterprises 30,712
19,400 Edison International 320,100
11,000 Enron Corporation 440,000
9,900 Entergy Corporation 259,875
8,100 FPL Group, Inc. 346,275
5,200 General Public Utilities Corporation 174,200
11,500 Houston Industries, Inc. 251,562
12,800 Laidlaw, Inc., Class B 129,600
6,300 Niagara Mohawk Power Corporation 48,037
2,200 Nicor, Inc. 61,050
5,400 NorAm Energy Corporation 57,375
3,000 Northern States Power Company 141,000
6,700 Ohio Edison Company 146,562
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS, & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
1,200 Oneok, Inc. $ 32,700
6,900 PP&L Resources, Inc. 157,837
12,800 PacifiCorp 257,600
3,700 Pacific Enterprises 97,587
18,300 Pacific Gas & Electric Company 425,475
6,465 Panenergy Corporation 207,688
9,700 Peco Energy Company 238,862
1,500 People's Energy Corporation 48,000
10,700 Public Service Enterprise Group, Inc. 283,550
3,800 Sonat, Inc. 161,025
29,100 Southern Company 672,937
9,900 Texas Utilities Company 404,662
4,500 Union Electric Company 177,187
21,200 WMX Technologies, Inc. 747,300
4,400 Williams Companies, Inc. 221,100
--------------
9,762,372
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (6.3%)
9,500 AMP, Inc. 400,187
5,700 Advanced Micro Devices, Inc.(a) 100,462
2,550 Andrew Corporation(a) 138,337
4,700 Cooper Industries, Inc. 200,337
5,000 DSC Communications Corporation(a) 150,625
9,800 Emerson Electric Company 839,125
72,900 General Electric Company 6,032,477
5,300 General Instrument Corporation(a) 163,638
1,700 Harris Corporation 109,862
5,500 Honeywell, Inc. 279,125
5,200 ITT Corporation(a) 319,800
35,800 Intel Corporation 2,702,900
5,600 LSI Logic Corporation(a) 174,300
4,700 Maytag Corporation 101,050
9,000 Micron Technology, Inc. 290,250
25,800 Motorola, Inc. 1,722,150
5,900 National Semiconductor Corporation(a) 95,877
2,100 National Service Industries 81,638
11,100 Northern Telecom, Ltd. 602,175
1,900 Raychem Corporation 142,025
3,300 Scientific-Atlanta, Inc. 62,287
3,900 Tellabs, Inc.(a) 251,550
</TABLE>
[LOGO]
See Notes to Financial Statements.
106
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
8,200 Texas Instruments, Inc. $ 461,250
1,800 Thomas & Betts Corporation 69,300
3,200 Whirlpool Corporation 182,000
--------------
15,672,727
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.2%)
7,400 Dun & Bradstreet Corporation 472,675
2,100 EG&G, Inc. 45,675
--------------
518,350
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.7%)
1,300 Ball Corporation 35,912
1,300 Crane Company 54,762
5,500 Crown Cork & Seal Company, Inc. 257,125
19,360 Gillette Company 1,144,660
3,200 Parker-Hannifin Corporation 130,400
1,800 Snap-On, Inc. 86,625
1,900 Stanley Works 115,187
--------------
1,824,671
--------------
FOOD STORES (0.5%)
11,000 Albertson's, Inc. 438,625
6,400 American Stores Company 239,200
2,600 Giant Food, Inc., Class A 89,700
1,700 Great Atlantic & Pacific Tea Company 58,225
5,400 Kroger Company(a) 211,950
6,700 Winn-Dixie Stores, Inc. 231,150
--------------
1,268,850
--------------
FOOD & KINDRED PRODUCTS (7.2%)
1,700 Adolph Coors Company 31,875
11,100 Anheuser-Busch Companies, Inc. 790,875
22,677 Archer Daniels Midland Company 442,201
3,000 Brown-Forman Corporation 121,875
6,400 CPC International, Inc. 442,400
10,900 Campbell Soup Company 703,050
10,775 Conagra, Inc. 459,284
6,900 General Mills, Inc. 395,887
16,100 Heinz (H.J.) Company 535,325
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
3,400 Hershey Foods Corporation $ 247,350
9,500 Kellogg Company 691,125
68,800 PepsiCo, Inc. 2,287,600
29,874 Procter & Gamble Company 2,625,177
5,900 Quaker Oats Company 207,237
4,600 Ralston-Ralston Purina Group 281,750
21,100 Sara Lee Corporation 704,212
16,300 Seagram Company, Ltd. 564,387
109,400 The Coca-Cola Company 5,032,400
7,000 Unilever N.V. 944,125
4,600 Whitman Corporation 115,575
5,100 Wrigley (Wm) Jr. Company 267,112
--------------
17,890,822
--------------
FURNITURE & FIXTURES (0.1%)
7,000 Masco Corporation 218,750
--------------
GENERAL MERCHANDISE STORES (2.5%)
3,100 Dayton Hudson Corporation 316,200
4,900 Dillard Department Stores, Inc. 196,000
8,800 Federated Department Stores, Inc.(a) 304,700
3,200 Harcourt General, Inc. 162,400
9,800 J.C. Penney Company, Inc. 508,375
20,000 KMart Corporation 232,500
10,900 May Department Stores Company 516,387
1,600 Mercantile Stores Company, Inc. 103,200
1,744 Payless ShoeSource, Inc.(a) 49,050
8,505 Price/Costco, Inc.(a) 170,100
17,000 Sears Roebuck and Company 864,875
100,100 Wal-Mart Stores, Inc. 2,590,087
5,800 Woolworth Corporation(a) 118,900
--------------
6,132,774
--------------
HEALTH SERVICES (0.6%)
4,300 Beverly Enterprises, Inc.(a) 52,675
19,400 Columbia HCA Healthcare Corporation 1,045,175
1,900 Community Psychiatric Centers(a) 18,050
2,700 Manor Care, Inc. 105,300
9,100 Tenet Healthcare Corporation(a) 195,650
--------------
1,416,850
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
107
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS
(0.2%)
3,600 Fluor Corporation $ 234,900
1,700 Foster Wheeler Corporation 75,650
5,000 Halliburton Company 278,125
--------------
588,675
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.1%)
4,200 Circuit City Stores 137,025
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (0.1%)
2,100 Bally Entertainment Corporation(a) 50,400
2,100 Hilton Hotels Corporation 226,275
--------------
276,675
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (5.3%)
5,200 Amdahl Corporation(a) 61,100
5,400 Apple Computer, Inc. 141,075
7,800 Applied Materials, Inc.(a) 290,550
6,200 Baker Hughes, Inc. 194,525
8,000 Bay Networks, Inc.(a) 232,000
3,800 Black & Decker Corporation 156,275
1,300 Briggs & Stratton Corporation 55,900
4,200 Brunswick Corporation 93,975
3,100 Case Corporation 155,387
8,600 Caterpillar, Inc. 564,375
1,500 Cincinnati Milacron, Inc. 36,000
24,100 Cisco Systems, Inc.(a) 1,319,475
11,600 Compaq Computer Corporation(a) 564,050
1,100 Cray Research, Inc.(a) 30,112
1,700 Cummins Engine Company, Inc. 72,250
1,700 Data General Corporation(a) 21,675
11,500 Deere & Company 478,687
6,700 Digital Equipment Corporation(a) 349,237
5,000 Dover Corporation 237,500
7,900 Dresser Industries, Inc. 231,075
9,800 EMC Corporation(a) 216,825
2,100 General Signal Corporation 80,325
1,500 Giddings & Lewis, Inc. 24,937
2,000 Harnischfeger Industries, Inc. 70,000
22,200 Hewlett-Packard Company 2,369,850
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
4,800 Ingersoll-Rand Company $ 202,200
2,000 Intergraph Corporation(a) 26,250
24,800 International Business Machines
Corporation 2,647,400
2,400 McDermott International, Inc. 52,200
900 Outboard Marine Corporation 17,437
5,000 Pall Corporation 133,750
6,600 Pitney Bowes, Inc. 327,525
7,100 Silicon Graphics, Inc.(a) 195,250
5,100 Tandem Computers, Inc.(a) 63,750
2,800 Tandy Corporation 151,200
7,600 Tenneco, Inc. 408,500
1,400 Timken Company 55,125
1,300 Trinova Corporation 42,900
6,700 Tyco International, Ltd. 264,650
7,500 Unisys Corporation(a) 60,937
1,800 Varity Corporation(a) 88,425
18,100 Westinghouse Electric Corporation 332,587
--------------
13,117,246
--------------
INSURANCE AGENTS, BROKERS, & SERVICE (0.3%)
1,900 Alexander & Alexander Services, Inc. 37,762
4,800 Aon Corporation 241,800
7,100 Humana, Inc.(a) 156,200
3,200 Marsh & McLennan Companies, Inc. 299,600
--------------
735,362
--------------
INSURANCE CARRIERS (3.4%)
5,000 Aetna Life & Casualty Company 368,750
19,500 Allstate Corporation 823,875
8,900 American General Corporation 315,950
20,693 American International Group, Inc. 1,950,315
3,300 CIGNA Corporation 379,087
7,600 Chubb Corporation 354,350
3,600 General Re Corporation 525,600
5,200 ITT Hartford Group, Inc. 269,100
3,100 Jefferson-Pilot Corporation 159,262
4,500 Lincoln National Corporation 211,500
5,100 Loews Corporation 406,725
4,200 Providian Corporation 183,225
</TABLE>
[LOGO]
See Notes to Financial Statements.
108
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
5,500 Safeco Corporation $ 185,281
3,700 St. Paul Companies, Inc. 195,637
3,150 Torchmark Corporation 134,268
20,700 Travelers Group, Inc. 859,050
6,700 U.S. Healthcare, Inc. 363,475
1,500 US Life Corporation 45,000
4,900 USF&G Corporation 78,400
7,600 United Healthcare Corporation 417,050
3,200 Unum Corporation 188,800
--------------
8,414,700
--------------
LEATHER & LEATHER PRODUCTS (0.0%)
800 Brown Group, Inc. 13,600
2,200 Stride Rite Corporation 19,800
--------------
33,400
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
4,700 Louisiana-Pacific Corporation 115,737
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.8%)
2,500 Bard (C.R.), Inc. 82,187
2,500 Bausch & Lomb, Inc. 107,500
2,800 Becton, Dickinson & Company 238,000
5,000 Biomet, Inc.(a) 70,000
7,600 Boston Scientific Corporation(a) 325,850
14,900 Eastman Kodak Company 1,108,187
1,800 Johnson Controls, Inc. 125,550
10,100 Medtronic, Inc. 568,125
1,900 Millipore Corporation 83,362
1,900 Perkin-Elmer Corporation 100,700
2,000 Polaroid Corporation 90,000
10,600 Raytheon Company 564,450
3,100 St. Jude Medical, Inc.(a) 117,800
1,500 Tektronix, Inc. 57,000
2,500 U.S. Surgical Corporation 85,625
4,700 Xerox Corporation 739,662
--------------
4,463,998
--------------
METAL MINING (0.7%)
15,400 Barrick Gold Corporation 485,100
4,100 Cyprus Amax Minerals Company 98,400
5,500 Echo Bay Mines, Ltd. 74,250
8,800 Freeport McMoran Inc., Class B 292,600
6,000 Homestake Mining Company 123,750
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
METAL MINING (continued)
<TABLE>
<C> <S> <C>
4,087 Newmont Mining Corporation $ 246,241
10,404 Placer Dome, Inc. 308,218
5,700 Santa Fe Pacific Gold Corporation 86,925
--------------
1,715,484
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
3,800 Hasbro, Inc. 143,450
5,200 ITT Industries, Inc. 142,350
1,700 Jostens, Inc. 38,462
12,038 Mattel, Inc. 328,021
400 NACCO Industries, Inc. 22,400
--------------
674,683
--------------
MISCELLANEOUS RETAIL (0.3%)
900 Longs Drug Stores, Inc. 38,588
3,700 Rite Aid Corporation 108,688
11,950 Toys 'R' Us, Inc.(a) 346,550
10,700 Walgreen Company 341,063
--------------
834,889
--------------
MOTION PICTURES (0.1%)
9,400 Unicom Corporation 259,676
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.1%)
3,100 Caliber System, Inc. 115,088
1,900 Consolidated Freightways, Inc. 45,125
1,200 Yellow Corporation(a) 15,600
--------------
175,813
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.9%)
21,100 American Express Company 965,325
2,300 Beneficial Corporation 133,975
7,431 Dean Witter Discover & Company 440,287
7,900 Federal Home Loan Mortgage
Corporation 652,738
47,600 Federal National Mortgage Association 1,469,650
5,900 Green Tree Financial Corporation 193,225
4,300 Household International, Inc. 297,775
9,675 MBNA Corporation 296,297
3,000 Transamerica Corporation 243,000
--------------
4,692,272
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
109
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
OIL & GAS EXTRACTION (1.0%)
5,500 Burlington Resources, Inc. $ 209,000
1,100 Helmerich & Payne, Inc. 39,875
13,900 Occidental Petroleum Corporation 359,664
4,600 Oryx Energy Company(a) 74,750
11,400 Phillips Petroleum Company 473,100
3,700 Rowan Companies, Inc.(a) 55,963
3,900 Santa Fe Energy Resources, Inc.(a) 46,800
10,600 Schlumberger, Ltd. 883,777
12,500 USX-Marathon Group, Inc. 273,438
2,300 Western Atlas, Inc.(a) 140,875
--------------
2,557,242
--------------
PAPER & ALLIED PRODUCTS (1.9%)
2,300 Avery Dennison Corporation 131,100
2,300 Bemis Company, Inc. 76,188
2,100 Boise Cascade Corporation 88,200
4,200 Champion International Corporation 185,326
4,000 Georgia Pacific Corporation 289,000
11,400 International Paper Company 454,576
3,700 James River Corporation of Virginia 92,038
12,200 Kimberly-Clark Corporation 889,076
2,300 Mead Corporation 123,625
18,300 Minnesota Mining & Manufacturing
Company 1,248,975
4,300 Stone Container Corporation 66,650
2,400 Temple-Inland, Inc. 118,200
3,100 Union Camp Corporation 163,138
4,400 Westvaco Corporation 140,800
8,800 Weyerhaeuser Company 399,300
2,400 Willamette Industries 144,000
--------------
4,610,192
--------------
PERSONAL SERVICES (0.2%)
4,500 H & R Block, Inc. 156,938
5,075 Service Corporation International 283,566
--------------
440,504
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.5%)
4,100 Amerada Hess Corporation 233,700
21,700 Amoco Corporation 1,573,250
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
2,800 Ashland, Inc. $ 119,700
7,000 Atlantic Richfield Company 837,376
28,500 Chevron Corporation 1,702,875
54,200 Exxon Corporation 4,593,450
2,300 Kerr-McGee Corporation 135,125
1,500 Louisiana Land & Exploration Company 80,813
17,200 Mobil Corporation 1,941,452
2,000 Pennzoil Company 86,500
23,400 Royal Dutch Petroleum Company 3,510,000
3,300 Sun Company, Inc. 101,063
11,500 Texaco, Inc. 963,125
10,800 Unocal Corporation 351,000
--------------
16,229,429
--------------
PHARMACEUTICAL PREPARATIONS (4.2%)
27,200 American Home Products Corporation 1,455,200
11,600 Amgen, Inc.(a) 690,200
29,100 Johnson & Johnson 2,833,614
53,700 Merck & Company, Inc. 3,470,364
27,800 Pfizer, Inc. 1,966,850
--------------
10,416,228
--------------
PRIMARY METAL INDUSTRIES (0.8%)
9,775 Alcan Aluminum, Ltd. 320,131
7,700 Aluminum Company of America 474,513
4,600 Armco, Inc.(a) 24,150
1,900 Asarco, Inc. 59,613
4,900 Bethlehem Steel Corporation(a) 62,475
6,300 Engelhard Corporation 154,350
5,200 Inco, Ltd. 169,651
2,100 Inland Steel Industries, Inc. 45,413
3,800 Nucor Corporation 209,000
3,000 Phelps Dodge Corporation 205,500
2,800 Reynolds Metals Company 151,200
3,600 USX-US Steel Group, Inc. 111,600
4,000 Worthington Industries, Inc. 80,501
--------------
2,068,097
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.1%)
3,300 American Greetings Corporation 89,513
3,600 Deluxe Corporation 130,500
4,200 Dow Jones & Company, Inc. 164,326
</TABLE>
[LOGO]
See Notes to Financial Statements.
110
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
6,100 Gannett Company, Inc. $ 425,475
1,300 John H. Harland Company 35,263
2,100 Knight-Ridder, Inc. 156,975
4,400 McGraw-Hill Companies, Inc. 206,250
1,200 Meredith Corporation 55,050
4,400 Moore Corporation, Ltd. 81,951
4,200 New York Times Company 138,075
6,700 R.R. Donnelley & Sons Company 246,225
16,900 Time Warner, Inc. 682,339
4,700 Times Mirror Company 205,038
2,800 Tribune Company 207,551
--------------
2,824,531
--------------
RAILROAD TRANSPORTATION (0.9%)
6,200 Burlington Northern Santa Fe
Corporation 525,451
9,200 CSX Corporation 455,400
3,400 Conrail, Inc. 238,850
5,700 Norfolk Southern Corporation 491,625
9,000 Union Pacific Corporation 631,126
--------------
2,342,452
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.8%)
1,600 Armstrong World Industries 94,200
3,600 Cooper Tire and Rubber Company 86,851
6,600 Goodyear Tire & Rubber Company 333,300
5,100 Illinois Tool Works, Inc. 341,700
6,200 Nike, Inc., Class B 622,325
3,300 Reebok International, Ltd. 100,238
6,900 Rubbermaid, Inc. 193,200
2,700 Tupperware Corporation 123,525
--------------
1,895,339
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.4%)
7,700 Merrill Lynch & Company, Inc. 498,575
6,800 Morgan Stanley Group, Inc. 336,600
4,600 Salomon, Inc. 192,626
--------------
1,027,801
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.3%)
10,000 Corning, Inc. 382,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (continued)
<TABLE>
<C> <S> <C>
6,900 Newell Company $ 207,000
2,200 Owens-Corning Corporation(a) 88,550
--------------
678,050
--------------
TEXTILE MILL PRODUCTS (0.1%)
3,300 Fruit of the Loom, Inc.(a) 89,100
1,700 Russell Corporation 46,750
900 Springs Industries, Inc. Class A 41,738
--------------
177,588
--------------
TOBACCO PRODUCTS (1.6%)
7,900 American Brands, Inc. 345,627
36,400 Philip Morris Companies, Inc. 3,617,262
--------------
3,962,889
--------------
TRANSPORTATION SERVICES (0.0%)
3,500 Ryder System, Inc. 102,375
--------------
TRANSPORTATION BY AIR (0.4%)
3,300 AMR Corporation(a) 311,438
2,200 Delta Airlines, Inc. 182,325
2,500 Federal Express Corporation(a) 191,563
6,300 Southwest Airlines Company 172,464
2,700 U.S. Air Group, Inc.(a) 53,325
--------------
911,115
--------------
TRANSPORTATION EQUIPMENT (4.2%)
12,300 Allied-Signal, Inc. 673,425
15,025 Boeing Company 1,280,880
16,450 Chrysler Corporation 1,095,982
4,400 Dana Corporation 147,400
3,400 Eaton Corporation 196,775
2,700 Echlin, Inc. 92,812
2,000 Fleetwood Enterprises, Inc. 60,250
46,900 Ford Motor Company 1,711,850
2,700 General Dynamics Corporation 166,387
32,700 General Motors Corporation 1,802,587
8,700 Lockheed Martin Corporation 729,712
4,900 McDonnell Douglas Corporation 494,900
3,200 Navistar International Corporation(a) 33,200
2,200 Northrop Grumman Corporation 137,776
1,700 Paccar, Inc. 83,725
</TABLE>
[LOGO]
See Notes to Financial Statements.
111
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (continued)
9,500 Rockwell International Corporation $ 554,564
2,900 TRW, Inc. 273,325
2,400 Teledyne, Inc. 90,600
3,700 Textron, Inc. 313,575
5,300 United Technologies Corporation 579,688
--------------
10,519,413
--------------
WHOLESALE TRADE--DURABLE GOODS (0.2%)
444 Earthgrains Company 15,985
5,400 Genuine Parts Company 245,700
2,200 Grainger (W.W.), Inc. 147,125
1,300 Potlatch Corporation 53,625
--------------
462,435
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
5,600 Alco Standard Corporation 350,000
1,600 Fleming Companies, Inc. 25,000
2,200 Sigma Aldrich 123,200
3,000 Supervalu, Inc. 93,000
8,000 Sysco Corporation 273,001
--------------
864,201
--------------
TOTAL COMMON STOCKS (COST $164,255,099) 220,035,081
--------------
PREFERRED STOCKS (0.0%)
TRANSPORTATION EQUIPMENT (0.0%)
24 Teledyne, Inc. 339
--------------
TOTAL PREFERRED STOCKS (COST $0) 339
--------------
TIME DEPOSITS (11.0%)
27,382,300 Banque Bruxelles Lambert Grand
Cayman Branch, 5.50%, due 6/3/96
(cost $27,382,300) 27,382,300
--------------
U.S. TREASURY OBLIGATIONS (0.5%)
645,000 U.S. Treasury Bills, 5.024% yield,
due 6/6/96(e) 644,733
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
461,000 U.S. Treasury Bills, 5.295% yield,
due 3/6/97(e) $ 442,375
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $1,087,746)
1,087,108
--------------
TOTAL INVESTMENTS INDEX FUND (100.0%) (COST
$192,725,145) $248,504,828
--------------
--------------
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND
- ----------------------------------------------------
INCOME EQUITY INVESTMENT STYLE (24.7%)
COMMON STOCKS (23.5%)
CHEMICALS & ALLIED PRODUCTS (1.3%)
82,600 E.I. du Pont de Nemours & Company 6,587,350
139,000 Morton International, Inc.(b) 5,282,000
--------------
11,869,350
--------------
COMMUNICATIONS (1.4%)
125,000 AT&T Corporation 7,796,875
122,200 GTE Corporation 5,224,050
--------------
13,020,925
--------------
DEPOSITORY INSTITUTIONS (1.2%)
80,000 First Bank System, Inc.(b) 4,830,000
72,000 J.P. Morgan & Company, Inc.(b) 6,255,000
--------------
11,085,000
--------------
EATING & DRINKING PLACES (0.4%)
71,500 McDonald's Corporation 3,440,937
--------------
ELECTRIC, GAS, & SANITARY SERVICES (2.3%)
104,600 Consolidated Natural Gas Company(b) 5,060,025
38,200 FPL Group, Inc. 1,633,050
110,000 Pacific Gas and Electric Company(b) 2,557,500
128,000 Public Service Enterprise Group,
Inc.(b) 3,392,000
53,500 Texas Utilities Company 2,186,813
160,000 WMX Technologies, Inc. 5,640,000
--------------
20,469,388
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
112
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (2.0%)
50,900 Emerson Electric Company $ 4,358,312
76,100 General Electric Company 6,297,275
145,000 Honeywell, Inc. 7,358,750
--------------
18,014,337
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.7%)
100,000 Dun & Bradstreet Corporation 6,387,500
--------------
FOOD & KINDRED PRODUCTS (1.6%)
143,000 PepsiCo, Inc. 4,754,750
64,000 Procter & Gamble Company 5,624,000
120,000 Sara Lee Corporation 4,005,000
--------------
14,383,750
--------------
GENERAL MERCHANDISE STORES (1.4%)
38,700 Dayton Hudson Corporation 3,947,400
60,000 J.C. Penney Company, Inc. 3,112,500
56,100 May Department Stores Company 2,657,737
8,976 Payless ShoeSource, Inc.(a) 252,450
56,100 Sears Roebuck and Company(b) 2,854,088
--------------
12,824,175
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.1%)
90,000 Hewlett-Packard Company 9,607,500
--------------
INSURANCE CARRIERS (0.5%)
119,000 American General Corporation 4,224,500
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.6%)
77,900 Eastman Kodak Company 5,793,812
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.0%)
90,000 American Express Company 4,117,500
64,000 Transamerica Corporation 5,184,000
--------------
9,301,500
--------------
OIL & GAS EXTRACTION (0.6%)
70,000 Schlumberger, Ltd. 5,836,250
--------------
PAPER & ALLIED PRODUCTS (0.7%)
91,300 Minnesota Mining & Manufacturing
Company(b) 6,231,225
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PETROLEUM REFINING & RELATED INDUSTRIES (2.7%)
45,000 Atlantic Richfield Company $ 5,383,125
80,000 Chevron Corporation(b) 4,780,000
74,800 Exxon Corporation 6,339,300
35,600 Mobil Corporation 4,018,350
26,800 Royal Dutch Petroleum Company(b) 4,020,000
--------------
24,540,775
--------------
PHARMACEUTICAL PREPARATIONS (1.8%)
76,400 American Home Products Corporation 4,087,400
45,900 Johnson & Johnson 4,469,513
56,100 Merck & Company, Inc. 3,625,463
65,000 Pfizer, Inc. 4,598,750
--------------
16,781,126
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.5%)
119,200 Deluxe Corporation 4,321,000
--------------
TOBACCO PRODUCTS (1.1%)
119,500 American Brands, Inc. 5,228,125
50,300 Philip Morris Companies, Inc. 4,998,562
--------------
10,226,687
--------------
TRANSPORTATION EQUIPMENT (0.6%)
48,400 United Technologies Corporation(b) 5,293,750
--------------
TOTAL COMMON STOCKS (COST $152,662,042) 213,653,487
--------------
REPURCHASE AGREEMENTS (1.2%)
11,294,003 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$11,299,062 (cost $11,294,003)(c) 11,294,003
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$163,956,045) 224,947,490
--------------
INDEX INVESTMENT STYLE (24.8%)
6,960,829 Index Portfolio of Core Trust
(Delaware)(i) 226,401,659
--------------
TOTAL INDEX INVESTMENT STYLE (COST $171,872,038)
226,401,659
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
113
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (25.0%)
COMMON STOCKS (24.6%)
AMUSEMENT & RECREATION SERVICES (0.5%)
71,980 The Walt Disney Company(b) $ 4,372,785
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.3%)
53,500 Cintas Corporation(b) 2,862,250
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(1.2%)
134,693 Home Depot, Inc. 6,886,179
124,700 Lowe's Companies, Inc.(b) 4,270,975
--------------
11,157,154
--------------
BUSINESS SERVICES (4.4%)
74,400 DST Systems, Inc.(a) 2,594,700
149,000 First Data Corporation(b) 11,882,750
96,650 Fiserv, Inc.(a) 3,032,393
109,950 General Motors Corporation, Class E 6,198,431
115,920 Microsoft Corporation(a)(b) 13,765,500
58,400 Sungard Data Systems, Inc.(a) 2,204,600
--------------
39,678,374
--------------
COMMUNICATIONS (0.2%)
64,600 Airtouch Communications, Inc.(a) 2,059,125
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (3.6%)
154,700 Intel Corporation 11,679,850
358,400 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) 8,265,601
134,306 Molex, Inc., Class A 3,945,238
73,360 Motorola, Inc. 4,896,780
86,200 Solectron Corporation(a)(b) 3,738,925
--------------
32,526,394
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(1.1%)
184,400 Medaphis Corporation(a) 6,961,100
68,400 Paychex, Inc. 3,009,600
--------------
9,970,700
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
FOOD & KINDRED PRODUCTS (0.9%)
186,300 The Coca-Cola Company $ 8,569,800
--------------
HEALTH SERVICES (1.3%)
134,500 Columbia HCA Healthcare
Corporation(b) 7,246,187
37,900 HBO & Company(b) 4,732,762
--------------
11,978,949
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.4%)
140,400 Franklin Resources, Inc. 8,230,950
157,200 T. Rowe Price 4,401,600
--------------
12,632,550
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.8%)
134,500 Cisco Systems, Inc.(a)(b) 7,363,875
81,800 Hewlett-Packard Company 8,732,150
--------------
16,096,025
--------------
INSURANCE CARRIERS (1.2%)
111,225 American International Group, Inc. 10,482,956
--------------
MISCELLANEOUS RETAIL (1.5%)
204,800 Autozone, Inc.(a) 7,193,600
102,400 Petsmart, Inc.(a)(b) 4,556,800
80,800 Viking Office Products, Inc.(a) 2,312,900
--------------
14,063,300
--------------
PHARMACEUTICAL PREPARATIONS (1.0%)
63,600 Amgen, Inc.(a) 3,784,200
80,500 Pfizer, Inc. 5,695,375
--------------
9,479,575
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.3%)
411,200 Charles Schwab Corporation(b) 9,971,600
69,600 Donaldson, Lufkin & Jenrette, Inc. 2,218,502
--------------
12,190,102
--------------
TOBACCO PRODUCTS (0.6%)
54,800 Philip Morris Companies, Inc. 5,445,750
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
114
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- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
WHOLESALE TRADE--DURABLE GOODS (0.5%)
89,100 Danka Business Systems, plc
Sponsored ADR(b) $ 4,410,450
--------------
WHOLESALE TRADE--NONDURABLE GOODS (1.8%)
35,600 Alco Standard Corporation(b) 2,225,000
104,000 Corporate Express, Inc.(a) 4,368,000
376,460 Office Depot, Inc.(a)(b) 9,646,789
--------------
16,239,789
--------------
TOTAL COMMON STOCKS (COST $160,029,342) 224,216,028
--------------
REPURCHASE AGREEMENTS (0.4%)
3,980,087 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$3,981,870 (cost $3,980,087)(c) 3,980,087
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$164,009,429) 228,196,115
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (10.1%)
2,665,129 Small Company Portfolio of Core
Trust (Delaware)(i) 92,136,676
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$78,250,157) 92,136,676
--------------
INTERNATIONAL INVESTMENT STYLE (15.1%)
5,668,025 International Portfolio II of Core
Trust (Delaware)(i) 137,392,393
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$121,784,393) 137,392,393
--------------
OTHER INVESTMENTS (0.3%)
2,282,573 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$2,283,596(c) 2,282,573
--------------
TOTAL OTHER INVESTMENTS (COST $2,282,573) 2,282,573
--------------
TOTAL INVESTMENTS DIVERSIFIED EQUITY FUND (100.0%)
(COST $702,154,635) $911,356,906
--------------
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (35.2%)
COMMON STOCKS (34.8%)
AMUSEMENT & RECREATION SERVICES (0.7%)
79,400 The Walt Disney Company(b) $ 4,823,550
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.6%)
70,900 Cintas Corporation(b) 3,793,150
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(1.7%)
150,100 Home Depot, Inc. 7,673,862
133,000 Lowe's Companies, Inc.(b) 4,555,250
--------------
12,229,112
--------------
BUSINESS SERVICES (6.2%)
84,800 DST Systems, Inc.(a) 2,957,400
176,500 First Data Corporation(b) 14,075,875
105,500 Fiserv, Inc.(a) 3,310,062
126,500 General Motors Corporation, Class E 7,131,437
132,800 Microsoft Corporation(a) 15,770,000
66,200 Sungard Data Systems, Inc.(a) 2,499,050
--------------
45,743,824
--------------
COMMUNICATIONS (0.3%)
74,800 Airtouch Communications, Inc.(a) 2,384,250
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (5.0%)
178,200 Intel Corporation 13,454,100
409,800 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) 9,451,012
147,343 Molex, Inc., Class A 4,328,200
83,900 Motorola, Inc.(b) 5,600,325
98,100 Solectron Corporation(a)(b) 4,255,087
--------------
37,088,724
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(1.6%)
210,100 Medaphis Corporation(a) 7,931,275
83,625 Paychex, Inc. 3,679,500
--------------
11,610,775
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
115
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
FOOD & KINDRED PRODUCTS (1.4%)
224,600 The Coca-Cola Company(b) $ 10,331,600
--------------
HEALTH SERVICES (1.8%)
154,500 Columbia HCA Healthcare
Corporation(b) 8,323,687
43,600 HBO & Company(b) 5,444,550
--------------
13,768,237
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.9%)
160,600 Franklin Resources, Inc. 9,415,175
173,000 T. Rowe Price(b) 4,844,000
--------------
14,259,175
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.5%)
154,400 Cisco Systems, Inc.(a)(b) 8,453,400
92,700 Hewlett-Packard Company 9,895,725
--------------
18,349,125
--------------
INSURANCE CARRIERS (1.7%)
134,350 American International Group, Inc. 12,662,487
--------------
MISCELLANEOUS RETAIL (2.0%)
216,800 Autozone, Inc.(a)(b) 7,615,100
112,550 Petsmart, Inc.(a)(b) 5,008,475
86,000 Viking Office Products, Inc.(a) 2,461,750
--------------
15,085,325
--------------
PHARMACEUTICAL PREPARATIONS (1.5%)
72,300 Amgen, Inc.(a) 4,301,850
91,900 Pfizer, Inc. 6,501,925
--------------
10,803,775
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.9%)
466,000 Charles Schwab Corporation 11,300,500
79,200 Donaldson, Lufkin & Jenrette, Inc. 2,524,500
--------------
13,825,000
--------------
TOBACCO PRODUCTS (0.8%)
62,500 Philip Morris Companies, Inc. 6,210,940
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WHOLESALE TRADE--DURABLE GOODS (0.7%)
104,500 Danka Business Systems, plc
Sponsored ADR(b) $ 5,172,750
--------------
WHOLESALE TRADE--NONDURABLE GOODS (2.5%)
39,800 Alco Standard Corporation(b) 2,487,500
118,200 Corporate Express, Inc.(a)(b) 4,964,400
431,800 Office Depot, Inc.(a)(b) 11,064,879
--------------
18,516,779
--------------
TOTAL COMMON STOCKS (COST $185,502,045) 256,658,578
--------------
REPURCHASE AGREEMENTS (0.4%)
2,834,022 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$2,835,292 (cost $2,834,022)(c) 2,834,022
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$188,336,067) 259,492,600
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (34.7%)
7,413,923 Small Company Portfolio of Core
Trust (Delaware)(j) 256,308,228
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$218,052,146) 256,308,228
--------------
INTERNATIONAL INVESTMENT STYLE (29.9%)
9,113,684 International Portfolio II of Core
Trust (Delaware)(j) 220,914,835
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$196,241,159) 220,914,835
--------------
OTHER INVESTMENTS (0.2%)
1,838,010 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,838,834(c) 1,838,010
--------------
TOTAL OTHER INVESTMENTS (COST $1,838,010) 1,838,010
--------------
TOTAL INVESTMENTS GROWTH EQUITY FUND (100.0%)
(COST $604,467,382) $738,553,673
--------------
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
116
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCKS (98.1%)
AMUSEMENT & RECREATION SERVICES (1.9%)
25,700 The Walt Disney Company(b) $ 1,561,275
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.3%)
20,100 Cintas Corporation 1,075,350
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(4.5%)
44,900 Home Depot, Inc. 2,295,512
41,400 Lowe's Companies, Inc.(b) 1,417,950
--------------
3,713,462
--------------
BUSINESS SERVICES (17.8%)
26,400 DST Systems, Inc.(a) 920,700
57,100 First Data Corporation(b) 4,553,725
37,500 Fiserv, Inc.(a) 1,176,562
39,800 General Motors Corporation, Class E 2,243,725
41,400 Microsoft Corporation(a) 4,916,250
20,800 Sungard Data Systems, Inc.(a) 785,200
--------------
14,596,162
--------------
COMMUNICATIONS (1.0%)
24,800 Airtouch Communications, Inc.(a) 790,500
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (14.0%)
54,900 Intel Corporation 4,144,950
120,100 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(b) 2,769,806
49,443 Molex, Inc., Class A 1,452,388
26,400 Motorola, Inc. 1,762,200
31,400 Solectron Corporation(a) 1,361,975
--------------
11,491,319
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(4.4%)
65,700 Medaphis Corporation(a) 2,480,175
25,725 Paychex, Inc. 1,131,900
--------------
3,612,075
--------------
FOOD & KINDRED PRODUCTS (3.9%)
68,800 The Coca-Cola Company 3,164,800
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HEALTH SERVICES (5.3%)
48,300 Columbia HCA Healthcare
Corporation(b) $ 2,602,162
14,300 HBO & Company 1,785,712
--------------
4,387,874
--------------
HOLDING & OTHER INVESTMENT OFFICES (5.5%)
50,500 Franklin Resources, Inc. 2,960,562
55,000 T. Rowe Price 1,540,000
--------------
4,500,562
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.4%)
42,900 Cisco Systems, Inc.(a)(b) 2,348,775
27,500 Hewlett-Packard Company 2,935,625
--------------
5,284,400
--------------
INSURANCE CARRIERS (4.9%)
43,050 American International Group, Inc. 4,057,462
--------------
MISCELLANEOUS RETAIL (6.1%)
69,900 Autozone, Inc.(a)(b) 2,455,237
37,900 Petsmart, Inc.(a)(b) 1,686,550
31,200 Viking Office Products, Inc.(a) 893,100
--------------
5,034,887
--------------
PHARMACEUTICAL PREPARATIONS (4.2%)
22,900 Amgen, Inc.(a) 1,362,550
29,900 Pfizer, Inc. 2,115,425
--------------
3,477,975
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (5.5%)
147,900 Charles Schwab Corporation(b) 3,586,575
29,100 Donaldson, Lufkin & Jenrette, Inc. 927,562
--------------
4,514,137
--------------
TOBACCO PRODUCTS (2.3%)
19,300 Philip Morris Companies, Inc. 1,917,939
--------------
WHOLESALE TRADE--DURABLE GOODS (1.9%)
32,300 Danka Business Systems, plc
Sponsored ADR(b) 1,598,850
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
117
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
WHOLESALE TRADE--NONDURABLE GOODS (7.2%)
14,250 Alco Standard Corporation $ 890,625
36,600 Corporate Express, Inc.(a) 1,537,200
135,000 Office Depot, Inc.(a)(b) 3,459,378
--------------
5,887,203
--------------
TOTAL COMMON STOCKS (COST $57,806,055) 80,666,232
--------------
REPURCHASE AGREEMENTS (1.9%)
1,521,461 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$1,522,143 (cost $1,521,461)(c) 1,521,461
--------------
TOTAL INVESTMENTS LARGE COMPANY GROWTH FUND
(100.0%) (COST $59,327,516) $82,187,693
--------------
--------------
- ----------------------------------------------------
SMALL COMPANY STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (94.4%)
BUSINESS SERVICES (6.8%)
140,200 American Business Information,
Inc.(a) 2,576,175
60,000 Ciber, Inc.(a) 2,745,000
90,450 GMIS, Inc.(a) 1,288,912
168,450 Symantec Corporation(a)(b) 2,653,087
--------------
9,263,174
--------------
CHEMICALS & ALLIED PRODUCTS (3.8%)
63,250 OM Group, Inc. 2,561,625
127,800 Tetra Technologies, Inc.(a) 2,651,850
--------------
5,213,475
--------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (1.4%)
197,800 Insituform Technologies Class A(a) 1,879,100
--------------
DEPOSITORY INSTITUTIONS (5.3%)
143,800 Bank Plus Corporation(a) 1,303,187
73,800 Coast Savings Financial(a) 2,472,300
89,800 First Federal Savings Bank of
Colorado 1,189,850
74,900 Imperial Thrift & Loan
Association(a) 1,104,775
41,200 Long Island Bancorp, Inc. 1,169,050
--------------
7,239,162
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRIC, GAS, & SANITARY SERVICES (0.9%)
163,150 Unit Corporation(a)(b) $ 1,162,443
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (16.9%)
45,400 BMC Industries, Inc. 1,350,650
75,000 DII Group, Inc.(a)(b) 2,512,500
54,500 Harman International Industries,
Inc. 2,861,250
66,800 IPC Information Systems, Inc.(a) 1,419,500
83,300 InterVoice, Inc.(a) 1,853,425
112,800 Powell Industries, Inc.(a) 1,311,300
18,500 Sheldahl, Inc.(a) 478,687
213,100 Smartflex Systems, Inc.(a) 3,955,668
110,000 Symmetricom, Inc.(a) 1,485,000
18,500 Tekelec(a) 282,125
114,100 Zilog, Inc.(a) 4,207,437
70,500 Zitel Corporation(a)(b) 1,269,000
--------------
22,986,542
--------------
HEALTH SERVICES (1.0%)
63,500 Inphynet Medical Management,
Inc.(a)(b) 1,381,125
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.8%)
142,500 RFS Hotel Investors, Inc. 2,458,125
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.2%)
25,000 Dreco Energy Services Limited(a) 693,750
48,050 Kentek Information Systems, Inc.(a) 594,618
98,800 Rainbow Technologies, Inc.(a) 2,284,750
49,100 Varco International, Inc.(a) 816,287
--------------
4,389,405
--------------
INSURANCE CARRIERS (2.0%)
85,000 Sierra Health Services, Inc.(a) 2,741,250
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL (7.6%)
201,600 Circon Corporation(a)(b) 2,646,000
88,700 Empi, Inc.(a) 1,552,250
67,000 GeoScience Corporation(a) 1,356,750
97,800 Tech-Sym Corporation(a) 3,337,425
</TABLE>
[LOGO]
See Notes to Financial Statements.
118
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
(continued)
<TABLE>
<C> <S> <C>
25,300 Zygo Corporation(a)(b) $ 1,480,050
--------------
10,372,475
--------------
MISCELLANEOUS RETAIL (3.1%)
146,750 Friedman's, Inc. Class A(a) 4,145,688
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.0%)
90,900 Covenant Transportation, Inc.(a) 1,397,587
75,400 Swift Transportation, Inc.(a) 1,394,900
--------------
2,792,487
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (6.1%)
175,900 AmeriCredit Corporation(a) 2,660,487
143,500 Imperial Credit Industries, Inc.(a) 4,197,375
9,050 Onyx Acceptance Corporation(a) 150,456
60,900 WFS Financial, Inc.(a) 1,309,350
--------------
8,317,668
--------------
OIL & GAS EXTRACTION (20.1%)
133,600 Box Energy Corporation, Class B(a) 1,336,000
170,000 Digicon, Inc.(a)(b) 2,847,500
254,900 Global Natural Resources, Inc.(a) 4,110,262
91,500 Lomak Petroleum, Inc.(b) 1,258,125
132,900 Nuevo Energy Company(a)(b) 4,119,900
46,000 Newpark Resources, Inc.(a)(b) 1,667,500
101,650 Parker & Parsley Petroleum Company,
Delaware(a)(b) 2,477,718
80,350 Pride Petroleum Services, Inc.(a)(b) 1,386,037
209,900 Tuboscope Vetco International
Corporation(a) 2,781,176
92,800 United Meridian Corporation(a) 2,644,800
105,000 Vintage Petroleum, Inc. 2,730,000
--------------
27,359,018
--------------
PRIMARY METAL INDUSTRIES (1.1%)
108,600 Maverick Tube Corporation(a) 1,425,375
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.2%)
15,900 Paxar Corporation(a) 266,325
--------------
REAL ESTATE (5.5%)
90,500 Felcor Suite Hotels, Inc. 2,794,189
190,200 NHP, Inc.(a) 3,613,800
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
REAL ESTATE (continued)
<TABLE>
<C> <S> <C>
101,100 Sunstone Hotel Investors, Inc. $ 1,086,825
--------------
7,494,814
--------------
TRANSPORTATION BY AIR (1.0%)
24,350 Atlas Air, Inc.(a) 1,418,388
--------------
WHOLESALE TRADE-DURABLE GOODS (4.6%)
68,700 Chemed Corporation 2,584,841
143,100 StorMedia, Inc.(a) 3,666,939
--------------
6,251,780
--------------
TOTAL COMMON STOCKS (COST $108,784,428) 128,557,819
--------------
SHORT-TERM HOLDINGS (5.6%)
2,861,253 Dreyfus Treasury Cash Management
Fund 2,861,253
2,873,972 Federated U.S. Short Term Government
Fund 2,873,972
610,554 Fidelity Money Market 610,554
1,229,229 Provident Federal Trust 1,229,229
--------------
TOTAL SHORT-TERM HOLDINGS (COST $7,575,008) 7,575,008
--------------
TOTAL INVESTMENTS SMALL COMPANY STOCK FUND
(100.0%) (COST $116,359,436) $136,132,827
--------------
--------------
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCKS (96.1%)
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (2.6%)
278,700 Authentic Fitness Corporation 5,295,300
161,200 Warnaco Group, Inc., Class A 4,574,050
--------------
9,869,350
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(2.8%)
251,500 American Homestar Corporation(a) 5,595,875
272,500 Del Webb Corporation 4,836,875
--------------
10,432,750
--------------
BUSINESS SERVICES (4.9%)
74,000 BMC Software, Inc.(a) 4,662,000
163,100 Cognex Corporation(a) 2,895,025
335,800 Computervision Corporation(a) 3,903,675
</TABLE>
[LOGO]
See Notes to Financial Statements.
119
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
73,800 DecisionOne Corporation(a) $ 2,140,200
352,000 Vanstar Corporation(a) 5,060,000
--------------
18,660,900
--------------
CHEMICALS & ALLIED PRODUCTS (12.7%)
8,762 Advanced Therapeutic Systems
Limited(a) 278,193
231,700 Albemarle Corporation 5,213,250
146,100 Biovail Corporation International(a) 4,985,662
77,883 Elan Corporation, plc Sponsored
ADR(a)(b) 4,887,158
92,400 Genzyme Corporation(a) 5,382,300
99,900 Gilead Sciences, Inc.(a) 3,471,525
150,100 Martek Biosciences Corporation(a) 5,403,600
500,000 Oncogene Science, Inc.(a) 5,812,500
239,500 Sepracor, Inc.(a) 3,502,687
109,800 Teva Pharmaceutical 4,913,550
91,122 Watson Pharmaceuticals, Inc.(a) 4,100,490
--------------
47,950,915
--------------
COMMUNICATIONS (2.9%)
141,500 Central European Media Enterprises,
Ltd.(a) 3,714,375
55,900 Commnet Cellular, Inc.(a) 1,921,562
74,900 Excel Communications, Inc.(a) 2,443,613
121,550 Vanguard Cellular Systems, Inc.(a) 2,932,393
--------------
11,011,943
--------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (1.1%)
90,900 Oakwood Homes Corporation 4,408,650
--------------
DEPOSITORY INSTITUTIONS (6.2%)
33,300 BayBanks, Inc. 3,596,400
242,100 California Federal Bancorp, Inc.(a) 4,448,587
71,800 Commercial Federal Corporation 2,782,250
627,000 Dime Bancorp, Inc.(a) 7,837,500
268,800 Glendale Federal Bank(a) 4,804,800
--------------
23,469,537
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRIC, GAS, & SANITARY SERVICES (3.6%)
544,000 Philip Environmental, Inc.(a) $ 4,760,000
237,000 U.S.A. Waste Services, Inc.(a) 6,991,500
32,500 United Waste Systems, Inc.(a) 1,791,562
--------------
13,543,062
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (10.3%)
116,900 Adaptec, Inc.(a) 6,999,387
290,700 Applied Magnetics Corporation(a) 4,978,237
71,300 Gemstar International Group
Limited(a) 2,406,375
190,200 ITI Technologies, Inc.(a) 6,419,250
163,800 Komag, Inc.(a) 5,671,575
118,600 Lattice Semiconductor Corporation(a) 4,106,525
37,800 Natural Microsystems Corporation(a) 1,426,950
156,800 Silicon Valley Group(a) 3,763,200
92,000 Zilog, Inc.(a) 3,392,500
--------------
39,163,999
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.8%)
96,000 Blount International, Inc., Class A 3,192,001
--------------
FINANCIAL SERVICES (0.9%)
164,200 Credit Acceptance Corporation(a) 3,284,000
--------------
GENERAL MERCHANDISE STORES (2.2%)
222,700 Consolidated Stores Corporation(a) 8,434,762
--------------
HEALTH SERVICES (4.6%)
56,200 Genesis Health Ventures, Inc.(a) 1,777,325
58,300 Healthsource, Inc.(a) 1,319,037
233,400 Mariner Health Group, Inc.(a) 4,142,850
258,600 OrNda Healthcorp(a) 6,497,325
144,000 Quorum Health Group, Inc.(a) 3,690,000
--------------
17,426,537
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.9%)
198,800 RFS Hotel Investors, Inc. 3,429,300
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
120
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (2.5%)
290,300 Red Roof, Inc.(a) $ 4,281,925
105,600 Sun International Hotels, Ltd.(a) 5,332,800
--------------
9,614,725
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (7.0%)
71,500 Case Corporation 3,583,939
101,500 Gateway 2000, Inc.(a) 3,844,312
115,000 Giddings & Lewis, Inc. 1,911,875
96,600 Greenfield Industries 3,646,650
196,900 Lexmark International Group, Inc.(a) 4,331,800
335,500 Varco International, Inc.(a) 5,577,687
67,700 York International Corporation 3,579,637
--------------
26,475,900
--------------
INSURANCE CARRIERS (5.2%)
148,200 AmVestors Financial Corporation 2,223,000
250,400 Everest Reinsurance Holdings, Inc. 5,853,101
151,200 PartnerRe, Ltd.(a) 4,536,000
112,700 The PMI Group, Inc.(b) 4,874,275
61,650 Vesta Insurance Group, Inc. 2,142,337
--------------
19,628,713
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (1.8%)
182,000 Rayonier, Inc. 6,825,000
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.0%)
152,600 NeoPath, Inc.(a) 3,929,450
196,800 Possis Medical, Inc.(a) 3,665,401
--------------
7,594,851
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (1.7%)
167,700 Lear Seating Corporation(a) 6,477,413
--------------
MISCELLANEOUS RETAIL (4.6%)
111,700 Borders Group, Inc.(a) 3,658,175
289,500 Hollywood Entertainment
Corporation(a) 4,487,250
124,350 Office Max, Inc.(a) 3,248,644
115,250 Petsmart, Inc.(a) 5,128,625
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
50,400 Rent-Way, Inc.(a) $ 705,600
--------------
17,228,294
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.6%)
256,500 Olympic Financial, Ltd.(a) 6,059,813
--------------
OIL & GAS EXTRACTION (7.1%)
77,700 Box Energy Corporation, Class B(a) 777,000
90,000 Dawson Production Services, Inc.(a) 1,091,250
170,600 Input/Output, Inc.(a) 6,887,976
198,100 Parker & Parsley Petroleum Company,
Delaware(a) 4,828,688
236,400 Reading & Bates Corporation(a) 5,200,800
150,300 Sonat Offshore Drilling Company 7,965,900
--------------
26,751,614
--------------
PRIMARY METAL INDUSTRIES (0.9%)
56,100 Texas Industries, Inc. 3,513,263
--------------
REAL ESTATE (1.2%)
268,500 Newhall Land & Farming Company 4,564,500
--------------
WHOLESALE TRADE--DURABLE GOODS (3.1%)
347,300 Anixter International, Inc.(a) 5,817,275
256,200 Tech Data Corporation(a) 5,956,650
--------------
11,773,925
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.9%)
96,300 AmeriSource Health Corporation(a) 3,250,125
--------------
TOTAL COMMON STOCKS (COST $279,244,730) 364,035,842
--------------
REPURCHASE AGREEMENTS (3.9%)
14,604,670 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$14,611,211 (cost $14,604,670)(c) 14,604,670
--------------
TOTAL INVESTMENTS SMALL COMPANY GROWTH FUND
(100.0%) (COST $293,849,400) $378,640,512
--------------
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
121
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONTRARIAN STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (93.5%)
APPAREL & ACCESSORY STORES (2.7%)
50,500 The Limited, Inc. $ 1,047,875
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.1%)
69,800 Hartmarx Corporation(a) 436,250
--------------
CHEMICALS & ALLIED PRODUCTS (2.7%)
6,000 Dow Chemical Company(b) 501,750
22,600 Wellman, Inc. 511,326
--------------
1,013,076
--------------
COAL MINING (0.8%)
21,000 Pittston Minerals Group 294,000
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (0.7%)
11,700 Augat, Inc. 253,012
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (1.2%)
10,300 Keystone International, Inc. 225,312
12,900 Material Sciences Corporation(a) 217,688
--------------
443,000
--------------
FOOD & KINDRED PRODUCTS (1.9%)
54,000 Chiquita Brands International, Inc.(b) 722,250
--------------
GENERAL MERCHANDISE STORES (2.3%)
7,600 Dillard Department Stores, Inc. 304,000
22,500 Wal-Mart Stores, Inc.(b) 582,188
--------------
886,188
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.1%)
105,000 Mesabi Trust 420,000
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.7%)
33,000 Bombay Company, Inc.(a) 255,750
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (15.4%)
33,000 Ampco Pittsburgh Corporation 387,750
22,800 BW/IP Holding, Inc. 450,300
8,500 Commercial Intertech Corporation 177,437
35,000 Data General Corporation(a) 446,250
49,000 Gerber Scientific, Inc. 851,375
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
11,400 Giddings & Lewis, Inc. $ 189,525
15,000 Goulds Pumps, Inc. 356,250
87,000 McDermott International, Inc.(b) 1,892,251
3,000 Timken Company 118,125
31,000 Trinova Corporation 1,023,000
--------------
5,892,263
--------------
INSURANCE AGENTS, BROKERS & SERVICE (1.0%)
19,000 Alexander & Alexander Services, Inc. 377,625
--------------
INSURANCE CARRIERS (4.0%)
4,500 Aetna Life & Casualty Company(b) 331,875
25,600 Chubb Corporation 1,193,600
--------------
1,525,475
--------------
METAL MINING (2.1%)
34,000 Cyprus Amax Minerals Company 816,000
--------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS (0.9%)
25,000 Dravo Corporation(a) 325,000
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.2%)
20,500 Swift Transportation, Inc.(a) 379,250
16,000 Werner Enterprises, Inc. 392,000
7,000 Yellow Corporation(a) 91,000
--------------
862,250
--------------
OIL & GAS EXTRACTION (8.6%)
14,600 Phillips Petroleum Company 605,900
44,000 Rowan Companies, Inc.(a) 665,500
92,000 USX-Marathon Group, Inc. 2,012,500
--------------
3,283,900
--------------
PAPER & ALLIED PRODUCTS (3.5%)
28,000 Bowater, Inc. 1,102,500
4,400 Consolidated Papers, Inc. 229,900
--------------
1,332,400
--------------
PRIMARY METAL INDUSTRIES (28.7%)
51,000 Alcan Aluminum, Ltd.(b) 1,670,250
55,000 Alumax, Inc.(a)(b) 1,828,750
150,000 Armco, Inc.(a) 787,500
</TABLE>
[LOGO]
See Notes to Financial Statements.
122
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
8,000 Asarco, Inc. $ 251,000
111,000 Bethlehem Steel Corporation(a)(b) 1,415,250
67,306 Inland Steel Industries, Inc. 1,455,492
141,100 LTV Corporation(b) 1,816,662
56,000 USX-US Steel Group, Inc. 1,736,000
--------------
10,960,904
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.4%)
7,800 Lafarge Corporation 166,725
--------------
TEXTILE MILL PRODUCTS (3.2%)
40,000 Albany International Corporation 805,000
36,000 Cone Mills Corporation(a) 418,500
--------------
1,223,500
--------------
TRANSPORTATION SERVICES (4.2%)
26,500 Aar Corporation 586,312
35,000 Ryder System, Inc. 1,023,750
--------------
1,610,062
--------------
TRUCKING (0.3%)
4,000 Teekay Shipping Corporation 110,000
--------------
WATER TRANSPORTATION (3.5%)
26,500 London and Overseas Freighters
Limited, ADR 346,156
63,000 OMI Corporation(a) 551,250
24,360 Overseas Shipholding Group 456,750
--------------
1,354,156
--------------
WHOLESALE TRADE--DURABLE GOODS (0.3%)
4,500 Bearings, Inc. 128,812
--------------
TOTAL COMMON STOCKS (COST $36,091,272) 35,740,473
--------------
SHORT-TERM HOLDINGS (6.5%)
922,299 Dreyfus Cash Management Fund 922,299
1,549,046 Institutional Funds Group TempFund
Fund 1,549,046
--------------
TOTAL SHORT-TERM HOLDINGS (COST $2,471,345) 2,471,345
--------------
TOTAL INVESTMENTS CONTRARIAN STOCK FUND (100.0%)
(COST $38,562,617) $38,211,818
--------------
--------------
<CAPTION>
FACE/SHARE
AMOUNT SECURITY DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL FUND
- ----------------------------------------------------
International Portfolio of Core Trust
(Delaware)(n) $145,755,249
--------------
TOTAL INVESTMENTS INTERNATIONAL FUND (100.0%)
(COST $130,534,729) $145,755,249
--------------
--------------
- ----------------------------------------------------
NOTES TO PORTFOLIOS OF INVESTMENTS
- ----------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Part or all of this investment on loan, see Note 6 of
Notes to Financial Statements.
(c) Repurchase agreements are collateralized by
$25,000,000 Federal Farm Credit Bank Discount Notes, 5.23%, due 8/6/96;
$20,000,000 Federal Farm Credit Bank Discount Notes, 5.30%, due 9/9/96;
$17,000,000 Federal Farm Credit Bank Discount Notes, 5.17%, due 11/21/96;
$47,000,000 Federal Home Loan Bank Discount Notes, 5.20%, due 2/13/97;
$100,000,000 Federal Home Loan Mortgage Discount Notes, 5.24%, due 9/3/96;
$32,860,000 Federal National Mortgage Association Discount Notes, 5.23%, due
8/6/96; $20,480,000 Federal National Mortgage Association Discount Notes,
5.30%, due 9/5/96; $77,000,000 Federal National Mortgage Association
Discount Notes, 5.17%, due 11/27/96; $48,000,000 Federal National Mortgage
Association Discount Notes, 5.14%, due 12/24/96.
(d) Securities that may be resold to "qualified institutional
buyers" under rule 144A or securities offered pursuant to Section 4(2) of
the Securities Act of 1933, as amended. These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(e) At May 31, 1996, $461,000 of U.S. Treasury Bills, due
3/6/97 with a market value of $442,373 and $645,000 of U.S. Treasury Bills,
due 6/6/96 with a market value of $644,733 were pledged to cover margin
requirements for open futures contracts. Futures contracts open at May 31,
1996 were as follows:
[LOGO]
See Notes to Financial Statements.
123
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONCLUDED) MAY 31, 1996
- ----------------------------------------------------
NOTES TO PORTFOLIOS OF INVESTMENTS (continued)
- ----------------------------------------------------
(f) During the period November 1, 1995 through May 31,
1996, Index Fund purchased 15,400 shares of Norwest Bank Minnesota, N.A.
(g) Inverse floaters represent securities that pay interest at
a rate that increases (decreases) in the same magnitude as, or in a multiple
of, a decline (increase) in the LIBOR (London InterBank Offering Rate)
Index. Interest rate disclosed is the rate in effect on May 31, 1996.
(h) Principal only securities entitle holders to receive only
principal payments on the underlying mortgages. The yield to maturity of a
principal only is sensitive to the rate of principal payments on the
underlying mortgage assets. A slow (rapid) rate of principal repayments may
have an adverse (positive) effect on yield to maturity. Interest rate
disclosed represents current yield based upon the current cost basis and
estimated timing of future cash flows.
(i) As of May 31, 1996, Diversified Equity Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represented 62.81%, 22.91%, and
31.24%, respectively, of those portfolios' outstanding interests.
Accordingly, the Fund may be deemed to own 62.81%, 22.91%, and 31.24% of
each security and other assets net of other liabilities of the respective
portfolios. The Portfolios of Investments of Index Portfolio, Small Company
Portfolio, and International Portfolio II are presented beginning at page
133.
(j) As of May 31, 1996, Growth Equity Fund's investment
in Small Company Portfolio and International Portfolio II of Core Trust
(Delaware) represented 63.74% and 50.23%, respectively, of those portfolios'
outstanding interests. Accordingly, the Fund may be deemed to own 63.74% and
50.23% of each security and other assets net of other liabilities of the
respective portfolios. The Portfolios of Investments of Small Company
Portfolio and International Portfolio II are presented beginning at page
141.
(k) As of May 31, 1996, Conservative Balanced Fund's
investment in Index Portfolio, Small Company
- ----------------------------------------------------
NOTES TO PORTFOLIOS OF INVESTMENTS (continued)
- ----------------------------------------------------
Portfolio, and International Portfolio II of Core Trust (Delaware)
represented 2.99%, 1.08%, and 1.43%, respectively, of those portfolios'
outstanding interests. Accordingly, the Fund may be deemed to own 2.99%,
1.08%, and 1.43% of each security and other assets net of other liabilities
of the respective portfolios. The Portfolios of Investments of Index
Portfolio, Small Company Portfolio, and International Portfolio II are
presented beginning at page 133.
(l) As of May 31, 1996, Moderate Balanced Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represented 11.86%, 4.25%, and 5.99%,
respectively, of those portfolios' outstanding interests. Accordingly, the
Fund may be deemed to own 11.86%, 4.25%, and 5.99% of each security and
other assets net of other liabilities of the respective portfolios. The
Portfolios of Investments of Index Portfolio, Small Company Portfolio, and
International Portfolio II are presented beginning at page 133.
(m) As of May 31, 1996, Growth Balanced Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represented 22.34%, 8.02%, and 11.11%,
respectively, of those portfolios' outstanding interests. Accordingly, the
Fund may be deemed to own 22.34%, 8.02%, and 11.11% of each security and
other assets net of other liabilities of the respective portfolios. The
Portfolios of Investments of Index Portfolio, Small Company Portfolio, and
International Portfolio II are presented beginning at page 133.
(n) As of May 31, 1996, International Fund's investment
in International Portfolio of Core Trust (Delaware) represented
substantially all of the Portfolio's outstanding interests. Accordingly, the
Fund may be deemed to own substantially all of the securities and other
assets net of other liabilities of the Portfolio. The Portfolios of
Investments of International Portfolio of Core Trust (Delaware) is presented
beginning at page 150.
[LOGO]
See Notes to Financial Statements.
124
<PAGE>
CORE TRUST (DELAWARE)
ANNUAL REPORT
MAY 31, 1996
INDEX PORTFOLIO
SMALL COMPANY PORTFOLIO
INTERNATIONAL PORTFOLIO II
INTERNATIONAL PORTFOLIO
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS & LIABILITIES MAY 31, 1996
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value(a)........................ $359,957,265 $401,175,544 $420,601,676 $141,106,142
Cash............................................ - 49,998 23,943,501 3,308,949
Collateral for securities loaned, at value...... - 14,161,184 - -
Receivable for forward foreign currency
contracts, net................................ - - 1,682,632 569,533
Interest, dividends and other receivables....... 882,948 334,736 1,299,414 450,878
Receivable for securities sold.................. 62,690 3,467,592 1,815,276 448,727
Organization costs, net of amortization......... 20,965 20,965 20,965 20,965
------------ ------------ ------------- -------------
TOTAL ASSETS...................................... 360,923,868 419,210,019 449,363,464 145,905,194
------------ ------------ ------------- -------------
LIABILITIES
Payable for securities purchased................ - 2,842,686 9,416,848 -
Payable for securities loaned................... - 14,161,184 - -
Payable for daily variation margin on futures
contracts..................................... 373,150 - - -
Accrued advisory fees........................... - - - 54,483
Accrued administration fees..................... 25,393 21,304 20,439 16,110
Accrued expenses and other liabilities.......... 56,170 57,733 111,020 79,352
------------ ------------ ------------- -------------
TOTAL LIABILITIES................................. 454,713 17,082,907 9,548,307 149,945
------------ ------------ ------------- -------------
NET ASSETS........................................ $360,469,155 $402,127,112 $439,815,157 $145,755,249
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
COMPONENTS OF NET ASSETS
Investors' capital.............................. $270,230,777 $341,471,617 $389,842,731 $130,223,690
Accumulated net unrealized appreciation from
investments................................... 90,238,378 60,655,495 49,972,426 15,531,559
------------ ------------ ------------- -------------
NET ASSETS........................................ $360,469,155 $402,127,112 $439,815,157 $145,755,249
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
(a) Investments at cost........................... $270,503,162 $340,520,049 $372,307,435 $126,142,766
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
125
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE SEVEN MONTHS ENDED MAY 31, 1996
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
----------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income................................. $ 483,689 $ 647,160 $ 284,269 $ 112,054
Dividend income(a).............................. 4,287,420 2,361,573 4,188,597 1,383,786
Securities lending income....................... - 27,816 - -
----------- ----------- ------------- -------------
TOTAL INCOME...................................... 4,771,109 3,036,549 4,472,866 1,495,840
----------- ----------- ------------- -------------
EXPENSES
Advisory........................................ 281,183 1,844,601 1,005,925 316,701
Administration.................................. 187,455 204,956 223,539 105,567
Custodian....................................... - - 168,182 53,131
Accounting...................................... 65,000 42,000 54,000 57,500
Legal........................................... 8,210 8,925 14,632 4,601
Auditing........................................ 26,500 25,500 32,000 30,000
Trustees........................................ 2,022 2,147 2,318 872
Amortization of organization costs.............. 3,542 3,542 3,542 3,542
Other........................................... 32,920 28,402 29,838 12,558
----------- ----------- ------------- -------------
TOTAL EXPENSES.................................... 606,832 2,160,073 1,533,976 584,472
Expenses reimbursed and fees waived............. (288,227) (1,845,851) (1,005,925) (11,873)
----------- ----------- ------------- -------------
NET EXPENSES...................................... 318,605 314,222 528,051 572,599
----------- ----------- ------------- -------------
NET INVESTMENT INCOME............................. 4,452,504 2,722,327 3,944,815 923,241
----------- ----------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS......................................
Net realized gain from
Securities...................................... 7,088,003 39,718,461 3,633,359 583,456
Foreign currency transactions................... - - 2,800,336 806,006
Futures contracts............................... 1,075,247 - - -
----------- ----------- ------------- -------------
Net Realized Gain from Investments................ 8,163,250 39,718,461 6,433,695 1,389,462
----------- ----------- ------------- -------------
Net change in unrealized appreciation of
Securities...................................... 35,561,724 24,917,293 34,466,145 11,246,954
Foreign currency transactions................... - - 1,782,310 605,599
Futures contracts............................... 784,275 - - -
----------- ----------- ------------- -------------
Net Change in Unrealized Appreciation of
Investments...................................... 36,345,999 24,917,293 36,248,455 11,852,553
----------- ----------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS...................................... 44,509,249 64,635,754 42,682,150 13,242,015
----------- ----------- ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS............ $48,961,753 $67,358,081 $46,626,965 $14,165,256
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
(a) Net of foreign withholding taxes of........... $ - $ - $ 611,671 $ 212,147
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
126
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE PERIOD FROM NOVEMBER 11, 1994 TO OCTOBER 31,
1995
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income................................. $ 124,028 $ 1,027,949 $ 872,188 $ 101,349
Dividend income(a).............................. 6,080,927 1,194,253 5,110,224 1,569,270
Securities lending income....................... - 5,324 - -
------------ ------------ ------------- -------------
TOTAL INCOME...................................... 6,204,955 2,227,526 5,982,412 1,670,619
------------ ------------ ------------- -------------
EXPENSES
Advisory........................................ 359,914 2,260,342 1,231,536 368,007
Administration.................................. 239,943 251,149 273,675 122,669
Custodian....................................... - - 211,856 66,902
Accounting...................................... 92,534 54,267 83,967 89,534
Legal........................................... 14,150 14,824 16,163 4,819
Auditing........................................ 26,000 25,000 32,500 30,500
Trustees........................................ 5,176 5,411 5,906 1,759
Amortization of organization costs.............. 5,853 5,853 5,853 5,853
Other........................................... 40,171 31,627 54,244 42,269
------------ ------------ ------------- -------------
TOTAL EXPENSES.................................... 783,741 2,648,473 1,915,700 732,312
Expenses reimbursed and fees waived............. (376,096) (2,260,342) (1,232,140) (78,610)
------------ ------------ ------------- -------------
NET EXPENSES...................................... 407,645 388,131 683,560 653,702
------------ ------------ ------------- -------------
NET INVESTMENT INCOME............................. 5,797,310 1,839,395 5,298,852 1,016,917
------------ ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM
INVESTMENTS
Net realized gain (loss) from
Securities...................................... 1,948,912 33,935,810 (1,940,307) (1,858,530)
Foreign currency transactions................... - - 4,182,334 1,135,597
------------ ------------ ------------- -------------
Net Realized Gain (Loss) from Investments......... 1,948,912 33,935,810 2,242,027 (722,933)
------------ ------------ ------------- -------------
Net change in unrealized appreciation
(depreciation) of
Securities...................................... 53,892,378 35,738,202 13,828,096 3,716,422
Foreign currency transactions................... - - (104,125) (37,416)
------------ ------------ ------------- -------------
Net Change in Unrealized Appreciation of
Investments...................................... 53,892,378 35,738,202 13,723,971 3,679,006
------------ ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM
INVESTMENTS...................................... 55,841,290 69,674,012 15,965,998 2,956,073
------------ ------------ ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS............ $ 61,638,600 $ 71,513,407 $ 21,264,850 $ 3,972,990
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
(a) Net of foreign withholding taxes of........... $ - $ - $ 755,343 $ 390,068
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
127
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SEVEN MONTHS ENDED MAY 31, 1996
AND THE PERIOD ENDED OCTOBER 31, 1995
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS, NOVEMBER 11, 1994(A).................. $ - $ - $ - $ -
------------ ------------ ------------- -------------
OPERATIONS
Net investment income........................... 5,797,310 1,839,395 5,298,852 1,016,917
Net realized gain (loss) from investments....... 1,948,912 33,935,810 2,242,027 (722,933)
Net change in unrealized appreciation of
investments................................... 53,892,378 35,738,202 13,723,971 3,679,006
------------ ------------ ------------- -------------
61,638,600 71,513,407 21,264,850 3,972,990
------------ ------------ ------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions................................... 254,124,900 262,830,339 342,127,908 102,787,458
Withdrawals..................................... (26,557,028) (23,684,010) (20,745,928) (14,450,220)
------------ ------------ ------------- -------------
227,567,872 239,146,329 321,381,980 88,337,238
------------ ------------ ------------- -------------
NET ASSETS, OCTOBER 31, 1995...................... $289,206,472 $310,659,736 $342,646,830 $ 92,310,228
------------ ------------ ------------- -------------
OPERATIONS
Net investment income........................... $ 4,452,504 $ 2,722,327 $ 3,944,815 $ 921,241
Net realized gain from investments.............. 8,163,250 39,718,461 6,433,695 1,389,462
Net change in unrealized appreciation of
investments................................... 36,345,999 24,917,293 36,248,455 11,852,553
------------ ------------ ------------- -------------
48,961,753 67,358,081 46,626,965 14,165,256
------------ ------------ ------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions................................... 35,664,130 38,617,524 68,261,441 43,221,959
Withdrawals..................................... (13,363,200) (14,508,229) (17,720,079) (3,942,194)
------------ ------------ ------------- -------------
22,300,930 24,109,295 50,541,362 39,279,765
------------ ------------ ------------- -------------
NET ASSETS, MAY 31, 1996.......................... $360,469,155 $402,127,112 $439,815,157 $145,755,249
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
(a) Commencement of operations.
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
128
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Core Trust (Delaware) ("Core Trust") is registered as an open-end management
investment company which currently has four separate investment portfolios.
These financial statements relate to Index Portfolio, Small Company Portfolio,
International Portfolio II, and International Portfolio (each a "Portfolio" and
collectively the "Portfolios"), diversified portfolios which commenced
operations on November 11, 1994. Interests in the Portfolios are sold without
any sales charge in private placement transactions to institutional clients,
including open-end management investment companies.
CHANGE OF FISCAL YEAR-END-The Portfolios changed their fiscal year ends to May
31 from October 31, effective May 31, 1996.
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Portfolios' financial statements are prepared in accordance with generally
accepted accounting principles based upon the following significant accounting
policies. The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. The Notes to
Financial Statements are an integral part of the financial statements.
SECURITIES VALUATION-Short-term securities that mature in 60 days or less are
valued at amortized cost. Equity securities for which market quotations are
readily available are valued using the last reported sales price provided by
independent pricing services. If no sales are reported, the mean of the last bid
and ask price is used. If no mean price is available, the last bid price is
used. Fixed income and other securities, for which market quotations are readily
available, are valued using the mean of the bid and ask prices provided by
independent pricing services. If no mean price is available the last bid price
is used. In the absence of readily available market quotations, securities are
valued at fair value determined in accordance with procedures adopted by the
Board of Trustees.
FOREIGN CURRENCY-Amounts are translated into U.S dollars at the mean of the bid
and asked prices of such currencies against U.S. dollars as follows: assets and
liabilities at the rate of exchange at the end of the respective period,
purchases and sales of securities and income and expenses at the rate of
exchange prevailing on the dates of such transactions. It is not practical to
isolate that portion of the results of operations arising from changes in the
exchange rates from the portion arising from changes in the market prices of
securities.
EXPENSE ALLOCATION-Expenses incurred with respect to any two or more Portfolios
are allocated in proportion to the net assets of such Portfolios except where
another more appropriate allocation of expenses can be made. Expenses directly
attributable to a Portfolio are charged to that Portfolio.
FEDERAL INCOME TAX-The Portfolios are treated as partnerships for Federal income
tax purposes. Any interest, dividends, gains and losses of the Portfolios are
deemed to have been passed through to the Portfolios' interestholders in
proportion to their holdings of the Portfolios. As partnerships, no Federal
income tax provision is required.
INTEREST AND DIVIDEND INCOME-Interest income is accrued as earned. Dividends on
securities held by the Portfolios are recorded on the ex-dividend date.
FUTURES CONTRACTS-To hedge against anticipated future changes in interest rates
or securities prices, Index Portfolio may enter into financial futures contracts
for the delayed delivery of securities or contracts based on financial indices
at a fixed price on a future date. The Portfolio is required to deposit either
in cash or securities an amount equal to a certain percentage of the contract
amount. Subsequent payments are made or received by the Portfolio each day,
dependent on the daily fluctuations in the value of the underlying security or
securities or index, and are recorded for financial statement purposes as
unrealized gains or losses by the Portfolio. The Portfolio recognizes a realized
gain or loss when the contract is closed or expires. Should interest rates or
securities prices move unexpectedly, the Portfolio may not achieve the
anticipated benefits of the financial futures contracts and may realize a loss.
If forecasts of interest rates and other market factors are incorrect,
investment performance will diminish compared to what performance would have
been if these investment techniques were not used. Even if the forecasts are
correct, there is risk that the positions may correlate imperfectly with the
asset or liability being hedged. Other risks of entering into these transactions
are that a liquid secondary market may not always exist, or that another party
to a transaction may not perform.
REPURCHASE AGREEMENTS-Each Portfolio may purchase portfolio securities from
financial institutions deemed to be creditworthy by the Portfolio's investment
adviser subject to the seller's agreement to repurchase and the Portfolio's
agreement to resell such securities. Securities received as collateral in
connection with the repurchase agreements are maintained by CoreTrust and must
have, at all times, an aggregate market value greater than or equal to the
repurchase price plus accrued interest. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolios require the seller to deposit
CORE TRUST (DELAWARE)
129
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
additional collateral by the next business day. In the event that the seller
under the agreement defaults on its repurchase obligation or fails to deposit
sufficient collateral, the Portfolios have the contractual right, subject to the
requirements of applicable bankruptcy and insolvency laws, to sell the
underlying securities at market value and may claim any resulting loss from the
seller. For certain demand agreements, there is no agreed upon repurchase date
and interest payments are calculated daily, often based upon the prevailing
overnight repurchase rate.
SECURITY LOANS-The Portfolios receive compensation for lending securities in the
form of fees or by retaining a portion of interest on the investment securities
or any cash received as collateral. A Portfolio also continues to receive
interest or dividends on the securities loaned. Security loans are secured at
all times by collateral equal to at least 102% of the market value of the
securities loaned plus accrued interest. Gain or loss in the market price of the
securities loaned that may occur during the term of the loan are reflected in
the value of the Portfolio.
ORGANIZATIONAL COSTS-The costs incurred by each Portfolio in connection with its
organization, in the amount of $30,360 have been capitalized and are being
amortized using the straight line method over a five year period beginning on
the commencement of the Portfolio's operations. Certain of these costs were paid
by Forum Financial Services, Inc. and will be reimbursed by the respective
Portfolios.
REALIZED GAINS AND LOSSES-Security transactions are recorded on a trade date
basis and realized gains and losses on investments sold are determined on the
basis of identified cost.
- --------------------------------------------------------------------------------
NOTE 3. FINANCIAL INSTRUMENTS
FINANCIAL FUTURES CONTRACTS-As of May 31, 1996, Index Portfolio held open
futures contracts. The contractual amount of a futures contract represents the
investment the Portfolio has in a particular contract and does not necessarily
represent the amounts potentially subject to risk. The measurement of futures
contracts is meaningful only when all related and offsetting transactions are
considered. A summary of obligations under open futures contracts at May 31,
1996 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
POSITION CONTRACTS INDEX (DEPRECIATION)
- ------------ --------- -------------------------------------------- --------------
<S> <C> <C> <C>
Long 89 S&P 500 Futures, Expiring June 21, 1996 $848,275
Long 27 S&P 500 Futures, Expiring September 20, 1996 (64,000)
--------------
$784,275
--------------
--------------
</TABLE>
As of May 31, 1996, the Portfolio had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
FOREIGN CURRENCY CONTRACTS-International Portfolio II and International
Portfolio may enter into forward contracts to purchase or sell foreign
currencies to protect against the effect on the U.S. dollar value of the
underlying portfolio of possible adverse movements in foreign exchange rates.
Risk associated with such contracts include the movement in value of the foreign
currency relative to the U.S. dollar and the ability of the counterparty to
perform. Fluctuations in the value of such contracts are recorded as unrealized
gains or losses; realized gains or losses include net gains or losses on
contracts which have terminated by settlement or by the Portfolio entering into
offsetting commitments. At May 31, 1996 the Portfolios were obligated to deliver
(sell) foreign currencies in exchange for U.S. dollars as follows:
<TABLE>
<CAPTION>
CONTRACT UNREALIZED
DATE CURRENCY UNITS U.S. DOLLARS APPRECIATION
------------- ------------ ------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
International Portfolio II.... June 14, 1996 Swiss Franc 23,200,000 $19,162,821 $ 553,683
International Portfolio II.... June 21, 1996 Japanese Yen 4,930,000,000 46,943,439 1,128,949
------------
$1,682,632
------------
------------
International Portfolio....... June 14, 1996 Swiss Franc 6,800,000 $ 5,649,984 $ 195,582
International Portfolio....... June 21, 1996 Japanese Yen 1,633,000,000 15,549,419 373,951
------------
$ 569,533
------------
------------
</TABLE>
CORE TRUST (DELAWARE)
130
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER-The investment adviser of Index Portfolio and Small Company
Portfolio is Norwest Investment Management, a part of Norwest Bank Minnesota,
N.A. ("Norwest"). Norwest Bank Minnesota, N.A. is a subsidiary of Norwest
Corporation. The investment adviser of International Portfolio II and
International Portfolio is Schroder Capital Management International Inc.
("Schroder"). Schroder is a wholly-owned U.S. subsidiary of Schroders
Incorporated, the wholly-owned U.S. holding company subsidiary of Schroders plc.
The investment advisers receive advisory fees from Core Trust with respect to
Index Portfolio, Small Company Portfolio, International Portfolio II, and
International Portfolio at annual rates of 0.15%, 0.90%, 0.45% and 0.45%,
respectively, of the average daily net assets of each Portfolio. Norwest is
required to waive its investment advisory fee for serving as investment adviser
to Index Portfolio and Small Company Portfolio and will reimburse International
Portfolio II for all investment advisory fees International Portfolio II pays to
Schroder.
ADMINISTRATIVE AND OTHER SERVICES-The administrator of Core Trust is Forum
Financial Services, Inc. ("Forum"), a registered broker-dealer and a member of
the National Association of Securities Dealers, Inc. Forum receives an
administration fee from Index Portfolio, Small Company Portfolio and
International Portfolio II at an annual rate of 0.10% of the average daily net
assets of these Portfolios. Forum receives an administration fee at an annual
rate of 0.15% of the average daily net assets of International Portfolio. In
addition for the periods ended October 31, 1995 and May 31, 1996, respectively,
certain legal expenses were charged to the Portfolios by Forum. The respective
amounts for Index Portfolio, Small Company Portfolio, International Portfolio II
and International Portfolio were $5,701 and $3,320, $5,924 and $3,606, $6,453
and $3,966 and $1,969 and $1,278.
Forum Financial Corp. ("FFC"), an affiliate of Forum, provides Portfolio
accounting services to the Portfolios. For these services, FFC receives a fee of
$36,000 per year for each Portfolio plus certain amounts based upon the type of
Portfolio, and number and types of portfolio transactions within each Portfolio.
For its interestholder recordkeeping services, FFC receives a fee of $12,000 per
year for each Portfolio.
Norwest serves as the custodian for Index Portfolio and Small Company Portfolio
and may appoint certain subcustodians to custody those portfolios' foreign
securities and other assets held in foreign countries. Norwest receives no
compensation for its custodial services.
WAIVERS AND REIMBURSEMENTS-For the periods ended October 31, 1995 ("1995") and
May 31, 1996 ("1996"), fees waived and reimbursed by the Portfolio's service
providers were as follows:
<TABLE>
<CAPTION>
EXPENSES EXPENSES
REIMBURSED REIMBURSED BY FEES WAIVED BY FORUM FEES WAIVED BY
BY FORUM NORWEST NORWEST
----------- -------------------- -------------------- --------------------
1995 1995 1996 1995 1996 1995 1996
----------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Index Portfolio...................... $ 16,182 $ - $ - $ - $ 7,045 $ 359,914 $ 281,182
Small Company Portfolio.............. - - - - 1,250 2,260,342 1,844,601
International Portfolio II........... 605 1,231,535 1,005,925 - - - -
International Portfolio.............. 8,567 - - 70,043 11,873 - -
</TABLE>
- --------------------------------------------------------------------------------
NOTE 5. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales (including maturities) of securities
(excluding short-term investments) during the period ended May 31, 1996 were as
follows:
<TABLE>
<CAPTION>
PROCEEDS
COST OF FROM
PURCHASES SALES
------------ ------------
<S> <C> <C>
Index Portfolio............... $ 22,046,960 $ 31,280,285
Small Company Portfolio....... 317,521,051 284,586,051
International Portfolio II.... 121,615,474 63,008,687
International Portfolio....... 55,089,771 15,835,515
</TABLE>
CORE TRUST (DELAWARE)
131
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1996
- --------------------------------------------------------------------------------
NOTE 5. SECURITIES TRANSACTIONS (CONTINUED)
Gross unrealized appreciation and depreciation based on identified tax cost as
of May 31, 1996 were as follows:
<TABLE>
<CAPTION>
UNREALIZED UNREALIZED TAX
APPRECIATION DEPRECIATION COST BASIS
------------ ------------ ------------
<S> <C> <C> <C>
Index Portfolio............... $91,451,734 $ 2,043,857 $270,549,388
Small Company Portfolio....... 66,846,225 7,131,322 341,460,641
International Portfolio II.... 58,992,377 10,698,136 372,307,435
International Portfolio....... 18,543,231 3,580,981 126,143,892
</TABLE>
- --------------------------------------------------------------------------------
NOTE 6. PORTFOLIO SECURITIES LOANED
As of May 31, 1996 Small Company Portfolio had loaned securities with a market
value of $13,646,713 which were collateralized by various securities, including
time deposits, commercial paper, corporate bonds and repurchase agreements with
a market value of $14,161,184.
- --------------------------------------------------------------------------------
NOTE 7. FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-----------------------------------------
NET PORTFOLIO AVERAGE
INVESTMENT GROSS TURNOVER COMMISSION
INCOME(A) EXPENSES(A) EXPENSES(A)(B) RATE RATE
---------- ----------- -------------- -------- ----------
<S> <C> <C> <C> <C> <C>
INDEX PORTFOLIO
November 1, 1995 to May 31,
1996......................... 2.35% 0.17% 0.32% 7.21% $0.0501
November 11, 1994 to October
31, 1995..................... 2.42% 0.17% 0.33% 7.73% N/A
SMALL COMPANY PORTFOLIO
November 1, 1995 to May 31,
1996......................... 1.32% 0.15% 1.04% 84.00% $0.0562
November 11, 1994 to October
31, 1995..................... 0.73% 0.15% 1.05% 126.01% N/A
INTERNATIONAL PORTFOLIO II
November 1, 1995 to May 31,
1996......................... 1.75% 0.23% 0.68% 17.58% $0.0247
November 11, 1994 to October
31, 1995..................... 1.94% 0.25% 0.70% 28.19% N/A
INTERNATIONAL PORTFOLIO
November 1, 1995 to May 31,
1996......................... 1.30% 0.81% 0.82% 14.12% $0.0325
November 11, 1994 to October
31, 1995..................... 1.24% 0.80% 0.90% 29.41% N/A
</TABLE>
(a) Annualized.
(b) During each period certain fees and expenses were waived or reimbursed.
Gross expenses reflect what the expense ratio would have been had these
waivers and reimbursements not occurred.
CORE TRUST (DELAWARE)
132
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO
- ----------------------------------------------------
COMMON STOCKS (89.1%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
5,300 Pioneer Hi-Bred International, Inc. $ 299,450
--------------
AMUSEMENT & RECREATION SERVICES (0.8%)
6,500 Harrah's Entertainment, Inc.(a) 218,564
43,200 The Walt Disney Company 2,624,400
--------------
2,842,964
--------------
APPAREL & ACCESSORY STORES (0.5%)
6,600 Charming Shoppes, Inc. 52,800
18,200 Gap, Inc. 611,975
6,700 Melville Corporation 272,188
5,200 Nordstrom, Inc. 265,200
4,600 TJX Companies, Inc. 162,150
17,400 The Limited, Inc. 361,050
--------------
1,725,363
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
4,700 Liz Claiborne, Inc. 174,488
4,100 V.F. Corporation 249,589
--------------
424,077
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.0%)
3,900 Pep Boys-Manny, Moe & Jack 128,700
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.0%)
1,800 Centex Corporation 54,225
2,100 Kaufman & Broad Home Corporation 31,238
1,700 Pulte Corporation 47,600
--------------
133,063
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.5%)
30,300 Home Depot, Inc. 1,549,089
10,200 Lowe's Companies, Inc. 349,350
--------------
1,898,439
--------------
BUSINESS SERVICES (3.5%)
10,400 3Com Corporation(a) 512,200
2,900 Autodesk, Inc. 100,775
18,500 Automatic Data Processing, Inc. 709,938
11,600 C.U.C. International, Inc.(a) 429,200
4,600 Cabletron Systems, Inc.(a) 334,650
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
4,200 Ceridian Corporation(a) $ 222,075
15,400 Computer Associates International,
Inc. 1,120,352
3,600 Computer Sciences Corporation(a) 283,951
14,200 First Data Corporation 1,132,450
5,000 Interpublic Group of Companies, Inc. 231,875
37,700 Microsoft Corporation(a) 4,476,875
23,400 Novell, Inc.(a) 333,450
3,100 Ogden Corporation 60,063
41,550 Oracle Systems Corporation(a) 1,376,345
3,700 Safety Kleen Corporation 61,513
1,500 Shared Medical Systems Corporation 100,313
11,600 Sun Microsystems, Inc.(a) 726,450
12,300 UST, Inc. 405,900
--------------
12,618,375
--------------
CHEMICALS & ALLIED PRODUCTS (6.7%)
50,200 Abbott Laboratories 2,164,877
7,100 Air Products & Chemicals, Inc. 422,450
1,800 Alberto Culver Company 71,325
4,100 Allergan, Inc. 157,850
5,200 Alza Corporation(a) 148,200
4,300 Avon Products, Inc. 397,750
17,200 Baxter International, Inc. 761,100
32,100 Bristol-Myers Squibb Company 2,740,539
3,300 Clorox Company 280,913
9,200 Colgate-Palmolive Company 724,500
6,000 Dial Corporation 172,500
16,600 Dow Chemical Company 1,388,177
35,300 E.I. du Pont de Nemours & Company 2,815,175
5,100 Eastman Chemical Company 341,700
4,100 Ecolab, Inc. 133,250
35,000 Eli Lilly & Company 2,248,750
2,300 FMC Corporation(a) 154,675
3,400 Goodrich (B.F.) Company 134,725
4,100 Great Lakes Chemical Corporation 264,450
7,000 Hercules, Inc. 397,250
7,000 International Flavors & Fragrances,
Inc. 340,376
4,700 Mallinckrodt Group, Inc. 176,838
7,400 Monsanto Company 1,123,876
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
133
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
9,300 Morton International, Inc. $ 353,400
4,300 Nalco Chemical Company 136,525
12,300 PPG Industries, Inc. 636,525
32,000 Pharmacia & Upjohn, Inc. 1,308,001
8,900 Praxair, Inc. 361,564
4,300 Rohm & Haas Company 291,325
23,100 Schering-Plough Corporation 1,354,238
5,400 Sherwin-Williams Company 242,325
8,700 Union Carbide Corporation 375,188
6,200 W.R. Grace & Company 461,900
17,200 Warner-Lambert Company 963,200
--------------
24,045,437
--------------
COMMUNICATIONS (7.7%)
7,366 360 Communications Company(a) 170,339
101,600 AT&T Corporation 6,337,301
31,500 Airtouch Communications, Inc.(a) 1,004,063
12,000 Alltel Corporation 378,000
35,200 Ameritech Corporation 1,988,800
27,800 Bell Atlantic Corporation 1,734,027
63,100 BellSouth Corporation 2,563,438
15,200 Comcast Corporation, Class A 264,102
61,500 GTE Corporation 2,629,125
2,300 King World Productions, Inc.(a) 96,025
43,300 MCI Communications Corporation 1,261,113
27,300 NYNEX Corporation 1,259,214
27,200 Pacific Telesis Group 907,801
38,700 SBC Communications, Inc. 1,910,814
27,400 Sprint Corporation 1,161,076
41,500 Tele-Communications, Inc.(a) 783,315
29,900 US West Communications Group 975,489
29,900 US West Media Group(a) 564,363
23,400 Viacom, Inc., Class B(a) 991,577
12,300 WorldCom, Inc.(a) 601,163
--------------
27,581,145
--------------
DEPOSITORY INSTITUTIONS (6.4%)
28,910 Banc One Corporation 1,069,665
7,100 Bank of Boston Corporation 354,108
12,700 Bank of New York Company, Inc. 658,808
23,500 BankAmerica Corporation 1,768,370
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
5,000 Bankers Trust New York Corporation $ 375,620
6,000 Barnett Banks, Inc. 375,000
10,000 Boatmen's Bancshares, Inc. 404,371
27,756 Chase Manhattan Corporation 1,942,915
30,900 Citicorp 2,595,600
7,600 Comerica, Inc. 332,500
8,800 Corestates Financial Corporation 346,502
6,400 Fifth Third Bancorp 348,800
9,300 First Bank System, Inc. 561,483
20,436 First Chicago NBD Corporation 891,518
18,100 First Union Corporation 1,106,359
16,900 Fleet Financial Group, Inc. 745,709
3,700 Golden West Financial Corporation 203,034
8,700 Great Western Financial Corporation 200,100
7,500 H.F. Ahmanson & Company 193,120
11,900 J.P. Morgan & Company, Inc. 1,033,808
15,000 KeyCorp 581,245
8,500 Mellon Bank Corporation 485,558
13,900 National City Corporation 495,183
18,800 NationsBank Corporation 1,525,147
22,400 Norwest Corporation(e) 781,200
21,700 PNC Bank Corporation 659,133
3,600 Republic New York Corporation 227,700
14,400 Suntrust Banks, Inc. 525,600
9,600 U.S. Bancorp 342,001
10,800 Wachovia Corporation 463,046
6,200 Wells Fargo & Company 1,494,200
--------------
23,087,403
--------------
EATING & DRINKING PLACES (0.8%)
10,100 Darden Restaurants, Inc. 119,939
1,500 Luby's Cafeterias, Inc. 36,938
8,000 Marriott International, Inc. 380,000
44,200 McDonald's Corporation 2,127,127
3,400 Ryan's Family Steak Houses, Inc.(a) 30,175
2,600 Shoney's, Inc.(a) 31,850
7,500 Wendy's International, Inc. 135,000
--------------
2,861,029
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
134
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRIC, GAS, & SANITARY SERVICES (3.9%)
11,800 American Electric Power Company $ 473,471
9,400 Baltimore Gas & Electric Company 257,322
13,500 Browning-Ferris Industries 411,745
10,000 CINergy Corporation 296,247
9,800 Carolina Power & Light Company 354,022
13,100 Central & Southwest Corporation 361,885
6,700 Coastal Corporation 274,700
3,100 Columbia Gas System, Inc. 151,508
14,900 Consolidated Edison Company of New
York, Inc. 415,335
5,900 Consolidated Natural Gas Company 285,408
9,200 DTE Energy Company 269,100
11,200 Dominion Resources, Inc. 424,201
13,000 Duke Power Company 627,245
4,300 ENSERCH Corporation 92,983
1,300 Eastern Enterprises 44,358
28,300 Edison International 466,945
16,000 Enron Corporation 640,000
14,500 Entergy Corporation 380,621
11,700 FPL Group, Inc. 500,170
7,600 General Public Utilities Corporation 254,600
16,700 Houston Industries, Inc. 365,308
18,700 Laidlaw, Inc., Class B 189,333
9,200 Niagara Mohawk Power Corporation 70,146
3,200 Nicor, Inc. 88,800
7,900 NorAm Energy Corporation 83,933
4,300 Northern States Power Company 202,100
9,700 Ohio Edison Company 212,183
1,700 Oneok, Inc. 46,320
10,100 PP&L Resources, Inc. 231,033
18,600 PacifiCorp 374,320
5,400 Pacific Enterprises 142,420
26,600 Pacific Gas & Electric Company 618,445
9,500 Panenergy Corporation 305,184
14,100 Peco Energy Company 347,209
2,200 People's Energy Corporation 70,400
15,500 Public Service Enterprise Group,
Inc. 410,750
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS, & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
5,500 Sonat, Inc. $ 233,060
42,300 Southern Company 978,189
14,300 Texas Utilities Company 584,513
6,500 Union Electric Company 255,939
30,900 WMX Technologies, Inc. 1,089,225
6,500 Williams Companies, Inc. 326,626
--------------
14,207,302
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (6.4%)
13,800 AMP, Inc. 581,325
8,300 Advanced Micro Devices, Inc.(a) 146,289
4,950 Andrew Corporation(a) 268,538
6,900 Cooper Industries, Inc. 294,114
7,300 DSC Communications Corporation(a) 219,913
14,200 Emerson Electric Company 1,215,875
106,100 General Electric Company 8,779,775
7,800 General Instrument Corporation(a) 240,825
2,500 Harris Corporation 161,563
8,100 Honeywell, Inc. 411,075
7,600 ITT Corporation(a) 467,400
52,200 Intel Corporation 3,941,100
8,200 LSI Logic Corporation(a) 255,226
6,900 Maytag Corporation 148,350
13,200 Micron Technology, Inc. 425,700
37,500 Motorola, Inc. 2,503,125
8,600 National Semiconductor
Corporation(a) 139,750
3,100 National Service Industries 120,513
16,100 Northern Telecom, Ltd. 873,425
2,800 Raychem Corporation 209,300
4,900 Scientific-Atlanta, Inc. 92,488
5,600 Tellabs, Inc.(a) 361,200
12,000 Texas Instruments, Inc. 675,000
2,600 Thomas & Betts Corporation 100,100
4,700 Whirlpool Corporation 267,314
--------------
22,899,283
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.2%)
10,800 Dun & Bradstreet Corporation 689,852
3,100 EG&G, Inc. 67,425
--------------
757,277
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
135
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.7%)
1,900 Ball Corporation $ 52,488
1,900 Crane Company 80,038
7,900 Crown Cork & Seal Company, Inc. 369,325
28,200 Gillette Company 1,667,326
4,700 Parker-Hannifin Corporation 191,525
2,600 Snap-On, Inc. 125,126
2,800 Stanley Works 169,751
--------------
2,655,579
--------------
FOOD STORES (0.5%)
16,100 Albertson's, Inc. 641,990
9,300 American Stores Company 347,589
3,800 Giant Food, Inc., Class A 131,100
2,400 Great Atlantic & Pacific Tea Company 82,200
7,900 Kroger Company(a) 310,075
9,700 Winn-Dixie Stores, Inc. 334,650
--------------
1,847,604
--------------
FOOD & KINDRED PRODUCTS (7.3%)
2,400 Adolph Coors Company 45,000
16,200 Anheuser-Busch Companies, Inc. 1,154,250
33,100 Archer Daniels Midland Company 645,450
4,400 Brown-Forman Corporation 178,751
9,300 CPC International, Inc. 642,864
15,800 Campbell Soup Company 1,019,100
15,700 Conagra, Inc. 669,213
10,100 General Mills, Inc. 579,489
23,550 Heinz (H.J.) Company 783,039
4,900 Hershey Foods Corporation 356,475
13,800 Kellogg Company 1,003,950
100,200 PepsiCo, Inc. 3,331,650
43,600 Procter & Gamble Company 3,831,352
8,500 Quaker Oats Company 298,563
6,700 Ralston-Ralston Purina Group 410,375
30,800 Sara Lee Corporation 1,027,951
23,700 Seagram Company, Ltd. 820,614
159,400 The Coca-Cola Company 7,332,400
10,200 Unilever N.V. 1,375,727
6,700 Whitman Corporation 168,338
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
7,400 Wrigley (Wm) Jr. Company $ 387,576
--------------
26,062,127
--------------
FURNITURE & FIXTURES (0.1%)
10,200 Masco Corporation 318,750
--------------
GENERAL MERCHANDISE STORES (2.5%)
4,600 Dayton Hudson Corporation 469,200
7,200 Dillard Department Stores, Inc. 288,000
12,900 Federated Department Stores, Inc.(a) 446,663
4,600 Harcourt General, Inc. 233,450
14,200 J.C. Penney Company, Inc. 736,625
29,200 KMart Corporation 339,452
15,800 May Department Stores Company 748,525
2,300 Mercantile Stores Company, Inc. 148,350
2,528 Payless ShoeSource, Inc.(a) 71,100
12,400 Price/Costco, Inc.(a) 248,000
24,800 Sears Roebuck and Company 1,261,702
145,800 Wal-Mart Stores, Inc. 3,772,577
8,500 Woolworth Corporation(a) 174,250
--------------
8,937,894
--------------
HEALTH SERVICES (0.6%)
6,300 Beverly Enterprises, Inc.(a) 77,175
28,300 Columbia HCA Healthcare Corporation 1,524,664
2,800 Community Psychiatric Centers(a) 26,600
4,000 Manor Care, Inc. 156,000
13,300 Tenet Healthcare Corporation(a) 285,950
--------------
2,070,389
--------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS
(0.2%)
5,300 Fluor Corporation 345,825
2,500 Foster Wheeler Corporation 111,250
7,300 Halliburton Company 406,065
--------------
863,140
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.1%)
6,200 Circuit City Stores 202,275
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (0.1%)
3,000 Bally Entertainment Corporation(a) 72,000
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
136
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (continued)
<TABLE>
<C> <S> <C>
3,100 Hilton Hotels Corporation $ 334,025
--------------
406,025
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (5.3%)
7,600 Amdahl Corporation(a) 89,300
7,900 Apple Computer, Inc. 206,389
11,400 Applied Materials, Inc.(a) 424,650
9,100 Baker Hughes, Inc. 285,514
11,700 Bay Networks, Inc.(a) 339,300
5,500 Black & Decker Corporation 226,188
1,800 Briggs & Stratton Corporation 77,400
6,100 Brunswick Corporation 136,488
4,500 Case Corporation 225,563
12,500 Caterpillar, Inc. 820,313
2,200 Cincinnati Milacron, Inc. 52,800
35,100 Cisco Systems, Inc.(a) 1,921,725
16,900 Compaq Computer Corporation(a) 821,765
1,600 Cray Research, Inc.(a) 43,800
2,500 Cummins Engine Company, Inc. 106,250
2,400 Data General Corporation(a) 30,600
16,700 Deere & Company 695,139
9,700 Digital Equipment Corporation(a) 505,614
7,200 Dover Corporation 342,000
11,500 Dresser Industries, Inc. 336,375
14,500 EMC Corporation(a) 320,813
3,000 General Signal Corporation 114,750
2,200 Giddings & Lewis, Inc. 36,575
3,000 Harnischfeger Industries, Inc. 105,000
32,400 Hewlett-Packard Company 3,458,700
6,900 Ingersoll-Rand Company 290,663
2,900 Intergraph Corporation(a) 38,063
36,100 International Business Machines
Corporation 3,853,675
3,500 McDermott International, Inc. 76,125
1,300 Outboard Marine Corporation 25,188
7,300 Pall Corporation 195,275
9,600 Pitney Bowes, Inc. 476,401
10,300 Silicon Graphics, Inc.(a) 283,250
7,500 Tandem Computers, Inc.(a) 93,750
4,000 Tandy Corporation 216,000
11,000 Tenneco, Inc. 591,250
2,000 Timken Company 78,750
1,800 Trinova Corporation 59,400
9,700 Tyco International, Ltd. 383,150
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
10,900 Unisys Corporation(a) $ 88,563
2,600 Varity Corporation(a) 127,726
26,400 Westinghouse Electric Corporation 485,102
--------------
19,085,342
--------------
INSURANCE AGENTS, BROKERS, & SERVICE (0.3%)
2,800 Alexander & Alexander Services, Inc. 55,650
6,900 Aon Corporation 347,588
10,300 Humana, Inc.(a) 226,600
4,600 Marsh & McLennan Companies, Inc. 430,675
--------------
1,060,513
--------------
INSURANCE CARRIERS (3.4%)
7,300 Aetna Life & Casualty Company 538,375
28,400 Allstate Corporation 1,199,900
13,000 American General Corporation 461,500
30,100 American International Group, Inc. 2,836,926
4,800 CIGNA Corporation 551,402
11,000 Chubb Corporation 512,875
5,200 General Re Corporation 759,200
7,600 ITT Hartford Group, Inc. 393,300
4,500 Jefferson-Pilot Corporation 231,188
6,600 Lincoln National Corporation 310,200
7,500 Loews Corporation 598,125
6,000 Providian Corporation 261,750
8,000 Safeco Corporation 269,502
5,400 St. Paul Companies, Inc. 285,526
4,600 Torchmark Corporation 196,077
30,150 Travelers Group, Inc. 1,251,225
9,800 U.S. Healthcare, Inc. 531,650
2,200 US Life Corporation 66,000
7,100 USF&G Corporation 113,600
11,100 United Healthcare Corporation 609,113
4,600 Unum Corporation 271,400
--------------
12,248,834
--------------
LEATHER & LEATHER PRODUCTS (0.0%)
1,100 Brown Group, Inc. 18,700
3,100 Stride Rite Corporation 27,900
--------------
46,600
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
137
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
6,900 Louisiana-Pacific Corporation $ 169,913
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.8%)
3,600 Bard (C.R.), Inc. 118,351
3,600 Bausch & Lomb, Inc. 154,800
4,100 Becton, Dickinson & Company 348,500
7,300 Biomet, Inc.(a) 102,200
11,000 Boston Scientific Corporation(a) 471,625
21,700 Eastman Kodak Company 1,613,940
2,600 Johnson Controls, Inc. 181,350
14,800 Medtronic, Inc. 832,500
2,800 Millipore Corporation 122,850
2,700 Perkin-Elmer Corporation 143,100
2,900 Polaroid Corporation 130,500
15,400 Raytheon Company 820,050
4,400 St. Jude Medical, Inc.(a) 167,200
2,100 Tektronix, Inc. 79,800
3,600 U.S. Surgical Corporation 123,300
6,900 Xerox Corporation 1,085,889
--------------
6,495,955
--------------
METAL MINING (0.7%)
22,400 Barrick Gold Corporation 705,600
5,900 Cyprus Amax Minerals Company 141,600
8,000 Echo Bay Mines, Ltd. 108,000
12,800 Freeport McMoran Inc., Class B 425,600
8,800 Homestake Mining Company 181,502
6,000 Newmont Mining Corporation 361,500
15,200 Placer Dome, Inc. 450,301
8,400 Santa Fe Pacific Gold Corporation 128,100
--------------
2,502,203
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
5,600 Hasbro, Inc. 211,400
7,600 ITT Industries, Inc. 208,051
2,500 Jostens, Inc. 56,563
17,468 Mattel, Inc. 476,003
600 NACCO Industries, Inc. 33,600
--------------
985,617
--------------
MISCELLANEOUS RETAIL (0.3%)
1,300 Longs Drug Stores, Inc. 55,738
5,300 Rite Aid Corporation 155,688
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
17,300 Toys "R" Us, Inc.(a) $ 501,700
15,600 Walgreen Company 497,250
--------------
1,210,376
--------------
MOTION PICTURES (0.1%)
13,600 Unicom Corporation 375,700
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.1%)
2,500 Caliber System, Inc. 92,814
2,800 Consolidated Freightways, Inc. 66,500
1,800 Yellow Corporation(a) 23,400
--------------
182,714
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.9%)
30,800 American Express Company 1,409,100
3,400 Beneficial Corporation 198,050
10,800 Dean Witter Discover & Company 639,900
11,500 Federal Home Loan Mortgage
Corporation 950,189
69,300 Federal National Mortgage
Association 2,139,638
8,800 Green Tree Financial Corporation 288,200
6,200 Household International, Inc. 429,350
14,200 MBNA Corporation 434,876
4,300 Transamerica Corporation 348,300
--------------
6,837,603
--------------
OIL & GAS EXTRACTION (1.0%)
8,000 Burlington Resources, Inc. 304,000
1,600 Helmerich & Payne, Inc. 58,000
20,200 Occidental Petroleum Corporation 522,676
6,600 Oryx Energy Company(a) 107,250
16,600 Phillips Petroleum Company 688,900
5,400 Rowan Companies, Inc.(a) 81,675
5,655 Santa Fe Energy Resources, Inc.(a) 67,860
15,400 Schlumberger, Ltd. 1,283,976
18,300 USX-Marathon Group, Inc. 400,314
3,400 Western Atlas, Inc.(a) 208,250
--------------
3,722,901
--------------
PAPER & ALLIED PRODUCTS (1.9%)
3,400 Avery Dennison Corporation 193,800
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
138
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PAPER & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
3,400 Bemis Company, Inc. $ 112,626
3,100 Boise Cascade Corporation 130,200
6,100 Champion International Corporation 269,163
5,800 Georgia Pacific Corporation 419,050
16,600 International Paper Company 661,926
5,400 James River Corporation of Virginia 134,325
17,708 Kimberly-Clark Corporation 1,290,474
3,400 Mead Corporation 182,750
26,700 Minnesota Mining & Manufacturing
Company 1,822,275
6,300 Stone Container Corporation 97,650
3,600 Temple-Inland, Inc. 177,300
4,500 Union Camp Corporation 236,815
6,400 Westvaco Corporation 204,800
12,800 Weyerhaeuser Company 580,802
3,500 Willamette Industries 210,000
--------------
6,723,956
--------------
PERSONAL SERVICES (0.2%)
6,600 H & R Block, Inc. 230,176
7,500 Service Corporation International 419,064
--------------
649,240
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.6%)
5,900 Amerada Hess Corporation 336,300
31,600 Amoco Corporation 2,291,000
4,100 Ashland, Inc. 175,275
10,200 Atlantic Richfield Company 1,220,176
41,400 Chevron Corporation 2,473,650
78,900 Exxon Corporation 6,686,775
3,300 Kerr-McGee Corporation 193,875
2,100 Louisiana Land & Exploration Company 113,138
25,100 Mobil Corporation 2,833,165
2,900 Pennzoil Company 125,425
34,100 Royal Dutch Petroleum Company 5,115,000
4,800 Sun Company, Inc. 147,000
16,800 Texaco, Inc. 1,407,000
15,700 Unocal Corporation 510,250
--------------
23,628,029
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PHARMACEUTICAL PREPARATIONS (4.2%)
39,800 American Home Products Corporation $ 2,129,300
16,900 Amgen, Inc.(a) 1,005,550
42,300 Johnson & Johnson 4,118,964
78,200 Merck & Company, Inc. 5,053,676
40,400 Pfizer, Inc. 2,858,300
--------------
15,165,790
--------------
PRIMARY METAL INDUSTRIES (0.8%)
14,300 Alcan Aluminum, Ltd. 468,325
11,300 Aluminum Company of America 696,363
6,700 Armco Inc.(a) 35,175
2,700 Asarco, Inc. 84,713
7,200 Bethlehem Steel Corporation(a) 91,800
9,200 Engelhard Corporation 225,400
7,500 Inco, Ltd. 244,689
3,100 Inland Steel Industries, Inc. 67,038
5,600 Nucor Corporation 308,000
4,400 Phelps Dodge Corporation 301,400
4,000 Reynolds Metals Company 216,000
5,300 USX-US Steel Group, Inc. 164,300
5,800 Worthington Industries, Inc. 116,726
--------------
3,019,929
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.2%)
4,700 American Greetings Corporation 127,488
5,200 Deluxe Corporation 188,500
6,200 Dow Jones & Company, Inc. 242,577
8,900 Gannett Company, Inc. 620,775
1,900 John H. Harland Company 51,538
3,100 Knight-Ridder, Inc. 231,725
6,400 McGraw-Hill Companies, Inc. 300,000
1,800 Meredith Corporation 82,576
6,300 Moore Corporation, Ltd. 117,338
6,100 New York Times Company 200,538
9,800 R.R. Donnelley & Sons Company 360,150
24,600 Time Warner, Inc. 993,225
6,900 Times Mirror Company 301,013
4,000 Tribune Company 296,502
--------------
4,113,945
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
139
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
RAILROAD TRANSPORTATION (0.9%)
9,000 Burlington Northern Santa Fe
Corporation $ 762,750
13,400 CSX Corporation 663,300
5,000 Conrail, Inc. 351,250
8,200 Norfolk Southern Corporation 707,250
13,100 Union Pacific Corporation 918,639
--------------
3,403,189
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.8%)
2,300 Armstrong World Industries 135,413
5,300 Cooper Tire and Rubber Company 127,864
9,700 Goodyear Tire & Rubber Company 489,850
7,500 Illinois Tool Works, Inc. 502,500
9,100 Nike, Inc., Class B 913,413
4,800 Reebok International, Ltd. 145,801
10,000 Rubbermaid, Inc. 280,000
3,900 Tupperware Corporation 178,425
--------------
2,773,266
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.4%)
11,200 Merrill Lynch & Company, Inc. 725,200
9,900 Morgan Stanley Group, Inc. 490,050
6,800 Salomon, Inc. 284,751
--------------
1,500,001
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.3%)
14,600 Corning, Inc. 558,450
10,100 Newell Company 303,000
3,300 Owens-Corning Corporation(a) 132,825
--------------
994,275
--------------
TEXTILE MILL PRODUCTS (0.1%)
4,800 Fruit of the Loom, Inc.(a) 129,600
2,500 Russell Corporation 68,750
1,300 Springs Industries, Inc. Class A 60,288
--------------
258,638
--------------
TOBACCO PRODUCTS (1.6%)
11,500 American Brands, Inc. 503,125
53,000 Philip Morris Companies, Inc. 5,266,876
--------------
5,770,001
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION SERVICES (0.0%)
5,000 Ryder System, Inc. $ 146,250
--------------
TRANSPORTATION BY AIR (0.4%)
4,900 AMR Corporation(a) 462,439
3,300 Delta Airlines, Inc. 273,490
3,600 Federal Express Corporation(a) 275,851
9,100 Southwest Airlines Company 249,114
4,000 U.S. Air Group, Inc.(a) 79,000
--------------
1,339,894
--------------
TRANSPORTATION EQUIPMENT (4.3%)
18,000 Allied-Signal, Inc. 985,500
21,800 Boeing Company 1,858,450
24,000 Chrysler Corporation 1,599,001
6,400 Dana Corporation 214,400
4,900 Eaton Corporation 283,589
3,900 Echlin, Inc. 134,064
2,900 Fleetwood Enterprises, Inc. 87,363
68,200 Ford Motor Company 2,489,300
4,000 General Dynamics Corporation 246,501
47,600 General Motors Corporation 2,623,951
12,700 Lockheed Martin Corporation 1,065,213
7,100 McDonnell Douglas Corporation 717,100
4,700 Navistar International
Corporation(a) 48,763
3,100 Northrop Grumman Corporation 194,138
2,500 Paccar, Inc. 123,125
13,800 Rockwell International Corporation 805,576
4,200 TRW, Inc. 395,850
3,500 Teledyne, Inc. 132,125
5,400 Textron, Inc. 457,650
7,800 United Technologies Corporation 853,126
--------------
15,314,785
--------------
WHOLESALE TRADE--DURABLE GOODS (0.2%)
648 Earthgrains Company(a) 23,328
7,800 Genuine Parts Company 354,900
3,200 Grainger (W.W.), Inc. 214,002
1,800 Potlatch Corporation 74,250
--------------
666,480
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
140
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
8,100 Alco Standard Corporation $ 506,250
2,400 Fleming Companies, Inc. 37,500
3,200 Sigma Aldrich 179,200
4,300 Supervalu, Inc. 133,300
11,700 Sysco Corporation 399,263
--------------
1,255,513
--------------
TOTAL COMMON STOCKS (COST $231,065,946) 320,520,542
--------------
PREFERRED STOCKS (0.0%)
TRANSPORTATION EQUIPMENT (0.0%)
35 Teledyne, Inc. (cost $0) 494
--------------
TIME DEPOSITS (10.5%)
37,958,007 Banque Bruxelles Lambert Grand
Cayman Branch, 5.50%, due 6/3/96
(cost $37,958,007) 37,958,007
--------------
U.S. TREASURY OBLIGATIONS (0.4%)
611,000 U.S. Treasury Bills, 5.024% yield,
due 6/6/96(d) 610,746
904,000 U.S. Treasury Bills, 5.295% yield,
due 3/6/97(d) 867,476
--------------
U.S. TREASURY OBLIGATIONS (COST $1,479,209) 1,478,222
--------------
TOTAL INVESTMENTS (100.0%) (COST $270,503,162)
$359,957,265
--------------
--------------
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO
- ----------------------------------------------------
SMALL COMPANY CORE INVESTMENT STYLE (31.6%)
COMMON STOCKS (30.5%)
BUSINESS SERVICES (2.2%)
136,200 American Business Information,
Inc.(a) $ 2,502,676
55,600 Ciber, Inc.(a) 2,543,700
72,750 GMIS, Inc.(a) 1,036,688
169,400 Symantec Corporation(a)(b) 2,668,040
--------------
8,751,104
--------------
CHEMICALS & ALLIED PRODUCTS (0.6%)
61,800 OM Group, Inc. 2,502,900
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (0.4%)
168,900 Insituform Technologies Class A(a) $ 1,604,550
--------------
DEPOSITORY INSTITUTIONS (0.3%)
133,600 Bank Plus Corporation(a) 1,210,751
--------------
ELECTRIC, GAS, & SANITARY SERVICES (0.3%)
171,850 Unit Corporation(a) 1,224,431
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (5.3%)
45,400 BMC Industries, Inc. 1,350,650
73,400 DII Group, Inc.(a)(b) 2,458,900
38,900 Harman International Industries,
Inc. 2,042,250
59,000 IPC Information Systems, Inc.(a) 1,253,750
49,200 InterVoice, Inc.(a) 1,094,700
133,900 Powell Industries, Inc.(a) 1,556,588
30,000 Sheldahl, Inc.(a) 776,251
201,700 Smartflex Systems, Inc.(a) 3,744,058
109,700 Symmetricom, Inc.(a) 1,480,950
15,000 Tekelec(a) 228,750
105,200 Zilog, Inc.(a) 3,879,250
66,800 Zitel Corporation(a)(b) 1,202,390
--------------
21,068,487
--------------
HEALTH SERVICES (0.3%)
63,200 Inphynet Medical Management,
Inc.(a)(b) 1,374,600
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.6%)
85,400 Felcor Suite Hotels, Inc. 2,636,725
135,000 RFS Hotel Investors, Inc. 2,333,925
116,700 Sunstone Hotel Investors, Inc. 1,254,525
--------------
6,225,175
--------------
INDUSTRIAL & COMMERCIAL MACHINERY &
COMPUTER EQUIPMENT (1.6%)
15,550 Dreco Energy Services Limited(a) 431,513
88,550 Kentek Information Systems, Inc.(a) 1,095,807
87,100 Paxar Corporation(a) 1,458,925
103,200 Rainbow Technologies, Inc.(a) 2,386,501
73,950 Varco International, Inc.(a) 1,229,408
--------------
6,602,154
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
141
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
INSURANCE CARRIERS (0.5%)
65,050 Sierra Health Services, Inc.(a) $ 2,097,863
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.4%)
181,800 Circon Corporation(a) 2,386,127
82,600 Empi, Inc.(a) 1,445,500
62,000 GeoScience Corporation(a) 1,255,501
88,400 Tech-Sym Corporation(a)(b) 3,016,652
24,300 Zygo Corporation(a)(b) 1,421,540
--------------
9,525,320
--------------
MISCELLANEOUS RETAIL (1.0%)
145,550 Friedman's, Inc. Class A(a) 4,111,788
--------------
MOTOR FREIGHT TRANSPORTATION &
WAREHOUSING (0.5%)
62,900 Covenant Transportation, Inc.(a) 967,089
58,600 Swift Transportation, Inc.(a) 1,084,100
--------------
2,051,189
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.9%)
156,800 AmeriCredit Corporation(a) 2,371,603
139,400 Imperial Credit Industries, Inc.(a) 4,077,452
56,700 WFS Financial, Inc.(a) 1,219,051
--------------
7,668,106
--------------
OIL & GAS EXTRACTION (7.1%)
123,800 Box Energy Corporation, Class B(a) 1,238,000
165,000 Digicon, Inc.(a)(b) 2,763,750
244,500 Global Natural Resources, Inc.(a) 3,942,564
102,800 Lomak Petroleum, Inc.(b) 1,413,500
120,600 Nuevo Energy Company(a) 3,738,600
46,500 Newpark Resources, Inc.(a)(b) 1,685,626
97,200 Parker & Parsley Petroleum Company,
Delaware(b) 2,369,250
75,700 Pride Petroleum Services, Inc.(a)(b) 1,305,825
122,600 Tetra Technologies, Inc.(a) 2,543,950
188,400 Tuboscope Vetco International
Corporation(a) 2,496,300
78,200 United Meridian Corporation(a) 2,228,700
101,300 Vintage Petroleum, Inc. 2,633,790
--------------
28,359,855
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
PRIMARY METAL INDUSTRIES (0.3%)
100,200 Maverick Tube Corporation(a) $ 1,315,125
--------------
REAL ESTATE (0.9%)
180,950 NHP, Inc.(a) 3,438,050
--------------
SAVINGS INSTITUTIONS, FEDERALLY CHARTERED (1.5%)
72,700 Coast Savings Financial(a) 2,435,450
90,250 First Federal Savings Bank of
Colorado 1,195,813
81,900 Imperial Thrift & Loan
Association(a) 1,208,025
39,500 Long Island Bancorp, Inc. 1,120,813
--------------
5,960,101
--------------
SERVICES, NOT ELSEWHERE CLASSIFIED (0.6%)
65,500 Chemed Corporation Series 00007911 2,464,437
--------------
TRANSPORTATION BY AIR (0.3%)
23,000 Atlas Air, Inc.(a)(b) 1,339,750
--------------
WHOLESALE TRADE--DURABLE GOODS (0.9%)
132,300 StorMedia, Inc.(a) 3,390,187
--------------
TOTAL COMMON STOCKS (COST $102,454,234) 122,285,923
--------------
REPURCHASE AGREEMENTS (1.1%)
4,628,061 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$4,630,134 (cost $4,628,061)(c) 4,628,061
--------------
TOTAL SMALL COMPANY CORE INVESTMENT STYLE (COST
$107,082,295) $126,913,984
--------------
--------------
SMALL COMPANY VALUE INVESTMENT STYLE (33.1%)
COMMON STOCKS (33.0%)
AMUSEMENT & RECREATION SERVICES (0.3%)
33,800 Cedar Fair L.P. $ 1,292,850
--------------
AUTOMOTIVE REPAIR, SERVICES, & PARKING (0.3%)
25,200 PHH Corporation 1,395,452
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS &
OPERATIVE BUILDERS (0.3%)
27,800 Continental Homes Holding
Corporation 684,576
80,400 MDC Holdings, Inc. 562,800
--------------
1,247,376
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
142
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
BUSINESS SERVICES (0.4%)
51,200 Information Resources, Inc.(a) $ 640,000
36,200 MacNeal-Schwendler Corporation 402,726
38,700 Sequent Computer Systems, Inc.(a) 512,765
--------------
1,555,491
--------------
CHEMICALS & ALLIED PRODUCTS (2.4%)
19,500 Bio-Rad Laboratories, Inc.(a) 1,004,250
69,400 First Mississippi Corporation 1,717,650
145,000 NL Industries, Inc. 1,667,500
130,000 Sterling Chemicals, Inc.(a) 1,495,000
46,500 Terra Nitrogen Company, L.P. 2,144,814
69,200 Wellman, Inc. 1,565,651
--------------
9,594,865
--------------
DEPOSITORY INSTITUTIONS (3.3%)
88,000 Center Financial Corporation 1,859,002
75,360 Commerce Bancorp, Inc. 1,827,481
30,100 First Citizens BancShares, Inc. 1,911,350
54,300 First Hawaiian, Inc. 1,533,975
50,200 One Valley Bancorp of West Virginia 1,625,226
77,500 Peoples Bank of Bridgeport,
Connecticut 1,598,440
76,600 Peoples Heritage Financial Group,
Inc. 1,522,426
88,500 Trans Financial, Inc. 1,382,804
--------------
13,260,704
--------------
EATING & DRINKING PLACES (0.9%)
102,700 Perkins Family Restaurants, L.P. 1,232,400
53,100 Sbarro, Inc. 1,413,788
247,800 TCBY Enterprises, Inc. 1,084,130
--------------
3,730,318
--------------
ELECTRIC, GAS, & SANITARY SERVICES (4.3%)
39,500 CILCORP, Inc. 1,683,689
121,300 Central Vermont Public Service 1,683,040
70,400 Energen Corporation 1,654,400
58,400 IWC Resources Corporation 1,124,200
56,400 Isomedix, Inc.(a) 853,052
99,500 NUI Corporation 1,791,000
206,300 NorAm Energy Corporation 2,191,939
92,300 Public Service Company of New Mexico 1,730,625
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS, & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
69,200 Rochester Gas & Electric Corporation $ 1,392,651
81,200 Safety Kleen Corporation 1,349,952
43,700 United Illuminating Company 1,611,428
--------------
17,065,976
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (0.7%)
29,600 Exar Corporation(a) 481,000
40,300 Exide Electronics Group, Inc.(a) 614,575
12,200 Hutchinson Technology, Inc.(a) 692,350
16,600 Trinova Corporation 547,800
29,000 VLSI Technology, Inc.(a) 496,626
--------------
2,832,351
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.5%)
39,500 Sturm, Ruger & Company, Inc. 1,960,190
--------------
FOOD STORES (0.9%)
152,600 Ingles Markets, Inc. 1,964,731
125,500 Penn Traffic Company(a) 1,600,125
--------------
3,564,856
--------------
FURNITURE & FIXTURES (0.6%)
45,200 Kimball International, Inc., Class B 1,344,700
58,600 Knape & Vogt Manufacturing Company 922,950
--------------
2,267,650
--------------
HEALTH SERVICES (0.4%)
51,500 GranCare, Inc.(a) 946,314
73,000 Regency Health Services, Inc.(a) 739,126
--------------
1,685,440
--------------
INDUSTRIAL & COMMERCIAL MACHINERY &
COMPUTER EQUIPMENT (2.5%)
23,500 AGCO Corporation 707,938
60,000 AST Research, Inc.(a) 487,500
24,900 Allied Products Corporation 731,440
108,300 Brenco, Inc. 1,421,439
41,000 Dynatech Corporation(a) 1,429,876
44,800 Exabyte Corporation(a) 890,401
22,600 Kysor Industrial Corporation 596,076
36,600 Park-Ohio Industries(a) 823,500
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
143
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY &
COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
32,100 Printronix, Inc.(a) $ 826,575
32,600 Quantum Corporation(a) 778,326
39,900 Western Digital Corporation(a) 1,037,390
--------------
9,730,461
--------------
INSURANCE CARRIERS (2.9%)
78,400 Capitol American Financial
Corporation 1,940,400
66,500 Enhance Financial Services Group,
Inc. 1,928,500
93,400 Integon Corporation 1,762,928
93,600 Lawyers Title Corporation 1,567,800
98,400 Life Partners Group, Inc. 2,078,701
74,300 Life Re Corporation 2,266,140
--------------
11,544,469
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.6%)
41,000 Allied Healthcare Products, Inc. 471,500
25,700 Amcast Industrial Corporation 497,938
43,700 Haemonetics Corporation(a) 868,538
29,300 SpaceLabs Medical, Inc.(a) 710,525
--------------
2,548,501
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.4%)
8,900 NACCO Industries, Inc. 498,400
62,700 Oneida Limited 1,089,415
--------------
1,587,815
--------------
PAPER & ALLIED PRODUCTS (0.4%)
60,100 Chesapeake Corporation 1,600,163
--------------
PERSONAL SERVICES (0.3%)
48,600 Angelica Corporation 1,196,775
--------------
PIPELINES, EXCEPT NATURAL GAS (0.3%)
33,800 Buckeye Partners, L.P. 1,280,177
--------------
PRIMARY METAL INDUSTRIES (2.2%)
30,900 Acme Metals, Inc.(a) 525,300
46,500 MAXXAM, Inc.(a) 1,993,690
90,000 Quanex Corporation 2,092,500
30,800 Roanoke Electric Steel Corporation 438,900
34,400 Texas Industries, Inc. 2,154,300
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
160,600 WHX Corporation(a) $ 1,606,000
--------------
8,810,690
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.0%)
28,800 Houghton Mifflin Company 1,364,402
56,100 John H. Harland Company 1,521,713
31,900 Plenum Publishing Corporation 1,132,450
--------------
4,018,565
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.1%)
40,400 Applied Extrusion Technologies,
Inc.(a) 550,451
--------------
SAVINGS INSTITUTIONS, FEDERALLY CHARTERED (1.3%)
49,600 Charter One Financial, Inc. 1,804,202
93,600 Roosevelt Financial Group, Inc. 1,673,100
159,305 Sovereign Bancorp, Inc. 1,672,693
--------------
5,149,995
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (2.4%)
55,200 Eaton Vance Corporation 1,807,800
130,300 Morgan Keegan, Inc. 1,726,475
117,300 Piper Jaffray Companies, Inc. 1,568,890
70,300 Raymond James Financial, Inc. 1,599,325
80,300 Waterhouse Investor Services, Inc. 2,940,990
--------------
9,643,480
--------------
SERVICES, NOT ELSEWHERE CLASSIFIED (0.3%)
29,600 Chemed Corporation Series 00007911 1,113,700
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.4%)
99,100 Excel Industries, Inc. 1,486,500
--------------
TRANSPORTATION EQUIPMENT (1.2%)
110,100 Navistar International
Corporation(a) 1,142,288
43,400 Gencorp, Inc. 656,426
102,400 Huffy Corporation 1,395,203
81,300 Standard Motor Products, Inc. 1,382,100
--------------
4,576,017
--------------
TRANSPORTATION SERVICES (0.3%)
48,500 American President Companies 1,279,188
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
144
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WATER TRANSPORTATION (0.3%)
70,500 Sea Containers, Ltd. $ 1,348,317
--------------
WHOLESALE TRADE--DURABLE GOODS (0.3%)
13,200 Barnes Group, Inc. 643,500
21,600 Commercial Metals Company 677,701
--------------
1,321,201
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.5%)
40,500 Bindley Western Industries, Inc. 693,564
80,500 Nash-Finch Company 1,348,375
--------------
2,041,939
--------------
TOTAL COMMON STOCKS (COST $122,641,029) 132,281,923
--------------
REPURCHASE AGREEMENTS (0.1%)
513,010 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$513,240 (cost $513,010)(c) 513,010
--------------
TOTAL SMALL COMPANY VALUE INVESTMENT STYLE (COST
$123,154,039) $132,794,933
--------------
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (35.3%)
COMMON STOCKS (34.1%)
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.8%)
92,600 Authentic Fitness Corporation $ 1,759,400
50,200 Warnaco Group, Inc., Class A 1,424,425
--------------
3,183,825
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS &
OPERATIVE BUILDERS (0.4%)
93,700 Del Webb Corporation 1,663,175
--------------
BUSINESS SERVICES (2.2%)
23,800 BMC Software Inc.(a) 1,499,400
61,000 Cognex Corporation(a) 1,082,750
136,000 Computervision Corporation(a) 1,581,001
72,700 Comshare, Inc. 2,144,650
141,600 Vanstar Corporation(a) 2,035,500
--------------
8,343,301
--------------
CHEMICALS & ALLIED PRODUCTS(4.4%)
94,000 Albemarle Corporation 2,115,000
57,500 Biovail Corporation International(a) 1,962,189
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
36,000 Elan Corporation, plc Sponsored
ADR(a)(b) $ 2,259,000
40,200 Genzyme Corporation(a) 2,341,650
53,200 Gilead Sciences, Inc.(a) 1,848,700
60,100 Martek Biosciences Corporation(a) 2,163,600
102,300 Sepracor, Inc.(a) 1,496,138
40,300 Teva Pharmaceutical 1,803,425
36,776 Watson Pharmaceuticals, Inc.(a) 1,654,910
--------------
17,644,612
--------------
COMMUNICATIONS (0.9%)
64,100 Central European Media Enterprises,
Ltd.(a) 1,682,625
19,800 Commnet Cellular Inc.(a) 680,626
48,700 Vanguard Cellular Systems, Inc.(a) 1,174,889
--------------
3,538,140
--------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (0.3%)
27,300 Oakwood Homes Corporation 1,324,050
--------------
DEPOSITORY INSTITUTIONS (2.6%)
14,900 BayBanks, Inc. 1,609,200
120,000 California Federal Bancorp, Inc.(a) 2,205,002
31,000 Commercial Federal Corporation 1,201,250
272,800 Dime Bancorp, Inc.(a) 3,410,000
101,700 Glendale Federal Bank(a) 1,817,888
--------------
10,243,340
--------------
ELECTRIC, GAS, & SANITARY SERVICES (1.4%)
214,500 Philip Environmental, Inc.(a) 1,876,875
101,100 U.S.A. Waste Services, Inc.(a) 2,982,450
11,300 United Waste Systems, Inc.(a) 622,913
--------------
5,482,238
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (3.5%)
42,500 Adaptec Inc.(a) 2,544,688
113,400 Applied Magnetics Corporation(a) 1,941,977
76,200 ITI Technologies, Inc.(a) 2,571,750
65,200 Komag, Inc.(a) 2,257,551
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
145
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (continued)
57,800 Lattice Semiconductor Corporation(a) $ 2,001,327
62,900 Silicon Valley Group(a) 1,509,600
36,700 Zilog, Inc.(a) 1,353,302
--------------
14,180,195
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.2%)
51,100 Cygnus, Inc.(a) 948,545
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.4%)
44,100 Blount International, Inc., Class A 1,466,325
--------------
FINANCIAL SERVICES (0.3%)
67,300 Credit Acceptance Corporation(a) 1,346,000
--------------
GENERAL MERCHANDISE STORES (0.7%)
77,600 Consolidated Stores Corporation(a) 2,939,101
--------------
HEALTH SERVICES (1.3%)
19,900 Genesis Health Ventures, Inc.(a) 629,338
21,700 Healthsource, Inc.(a) 490,964
105,300 OrNda Healthcorp(a) 2,645,663
54,300 Quorum Health Group, Inc.(a) 1,391,438
--------------
5,157,403
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.3%)
60,500 RFS Hotel Investors, Inc. 1,043,625
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (1.0%)
119,700 Red Roof, Inc.(a) 1,765,575
41,700 Sun International Hotels, Ltd.(a) 2,105,850
--------------
3,871,425
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.9%)
31,200 Case Corporation 1,563,901
42,000 Gateway 2000, Inc.(a) 1,590,750
97,900 Giddings & Lewis, Inc. 1,627,588
39,600 Greenfield Industries 1,494,900
79,600 Lexmark International Group, Inc.(a) 1,751,200
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
126,100 Varco International, Inc. $ 2,096,412
27,700 York International Corporation 1,464,632
--------------
11,589,383
--------------
INSURANCE CARRIERS (2.1%)
64,400 AmVestors Financial Corporation 966,000
83,000 Everest Reinsurance Holdings, Inc. 1,940,126
65,700 PartnerRe Ltd.(a) 1,971,000
56,200 The PMI Group, Inc. 2,430,650
28,350 Vesta Insurance Group, Inc. 985,163
--------------
8,292,939
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.6%)
68,500 Rayonier, Inc. 2,568,750
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.8%)
60,500 NeoPath, Inc.(a) 1,557,875
80,000 Possis Medical, Inc.(a) 1,490,001
--------------
3,047,876
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.5%)
56,300 Lear Seating Corporation(a) 2,174,589
--------------
MISCELLANEOUS RETAIL (1.5%)
48,200 Borders Group, Inc.(a) 1,578,550
106,300 Hollywood Entertainment
Corporation(a) 1,647,650
54,250 Office Max, Inc.(a) 1,417,281
33,900 Petsmart, Inc.(a) 1,508,550
--------------
6,152,031
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.6%)
102,000 Olympic Financial, Ltd.(a) 2,409,750
--------------
OIL & GAS EXTRACTION (2.2%)
25,800 Box Energy Corporation, Class B(a) 258,000
65,600 Input/Output, Inc.(a) 2,648,601
72,100 Parker & Parsley Petroleum Company,
Delaware(a) 1,757,437
76,700 Reading & Bates Corporation(a) 1,687,400
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
146
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
OIL & GAS EXTRACTION (continued)
<TABLE>
<C> <S> <C>
49,600 Sonat Offshore Drilling Company $ 2,628,800
--------------
8,980,238
--------------
PRIMARY METAL INDUSTRIES (0.3%)
21,800 Texas Industries, Inc. 1,365,225
--------------
REAL ESTATE (0.3%)
76,600 Newhall Land & Farming Company 1,302,200
--------------
WHOLESALE TRADE--DURABLE GOODS (1.2%)
140,900 Anixter International, Inc.(a) 2,360,075
105,900 Tech Data Corporation(a) 2,462,175
--------------
4,822,250
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.4%)
42,100 AmeriSource Health Corporation(a) 1,420,875
--------------
TOTAL COMMON STOCKS (COST $105,318,494) 136,501,406
--------------
REPURCHASE AGREEMENTS (1.2%)
4,965,221 BA Securities, Inc., 5.375%, due
6/3/96, to be repurchased at
$4,967,445 (cost $4,965,221)(c) 4,965,221
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$110,283,715) 141,466,627
--------------
--------------
TOTAL INVESTMENTS (100.0%) (COST $340,520,049)
$ 401,175,544
--------------
--------------
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II
- ----------------------------------------------------
ARGENTINA (0.1%)
COMMON STOCKS
91,982 Compania Naviera Perez Companc SA $ 588,589
--------------
588,589
--------------
BRAZIL (0.9%)
COMMON STOCKS
39,560 Telecomunicacoes Brasileiras
SA--Telebras ADR 2,546,677
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
BRAZIL (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
104,200 Usinas Siderurgicas de Minas Gerais
SA--Usiminas $ 1,107,646
--------------
3,654,323
--------------
CANADA (2.8%)
COMMON STOCKS
146,000 Canadian Pacific Ltd 2,987,090
327,000 NOVA Corporation 3,136,408
136,000 Noranda Inc 2,936,251
118,000 Royal Bank of Canada 2,814,434
--------------
11,874,183
--------------
CHILE (0.2%)
COMMON STOCKS
9,300 Compania Telecomunicacion Chile 848,625
--------------
848,625
--------------
FRANCE (4.4%)
COMMON STOCKS
40,000 Compagnie Generale des Eaux 4,273,158
2,900 Degremont (Soc Gen D'epur D'Assain) 268,067
118,000 Elf Aquitaine 8,530,010
8,373 Guilbert SA 1,247,094
137 Guilbert SA(f) 20,696
16,830 Primagaz (Cie Des Gaz Petrole) 1,791,429
45,000 Valeo 2,438,424
--------------
WARRANTS
1,530 Primagaz (Cie Des Gaz Petrole)(a) 30,857
--------------
18,599,735
--------------
GERMANY (9.1%)
COMMON STOCKS
2,500 Allianz AG Holdings 4,141,024
15,000 Bayer AG 5,025,206
1,500 Buderus AG 603,969
6,000 Linde AG 3,833,966
9,000 Mannesmann AG 3,128,846
27 Muenchener Rueckversicherungs-
Gesellschaft 47,817
10,000 Otto Reichelt AG 157,783
132,000 Siemens AG 7,399,398
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
147
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
GERMANY (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
219,000 Veba AG $ 11,461,870
200 Wella AG 106,586
--------------
PREFERRED STOCKS
1,800 Friedrich Grohe AG 476,102
3,400 Wella AG 1,835,341
--------------
38,217,908
--------------
HONG KONG (5.0%)
COMMON STOCKS
408,200 Cheung Kong Holdings Ltd 3,020,285
508,000 Citic Pacific Ltd 2,087,806
227,200 HSBC Holdings plc 3,435,529
407,700 Hongkong Electric Holdings Ltd 1,306,749
577,200 Hutchison Whampoa Ltd 3,707,507
301,900 Sun Hung Kai Properties Ltd 3,082,404
314,200 Swire Pacific Ltd 2,791,762
371,000 Wharf (Holdings) Ltd 1,431,256
--------------
20,863,298
--------------
INDONESIA (1.9%)
COMMON STOCKS
309,500 PT Indocement Tunggal Prakarsa 1,101,328
375,700 PT Indofoods Sukses Makmur 1,703,334
640,000 PT Indosat 2,201,929
1,500,000 PT Telekomunikasi Indonesia(a) 2,282,958
54,700 PT Unilever Indonesia 820,792
--------------
8,110,341
--------------
ITALY (1.4%)
COMMON STOCKS
1,029,000 Telecom Italia Mobile SpA 2,193,675
1,807,100 Telecom Italia SpA 3,607,312
--------------
WARRANTS
183,500 Parmalat Finanziaria(a) 106,927
--------------
5,907,914
--------------
JAPAN (31.4%)
COMMON STOCKS
80,000 Amada Metrecs Company Ltd 1,147,087
344,000 Bridgestone Corporation 5,982,607
670 DDI Corporation 5,801,294
116,000 Dai Nippon Printing Company Ltd 2,146,160
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
JAPAN (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
116,000 Dai-Tokyo Fire & Marine Insurance
Company $ 842,368
350 East Japan Railway Company 1,926,456
40,000 Fanuc Company 1,561,517
294,000 Fuji Photo Film Company 9,138,206
31,500 Hirose Electric Company 1,841,629
440,000 Hitachi Ltd 4,070,305
182,000 Ito-Yokado Company Ltd 10,320,631
37,000 Japan Airport Terminal Company 544,218
163,000 Kuraray Company Ltd 1,854,671
28,000 Kyocera Corporation 1,916,745
64,000 Mabuchi Motor Company 3,974,574
366,000 Matsushita Electric Industrial
Company Ltd 6,297,502
460,000 Mitsubishi Corporation 6,297,872
186,000 Mitsubishi Electric Corporation 1,273,265
440,000 Mitsubishi Heavy Industries Ltd 3,781,314
529,000 Mitsui & Company 4,869,149
186,000 Murata Manufacturing Company Ltd 6,813,690
4,000 Nippon Television Network
Corporation 1,132,284
178,000 Omron Corporation 3,606,104
74,000 SMC Corporation 5,852,914
63,000 Sankyo Company Ltd 1,491,952
33,000 Seino Transportation Company 555,597
117,600 Shin-Etsu Chemical Company 2,349,824
175,000 Showa Shell Sekiyu KK 1,845,513
300,000 Sumitomo Electric Industries 4,079,556
390,000 Takeda Chemical Industries 6,457,908
17,500 Toho Company 3,059,668
403,000 Tokio Marine & Fire Insurance
Company 5,219,242
90,000 Tokyo Electron Ltd 2,772,433
81,000 Tokyo Style 1,431,175
155,000 Toppan Printing Company Ltd 2,208,140
280,000 Toray Industries 1,890,842
245,000 Toyota Motor Corporation 5,598,059
--------------
131,952,471
--------------
KOREA, REPUBLIC OF (0.6%)
COMMON STOCKS
32,000 Korea Electric Power Corporation 1,422,710
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
148
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
KOREA, REPUBLIC OF (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
12,000 Pohang Iron & Steel Company Ltd $ 1,036,209
2,000 Samsung Electronics Company 175,138
602 Samsung Electronics Company 1st
New(a) 52,564
--------------
2,686,621
--------------
MALAYSIA (2.7%)
COMMON STOCKS
349,000 Genting Berhad 2,961,297
460,000 Malayan Banking Berhad 4,363,419
850,000 Renong Berhad 1,415,250
287,000 Telekom Malaysia Berhad 2,619,010
--------------
11,358,976
--------------
MEXICO (0.2%)
COMMON STOCKS
106,200 Apasco SA de CV 579,781
57,936 Cemex SA de CV 219,061
--------------
798,842
--------------
NETHERLANDS (11.4%)
COMMON STOCKS
9,223 Ceteco Holdings NV 391,723
50,772 Getronics NV 4,209,001
31,533 Hagemeyer NV 2,164,589
46,000 Heineken NV 10,408,249
147,945 Internationale Nederlanden Group NV 12,152,287
56,341 KLM Royal Dutch Air Lines NV 2,007,828
44,900 Koninklijke Sphinx Gustavsberg NV 765,951
9,399 Nedcon Groep NV 186,696
46,000 Oce-Van Der Grinten NV 4,487,935
35,000 Otra NV 797,452
200,000 Philips Electronics NV 7,080,680
26,931 Samas-Groep NV 983,342
127,500 VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit 2,085,646
--------------
PREFERRED STOCKS
6,100 Internationale Nederlanden Group NV 31,040
--------------
47,752,419
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
PHILIPPINES (1.9%)
COMMON STOCKS
1,463,000 Ayala Land Incorporated $ 2,513,745
30,300 Manila Electric Company 1,613,476
141,000 Manila Electric Company "B" Shares 1,440,149
15,000 Philippine Long Distance Telephone
Company 864,834
6,800 Philippine Long Distance Telephone
Company ADR 391,000
4,560,000 SM Prime Holdings(a) 1,114,318
--------------
7,937,522
--------------
SINGAPORE (2.4%)
COMMON STOCKS
252,000 City Developments, Ltd 1,930,624
222,000 Development Bank of Singapore Ltd 2,629,921
65,000 Jurong Shipyard Ltd 368,873
263,000 Keppel Corporation Ltd 2,201,462
148,400 Singapore Press Holdings Ltd 2,779,145
--------------
9,910,025
--------------
SWEDEN (2.9%)
COMMON STOCKS
150,000 Astra AB 6,764,688
162,500 Stora Kopparbergs Bergslags
Aktiebolag "B" Shares 2,136,950
138,000 Telefonaktiebolaget LM Ericsson "B"
Shares 3,086,124
--------------
11,987,762
--------------
SWITZERLAND (7.4%)
COMMON STOCKS
8,700 ABB Asea Brown Boveri Ltd 10,393,867
57,000 CS Holding AG 4,916,147
6,500 Ciba-Geigy AG 7,147,820
4,500 Nestle SA 5,067,081
500 Roche Holding AG 3,833,253
--------------
31,358,168
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
149
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
THAILAND (1.6%)
COMMON STOCKS
105,000 Land & House Public Company Ltd $ 1,658,833
28,300 Siam Cement Public Company Ltd 1,526,829
419,000 Siam City Bank Public Company Ltd 492,329
86,000 TelecomAsia Corporation Public
Company Ltd(a) 193,609
270,700 Thai Farmers Bank Public Company Ltd 3,100,557
--------------
6,972,157
--------------
UNITED KINGDOM (11.7%)
COMMON STOCKS
180,900 Airtours plc 1,443,500
449,700 Allied Colloids Group plc 884,908
550,000 Asda Group plc 1,007,708
115,900 Barclays plc 1,348,636
230,000 Barratt Developments plc 915,866
65,000 British Aerospace plc 894,329
175,600 British Airways plc 1,525,005
350,420 British Land Company plc 2,226,095
378,000 British Steel plc 998,590
249,700 Cable & Wireless plc 1,717,801
218,609 Cadbury Schweppes plc 1,636,011
258,000 Courtaulds plc 1,730,927
410,000 David S. Smith Holdings plc 1,893,090
125,000 De La Rue plc 1,390,611
130,000 English China Clays plc 547,878
295,600 Enterprise Oil plc 2,175,550
175,000 Guinness plc 1,262,202
135,000 Johnson Matthey plc 1,386,814
119,600 Kingfisher plc 1,128,547
696,300 LASMO plc 1,963,537
85,000 Laird Group plc 613,728
170,000 Lloyds TSB Group plc 824,449
800,000 Lucas Industries plc 3,036,876
546,900 MFI Furniture plc 1,559,182
365,370 Prudential Corporation plc 2,431,459
100,000 RTZ Corporation plc 1,557,174
312,000 Rank Organisation plc 2,475,116
128,300 The Peninsular and Orient Steam
Navigational Company 1,040,674
330,584 United News & Media plc 3,805,762
431,900 Vickers plc 1,706,454
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
367,800 Vodafone Group plc $ 1,456,041
30,000 Zeneca Group plc 637,277
--------------
49,221,797
--------------
TOTAL INVESTMENTS (100.0%) (COST $372,307,435)
$420,601,676
--------------
--------------
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO
- ----------------------------------------------------
ARGENTINA (0.2%)
COMMON STOCKS
45,991 Compania Naviera Perez Companc SA $ 294,294
--------------
294,294
--------------
BRAZIL (0.9%)
COMMON STOCKS
14,990 Telecomunicacoes Brasileiras
SA--Telebras ADR 964,982
35,000 Usinas Siderurgicas de Minas Gerais
SA--Usiminas 372,050
--------------
1,337,032
--------------
CANADA (2.9%)
COMMON STOCKS
50,000 Canadian Pacific Ltd 1,022,976
114,000 NOVA Corporation 1,093,427
47,000 Noranda Inc 1,014,734
40,000 Royal Bank of Canada 954,045
--------------
4,085,182
--------------
CHILE (0.2%)
COMMON STOCKS
3,500 Compania Telecomunicacion Chile 319,375
--------------
319,375
--------------
FRANCE (3.9%)
COMMON STOCKS
7,139 Compagnie Generale des Eaux 762,652
1,100 Degremont (Soc Gen D'epur D'Assain) 101,681
39,000 Elf Aquitaine 2,819,241
3,166 Guilbert SA 471,551
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
150
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
FRANCE (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
52 Guilbert SA(f) $ 7,856
6,765 Primagaz (Cie Des Gaz Petrole) 720,084
12,000 Valeo 650,246
--------------
WARRANTS
615 Primagaz (Cie Des Gaz Petrole)(a) 12,403
--------------
5,545,714
--------------
GERMANY (8.5%)
COMMON STOCKS
840 Allianz AG Holdings 1,391,385
5,000 Bayer AG 1,675,069
600 Buderus AG 241,587
1,000 Linde AG 638,994
3,500 Mannesmann AG 1,216,774
4,000 Otto Reichelt AG 63,114
39,000 Siemens AG 2,186,185
70,000 Veba AG 3,663,612
100 Wella AG 53,293
PREFERRED STOCKS
700 Friedrich Grohe AG 185,151
1,300 Wella AG 701,748
--------------
12,016,912
--------------
HONG KONG (4.0%)
COMMON STOCKS
137,700 Cheung Kong Holdings Ltd 1,018,846
122,700 Hongkong Electric Holdings Ltd 393,274
215,400 Hutchison Whampoa Ltd 1,383,572
140,700 Sun Hung Kai Properties Ltd 1,436,548
100,400 Swire Pacific Ltd 892,084
140,300 Wharf (Holdings) Ltd 541,254
--------------
5,665,578
--------------
INDONESIA (1.7%)
COMMON STOCKS
115,900 PT Indocement Tunggal Prakarsa 412,420
113,850 PT Indofoods Sukses Makmur 516,169
178,000 PT Indosat 612,412
350,000 PT Telekomunikasi Indonesia(a) 532,690
20,700 PT Unilever Indonesia 310,611
--------------
2,384,302
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
ITALY (1.1%)
COMMON STOCKS
278,700 Telecom Italia Mobile SpA $ 594,147
496,700 Telecom Italia SpA 991,507
--------------
1,585,654
--------------
JAPAN (31.1%)
COMMON STOCKS
23,000 Amada Metrecs Company Ltd 329,787
117,000 Bridgestone Corporation 2,034,782
200 DDI Corporation 1,731,730
44,000 Dai Nippon Printing Company Ltd 814,061
44,000 Dai-Tokyo Fire & Marine Insurance
Company 319,519
170 East Japan Railway Company 935,707
11,000 Fanuc Company 429,417
83,000 Fuji Photo Film Company 2,579,833
9,400 Hirose Electric Company 549,565
151,000 Hitachi Ltd 1,396,854
58,000 Ito-Yokado Company Ltd 3,288,993
11,000 Japan Airport Terminal Company 161,795
61,000 Kuraray Company Ltd 694,080
10,000 Kyocera Corporation 684,552
23,000 Mabuchi Motor Company 1,425,532
126,000 Matsushita Electric Industrial
Company Ltd 2,167,992
109,000 Mitsubishi Corporation 1,492,323
63,000 Mitsubishi Electric Corporation 431,268
145,000 Mitsubishi Heavy Industries Ltd 1,246,114
134,000 Mitsui & Company 1,233,395
52,000 Murata Manufacturing Company Ltd 1,904,903
1,000 Nippon Television Network
Corporation 283,071
61,000 Omron Corporation 1,235,800
25,000 SMC Corporation 1,977,335
24,000 Sankyo Company Ltd 568,363
12,000 Seino Transportation Company 202,035
36,750 Shin-Etsu Chemical Company 734,320
43,000 Showa Shell Sekiyu KK 453,469
96,000 Sumitomo Electric Industries 1,305,458
131,000 Takeda Chemical Industries 2,169,196
6,500 Toho Company 1,136,447
124,000 Tokio Marine & Fire Insurance
Company 1,605,921
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
151
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
JAPAN (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
24,000 Tokyo Electron Ltd $ 739,315
31,000 Tokyo Style 547,734
58,000 Toppan Printing Company Ltd 826,272
75,000 Toray Industries 506,475
79,000 Toyota Motor Corporation 1,805,088
265,000 Yasuda Fire & Marine Insurance 1,970,953
--------------
43,919,454
--------------
KOREA, REPUBLIC OF (1.5%)
COMMON STOCKS
23,000 Korea Electric Power Corporation 1,022,572
500 Korea Mobile Telecommunications 707,995
3,000 Pohang Iron & Steel Company Ltd 259,052
1,400 Samsung Electronics Company 122,597
422 Samsung Electronics Company 1st
New(a) 36,847
--------------
2,149,063
--------------
MALAYSIA (2.3%)
COMMON STOCKS
131,000 Genting Berhad 1,111,547
143,000 Malayan Banking Berhad 1,356,454
141,000 Renong Berhad 234,765
56,000 Telekom Malaysia Berhad 511,027
--------------
3,213,793
--------------
MEXICO (0.2%)
COMMON STOCKS
40,100 Apasco SA de CV 218,919
--------------
218,919
--------------
NETHERLANDS (11.7%)
COMMON STOCKS
3,484 Ceteco Holdings NV 147,974
15,369 Getronics NV 1,274,092
8,780 Hagemeyer NV 602,705
15,000 Heineken NV 3,393,994
12,250 Hunter Douglas NV 848,060
48,486 Internationale Nederlanden Group NV 3,982,668
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
NETHERLANDS (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
15,365 KLM Royal Dutch Air Lines NV $ 547,564
17,000 Koninklijke Sphinx Gustavsberg NV 290,004
3,447 Nedcon Groep NV 68,469
15,000 Oce-Van Der Grinten NV 1,463,457
13,000 Otra NV 296,197
69,000 Philips Electronics NV 2,442,835
8,195 Samas-Groep NV 299,227
55,000 VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit 899,690
PREFERRED STOCKS
2,300 Internationale Nederlanden Group NV 11,704
--------------
16,568,640
--------------
PHILIPPINES (2.0%)
COMMON STOCKS
679,375 Ayala Land Incorporated 1,167,312
11,550 Manila Electric Company 615,038
35,000 Manila Electric Company "B" Shares 357,484
5,000 Philippine Long Distance Telephone
Company 288,278
2,600 Philippine Long Distance Telephone
Company ADR 149,500
1,200,000 SM Prime Holdings(a) 293,240
--------------
2,870,852
--------------
SINGAPORE (2.4%)
COMMON STOCKS
82,000 City Developments, Ltd 628,218
68,000 Development Bank of Singapore Ltd 805,561
40,000 Jurong Shipyard Ltd 226,999
87,000 Keppel Corporation Ltd 728,240
53,000 Singapore Press Holdings Ltd 992,551
--------------
3,381,569
--------------
SWEDEN (2.9%)
COMMON STOCKS
50,000 Astra AB 2,254,897
61,500 Stora Kopparbergs Bergslags
Aktiebolag "B" Shares 808,754
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
152
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) MAY 31, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
SWEDEN (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
46,000 Telefonaktiebolaget LM Ericsson "B"
Shares $ 1,028,708
--------------
4,092,359
--------------
SWITZERLAND (6.5%)
COMMON STOCKS
2,600 ABB Asea Brown Boveri Ltd 3,106,213
12,500 CS Holding AG 1,078,103
2,110 Ciba-Geigy AG 2,320,292
1,300 Nestle SA 1,463,824
150 Roche Holding AG 1,149,976
--------------
9,118,408
--------------
THAILAND (2.1%)
COMMON STOCKS
172,000 Krung Thai Bank Public Company Ltd 876,338
42,000 Land & House Public Company Ltd 663,534
9,400 Siam Cement Public Company Ltd 507,145
77,000 Siam City Bank Public Company Ltd 90,475
23,000 TelecomAsia Corporation Public
Company Ltd(a) 51,779
62,900 Thai Farmers Bank Public Company Ltd 720,447
--------------
2,909,718
--------------
UNITED KINGDOM (13.9%)
COMMON STOCKS
70,400 Airtours plc 561,760
116,700 Allied Colloids Group plc 229,639
300,000 Asda Group plc 549,659
32,000 Barclays plc 372,358
131,250 Barratt Developments plc 522,641
31,500 British Aerospace plc 433,406
43,300 British Airways plc 376,040
86,880 British Land Company plc 551,918
215,000 British Petroleum Company 1,848,854
144,000 British Steel plc 380,416
100,000 Burton Group plc 230,477
73,000 Cable & Wireless plc 502,200
66,000 Cadbury Schweppes plc 493,926
78,300 Courtaulds plc 525,316
110,600 David S. Smith Holdings plc 510,673
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
50,000 De La Rue plc $ 556,244
68,500 English China Clays plc 288,690
91,000 Enterprise Oil plc 669,740
59,000 Guinness plc 425,542
67,300 HSBC Holdings plc 1,017,654
104,000 Hogg Robinson plc 425,411
33,300 Johnson Matthey plc 342,081
50,000 Kingfisher plc 471,800
159,000 LASMO plc 448,373
60,000 Laird Group plc 433,219
113,000 Lloyds TSB Group plc 548,017
235,000 Lucas Industries plc 892,082
145,000 MFI Furniture plc 413,387
107,050 Prudential Corporation plc 712,395
27,000 RTZ Corporation plc 420,437
90,000 Rank Organisation plc 713,976
33,600 The Peninsular and Orient Steam
Navigational Company 272,538
92,060 United News & Media plc 1,059,817
83,300 Vickers plc 329,120
136,000 Vodafone Group plc 538,393
17,000 Zeneca Group plc 361,125
--------------
19,429,324
--------------
TOTAL INVESTMENTS (100.0%) (COST $126,142,766)
$141,106,142
--------------
--------------
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
- ----------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Part or all of this investment on loan, see Note 6 of the notes to
financial statements.
(c) Collateralized by $25,000,000 Federal Farm Credit Bank Discount Notes,
5.23%, due 8/6/96; $20,000,000 Federal Farm Credit Bank Discount Notes,
5.30%, due 9/9/96; $17,000,000 Federal Farm Credit Bank Discount Notes,
5.17%, due 11/21/96; $47,000,000 Federal Home Loan Bank Discount Notes,
5.20%, due 2/13/97; $100,000,000 Federal Home Loan Mortgage Discount Notes,
5.24%, due 9/3/96; $32,860,000 Federal National Mortgage Association
Discount Notes, 5.23%, due 8/6/96; $20,480,000 Federal National Mortgage
Association Discount Notes, 5.30%, due 9/5/96; $77,000,000 Federal National
Mortgage Association Discount Notes,
See Notes to Financial Statements. CORE TRUST (DELAWARE)
153
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONCLUDED) MAY 31, 1996
<TABLE>
<C> <S> <C>
- -----------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (continued)
- --------------------------------------------------
</TABLE>
5.17%, due 11/27/96; $48,000,000 Federal National Mortgage Association
Discount Notes, 5.14%, due 12/24/96.
(d) At May 31, 1996, $904,000 of U.S. Treasury Bills, due 3/6/97 with a market
value of $867,476 and $611,000 of U.S. Treasury Bills, due 6/6/96 with a
market value of $610,746 were pledged to cover margin requirements for open
futures contracts.
<TABLE>
<C> <S> <C>
- -----------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (continued)
- --------------------------------------------------
</TABLE>
(e) During the period November 1, 1995 through May 31, 1996, Index Fund
purchased 22,400 shares of Norwest Bank Minnesota, N.A.
(f) Security valued by the Board of Trustees at cost.
See Notes to Financial Statements. CORE TRUST (DELAWARE)
154
<PAGE>
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INDEPENDENT AUDITORS' REPORT MAY 31, 1996
To Trustees and Partners of
Core Trust (Delaware)
We have audited the accompanying statements of assets and
liabilities of four portfolios of Core Trust (Delaware),
Index Portfolio, Small Company Portfolio, International
Portfolio II and International Portfolio (collectively the
"Portfolios") including the schedules of investments as of
May 31, 1996, and the related statements of operations,
the statements of changes in net assets and financial
highlights for the seven months ended May 31, 1996 and for
the period from November 11, 1994 (commencement of
operations) to October 31, 1995. These financial
statements and financial highlights are the responsibility
of the Portfolios' management. Our responsibility is to
express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements. Our procedures include confirmation of
securities owned as of May 31, 1996, by correspondence
with the custodians and brokers. An audit also includes
assessing the accounting principles used and significant
estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all
material respects, the financial position of the
Portfolios as of May 31, 1996, the results of their
operations, changes in their net assets and the financial
highlights for the seven months ended May 31, 1996 and for
the period from November 11, 1994 (commencement of
operations) to October 31, 1995, in conformity with
generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Boston, Massachusetts
July 15, 1996
CORE TRUST (DELAWARE)
155
<PAGE>
Norwest Advantage Funds Bulk Rate
733 Marquette Avenue US Postage
Minneapolis, MN 55479-0040 PAID
Permit No. 3489
Mpls. MN
[LOGO]
Shareholder Services
Minneapolis/St. Paul 667-8833
Elsewhere 800-338-1348
Norwest Bank Minnesota, N.A.
Investment Adviser
Transfer Agent
Custodian
Forum Financial Services, Inc.
Manager and Distributor
- -COPYRIGHT- 1996 Norwest Advantage Funds
MFB0A 033 7/96
