<PAGE>
- --------------------------------------------------------------------------------
NORWEST ADVANTAGE FUNDS-SM-
SEMI-ANNUAL REPORT
NOVEMBER 30, 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
LIMITED TERM TAX-FREE FUND
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-SM- STOCK FUND
INDEX FUND
DIVERSIFIED EQUITY FUND
GROWTH EQUITY FUND
LARGE COMPANY GROWTH FUND
SMALL COMPANY STOCK FUND
SMALL COMPANY GROWTH FUND
SMALL CAP OPPORTUNITIES FUND
CONTRARIAN STOCK FUND
INTERNATIONAL FUND
[LOGO] NORWEST ADVANTAGE FUNDS-SM-
Not FDIC Insured
<PAGE>
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TABLE OF CONTENTS NOVEMBER 30, 1996
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS......................................................................... 1
FINANCIAL STATEMENTS OF NORWEST ADVANTAGE FUNDS
Statements of Assets and Liabilities......................................................... 2
Statements of Operations..................................................................... 6
Statements of Changes in Net Assets.......................................................... 10
Notes to Financial Statements................................................................ 14
Financial Highlights......................................................................... 24
Portfolios of Investments
Stable Income Fund.................................................................. 33
Intermediate Government Income Fund................................................. 36
Diversified Bond Fund............................................................... 37
Income Fund......................................................................... 41
Total Return Bond Fund.............................................................. 43
Limited Term Tax-Free Fund.......................................................... 44
Tax-Free Income Fund................................................................ 47
Colorado Tax-Free Fund.............................................................. 53
Minnesota Tax-Free Fund............................................................. 55
Conservative Balanced Fund.......................................................... 59
Moderate Balanced Fund.............................................................. 68
Growth Balanced Fund................................................................ 78
Income Equity Fund.................................................................. 85
ValuGrowth-SM- Stock Fund........................................................... 86
Index Fund.......................................................................... 88
Diversified Equity Fund............................................................. 97
Growth Equity Fund.................................................................. 100
Large Company Growth Fund........................................................... 101
Small Company Stock Fund............................................................ 102
Small Company Growth Fund........................................................... 104
Small Cap Opportunities Fund........................................................ 106
Contrarian Stock Fund............................................................... 106
International Fund.................................................................. 108
FINANCIAL STATEMENTS OF CORE TRUST (DELAWARE)
Statements of Assets and Liabilities......................................................... 110
Statements of Operations..................................................................... 111
Statements of Changes in Net Assets.......................................................... 112
Notes to Financial Statements................................................................ 113
Portfolios of Core Trust (Delaware)
Index Portfolio..................................................................... 117
Small Company Portfolio............................................................. 125
International Portfolio II.......................................................... 131
International Portfolio............................................................. 134
FINANCIAL STATEMENTS OF SCHRODER CAPITAL FUNDS
Statement of Assets and Liabilities.......................................................... 138
Statement of Operations...................................................................... 139
Statement of Changes in Net Assets.................................................. 140
Notes to Financial Statements....................................................... 141
Portfolio of Schroder U.S. Smaller Companies Portfolio.............................. 143
</TABLE>
[LOGO]
<PAGE>
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A MESSAGE TO OUR SHAREHOLDERS NOVEMBER 30, 1996
January 13,
1997
Dear Shareholders:
We are pleased to present the Semi-Annual Report for the
period ending November 30, 1996, for Norwest Advantage
Funds. This report includes twenty-three of the
twenty-eight Norwest Advantage Funds portfolios. The five
Norwest Advantage Funds money market portfolios are
reported separately.
Norwest Advantage Funds experienced significant growth
over the last year with assets increasing from one year
ago by 35% to over $13.4 billion as of November 30, 1996.
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.
The stock market performed exceptionally well over the
past year with the Standard & Poor's 500 Index returning
27.85% for the twelve months ended November 30, 1996,
compared to a 15.18% average annual return for the past
ten years. The bond market, however, did not fare as well
over the same period with the Lehman Brothers Aggregate
Bond Index returning 6.07%, compared to an 8.61% average
annual return for the past ten years.
Volatility increased in both the stock and bond markets
during 1996. For example, the Dow Jones Industrial Average
fell 114 points on July 8th and another 161 points on July
16th to settle below 5400, a 7% decline in a two-week
period. Yet, by November 25, the Dow reached 6547.
Similarly, the 30-year Treasury bond started the year
below 6.0%, reached a high of 7.2% in July, and settled at
6.4% at the end of the period.
The increased volatility in both the stock and bond
markets in 1996 was driven by signs of a strengthening
economy fueling fears of inflation. For stock mutual
funds, volatility was also due to varying performance
among different classes of stocks and among individual
stocks within each mutual fund. Although market volatility
can cause anxiety for some investors, it is a benefit to
those who invest regularly toward long-term goals. Regular
periodic investing, or dollar cost averaging, ensures that
an investor buys more shares when prices are lower and
fewer shares when prices are higher.
Norwest Advantage Funds offer a wide range of stock and
bond funds to help you achieve the diversification you
want for your investment portfolio. 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). We appreciate your decision to
invest with Norwest Advantage Funds.
Sincerely,
[SIGNATURE]
John Y. Keffer
CHAIRMAN, NORWEST ADVANTAGE
FUNDS
[LOGO]
1
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<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:
Investments, in International
Portfolio of Core Trust
(Delaware) (Note 2)(a)... $ - $ - $ - $ - $ -
Investments, in Schroder U.S.
Smaller Companies
Portfolio of Schroder
Capital Funds (Note
2)(a).................... - - - - -
Investments in affiliated
funds (Note 2)(a)........ - - - - -
Portfolio Investments at
value (Note 2)(a)........ 109,631,249 414,595,938 181,197,955 285,390,869 131,675,107
Collateral for securities
loaned (Note 6).......... 11,972,394 70,614,959 2,527,396 71,081,426 37,462,221
Cash......................... - - - 28,375 -
Interest, dividends and other
receivables.............. 1,021,380 6,318,628 2,348,139 3,136,166 2,093,457
Receivable for securities
sold..................... - - 1,036,095 - 1,750,000
Receivable for daily
variation margin on
futures contracts........ - - - - -
Receivable for Fund shares
issued................... - 16,107 - 30,885 550
Receivable for principal
paydowns................. 216,472 - 36,404 - -
Receivable from manager...... 8,437 1,938 186 3,645 -
Organization Costs, net of
amortization (Note 2).... 35,198 35,198 35,198 - 13,623
------------- ------------- ------------- ------------- -------------
TOTAL ASSETS.................. 122,885,130 491,582,768 187,181,373 359,671,366 172,994,958
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for securities
purchased................ - - 1,227,902 - -
Payable for securities loaned
(Note 6)................. 11,972,394 70,614,959 2,527,396 71,081,426 37,462,221
Payable for Fund shares
redeemed................. - 413,907 - 25,572 1,246
Payable to custodian (Note
4)....................... - - - - -
Accrued advisory or
administration fees (Note
4)....................... 27,243 113,845 52,121 93,957 22,095
Accrued transfer agency fee
(Note 4)................. 22,703 86,246 37,229 55,142 26,987
Accrued management fee (Note
4)....................... - 74,167 14,821 13,235 24,673
Accrued expenses & other
payables................. 17,057 16,940 19,853 33,338 21,399
Dividends payable............ 1,805 36,701 - 1,557,643 706,751
------------- ------------- ------------- ------------- -------------
TOTAL LIABILITIES............. 12,041,202 71,356,765 3,879,322 72,860,313 38,265,372
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 110,843,928 $420,226,003 $ 183,302,051 $ 286,811,053 $134,729,586
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
COMPONENTS OF NET ASSETS:
Paid in Capital.............. $ 110,608,881 $418,327,884 $ 165,424,488 $ 298,564,109 $132,586,150
Undistributed (distribution
in excess) net investment
income................... 106,265 405,997 12,004,732 - -
Accumulated net realized gain
(loss) from
investments.............. (60,624) (3,796,236) 2,044,683 (17,173,125) (99,664)
Net unrealized appreciation
(depreciation) from
investments.............. 189,406 5,288,358 3,828,148 5,420,069 2,243,100
Net unrealized appreciation
of investments of
International Portfolio
of Core Trust
(Delaware)............... - - - - -
Net unrealized appreciation
of investments of
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds... - - - - -
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 110,843,928 $420,226,003 $ 183,302,051 $ 286,811,053 $134,729,586
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ 12,479,756 $ 14,573,248 $ - $ 5,417,900 $ 2,681,150
B Shares..................... 574,632 9,683,419 - 3,452,265 2,264,069
I Shares..................... 97,789,540 395,969,336 183,302,051 277,940,888 129,784,367
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 110,843,928 $420,226,003 $ 183,302,051 $ 286,811,053 $134,729,586
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST,
NO PAR VALUE
A Shares..................... 1,214,773 1,305,152 - 565,080 277,516
B Shares..................... 55,943 867,679 - 360,641 233,948
I Shares..................... 9,518,918 35,450,183 6,649,774 29,016,140 13,416,988
NET ASSET VALUE PER SHARE(B)
A Shares..................... $ 10.27 $ 11.17 $ - $ 9.59 $ 9.66
B Shares..................... $ 10.27 $ 11.16 $ - $ 9.57 $ 9.68
I Shares..................... $ 10.27 $ 11.17 $ 27.57 $ 9.58 $ 9.67
(a) Investments at cost....... $ 109,441,843 $409,307,580 $ 177,369,807 $ 279,970,800 $129,432,007
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
(b) Net Assets by Share Class
divided by Shares of
Beneficial Interest
</TABLE>
See Notes to Financial Statements.
[LOGO]
2
<PAGE>
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NOVEMBER 30, 1996
<TABLE>
<CAPTION>
LIMITED TERM TAX-FREE COLORADO MINNESOTA CONSERVATIVE MODERATE GROWTH
TAX-FREE INCOME TAX-FREE TAX-FREE BALANCED BALANCED BALANCED
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, in International
Portfolio of Core Trust
(Delaware) (Note 2)(a)... $ - $ - $ - $ - $ - $ - $ -
Investments, in Schroder U.S.
Smaller Companies
Portfolio of Schroder
Capital Funds (Note
2)(a).................... - - - - - - -
Investments in affiliated
funds (Note 2)(a)........ - - - - 18,480,902 94,591,718 155,524,902
Portfolio Investments at
value (Note 2)(a)........ 21,862,992 312,683,588 61,437,801 41,279,477 104,648,053 333,012,059 302,717,555
Collateral for securities
loaned (Note 6).......... - - - - 4,547,499 24,489,093 28,247,842
Cash......................... - - - - - - -
Interest, dividends and other
receivables.............. 352,025 4,903,292 1,089,525 606,849 922,727 3,024,909 2,379,374
Receivable for securities
sold..................... - 505,118 115,027 - - - -
Receivable for daily
variation margin on
futures contracts........ - - - - - - -
Receivable for Fund shares
issued................... - 75,542 - 204,812 - - -
Receivable for principal
paydowns................. - - - - 14,385 51,608 -
Receivable from manager...... - 1,162 668 - 379 - -
Organization Costs, net of
amortization (Note 2).... - - - - 35,198 35,198 35,198
------------ ------------ ----------- ----------- ------------ ------------ ------------
TOTAL ASSETS.................. 22,215,017 318,168,702 62,643,021 42,091,138 128,649,143 455,204,585 488,904,871
------------ ------------ ----------- ----------- ------------ ------------ ------------
LIABILITIES:
Payable for securities
purchased................ 273,889 2,465,000 1,319,046 - 520,836 410,105 205,053
Payable for securities loaned
(Note 6)................. - - - - 4,547,499 24,489,093 28,247,842
Payable for Fund shares
redeemed................. - 23,310 20,738 30,104 - - -
Payable to custodian (Note
4)....................... - - - - - - -
Accrued advisory or
administration fees (Note
4)....................... 2,210 - - - 45,133 184,400 214,776
Accrued transfer agency fee
(Note 4)................. 2,800 55,351 4,484 7,908 25,074 86,981 92,576
Accrued management fee (Note
4)....................... - 44,304 8,896 4,274 - 53,439 63,857
Accrued expenses & other
payables................. 9,393 54,471 21,175 24,900 19,755 27,305 28,032
Dividends payable............ 64,832 1,461,380 275,470 182,587 - - -
------------ ------------ ----------- ----------- ------------ ------------ ------------
TOTAL LIABILITIES............. 353,124 4,103,816 1,649,809 249,773 5,158,297 25,251,323 28,852,136
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $21,861,893 $314,064,886 $60,993,212 $41,841,365 $123,490,846 $429,953,262 $460,052,735
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
COMPONENTS OF NET ASSETS:
Paid in Capital.............. $21,610,179 $311,898,859 $59,926,594 $40,834,841 $101,810,663 $347,876,224 $338,829,793
Undistributed (distribution
in excess) net investment
income................... - 3,155 - - 6,808,001 16,357,235 12,179,319
Accumulated net realized gain
(loss) from
investments.............. - (11,393,166) (1,497,891) (474,408) 2,669,899 6,403,024 18,665,213
Net unrealized appreciation
(depreciation) from
investments.............. 251,714 13,556,038 2,564,509 1,480,932 12,202,283 59,316,779 90,378,410
Net unrealized appreciation
of investments of
International Portfolio
of Core Trust
(Delaware)............... - - - - - - -
Net unrealized appreciation
of investments of
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds... - - - - - - -
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $21,861,893 $314,064,886 $60,993,212 $41,841,365 $123,490,846 $429,953,262 $460,052,735
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ - $ 27,825,684 $27,816,018 $25,468,046 $ - $ - $ -
B Shares..................... - 6,676,831 6,846,113 10,476,780 - - -
I Shares..................... 21,861,893 279,562,371 26,331,081 5,896,539 123,490,846 429,953,262 460,052,735
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $21,861,893 $314,064,886 $60,993,212 $41,841,365 $123,490,846 $429,953,262 $460,052,735
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
SHARES OF BENEFICIAL INTEREST,
NO PAR VALUE
A Shares..................... - 2,748,160 2,713,710 2,383,375 - - -
B Shares..................... - 659,325 667,081 980,676 - - -
I Shares..................... 2,089,951 27,594,434 2,568,443 551,789 6,445,358 19,922,115 18,715,234
NET ASSET VALUE PER SHARE(B)
A Shares..................... $ - $ 10.13 $ 10.25 $ 10.69 $ - $ - $ -
B Shares..................... $ - $ 10.13 $ 10.26 $ 10.68 $ - $ - $ -
I Shares..................... $ 10.46 $ 10.13 $ 10.25 $ 10.69 $ 19.16 $ 21.58 $ 24.58
(a) Investments at cost....... $21,611,278 $299,127,550 $58,873,292 $39,798,545 $110,926,672 $368,286,998 $367,864,047
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
(b) Net Assets by Share Class
divided by Shares of
Beneficial Interest
</TABLE>
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3
<PAGE>
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STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED)
<TABLE>
<CAPTION>
INCOME VALUGROWTH-SM- DIVERSIFIED GROWTH
EQUITY STOCK INDEX EQUITY EQUITY
FUND FUND FUND FUND FUND
------------- ------------- ------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, in International
Portfolio of Core Trust
(Delaware) (Note 2)(a)... $ - $ - $ - $ - $ -
Investments in Schroder U.S.
Smaller Companies
Portfolio of Schroder
Capital Funds (Note
2)(a).................... - - - - -
Investments in affiliated
funds (Note 2)(a)........ - - - 542,399,464 540,179,840
Portfolio Investments at
value (Note 2)(a)........ 393,220,324 194,199,915 334,230,779 544,029,257 294,531,779
Collateral for securities
loaned (Note 6).......... 61,777,773 60,387,270 94,954,331 128,460,517 77,086,191
Cash......................... - 933 - - -
Interest, dividends and other
receivables.............. 1,444,524 424,270 693,919 1,117,927 94,798
Receivable for securities
sold..................... - - - - -
Receivable for daily
variation margin on
futures contracts........ - - 50,600 - -
Receivable for Fund shares
issued................... 161,062 7,292 - 739,158 161,175
Receivable for principal
paydowns................. - - - - -
Receivable from manager...... 3,533 8,601 - 30 30
Organization Costs, net of
amortization (Note 2).... 35,198 - 35,197 35,198 35,198
------------- ------------- ------------- --------------- -------------
TOTAL ASSETS.................. 456,642,414 255,028,281 429,964,826 1,216,781,551 912,089,011
------------- ------------- ------------- --------------- -------------
LIABILITIES:
Payable for securities
purchased................ - - - - -
Payable for securities loaned
(Note 6)................. 61,777,773 60,387,270 94,954,331 128,460,517 77,086,191
Payable for Fund shares
redeemed................. 19,658 - - 10,404 -
Payable to custodian......... - - - - -
Accrued advisory or
administration fees (Note
4)....................... 156,065 123,502 - 565,238 604,961
Accrued transfer agency fee
(Note 4)................. 78,032 6,624 39,738 217,399 168,045
Accrued management fee (Note
4)....................... 51,517 10,853 39,503 159,098 115,046
Accrued expenses & other
payables................. 40,061 35,707 27,929 51,512 37,825
Dividends payable............ 13,062 94,240 - - -
------------- ------------- ------------- --------------- -------------
TOTAL LIABILITIES............. 62,136,168 60,658,196 95,061,501 129,464,168 78,012,068
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 394,506,246 $194,370,085 $ 334,903,325 $ 1,087,317,383 $ 834,076,943
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
COMPONENTS OF NET ASSETS:
Paid in Capital.............. $ 300,275,148 $117,838,806 $ 230,390,759 $ 783,868,427 $ 656,132,664
Undistributed (distribution
in excess) net investment
income................... 1,249,665 214,555 5,986,969 4,502,821 (1,754,050)
Accumulated net realized gain
(loss) from
investments.............. 272,114 20,816,644 6,023,277 10,220,364 21,292,240
Net unrealized appreciation
(depreciation) from
investments.............. 92,709,319 55,500,080 92,502,320 288,725,771 158,406,089
Net unrealized appreciation
of investments of
International Portfolio
of Core Trust
(Delaware)............... - - - - -
Net unrealized appreciation
of investments of
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds... - - - - -
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 394,506,246 $194,370,085 $ 334,903,325 $ 1,087,317,383 $ 834,076,943
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ 39,043,052 $ 17,160,301 $ - $ 14,552,965 $ 11,063,260
B Shares..................... 23,882,509 5,767,677 - 15,362,503 4,371,729
I Shares..................... 331,580,685 171,442,107 334,903,325 1,057,401,915 818,641,954
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 394,506,246 $194,370,085 $ 334,903,325 $ 1,087,317,383 $ 834,076,943
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
SHARES OF BENEFICIAL INTEREST,
NO PAR VALUE
A Shares..................... 1,275,722 676,876 - 436,780 364,907
B Shares..................... 782,059 231,532 - 463,063 144,775
I Shares..................... 10,833,957 6,768,717 9,313,717 31,737,826 27,003,416
NET ASSET VALUE PER SHARE(B)
A Shares..................... $ 30.60 $ 25.35 $ - $ 33.32 $ 30.32
B Shares..................... $ 30.54 $ 24.91 $ - $ 33.18 $ 30.20
I Shares..................... $ 30.61 $ 25.33 $ 35.96 $ 33.32 $ 30.32
(a) Investments at cost....... $ 300,511,005 $138,699,835 $ 243,002,909 $ 797,702,950 $ 676,305,530
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
(b) Net Assets by Share Class
divided by Shares of
Beneficial Interest
</TABLE>
See Notes to Financial Statements.
[LOGO]
4
<PAGE>
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NOVEMBER 30, 1996
<TABLE>
<CAPTION>
LARGE SMALL SMALL SMALL
COMPANY COMPANY COMPANY CAP CONTRARIAN
GROWTH STOCK GROWTH OPPORTUNITIES STOCK INTERNATIONAL
FUND FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, in International
Portfolio of Core Trust
(Delaware) (Note 2)(a)... $ - $ - $ - $ - $ - $179,347,192
Investments in Schroder U.S.
Smaller Companies
Portfolio of Schroder
Capital Funds (Note
2)(a).................... - - - 20,580,544 - -
Investments in affiliated
funds (Note 2)(a)........ - - - - - -
Portfolio Investments at
value (Note 2)(a)........ 100,233,777 164,717,183 383,355,545 - 16,961,416 -
Collateral for securities
loaned (Note 6).......... 21,885,796 27,624,347 - - 2,522,079 -
Cash......................... - - - - - -
Interest, dividends and other
receivables.............. 32,818 86,464 46,363 3,894 36,261 -
Receivable for securities
sold..................... - 900,705 3,236,349 - 17,894 -
Receivable for daily
variation margin on
futures contracts........ - - - - - -
Receivable for Fund shares
issued................... - 22,425 - 7,500 - 8,278
Receivable for principal
paydowns................. - - - - - -
Receivable from manager...... - 535 - - 2,147 11
Organization Costs, net of
amortization (Note 2).... 35,198 13,622 35,198 - 13,623 35,198
------------ ------------ ------------ ------------- ----------- -------------
TOTAL ASSETS.................. 122,187,589 193,365,281 386,673,455 20,591,938 19,553,420 179,390,679
------------ ------------ ------------ ------------- ----------- -------------
LIABILITIES:
Payable for securities
purchased................ - 6,855,692 2,437,500 - - -
Payable for securities loaned
(Note 6)................. 21,885,796 27,624,347 - - 2,522,079 -
Payable for Fund shares
redeemed................. - 3,971 - - - -
Payable to custodian......... - - - - - -
Accrued advisory or
administration fees (Note
4)....................... 51,989 85,488 278,308 - 6,136 -
Accrued transfer agency fee
(Note 4)................. 19,996 29,133 77,308 2,247 2,815 36,187
Accrued management fee (Note
4)....................... 5,691 25,300 65,573 3,745 - 86,908
Accrued expenses & other
payables................. 15,124 24,960 23,113 225 11,712 42,222
Dividends payable............ - 2,240 - - 572 37
------------ ------------ ------------ ------------- ----------- -------------
TOTAL LIABILITIES............. 21,978,596 34,651,131 2,881,802 6,217 2,543,314 165,354
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $100,208,993 $158,714,150 $383,791,653 $20,585,721 $17,010,106 $179,225,325
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
COMPONENTS OF NET ASSETS:
Paid in Capital.............. $ 68,881,832 $127,077,317 $277,359,445 $19,857,966 $16,798,850 $160,597,120
Undistributed (distribution
in excess) net investment
income................... (252,320) (465,144) (2,033,570) (1,726) 33,065 483,374
Accumulated net realized gain
(loss) from
investments.............. (110,516) 10,559,755 45,302,969 117,550 331,671 1,714,515
Net unrealized appreciation
(depreciation) from
investments.............. 31,689,997 21,542,222 63,162,809 - (153,480) -
Net unrealized appreciation
of investments of
International Portfolio
of Core Trust
(Delaware)............... - - - - - 16,430,316
Net unrealized appreciation
of investments of
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds... - - - 611,931 - -
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $100,208,993 $158,714,150 $383,791,653 $20,585,721 $17,010,106 $179,225,325
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ - $ 6,173,982 $ - $ 65,337 $ 376,942 $ 1,384,922
B Shares..................... - 4,243,150 - 28,217 482,735 1,238,904
I Shares..................... 100,208,993 148,297,018 383,791,653 20,492,167 16,150,429 176,601,499
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $100,208,993 $158,714,150 $383,791,653 $20,585,721 $17,010,106 $179,225,325
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
SHARES OF BENEFICIAL INTEREST,
NO PAR VALUE
A Shares..................... - 442,957 - 3,671 36,023 68,684
B Shares..................... - 309,971 - 1,586 46,728 62,042
I Shares..................... 3,421,370 10,687,918 11,664,873 1,150,914 1,543,778 8,752,635
NET ASSET VALUE PER SHARE(B)
A Shares..................... $ - $ 13.94 $ - $ 17.80 $ 10.46 $ 20.16
B Shares..................... $ - $ 13.69 $ - $ 17.79 $ 10.33 $ 19.97
I Shares..................... $ 29.29 $ 13.88 $ 32.90 $ 17.81 $ 10.46 $ 20.18
(a) Investments at cost....... $ 68,543,780 $143,174,961 $320,192,736 $19,968,613 $17,114,896 $162,916,876
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
(b) Net Assets by Share Class
divided by Shares of
Beneficial Interest
</TABLE>
[LOGO]
5
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
STABLE GOVERNMENT DIVERSIFIED RETURN
INCOME INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income.............. $ 3,383,582 $15,477,079 $ 5,839,489 $ 10,354,502 $4,562,122
Dividend income.............. - 3,350 - - -
Securities lending income
(Note 6)................. 2,940 16,299 5,772 40,308 25,628
Net investment income from
International Portfolio
of Core Trust
(Delaware)(Note1)........ - - - - -
Net investment income from
Schroder U.S. Small
Companies Portfolio of
Schroder Capital Funds
(Note 1)................. - - - - -
----------- ------------ ------------ ------------ -----------
TOTAL INCOME.................. 3,386,522 15,496,728 5,845,261 10,394,810 4,587,750
----------- ------------ ------------ ------------ -----------
EXPENSES
Advisory fee (Note 4)........ 159,358 693,287 307,405 703,189 324,082
Administration fee (Note
4)....................... - - - - -
Management fee (Note 4)...... 53,119 210,087 87,830 281,276 129,633
Transfer Agent fee (Note
4)....................... 132,799 525,218 219,575 351,595 162,041
Custodian fee (Note 4)....... - - - 21,584 12,229
Accounting fee (Note 4)...... 46,500 42,500 25,000 47,000 33,000
Legal fee (Note 4)........... 1,427 6,078 2,138 3,402 3,088
Registration fees............ 3,088 20,692 7,115 15,540 13,051
Audit fee.................... 5,482 8,928 7,399 6,074 4,751
Trustees' fees............... 870 3,253 1,523 2,464 1,130
Shareholder reporting........ 404 1,640 798 792 525
Distribution & Maintenance
fees -- B Shares (Note
4)....................... 2,580 39,270 - 17,132 11,341
Amortization of organization
costs (Note 2)........... 5,960 5,960 5,960 - 3,269
Miscellaneous................ 3,649 6,936 4,825 7,670 2,971
----------- ------------ ------------ ------------ -----------
TOTAL EXPENSES................ 415,236 1,563,849 669,568 1,457,718 701,111
EXPENSES REIMBURSED AND FEES
WAIVED (Note 4).......... (69,061) (105,272) (57,989) (395,921) (209,029)
----------- ------------ ------------ ------------ -----------
NET EXPENSES.................. 346,175 1,458,577 611,579 1,061,797 492,082
----------- ------------ ------------ ------------ -----------
NET INVESTMENT INCOME
(LOSS).................... 3,040,347 14,038,151 5,233,682 9,333,013 4,095,668
----------- ------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. (4,361) (3,144,067) (122,431) (5,862,425) (460,944)
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - -
Foreign currency
transactions........... - - - - -
Foreign currency
transactions from
investments in Foreign
currency transactions
from investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Futures transactions....... - - - - -
----------- ------------ ------------ ------------ -----------
Net Realized Gain (Loss) from
Investments.............. (4,361) (3,144,067) (122,431) (5,862,425) (460,944)
----------- ------------ ------------ ------------ -----------
Net Change in Unrealized
Appreciation Net Change
in Unrealized
Appreciation
(Depreciation) from:
Securities................. 665,977 13,742,860 5,032,131 15,396,773 4,293,502
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - -
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.............. 665,977 13,742,860 5,032,131 15,396,773 4,293,502
----------- ------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAIN NET REALIZED AND
UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.......... 661,616 10,598,793 4,909,700 9,534,348 3,832,558
----------- ------------ ------------ ------------ -----------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS.... $ 3,701,963 $24,636,944 $10,143,382 $ 18,867,361 $7,928,226
----------- ------------ ------------ ------------ -----------
----------- ------------ ------------ ------------ -----------
(a) Commenced operations on
October 1, 1996.
(b) Commenced operations on
August 15, 1996.
</TABLE>
See Notes to Financial Statements.
[LOGO]
6
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIOD ENDED NOVEMBER 30, 1996
<TABLE>
<CAPTION>
LIMITED
TERM TAX-FREE COLORADO MINNESOTA CONSERVATIVE MODERATE GROWTH
TAX-FREE INCOME TAX-FREE TAX-FREE BALANCED BALANCED BALANCED
FUND(A) FUND FUND FUND FUND FUND FUND
-------- ----------- ---------- ---------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income.............. $111,413 $ 9,182,412 $1,714,135 $1,174,844 $ 3,078,235 $ 7,568,213 $ 5,136,085
Dividend income.............. - - - - 326,912 1,434,862 2,533,175
Securities lending income
(Note 6)................. - - 20 - 3,541 20,209 25,067
Net investment income from
International Portfolio
of Core Trust
(Delaware)(Note1)........ - - - - - - -
Net investment income from
Schroder U.S. Small
Companies Portfolio of
Schroder Capital Funds
(Note 1)................. - - - - - - -
-------- ----------- ---------- ---------- ------------ ----------- -----------
TOTAL INCOME.................. 111,413 9,182,412 1,714,155 1,174,844 3,408,688 9,023,284 7,694,327
-------- ----------- ---------- ---------- ------------ ----------- -----------
EXPENSES
Advisory fee (Note 4)........ 10,789 784,399 147,351 103,045 306,845 1,078,404 1,320,224
Administration fee (Note
4)....................... - - - - - - -
Management fee (Note 4)...... 2,158 313,760 58,941 41,218 68,188 203,472 227,625
Transfer Agent fee (Note
4)....................... 5,394 392,200 73,676 51,522 170,470 508,681 569,062
Custodian fee (Note 4)....... 432 23,209 5,894 4,122 - - -
Accounting fee (Note 4)...... 6,000 45,000 33,000 32,000 27,000 30,000 30,000
Legal fee (Note 4)........... 3,845 1,913 2,189 1,751 4,932 5,612
Registration fees............ - 25,531 2,917 2,745 6,317 6,993 7,169
Audit fee.................... 2,513 6,725 4,750 6,599 7,399 7,399 7,399
Trustees' fees............... 2,797 518 358 1,276 3,516 4,099
Shareholder reporting........ 15 900 137 241 634 3,889 3,655
Distribution & Maintenance
fees -- B Shares (Note
4)....................... - 31,908 33,187 48,231 - - -
Amortization of organization
costs (Note 2)........... - - - - 5,960 5,960 5,960
Miscellaneous................ 571 22,686 5,534 5,827 7,911 9,206 9,007
-------- ----------- ---------- ---------- ------------ ----------- -----------
TOTAL EXPENSES................ 27,872 1,652,960 367,818 298,097 603,751 1,862,452 2,189,812
EXPENSES REIMBURSED AND FEES
WAIVED (Note 4).......... (13,468 ) (980,806) (249,962 ) (139,070 ) (62,311) (107,670) (114,831)
-------- ----------- ---------- ---------- ------------ ----------- -----------
NET EXPENSES.................. 14,404 672,154 117,856 159,027 541,440 1,754,782 2,074,981
-------- ----------- ---------- ---------- ------------ ----------- -----------
NET INVESTMENT INCOME
(LOSS).................... 97,009 8,510,258 1,596,299 1,015,817 2,867,248 7,268,502 5,619,346
-------- ----------- ---------- ---------- ------------ ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. - (148,912) 25,576 (62,711 ) 1,743,083 872,831 8,849,585
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - - - -
Foreign currency
transactions........... - - - - 25,855 131,931 218,221
Foreign currency
transactions from
investments in Foreign
currency transactions
from investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - - - -
Futures transactions....... - - - - 19,608 100,832 164,572
-------- ----------- ---------- ---------- ------------ ----------- -----------
Net Realized Gain (Loss) from
Investments.............. - (148,912) 25,576 (62,711 ) 1,788,546 1,105,594 9,232,378
-------- ----------- ---------- ---------- ------------ ----------- -----------
Net Change in Unrealized
Appreciation Net Change
in Unrealized
Appreciation
(Depreciation) from:
Securities................. 251,714 11,115,773 2,090,442 1,583,005 2,667,453 17,532,722 18,387,594
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - - - -
Foreign currency
transactions........... - - - - (9,349) (86,010) (17,092)
Foreign currency
transactions from
investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - - - -
Futures transactions....... - - - - (12,860) 147,655 (85,993)
-------- ----------- ---------- ---------- ------------ ----------- -----------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 251,714 11,115,773 2,090,442 1,583,005 2,645,244 17,594,367 18,284,509
-------- ----------- ---------- ---------- ------------ ----------- -----------
NET REALIZED AND UNREALIZED
GAIN NET REALIZED AND
UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.......... 251,714 10,966,861 2,116,018 1,520,294 4,433,790 18,699,961 27,516,887
-------- ----------- ---------- ---------- ------------ ----------- -----------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS.... $348,723 $19,477,119 $3,712,317 $2,536,111 $ 7,301,038 $25,968,463 $33,136,233
-------- ----------- ---------- ---------- ------------ ----------- -----------
-------- ----------- ---------- ---------- ------------ ----------- -----------
(a) Commenced operations on
October 1, 1996.
(b) Commenced operations on
August 15, 1996.
</TABLE>
[LOGO]
7
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) (CONCLUDED)
<TABLE>
<CAPTION>
INCOME VALUGROWTH-SM- DIVERSIFIED GROWTH
EQUITY STOCK INDEX EQUITY EQUITY
FUND FUND FUND FUND FUND
----------- -------------- ----------- ------------ -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income.............. $ 457,481 $ 57,505 $ 557,882 $ 562,053 $ 213,979
Dividend income.............. 4,291,985 1,510,950 2,833,790 8,012,411 3,751,072
Securities lending income
(Note 6)................. 25,263 25,850 - 55,119 63,896
Net investment income from
International Portfolio
of Core Trust
(Delaware)(Note1)........ - - - - -
Net investment income from
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds
(Note 1)................. - - - - -
----------- -------------- ----------- ------------ -------------
TOTAL INCOME.................. 4,774,729 1,594,305 3,391,672 8,629,583 4,028,947
----------- -------------- ----------- ------------ -------------
EXPENSES
Advisory fee (Note 4)........ 811,954 720,718 212,327 3,156,904 3,384,381
Administration fee (Note
4)....................... - - - - -
Management fee (Note 4)...... 162,391 180,179 141,551 485,678 376,042
Transfer Agent fee (Note
4)....................... 405,977 225,224 353,878 1,214,194 940,106
Custodian fee (Note 4)....... - 16,020 - -
Accounting fee (Note 4)...... 35,500 33,000 29,500 39,500 39,000
Legal fee (Note 4)........... 4,347 7,995 3,459 11,772 9,029
Registration fees............ 23,057 18,893 6,628 18,793 16,048
Audit fee.................... 8,447 5,548 8,476 7,401 6,887
Trustees' fees............... 2,386 1,560 2,337 8,191 6,391
Shareholder reporting........ 1,437 572 1,640 10,985 8,104
Distribution & Maintenance
fees -- B Shares (Note
4)....................... 74,709 26,408 - 31,549 9,096
Amortization of organization
costs (Note 2)........... 5,960 - 5,960 5,960 5,960
Miscellaneous................ 3,758 2,780 16,083 9,629 6,839
----------- -------------- ----------- ------------ -------------
TOTAL EXPENSES................ 1,539,923 1,238,897 781,839 5,000,556 4,807,883
EXPENSES REIMBURSED AND FEES
WAIVED (Note 4).......... (90,767) (294,765) (429,577) (224,696) (185,354)
----------- -------------- ----------- ------------ -------------
NET EXPENSES.................. 1,449,156 944,132 352,262 4,775,860 4,622,529
----------- -------------- ----------- ------------ -------------
NET INVESTMENT INCOME
(LOSS).................... 3,325,573 650,173 3,039,410 3,853,723 (593,582)
----------- -------------- ----------- ------------ -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. 272,114 12,230,188 2,317,374 5,488,081 11,130,703
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - -
Foreign currency
transactions........... - - - 764,110 1,170,473
Foreign currency
transactions from
investments in Foreign
currency transactions
from investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Futures transactions....... - - - 572,336 -
----------- -------------- ----------- ------------ -------------
Net Realized Gain (Loss) from
Investments.............. 272,114 12,230,188 2,317,374 6,824,527 12,301,176
----------- -------------- ----------- ------------ -------------
Net Change in Unrealized
Appreciation Net Change
in Unrealized
Appreciation
(Depreciation) from:
Securities................. 37,340,773 8,680,182 36,182,312 80,074,024 24,848,055
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - - -
Foreign currency
transactions........... - - - (368,171) (528,257)
Foreign currency
transactions from
investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - -
Futures transactions....... - - - (182,353) -
----------- -------------- ----------- ------------ -------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 37,340,773 8,680,182 36,182,312 79,523,500 24,319,798
----------- -------------- ----------- ------------ -------------
NET REALIZED AND UNREALIZED
GAIN NET REALIZED AND
UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.......... 37,612,887 20,910,370 38,499,686 86,348,027 36,620,974
----------- -------------- ----------- ------------ -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS.... $40,938,460 $21,560,543 $41,539,096 $ 90,201,750 $ 36,027,392
----------- -------------- ----------- ------------ -------------
----------- -------------- ----------- ------------ -------------
(a) Commenced operations on
October 1, 1996.
(b) Commenced operations on
August 15, 1996.
</TABLE>
See Notes to Financial Statements.
[LOGO]
8
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIOD ENDED NOVEMBER 30, 1996
<TABLE>
<CAPTION>
LARGE SMALL SMALL SMALL
COMPANY COMPANY COMPANY CAP CONTRARIAN
GROWTH STOCK GROWTH OPPORTUNITIES STOCK INTERNATIONAL
FUND FUND FUND FUND(B) FUND FUND
---------- ---------- ------------ ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income.............. $ 78,857 $ 195,446 $ 552,170 $ - $ 23,995 $ -
Dividend income.............. 219,320 306,249 434,065 - 270,110 -
Securities lending income
(Note 6)................. 15,914 19,996 6,091 - 2,345 -
Net investment income from
International Portfolio
of Core Trust
(Delaware)(Note1)........ - - - - - 734,583
Net investment income from
Schroder U.S. Smaller
Companies Portfolio of
Schroder Capital Funds
(Note 1)................. - - - 10,427 - -
---------- ---------- ------------ ------------- ----------- -------------
TOTAL INCOME.................. 314,091 521,691 992,326 10,427 296,450 734,583
---------- ---------- ------------ ------------- ----------- -------------
EXPENSES
Advisory fee (Note 4)........ 285,834 699,067 1,632,350 - 114,008 -
Administration fee (Note
4)....................... - - - 7,457 - 201,732
Management fee (Note 4)...... 43,974 139,813 181,372 2,983 28,502 80,693
Transfer Agent fee (Note
4)....................... 109,936 174,767 453,431 7,457 35,627 201,732
Custodian fee (Note 4)....... - 12,993 - - 2,850 -
Accounting fee (Note 4)...... 18,000 37,000 26,000 12,057 30,000 18,000
Legal fee (Note 4)........... 1,043 1,600 4,377 - 371 5,635
Registration fees............ 6,160 15,577 6,896 5,320 5,747 16,479
Audit fee.................... 6,888 5,250 6,888 3,696 4,449 7,701
Trustees' fees............... 738 1,177 3,171 - 297 1,337
Shareholder reporting........ 383 604 1,456 3,488 91 702
Distribution & Maintenance
fees -- B Shares (Note
4)....................... - 19,351 - - 2,593 4,122
Amortization of organization
costs (Note 2)........... 5,960 3,269 5,960 - 3,269 5,960
Miscellaneous................ 1,647 2,668 4,975 92 1,612 7,952
---------- ---------- ------------ ------------- ----------- -------------
TOTAL EXPENSES................ 480,563 1,113,136 2,326,876 42,550 229,416 552,045
EXPENSES REIMBURSED AND FEES
WAIVED (Note 4).......... (43,101) (263,996) (73,002) (30,397) (58,435 ) (2,628)
---------- ---------- ------------ ------------- ----------- -------------
NET EXPENSES.................. 437,462 849,140 2,253,874 12,153 170,981 549,417
---------- ---------- ------------ ------------- ----------- -------------
NET INVESTMENT INCOME
(LOSS).................... (123,371) (327,449) (1,261,548) (1,726) 125,469 185,166
---------- ---------- ------------ ------------- ----------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. (920,126) (424,322) 21,768,775 - (2,110,900 ) -
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - - 1,097,404
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - 117,550 - -
Foreign currency
transactions........... - - - - - -
Foreign currency
transactions from
investments in Foreign
currency transactions
from investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - - 775,301
Futures transactions....... - - - - - -
---------- ---------- ------------ ------------- ----------- -------------
Net Realized Gain (Loss) from
Investments.............. (920,126) (424,322) 21,768,775 117,550 (2,110,900 ) 1,872,705
---------- ---------- ------------ ------------- ----------- -------------
Net Change in Unrealized
Appreciation Net Change
in Unrealized
Appreciation
(Depreciation) from:
Securities................. 8,829,820 1,768,831 (21,628,303) - 197,319 -
Investments of
International Portfolio
Investments of
International Portfolio
of Core Trust
(Delaware)............. - - - - - 1,245,127
Investments of Schroder
U.S. Smaller Companies
Portfolio of Schroder
Capital Funds.......... - - - 611,931 - -
Foreign currency
transactions........... - - - - - -
Foreign currency
transactions from
investments in
International Portfolio
of Core Trust
(Delaware)............. - - - - - (35,331)
Futures transactions....... - - - - - -
---------- ---------- ------------ ------------- ----------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 8,829,820 1,768,831 (21,628,303) 611,931 197,319 1,209,796
---------- ---------- ------------ ------------- ----------- -------------
NET REALIZED AND UNREALIZED
GAIN NET REALIZED AND
UNREALIZED GAIN (LOSS)
FROM INVESTMENTS.......... 7,909,694 1,344,509 140,472 611,931 (1,913,581 ) 3,082,501
---------- ---------- ------------ ------------- ----------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS.... $7,786,323 $1,017,060 $ (1,121,076) $727,755 $(1,788,112) $3,267,667
---------- ---------- ------------ ------------- ----------- -------------
---------- ---------- ------------ ------------- ----------- -------------
(a) Commenced operations on
October 1, 1996.
(b) Commenced operations on
August 15, 1996.
</TABLE>
[LOGO]
9
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INTERMEDIATE TOTAL
STABLE GOVERNMENT DIVERSIFIED INCOME RETURN
INCOME FUND INCOME FUND BOND FUND FUND BOND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $ 48,086,568 $ 50,213,013 $171,452,965 $ 119,520,985 $ 97,715,868
------------- ------------- ------------- ------------- -------------
OPERATIONS
Net investment income
(loss)................... 2,061,547 2,934,561 6,771,052 12,405,053 7,709,564
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
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 shares,
A Shares................. (16,429) (2,337,507) - (3,106,414) (548,923)
Cost of repurchasing shares,
B Shares................. (5,075) (87,494) - (928,666) (364,624)
Cost of repurchasing shares,
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
------------- ------------- ------------- ------------- -------------
OPERATIONS
Net investment income........ 3,040,347 14,038,151 5,233,682 9,333,013 4,095,668
Net realized gain (loss) from
investments.............. (4,361) (3,144,067) (122,431) (5,862,425) (460,944)
Net change in unrealized
appreciation
(depreciation) from
investments.............. 665,977 13,742,860 5,032,131 15,396,773 4,293,502
------------- ------------- ------------- ------------- -------------
3,701,963 24,636,944 10,143,382 18,867,361 7,928,226
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... (366,386) (508,014) - (179,415) (77,533)
Net investment income, B
Shares................... (15,295) (308,027) - (101,988) (63,240)
Net investment income, I
Shares................... (2,605,286) (13,182,381) - (9,051,610) (3,954,895)
Realized gain on investments,
A Shares................. - - - - -
Realized gain on investments,
B Shares................. - - - - -
Realized gain on investments,
I Shares................. - - - - -
------------- ------------- ------------- ------------- -------------
(2,986,967) (13,998,422) - (9,333,013) (4,095,668)
------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. 788,724 555,405 - 581,673 869,571
Sale of B shares............. 183,282 747,844 - 407,353 388,009
Sale of I shares............. 27,606,038 19,559,430 27,638,331 18,094,993 24,245,876
Sale of Shares issued in
conversion, I shares..... - - - - -
Reinvestment of dividends, A
shares................... 137,559 357,604 - 126,981 69,704
Reinvestment of dividends, B
shares................... 9,836 193,534 - 66,203 43,756
Reinvestment of dividends, I
shares................... 2,121,130 1,674,074 - 82,269 138,140
Cost of repurchasing shares,
A Shares................. (4,786,961) (3,279,446) - (992,941) (342,239)
Cost of repurchasing shares,
B Shares................. (491,492) (2,195,660) - (430,318) (331,921)
Cost of repurchasing shares,
I Shares................. (15,965,576) (34,593,587) (21,638,814) (20,630,289) (19,059,291)
------------- ------------- ------------- ------------- -------------
9,602,540 (16,980,802) 5,999,517 (2,694,076) 6,021,605
------------- ------------- ------------- ------------- -------------
NET ASSETS
November 30, 1996
(Unaudited).............. $110,843,928 $420,226,003 $183,302,051 $ 286,811,053 $ 134,729,586
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
November 1, November 1, November 1,
(a) Beginning Period.......... 1995 1995 1995 June 1, 1995 June 1, 1995
</TABLE>
See Notes to Financial Statements.
[LOGO]
10
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIODS ENDED NOVEMBER 30, 1996 AND THE PERIODS ENDED MAY 31, 1996
<TABLE>
<CAPTION>
LIMITED TERM TAX-FREE COLORADO MINNESOTA CONSERVATIVE
TAX-FREE INCOME TAX-FREE TAX-FREE BALANCED
FUND FUND FUND FUND FUND
---------------- ------------- ------------- ------------- -----------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $ - $ 128,969,381 $ 55,734,013 $ 22,448,063 $136,709,811
---------------- ------------- ------------- ------------- -----------------
OPERATIONS
Net investment income
(loss)................... - 13,239,263 3,016,106 1,583,749 3,949,668
Net realized gain (loss) from
investments.............. - (581,189) 340,617 111,837 1,001,774
Net change in unrealized
appreciation
(depreciation) from
investments.............. - (3,661,087) (487,596) (800,461) 2,159,205
---------------- ------------- ------------- ------------- -----------------
- 8,996,987 2,869,127 895,125 7,110,647
---------------- ------------- ------------- ------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... - (1,868,529) (1,437,522) (1,160,466) -
Net investment income, B
Shares................... - (236,778) (269,519) (315,283) -
Net investment income, I
Shares................... - (11,133,956) (1,309,065) (108,000) (5,731,263)
Realized gain on investments,
A Shares................. - - - - -
Realized gain on investments,
B Shares................. - - - - -
Realized gain on investments,
I Shares................. - - - - (1,742,779)
---------------- ------------- ------------- ------------- -----------------
- (13,239,263) (3,016,106) (1,583,749) (7,474,042)
---------------- ------------- ------------- ------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. - 8,363,276 4,568,871 13,073,591 -
Sale of B shares............. - 2,517,278 1,869,835 4,415,986 -
Sale of I shares............. - 212,589,116 6,423,556 2,423,693 25,829,440
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 1,247,299 1,004,820 -
Reinvestment of dividends, B
shares................... - 170,166 189,093 267,653 -
Reinvestment of dividends, I
shares................... - 106,017 12,673 19,399 7,474,042
Cost of repurchasing shares,
A Shares................. - (6,743,422) (4,732,320) (2,585,119) -
Cost of repurchasing shares,
B Shares................. - (479,398) (814,836) (793,041) -
Cost of repurchasing shares,
I Shares................. - (26,969,864) (6,886,075) (163,496) (22,700,219)
---------------- ------------- ------------- ------------- -----------------
- 191,242,866 1,878,096 17,663,486 10,603,263
---------------- ------------- ------------- ------------- -----------------
NET ASSETS
May 31, 1996................. - 315,969,971 57,465,130 39,422,925 146,949,679
---------------- ------------- ------------- ------------- -----------------
OPERATIONS
Net investment income........ 97,009 8,510,258 1,596,299 1,015,817 2,867,248
Net realized gain (loss) from
investments.............. - (148,912) 25,576 (62,711) 1,788,546
Net change in unrealized
appreciation
(depreciation) from
investments.............. 251,714 11,115,773 2,090,442 1,583,005 2,645,244
---------------- ------------- ------------- ------------- -----------------
348,723 19,477,119 3,712,317 2,536,111 7,301,038
---------------- ------------- ------------- ------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... - (837,050) (749,139) (678,292) -
Net investment income, B
Shares................... - (149,460) (157,703) (209,787) -
Net investment income, I
Shares................... (97,009) (7,520,593) (689,457) (127,738) -
Realized gain on investments,
A Shares................. - - - - -
Realized gain on investments,
B Shares................. - - - - -
Realized gain on investments,
I Shares................. - - - - -
---------------- ------------- ------------- ------------- -----------------
(97,009) (8,507,103) (1,596,299) (1,015,817) -
---------------- ------------- ------------- ------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. - 1,926,291 705,074 1,858,193 -
Sale of B shares............. - 1,061,288 475,103 1,565,088 -
Sale of I shares............. 21,604,277 17,427,156 3,008,306 2,293,495 15,686,239
Sale of Shares issued in
conversion, I shares..... - - - - -
Reinvestment of dividends, A
shares................... - 577,580 507,100 469,209 -
Reinvestment of dividends, B
shares................... - 87,182 90,334 134,961 -
Reinvestment of dividends, I
shares................... 5,902 74,727 6,347 11,155 -
Cost of repurchasing shares,
A Shares................. - (9,692,582) (1,362,490) (4,429,963) -
Cost of repurchasing shares,
B Shares................. - (598,440) (356,826) (411,066) -
Cost of repurchasing shares,
I Shares................. - (23,738,303) (1,660,884) (592,926) (46,446,110)
---------------- ------------- ------------- ------------- -----------------
21,610,179 (12,875,101) 1,412,064 898,146 (30,759,871)
---------------- ------------- ------------- ------------- -----------------
NET ASSETS
November 30, 1996
(Unaudited).............. $21,861,893 $ 314,064,886 $ 60,993,212 $ 41,841,365 $123,490,846
---------------- ------------- ------------- ------------- -----------------
---------------- ------------- ------------- ------------- -----------------
(a) Beginning Period.......... October 1, 1996 June 1, 1995 June 1, 1995 June 1, 1995 November 1, 1995
<CAPTION>
MODERATE GROWTH
BALANCED BALANCED
FUND FUND
----------------- -----------------
<S> <C> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $373,998,231 $ 374,892,160
----------------- -----------------
OPERATIONS
Net investment income
(loss)................... 9,125,346 6,623,706
Net realized gain (loss) from
investments.............. 5,703,081 9,681,960
Net change in unrealized
appreciation
(depreciation) from
investments.............. 11,601,080 27,418,581
----------------- -----------------
26,429,507 43,724,247
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... - -
Net investment income, B
Shares................... - -
Net investment income, I
Shares................... (12,519,924) (9,048,079)
Realized gain on investments,
A Shares................. - -
Realized gain on investments,
B Shares................. - -
Realized gain on investments,
I Shares................. (5,073,401) (3,082,601)
----------------- -----------------
(17,593,325) (12,130,680)
----------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. - -
Sale of B shares............. - -
Sale of I shares............. 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................... - -
Reinvestment of dividends, B
shares................... - -
Reinvestment of dividends, I
shares................... 17,593,325 12,130,682
Cost of repurchasing shares,
A Shares................. - -
Cost of repurchasing shares,
B Shares................. - -
Cost of repurchasing shares,
I Shares................. (77,264,966) (49,868,392)
----------------- -----------------
15,170,907 78,155,450
----------------- -----------------
NET ASSETS
May 31, 1996................. 398,005,320 484,641,177
----------------- -----------------
OPERATIONS
Net investment income........ 7,268,502 5,619,346
Net realized gain (loss) from
investments.............. 1,105,594 9,232,378
Net change in unrealized
appreciation
(depreciation) from
investments.............. 17,594,367 18,284,509
----------------- -----------------
25,968,463 33,136,233
----------------- -----------------
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............. - -
Sale of B shares............. - -
Sale of I shares............. 51,869,729 57,590,014
Sale of Shares issued in
conversion, I shares..... - -
Reinvestment of dividends, A
shares................... - -
Reinvestment of dividends, B
shares................... -
Reinvestment of dividends, I
shares................... - -
Cost of repurchasing shares,
A Shares................. - -
Cost of repurchasing shares,
B Shares................. - -
Cost of repurchasing shares,
I Shares................. (45,890,250) (115,314,689)
----------------- -----------------
5,979,479 (57,724,675)
----------------- -----------------
NET ASSETS
November 30, 1996
(Unaudited).............. $429,953,262 $ 460,052,735
----------------- -----------------
----------------- -----------------
(a) Beginning Period.......... November 1, 1995 November 1, 1995
</TABLE>
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11
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
<TABLE>
<CAPTION>
INCOME VALUGROWTH-SM- DIVERSIFIED GROWTH
EQUITY STOCK INDEX EQUITY EQUITY
FUND FUND FUND FUND FUND
----------------- -------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $ 49,000,004 $152,296,128 $186,196,572 $ 711,110,909 $ 564,004,277
----------------- -------------- ----------------- ----------------- -----------------
OPERATIONS
Net investment income
(loss)................... 1,275,151 1,009,599 2,947,559 4,762,594 54,049
Net realized gain (loss) from
investments.............. 239,076 11,920,837 3,739,347 20,460,229 30,110,072
Net change in unrealized
appreciation
(depreciation) from
investments.............. 9,644,184 19,702,082 25,822,725 96,912,030 67,008,779
----------------- -------------- ----------------- ----------------- -----------------
11,158,411 32,632,518 32,509,631 122,134,853 97,172,900
----------------- -------------- ----------------- ----------------- -----------------
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) (2,687,990)
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) (42,119,410)
----------------- -------------- ----------------- ----------------- -----------------
(1,811,079) (2,007,145 ) (4,323,336) (37,884,553) (44,807,400)
----------------- -------------- ----------------- ----------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. 2,520,809 2,965,125 - 2,685,565 3,337,642
Sale of B shares............. 748,680 1,356,765 - 2,417,385 694,106
Sale of I shares............. 31,446,734 26,276,880 44,343,984 156,508,771 132,045,471
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 44,807,402
Cost of repurchasing shares,
A Shares................. (97,978) (2,587,716 ) - (12,102) (10,957)
Cost of repurchasing shares,
B Shares................. (27,196) (625,881 ) - - -
Cost of repurchasing shares,
I Shares................. (6,354,584) (33,730,227 ) (13,406,058) (82,476,663) (57,474,997)
----------------- -------------- ----------------- ----------------- -----------------
221,250,509 (6,006,822 ) 35,261,332 117,007,508 123,398,667
----------------- -------------- ----------------- ----------------- -----------------
NET ASSETS
May 31, 1996................. 279,597,845 176,914,679 249,644,199 912,368,717 739,768,444
----------------- -------------- ----------------- ----------------- -----------------
OPERATIONS
Net investment income........ 3,325,573 650,173 3,039,410 3,853,723 (593,582)
Net realized gain(loss) from
investments.............. 272,114 12,230,188 2,317,374 6,824,527 12,301,176
Net change in unrealized
appreciation
(depreciation) from
investments.............. 37,340,773 8,680,182 36,182,312 79,523,500 24,319,798
----------------- -------------- ----------------- ----------------- -----------------
40,938,460 21,560,543 41,539,096 90,201,750 36,027,392
----------------- -------------- ----------------- ----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... (286,449) (35,391 ) - - -
Net investment income, B
Shares................... (124,098) (2,830 ) - - -
Net investment income, I
Shares................... (2,283,058) (364,174 ) - -
Realized gain on investments,
A Shares................. - - - - -
Realized gain on investments,
B Shares................. - - - - -
Realized gain on investments,
I Shares................. - - - -
----------------- -------------- ----------------- ----------------- -----------------
(2,693,605) (402,395 ) - -
----------------- -------------- ----------------- ----------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. 5,779,149 1,376,977 - 11,522,907 8,641,482
Sale of B shares............. 5,426,057 312,383 - 11,930,800 3,459,291
Sale of I shares............. 84,061,843 11,471,315 58,220,229 143,996,245 143,466,157
Sale of Shares issued in
conversion, I shares..... - - - - -
Reinvestment of dividends, A
shares................... 271,636 35,052 - - -
Reinvestment of dividends, B
shares................... 119,956 2,718 - - -
Reinvestment of dividends, I
shares................... 829,895 20,037 - - -
Cost of repurchasing shares,
A Shares................. (2,247,711) (1,320,049 ) - (964,233) (1,528,556)
Cost of repurchasing shares,
B Shares................. (1,239,287) (291,417 ) - (218,744) (33,515)
Cost of repurchasing shares,
I Shares................. (16,337,992) (15,309,758 ) (14,500,199) (81,520,059) (95,723,752)
----------------- -------------- ----------------- ----------------- -----------------
76,663,546 (3,702,742 ) 43,720,030 84,746,916 58,281,107
----------------- -------------- ----------------- ----------------- -----------------
NET ASSETS
November 30, 1996
(Unaudited).............. $394,506,246 $194,370,085 $334,903,325 $1,087,317,383 $ 834,076,943
----------------- -------------- ----------------- ----------------- -----------------
----------------- -------------- ----------------- ----------------- -----------------
(a) Beginning Period.......... November 1, 1995 June 1, 1995 November 1, 1995 November 1, 1995 November 1, 1995
</TABLE>
See Notes to Financial Statements.
[LOGO]
12
<PAGE>
- --------------------------------------------------------------------------------
FOR THE PERIOD ENDED NOVEMBER 30, 1996
<TABLE>
<CAPTION>
LARGE SMALL SMALL SMALL
COMPANY COMPANY COMPANY CAP CONTRARIAN
GROWTH STOCK GROWTH OPPORTUNITIES STOCK
FUND FUND FUND FUND FUND
----------------- ------------- ----------------- --------------- -----------------
<S> <C> <C> <C> <C> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $ 63,566,924 $ 56,742,784 $278,057,874 $ - $ 46,866,718
----------------- ------------- ----------------- --------------- -----------------
OPERATIONS
Net investment income
(loss)................... (128,949) 29,449 (772,022) - 375,831
Net realized gain (loss) from
investments.............. 869,085 14,281,284 23,582,293 - 5,483,045
Net change in unrealized
appreciation
(depreciation) from
investments.............. 10,088,697 17,166,511 41,196,035 - (1,213,188)
----------------- ------------- ----------------- --------------- -----------------
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................... - (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................. (612,610) (3,804,614) (26,837,810) - (4,102,714)
----------------- ------------- ----------------- --------------- -----------------
(612,610) (4,188,171) (26,837,810) - (4,602,546)
----------------- ------------- ----------------- --------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. - 3,231,815 - - 542,495
Sale of B shares............. - 2,541,448 - - 233,371
Sale of I shares............. 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................... 612,610 224,735 26,837,810 - 638,476
Cost of repurchasing shares,
A Shares................. - (422,224) - - (279,551)
Cost of repurchasing shares,
B Shares................. - (202,809) - - (148,560)
Cost of repurchasing shares,
I Shares................. (3,711,267) (9,720,850) (17,840,616) - (27,147,010)
----------------- ------------- ----------------- --------------- -----------------
8,330,732 51,504,895 63,319,800 - (9,382,221)
----------------- ------------- ----------------- --------------- -----------------
NET ASSETS
May 31, 1996................. 82,113,879 135,536,752 378,546,170 - 37,527,639
----------------- ------------- ----------------- --------------- -----------------
OPERATIONS
Net investment income........ (123,371) (327,449) (1,261,548) (1,726) 125,469
Net realized gain(loss) from
investments.............. (920,126) (424,322) 21,768,775 117,550 (2,110,900)
Net change in unrealized
appreciation
(depreciation) from
investments.............. 8,829,820 1,768,831 (21,628,303) 611,931 197,319
----------------- ------------- ----------------- --------------- -----------------
7,786,323 1,017,060 (1,121,076) 727,755 (1,788,112)
----------------- ------------- ----------------- --------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income, A
Shares................... - - - - (3,006)
Net investment income, B
Shares................... - - - - (641)
Net investment income, I
Shares................... - - - - (83,331)
Realized gain on investments,
A Shares................. - - - - -
Realized gain on investments,
B Shares................. - - - - -
Realized gain on investments,
I Shares................. - - - - -
----------------- ------------- ----------------- --------------- -----------------
- - - - (86,978)
----------------- ------------- ----------------- --------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of A shares............. - 1,279,528 - 64,265 268,224
Sale of B shares............. - 514,253 - 27,797 64,186
Sale of I shares............. 16,643,386 28,199,594 38,091,708 20,238,205 2,613,108
Sale of Shares issued in
conversion, I shares..... - - - - -
Reinvestment of dividends, A
shares................... - - - - 2,981
Reinvestment of dividends, B
shares................... - - - - 408
Reinvestment of dividends, I
shares................... - - - - 3,794
Cost of repurchasing shares,
A Shares................. - (557,365) - - (749,230)
Cost of repurchasing shares,
B Shares................. - (350,731) - - (156,251)
Cost of repurchasing shares,
I Shares................. (6,334,595) (6,924,941) (31,725,149) (472,301) (20,689,663)
----------------- ------------- ----------------- --------------- -----------------
10,308,791 22,160,338 6,366,559 19,857,966 (18,642,443)
----------------- ------------- ----------------- --------------- -----------------
NET ASSETS
November 30, 1996
(Unaudited).............. $100,208,993 $ 158,714,150 $383,791,653 $20,585,721 $ 17,010,106
----------------- ------------- ----------------- --------------- -----------------
----------------- ------------- ----------------- --------------- -----------------
(a) Beginning Period.......... November 1, 1995 June 1, 1995 November 1, 1995 August 15, 1996 June 1, 1995
<CAPTION>
INTERNATIONAL
FUND
-------------
<S> <C>
NET ASSETS BEGINNING OF
PERIOD(A)................. $ 92,012,478
-------------
OPERATIONS
Net investment income
(loss)................... 423,426
Net realized gain (loss) from
investments.............. 1,700,340
Net 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 shares,
A Shares................. (60,668)
Cost of repurchasing shares,
B Shares................. (4,128)
Cost of repurchasing shares,
I Shares................. (5,914,538)
-------------
41,743,340
-------------
NET ASSETS
May 31, 1996................. 145,717,531
-------------
OPERATIONS
Net investment income........ 185,166
Net realized gain(loss) from
investments.............. 1,872,705
Net change in unrealized
appreciation
(depreciation) from
investments.............. 1,209,796
-------------
3,267,667
-------------
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............. 433,656
Sale of B shares............. 241,430
Sale of I shares............. 37,685,887
Sale of Shares issued in
conversion, I shares..... -
Reinvestment of dividends, A
shares................... -
Reinvestment of dividends, B
shares................... -
Reinvestment of dividends, I
shares................... -
Cost of repurchasing shares,
A Shares................. (152,624)
Cost of repurchasing shares,
B Shares................. (15,349)
Cost of repurchasing shares,
I Shares................. (7,952,873)
-------------
30,240,127
-------------
NET ASSETS
November 30, 1996
(Unaudited).............. $179,225,325
-------------
-------------
November 1,
(a) Beginning Period.......... 1995
</TABLE>
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13
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Norwest Advantage Funds (the "Trust") is registered as an open-end management
investment company. The Trust currently has twenty-eight separate investment
portfolios. These financial statements relate to twenty-three 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
Total Return Bond Fund.................. December 31, 1993 December 31, 1993 December 31, 1993
Limited Term Tax-Free Fund.............. N/A N/A October 1, 1996
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
ValuGrowth-SM- 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
Small Company Stock Fund................ December 31, 1993 December 31, 1993 December 31, 1993
Small Company Growth Fund............... N/A N/A November 11, 1994
Small Cap Opportunities Fund............ October 9, 1996 November 8, 1996 August 15, 1996
Contrarian Stock Fund................... December 31, 1993 December 31, 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.
Each of these Small Cap Opportunities Fund and International Fund seeks to
achieve its investment objective by investing all of its assets in Schroder U.S.
Smaller Companies Portfolio or International Portfolio, respectively, each a
separate diversified portfolio of Schroder Capital Funds or Core Trust
(Delaware) ("Core Trust"), respectively, which are registered as an open-end
management investment companies. 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. Small Cap Opportunities Fund, 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 ValuGrowth-SM- 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
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14
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION (CONTINUED)
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 ends to May 31. Prior to
May 31, 1996, their fiscal year end was October 31.
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 record holders of shares of
beneficial interest 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 identified 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,
Limited Term Tax-Free, Tax-Free Income Fund, Colorado Tax-Free Fund and
Minnesota Tax-Free Fund; are declared and paid monthly by Stable Income Fund and
Intermediate Government Income Fund; are declared and paid quarterly by Income
Equity Fund, ValuGrowth-SM- Stock Fund, Small Company Stock Fund and Contrarian
Stock 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, Small Cap Opportunities 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.
[LOGO]
15
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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.
REALIZED GAINS AND LOSSES-Security transactions are recorded on a trade date
basis and realized gain and loss 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 Funds' 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 November 30 , 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 November 30, 1996 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
POSITION CONTRACTS INDEX (DEPRECIATION)
- -------- --------- -------------------------------------------- --------------
<S> <C> <C> <C>
Long 44 S&P 500 Futures, Expiring December 20,1996 $1,274,450
</TABLE>
As of November 30, 1996, the Fund had segregated sufficient cash and/or
securities to cover margin requirements on open futures contracts.
- --------------------------------------------------------------------------------
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 advisory fee from each Fund at an
annual rate based on 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.
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
[LOGO]
16
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
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 Schroder U.S. Smaller Companies Portfolio and
International Portfolio of Core Trust is Schroder Capital Management
International Inc. ("Schroder"). Small Cap Opportunities Fund or International
Fund may withdraw its investment from Schroder U. S. Smaller Companies Portfolio
or International Portfolio, respectively, at any time if the Board determines
that it is in the best interest of the Fund and its shareholders to do so.
Should Small Cap Opportunities Fund or International Fund make such a
withdrawal, the Trust has retained the Adviser to act as investment adviser and
Schroder to act as investment subadviser. Neither the Adviser nor Schroder will
receive any advisory or subadvisory fees with respect to Small Cap Opportunities
Fund or International Fund as long as the Fund remains completely invested in
Schroder U.S. Smaller Companies Portfolio or International Portfolio,
respectively.
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 period ended November 30, 1996, pursuant to procedures adopted by the
Board, ValuGrowth-SM- Stock Fund placed a portion of its portfolio transactions
through Norwest Investment Services, Inc., an affiliate of the Adviser, for
which brokerage commissions of $41,474 were paid.
MANAGEMENT, ADMINISTRATIVE AND OTHER SERVICES-As manager of the Trust and
distributor of its shares, Forum Financial Services, Inc. ("Forum"), a
registered broker-dealer and a member of the National Association of Securities
Dealers, Inc. and Forum Administrative Services, LLC ("FAS"), provide
administrative services to the Funds. For their services Forum and FAS receive
management and administrative fees 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 November 30, 1996, Forum charged the Trust legal expenses aggregating
$52,210.
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 for a detail
listing of the percentage of transfer agent and custodian fees.
On behalf of Small Cap Opportunities Fund and 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 Funds. Under this agreement, Norwest is responsible for compiling
data for and preparing communications between the Funds and its shareholders,
maintaining requisite information flows between the Funds and Schroder as the
investment adviser to Schroder U.S. Smaller Companies Portfolio and
International Portfolio of Core Trust, respectively, and monitoring and
reporting to the Board on the performance of Schroder U.S. Smaller Companies
Portfolio and International Portfolio,respectively. No fees are payable under
this agreement in the event that the Fund is not completely invested in Schroder
U.S. Smaller Companies Portfolio and International Portfolio or another
investment company, respectively.
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 November 30, 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 will 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 exists no
unreimbursed distribution charges attributable to that
[LOGO]
17
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 4. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
Fund under the Plan, as calculated pursuant to the Plan. The respective
unreimbursed distribution charges at November 30, 1996 were as follows: Stable
Income Fund, $11,016; Intermediate Government Income Fund, $185,278; Income
Fund, $77,476; Total Return Bond Fund, $51,680; Tax-Free Income Fund, $108,093;
Colorado Tax-Free Fund, $99,929; Minnesota Tax-Free Fund, $210,196; Income
Equity Fund, $674,704; ValuGrowth-SM- Stock Fund, $120,085; Diversified Equity
Fund, $540,822; Growth Equity Fund, $160,902; Small Company Stock Fund,
$115,026; Small Cap Opportunites Fund, $1,204; Contrarian Stock Fund, $22,690;
and International Fund, $41,127.
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 June
1, 1996 to November 30, 1996 attributable to each Blended Funds' investment in
the Blended Portfolios of Core Trust were as follows: Conservative Balanced
Fund, $15,263 ; Moderate Balanced Fund, $66,189; Growth Balanced Fund, $115,603;
Diversified Equity Fund, $365,101; and Growth Equity Fund $386,240.
VOLUNTARY WAIVERS AND REIMBURSEMENTS-For the period ended November 30, 1996, the
Trust's service providers voluntarily waived and reimbursed certain fees
incurred by the Funds. Refer to Exhibit A of Notes to Financial Statements for a
detail listing of the 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 November 30, 1996 are
presented in Exhibit B of the Notes to Financial Statements. (The cost of
purchases and proceeds from sales for the Blended Funds, Small Cap Opportunities
Fund and International Fund reflect additions and reductions in the Funds'
investment in Index Portfolio, Small Company Portfolio, International Portfolio
and International Portfolio II of Core Trust and Schroder U.S. Smaller Companies
Portfolio of Schroder Capital Funds.)
The Federal tax cost basis of investments, related gross unrealized appreciation
and depreciation for Federal income tax purposes, and the capital loss
carryovers available to offset future captial gains, as of November 30, 1996,
are presented in Exhibit B of Notes to Financial Statements.
- --------------------------------------------------------------------------------
NOTE 6. PORTFOLIO SECURITIES LOANED
As of November 30, 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>
Stable Income Fund................................ $11,553,399 $11,972,394
Intermediate Government Income Fund............... 68,409,855 70,614,959
Diversified Bond Fund............................. 2,455,048 2,527,396
Income Fund....................................... 68,816,784 71,081,426
Total Return Bond Fund............................ 36,105,008 37,462,221
Conservative Balanced Fund........................ 4,373,197 4,547,499
Moderate Balanced Fund............................ 23,597,774 24,489,093
Growth Balanced Fund.............................. 27,090,336 28,247,842
Income Equity Fund................................ 59,775,072 61,777,773
ValuGrowth-SM- Stock Fund......................... 56,709,266 60,387,270
Index Fund........................................ 91,572,433 94,954,331
Diversified Equity Fund........................... 123,846,369 128,460,517
Growth Equity Fund................................ 73,820,286 77,086,191
Large Company Growth Fund......................... 20,852,030 21,885,796
Small Company Stock Fund.......................... 26,681,438 27,624,347
Contrarian Stock Fund............................. 2,415,180 2,522,079
</TABLE>
[LOGO]
18
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 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)(B) SUBSCRIBED(B) ISSUED(B) REINVESTMENT(B) REDEEMED(B) (DECREASE)(B)
----------------- ------------- ------------ --------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund
A Shares......................... November 30, 1996 77,043 13,472 (469,174) (378,659)
A Shares......................... May 31, 1996 2,512 1,588,229 4,300 (1,609) 1,593,432
B Shares......................... November 30, 1996 17,955 964 (47,955) (29,036)
B Shares......................... May 31, 1996 46,741 38,476 257 (495) 84,979
I Shares......................... November 30, 1996 2,697,244 207,686 (1,560,803) 1,344,127
I Shares......................... May 31, 1996 3,171,044 1,646,222 429,364 (1,557,800) 3,688,830
Intermediate Government
Income Fund
A Shares......................... November 30, 1996 50,659 - 32,742 (299,688) (216,287)
A Shares......................... May 31, 1996 6,716 1,724,803 2,885 (212,965) 1,521,439
B Shares......................... November 30, 1996 68,468 - 17,733 (199,819) (113,618)
B Shares......................... May 31, 1996 579 987,229 1,486 (7,997) 981,297
I Shares......................... November 30, 1996 1,783,525 153,140 (3,157,437) (1,220,772)
I Shares......................... May 31, 1996 1,177,241 34,509,135 572,649 (398,252) 35,860,773
Diversified Bond Fund
I Shares......................... November 30, 1996 1,039,308 - - (812,282) 227,026
I Shares......................... May 31, 1996 985,367 - 456,475 (1,160,178) 281,664
Income Fund
A Shares......................... November 30, 1996 62,280 - 13,610 (106,251) (30,361)
A Shares......................... May 31, 1996 236,584 - 35,126 (323,284) (51,574)
B Shares......................... November 30, 1996 43,731 - 7,107 (45,809) 5,209
B Shares......................... May 31, 1996 93,265 - 16,806 (97,218) 12,853
I Shares......................... November 30, 1996 1,942,239 - 8,826 (2,205,611) (254,546)
I Shares......................... May 31, 1996 20,209,039 - 18,760 (2,390,661) 17,837,138
Total Return Bond Fund
A Shares......................... November 30, 1996 92,497 - 7,391 (36,255) 63,633
A Shares......................... May 31, 1996 201,628 - 7,319 (56,614) 152,333
B Shares......................... November 30, 1996 41,239 - 4 ,636 (35,085) 10,790
B Shares......................... May 31, 1996 157,199 - 9,555 (37,976) 128,778
I Shares......................... November 30, 1996 2,570,923 - 14,589 (2,017,099) 568,413
I Shares......................... May 31, 1996 5,082,461 - 289,805 (2,412,585) 2,959,681
Limited Term Tax-Free Fund
I Shares......................... November 30, 1996 2,089,381 - 570 - 2,089,951
Tax-Free Income Fund
A Shares......................... November 30, 1996 195,772 - 58,396 (974,673) (720,505)
A Shares......................... May 31, 1996 844,644 - 170,761 (683,344) 332,061
B Shares......................... November 30, 1996 107,689 - 8,808 (60,243) 56,254
B Shares......................... May 31, 1996 254,385 - 17,185 (48,446) 223,124
I Shares......................... November 30, 1996 1,762,263 - 33 (2,397,825) (635,529)
I Shares......................... May 31, 1996 21,317,628 - 10,725 (2,717,376) 18,610,977
Colorado Tax-Free Fund
A Shares......................... November 30, 1996 70,561 - 49,944 (136,160) (15,655)
A Shares......................... May 31, 1996 453,951 - 124,490 (474,632) 103,809
B Shares......................... November 30, 1996 47,238 - 8,980 (35,518) 20,700
B Shares......................... May 31, 1996 184,980 - 18,848 (81,822) 122,006
I Shares......................... November 30, 1996 298,873 - 632 (165,147) 134,358
I Shares......................... May 31, 1996 638,741 - 1,264 (683,956) (43,951)
</TABLE>
[LOGO]
19
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 7. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
OTHER SHARES ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
END(A)(B) SUBSCRIBED(B) ISSUED(B) REINVESTMENT(B) REDEEMED(B) (DECREASE)(B)
----------------- ------------- ------------ --------------- ----------- ------------
Minnesota Tax-Free Fund
<S> <C> <C> <C> <C> <C> <C>
A Shares......................... November 30, 1996 177,750 - 44,957 (423,183) (200,476)
A Shares......................... May 31, 1996 1,244,834 - 95,738 (246,111) 1,094,461
B Shares......................... November 30, 1996 150,045 - 12,993 (39,474) 123,504
B Shares......................... May 31, 1996 420,449 - 25,555 (76,177) 369,827
I Shares......................... November 30, 1996 220,010 - 1,069 (56,459) 164,620
I Shares......................... May 31, 1996 228,639 - 1,852 (15,455) 215,036
Conservative Balanced Fund
I Shares......................... November 30, 1996 856,654 - - (2,523,024) (1,666,370)
I Shares......................... May 31, 1996 1,455,459 - 425,387 (1,275,154) 605,692
Moderate Balanced Fund
I Shares......................... November 30, 1996 2,536,549 - - (2,246,525) 290,024
I Shares......................... May 31, 1996 3,798,355 - 907,808 (3,925,457) 780,706
Growth Balanced Fund
I Shares......................... November 30, 1996 2,501,004 - - (5,010,093) (2,509,089)
I Shares......................... May 31, 1996 5,279,837 - 571,663 (2,273,197) 3,578,303
Income Equity Fund
A Shares......................... November 30, 1996 205,492 - 9,731 (80,438) 134,785
A Shares......................... May 31, 1996 90,978 1,053,473 - (3,514) 1,140,937
B Shares......................... November 30, 1996 193,528 - 4,303 (44,613) 153,218
B Shares......................... May 31, 1996 27,490 602,328 - (977) 628,841
I Shares......................... November 30, 1996 3,011,881 - 29,723 (583,560) 2,458,044
I Shares......................... May 31, 1996 1,201,965 5,314,997 69,338 (250,449) 6,335,851
ValuGrowth-SM- Stock Fund
A Shares......................... November 30, 1996 59,885 - 1,484 (57,692) 3,677
A Shares......................... May 31, 1996 142,948 - 8,842 (123,725) 28,065
B Shares......................... November 30, 1996 13,835 - 117 (12,638) 1,314
B Shares......................... May 31, 1996 66,819 - 2,473 (30,373) 38,919
I Shares......................... November 30, 1996 500,104 - 851 (656,018) (155,063)
I Shares......................... May 31, 1996 1,282,430 - 5,183 (1,627,713) (340,100)
Index Fund
I Shares......................... November 30, 1996 1,837,229 - - (451,248) 1,385,981
I Shares......................... May 31, 1996 1,494,825 - 150,066 (446,260) 1,198,631
Diversified Equity Fund
A Shares......................... November 30, 1996 380,097 - - (31,650) 348,447
A Shares......................... May 31, 1996 88,731 - - (398) 88,333
B Shares......................... November 30, 1996 389,929 - - (6,988) 382,941
B Shares......................... May 31, 1996 80,122 - - - 80,122
I Shares......................... November 30, 1996 4,710,289 - - (2,664,049) 2,046,240
I Shares......................... May 31, 1996 5,447,250 - 1,313,210 (2,902,396) 3,858,064
Growth Equity Fund
A Shares......................... November 30, 1996 302,686 - - (52,561) 250,125
A Shares......................... May 31, 1996 115,164 - - (382) 114,782
B Shares......................... November 30, 1996 121,738 - - (1,131) 120,607
B Shares......................... May 31, 1996 24,168 - - - 24,168
I Shares......................... November 30, 1996 5,055,480 - - (3,354,184) 1,701,296
I Shares......................... May 31, 1996 4,846,652 - 1,651,658 (2,108,869) 4,389,441
</TABLE>
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20
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 7. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
OTHER SHARES ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
END(A)(B) SUBSCRIBED(B) ISSUED(B) REINVESTMENT(B) REDEEMED(B) (DECREASE)(B)
----------------- ------------- ------------ --------------- ----------- ------------
Large Company Growth Fund
<S> <C> <C> <C> <C> <C> <C>
I Shares......................... November 30, 1996 620,307 - - (243,600) 376,707
I Shares......................... May 31, 1996 471,467 - 26,577 (148,296) 349,748
Small Company Stock Fund
A Shares......................... November 30, 1996 99,947 - - (43,895) 56,052
A Shares......................... May 31, 1996 266,295 - 11,419 (35,555) 242,159
B Shares......................... November 30, 1996 39,964 - - (28,330) 11,634
B Shares......................... May 31, 1996 216,344 - 8,232 (17,389) 207,187
I Shares......................... November 30, 1996 2,199,858 - - (535,622) 1,664,236
I Shares......................... May 31, 1996 4,695,219 - 19,738 (813,654) 3,901,303
Small Company Growth Fund
I Shares......................... November 30, 1996 1,215,414 - - (1,022,991) 192,423
I Shares......................... May 31, 1996 1,838,657 - 972,032 (610,709) 2,199,980
Small Cap Opportunities Fund
A Shares......................... November 30, 1996 3,671 - - - 3,671
B Shares......................... November 30, 1996 1,586 - - - 1,586
I Shares......................... November 30, 1996 1,177,889 - - (26,975) 1,150,914
Contrarian Stock Fund
A Shares......................... November 30, 1996 26,434 - 293 (74,664) (47,937)
A Shares......................... May 31, 1996 50,267 - 6,560 (25,341) 31,486
B Shares......................... November 30, 1996 6,349 - 39 (15,702) (9,314)
B Shares......................... May 31, 1996 20,976 - 5,826 (13,448) 13,354
I Shares......................... November 30, 1996 255,578 - 371 (2,042,483) (1,786,534)
I Shares......................... May 31, 1996 1,546,052 - 61,649 (2,481,497) (873,796)
International Fund
A Shares......................... November 30, 1996 22,014 - - (7,803) 14,211
A Shares......................... May 31, 1996 45,286 - 344 (3,189) 42,441
B Shares......................... November 30, 1996 12,358 - - (790) 11,568
B Shares......................... May 31, 1996 28,226 - 426 (229) 28,423
I Shares......................... November 30, 1996 1,914,483 - - (403,281) 1,511,202
I Shares......................... May 31, 1996 2,387,598 - 90,228 (318,244) 2,159,582
</TABLE>
(a) See the related Statements of Changes in Net Assets for the dates of
beginning of period presented.
(b) For the period ended November 30, 1996, the information is unaudited.
- --------------------------------------------------------------------------------
NOTE 8. MERGER OF FUNDS
On May 17, 1996, Stable Income Fund, Intermediate Government Income Fund and
Income Equity Fund ("Acquired Funds") acquired all of the assets and liabilities
of Adjusted 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 the existing Acquiring Fund, and the
distribution of such shares to the Target Funds' shareholders and the subsequent
termination of the respective Target Funds.
[LOGO]
21
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 8. MERGER OF FUNDS (CONTINUED)
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
SHARE SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER 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.
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
SHARE SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER 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
SHARE SHARES PER SHARE UNREALIZED ACCUMULATED MAY 17, 1996 PER 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]
22
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
EXHIBIT A--ADDITIONAL EXPENSE INFORMATION
<TABLE>
<CAPTION>
FEES FEES WAIVED
-------------------- --------------------------------
CUSTODIAN CUSTODIAN EXPENSES
TRANSFER TRANSFER REIMBURSED
ADVISORY AGENT AGENT ADVISER FORUM BY FORUM
-------- --------- --------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund................................ 0.30% 0.25% $ - $ - $ 68,471 $ 590
Intermediate Government Income Fund............... 0.33% 0.25% - - 105,272 -
Diversified Bond Fund............................. 0.35% 0.25% - - 57,989 -
Income Fund....................................... 0.50% 0.30% 21,583 140,638 233,700 -
Total Return Bond Fund............................ 0.50% 0.30% 3,804 194,449 10,776 -
Limited Term Tax-Free Fund........................ 0.50% 0.30% 2,731 8,579 2,158 -
Tax-Free Income Fund.............................. 0.50% 0.30% 23,209 784,399 173,198 -
Colorado Tax-Free Fund............................ 0.50%(a) 0.30% 47,152 147,351 55,459 -
Minnesota Tax-Free Fund........................... 0.50%(a) 0.30% 4,121 103,045 31,904 -
Conservative Balanced Fund........................ 0.45% 0.25% - - 62,064 247
Moderate Balanced Fund............................ 0.53% 0.25% - - 107,670 -
Growth Balanced Fund.............................. 0.58% 0.25% - - 114,831 -
Income Equity Fund................................ 0.50% 0.25% - - 90,767 -
ValuGrowth-SM- Stock Fund......................... 0.80%(b) 0.30% 158,247 9,009 127,509 -
Index Fund........................................ 0.15% 0.25% 141,551 212,327 75,699 -
Diversified Equity Fund........................... 0.65% 0.25% - - 224,696 -
Growth Equity Fund................................ 0.90% 0.25% - - 185,354 -
Large Company Growth Fund......................... 0.65% 0.25% - - 34,626 8,475
Small Company Stock Fund.......................... 1.00%(c) 0.30% 12,992 223,702 27,302 -
Small Company Growth Fund......................... 0.90% 0.25% - - 73,002 -
Small Cap Opportunities Fund...................... - 0.25% 2,983 - 6,315 21,099
Contrarian Stock Fund............................. 0.80%(b) 0.30% 1,435 25,905 31,095 -
International Fund................................ - - - - 2,628 -
</TABLE>
(a) For the first $300 million of 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 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 net assets of the Fund, declining to 0.92% for
average net assets in excess of $700 million.
- --------------------------------------------------------------------------------
EXHIBIT B--ADDITIONAL INVESTMENT/SECURITIES INFORMATION
<TABLE>
<CAPTION>
COST PROCEEDS UNREALIZED CAPITAL
OF FROM -------------------------- TAX LOSS
PURCHASES SALES APPRECIATION DEPRECIATION COST BASIS CARRYOVERS
------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund...................... $ 63,441,698 $ 33,428,476 $ 572,743 $ 383,337 $109,441,843 $7,063,621
Intermediate Government Income Fund..... 409,306,085 418,394,622 6,194,758 906,400 409,307,580 16,286,482 (a)
Diversified Bond Fund................... 34,197,495 24,833,551 3,992,029 163,881 177,369,807 -
Income Fund............................. 305,946,978 310,931,507 6,201,767 781,698 279,970,800 8,567,590
Total Return Bond Fund.................. 32,006,507 27,965,396 3,469,912 1,226,812 129,432,007 -
Limited Term Tax-Free Fund.............. 20,202,725 - 251,714 - 21,611,278 -
Tax-Free Income Fund.................... 202,481,375 227,393,968 13,556,038 - 299,127,550 9,367,065
Colorado Tax-Free Fund.................. 25,823,380 28,967,295 2,564,509 - 58,873,292 1,228,604
Minnesota Tax-Free Fund................. 21,442,706 22,390,733 1,480,932 - 39,798,545 385,409
Conservative Balanced Fund.............. 38,676,715 49,172,482 12,607,403 405,120 110,926,672 -
Moderate Balanced Fund.................. 112,562,908 86,079,865 60,662,902 1,346,123 368,286,998 -
Growth Balanced Fund.................... 65,940,406 111,480,629 91,871,160 1,492,750 367,864,047 -
Income Equity Fund...................... 79,813,861 1,881,630 93,270,084 560,765 300,511,005 -
ValuGrowth-SM- Stock Fund............... 64,043,355 66,291,222 56,377,295 877,215 138,699,835 -
Index Fund.............................. 63,607,902 2,440,562 94,598,255 2,095,935 243,002,909 -
Diversified Equity Fund................. 123,286,503 31,449,882 290,838,223 2,112,452 797,702,950 -
Growth Equity Fund...................... 119,782,372 61,940,215 160,742,094 2,336,005 676,305,530 -
Large Company Growth Fund............... 13,905,564 6,670,866 32,413,057 723,060 68,543,780 -
Small Company Stock Fund................ 154,299,693 130,325,338 23,944,780 2,402,558 143,174,961 -
Small Company Growth Fund............... 231,098,903 224,411,544 75,541,924 12,379,115 320,192,736 -
Small Cap Opportunities Fund............ 19,840,656 - 611,931 - 19,968,613 -
Contrarian Stock Fund................... 1,373,525 18,834,146 1,962,727 2,116,207 17,114,896 -
International Fund...................... 33,710,634 3,936,890 16,430,316 - 162,916,876 963,070
</TABLE>
(a) Expires 2003.
(b) Expires 2004.
[LOGO]
23
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NET REALIZED
BEGINNING NET AND DIVIDENDS DISTRIBUTIONS ENDING
NET ASSET INVESTMENT 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
June 1, 1996 to November 30, 1996(a)....... $ 10.20 $ 0.28 $ 0.08 $ (0.29) - $ 10.27
May 2, 1996 to May 31, 1996................ 10.22 0.02 - (0.04) - 10.20
B SHARES
June 1, 1996 to November 30, 1996(a)....... 10.20 0.26 0.06 (0.25) - 10.27
May 17, 1996 to May 31, 1996............... 10.23 0.02 (0.01) (0.04) - 10.20
I SHARES
June 1, 1996 to November 30, 1996(a)....... 10.20 0.29 0.07 (0.29) - 10.27
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
June 1, 1996 to November 30, 1996(a)....... 10.89 0.37 0.28 (0.37) - 11.17
May 2, 1996 to May 31, 1996................ 10.89 0.03 - (0.03) - 10.89
B SHARES
June 1, 1996 to November 30, 1996(a)....... 10.89 0.32 0.28 (0.33) - 11.16
May 17, 1996 to May 31, 1996............... 10.97 0.03 (0.08) (0.03) - 10.89
I SHARES
June 1, 1996 to November 30, 1996(a)....... 10.89 0.31 0.28 (0.31) - 11.17
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
June 1, 1996 to November 30, 1996(a)....... 26.03 0.75 0.79 - - 27.57
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, 1996 to November 30, 1996(a)....... 9.27 0.31 0.32 (0.31) - 9.59
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, 1996 to November 30, 1996(a)....... 9.26 0.28 0.31 (0.28) - 9.57
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, 1996 to November 30, 1996(a)....... 9.26 0.31 0.32 (0.31) - 9.58
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, 1996 to November 30, 1996(a)....... 9.40 0.30 0.26 (0.30) - 9.66
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, 1996 to November 30, 1996(a)....... 9.40 0.27 0.28 (0.27) - 9.68
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, 1996 to November 30, 1996(a)....... 9.40 0.30 0.27 (0.30) - 9.67
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
LIMITED TERM TAX-FREE FUND
I SHARES
October 1, 1996 to November 30, 1996(a).... 10.00 0.08 0.46 (0.08) - 10.46
</TABLE>
[LOGO]
See Notes to Financial Statements.
24
<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> <C>
STABLE INCOME FUND
A SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.67%(b) 0.64%(b) 0.77%(b) 7.16%(b) 34.60% $ 12,480 N/A
May 2, 1996 to May 31,
1996................. 5.77%(b) 0.70%(b) 2.22%(b) 0.23% 109.95% 16,256 N/A
B SHARES
June 1, 1996 to
November 30,
1996(a).............. 4.92%(b) 1.39%(b) 2.26%(b) 6.31%(b) 34.60% 575 N/A
May 17, 1996 to May 31,
1996................. 5.02%(b) 1.42%(b) 3.07%(b) 0.12% 109.95% 867 N/A
I SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.74%(b) 0.65%(b) 0.77%(b) 7.16%(b) 34.60% 97,790 N/A
November 1, 1995 to May
31, 1996............. 5.74%(b) 0.65%(b) 0.92%(b) 2.97% 109.95% 83,404 N/A
November 11, 1994 to
October 31, 1995..... 5.91%(b) 0.65%(b) 0.98%(b) 7.20% 115.85% 48,087 N/A
INTERMEDIATE GOVERNMENT INCOME FUND
A SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.70%(b) 0.68%(b) 0.78%(b) 12.41%(b) 99.57% 14,573 N/A
May 2, 1996 to May 31,
1996................. 7.32%(b) 0.75%(b) 1.74%(b) 0.26% 74.64% 16,562 N/A
B SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.90%(b) 1.42%(b) 1.66%(b) 11.45%(b) 99.57% 9,683 N/A
May 17, 1996 to May 31,
1996................. 5.56%(b) 1.35%(b) 2.65%(b) (0.49%) 74.64% 10,682 N/A
I SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.70%(b) 0.68%(b) 0.72%(b) 12.41%(b) 99.57% 395,969 N/A
November 1, 1995 to May
31, 1996............. 6.71%(b) 0.71%(b) 1.17%(b) 0.60% 74.64% 399,324 N/A
November 11, 1994 to
October 31,
1995(e).............. 7.79%(b) 0.68%(b) 0.93%(b) 11.58% 240.90% 50,213 N/A
DIVERSIFIED BOND FUND
I SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.96%(b) 0.70%(b) 0.76%(b) 12.08%(b) 15.12% 183,302 N/A
November 1, 1995 to May
31, 1996............. 6.78%(b) 0.70%(b) 0.77%(b) 0.22% 118.92% 167,159 N/A
November 11, 1994 to
October 31, 1995..... 5.87%(b) 0.67%(b) 0.82%(b) 11.32% 58.90% 171,453 N/A
INCOME FUND
A SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.65%(b) 0.75%(b) 1.06%(b) 14.24%(b) 111.50% 5,418 N/A
June 1, 1995 to May 31,
1996................. 6.33% 0.75% 1.16% 2.58% 270.17% 5,521 N/A
June 1, 1994 to May 31,
1995................. 7.02% 0.75% 1.24% 8.49% 98.83% 6,231 N/A
June 1, 1993 to May 31,
1994................. 6.72% 0.60% 1.16% (1.58%) 26.67% 6,177 N/A
June 1, 1992 to May 31,
1993................. 7.18% 0.60% 1.10% 11.46% 87.98% 85,252 N/A
June 1, 1991 to May 31,
1992................. 7.80% 0.31% 1.08% 13.58% 84.24% 63,973 N/A
B SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.95%(b) 1.50%(b) 2.43%(b) 13.24%(b) 111.50% 3,452 N/A
June 1, 1995 to May 31,
1996................. 5.57% 1.50% 2.27% 1.92% 270.17% 3,292 N/A
June 1, 1994 to May 31,
1995................. 6.24% 1.50% 2.21% 7.57% 98.83% 3,296 N/A
August 5, 1993 to May
31, 1994............. 5.82%(b) 1.33%(b) 2.08%(b) (4.82%)(b) 26.67% 2,605 N/A
I SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.64%(b) 0.75%(b) 1.02%(b) 14.24%(b) 111.50% 277,941 N/A
June 1, 1995 to May 31,
1996................. 6.30% 0.75% 1.06% 2.58% 270.17% 271,157 N/A
June 1, 1994 to May 31,
1995................. 7.02% 0.75% 1.06% 8.49% 98.83% 109,994 N/A
August 2, 1993 to May
31, 1994............. 6.75%(b) 0.61%(b) 1.09%(b) (4.04%)(b) 26.67% 93,665 N/A
TOTAL RETURN BOND FUND
A SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.35%(b) 0.75%(b) 1.25%(b) 12.39%(b) 22.25% 2,681 N/A
June 1, 1995 to May 31,
1996................. 6.48% 0.76% 1.57% 3.41% 77.49% 2,010 N/A
June 1, 1994 to May 31,
1995................. 6.94% 0.64% 2.38% 9.42% 35.19% 599 N/A
December 31, 1993 to
May 31, 1994......... 6.04%(b) 0.37%(b) 13.29%(b) (4.64%)(b) 37.50% 150 N/A
B SHARES
June 1, 1996 to
November 30,
1996(a).............. 5.58%(b) 1.49%(b) 2.53%(b) 12.02%(b) 22.25% 2,264 N/A
June 1, 1995 to May 31,
1996................. 5.75% 1.51% 2.48% 2.63% 77.49% 2,098 N/A
June 1, 1994 to May 31,
1995................. 6.17% 1.41% 3.09% 8.59% 35.19% 919 N/A
December 31, 1993 to
May 31, 1994......... 5.40%(b) 1.11%(b) 8.29%(b) (5.23%)(b) 37.50% 186 N/A
I SHARES
June 1, 1996 to
November 30,
1996(a).............. 6.33%(b) 0.75%(b) 1.05%(b) 12.62%(b) 22.25% 129,784 N/A
June 1, 1995 to May 31,
1996................. 6.57% 0.75% 1.07% 3.41% 77.49% 120,767 N/A
June 1, 1994 to May 31,
1995................. 7.04% 0.71% 1.17% 9.43% 35.19% 96,199 N/A
December 31, 1993 to
May 31, 1994......... 6.81%(b) 0.46%(b) 2.10%(b) (4.62%)(b) 37.50% 11,694 N/A
LIMITED TERM TAX-FREE FUND
I SHARES
October 1, 1996 to
November 30,
1996(a).............. 4.50%(b) 0.67%(b) 1.29%(b) 0.00% 0.00% 21,862 N/A
</TABLE>
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25
<PAGE>
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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>
TAX-FREE INCOME FUND
A SHARES
June 1, 1996 to November 30,
1996(a)............................. $ 9.78 $0.27 $ 0.35 $(0.27) - $10.13
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, 1996 to November 30,
1996(a)............................. 9.78 0.23 0.35 (0.23) - 10.13
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, 1996 to November 30,
1996(a)............................. 9.78 0.27 0.35 (0.27) - 10.13
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
COLORADO TAX-FREE FUND
A SHARES
June 1, 1996 to November 30,
1996(a)............................. 9.89 0.28 0.36 (0.28) - 10.25
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, 1996 to November 30,
1996(a)............................. 9.90 0.24 0.36 (0.24) - 10.26
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, 1996 to November 30,
1996(a)............................. 9.89 0.28 0.36 (0.28) - 10.25
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, 1996 to November 30,
1996(a)............................. 10.30 0.27 0.39 (0.27) - 10.69
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, 1996 to November 30,
1996(a)............................. 10.30 0.23 0.38 (0.23) - 10.68
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, 1996 to November 30,
1996(a)............................. 10.30 0.27 0.39 (0.27) - 10.69
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
June 1, 1996 to November 30,
1996(a)............................. 18.12 0.57 0.47 - - 19.16
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
June 1, 1996 to November 30,
1996(a)............................. 20.27 0.35 0.96 - - 21.58
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
June 1, 1996 to November 30,
1996(a)............................. 22.83 0.34 1.41 - - 24.58
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
</TABLE>
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See Notes to Financial Statements.
26
<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> <C>
TAX-FREE INCOME FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 5.46%(b) 0.41%(b) 1.09%(b) 13.22%(b) 69.47% $ 27,826 N/A
June 1, 1995 to May 31,
1996...................... 5.54% 0.40% 1.06% 5.29% 126.20% 33,914 N/A
June 1, 1994 to May 31,
1995...................... 5.87% 0.60% 1.12% 8.42% 130.90% 30,786 N/A
June 1, 1993 to May 31,
1994...................... 5.77% 0.60% 1.14% 1.74% 116.54% 34,426 N/A
June 1, 1992 to May 31,
1993...................... 6.47% 0.60% 1.12% 7.86% 42.81% 109,983 N/A
June 1, 1991 to May 31,
1992...................... 7.03% 0.34% 1.14% 7.65% 73.66% 56,250 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)................... 4.69%(b) 1.16%(b) 2.26%(b) 12.32%(b) 69.47% 6,677 N/A
June 1, 1995 to May 31,
1996...................... 4.77% 1.14% 2.21% 4.50% 126.20% 5,897 N/A
June 1, 1994 to May 31,
1995...................... 5.05% 1.35% 2.21% 7.61% 130.90% 3,729 N/A
August 6, 1993 to May 31,
1994...................... 4.76%(b) 1.31%(b) 2.24%(b) (0.98%)(b) 116.54% 2,674 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)................... 5.44%(b) 0.41%(b) 1.02%(b) 13.22%(b) 69.47% 279,562 N/A
June 1, 1995 to May 31,
1996...................... 5.57% 0.32% 1.06% 5.29% 126.20% 276,159 N/A
June 1, 1994 to May 31,
1995...................... 5.84% 0.60% 1.05% 8.42% 130.90% 94,454 N/A
August 2, 1993 to May 31,
1994...................... 5.71%(b) 0.60%(b) 1.10%(b) (0.21%)(b) 116.54% 102,084 N/A
COLORADO TAX-FREE FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 5.50%(b) 0.32%(b) 1.14%(b) 13.35%(b) 46.98% 27,816 N/A
June 1, 1995 to May 31,
1996...................... 5.30% 0.30% 1.13% 5.35% 171.41% 26,991 N/A
June 1, 1994 to May 31,
1995...................... 5.10% 0.30% 1.15% 7.47% 47.88% 25,997 N/A
June 1, 1993 to May 31,
1994...................... 4.94% 0.07% 1.23% 2.02% 40.92% 31,724 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)................... 4.75%(b) 1.06%(b) 2.14%(b) 12.51%(b) 46.98% 6,846 N/A
June 1, 1995 to May 31,
1996...................... 4.64% 1.05% 2.16% 4.56% 171.41% 6,400 N/A
June 1, 1994 to May 31,
1995...................... 4.32% 1.05% 2.16% 6.67% 47.88% 5,198 N/A
August 2, 1993 to May 31,
1994...................... 4.08%(b) 0.85%(b) 2.24%(b) 0.27%(b) 40.92% 4,494 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)................... 5.50%(b) 0.32%(b) 1.13%(b) 13.35%(b) 46.98% 26,331 N/A
June 1, 1995 to May 31,
1996...................... 5.30% 0.30% 1.13% 5.35% 171.41% 24,074 N/A
June 1, 1994 to May 31,
1995...................... 5.08% 0.30% 1.16% 7.47% 47.88% 24,539 N/A
August 23, 1993 to May 31,
1994...................... 5.03%(b) 0.11%(b) 1.21%(b) 0.90%(b) 40.92% 15,153 N/A
MINNESOTA TAX-FREE FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 5.11%(b) 0.60%(b) 1.22%(b) 13.23%(b) 54.16% 25,468 N/A
June 1, 1995 to May 31,
1996...................... 5.26% 0.48% 1.26% 3.97% 77.10% 26,610 N/A
June 1, 1994 to May 31,
1995...................... 5.25% 0.49% 1.61% 8.55% 139.33% 15,559 N/A
June 1, 1993 to May 31,
1994...................... 4.92% 0.61% 1.52% 1.94% 84.23% 10,008 N/A
June 1, 1992 to May 31,
1993...................... 5.13% 0.75% 1.79% 9.35% 44.29% 10,852 N/A
December 1, 1991 to May 31,
1992...................... 5.86%(b) 0.90%(b) 2.38%(b) 8.10%(b) 6.70% 4,896 N/A
December 1, 1990 to November
30, 1991.................. 6.01% 0.90% 2.63% 7.40% 37.32% 4,575 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)................... 4.35%(b) 1.34%(b) 2.21%(b) 12.18%(b) 54.16% 10,477 N/A
June 1, 1995 to May 31,
1996...................... 4.51% 1.23% 2.29% 3.28% 77.10% 8,825 N/A
June 1, 1994 to May 31,
1995...................... 4.52% 1.21% 2.62% 7.63% 139.33% 5,090 N/A
August 6, 1993 to May 31,
1994...................... 3.99%(b) 1.31%(b) 2.45%(b) (0.58%)(b) 84.23% 2,485 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)................... 5.10%(b) 0.60%(b) 1.19%(b) 13.23%(b) 54.16% 5,896 N/A
June 1, 1995 to May 31,
1996...................... 5.24% 0.51% 1.30% 3.97% 77.10% 3,988 N/A
June 1, 1994 to May 31,
1995...................... 5.29% 0.48% 1.58% 8.44% 139.33% 1,799 N/A
August 2, 1993 to May 31,
1994...................... 4.90%(b) 0.61%(b) 1.54%(b) 0.29%(b) 84.23% 872 N/A
CONSERVATIVE BALANCED FUND
I SHARES
June 1, 1996 to November 30,
1996(a)................... 4.18%(b) 0.82%(b) 0.97%(b) 11.71%(b) 31.39% 123,491 $0.0724
November 1, 1995 to May 31,
1996...................... 4.65%(b) 0.82%(b)(f) 0.97%(b)(f) 5.14% 56.47% 146,950 0.0648
November 11, 1994 to October
31, 1995.................. 4.67%(b) 0.82%(b)(f) 1.03%(b)(f) 12.48% 65.53% 136,710 N/A
MODERATE BALANCED FUND
I SHARES
June 1, 1996 to November 30,
1996(a)................... 3.54%(b) 0.89%(b) 1.04%(b) 13.23%(b) 22.58% 429,953 0.0609
November 1, 1995 to May 31,
1996...................... 3.95%(b) 0.90%(b)(f) 1.04%(b)(f) 7.03% 52.71% 398,005 0.0658
November 11, 1994 to October
31, 1995.................. 3.76%(b) 0.92%(b)(f) 1.11%(b)(f) 15.01% 62.08% 373,998 N/A
GROWTH BALANCED FUND
I SHARES
June 1, 1996 to November 30,
1996(a)................... 2.42%(b) 0.96%(b) 1.15%(b) 15.78%(b) 14.78% 460,053 0.0735
November 1, 1995 to May 31,
1996...................... 2.66%(b) 0.98%(b)(f) 1.16%(b)(f) 10.87% 38.78% 484,641 0.0696
November 11, 1994 to October
31, 1995.................. 2.63%(b) 0.99%(b)(f) 1.23%(b)(f) 18.38% 41.04% 374,892 N/A
</TABLE>
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27
<PAGE>
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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>
INCOME EQUITY FUND
A SHARES
June 1, 1996 to November 30, 1996(a)....... $27.56 $0.29 $ 2.99 $(0.24) - $30.60
May 2, 1996 to May 31, 1996................ 26.94 0.07 0.55 - - 27.56
B SHARES
June 1, 1996 to November 30, 1996(a)....... 27.54 0.19 2.99 (0.18) - 30.54
May 2, 1996 to May 31, 1996................ 26.94 0.02 0.58 - - 27.54
I SHARES
June 1, 1996 to November 30, 1996(a)....... 27.56 0.28 3.01 (0.24) 30.61
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
VALUEGROWTH-SM- STOCK FUND
A SHARES
June 1, 1996 to November 30, 1996(a)....... 22.63 0.09 2.68 (0.05) - 25.35
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, 1996 to November 30, 1996(a)....... 22.28 - 2.64 (0.01) - 24.91
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, 1996 to November 30, 1996(a)....... 22.61 0.09 2.68 (0.05) - 25.33
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
INDEX FUND
I SHARES
June 1, 1996 to November 30, 1996(a)....... 31.49 0.27 4.20 - - 35.96
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
June 1, 1996 to November 30, 1996(a)....... 30.56 0.06 2.70 - - 33.32
May 2, 1996 to May 31, 1996................ 29.89 0.02 0.65 - - 30.56
B SHARES
June 1, 1996 to November 30, 1996(a)....... 30.54 (0.09) 2.73 - - 33.18
May 6, 1996 to May 31, 1996................ 29.41 0.02 1.11 - - 30.54
I SHARES
June 1, 1996 to November 30, 1996(a)....... 30.55 (0.01) 2.78 - - 33.32
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
June 1, 1996 to November 30, 1996(a)....... 29.08 (0.04) 1.28 - - 30.32
May 2, 1996 to May 31, 1996................ 28.50 - 0.58 - - 29.08
B SHARES
June 1, 1996 to November 30, 1996(a)....... 29.07 (0.09) 1.22 - - 30.20
May 6, 1996 to May 31, 1996................ 28.18 - 0.89 - - 29.07
I SHARES
June 1, 1996 to November 30, 1996(a)....... 29.08 (0.03) 1.27 - - 30.32
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 FUND
I SHARES
June 1, 1996 to November 30, 1996(a)....... 26.97 (0.03) 2.35 - - 29.29
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
</TABLE>
[LOGO]
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
<TABLE>
<CAPTION>
RATIO TO AVERAGE
NET ASSETS
-------------------------------------------- PORTFOLIO NET ASSETS AT AVERAGE
NET INVESTMENT GROSS TOTAL TURNOVER END OF PERIOD COMMISSION
INCOME (LOSS) NET EXPENSES EXPENSES(C) RETURN* RATE (000'S OMITTED) RATE(D)
-------------- ------------ ------------ ---------- -------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INCOME EQUITY FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 2.07%(b) 0.85%(b) 0.94%(b) 25.19%(b) 0.61% $ 39,043 $0.0909
May 2, 1996 to May 31,
1996...................... 3.69%(b) 0.91%(b) 1.91%(b) 2.30% 0.69% 31,448 0.0942
B SHARES
June 1, 1996 to November 30,
1996(a)................... 1.35%(b) 1.59%(b) 1.72%(b) 24.33%(b) 0.61% 23,883 0.0909
May 2, 1996 to May 31,
1996...................... 2.92%(b) 1.72%(b) 2.63%(b) 2.23% 0.69% 17,318 0.0942
I SHARES
June 1, 1996 to November 30,
1996(a)................... 2.10%(b) 0.85%(b) 0.89%(b) 25.27%(b) 0.61% 331,581 0.0909
November 1, 1995 to May 31,
1996...................... 2.72%(b) 0.86%(b) 1.13%(b) 18.14% 0.69% 230,831 0.0942
November 11, 1994 to October
31, 1995.................. 2.51%(b) 0.85%(b) 1.12%(b) 27.09% 7.03% 49,000 N/A
VALUEGROWTH-SM- STOCK FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 0.79%(b) 1.03%(b) 1.41%(b) 25.80%(b) 36.07% 17,160 0.0817
June 1, 1995 to May 31,
1996...................... 0.63% 1.20% 1.42% 21.69% 105.43% 15,232 0.0603
June 1, 1994 to May 31,
1995...................... 1.01% 1.20% 1.43% 10.72% 63.82% 12,138 N/A
June 1, 1993 to May 31,
1994...................... 1.06% 1.20% 1.43% 1.68% 86.07% 12,922 N/A
June 1, 1992 to May 31,
1993...................... 1.02% 1.20% 1.42% 9.32% 57.34% 109,669 N/A
December 1, 1991 to May 31,
1992...................... 1.34%(b) 1.19%(b) 1.64%(b) 26.46%(b) 29.50% 68,659 N/A
December 1, 1990 to November
30, 1991.................. 1.57% 1.19% 4.33% 25.84% 31.17% 4,853 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)................... (0.01%)(b) 1.77%(b) 2.60%(b) 24.81%(b) 36.07% 5,768 0.0817
June 1, 1995 to May 31,
1996...................... (0.12%) 1.96% 2.54% 20.79% 105.43% 5,130 0.0603
June 1, 1994 to May 31,
1995...................... 0.28% 1.95% 2.51% 9.88% 63.82% 3,569 N/A
August 5, 1993 to May 31,
1994...................... 0.25%(b) 1.95%(b) 2.55%(b) 2.36%(b) 86.07% 2,218 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)................... 0.74%(b) 1.03%(b) 1.33%(b) 25.83%(b) 36.07% 171,442 0.0817
June 1, 1995 to May 31,
1996...................... 0.62% 1.20% 1.32% 21.72% 105.43% 156,553 0.0603
June 1, 1994 to May 31,
1995...................... 1.02% 1.20% 1.33% 10.67% 63.82% 136,589 N/A
August 2, 1993 to May 31,
1994...................... 0.92%(b) 1.20%(b) 1.39%(b) 2.99%(b) 86.07% 113,061 N/A
INDEX FUND
I SHARES
June 1, 1996 to November 30,
1996(a)................... 2.15%(b) 0.25%(b) 0.55%(b) 30.12%(b) 0.92% 334,903 0.0477
November 1, 1995 to May 31,
1996...................... 2.25%(b) 0.31%(b) 0.57%(b) 16.27% 9.12% 249,644 0.0517
November 11, 1994 to October
31, 1995.................. 2.12%(b) 0.50%(b) 0.64%(b) 26.93% 14.48% 186,197 N/A
DIVERSIFIED EQUITY FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... 0.70(b) 1.05%(b) 1.34%(b) 18.71%(b) 3.31% 14,553 0.0683
May 2, 1996 to May 31,
1996...................... 1.88%(b) 1.52%(b)(f) 4.06%(b)(f) 2.24% 5.76% 2,699 0.0671
B SHARES
June 1, 1996 to November 30,
1996(a)................... (0.03%)(b) 1.81%(b) 2.20%(b) 17.88%(b) 3.31% 15,362 0.0683
May 6, 1996 to May 31,
1996...................... 1.24%(b) 2.37%(b)(f) 4.95%(b)(f) 3.84% 5.76% 2,447 0.0671
I SHARES
June 1, 1996 to November 30,
1996(a)................... (0.72%) 1.05% 1.30% 18.79%(b) 3.31% 1,057,402 0.0683
November 1, 1995 to May 31,
1996...................... 1.00%(b) 1.06%(b)(f) 1.30%(b)(f) 16.38% 5.76% 907,223 0.0671
November 11, 1994 to October
31, 1995.................. 1.01%(b) 1.09%(b)(f) 1.37%(b)(f) 23.95% 10.33% 711,111 N/A
GROWTH EQUITY FUND
A SHARES
June 1, 1996 to November 30,
1996(a)................... (0.31%)(b) 1.33%(b) 1.88%(b) 8.64%(b) 8.29% 11,603 0.0564
May 2, 1996 to May 31,
1996...................... 0.34%(b) 2.08%(b)(f) 6.40%(b)(f) 2.04% 7.39% 3,338 0.0617
B SHARES
June 1, 1996 to November 30,
1996(a)................... (1.08%)(b) 2.08%(b) 3.00%(b) 7.86%(b) 8.12% 4,372 0.0564
May 6, 1996 to May 31,
1996...................... (0.40%)(b) 2.92%(b)(f) 7.44%(b)(f) 3.16% 7.39% 703 0.0617
I SHARES
June 1, 1996 to November 30,
1996(a)................... (0.26%)(b) 1.33%(b) 1.83%(b) 8.61%(b) 8.12% 818,642 0.0564
November 1, 1995 to May 31,
1996...................... 0.01%(b) 1.35%(b)(f) 1.85%(b)(f) 15.83% 7.39% 735,728 0.0617
November 11, 1994 to October
31, 1995.................. (0.11%)(b) 1.38%(b)(f) 1.92%(b)(f) 21.10% 8.90% 564,004 N/A
LARGE COMPANY GROWTH FUND
I SHARES
June 1, 1996 to November 30,
1996(a)................... (0.28%)(b) 0.99%(b) 1.09%(b) 17.79%(b) 7.88% 100,209 0.0560
November 1, 1995 to May 31,
1996...................... (0.30%)(b) 1.00%(b) 1.13%(b) 15.40% 16.93% 82,114 0.0616
November 11, 1994 to October
31, 1995.................. (0.23%)(b) 1.00%(b) 1.20%(b) 27.51% 31.60% 63,567 N/A
</TABLE>
[LOGO]
29
<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>
SMALL COMPANY STOCK FUND
A SHARES
June 1, 1996 to November 30, 1996(a).... $14.02 $(0.03) $(0.05) - - $13.94
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, 1996 to November 30, 1996(a).... 13.83 (0.07) (0.07) - - 13.69
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, 1996 to November 30, 1996(a).... 13.96 (0.03) (0.05) - - 13.88
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
June 1, 1996 to November 30, 1996(a).... 33.00 (0.11) 0.01 - - 32.90
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
SMALL CAP OPPORTUNITY FUND
A SHARES
October 9, 1996 to November 30,
1996(a)................................ 17.39 - 0.41 - - 17.80
B SHARES
November 8, 1996 to November 30,
1996(a)................................ 17.41 - 0.38 - - 17.79
I SHARES
August 15, 1996 to November 30,
1996(a)................................ 16.26 - 1.55 - - 17.81
CONTRARIAN STOCK FUND
A SHARES
June 1, 1996 to November 30, 1996(a).... 10.82 0.04 (0.37) (0.03) - 10.46
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, 1996 to November 30, 1996(a).... 10.70 - (0.36) (0.01) - 10.33
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, 1996 to November 30, 1996(a).... 10.82 0.06 (0.39) (0.03) - 10.46
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
June 1, 1996 to November 30, 1996(a).... 19.82 0.01 0.33 - - 20.16
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
June 1, 1996 to November 30, 1996(a).... 19.71 (0.05) 0.31 - - 19.97
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
June 1, 1996 to November 30, 1996(a).... 19.84 0.01 0.33 - - 20.18
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.
30
<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> <C>
SMALL COMPANY STOCK FUND
A SHARES
June 1, 1996 to November 30,
1996(a)....................... (0.45%)(b) 1.19%(b) 1.71%(b) (1.13%)(b) 97.01% $ 6,174 $0.0848
June 1, 1995 to May 31,
1996.......................... 0.03% 1.21% 1.87% 38.22% 134.53% 5,426 0.0555
June 1, 1994 to May 31,
1995.......................... 1.14% 0.53% 2.32% 10.19% 68.09% 1,540 N/A
December 31, 1993 to May 31,
1994.......................... 1.95%(b) 0.22%(b) 10.66%(b) (1.98%)(b) 14.98% 265 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)....................... (1.20%)(b) 1.94%(b) 2.83%(b) (2.00%)(b) 97.01% 4,243 0.0848
June 1, 1995 to May 31,
1996.......................... (0.74%) 1.96% 2.96% 37.32% 134.53% 4,125 0.0555
June 1, 1994 to May 31,
1995.......................... 0.38% 1.27% 3.56% 9.31% 68.09% 963 N/A
December 31, 1993 to May 31,
1994.......................... 1.27%(b) 0.98%(b) 20.87%(b) (2.77%)(b) 14.98% 195 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)....................... (0.45%)(b) 1.19%(b) 1.55%(b) (1.13%)(b) 97.01% 148,297 0.0848
June 1, 1995 to May 31,
1996.......................... 0.05% 1.21% 1.60% 38.30% 134.53% 125,986 0.0555
June 1, 1994 to May 31,
1995.......................... 1.14% 0.52% 1.82% 10.13% 68.09% 54,240 N/A
December 31, 1993 to May 31,
1994.......................... 2.03%(b) 0.20%(b) 4.33%(b) (2.93%)(b) 14.98% 9,251 N/A
SMALL COMPANY GROWTH FUND
I SHARES
June 1, 1996 to November 30,
1996(a)....................... (0.70%)(b) 1.24%(b) 1.28%(b) (0.60%)(b) 64.90% 383,792 0.0553
November 1, 1995 to May 31,
1996.......................... (0.41%)(b) 1.25%(b) 1.29%(b) 21.43% 62.06% 378,546 0.0583
November 11, 1994 to October
31, 1995...................... (0.47%)(b) 1.25%(b) 1.35%(b) 37.07% 106.55% 278,058 N/A
SMALL CAP OPPORTUNITY FUND
A SHARES
October 9, 1996 to November
30, 1996(a)................... (0.40%)(f) 0.40%(b)(f) (1.23%)(b)(f) (0.22%)(b) 0.00% 65 N/A
B SHARES
November 8, 1996 to November
30, 1996(a)................... (1.23%)(f) 1.23%(b)(f) 2.30%(b)(f) 0.00% 0.00% 28 N/A
I SHARES
August 15, 1996 to November
30, 1996(a)................... (0.41%)(f) 0.41%(b)(f) 1.43%(b)(f) (0.11%)(b) 0.00% 20,492 N/A
CONTRARIAN STOCK FUND
A SHARES
June 1, 1996 to November 30,
1996(a)....................... 0.87%(b) 1.19%(b) 1.57%(b) (5.88%)(b) 5.09% 377 0.0454
June 1, 1995 to May 31,
1996.......................... 0.86% 1.21% 2.26% 10.91% 28.21% 908 0.0467
June 1, 1994 to May 31,
1995.......................... 1.05% 1.01% 2.96% 13.52% 30.32% 572 N/A
December 31, 1993 to May 31,
1994.......................... (1.77%)(b) 0.61%(b) 7.22%(b) (5.35%)(b) 2.67% 144 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)....................... 0.16%(b) 1.93%(b) 3.34%(b) (6.52%)(b) 5.09% 483 0.0454
June 1, 1995 to May 31,
1996.......................... 0.11% 1.96% 3.46% 10.02% 28.21% 600 0.0467
June 1, 1994 to May 31,
1995.......................... 0.35% 1.78% 4.92% 12.78% 30.32% 463 N/A
December 31, 1993 to May 31,
1994.......................... 1.14%(b) 1.28%(b) 9.09%(b) (6.05%)(b) 2.67% 75 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)....................... 0.89%(b) 1.19%(b) 1.58%(b) (5.88%)(b) 5.09% 16,150 0.0454
June 1, 1995 to May 31,
1996.......................... 0.87% 1.20% 1.45% 10.90% 28.21% 36,020 0.0467
June 1, 1994 to May 31,
1995.......................... 0.91% 1.12% 1.57% 13.52% 30.32% 45,832 N/A
December 31, 1993 to May 31,
1994.......................... 1.82%(b) 0.62%(b) 3.52%(b) (5.35%)(b) 2.67% 4,548 N/A
INTERNATIONAL FUND
A SHARES
June 1, 1996 to November 30,
1996(a)....................... 0.24%(b) 0.68%(b)(f) 0.78%(b)(f) 3.43%(b) 2.45% 1,385 N/A
November 1, 1995 to May 31,
1996.......................... 0.92%(b) 1.50%(b)(f) 2.51%(b)(f) 12.31% N/A 1,080 N/A
April 12, 1995 to October 31,
1995.......................... 0.26%(b) 1.32%(b)(f) 20.95%(b)(f) 8.91% N/A 216 N/A
B SHARES
June 1, 1996 to November 30,
1996(a)....................... (0.49%)(b) 1.42%(b)(f) 1.78%(b)(f) 2.63%(b) 2.45% 1,239 N/A
November 1, 1995 to May 31,
1996.......................... (0.02%)(b) 2.25%(b)(f) 3.11%(b)(f) 11.79% N/A 995 N/A
May 12, 1995 to October 31,
1995.......................... 0.17%(b) 1.27%(b)(f) 14.57%(b)(f) 8.55% N/A 395 N/A
I SHARES
June 1, 1996 to November 30,
1996(a)....................... 0.23%(b) 0.68%(b)(f) 0.68%(b)(f) 3.43%(b) 2.45% 176,601 N/A
November 1, 1995 to May 31,
1996.......................... 0.60%(b) 1.50%(b)(f) 1.52%(b)(f) 12.31% N/A 143,643 N/A
November 11, 1994 to October
31, 1995...................... 0.54%(b) 1.50%(b)(f) 1.66%(b)(f) 4.11% N/A 91,401 N/A
</TABLE>
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31
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL HIGHLIGHTS
* Total return calculations do not include any sales charges.
(a) Unaudited.
(b) Annualized.
(c) During each period, various fees and expenses were waived and reimbursed.
The ratio of Gross Expenses to Average Net Assets reflects the expense ratio
in the absence of any 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 1 of notes to financial statements.
(d) Amount represents the average commission per share paid to brokers on the
purchase or sale of portfolio securities.
(e) Adjusted for 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) and Schroder U.S. Companies Portfolio of Schroder Capital Funds:
<TABLE>
<CAPTION>
FOR PERIOD ENDED NOVEMBER 30, 1996 FOR PERIOD ENDED MAY 31, 1996
----------------------------------------- -------------------------------------------
DIVERSIFIED EQUITY FUND DIVERSIFIED EQUITY FUND
----------------------------------------- -------------------------------------------
A SHARES B SHARES I SHARES A SHARES B SHARES I SHARES
--------------- ----------- ----------- --------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Expenses allocated from Index
Portfolio, Small Company Portfolio,
and International Portfolio II of Core
Trust (Delaware) ("Blended
Portfolios").......................... 0.30% 0.25% 0.28% 1.92% 2.19% 0.28%
Waivers allocated from the Blended
Portfolios............................ 0.23% 0.11% 0.20% 1.30% 1.49% 0.19%
------- ----------- ----------- ------ ------ -----------
Net expenses allocated from the Blended
Portolios............................. 0.07% 0.14% 0.08% 0.62% 0.70% 0.09%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
Fund fee waivers........................ 0.10% 0.21% 0.04% 1.24% 1.09% 0.05%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
<CAPTION>
GROWTH EQUITY FUND GROWTH EQUITY FUND
----------------------------------------- -------------------------------------------
A SHARES B SHARES I SHARES A SHARES B SHARES I SHARES
--------------- ----------- ----------- --------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Expenses allocated from Index
Portfolio, Small Company Portfolio,
and International Portfolio II of Core
Trust (Delaware) ("Blended
Portfolios").......................... 0.54% 0.50% 0.56% 3.82% 4.36% 0.57%
Waivers allocated from the Blended
Portfolios............................ 0.44% 0.41% 0.46% 2.99% 3.42% 0.44%
------- ----------- ----------- ------ ------ -----------
Net expenses allocated from the Blended
Portolios............................. 0.10% 0.09% 0.10% 0.83% 0.94% 0.13%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
Fund fee waivers........................ 0.10% 0.51% 0.05% 1.33% 1.11% 0.06%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
<CAPTION>
MODERATE GROWTH GROWTH
CONSERVATIVE BALANCED BALANCED CONSERVATIVE MODERATE BALANCED
BALANCED FUND I FUND I FUND I BALANCED FUND I BALANCED FUND FUND I
SHARES SHARES SHARES SHARES I SHARES SHARES
--------------- ----------- ----------- --------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Expenses allocated from Index
Portfolio, Small Company Portfolio,
and International Portfolio II of Core
Trust (Delaware) ("Blended
Portfolios").......................... 0.08% 0.12% 0.19% 0.08% 0.12% 0.19%
Waivers allocated from the Blended
Portfolios............................ 0.06% 0.09% 0.14% 0.05% 0.08% 0.13%
------- ----------- ----------- ------ ------ -----------
Net expenses allocated from the Blended
Portolios............................. 0.02% 0.03% 0.05% 0.03% 0.04% 0.06%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
Fund fee waivers........................ 0.09% 0.05% 0.05% 0.09% 0.06% 0.06%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
<CAPTION>
INTERNATIONAL FUND INTERNATIONAL FUND
----------------------------------------- -------------------------------------------
A SHARES B SHARES I SHARES A SHARES B SHARES I SHARES
--------------- ----------- ----------- --------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Expenses allocated from
International Portfolio............... 0.78% 0.78% 0.78% 0.82% 0.82% 0.82%
Waivers allocated from International
Porfolio.............................. 0.04% 0.04% 0.04% 0.02% 0.02% 0.02%
------- ----------- ----------- ------ ------ -----------
Net expenses allocated from
International Portfolio............... 0.74% 0.74% 0.74% 0.80% 0.80% 0.80%
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
Fund fee waivers........................ 0.11% 0.36% 0.00% 0.99% 0.84% -
------- ----------- ----------- ------ ------ -----------
------- ----------- ----------- ------ ------ -----------
<CAPTION>
SMALL CAP OPPORTUNITIES FUND
-----------------------------------------
A SHARES B SHARES I SHARES
--------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Expenses allocated from U.S.
Smaller Companies..................... 1.15% 1.15% 1.15%
Waivers allocated from U.S. Smaller
Companies............................. 0.29% 0.29% 0.29%
------- ----------- -----------
Net expenses allocated from U.S. Smaller
Companies............................. 0.86% 0.86% 0.86%
------- ----------- -----------
------- ----------- -----------
Fund fee waivers........................ 0.56% 1.07% 1.02%
------- ----------- -----------
------- ----------- -----------
</TABLE>
[LOGO]
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (23.6%)
1,990,094 AFC Home Equity Loan Trust Series
1995-2 A1, 7.157% variable rate,
due 7/25/26 $ 2,008,248
183,461 BW Trust Series 1989-1 A, 9.10%, due
9/15/04 185,151
246,774 General Motors Acceptance
Corporation Grantor Trust, Series
1992-F A, 4.50%, due 9/15/97 246,567
472,303 General Motors Acceptance
Corporation Grantor Trust, Series
1993-B A, 4.00%, due 9/15/98 471,401
2,000,000 GMAC Commercial Mortgage Securities,
Inc., Series 1996-C1 A1, 5.912%
variable rate, due 10/15/28 2,000,000
62,944 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 63,023
2,000,000 Green Tree Financial Corporation,
Series 1993-3 A3, 5.20%, due
10/15/18 1,990,840
1,340,000 Green Tree Financial Corporation,
Series 1993-4 A3, 6.25%, due
1/15/19 1,349,313
1,500,000 Merrill Lynch CBO Series 1996 P1,
6.105% variable rate, due
7/7/06(d) 1,502,654
1,874,448 Merrill Lynch Mortgage Investors,
Inc., Series 1987-C A, 10.1%, due
12/15/07 1,986,726
125,060 Small Business Administration,
Adjustable Rate Pool 500025,
8.125%, due 12/25/10 130,688
71,140 Small Business Administration,
Adjustable Rate Pool 500276,
10.125%, due 5/25/07 77,631
244,307 Small Business Administration,
Adjustable Rate Pool 500299,
10.125%, due 6/25/07 266,600
755,076 Small Business Administration,
Adjustable Rate Pool 500392,
8.125%, due 11/25/12 794,718
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
107,214 Small Business Administration,
Adjustable Rate Pool 500569,
10.125%, due 6/25/08 $ 115,255
737,967 Small Business Administration,
Adjustable Rate Pool 500957,
8.50%, due 7/25/14 801,617
55,696 Small Business Administration,
Adjustable Rate Pool 501013,
9.125%, due 6/25/98 55,975
723,753 Small Business Administration,
Adjustable Rate Pool 501224,
7.00%, due 6/25/15 750,894
123,117 Small Business Administration,
Adjustable Rate Pool 501828,
8.875%, due 9/25/98 124,041
106,189 Small Business Administration,
Adjustable Rate Pool 501973,
9.875%, due 12/25/01 110,569
399,575 Small Business Administration,
Adjustable Rate Pool 502083,
8.125%, due 11/25/04 409,564
307,371 Small Business Administration,
Adjustable Rate Pool 502241,
8.125%, due 4/25/03 313,135
584,805 Small Business Administration,
Adjustable Rate Pool 502394,
9.875%, due 6/25/13 655,712
1,383,056 Small Business Administration,
Adjustable Rate Pool 502462,
9.475%, due 11/25/07 1,497,158
1,226,760 Small Business Administration,
Adjustable Rate Pool 502501,
9.475%, due 4/25/03 1,281,964
546,976 Small Business Administration,
Adjustable Rate Pool 502568,
9.475%, due 9/25/03 572,273
510,818 Small Business Administration,
Adjustable Rate Pool 502583,
9.475%, due 9/25/03 534,443
1,203,343 Structured Asset Securities
Corporation, Series 1992-M1 A1,
7.05%, due 11/25/07 1,228,391
895,277 Structured Asset Securities
Corporation, Series 1996-CFL A2A,
7.75%, due 2/25/28 906,199
</TABLE>
[LOGO]
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,994,026 Structured Asset Securities
Corporation, Series 1996-C1 A,
5.88% variable rate, 10/25/10(d) $ 1,988,026
1,411,326 Union Federal Savings Bank Trust,
Series 1993-A A, 4.525%, due
5/15/99 1,404,029
--------------
TOTAL ASSET BACKED SECURITIES (COST $25,963,408)
25,822,805
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (33.2%)
1,750,000 Federal Home Loan Bank, Series
DU-98, 4.597%, due 8/3/98(b) 1,718,649
827,412 Federal Home Loan Mortgage
Corporation, Series 1096-D, 7.00%,
due 6/15/20 832,426
1,187,782 Federal Home Loan Mortgage
Corporation, Series 1606-Z, 5.75%,
due 1/15/08 1,156,354
3,000,000 Federal Home Loan Mortgage
Corporation, Series 1625, 5.50%,
due 7/15/04 2,987,190
63,971 Federal Home Loan Mortgage
Corporation, Series G8-SB, 9.60%
variable rate, due 3/23/23 57,708
3,575,332 Federal National Mortgage
Association Swap Trust, Series
1994-1 A1, 5.891% variable rate,
due 10/1/04 3,575,546
198,447 Federal National Mortgage
Association, Series 1993-39 FA,
6.80625% variable rate, due
4/25/23 200,615
1,077,306 Maryland National Bank Mortgage
Pass-thru Certificates, Series
1990-1 A, 9.50%, due 6/15/19 1,080,019
1,417,189 Merrill Lynch Credit Corporation
Mortgage Investors, Inc., Series
1994-B Class A1, 5.775% variable
rate, due 12/15/19 1,420,741
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
401,748 Residential Funding Mortgage
Security, Adjustable Rate
Mortgage, Series 1991-21 BA,
7.512%, due 8/25/21 $ 405,324
522,162 Resolution Trust Corporation, Series
1991-6 E, 11.60972% variable rate,
due 5/25/24 562,189
1,341,591 Resolution Trust Corporation, Series
1991-14 A1, 7.473% variable rate,
due 1/25/22 1,357,757
798,719 Resolution Trust Corporation, Series
1991-M6 A3, 7.36% variable rate,
due 6/25/21 799,550
1,007,611 Resolution Trust Corporation, Series
1992-4 A2, 7.52% variable rate,
due 7/25/28 1,031,718
3,545,201 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 3,591,335
1,345,016 Resolution Trust Corporation, Series
1992-9 Class B4, 7.40% variable
rate, due 4/25/27 1,358,308
1,120,630 Resolution Trust Corporation, Series
1992-18P A4, 6.387% variable rate,
due 4/25/28(d) 1,119,256
3,378,725 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate
due 10/25/21 3,407,312
1,860,692 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate
due 8/25/23 1,865,397
559,829 Resolution Trust Corporation, Series
1992-CHF A2, 6.4675% variable rate
due 12/25/20 560,105
1,556,120 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
7/25/30 1,574,294
2,455,473 Resolution Trust Corporation, Series
1993-3 A2B, 7.25%, due 10/25/23 2,462,150
1,912,430 Resolution Trust Corporation, Series
1995-1 A3, 7.261% variable rate,
due 10/25/28 1,958,243
</TABLE>
[LOGO]
See Notes to Financial Statements.
34
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,275,000 Resolution Trust Corporation, Series
1995-2 A1B, 7.15%, due 5/25/29 $ 1,286,785
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$36,271,676) 36,368,971
--------------
CORPORATE BONDS & NOTES (5.7%)
900,000 American General Corporation, 9.75%,
due 10/15/97 930,541
850,000 Chrysler Financial Corporation,
6.26%, due 7/20/98 856,051
750,000 Conrail, 5.71%, due 3/24/97 750,606
1,000,000 Lehman Brothers Holdings, 8.875%,
due 11/1/98 1,048,946
1,000,000 Transamerica Financial, 6.36%, due
6/26/00 1,004,550
1,600,000 USAA Capital, 4.76%, due 1/28/97 1,598,784
--------------
TOTAL CORPORATE BONDS & NOTES (COST $6,179,611)
6,189,478
--------------
GOVERNMENT AGENCY BONDS & NOTES (8.8%)
1,000,000 Federal Home Loan Bank, 5.61%
variable rate, due 3/28/97 1,000,208
350,000 Federal Home Loan Bank, 5.78%
variable rate, due 12/23/97 349,787
2,000,000 Federal Home Loan Bank, 4.50%
variable rate, due 3/2/98 1,966,928
1,000,000 Federal Home Loan Bank, 4.95%
variable rate, due 3/4/98 988,098
1,790,000 Federal Home Loan Bank, Series RR98,
4.71% variable rate, due 3/16/98 1,757,936
950,000 Federal Home Loan Bank, Series AP98,
4.90% variable rate, due 4/27/98 944,417
400,000 Federal Home Loan Bank, 3.829%
variable rate, due 7/15/98 385,906
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
GOVERNMENT AGENCY BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,000,000 Federal Home Loan Mortgage
Corporation, Structured Note,
4.65% variable rate, due 3/11/98 $ 986,602
1,300,000 Federal National Mortgage
Association, 4.91% variable rate,
due 3/10/98 1,280,401
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$9,618,529) 9,660,283
--------------
MORTGAGE BACKED SECURITIES (5.4%)
1,452,493 Federal Home Loan Mortgage
Corporation Adjustable Rate
Mortgage Pool 410220, 7.271%, due
10/1/25 1,492,436
1,997,061 Federal National Mortgage
Association Adjustable Rate
Mortgage Pool 155506, 6.847%, due
4/1/22 2,060,775
2,292,069 Federal National Mortgage
Association Adjustable Rate
Mortgage Pool 321051, 7.709%, due
8/1/25 2,372,684
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,836,400)
5,925,895
--------------
MUNICIPAL BONDS (2.0%)
745,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 748,278
1,000,000 Utah State School District Financial
Corporation Revenue Bonds, 6.90%,
due 2/15/10, Putable 8/17/98 at
100 1,012,836
480,000 York County, PA, Tax-Exempt Economic
Development Revenue Bonds, 5.45%,
due 12/30/98 472,201
--------------
TOTAL MUNICIPAL BONDS (COST $2,250,015) 2,233,315
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
35
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
RECEIVABLES BACKED SECURITIES (8.1%)
2,500,000 Choice Credit Card Master Trust,
Series 1992-2 B, 7.20%, due
4/15/99 $ 2,544,350
461,735 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due
10/15/98 460,793
1,000,000 First Merchants Auto Receivables
Corporation, Series 1996-A, A2,
6.70%. due 7/17/00(d) 1,008,662
1,133,059 First Merchants Grantor Trust,
Series 1996-2 A, 6.85%, due
11/15/01(d) 1,140,416
870,000 Nationsbank Credit Card Master
Trust, Series 1993-1 A, 4.75%
variable rate, due 9/15/98 870,887
2,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 2,109,480
801,032 World Omni Automobile Lease
Securitization Trust, Series
1994-B A, 7.95%, due 1/25/01 813,280
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$8,887,630) 8,947,868
--------------
REPURCHASE AGREEMENTS (2.6%)
2,850,134 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
2,851,476 (cost $2,850,134)(c) 2,850,134
--------------
U.S. TREASURY OBLIGATIONS (10.6%)
11,000,000 U.S. Treasury Notes, 8.00%, due
8/15/99 (cost $11,584,440)(b) 11,632,500
--------------
TOTAL INVESTMENTS (100.0%) (COST $109,441,843)
$109,631,249
--------------
--------------
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.0%)
4,782,450 Agricultural Mortgage Backed
Securities, Series BA-1001 1,
6.921%, due 1/25/03 $ 4,855,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
3,325,000 Agricultural Mortgage Backed
Securities, Series CS-1001 1,
7.186%, due 7/25/01 $ 3,418,675
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$8,230,022) 8,273,675
--------------
GOVERNMENT AGENCY BONDS & NOTES (7.5%)
5,000,000 Federal Home Loan Bank, 7.59%, due
3/10/05 5,420,150
9,000,000 Federal Home Loan Bank, 6.41%, due
10/11/05 9,083,610
4,000,000 Federal Home Loan Mortgage
Corporation, 8.065%, due 1/27/05 4,444,200
9,600,000 Federal Home Loan Mortgage
Corporation, 7.528%, due 9/25/06, 10,044,192
2,000,000 Tennessee Valley Authority, Series
D, 8.375%, due 10/1/99 2,135,000
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$31,219,671) 31,127,152
--------------
MORTGAGE BACKED SECURITIES (17.7%)
9,425,794 Federal Home Loan Mortgage
Corporation, Gold Pool G10446,
6.50%, due 2/1/11 9,369,333
9,830,214 Federal Home Loan Mortgage
Corporation, Pool L80205, 7.00%,
due 6/1/03 9,958,990
2,500,000 Federal National Mortgage
Association, Pool 160159, 7.52%,
due 7/1/99 2,569,313
12,814,630 Federal National Mortgage
Association, Pool 160337, 7.03%,
due 7/1/97 13,082,840
9,731,226 Federal National Mortgage
Association, Pool 250586, 7.00%,
due 5/1/03 9,843,427
10,006,599 Federal National Mortgage
Association, Pool 303790, 6.00%,
due 3/1/03 9,854,298
9,269,158 Federal National Mortgage
Association, Pool 303851, 7.00%,
due 4/1/11 9,346,834
</TABLE>
[LOGO]
See Notes to Financial Statements.
36
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (continued)
9,513,359 Federal National Mortgage
Association, Pool 303857, 6.50%,
due 4/1/11 $ 9,445,435
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST
$73,065,674) 73,470,470
--------------
U.S. TREASURY OBLIGATIONS (72.7%)
14,000,000 U.S. Treasury Bonds, 11.75%, due
2/15/01 17,105,620
22,000,000 U.S. Treasury Notes, 9.125%, due
5/15/99 23,726,780
10,000,000 U.S. Treasury Notes, 6.875%, due
8/31/99 10,301,200
10,000,000 U.S. Treasury Notes, 5.875%, due
11/15/99(b) 10,049,100
10,000,000 U.S. Treasury Notes, 7.75%, due
11/30/99 10,554,100
22,500,000 U.S. Treasury Notes, 8.50%, due
2/15/00 24,317,325
4,500,000 U.S. Treasury Notes, 6.875%, due
3/31/00(b) 4,655,070
38,000,000 U.S. Treasury Notes, 6.625%, due
6/30/01(b) 39,211,060
20,000,000 U.S. Treasury Notes, 5.875%, due
2/15/04(b) 19,899,200
32,000,000 U.S. Treasury Notes, 7.25%, due
5/15/04(b) 34,433,600
38,000,000 U.S. Treasury Notes, 7.25%, due
8/15/04 40,914,600
20,000,000 U.S. Treasury Notes, 6.50%, due
5/15/05(b) 20,614,200
10,000,000 U.S. Treasury Notes, 6.50%, due
8/15/05 10,306,500
1,000,000 U.S. Treasury Notes, 5.875%, due
11/15/05(b) 988,680
32,000,000 U.S. Treasury Notes, 7.00%, due
7/15/06(b) 34,117,120
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$296,261,727) 301,194,155
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
SHORT-TERM HOLDINGS (0.1%)
530,486 Dreyfus Treasury Cash Management A
Series Fund $ 530,486
--------------
TOTAL INVESTMENTS (100.0%) (COST $409,307,580)
$414,595,938
--------------
--------------
- ----------------------------------------------------
DIVERSIFIED BOND FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (33.3%)
ASSET BACKED SECURITIES (1.7%)
1,100,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 $ 1,129,810
1,100,000 Green Tree Home Improvement Loan
Trust, Series 1995-F A4, 6.15%,
due 1/15/21 1,099,780
859,531 Structured Asset Securities
Corporation, 7.05%, due 11/25/07 877,422
--------------
TOTAL ASSET BACKED SECURITIES (COST $3,045,026)
3,107,012
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (7.1%)
1,334,799 CMC Securities Corporation II,
Series 1993-2I A2, 7.13464%, due
9/25/23 1,350,468
397,158 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 396,661
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 6.50%,
due 7/15/06 916,029
900,000 Federal Home Loan Mortgage
Corporation, Series 1992 1374 B,
7.00%, due 6/15/15 903,042
447,618 Federal National Mortgage
Association, 9.20%, due 3/25/18 483,619
434,661 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 444,197
499,852 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, due 8/20/13 524,424
</TABLE>
[LOGO]
See Notes to Financial Statements.
37
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
686,789 L.F. Rothschild Mortgage Trust,
Series 2-Z, 9.95%, due 8/1/17 $ 760,850
2,800,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 2,801,736
837,503 Resolution Trust Corporation, Series
1991-M5 A, 9.00%, due 3/25/17 894,947
806,089 Resolution Trust Corporation, Series
1992-4 A2, 7.52093% variable rate,
due 7/25/28 825,375
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 608,159
1,000,000 Resolution Trust Corporation, Series
1995-1 A2D, 7.50%, due 10/25/28 1,018,382
1,000,000 Resolution Trust Corporation, Series
1995-2 A1C, 7.45%, due 5/25/29 1,018,075
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$12,378,989) 12,945,964
--------------
CORPORATE BONDS & NOTES (16.9%)
500,000 Allied-Signal, 9.875%, due 6/1/02 581,341
900,000 Applied Materials, 7.00%, due 9/6/05 917,653
1,000,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,099,294
600,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 592,640
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,100,917
1,000,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 991,250
1,000,000 Citicorp, 9.50%, due 2/1/02 1,136,571
1,000,000 CIT Group Holdings, 6.15%, due
12/15/02 997,029
500,000 Coca Cola Bottling Company, 6.85%,
due 11/1/07 499,561
625,000 Colonial Pipeline, 7.45%, due
8/15/07(d) 658,930
<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 Continental Bank, N.A. (a
BankAmerica subsidiary), 11.25%,
due 7/1/01 $ 1,077,500
675,000 Corestates Capital Corporation,
5.875%, due 10/15/03 652,099
1,000,000 Dean Witter Discover, 6.25%, due
3/15/00 1,002,500
500,000 El Paso Natural Gas, 7.75%, due
1/15/02 527,486
750,000 FBS Capital I, 8.09%, due 11/15/26 777,061
1,000,000 Federal Express Corporation, 6.25%,
due 4/15/98 1,006,250
1,000,000 First Data Corporation, 6.625% due
4/1/03 1,011,942
600,000 Fletcher Challenge Cap Can, 7.75%,
due 6/20/06(b) 636,919
1,000,000 Heller Financial, 7.875%, due
11/1/99 1,046,250
625,000 International Lease Finance, 6.43%,
due 3/1/00 632,537
1,000,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 1,150,831
625,000 Levi Straus, 6.80%, due 11/1/03(d) 632,088
1,000,000 LG-Caltex Oil, 7.875%, due 7/1/06(d) 1,045,332
500,000 MBNA Corporation, 7.49%, due 9/14/99 517,631
600,000 May Department Stores, 9.875%, due
6/15/00 669,800
400,000 Norcen Energy Resources, 7.375%, due
5/15/06 416,100
1,000,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 1,016,710
500,000 Parker Hannifin Corporation, 7.30%,
due 5/15/11 526,918
800,000 Philips Electronics, 6.75, due
8/15/03 806,924
500,000 Potomac Capital Investment
Corporation, 7.32%, due 4/14/00(d) 513,070
1,000,000 Reinsurance Group of America, 7.25%,
due 4/1/06(d) 1,026,250
500,000 Royal Carribbean Cruises, 7.125%,
due 9/18/02 511,399
</TABLE>
[LOGO]
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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>
700,000 Terra Nova Holdings, 10.75%, due
7/1/05 $ 797,746
500,000 Texas Instruments, Inc., 6.75%, due
7/15/99 508,859
600,000 Transamerica Financial, 6.41% due
6/20/00 603,709
1,000,000 Tyco International Ltd., 6.50%, due
11/1/01 1,006,423
1,000,000 Universal Corporation, 9.25%, due
2/15/01 1,101,051
750,000 Whitman Corporation, 7.50%, due
2/1/03 786,536
--------------
TOTAL CORPORATE BONDS & NOTES (COST $29,481,488)
30,583,107
--------------
GOVERNMENT AGENCY BONDS & NOTES (1.0%)
1,800,000 Federal National Mortgage
Association, 7.54635% inverse
floater, due 7/23/97 (cost
$1,692,756)(b)(g) 1,818,130
--------------
MORTGAGE BACKED SECURITIES (2.6%)
988,609 Federal Home Loan Mortgage
Corporation, Adjustable Rate
Mortgage, Pool 410425, 6.10%, due
9/1/26 1,011,518
820,486 Federal Home Loan Mortgage
Corporation, Adjustable Rate
Mortgage, Pool 606279, 7.094%, due
2/1/15 841,754
846,215 Federal National Mortgage
Association, Pool 344692, 7.442%,
due 10/1/25 872,529
999,459 Federal National Mortgage
Association, Series 1989-27 Y,
6.90%, due 6/25/19 1,010,189
1,000,000 Government National Mortgage
Association, 6.50%, Series 1994-7
PG, due 8/16/17 1,007,030
136 Government National Mortgage
Association, Pool 665, 7.50%, due
5/15/01 138
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,682 Government National Mortgage
Association, Pool 2218, 6.50%, due
12/15/02 $ 1,679
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $4,613,603)
4,744,837
--------------
RECEIVABLES BACKED SECURITIES (2.2%)
1,000,000 First Merchants Auto Receivables
Corporation, Series 1996-A A2,
Private Placement, 6.70%, due
7/17/00(d) 1,008,663
1,000,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 1,031,140
800,000 Sears Credit Account Master Trust,
Series 1994-1 A, 7.00%, due
1/15/04 823,576
1,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 1,054,740
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$3,859,063) 3,918,119
--------------
REPURCHASE AGREEMENTS (1.1%)
993,708 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$994,176(c) 993,708
993,708 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$994,176(c) 993,708
--------------
TOTAL REPURCHASE AGREEMENTS (COST $1,987,418)
1,987,416
--------------
U.S. TREASURY OBLIGATIONS (0.7%)
1,300,000 U.S. Treasury Notes, 6.50%, due
8/15/05 (cost $1,332,296) 1,340,218
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$58,390,639) 60,444,803
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
39
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
POSITIVE RETURN INVESTMENT STYLE (33.5%)
ASSET BACKED SECURITIES (1.0%)
1,845,900 Ford Credit Auto Lease Trust, 6.35%,
due 10/15/98 (cost $1,850,514) $ 1,855,111
--------------
CERTIFICATES OF DEPOSIT (1.1%)
2,000,000 Deutsche Bank, 5.62%, due 1/15/97
(cost $2,000,938) 1,999,776
--------------
CORPORATE BONDS & NOTES (1.1%)
2,000,000 Morgan Guaranty Trust Company, 5.58%
variable rate, due 8/21/98 (cost
$2,000,000) 2,001,302
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
1,000,000 Federal Farm Credit Bank, 5.40%
variable rate, due 7/1/97 (cost
$999,945) 1,000,116
--------------
RECEIVABLES BACKED SECURITIES (5.5%)
1,813,334 Bombardier Receivables Master Trust
I Series 1994-1 A, 5.60% variable
rate, due 3/15/99 1,813,878
2,700,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 2,701,242
2,700,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.515% variable
rate, due 4/17/00 2,704,725
2,700,000 Peoples Bank Credit Card Master
Trust, Series 1994-2 A, 5.525%
variable rate, due 3/15/01 2,705,211
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$9,930,931) 9,925,056
--------------
REPURCHASE AGREEMENTS (6.4%)
5,760,752 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$5,763,464(c) 5,760,752
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
REPURCHASE AGREEMENTS (continued)
<TABLE>
<C> <S> <C>
5,760,752 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$5,763,464(c) $ 5,760,752
--------------
TOTAL REPURCHASE AGREEMENTS (COST $11,521,504)
11,521,504
--------------
U.S. TREASURY OBLIGATIONS (17.8%)
6,000,000 U.S. Treasury Bills, 5.16% yield,
due 1/9/97 5,968,896
6,175,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 6,674,786
4,000,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 3,886,248
8,600,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 9,744,875
6,000,000 U.S. Treasury Notes, 7.50%, due
12/31/96 6,013,122
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $31,488,664)
32,287,927
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$59,792,496) 60,590,792
--------------
TOTAL RETURN BOND INVESTMENT STYLE (33.2%)
CORPORATE BONDS & NOTES (3.4%)
1,000,000 Boston Edison Company, 5.70%, due
3/15/97 998,948
1,450,000 General Motors Acceptance
Corporation, 7.00%, due 4/15/98 1,473,123
1,250,000 Houston Industries, Inc., 7.25%, due
12/1/96 1,250,000
500,000 McDermott International, Inc.,
6.50%, due 4/20/98 500,882
500,000 McDermott International, Inc.,
6.50%, due 4/23/98 500,875
1,150,000 USX Corporation, 8.875%, due 9/15/97 1,175,666
200,000 Virginia Electric Power, 6.35%, due
6/8/98 201,601
--------------
TOTAL CORPORATE BONDS & NOTES (COST $6,109,165)
6,101,095
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (1.2%)
1,000,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 $ 1,012,612
1,000,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 1,002,239
200,000 Federal National Mortgage
Association, 5.89%, due 11/13/98 200,527
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$2,199,687) 2,215,378
--------------
MORTGAGE BACKED SECURITIES (2.9%)
1,214,631 Government National Mortgage
Association, Pool 352001, 6.50%,
due 12/15/23 1,191,139
1,236,777 Government National Mortgage
Association, Pool 354665, 6.50%,
due 10/15/23 1,212,856
579,880 Government National Mortgage
Association, Pool 354692, 6.50%,
due 11/15/23 568,664
1,190,856 Government National Mortgage
Association, Pool 376400, 6.50%,
due 2/15/24 1,166,954
1,198,263 Government National Mortgage
Association, Pool 780144, 7.00%,
due 7/15/24 1,199,376
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,086,985)
5,338,989
--------------
REPURCHASE AGREEMENTS (0.6%)
522,704 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$522,950(c) 522,704
522,704 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$522,950(c) 522,704
--------------
TOTAL REPURCHASE AGREEMENTS (COST $1,045,408)
1,045,408
--------------
U.S. TREASURY OBLIGATIONS (25.1%)
2,700,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,329,438
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
2,675,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 $ 3,198,297
425,000 U.S. Treasury Bonds, 8.75%, due
8/15/20 541,211
1,675,000 U.S. Treasury Notes, 6.75%, due
5/31/97 1,686,516
2,675,000 U.S. Treasury Notes, 7.375%, due
11/15/97 2,722,647
1,900,000 U.S. Treasury Notes, 5.875%, due
8/15/98 1,909,500
3,100,000 U.S. Treasury Notes, 8.875%, due
11/15/98 3,286,000
4,325,000 U.S. Treasury Notes, 7.125%, due
2/29/00 4,500,703
3,600,000 U.S. Treasury Notes, 6.875%, due
3/31/00 3,722,623
4,000,000 U.S. Treasury Notes, 6.25%, due
5/31/00 4,062,500
5,800,000 U.S. Treasury Notes, 6.125%, due
7/31/00 5,868,875
450,000 U.S. Treasury Notes, 8.75%, due
8/15/00 494,297
3,200,000 U.S. Treasury Notes, 7.25%, due
8/15/04 3,446,000
2,400,000 U.S. Treasury Bonds, 11.625%, due
11/15/04 3,239,249
3,350,000 U.S. Treasury Notes, 6.50%, due
8/15/05 3,453,634
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $44,745,427)
45,461,490
--------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE (COST
$59,186,672) 60,162,360
--------------
TOTAL INVESTMENTS (100.0%) (COST $177,369,807)
$181,197,955
--------------
--------------
- ----------------------------------------------------
INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (18.9%)
10,800,000 Discover Card Master Trust I, Series
1996-3, 6.05%, due 8/18/08(b) $ 10,496,196
</TABLE>
[LOGO]
See Notes to Financial Statements.
41
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
4,998,518 First Plus Home Loan Trust, Series
1996-2 A5, 7.47%, due 2/20/11 $ 5,227,800
9,775,000 GE Mortgage HELT, Series 1996-HEZ
Class A5, 7.94%, due 6/25/14 10,300,993
3,000,000 Greentree, Series 1996 8 A3, 6.70%,
due 10/15/27 3,049,440
5,000,000 Greentree, Series 1996 8 A4, 7.00%,
due 10/15/27 5,138,050
5,000,000 IMC Home Equity Laon, Series 1996 4
A3, 6.81%, due 7/25/11 5,049,400
9,437,899 Olympic Automobile Receivables
Trust, Series 1996 A CTFS, 5.90%,
due 11/15/03 9,478,671
5,250,000 Spiegel Charge Account Trust, Series
1992 2 A, 6.95%, due 12/15/01 5,281,448
--------------
TOTAL ASSET BACKED SECURITIES (COST $52,505,456)
54,021,998
--------------
CORPORATE BONDS & NOTES (15.7%)
6,000,000 AMBAC, Inc., 9.375%, due 8/1/11 7,477,500
5,000,000 Atlantic Richfield Company, 9.875%,
due 3/1/16 6,500,000
3,000,000 Bayerische Landesbank, New York,
6.20%, due 2/9/06 2,947,500
3,000,000 BHP Finance (USA) Inc., 6.69%, due
3/1/06(b) 3,018,750
5,000,000 Boeing Company, 8.75%, due 8/15/21 6,075,000
3,000,000 Ford Motor Company, 9.50%, due
9/15/11 3,720,000
6,000,000 General Electric Capital
Corporation, 8.70%, due 2/15/03 6,802,500
3,000,000 GTE California, Inc., 6.75%, due
3/15/04(b) 3,063,750
5,000,000 Swiss Bank Corporation, 7.375%, due
7/15/15 5,175,000
--------------
TOTAL CORPORATE BONDS & NOTES (COST $42,947,730)
44,780,000
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (1.6%)
4,000,000 Federal Home Loan Mortgage
Corporation, 8.25%, due 6/1/16
(cost $4,854,800)(b) $ 4,635,600
--------------
MORTGAGE BACKED SECURITIES (22.0%)
4,462,227 Federal Home Loan Mortgage
Corporation, Gold Pool G10399,
6.50%, due 7/1/09 4,467,760
9,425,794 Federal Home Loan Mortgage
Corporation, Gold Pool G10446,
6.50%, due 2/1/11 9,369,333
10,034,863 Federal National Mortgage
Association, Pool 250547, 6.00%,
due 3/1/26 9,517,365
9,269,158 Federal National Mortgage
Association, Pool 303851, 7.00%,
due 4/1/11 9,346,834
10,464,695 Federal National Mortgage
Association, Pool 303857, 6.50%,
due 4/1/11 10,389,977
9,879,965 Government National Mortgage
Association, Pool 345613, 7.00%,
due 4/15/26 9,830,960
9,636,117 Government National Mortgage
Association, Pool 410168, 7.50%,
due 11/15/25 9,780,080
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST
$62,004,482) 62,702,309
--------------
U.S. TREASURY OBLIGATIONS (38.3%)
5,000,000 U.S. Treasury Notes, 9.25%, due
8/15/98 5,295,900
5,000,000 U.S. Treasury Notes, 6.125%, due
8/31/98(b) 5,047,500
10,000,000 U.S. Treasury Notes, 8.875%, due
11/15/98(b) 10,603,000
10,000,000 U.S. Treasury Notes, 6.875%, due
7/31/99(b) 10,292,900
1,000,000 U.S. Treasury Notes, 7.125%, due
9/30/99 1,037,150
10,000,000 U.S. Treasury Notes, 5.875%, due
11/15/99(b) 10,049,100
8,000,000 U.S. Treasury Notes, 8.75%, due
8/15/00(b) 8,788,960
6,000,000 U.S. Treasury Notes, 8.50%, due
11/15/00 6,571,260
</TABLE>
[LOGO]
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
5,000,000 U.S. Treasury Notes, 7.75%, due
2/15/01 $ 5,362,250
10,000,000 U.S. Treasury Notes, 7.50%, due
5/15/02(b) 10,770,000
6,500,000 U.S. Treasury Bonds, 10.75%, due
5/15/03(b) 8,159,190
6,000,000 U.S. Treasury Bonds, 7.50%, due
11/15/16(b) 6,708,360
6,000,000 U.S. Treasury Bonds, 9.00%, due
11/15/18 7,765,980
10,000,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 10,793,500
2,000,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 1,939,220
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$107,591,640) 109,184,270
--------------
SHORT-TERM HOLDINGS (3.5%)
10,066,692 Dreyfus Cash Management Fund (cost
$10,066,692) 10,066,692
--------------
TOTAL INVESTMENTS (100.0%) (COST $279,970,800)
$285,390,869
--------------
--------------
- ----------------------------------------------------
TOTAL RETURN BOND FUND
- ----------------------------------------------------
CORPORATE BONDS & NOTES (8.8%)
1,000,000 AMR Corporation, 7.47%, due 1/28/97 $ 1,002,742
790,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 790,583
1,500,000 General Motors Acceptance
Corporation, 6.90%, due 2/19/98 1,520,090
1,525,000 General Motors Acceptance
Corporation, 7.00%, due 4/15/98 1,549,319
2,500,000 Illinois Power Company, 9.25%, due
12/16/96 2,503,108
1,000,000 McDermott International, Inc.,
7.94%, due 6/25/97 1,009,842
1,500,000 McDermott International, Inc.,
6.50%, due 4/23/98 1,502,625
1,000,000 USX Corporation, 8.875%, due 9/15/97 1,022,318
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
600,000 Virginia Electric Power, 6.35%, due
6/8/98 $ 604,804
--------------
TOTAL CORPORATE BONDS & NOTES (COST $11,629,112)
11,505,431
--------------
GOVERNMENT AGENCY BONDS & NOTES (3.9%)
1,100,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 1,102,004
1,250,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 1,265,765
480,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 480,000
1,000,000 Federal National Mortgage
Association, 5.89%, due 11/13/98 1,002,637
1,300,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 1,296,941
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$5,132,021) 5,147,347
--------------
MORTGAGE BACKED SECURITIES (8.8%)
2,602,781 Government National Mortgage
Association, Pool 352001, 6.50%,
due 12/15/23 2,552,441
2,650,236 Government National Mortgage
Association, Pool 354665, 6.50%,
due 10/15/23 2,598,978
1,335,871 Government National Mortgage
Association, Pool 354692, 6.50%,
due 11/15/23 1,310,034
2,598,232 Government National Mortgage
Association, Pool 376400, 6.50%,
due 2/15/24 2,546,082
2,574,047 Government National Mortgage
Association, Pool 780144, 7.00%,
due 7/15/24 2,576,437
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST
$11,036,349) 11,583,972
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (77.4%)
325,000 U.S. Treasury Notes, 7.375%, due
11/15/97 $ 330,789
6,000,000 U.S. Treasury Notes, 5.875%, due
8/15/98 6,030,000
5,350,000 U.S. Treasury Notes, 8.875%, due
11/15/98(b) 5,671,000
5,175,000 U.S. Treasury Notes, 6.875%, due
7/31/99(b) 5,327,017
3,650,000 U.S. Treasury Notes, 8.50%, due
2/15/00 3,943,138
5,650,000 U.S. Treasury Notes, 7.125%, due
2/29/00 5,879,531
7,725,000 U.S. Treasury Notes, 6.875%, due
3/31/00(b) 7,988,128
2,200,000 U.S. Treasury Notes, 8.875%, due
5/15/00(b) 2,415,186
6,375,000 U.S. Treasury Notes, 6.25%, due
5/31/00(b) 6,474,610
8,975,000 U.S. Treasury Notes, 6.125%, due
7/31/00 9,081,579
6,825,000 U.S. Treasury Notes, 8.75%, due
8/15/00(b) 7,496,832
300,000 U.S. Treasury Notes, 5.875%, due
2/15/04 298,594
700,000 U.S. Treasury Notes, 7.25%, due
5/15/04 753,375
4,750,000 U.S. Treasury Notes, 7.25%, due
8/15/04 5,115,156
7,850,000 U.S. Treasury Notes, 6.50%, due
8/15/05 8,092,856
2,675,000 U.S. Treasury Bonds, 11.625%, due
11/15/04 3,610,413
10,200,000 U.S. Treasury Bonds, 9.375%, due
2/15/06(b) 12,577,875
2,700,000 U.S. Treasury Bonds, 6.875%, due
5/15/06(b) 2,854,405
415,000 U.S. Treasury Bonds, 11.25%, due
2/15/15 631,579
5,425,000 U.S. Treasury Bonds, 7.50%, due
11/15/16(b) 6,070,911
1,100,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 1,315,186
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$100,154,328) 101,958,160
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
SHORT-TERM HOLDINGS (1.1%)
1,156,167 Dreyfus Cash Management Fund $ 1,156,167
324,030 Institutional Funds Group, TempFund
Fund 324,030
--------------
TOTAL SHORT-TERM HOLDINGS (COST $1,480,197) 1,480,197
--------------
TOTAL INVESTMENTS (100.0%) (COST $129,432,007)
$131,675,107
--------------
--------------
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (79.7%)
ARIZONA (4.5%)
500,000 Maricopa County, AZ, Industrial
Development Authority,
Multi-Family Housing Revenue,
Advantage Point Projects, Series
A, 5.75%, due 7/1/01 $ 505,790
440,000 Mesa, AZ, Industrial Development
Authority, Healthcare Facilities
Revenue Refunding Bonds, Western
Health Network B1, BIG insured,
7.50%, due 1/1/04 474,536
--------------
980,326
--------------
COLORADO (3.6%)
500,000 Castle Rock Ranch, CO, Public
Facilities Revenue Bonds, 5.70%,
due 12/1/06(d) 522,085
145,000 Genesee, CO, Water & Sanitation
District, Jefferson County,
General Obligation Revenue
Refunding Bonds, MBIA insured,
4.50%, due 12/1/99 146,808
115,000 Genesee, CO, Water & Sanitation
District, Jefferson County,
General Obligation Revenue
Refunding Bonds, MBIA insured,
4.60%, due 12/1/00 116,827
--------------
785,720
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
44
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
FLORIDA (2.5%)
500,000 Broward County, FL, Resource
Recovery Revenue Bonds, SES
Broward Company LP South Project,
7.95%, due 12/1/08 $ 552,950
--------------
HAWAII (5.1%)
1,000,000 Honolulu, HI, City and County
General Obligation Bonds, Series
A, 6.70%, due 8/1/07, Prerefunded
8/1/01 at 101 1,109,491
--------------
ILLINOIS (15.2%)
1,025,000 Bridgeview, IL, Tax Increment Bonds,
Escrowed in U.S. Government
Securities, 9.50%, due 1/1/11,
Prerefunded 1/1/01 at 102 1,228,750
1,325,000 Des Plaines, IL, Hospital Facilities
Revenue Refunding Bonds, Holy
Family Hospital, MBIA insured,
10.625%, due 1/1/03, Prerefunded
7/1/02 at 100 1,588,291
500,000 Metropolitan Pier & Exposition
Authority, IL, Dedicated State Tax
Revenue Refunding Bonds, McCormick
Place Expansion Project, Series A,
AMBAC insured, 4.90%, due 12/15/03 509,230
--------------
3,326,271
--------------
IOWA (1.6%)
350,000 Ottumwa, IA, Hospital Facilities
Revenue Refunding Bonds, Ottumwa
Regional Health Center, Inc.,
9.50%, due 11/1/00 361,599
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
LOUISIANA (2.1%)
435,000 Louisiana Public Facilities
Authority, Multi-Family Housing
Revenue Refunding Bonds, Edgewood
Apartments, FNMA insured, 5.70%,
due 6/1/05 $ 448,372
--------------
MICHIGAN (7.5%)
300,000 Lakeview, MI, Community Schools,
General Obligation Bonds, FGIC
insured, 6.50%, due 5/1/05 337,521
305,000 Lakeview, MI, Community Schools,
General Obligation Bonds, FGIC
insured, 6.50%, due 5/1/06 344,534
395,000 Merrill, MI, Community School
District, General Obligation
Bonds, FGIC insured, 6.50%, due
5/1/05 443,526
450,000 Schoolcraft, MI, Community School
District, General Obligation
Bonds, FGIC insured, 6.50%, due
5/1/04 503,379
--------------
1,628,960
--------------
MISSISSIPPI (1.6%)
340,000 Ridgeland, MS, Multi-Family Housing
Revenue Bonds, Sunchase Apartments
Project, FNMA insured, 6.50%, due
10/1/07 343,281
--------------
MISSOURI (2.4%)
485,000 Boone County, MO, Hospital Revenue
Refunding Bonds, 7.10%, due 8/1/99 516,336
--------------
NEVADA (2.5%)
500,000 Clark County, NV, School District,
General Obligation Bonds, Series
A, MBIA insured, 7.00%, due
6/1/05, Prerefunded 6/1/01 at 101 558,780
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
45
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
NEW YORK (12.3%)
2,000,000 New York State Housing Finance
Agency, State University
Construction Project, Escrowed in
U.S Government Securities, 6.50%,
due 11/1/06 $ 2,196,680
500,000 Syracuse, NY, Industrial Development
Agency, PILOT Revenue Refunding
Bonds, 5.125%, due 10/15/02 505,200
--------------
2,701,880
--------------
NORTH CAROLINA (2.4%)
500,000 North Carolina Municipal Power
Agency #1, Catawba Electric
Revenue Refunding Bonds, 5.90%,
due 1/1/03 527,370
--------------
PENNSYLVANIA (1.3%)
265,000 Philadelphia, PA, Gas Works Revenue
Bonds, Thirteenth Series, 7.50%,
due 6/15/01 289,311
--------------
SOUTH CAROLINA (2.5%)
250,000 Medical University of South
Carolina, Hospital Facilities
Revenue Refunding Bonds, Series A,
7.00%, due 7/1/02 273,615
250,000 Medical University of South
Carolina, Hospital Facilities
Revenue Refunding Bonds, Series A,
7.20%, due 7/1/05 274,073
--------------
547,688
--------------
TEXAS (10.2%)
235,000 Grape Creek,TX, Pulliam Independent
School District, Public Facilities
Corporation Revenue Bonds, 6.20%,
due 5/15/02 239,009
750,000 Houston, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series
A-1, 8.00%, due 6/1/14 822,473
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
TEXAS (continued)
<TABLE>
<C> <S> <C>
250,000 Houston, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series
B-1, 8.00%, due 6/1/14 $ 271,223
355,000 San Antonio, TX, Higher Education
Authority, Educational Facilities
Revenue Refunding Bonds,
University of Texas at San
Antonio, Phase I, 6.50%, due
11/1/01 359,136
500,000 Texas Water Resource Finance
Authority Revenue Bonds, AMBAC
insured, 7.50%, due 8/15/03 539,090
--------------
2,230,931
--------------
WISCONSIN (2.4%)
500,000 Wisconsin Housing & Economic
Development Authority, Housing
Revenue Refunding Bonds, Series A,
HUD insured, 6.20%, due 11/1/01 523,562
--------------
TOTAL MUNICIPALS (COST $17,181,114) 17,432,828
--------------
SHORT-TERM HOLDINGS (20.3%)
343,925 Federated Tax-Free Obligations Money
Market Fund 343,925
1,000,000 Henrico County, VA, Industrial
Development Revenue Bonds,
Hermitage Project, Nationsbank of
Virginia LOC, 2.75% variable rate,
due 5/1/24(p) 1,000,000
1,000,000 Illinois Educational Facilities
Authority Revenue Bonds, Cultural
Pool, First National Bank of
Chicago LOC, Remarketed 11/1/95,
3.60% variable rate, due
12/1/25(p) 1,000,000
1,086,239 Norwest Municipal Money Market Fund 1,086,239
</TABLE>
[LOGO]
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
SHORT-TERM HOLDINGS (continued)
<TABLE>
<C> <S> <C>
1,000,000 Ohio State University, Educational
Facilities Revenue Bonds, Series
B, 3.50% variable rate, due
12/1/06(p) $ 1,000,000
--------------
TOTAL SHORT-TERM HOLDINGS (COST $4,430,164) 4,430,164
--------------
TOTAL INVESTMENTS (100.0%) (COST $21,611,278)
$ 21,862,992
--------------
--------------
- ----------------------------------------------------
TAX-FREE INCOME FUND
- ----------------------------------------------------
MUNICIPALS (90.2%)
ALASKA (1.6%)
4,365,000 Alaska Energy Authority, Utilities
Revenue Bonds, 7.00%, due 7/1/09 $ 5,126,038
--------------
ARIZONA (2.1%)
3,000,000 Maricopa County, AZ, Union School
District #48, General Obligation
Revenue Bonds, School
Improvements, 9.00%, due 7/1/05 3,926,430
2,795,000 Phoenix, AZ, General Obligation
Refunding Bonds, Series B, 5.00%,
due 7/1/20 2,673,669
--------------
6,600,099
--------------
CALIFORNIA (0.7%)
1,910,000 Los Angeles, CA, Community
Redevelopment Agency Housing
Revenue Bonds, Monterey Hills
Redevelopment Project, Series A,
8.20%, due 12/1/13 2,153,410
--------------
COLORADO (17.0%)
8,125,000 Adams County, CO, Single Family
Mortgage Revenue Bonds, Refunding
Series A-2, 8.70%, due 6/1/12 8,775,894
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
COLORADO (continued)
<TABLE>
<C> <S> <C>
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 $ 1,476,825
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 1,201,900
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 4,636,800
1,750,000 Arapahoe County, CO, Utilities
Revenue Bonds, Water & Wastewater
Authority Revenue, 6.25%, due
12/1/20 1,753,658
1,950,000 Castle Rock Ranch, CO, Public
Facilities Revenue Bonds, 5.70%,
due 12/1/06(d) 2,036,132
2,530,000 Colorado Housing Finance Authority,
General Obligation Revenue Bonds,
Remarketed 11/15/94, 8.125%, due
6/1/25 2,856,168
1,000,000 Colorado Housing Finance Authority,
General Obligation Revenue
Refunding Bonds, Series A, 7.40%,
due 5/1/11 1,069,810
1,060,000 Colorado Housing Finance Authority,
Multi-Family Housing Revenue
Bonds, Mortgage C-3, 6.10%, due
10/1/28 1,083,214
3,000,000 Colorado Housing Finance Authority,
Multi-Family Housing Revenue
Bonds, Mortgage C-3, 6.25%, due
10/1/38 3,080,550
</TABLE>
[LOGO]
See Notes to Financial Statements.
47
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
COLORADO (continued)
<TABLE>
<C> <S> <C>
1,500,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series A-2, 7.15%, due
11/1/14 $ 1,669,140
3,135,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Refunding Bonds, Series B-2,
7.50%, due 12/1/16 3,497,186
1,450,000 Colorado Springs, CO, Utility
Revenue Refunding Bonds, Series A,
5.75%, due 11/15/23 1,469,155
2,575,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.60%, due 11/15/20 2,569,876
4,720,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.75%, due 11/15/16 4,841,021
5,200,000 Denver, CO, Urban Renewal Authority,
Tax Increment Revenue Bonds,
Series A, Remarketed 6/15/94,
9.125%, due 9/1/17 6,151,548
2,175,000 Larimer County, CO, School District
#1, Poudre, General Obligation
Refunding Bonds, 8.50%, due
12/15/07 2,842,116
925,000 Logan County, CO, Single Family
Mortgage Revenue Bonds, Series A,
8.50%, due 11/1/11 987,317
1,085,000 Vail, CO, Single Family Mortgage
Revenue Refunding Bonds, Series
1992 A, 8.125%, due 6/1/10 1,175,706
--------------
53,174,016
--------------
FLORIDA (8.8%)
10,350,000 Dade County, FL, Special Obligation,
Sales Tax Revenue Bonds, Series B,
AMBAC insured, 5.00%, due 10/1/35 9,592,691
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
FLORIDA (continued)
<TABLE>
<C> <S> <C>
3,000,000 Lakeland, FL, Electric & Water
Revenue Bonds, FGIC insured,
6.00%, due 10/1/14 $ 3,289,470
6,000,000 Lakeland, FL, Electric & Water
Revenue Bonds, Series B, 5.625%,
due 10/1/19 6,030,420
6,215,000 Lakeland, FL, Electric & Water
Revenue Bonds, Series B, FGIC
insured, 6.00%, due 10/1/12 6,806,606
1,840,000 Volusia County, FL, Health
Facilities Authority Revenue
Bonds, John Knox, 6.00%, due
6/1/12 1,912,882
--------------
27,632,069
--------------
GEORGIA (2.0%)
2,000,000 Georgia State, General Obligation
Revenue Bonds, 3.25%, due 9/1/15 1,537,260
3,400,000 Georgia State, General Obligation
Revenue Bonds, Series B, 3.20%,
due 3/1/15 2,606,100
2,610,000 Georgia State, General Obligation
Revenue Bonds, Series C, 3.25%,
due 7/1/14 2,041,986
--------------
6,185,346
--------------
HAWAII (2.1%)
5,000,000 Hawaii State, General Obligation
Bonds, Series CA, 8.00%, due
1/1/13 6,464,900
--------------
IDAHO (0.2%)
500,000 Pocatello, ID, Development Authority
Revenue Allocation, Tax Increment
Bonds, Series B, 7.25%, due
12/1/08 521,805
--------------
ILLINOIS (5.3%)
3,000,000 Illinois Development Financial
Authority Revenue Bonds, Community
Rehabilitation Providers Facility,
Series A, 7.875%, due 7/1/20 3,114,180
</TABLE>
[LOGO]
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
ILLINOIS (continued)
<TABLE>
<C> <S> <C>
1,215,000 Illinois Health Facilities Authority
Revenue Bonds, Health Care Revenue
Bonds, Edgewater Medical Center,
Series A, 9.25%, due 7/1/24 $ 1,364,396
1,250,000 Illinois Health Facilities Authority
Revenue Bonds, Rush Presbyterian,
Series A, 6.25%, due 11/15/20 1,331,900
1,025,000 Lake County, IL, Community Unit
School District # 116, Educational
Facilities Revenue Bonds, Rund
Lake, 7.60%, due 2/1/13 1,215,599
7,350,000 Regional Transportation Authority,
IL, Sales Tax Revenue Refunding
Bonds, Series D, FGIC insured,
7.75%, due 6/1/19 9,578,594
--------------
16,604,669
--------------
INDIANA (0.6%)
1,250,000 Indianapolis, IN, Airport Authority
Revenue Refunding Bonds, Series A,
FGIC insured, 5.60%, due 7/1/15 1,249,213
675,000 Purdue University, IN, Certificate
of Participation, 6.25%, due
7/1/10 712,037
--------------
1,961,250
--------------
KANSAS (1.2%)
3,175,000 Kansas State, Department of
Transportation, Highway Revenue
Bonds, Series A, 7.25%, due 9/1/08 3,859,308
--------------
LOUISIANA (1.5%)
510,000 East Baton Rouge, LA, Mortgage
Finance Authority, Single Family
Housing Revenue Bonds, Series 1988
C, GNMA Collaterized, 8.375%, due
2/1/17 538,586
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
LOUISIANA (continued)
<TABLE>
<C> <S> <C>
1,910,000 Louisiana Public Facilities
Authority Revenue Bonds, Lutheran
Social Services of the South
Project, 7.60%, due 8/15/15 $ 1,985,120
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 1,515,950
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 7/10/14 776,678
--------------
4,816,334
--------------
MARYLAND (0.2%)
3,000,000 Maryland State Community Development
Administration, MultiFamily
Housing Revenue Bonds, Series C,
GNMA Collaterized, 0.00%, (9.10%
effective yield), due 5/15/11 717,630
--------------
MASSACHUSETTS (4.7%)
5,325,000 Massachusetts Bay Transportation
Authority, General Transportation
System Revenue Bonds, Series B,
6.20%, due 3/1/16 5,867,777
2,500,000 Massachusetts State College Building
Authority, Educational Facilities
Revenue Bonds, Series A, 7.50%,
due 5/1/14 3,125,350
5,000,000 Massachusetts State Health & Higher
Education Facilities Authority
Revenue Bonds, Harvard University
Project, Series P, 5.625%, 11/1/26 5,081,350
</TABLE>
[LOGO]
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
MASSACHUSETTS (continued)
<TABLE>
<C> <S> <C>
685,000 New Bedford, MA, Industrial
Development Revenue Bonds, Aerovox
Inc. Project, Series 1982, 7.42%,
due 7/1/02 $ 699,495
--------------
14,773,972
--------------
MICHIGAN (1.9%)
2,000,000 Lincoln Park, MI, School District,
General Obligation Bonds, FGIC
insured, 7.00%, due 5/1/20 2,315,820
2,760,000 Wayland, MI, Unified School
District, General Obligation
Bonds, FGIC insured, 8.00%, due
5/1/10 3,519,994
--------------
5,835,814
--------------
MISSISSIPPI (0.2%)
2,000,000 Mississippi Home Corporation,
Residual Capital Appreciation
Revenue Bonds, Series 1992 II,
0.00%, (7.375% effective yield),
due 4/15/12 688,700
--------------
NEW HAMPSHIRE (0.7%)
2,050,000 New Hampshire Higher Education &
Health Facilities Authority
Revenue Bonds, New London Hospital
Association Project, 7.00%, due
6/1/00 2,125,707
--------------
NEW YORK (6.8%)
3,000,000 New York State Dormitory Authority
Revenue Bonds, Department of
Health, 5.75%, due 7/1/17 2,983,710
2,340,000 New York State Dormitory Authority
Revenue Bonds, Mental Health
Services Facilities Improvement,
Series B, 6.00%, due 8/15/16 2,454,941
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
NEW YORK (continued)
<TABLE>
<C> <S> <C>
5,000,000 New York State Thruway Authority
Service Contract Revenue Bonds,
Local Highway & Bridge Project,
6.00%, due 4/1/03 $ 5,315,800
6,850,000 New York State Urban Development
Revenue Bonds, 6.00%, due 1/1/06 7,186,883
1,500,000 New York, NY, General Obligation
Revenue Bonds, Series B, 7.375%,
due 8/15/13 1,685,025
1,480,000 New York, NY, General Obligation
Revenue Bonds, Series B, 7.30%,
due 8/15/10 1,655,661
--------------
21,282,020
--------------
NORTH CAROLINA (4.7%)
2,000,000 Charlotte, NC, General Obligation
Water & Sewer Revenue Bonds,
5.60%, due 5/1/20 2,071,260
5,000,000 Charlotte, NC, Health Care Systems
Revenue Bonds, Mecklenberg
Hospital Authority, Series A,
5.75%, due 1/15/21 5,059,050
3,200,000 North Carolina Eastern Municipal
Power Revenue Bonds, Series B,
7.00%, due 1/1/08 3,557,760
3,400,000 North Carolina Eastern Municipal
Power Revenue Bonds, Series C,
7.00% due 1/1/13 3,819,016
--------------
14,507,086
--------------
OHIO (3.2%)
2,500,000 Akron, OH, Certificate of
Participation, Municipal Baseball
Stadium Project, 0.00%, (6.90%
effective yield), due 12/1/16 1,857,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
OHIO (continued)
<TABLE>
<C> <S> <C>
8,000,000 Ohio State Turnpike Revenue Bonds,
Series A, 5.50%, 2/15/26 $ 7,970,400
--------------
9,827,400
--------------
OKLAHOMA (1.2%)
1,090,000 Norman, OK, Regional Hospital
Authority, Health Care Revenue
Bonds, Series A, 5.30%, due 9/1/07 1,105,086
1,000,000 Norman, OK, Regional Hospital
Authority, Health Care Revenue
Bonds, Series A, 5.40%, due 9/1/08 1,012,950
1,360,000 Tulsa, OK, Industrial Development
Authority Revenue Bonds,
University of Tulsa, Series A,
MBIA insured, 6.00%, due 10/1/16 1,494,436
--------------
3,612,472
--------------
OREGON (1.0%)
500,000 Linn & Benton Counties, OR, School
District # 8J, General Obligation
Bonds, 5.10%, due 6/1/06 514,610
500,000 Linn & Benton Counties, OR, School
District # 8J, General Obligation
Bonds, 5.25%, due 6/1/07 516,935
1,170,000 Metropolitan Oregon Washington Park
Zoo Project, General Obligation
Bonds, Series A, 5.25%, due
1/15/10 1,178,611
1,000,000 Metropolitan Oregon Washington Park
Zoo Project, General Obligation
Bonds, Series A, 5.30%, due
1/15/11 1,007,180
--------------
3,217,336
--------------
PENNSYLVANIA (0.5%)
1,500,000 Indiana County, PA, Hospital
Authority Revenue Bonds, Series A,
7.125%, due 7/1/23 1,633,050
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
<TABLE>
<C> <S> <C>
SOUTH CAROLINA (5.9%)
5,000,000 Greenville, SC, Hospital Systems
Hospital Facilities Revenue Bonds,
5.60%, due 5/1/10 $ 5,088,450
7,500,000 Piedmont, SC, Municipal Power
Agency, Electric Revenue Bonds,
Series A, 6.55%, due 1/1/16 7,554,375
5,725,000 Piedmont, SC, Municipal Power
Agency, Electric Revenue Bonds,
Series A, 6.60%, due 1/1/21 5,756,770
--------------
18,399,595
--------------
SOUTH DAKOTA (1.3%)
3,500,000 South Dakota State, Health &
Educational Facilities Authority
Revenue Bonds, Huron Regional
Medical Center, 7.30%, due 4/1/16 3,862,320
--------------
TEXAS (9.2%)
630,000 Baytown, TX, Housing Finance
Corporation, Single Family Housing
Revenue Refunding Bonds, Series
1992 A, 8.50%, due 9/1/11 686,152
2,695,000 Beaumont, TX, Housing Finance
Corporation Revenue Bonds, 9.20%,
due 3/1/12 2,962,937
1,255,000 Bexar County, TX, Health Facilities
Development Corporation, Hospital
Revenue Bonds, Baptist Memorial
Hospital System Project, 6.90%,
due 8/15/13 1,422,618
2,275,000 Corpus Christi, TX, Housing Finance
Authority, Housing Revenue Bonds,
Series A, MBIA insured, 7.70%, due
7/1/11 2,446,558
2,395,000 Desoto, TX, Housing Finance
Corporation, Multi-Family Housing
Revenue Bonds, Windsor Foundation
Project, Series A, 7.00%, due
2/1/25 2,563,824
</TABLE>
[LOGO]
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
TEXAS (continued)
<TABLE>
<C> <S> <C>
305,000 El Paso, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series A,
8.75%, due 10/1/11 $ 330,785
410,000 Galveston County, TX, Property
Finance Authority Inc., Single
Family Mortgage Revenue Bonds,
Series A, 8.50%, due 9/1/11 446,306
1,300,000 Grape Creek, TX, Pulliam Independent
School District, Public Facilities
Corporation, General Obligation
Revenue Bonds, 7.25%, due 5/15/21 1,332,058
4,000,000 Houston, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series
A-1, 8.00%, due 6/1/14 4,386,520
2,250,000 Houston, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, Series
B-1, 8.00%, due 6/1/14 2,441,003
270,000 Port Arthur, TX, Housing Finance
Corporation, Single Family
Mortgage Revenue Bonds, 8.70%, due
3/1/12 293,390
4,180,000 San Antonio, TX, Higher Education
Authority, Educational Facilities
Revenue Bonds, 7.125%, due 11/1/15 4,358,486
2,200,000 Texas State Department of Housing
and Community Affairs, Single
Family Mortgage Revenue Bonds,
Series A, 8.10%, due 9/1/15 2,437,732
2,540,000 Washington County, TX, Health
Facilities Development Corporation
Revenue Bonds, Lutheran Social
Services of the South Project,
Series 1994, 7.50%, due 8/15/15 2,631,995
--------------
28,740,364
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
<TABLE>
<C> <S> <C>
VIRGINIA (1.0%)
3,000,000 Fairfax County, VA, Redevelopment &
Housing Authority, Multi-Family
Housing Revenue Bonds, Burke Shire
Commons, 7.60%, due 10/1/36 $ 3,027,510
--------------
WASHINGTON (3.4%)
4,000,000 Washington Public Power Supply
System, Power Revenue Bonds,
Nuclear Project #2, Series A,
6.00%, due 7/1/07 4,308,520
2,750,000 Washington Public Power Supply
System, Power Revenue Bonds,
Nuclear Project #2, Series A,
6.00%, due 7/1/07 2,941,125
3,000,000 Yakima County, WA, School District
#007, General Obligation Refunding
Bonds, MBIA insured, 6.75%, due
12/1/06 3,466,950
--------------
10,716,595
--------------
WEST VIRGINIA (1.2%)
4,000,000 West Virginia, General Obligation
Bonds, Series A, FGIC insured,
5.25%, due 11/1/26 3,902,560
--------------
TOTAL MUNICIPALS (COST $268,413,337) 281,969,375
--------------
SHORT-TERM HOLDINGS (9.8%)
11,666,440 Federated Tax-Free Obligations Money
Market Fund 11,666,440
1,499,000 Ft. Pierce, FL, Tax-Exempt
Commercial Paper, Housing Revenue,
9.75%, due 3/1/12, mandatory put
12/20/96 1,501,752
1,119,000 Greenview Manor, FL, Tax-Exempt
Commercial Paper, Housing Revenue,
10.00%, due 8/1/12, mandatory put
12/17/96 1,121,166
</TABLE>
[LOGO]
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
SHORT-TERM HOLDINGS (continued)
<TABLE>
<C> <S> <C>
756,000 Mariana, FL, Tax-Exempt Commercial
Paper, Housing Revenue, 8.00%, due
5/1/11, mandatory put 12/17/96 $ 756,853
15,668,002 Norwest Municipal Money Market Fund 15,668,002
--------------
TOTAL SHORT-TERM HOLDINGS (COST $30,714,213)
30,714,213
--------------
TOTAL INVESTMENTS (100.0%) (COST $299,127,550)
$312,683,588
--------------
--------------
- ----------------------------------------------------
COLORADO TAX-FREE FUND
- ----------------------------------------------------
MUNICIPALS (86.3%)
AIRPORT REVENUE (8.9%)
2,500,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.60%, due 11/15/20 $ 2,495,025
3,000,000 Denver, CO, City & County Airport
Revenue Bonds, Series A, MBIA
insured, 5.50%, due 11/15/25 2,967,780
--------------
5,462,805
--------------
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (8.3%)
380,000 Eagle County, CO, Eagle Valley
Library District, General
Obligation Bonds, 7.125%, due
12/1/14 425,900
1,310,000 Greenwood South Metropolitan
District, CO, General Obligation
Refunding Bonds, MBIA insured,
4.50%, due 12/1/97 1,320,663
2,670,000 Interstate South Metropolitan
District, CO, General Obligation
Refunding Bonds, National Bank of
Denver LOC, 6.00%, due 12/1/20 2,741,876
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (continued)
<TABLE>
<C> <S> <C>
600,000 West Glenwood Springs, CO, General
Obligation Bonds, 6.375%, due
12/1/15 $ 612,714
--------------
5,101,153
--------------
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (3.9%)
500,000 Denver, CO, City & County School
District #1, General Obligation
Bonds, Series A, 6.50%, due 6/1/10 571,155
1,385,000 Larimer County, CO, School District
#1, Poudre, General Obligation
Refunding Bonds, AMBAC insured,
8.50%, due 12/15/08 1,839,765
--------------
2,410,920
--------------
HEALTH CARE REVENUE (3.8%)
1,250,000 Colorado Health Facilities Revenue
Bonds, Sisters of Charity, Series
A, AMBAC Insured, 6.25%, due
5/15/11 1,374,863
1,000,000 Denver, CO, City & County Revenue
Bonds, Sisters of Charity of
Leavenworth, 5.00%, due 12/1/23 933,410
--------------
2,308,273
--------------
MULTI-FAMILY HOUSING REVENUE (5.8%)
300,000 Aurora, CO, Housing Authority
Finance Corporation, MultiFamily
Mortgage Revenue Refunding Bonds,
Mountainview Place, FHA insured,
7.125%, due 9/1/22 313,695
1,000,000 Colorado Housing Finance Authority,
Multi-Family Housing Revenue
Bonds, Mortgage C-3, 6.10%, due
10/1/28 1,021,900
1,655,000 Colorado Housing Finance Authority,
Multi-Family Housing Revenue
Bonds, Mortgage C-3, 6.25%, due
10/1/38 1,699,437
</TABLE>
[LOGO]
See Notes to Financial Statements.
53
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
MULTI-FAMILY HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
550,000 San Miguel County, CO, Housing
Authority, Multi-Family Revenue
Bonds, Telluride Village
Apartments Project, Series 1993,
6.30%, due 7/1/13 $ 542,179
--------------
3,577,211
--------------
OTHER REVENUE (10.2%)
290,000 Black Hawk, CO, Device Tax Revenue
Bonds, 6.40%, due 12/1/07 303,407
3,000,000 Castle Rock Ranch, CO, Public
Facilities Revenue Bonds, 6.25%,
due 12/1/17(d) 3,225,510
1,000,000 Highlands Ranch, CO, Metropolitan
District #2, General Obligation
Refunding Bonds, FSA insured,
6.50%, due 6/15/11 1,146,410
1,210,000 Montrose County, CO, Certificate of
Participation, Series A, 6.40%,
due 12/1/12 1,228,610
355,000 Pueblo, CO, Certificate of
Participation, Public Parking-
Lease, Purchase & Sublease, 6.90%,
due 7/1/15 370,045
--------------
6,273,982
--------------
POLLUTION CONTROL REVENUE (5.0%)
3,000,000 Fort Collins, CO, Pollution Control
Revenue Bonds, Anheuser Busch
Project, 6.00%, due 9/1/31 3,088,349
--------------
SINGLE FAMILY HOUSING REVENUE (24.6%)
2,140,000 Adams County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Series A-2, 8.70%, due 6/1/12 2,311,435
4,590,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series B-2, 7.45%, due
11/1/27 5,135,981
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
SINGLE FAMILY HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
480,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series B-2, 7.50%, due
12/1/16 $ 535,454
1,735,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series C-2, 7.45%, due
6/1/17 1,931,003
1,650,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Bonds, Series D-2, 7.10%, due
6/1/14 1,822,574
1,895,000 Colorado Housing Finance Authority,
Single Family Housing Revenue
Refunding Bonds, Series D-1,
Remarketed 7/15/94, 8.00%, due
12/1/24 2,147,338
1,000,000 Fremont County, CO, Single Family
Mortgage Revenue Refunding Bonds,
Series 1979 A, Escrowed to
maturity, 8.50%, due 10/1/10 1,263,090
--------------
15,146,875
--------------
SPORTS FACILITIES REVENUE (1.5%)
250,000 Summit County, CO, Sports Facilities
Revenue Refunding Bonds, Keystone
Resorts Management Project,
Ralston Purina Corporation LOC,
7.75%, due 9/1/06 300,435
500,000 Summit County, CO, Sports Facilities
Revenue Refunding Bonds, Keystone
Resorts Management Project,
Ralston Purina Corporation LOC,
7.375%, due 9/1/10 592,520
--------------
892,955
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPALS (continued)
<TABLE>
<C> <S> <C>
TRANSPORTATION REVENUE (7.1%)
2,000,000 Arapahoe County, CO, Capital
Improvements & Transportation
Highway Revenue Bonds, Series
E-470, 0.00% (6.977% effective
yield), due 8/31/10 $ 837,400
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 1,593,525
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 1,932,000
--------------
4,362,925
--------------
UTILITIES REVENUE (7.2%)
1,250,000 Arapahoe County, CO, Utilities
Revenue Bonds, Water & Wastewater
Authority Revenue, 6.25%, due
12/1/20 1,252,613
2,000,000 Colorado Springs, CO, Utility
Revenue Bonds, 6.10%, due 11/15/24 2,094,760
1,000,000 Upper Eagle Regional Water
Authority, CO, Water Revenue
Bonds, Water Refining &
Improvement, Eagle County, 6.375%,
due 12/1/10 1,068,870
--------------
4,416,243
--------------
TOTAL MUNICIPALS (COST $50,477,215) 53,041,691
--------------
SHORT-TERM HOLDINGS (13.7%)
2,708,278 Federated Tax-Free Obligations Money
Market Fund 2,708,278
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
SHORT-TERM HOLDINGS (continued)
<TABLE>
<C> <S> <C>
830,000 Greenwood South Metropolitan
District, CO, General Obligation
Refunding Bonds, MBIA insured,
4.25%, due 12/1/96 $ 830,033
2,927,799 Norwest Municipal Money Market Fund 2,927,799
1,930,000 Parkview Metropolitan District, CO,
Arapahoe County, General
Obligation Refunding Bonds, 3.85%
variable rate, due 12/1/12(p) 1,930,000
--------------
TOTAL SHORT-TERM HOLDINGS (COST $8,396,077) 8,396,110
--------------
TOTAL INVESTMENTS (100.0%) (COST $58,873,292)
$ 61,437,801
--------------
--------------
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (97.1%)
EDUCATION FACILITIES REVENUE (3.7%)
1,000,000 Minnesota Higher Education
Facilities Authority Revenue
Bonds, Hamline University, Series
4-I, 6.00%, due 10/1/16 $ 1,018,120
500,000 Minnesota Higher Education
Facilities Authority Revenue
Bonds, College of St. Benedict,
Series 3-W, 6.00%, due 3/1/07 526,650
--------------
1,544,770
--------------
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (4.5%)
100,000 Bloomington, MN, Tax Increment
General Obligation Bonds, 9.70%,
due 2/1/04 130,681
210,000 Bloomington, MN, Tax Increment
General Obligation Bonds, 9.75%,
due 2/1/07 275,213
100,000 Cannon Falls, MN, General Obligation
Bonds, Series A, 7.60%, due 2/1/03 103,911
1,100,000 Maple Grove, MN, General Obligation
Bonds, Series A, 5.20%, due 2/1/17 1,077,978
</TABLE>
[LOGO]
See Notes to Financial Statements.
55
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
GENERAL OBLIGATIONS--POLITICAL SUBDIVISION (continued)
<TABLE>
<C> <S> <C>
245,000 Waconia, MN, General Obligation
Water Revenue Bonds, 6.00%, due
6/1/07 $ 257,079
--------------
1,844,862
--------------
GENERAL OBLIGATIONS--SCHOOL DISTRICTS (29.7%)
1,675,000 Burnsville, MN, Independent School
District #191, General Obligation
Bonds, State Credit Enhancement
Program, Series A, 5.125%, due
2/1/17 1,643,912
1,000,000 Centennial, MN, Independent School
District #12, General Obligation
Bonds, Series A, 5.625%, due
2/1/16 1,025,360
500,000 Chaska, MN, Independent School
District #112, General Obligation
Bonds, State Credit Enhancement
Program, Series B, 6.00%, due
2/1/13 525,680
1,100,000 Detroit Lakes, MN, Independent
School District #22, General
Obligation Bonds, State Credit
Enhancement Program, 5.00%, due
4/1/16 1,063,524
1,500,000 Minneapolis, MN, Special School
District #1, General Obligation
Bonds, FGIC insured, 5.375%, due
2/1/14 1,508,745
1,500,000 Minnetonka, MN, Independent School
District #276, General Obligation
Bonds, State Credit Enhancement
Program, Series B, 5.75%, due
2/1/22 1,541,580
1,300,000 North St. Paul Maplewood, MN,
Independent School District #622,
General Obligation Refunding
Bonds, State Credit Enhancement
Program, 5.125%, due 2/1/20 1,260,480
<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>
1,000,000 St. Anthony, MN, Independent School
District #282, General Obligation
Bonds, State Credit Enhancement
Program, Series B, 5.70%, due
2/1/16 $ 1,017,870
1,000,000 St. Paul, MN, Independent School
District #625, Certificates of
Participation, Series C, 5.50%,
due 2/1/13 1,010,730
1,000,000 Todd Morrison & Stearns Counties,
MN, Independent School District
#2753, State Credit Enhancement
Program, 5.00%, due 4/1/14 972,250
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
2/1/08 706,108
--------------
12,276,239
--------------
HEALTH CARE REVENUE (24.7%)
200,000 Bemidji, MN, Hospital Facilities,
First Mortgage Revenue Bonds,
North Country Health Services
Project, Series 1991 A, 7.00%, due
9/1/11, Prerefunded 9/1/01 at 102 226,020
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 1,028,920
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 2/15/12 519,640
</TABLE>
[LOGO]
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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 $ 531,630
690,000 Glencoe, MN, Hospital Revenue Bonds,
6.625%, due 4/1/11 699,895
1,000,000 Hibbing, MN, Health Care Facilities
Revenue Bonds, Duluth Clinic Ltd.,
FSA insured, 5.50%, due 11/01/16 1,007,350
750,000 Mankato, MN, Hospital Facilities
Revenue Bonds, 1st
Mortgage-Immanuel St. Joseph's
Project, Series A, 6.30%, due
8/1/22 770,550
1,000,000 Minneapolis & St. Paul, MN, Housing
& Redevelopment Authority Health
Care System, Childrens Health Care
Revenue Refunding Bonds, Series A,
FSA insured, 5.70%, due 8/15/16 1,018,770
500,000 Minneapolis & St. Paul, MN, Housing
& Redevelopment Authority Health
Care System, Health Care Revenue
Refunding Bonds, Group Health
Plan, Inc. Project, 6.75%, due
12/1/13 547,835
600,000 Minneapolis & St. Paul, MN, Housing
and Redevelopment Authority Health
Care System, Health Care Revenue
Refunding Bonds, HealthOne
Obligated Group Project, Series A,
MBIA insured, 7.40%, due 8/15/11 668,430
500,000 Minneapolis, MN, Health Care
Facilities Revenue Bonds, Ebenezer
Society Project, Series A, 7.20%,
due 7/1/23 511,440
<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 Minneapolis, MN, Health Care
Facilities Revenue Bonds, Fairview
Hospital & Health Care, Series A,
MBIA insured, 5.25%, due 11/15/13 $ 980,730
115,000 Red Wing, MN, Health Care Facilities
Revenue Refunding Bonds, River
Region Obligated Group, Series
1993 B, 6.35%, due 9/1/07 119,907
1,000,000 Rochester, MN, Health Care
Facilities Revenue Bonds, Mayo
Medical Center, Series F, 6.25%,
due 11/15/21 1,057,370
500,000 Waconia, MN, Housing and
Redevelopment Authority Refunding
Revenue Bonds, The Evangelical
Lutheran Project, Series A, 5.85%,
due 6/1/06 518,630
--------------
10,207,117
--------------
SINGLE FAMILY HOUSING REVENUE (5.5%)
1,000,000 Minnesota Housing Finance Agency,
Single Family Mortgage Revenue
Bonds, Remarketed 8/12/92, 6.25%,
due 1/1/15 1,031,920
675,000 St. Paul, MN, Housing &
Redevelopment Authority, Single
Family Mortgage Revenue Refunding
Bonds, FNMA Mortgage Backed
Securities Program, FNMA insured,
6.25%, due 9/1/14, mandatory
extraordinary redemption at 100
3/1/07 702,392
500,000 Vadnais Heights, MN, Single Family
Housing Mortgage Revenue Refunding
Bonds, 6.00%, due 11/1/09 516,795
--------------
2,251,107
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
57
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
MULTI-FAMILY HOUSING REVENUE (12.2%)
200,000 Edina, MN, Health Care Facilities,
Nursing Home Revenue Bonds,
Volunteers of America Care
Project, 7.75%, due 3/1/15 $ 203,922
1,000,000 Minneapolis & St. Paul, MN, Housing
& Redevelopment Authority Health
Care System, Healthspan, Series A,
AMBAC insured, 5.00%, due 11/15/13 956,440
640,000 Minnesota Housing Finance Agency,
Housing Development Revenue Bonds,
6.25%, due 2/1/20 646,822
550,000 Minnesota Housing Finance Agency,
Housing Development Revenue Bonds,
Series A, 6.85%, due 2/1/07 581,625
700,000 Minnesota Housing Finance Agency,
Multi-Family Housing Revenue
Bonds, 6.375%, due 2/1/20 707,560
605,000 Minnesota Housing Finance Agency,
Rental Housing Revenue Bonds,
Series B, 6.25%, due 8/1/22 611,213
500,000 Minnesota Housing Finance Agency,
Rental Housing Revenue Bonds,
Series D, MBIA insured, 5.90%, due
8/1/15 510,690
750,000 Moorhead, MN, Economic Development
Authority, Multi-Family Revenue
Bonds, Eventide Project, Series A,
8.00%, due 9/1/11 802,988
--------------
5,021,260
--------------
OTHER REVENUE (3.1%)
250,000 Duluth, MN, Gross Revenue Bonds,
Spirit Mountain Recreation Area,
Series 1992, 6.40%, due 2/1/03 260,623
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
OTHER REVENUE (continued)
<TABLE>
<C> <S> <C>
1,000,000 Minnesota Iron Range Resources &
Rehabilitation Gross Revenue
Bonds, Giants Ridge Recreational
Area, 7.25%, due 10/1/11 $ 1,000,610
--------------
1,261,233
--------------
POLLUTION CONTROL REVENUE (6.4%)
500,000 Cloquet, MN, Pollution Control
Revenue Bonds, Potlatch
Corporation Project, 5.90%, due
10/1/26 505,390
875,000 Minnesota Public Facilities
Authority, Water Pollution Control
Revenue Bonds, Series A, 6.50%,
due 3/1/14 952,453
1,000,000 Minnesota Public Facilities
Authority, Water Pollution Control
Revenue Bonds, Series A, 7.00%,
due 3/1/05 1,166,580
--------------
2,624,423
--------------
POWER REVENUE (7.3%)
1,135,000 Northern Minnesota Municipal Power
Agency, Electric System Revenue
Bonds, Series A, 5.00%, due 1/1/21 1,044,779
4,000,000 Southern Minnesota Municipal Power
Agency, Power Supply System
Revenue Refunding Bonds, MBIA
insured, 0.00% (5.885% effective
yield), due 1/1/25 839,560
1,000,000 Southern Minnesota Municipal Power
Agency, Power Supply System
Revenue Refunding Bonds, Series B,
5.00%, due 1/1/13 948,040
</TABLE>
[LOGO]
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
POWER REVENUE (continued)
<TABLE>
<C> <S> <C>
200,000 Southern Minnesota Municipal Power
Agency, Power Supply System
Revenue Refunding Bonds, Series B,
5.75%, due 1/1/18 $ 200,180
--------------
3,032,559
--------------
TOTAL MUNICIPAL BONDS (COST $38,582,638) 40,063,570
--------------
SHORT-TERM HOLDINGS (2.9%)
1,215,907 Norwest Municipal Money Market Fund
(cost $1,215,907) 1,215,907
--------------
TOTAL INVESTMENTS (100.0%) (COST $39,798,545)
$ 41,279,477
--------------
--------------
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME FUND INVESTMENT STYLE (14.9%)
ASSET BACKED SECURITIES (3.5%)
382,098 AFC Home Equity Loan Trust Series
1995-2 A1, 7.44% variable rate,
due 7/25/26 $ 385,583
505,494 Bear Stearns Secured Investors
Trust, Series 1991-2 H, 7.50%, due
9/20/20 512,100
123,750 General Motors Acceptance
Corporation Grantor Trust, Series
1992-F A, 4.50%, due 9/15/97 123,646
226,705 General Motors Acceptance
Corporation Grantor Trust, Series
1993-B A, 4.00%, due 9/15/98 226,272
26,976 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 27,010
500,000 Green Tree Financial Corporation,
Series 1993-3 A3, 5.20%, due
10/15/18 497,710
161,273 Green Tree Financial Corporation,
Series 1994-4 A1, 6.55%, due
7/15/19 162,080
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
337,163 Small Business Administration
Adjustable Rate Pool 500806,
6.75%, due 2/25/14 $ 342,221
107,345 Small Business Administration
Adjustable Rate Pool 501017,
6.625%, due 9/25/14 109,358
259,554 Small Business Administration
Adjustable Rate Pool 503249,
8.125%, due 4/25/07 270,585
291,828 Small Business Administration
Adjustable Rate Pool 503250,
9.475%, due 3/25/09 318,092
248,313 Small Business Administration
Adjustable Rate Pool 503398,
8.625%, due 5/25/13 271,282
488,064 Small Business Administration
Adjustable Rate Pool 503405,
8.625%, due 5/25/13 528,939
498,507 Structured Asset Securities
Corporation, Series 1996-C1 A,
5.625% variable rate, 10/25/10 497,007
--------------
TOTAL ASSET BACKED SECURITIES (COST $4,283,422)
4,271,885
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.2%)
900,000 Federal Home Loan Bank, Series
DU-98, 4.597%, due 8/3/98 883,877
475,113 Federal Home Loan Mortgage
Corporation, 5.75%, due 1/15/08 462,541
330,965 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 332,971
500,000 Federal Home Loan Mortgage
Corporation, Series 1625, 5.50%,
due 7/15/04 497,865
210,314 Federal National Mortgage
Association Swap Trust, Series
1994-1 A1, 5.7625% variable rate,
due 10/1/04 210,326
</TABLE>
[LOGO]
See Notes to Financial Statements.
59
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
301,542 Maryland National Bank Mortgage
Pass-thru Certificates, 9.50%, due
10/15/20 $ 302,302
310,333 MLCC Mortgage Investors, Inc.,
Series 1994 B Class A1, 5.90%
variable rate, due 12/15/19 311,111
625,624 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 633,765
522,961 Resolution Trust Corporation, Series
1992-18P A4, 6.45% variable rate,
due 4/25/28 522,319
482,675 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate
due 10/25/21 486,759
930,346 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate
due 8/25/23 932,699
800,290 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
7/25/30 809,637
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$6,347,368) 6,386,172
--------------
CORPORATE BONDS & NOTES (0.6%)
300,000 Chrysler Financial Corporation,
6.26%, due 7/20/98 302,136
500,000 Merrill Lynch CBO Series 1996 P1,
6.105% variable rate, due 7/7/06 500,885
--------------
TOTAL CORPORATE BONDS & NOTES (COST $804,903)
803,021
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.4%)
500,000 Federal Home Loan Bank, Structured
Note, 4.65% variable rate, due
3/11/98 (cost $486,910) 493,301
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (1.7%)
463,633 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 318464, 7.324%, due
4/1/25 $ 477,787
723,835 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 321051, 7.709%, due
8/1/25 749,293
460,995 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 331866, 5.841%, due
12/1/25 472,660
357,081 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 46698, variable
rate 7.131%, due 12/1/15 367,493
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $2,032,929)
2,067,233
--------------
MUNICIPAL BONDS (0.7%)
330,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 331,452
500,000 Utah State School District Financial
Corporation Revenue Bonds, 6.9%,
due 2/15/10, Putable 8/14/98 at
100 506,418
--------------
TOTAL MUNICIPAL BONDS (COST $847,830) 837,870
--------------
RECEIVABLES BACKED SECURITIES (1.0%)
269,884 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due
10/15/98 269,333
453,224 First Merchants Grantor Trust,
Series 1996-2 A, 6.85%, due
11/15/01 456,166
183,541 Honda Auto Receivables Grantor
Trust, Series 1994-A A, 4.80%, due
8/15/99 183,337
</TABLE>
[LOGO]
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
336,513 The Money Store Home Equity Trust,
Series 1996-B A12, 6.54%, due
1/15/02 $ 339,701
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$1,238,208) 1,248,537
--------------
REPURCHASE AGREEMENTS (0.8%)
1,013,885 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$1,014,362 (cost $1,013,885)(c) 1,013,885
--------------
U.S. TREASURY OBLIGATIONS (1.0%)
1,250,000 U.S. Treasury Notes, 5.875%, due
2/15/04 (cost $1,211,915)(b) 1,244,141
--------------
TOTAL STABLE INCOME FUND INVESTMENT STYLE (COST
$18,267,370 ) 18,366,045
--------------
MANAGED FIXED INCOME INVESTMENT STYLE (15.3%)
ASSET BACKED SECURITIES (1.3%)
400,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 410,840
600,000 Green Tree Financial Corporation,
Series 1995-5 A5, 6.55%, due
9/15/26 613,902
515,719 Structured Asset Securities
Corporation, 7.05%, due 11/25/07 526,453
--------------
TOTAL ASSET BACKED SECURITIES (COST $1,509,365)
1,551,195
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.7%)
308,031 CMC Securities Corporation II,
Series 1993-2I A2, 7.13%, due
9/25/23 311,646
435,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 442,747
350,000 Federal Home Loan Mortgage
Corporation, Series 1992 1374 B,
7.00%, due 6/15/15 351,183
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
144,887 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 $ 148,065
480,752 L.F. Rothschild, 9.95%, due 8/1/17 532,594
403,045 Resolution Trust Corporation, Series
1992-4 A2, variable rate 7.65%,
due 7/25/28 412,687
200,000 Resolution Trust Corporation, Series
1995 1 class A2C, 7.50%, due
10/25/28 202,719
1,000,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 1,000,621
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$3,274,502) 3,402,262
--------------
CORPORATE BONDS & NOTES (7.3%)
400,000 Applied Materials, 7.00%, due 9/6/05 407,846
500,000 Cargill, Inc., 8.35%, due 2/12/11 549,647
200,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 197,547
400,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 440,366
500,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 495,625
400,000 Citicorp, 9.50%, due 2/1/02 454,628
400,000 CIT Group Holdings, 6.15%, due
12/15/02 398,812
100,000 Coca Cola Bottling Co., 6.85%, due
11/1/07 99,912
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 10/15/03 241,518
300,000 Dean Witter Discover, 6.25%, due
3/15/00 301,051
250,000 FBS Capital I, 8.09%, due 11/15/26 259,020
200,000 Federal Express Corporation, 6.25%,
due 4/15/98 200,669
200,000 Fina Oil & Chemical, 6.875%, due
7/15/01 204,582
</TABLE>
[LOGO]
See Notes to Financial Statements.
61
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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>
200,000 First Bank N.A., 6.00%, due 10/15/03 $ 195,239
200,000 Fletcher Challenge Cap Can, 7.75%,
due 6/20/06 212,306
400,000 Heller Financial, 7.875%, due
11/1/99 418,246
250,000 International Lease Finance, 6.43%,
due 3/1/00 253,014
300,000 Lucent Technologies Inc, 6.90%, due
7/15/01 308,780
200,000 May Department Stores, 9.875%, due
6/15/00 223,267
100,000 Norcen Energy Resources, 7.375%, due
5/15/06 104,025
500,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 508,355
250,000 Philips Electronics, 6.75, due
8/15/03 252,164
250,000 Potomac Capital Investment
Corporation, 7.32%, due 4/14/00 256,535
500,000 Reinsurance Group of America, 7.25%,
due 4/1/06 513,125
250,000 Royal Carribbean Cruises, 7.125%,
due 9/18/02 255,700
300,000 Terra Nova Holdings, 10.75%, due
7/1/05 341,890
100,000 Texas Instrument, 6.875%, due
7/15/00(b) 102,308
500,000 Tyco International Ltd., 6.50%, due
11/1/01 503,212
--------------
TOTAL CORPORATE BOND & NOTES (COST $8,872,722)
9,130,389
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
700,000 Federal National Mortgage
Association, 7.55% variable rate,
due 7/23/97(b) (cost $658,294) 707,050
--------------
MORTGAGE BACKED SECURITIES (1.3%)
250,000 Federal Home Loan Mortgage
Corporation, Series 1832 D, 6.50%,
due 6/15/08 252,201
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
502,873 Federal National Mortgage
Association, Pool 342042, 7.307%
variable rate due 6/1/25 $ 518,178
305,110 Federal National Mortgage
Association, Pool 344689, 7.435%,
due 11/1/25 314,583
500,000 Government National Mortgage
Association, 7.00%, due 8/16/17 503,515
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $1,560,189)
1,588,477
--------------
RECEIVABLES BACKED SECURITIES (0.5%)
300,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 309,342
300,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 316,422
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$614,578) 625,764
--------------
U.S. TREASURY OBLIGATIONS (1.2%)
1,000,000 U.S. Treasury Notes, 7.75%, due
2/15/01 1,072,187
1,750,000 U.S. Treasury Notes, 6.50%, due
8/15/05 412,374
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $1,466,812)
1,484,561
--------------
ZERO COUPON SECURITIES (0.4%)
500,000 Resolution Funding Corporation
STRIP, due 4/15/00(b)(h) (cost
$344,210) 412,820
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$18,300,672) 18,902,518
--------------
POSITIVE RETURN INVESTMENT STYLE (14.9%)
ASSET BACKED SECURITIES (0.6%)
702,361 Premier Auto Trust, 5.445% variable
rate, due 9/6/98 (cost $702,361) 703,239
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
CERTIFICATES OF DEPOSIT (1.6%)
1,000,000 Deutsche Bank, 5.62%, due 1/15/97 $ 999,888
1,000,000 Toronto Dominion Bank, 5.17%, due
1/17/97 999,476
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $1,996,853)
1,999,364
--------------
GOVERNMENT AGENCY BONDS & NOTES (1.6%)
1,000,000 Federal Farm Credit Bank, 5.40%
variable rate, due 7/1/97 1,000,116
1,000,000 Federal National Mortgage
Association, 5.37% variable rate,
due 6/11/97 999,775
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$1,999,460) 1,999,891
--------------
CORPORATE BONDS & NOTES (0.6%)
750,000 Morgan Guaranty Trust Company, 5.31%
variable rate, due 8/21/98 (cost
750,000) 750,488
--------------
RECEIVABLE BACKED SECURITIES (3.6%)
1,133,334 Bombardier Receivables Master Trust
I Series 1994-1 A, 5.60% variable
rate, due 3/15/99 1,133,674
1,000,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,000,460
937,500 Chevy Chase Master Credit Card
Trust, variable rate 5.575%, due
10/15/99 939,366
311,929 IBM Credit Receivables Lease Asset
Master Trust, Series 1993-1 A,
4.55%, due 11/15/00 310,204
1,000,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.535% variable
rate, due 9/15/00 1,000,260
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$4,383,050) 4,383,964
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (3.6%)
4,433,012 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$4,435,099 (cost $4,433,012)(c) $ 4,433,012
--------------
U.S. TREASURY OBLIGATIONS (3.3%)
2,400,000 U.S. Treasury Bills, 5.46% yield,
due 1/9/97 2,387,558
700,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 680,093
875,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 991,485
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $4,067,092)
4,059,136
--------------
TOTAL POSTIVE RETURN INVESTMENT STYLE (COST
$18,331,828) 18,329,094
--------------
TOTAL RETURN BOND INVESTMENT STYLE (14.9%)
GOVERNMENT AGENCY BOND & NOTES (0.8%)
175,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 175,318
75,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 75,946
225,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 224,471
200,000 Federal National Mortgage
Association, 5.89%, due 11/13/98 200,527
225,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 225,504
90,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 90,000
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$990,330) 991,766
--------------
CORPORATE BONDS & NOTES (2.8%)
500,000 AMR Corporation, 7.47%, due 1/28/97 501,371
425,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 425,314
</TABLE>
[LOGO]
See Notes to Financial Statements.
63
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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>
550,000 General Motors Acceptance
Corporation, Medium Term Notes,
5.625%, due 10/19/98 $ 547,829
500,000 Houston Industries, Inc., 7.25%, due
12/1/96 500,000
180,000 McDermott International, Inc.,
6.50%, due 4/23/98 180,315
275,000 McDermott International, Inc.,
7.94%, due 6/25/97 277,596
200,000 National Rural Utilities
Corporation, 9.64%, due 5/19/97 203,673
500,000 Salomon, Inc., 5.34%, due 12/17/96 499,927
280,000 USX Corporation, 8.875%, due 9/15/97 286,249
--------------
TOTAL CORPORATE BONDS & NOTES (COST $3,450,556)
3,422,274
--------------
MORTGAGE BACKED SECURITIES (1.7%)
455,487 Government National Mortgage
Association, Pool 352001, 6.50%,
due 12/15/23 446,677
463,791 Government National Mortgage
Association, Pool 354665, 6.50%,
due 10/15/23 454,821
236,247 Government National Mortgage
Association, Pool 354692, 6.50%,
due 11/15/23 231,678
454,691 Government National Mortgage
Association, Pool 376400, 6.50%,
due 2/15/24 445,564
465,991 Government National Mortgage
Association, Pool 780144, 7.00%,
due 7/15/24 466,424
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $1,948,431)
2,045,164
--------------
REPURCHASE AGREEMENTS (0.2%)
306,242 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$306,386 (cost $306,242)(c) 306,242
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (9.4%)
25,000 U.S. Treasury Bonds, 8.75%, due
11/15/97 $ 31,836
1,200,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 1,479,751
450,000 U.S. Treasury Bonds, 6.875%, due
5/15/06 475,734
975,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 1,165,735
600,000 U.S. Treasury Notes, 8.875%, due
11/15/98 636,000
1,025,000 U.S. Treasury Notes, 7.125%, due
2/29/00 1,066,642
1,375,000 U.S. Treasury Notes, 6.875%, due
3/31/00 1,421,837
400,000 U.S. Treasury Notes, 8.875%, due
5/15/00 439,125
250,000 U.S. Treasury Notes, 6.25%, due
5/31/00 253,906
1,450,000 U.S. Treasury Notes, 6.125%, due
7/31/00 1,467,220
975,000 U.S. Treasury Notes, 8.75%, due
8/15/00 1,070,977
250,000 U.S. Treasury Notes, 8.00%, due
5/15/01 271,406
375,000 U.S. Treasury Notes, 7.25%, due
8/15/04 403,828
1,750,000 U.S. Treasury Notes, 6.50%, due
8/15/05 1,391,765
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $11,628,004)
11,575,762
--------------
TOTAL RETURN BOND INVESTMENT STYLE (COST
$18,323,563) 18,341,208
--------------
INCOME EQUITY INVESTMENT STYLE (7.5%)
COMMON STOCKS (7.5%)
BUSINESS SERVICES (0.1%)
4,500 Cognizant Corporation(a) 155,250
--------------
CHEMICALS & ALLIED PRODUCTS (0.5%)
3,500 E.I. du Pont de Nemours & Company 329,875
5,500 Morton International, Inc. 222,063
--------------
551,938
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
COMMUNICATIONS (0.4%)
4,600 AT&T Corporation $ 180,550
5,600 GTE Corporation 251,300
--------------
431,850
--------------
DEPOSITORY INSTITUTIONS (0.4%)
3,500 First Bank System, Inc.(b) 255,063
2,700 J.P. Morgan & Company, Inc. 254,813
--------------
509,876
--------------
EATING & DRINKING PLACES (0.1%)
3,500 McDonald's Corporation 163,625
--------------
ELECTRIC, GAS, & SANITARY SERVICES (0.7%)
4,400 Consolidated Natural Gas Company 251,351
1,900 FPL Group, Inc. 87,638
3,100 Pacific Gas & Electric Company(b) 74,788
5,300 Public Service Enterprise Group,
Inc. 151,712
2,100 Texas Utilities Company 82,950
5,600 WMX Technologies, Inc. 201,600
--------------
850,039
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (0.8%)
2,600 Emerson Electric Company 255,125
2,600 General Electric Company 270,400
5,000 Honeywell, Inc. 343,125
1,491 Lucent Technologies, Inc.(b) 76,413
--------------
945,063
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.1%)
4,500 Dun & Bradstreet Corporation 101,812
--------------
FOOD & KINDRED PRODUCTS (0.4%)
5,600 PepsiCo, Inc. 167,300
2,100 Procter & Gamble Company 228,375
3,000 Sara Lee Corporation 117,750
--------------
513,425
--------------
GENERAL MERCHANDISE STORES (0.4%)
5,200 Dayton Hudson Corporation 202,150
300 J.C. Penney Company, Inc.(b) 16,125
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
GENERAL MERCHANDISE STORES (continued)
<TABLE>
<C> <S> <C>
2,800 May Department Stores Company(a) $ 136,500
2,600 Sears Roebuck and Company 129,350
--------------
484,125
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.3%)
13,300 Hewlett-Packard Company 377,125
--------------
INSURANCE CARRIERS (0.1%)
3,800 American General Corporation 156,275
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.2%)
3,000 Eastman Kodak Company 243,000
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.4%)
4,000 American Express Company 209,000
3,300 Transamerica Corporation 261,937
--------------
470,937
--------------
OIL & GAS EXTRACTION (0.2%)
2,500 Schlumberger, Ltd. 260,000
--------------
PAPER & ALLIED PRODUCTS (0.2%)
3,400 Minnesota Mining & Manufacturing
Company 284,750
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.8%)
1,300 Atlantic Richfield Company 180,862
3,200 Chevron Corporation 214,400
2,500 Exxon Corporation 236,562
1,400 Mobil Corporation 169,400
1,000 Royal Dutch Petroleum Company ADR 169,875
--------------
971,099
--------------
PHARMACEUTICAL PREPARATIONS (0.7%)
3,600 American Home Products Corporation 231,300
4,100 Johnson & Johnson 217,812
2,700 Merck & Company, Inc.(b) 224,100
4,900 Pfizer, Inc. 179,250
--------------
852,462
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.1%)
5,600 Deluxe Corporation 173,600
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
65
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
TOBACCO PRODUCTS (0.4%)
3,500 American Brands, Inc. $ 167,125
4,500 Philip Morris Companies, Inc. 268,125
--------------
435,250
--------------
TRANSPORTATION EQUIPMENT (0.2%)
2,000 United Technologies Corporation 280,500
--------------
TOTAL COMMON STOCKS (COST $5,802,776) 9,212,001
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$5,802,776) 9,212,001
--------------
INDEX INVESTMENT STYLE (7.6%)
250,843 Index Portfolio of Core Trust
(Delaware)(k) 9,326,647
--------------
TOTAL INDEX INVESTMENT STYLE (COST $5,531,945) 9,326,647
--------------
LARGE COMPANY GROWTH INVESTMENT STYLE (7.5%)
COMMON STOCKS (7.3%)
AMUSEMENT & RECREATION SERVICES (0.1%)
2,300 Walt Disney Company 169,625
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
1,900 Cintas Corporation 115,425
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.3%)
4,500 Home Depot, Inc. 234,562
4,400 Lowe's Companies, Inc. 178,750
--------------
413,312
--------------
BUSINESS SERVICES (0.8%)
2,900 DST Systems, Inc.(a) 93,887
4,300 Electronic Data Systems Corporation 208,012
11,000 First Data Corporation(b) 438,625
3,500 Fiserv, Inc.(a) 132,125
2,100 Sungard Data Systems Inc.(a) 88,200
--------------
960,849
--------------
COMPUTER SOFTWARE (0.5%)
4,300 Microsoft Corporation(a) 674,562
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.3%)
5,500 Intel Corporation $ 697,812
4,456 Molex Inc., Class A 157,074
3,200 Motorola, Inc. 177,200
3,000 Solectron Corporation(a)(b) 175,500
11,300 Telfonaktiebolaget LM Ericsson,
Series B, Sponsored ADR 348,887
--------------
1,556,473
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES
(0.2%)
2,500 Gartner Group, Inc.(b) 91,250
2,650 Paychex, Inc. 141,775
--------------
233,025
--------------
FOOD & KINDRED PRODUCTS (0.3%)
7,000 Coca-Cola Company 357,875
--------------
HEALTH SERVICES (0.4%)
6,850 Columbia/HCA Healthcare
Corporation(b) 274,000
2,600 HBO & Company 147,875
1,200 IDEXX Laboratories, Inc.(a) 42,000
--------------
463,875
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.4%)
4,300 Franklin Resources, Inc. 307,450
5,400 T. Rowe Price 195,075
--------------
502,525
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.6%)
5,400 Cisco Systems Inc.(a) 366,525
13,300 Hewlett-Packard Company 339,412
--------------
705,937
--------------
INSURANCE CARRIERS (0.4%)
4,250 American International Group, Inc. 488,750
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.2%)
4,600 Medtronic, Inc. 304,175
--------------
MISCELLANEOUS RETAIL (0.5%)
7,200 Autozone, Inc. 177,300
</TABLE>
[LOGO]
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
6,000 Office Depot, Inc.(a) $ 117,000
7,900 Petsmart, Inc.(a)(b) 201,450
7,300 Staples, Inc.(a)(b) 144,175
--------------
639,925
--------------
PHARMACEUTICAL PREPARATIONS (0.3%)
2,400 Amgen, Inc.(a) 146,100
4,900 Pfizer, Inc. 259,912
--------------
406,012
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.5%)
15,800 Charles Schwab Corporation 475,976
2,700 Donaldson, Lufkin & Jenrette, Inc. 96,190
--------------
572,166
--------------
TOBACCO PRODUCTS (0.2%)
4,500 Philip Morris Companies, Inc. 195,937
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.2%)
3,500 Corporate Express, Inc.(a)(b) 98,000
2,900 Viking Office Products, Inc.(a) 90,806
--------------
188,806
--------------
TOTAL COMMON STOCKS (COST $6,100,651) 8,949,254
--------------
REPURCHASE AGREEMENTS (0.2%)
252,589 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$252,707 (cost $252,589)(c) 252,589
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$6,353,803) 9,201,843
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (3.0%)
104,206 Small Company Portfolio of Core
Trust (Delaware)(k) 3,703,551
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$3,041,376) 3,703,551
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
INTERNATIONAL INVESTMENT STYLE (4.4%)
219,527 International Portfolio II of Core
Trust (Delaware)(k) $ 5,450,704
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$4,707,399) 5,450,704
--------------
SHORT MATURITY INVESTMENT STYLE (10.0%)
COMMERCIAL PAPER (2.5%)
500,000 Apex Funding Corporation, 5.556%
yield, due 4/30/97(d) 499,945
500,000 Anchor Funding Corporation, 5.649%
yield, due 1/24/97(d) 495,879
558,000 Barton Capital Corporation, 5.37%,
due 4/15/97(d) 557,897
500,000 Orix America, Inc., Industrial Bank
of Japan Ltd. LOC, 4.30%, due
2/27/97 493,377
500,000 Tri-Lateral Capital, Inc., 5.495%
yield, due 1/6/97(d) 497,273
500,000 Yamaha Motor Owner Trust, 5.423%
yield, due 12/16/96(d) 498,950
--------------
TOTAL COMMERCIAL PAPER (COST $3,020,794) 3,043,321
--------------
CORPORATE BOND & NOTES (2.5%)
500,000 Asset Backed Trust 1995 Series A-3,
5.80% variable rate, due
4/15/97(d) 500,010
500,000 Bank America Corporation, 5.792%
variable rate, due 5/4/00 502,505
500,000 Citicorp Medium Term Notes, Series
A, 8.50%, due 2/11/97 502,720
500,000 Ford Motor Credit Medium Term Note,
5.46% variable rate, due 6/13/97 499,768
500,000 Province of Quebec, 8.78%, due
3/30/98 518,393
500,000 Unum Corporation, 6.53%, due 11/3/97 503,515
--------------
TOTAL CORPORATE BONDS & NOTES (COST $3,030,058)
3,026,911
--------------
GOVERNMENT AGENCY BONDS & NOTES (1.0%)
150,000 Federal Farm Credit Bank, 5.78%
variable rate, due 11/19/97 $ 150,569
</TABLE>
[LOGO]
See Notes to Financial Statements.
67
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
GOVERNMENT AGENCY BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,000,000 Federal National Mortgage
Association, 4.59% variable rate,
due 2/25/98 992,465
100,000 Federal National Mortgage
Association, 4.80% variable rate,
due 6/4/09 99,424
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$1,232,434) 1,242,458
--------------
REPURCHASE AGREEMENTS (4.0%)
4,982,654 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$4,985,000 (cost $4,982,654)(c) 4,982,654
--------------
TOTAL SHORT MATURITY INVESTMENT STYLE (COST
$12,265,940) 12,295,344
--------------
TOTAL INVESTMENTS (100.0%) (COST $110,926,672)
$123,128,955
--------------
--------------
- ----------------------------------------------------
MODERATE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME INVESTMENT STYLE (14.7%)
ASSET BACKED SECURITIES (2.1%)
895,542 AFC Home Equity Loan Trust Series
1995-2 A1, 7.1577% variable rate,
due 7/25/26 $ 903,711
1,083,200 Bear Stearns Secured Investors
Trust, Series 1991-2 H, 7.50%, due
9/20/20 1,097,357
248,134 General Motors Acceptance
Corporation Grantor Trust, Series
1992-F A, 4.50%, due 9/15/97 247,926
472,302 General Motors Acceptance
Corporation Grantor Trust, Series
1993-B A, 4.00%, due 9/15/98 471,400
1,481,359 General Motors Acceptance
Corporation, Series 1996 C1 A1,
5.912% variable rate, due 10/15/28 $ 1,481,359
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
74,933 Green Tree Financial Corporation,
Series 1993-3 A2, 4.90%, due
10/15/18 75,027
1,660,000 Green Tree Financial Corporation,
Series 1993-3 A3, 5.20%, due
10/15/18 1,652,397
318,936 Small Business Administration
Adjustable Rate, Pool 500806,
6.75%, due 2/25/14 323,720
107,345 Small Business Administration
Adjustable Rate, Pool 501017,
6.625%, due 9/25/14 109,358
192,416 Small Business Administration
Adjustable Rate, Pool 503249,
8.125%, due 4/25/07 200,595
291,827 Small Business Administration
Adjustable Rate, Pool 503250,
9.475%, due 3/25/09 318,093
248,313 Small Business Administration
Adjustable Rate, Pool 503398,
8.625%, due 5/25/13 271,283
488,063 Small Business Administration
Adjustable Rate, Pool 503405,
8.625%, due 5/25/13 528,940
1,495,519 Structured Asset Securities
Corporation, Series 1996-C1 A,
5.625% variable rate, 10/25/10 1,491,019
--------------
TOTAL ASSET BACKED SECURITIES (COST $9,164,677)
9,172,185
--------------
COLLATERALIZED MORTGAGE OBLIGATION (5.8%)
2,350,000 Federal Home Loan Bank, Series
DU-98, 4.597%, due 8/3/98(b) 2,307,900
1,781,673 Federal Home Loan Mortgage
Corporation, 5.75%, due 1/15/08 1,734,530
827,412 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 832,426
1,000,000 Federal Home Loan Mortgage
Corporation, Series 1625, 5.50%,
due 7/15/04 $ 995,730
</TABLE>
[LOGO]
See Notes to Financial Statements.
68
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATION (continued)
<TABLE>
<C> <S> <C>
2,000,000 Federal National Mortgage
Association, Series 1993-214 D,
5.25%, due 8/25/04 1,977,670
3,365,018 Federal National Mortgage
Association Swap Trust, Series
1994-1 A1, 5.8875% variable rate,
due 10/1/04 3,365,220
672,389 Merrill Lynch Credit Corporation
Mortgage Investors, Inc., Series
1994-B A1, 5.8875% variable rate,
due 12/15/19 674,074
1,077,305 Maryland National Bank Mortgage
Pass-thru Certificates, 9.50%, due
10/15/20 1,080,019
1,668,329 Resolution Trust Corporation, Series
1992-7 A2D, 8.35%, due 6/25/29 1,690,039
1,275,650 Resolution Trust Corporation, Series
1992-18P A4, 6.45% variable rate,
due 4/25/28(d) 1,274,086
3,378,724 Resolution Trust Corporation, Series
1992-C2 A2, 6.4375% variable rate,
due 10/25/21 3,407,312
2,791,037 Resolution Trust Corporation, Series
1992-C3 A3, 6.5875% variable rate,
due 8/25/23 2,798,095
559,829 Resolution Trust Corporation, Series
1992-CHF A2, 6.4675% variable
rate, due 12/25/20 560,107
2,089,647 Resolution Trust Corporation, Series
1992-M3 A4, 7.20% variable rate,
due 7/25/30 2,114,054
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$24,694,609) 24,811,262
--------------
CORPORATE BONDS & NOTES (0.7%)
1,000,000 Chrysler Financial Corporation,
6.26%, due 7/20/98 1,007,119
1,043,000 Lehman Brothers Holdings, 8.875%,
due 11/1/98 1,094,050
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
1,000,000 Merrill Lynch CBO Series 1996 P1,
6.105% variable rate, due 7/7/06 $ 1,001,769
--------------
TOTAL CORPORATE BONDS & NOTES (COST $3,113,447)
3,102,938
--------------
GOVERNMENT AGENCY BONDS & NOTES (1.2%)
1,200,000 Federal Farm Credit Bank, Structured
Note, 4.65% variable rate, due
3/2/98 1,184,336
2,000,000 Federal Home Loan Bank, 7.11%, due
7/8/99(b) 2,063,376
1,000,000 Federal Home Loan Mortgage
Corporation, Structured Note,
4.65% variable rate, due 3/11/98 986,602
1,000,000 Federal National Mortgage
Association, 8.70%, due 6/10/99 1,067,975
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$5,255,975) 5,302,289
--------------
MORTGAGE BACKED SECURITIES (1.7%)
1,586,150 Federal Home Loan Mortgage
Corporation Adjustable Rate
Mortgage, Pool 845151, 7.23%, due
6/1/22 1,633,222
1,687,472 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 220706, 7.629%, due
6/1/23 1,746,681
2,516,010 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 318464, 7.324%, due
4/1/25 2,592,824
1,170,218 Federal National Mortgage
Association Adjustable Rate
Mortgage, Pool 331866, 5.841%, due
12/1/25 1,199,830
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $7,082,057)
7,172,557
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
69
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (0.5%)
885,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County Guaranteed, 6.02%, due
6/30/97 $ 888,894
1,100,000 Utah State School District Financial
Corporation Revenue Bonds, 6.90%,
due 2/15/10, putable 8/14/98 at
100 1,114,119
--------------
TOTAL MUNICIPAL BONDS (COST $2,024,226) 2,003,013
--------------
RECEIVABLES BACKED SECURITIES (1.0%)
461,734 Daimler-Benz Auto Grantor Trust,
Series 1993-A A, 3.90%, due
10/15/98 460,793
1,133,059 First Merchants Grantor Trust,
Series 1996-2 A, 6.85%, due
11/15/01 1,140,416
1,000,000 Signet Credit Card Master Trust,
Series 1994-4 A, 6.80%, due
12/15/00 1,010,580
1,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 1,054,740
785,197 The Money Store Home Equity Trust,
Series 1996-B A12, 6.54%, due
1/15/02 792,634
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$4,428,302) 4,459,163
--------------
REPURCHASE AGREEMENTS (0.5%)
1,191,989 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$1,192,550(c) 1,191,989
1,191,989 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$1,192,550(c) 1,191,989
--------------
TOTAL REPURCHASE AGREEMENTS (COST $2,383,978)
2,383,978
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (1.2%)
5,000,000 U.S. Treasury Note, 8.00%, due
8/15/99 (cost $5,265,875)(b) $ 5,287,500
--------------
TOTAL STABLE INCOME INVESTMENT STYLE (COST
63,413,146) 63,694,885
--------------
MANAGED FIXED INCOME INVESTMENT STYLE (13.5%)
ASSET BACKED SECURITIES (0.3%)
1,100,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 (cost 1,128,531) 1,129,810
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.0%)
1,334,799 CMC Securities Corporation II,
Series 1993-2I A2, 7.04285%
variable rate, due 9/25/23 1,350,468
1,781,673 Federal Home Loan Mortgage
Corporation, 5.75%, due 1/15/08 1,734,531
1,000,000 Federal Home Loan Mortgage
Corporation, Pool 1634 PE, 5.75%,
due 6/15/18 991,937
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 916,030
900,000 Federal Home Loan Mortgage
Corporation, Series 1992 1374 B,
7.00%, due 6/15/15 903,043
289,773 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 296,131
499,851 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, due 8/20/13 524,423
686,789 L.F. Rothschild, 9.95%, due 8/1/17 760,849
862,451 Resolution Trust Corporation, Series
1991-14 A1, 7.4373% variable rate,
due 1/25/22 872,843
837,503 Resolution Trust Corporation, Series
1991-M5 A, 9.00%, due 3/25/17 894,947
</TABLE>
[LOGO]
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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>
806,089 Resolution Trust Corporation, Series
1992-4 A2, 7.52093% variable rate,
due 7/25/28 $ 825,374
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 608,158
2,100,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 2,101,302
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$12,455,325) 12,780,036
--------------
CORPORATE BONDS & NOTES (6.0%)
850,000 Applied Materials, 7.00%, due 9/6/05 866,671
500,000 Allied-Signal, 9.875%, due 6/1/02 581,341
1,100,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,209,223
600,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 592,640
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,100,918
1,100,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 1,090,375
1,000,000 Citicorp, 9.50%, due 2/1/02 1,136,572
800,000 CIT Group Holdings, 6.15%, due
12/15/02 797,623
500,000 Coca Cola Bottling Co., 6.85%, due
11/1/07 499,560
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 10/15/03 627,948
650,000 Dean Witter Discover, 6.25%, due
3/15/00 652,276
450,000 Federal Express Corporation, 6.25%,
due 4/15/98 451,506
350,000 Fina Oil & Chemical, 6.875%, due
7/15/01 358,019
600,000 Fletcher Challenge Cap Can, 7.75%,
due 6/20/06 636,918
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
500,000 FBS Capital I, 8.09%, due
11/15/26(d) $ 518,040
800,000 Heller Financial, 7.875%, due
11/1/99 837,000
625,000 International Lease Finance, 6.43%,
due 3/1/00 632,537
750,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 863,123
500,000 LG-Caltex Oil, 7.875% variable rate,
due 7/1/06(d) 522,666
850,000 Lucent Technologies Inc., 6.90%, due
7/15/01 874,879
600,000 May Department Stores, 9.875%, due
6/15/00 669,800
500,000 Norcen Energy Resources, 7.375%, due
5/15/06 520,125
1,100,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 1,118,381
500,000 Parker Hannifin Corporation, 7.30%,
due 5/15/11 526,919
900,000 Philips Electronics, 6.75, due
8/15/03 907,790
750,000 Potomac Capital Investment
Corporation, 7.32% variable rate,
due 4/14/00(d) 769,604
1,000,000 Reinsurance Group of America, 7.25%
variable rate, due 4/1/06(d) 1,026,250
500,000 Royal Caribbean Cruises, 7.125%, due
9/18/02 511,399
625,000 Terra Nova Holdings, 10.75%, due
7/1/05 712,273
400,000 Texas Instrument, 6.875%, due
7/15/00(b) 409,231
1,000,000 Tyco International Ltd., 6.50% due
11/1/01 1,006,423
600,000 Weatherford Enterra, 7.25%, due
5/15/06 622,300
1,000,000 Whitman Corporation, 7.29%, 9/15/26 1,047,507
--------------
TOTAL CORPORATE BONDS & NOTES (COST $24,792,193)
25,559,837
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
71
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (0.3%)
1,400,000 Federal National Mortgage
Association, 7.54635% inverse
floater, due 7/23/97(g) (cost
$1,316,588)(b) $ 1,414,100
--------------
MORTGAGE BACKED SECURITIES (1.1%)
966,134 Federal Home Loan Mortgage
Corporation Adjustable Rate
Mortgage, Pool 605429, 7.094%, due
2/1/15 991,178
179,047 Federal National Mortgage
Association, 9.20%, due 3/25/18 193,448
686,497 Federal National Mortgage
Association, Pool 344689, 7.435%,
due 11/1/25 707,811
1,943,579 Federal National Mortgage
Association, Pool 356114, 5.742%
variable rate, due 9/1/26 1,991,867
1,000,000 Government National Mortgage
Association, 7.00%, due 8/16/17 1,007,030
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $4,806,974)
4,891,334
--------------
RECEIVABLES BACKED SECURITIES (0.5%)
1,000,000 First Merchants Auto Receivables
Corporation, Series 1996-A, Class
A2, Private Placement, 6.70%. due
7/17/00(d) 1,008,662
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 515,570
750,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 791,055
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$2,285,312) 2,315,287
--------------
REPURCHASE AGREEMENTS (0.4%)
855,733 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$856,136(c) 855,733
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
REPURCHASE AGREEMENTS (continued)
<TABLE>
<C> <S> <C>
855,733 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$856,136(c) $ 855,733
--------------
TOTAL REPURCHASE AGREEMENTS (COST $1,711,466)
1,711,466
--------------
U.S. TREASURY OBLIGATIONS (1.7%)
4,000,000 U.S. Treasury Notes, 6.25%, due
8/31/00 4,063,748
2,000,000 U.S. Treasury Notes, 7.50%, due
11/15/01 2,141,250
1,200,000 U.S. Treasury Notes, 6.50%, due
8/15/05 1,237,124
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $7,402,312)
7,442,122
--------------
ZERO COUPON SECURITIES (0.2%)
1,000,000 Resolution Funding Corporation
STRIP, principal only, due
4/15/00(b)(h) (cost $688,420) 825,640
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$56,587,121) 58,069,632
--------------
POSITIVE RETURN INVESTMENT STYLE (13.6%)
ASSET BACKED SECURITIES (0.2%)
914,596 Navistar Financial Corporation Owner
Trust, Series 1995-B A2, 5.94%,
due 10/15/98 (cost $914,581) 919,828
--------------
CERTIFICATES OF DEPOSIT (1.0%)
2,250,000 Deutsche Bank, 5.62%, due 1/15/97 2,249,748
2,000,000 Toronto Dominion Bank, 5.17%, due
1/17/97 1,998,952
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $4,243,825)
4,248,700
--------------
CORPORATE BONDS & NOTES (0.5%)
2,000,000 Morgan Guaranty Trust Co., 5.31%
variable rate, due 8/21/98 (cost
$2,000,000) 2,001,302
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
72
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (1.1%)
2,100,000 Federal Farm Credit Bank, 5.40%
variable rate, due 7/1/97 $ 2,100,243
2,750,000 Federal National Mortgage
Association, 5.38% variable rate,
due 6/11/97 2,749,381
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$4,848,552) 4,849,624
--------------
RECEIVABLES BACKED SECURITIES (2.5%)
2,266,667 Bombardier Receivables Master Trust
I, Series 1994-1 A, 5.60% variable
rate, due 3/15/99 2,267,347
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,750,805
1,406,250 Chevy Chase Master Credit Card
Trust, 5.575% variable rate, due
10/15/99 1,409,048
1,000,000 First USA Credit Card Master Trust,
Series 1993-1 A, 5.675% variable
rate, due 2/15/00 1,003,390
1,750,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.515% variable
rate, due 4/17/00 1,753,063
655,050 IBM Credit Receivables Lease Asset
Master Trust, Series 1993-1 A,
4.55%, due 11/15/00 651,428
1,750,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.535% variable
rate, due 9/15/00 1,750,455
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$10,579,126) 10,585,536
--------------
REPURCHASE AGREEMENTS (4.7%)
9,972,047 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$9,976,741(c) 9,972,047
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
REPURCHASE AGREEMENTS (continued)
<TABLE>
<C> <S> <C>
9,972,047 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$9,976,741(c) $ 9,972,047
--------------
TOTAL REPURCHASE AGREEMENTS (COST $19,944,094)
19,944,094
--------------
U.S. TREASURY OBLIGATIONS (3.6%)
6,000,000 U.S. Treasury Bills, 5.45% yield,
due 1/9/97 5,968,896
6,000,000 U.S. Treasury Notes, 7.50%, due
12/31/96 6,013,122
1,500,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 1,621,406
150,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 145,734
1,325,000 U.S. Treasury Bonds, 7.50%, due
11/15/24 1,501,390
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $15,213,235)
15,250,548
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$57,743,413) 57,799,632
--------------
TOTAL RETURN BOND INVESTMENT STYLE (13.5%)
CORPORATE BONDS & NOTES (1.9%)
1,000,000 AMR Corporation, 7.47%, due 1/28/97 1,002,742
1,025,000 Chrysler Financial Corporation,
8.125%, due 12/15/96 1,025,757
1,350,000 General Motors Acceptance
Corporation Medium Term Note,
5.625%, due 10/19/98 1,344,670
1,250,000 Houston Industries, Inc., 7.25%, due
12/1/96 1,250,000
250,000 Limited, Inc., 8.875%, due 8/15/99 263,940
500,000 McDermott International, Inc.,
6.50%, due 4/23/98 500,875
750,000 McDermott International, Inc.,
7.94%, due 6/25/97 757,080
500,000 National Rural Utilities
Corporation, 9.64%, due 5/19/97 509,184
900,000 Salomon Inc., 5.37%, due 12/17/96 899,878
</TABLE>
[LOGO]
See Notes to Financial Statements.
73
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
675,000 USX Corporation, 8.875%, due 9/15/97 $ 690,064
--------------
TOTAL CORPORATE BONDS & NOTES (COST $8,314,743)
8,244,190
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.8%)
500,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 500,911
620,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 620,000
600,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 598,588
575,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 576,287
1,000,000 Federal National Mortgage
Association, 5.89%, due 11/13/98 1,002,637
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$3,296,293) 3,298,423
--------------
MORTGAGE BACKED SECURITIES (1.2%)
1,214,631 Government National Mortgage
Association, Pool 352001, 6.50%,
due 12/15/23 1,191,138
1,148,435 Government National Mortgage
Association, Pool 354665, 6.50%,
due 10/15/23 1,126,223
579,879 Government National Mortgage
Association, Pool 354692, 6.50%,
due 11/15/23 568,665
1,125,900 Government National Mortgage
Association, Pool 376400, 6.50%,
due 2/15/24 1,103,303
1,198,263 Government National Mortgage
Association, Pool 780144, 7.00%,
due 7/15/24 1,199,376
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $4,943,457)
5,188,705
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.2%)
328,685 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$328,840(c) $ 328,685
328,685 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$328,840(c) 328,685
--------------
TOTAL REPURCHASE AGREEMENTS (COST $657,370)
657,370
--------------
U.S. TREASURY OBLIGATIONS (9.4%)
250,000 U.S. Treasury Notes, 7.875%, due
4/15/98 257,812
1,325,000 U.S. Treasury Notes, 8.25%, due
7/15/98 1,380,070
600,000 U.S. Treasury Notes, 5.875%, due
8/15/98 603,000
2,250,000 U.S. Treasury Notes, 8.875%, due
11/15/98 2,385,000
675,000 U.S. Treasury Notes, 6.875%, due
7/31/99 694,828
1,700,000 U.S. Treasury Notes, 8.50%, due
2/15/00 1,836,530
2,550,000 U.S. Treasury Notes, 7.125%, due
2/29/00 2,653,593
3,475,000 U.S. Treasury Notes, 6.875%, due
3/31/00 3,593,366
1,000,000 U.S. Treasury Notes, 8.875%, due
5/15/00 1,097,812
2,875,000 U.S. Treasury Notes, 6.25%, due
5/31/00 2,919,921
2,900,000 U.S. Treasury Notes, 6.125%, due
7/31/00 2,934,437
2,425,000 U.S. Treasury Notes, 8.75%, due
8/15/00 2,663,710
3,150,000 U.S. Treasury Notes, 7.25%, due
8/15/04 3,392,157
500,000 U.S. Treasury Notes, 6.50%, due
5/15/05 515,469
3,300,000 U.S. Treasury Notes, 6.50%, due
8/15/05 3,402,093
425,000 U.S. Treasury Bonds, 8.75%, due
11/15/97 541,210
3,025,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,730,204
</TABLE>
[LOGO]
See Notes to Financial Statements.
74
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 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>
2,150,000 U.S. Treasury Bonds, 6.875%, due
5/15/06 $ 2,272,952
1,175,000 U.S. Treasury Bonds, 7.50%, due
11/15/16 1,314,897
1,725,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 2,062,454
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $40,369,519)
40,251,515
--------------
TOTAL RETURN BOND INVESTMENT STYLE (COST
$57,581,382) 57,640,203
--------------
INCOME EQUITY INVESTMENT STYLE (11.3%)
COMMON STOCKS (11.2%)
BUSINESS SERVICES (0.2%)
22,800 Cognizant Corporation(a) 786,600
--------------
CHEMICALS & ALLIED PRODUCTS (0.6%)
18,700 E.I. du Pont de Nemours & Company 1,762,475
24,900 Morton International, Inc. 1,005,337
--------------
2,767,812
--------------
COMMUNICATIONS (0.6%)
31,200 AT&T Corporation 1,224,600
27,400 GTE Corporation 1,229,575
--------------
2,454,175
--------------
DEPOSITORY INSTITUTIONS (0.6%)
17,000 First Bank System, Inc.(b) 1,238,875
14,200 J.P. Morgan & Company, Inc. 1,340,125
--------------
2,579,000
--------------
EATING & DRINKING PLACES (0.2%)
17,400 McDonald's Corporation(b) 813,450
--------------
ELECTRIC, GAS, & SANITARY SERVICES (0.9%)
18,700 Consolidated Natural Gas Company 1,068,237
9,400 FPL Group, Inc. 433,575
17,000 Pacific Gas and Electric Company(b) 410,125
21,000 Public Service Enterprise Group,
Inc. 601,125
10,200 Texas Utilities Company 402,900
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRIC, GAS, & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
28,800 WMX Technologies, Inc. $ 1,036,800
--------------
3,952,762
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.2%)
11,500 Emerson Electric Company 1,128,454
15,800 General Electric Company 1,643,200
27,000 Honeywell, Inc. 1,852,875
8,166 Lucent Technologies, Inc.(b) 418,507
--------------
5,043,036
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.2%)
30,800 Dun & Bradstreet Corporation 696,850
--------------
FOOD & KINDRED PRODUCTS (0.6%)
30,000 PepsiCo, Inc. 896,250
11,900 Procter & Gamble Company 1,294,125
9,000 Sara Lee Corporation 353,250
--------------
2,543,625
--------------
GENERAL MERCHANDISE STORES (0.6%)
26,100 Dayton Hudson Corporation 1,014,637
5,400 J.C. Penney Company, Inc.(b) 290,250
15,700 May Department Stores Company(a) 765,375
13,680 Sears Roebuck and Company 680,580
--------------
2,750,842
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.5%)
38,000 Hewlett-Packard Company 2,047,250
--------------
INSURANCE CARRIERS (0.2%)
18,000 American General Corporation 740,250
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.3%)
15,200 Eastman Kodak Company 1,231,200
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.5%)
21,000 American Express Company 1,097,250
15,600 Transamerica Corporation 1,238,250
--------------
2,335,500
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
75
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
OIL & GAS EXTRACTION (0.4%)
14,750 Schlumberger, Ltd. $ 1,534,000
--------------
PAPER & ALLIED PRODUCTS (0.4%)
18,000 Minnesota Mining & Manufacturing
Company 1,507,500
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.1%)
4,900 Atlantic Richfield Company 681,712
14,900 Chevron Corporation 998,300
13,500 Exxon Corporation 1,277,437
7,400 Mobil Corporation 895,400
5,400 Royal Dutch Petroleum Company ADR 917,325
--------------
4,770,174
--------------
PHARMACEUTICAL PREPARATIONS (1.0%)
16,000 American Home Products Corporation 1,028,000
18,000 Johnson & Johnson(b) 956,250
12,000 Merck & Company, Inc.(b) 996,000
13,000 Pfizer, Inc. 1,165,128
--------------
4,145,378
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.2%)
27,400 Deluxe Corporation 849,400
--------------
TOBACCO PRODUCTS (0.5%)
17,400 American Brands, Inc. 830,850
12,500 Philip Morris Companies, Inc. 1,289,070
--------------
2,119,920
--------------
TRANSPORTATION EQUIPMENT (0.4%)
11,900 United Technologies Corporation 1,668,975
--------------
TOTAL COMMON STOCK (COST $29,610,043) 47,337,699
--------------
REPURCHASE AGREEMENTS (0.1%)
121,224 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$121,281(c) 121,224
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
REPURCHASE AGREEMENTS (continued)
<TABLE>
<C> <S> <C>
121,224 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$121,281(c) $ 121,224
--------------
TOTAL REPURCHASE AGREEMENTS (COST $242,448)
242,448
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$29,852,491) 47,580,147
--------------
INDEX INVESTMENT STYLE (11.2%)
1,289,890 Index Portfolio of Core Trust
(Delaware)(l) 47,960,644
--------------
TOTAL INDEX INVESTMENT STYLE (COST $30,485,841)
47,960,644
--------------
LARGE COMPANY GROWTH INVESTMENT STYLE (11.1%)
COMMON STOCKS (11.0%)
AMUSEMENT & RECREATION SERVICES (0.2%)
11,600 Walt Disney Company 855,502
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.2%)
12,200 Cintas Corporation(b) 741,152
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.5%)
24,900 Home Depot, Inc. 1,297,914
20,300 Lowe's Companies, Inc. 824,689
--------------
2,122,603
--------------
BUSINESS SERVICES (2.2%)
14,600 DST Systems, Inc.(a) 472,675
21,900 Electronic Data Systems Corporation 1,059,412
56,600 First Data Corporation(b) 2,256,925
18,800 Fiserv, Inc.(a) 709,700
12,700 HBO & Company 722,312
22,700 Microsoft Corporation(a) 3,561,062
11,800 Sungard Data Systems, Inc.(a)(b) 495,600
--------------
9,277,686
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.9%)
28,400 Intel Corporation 3,603,250
24,243 Molex Inc., Class A 854,565
</TABLE>
[LOGO]
See Notes to Financial Statements.
76
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
15,200 Motorola, Inc. $ 841,700
16,600 Solectron Corporation(a)(b) 971,100
55,500 Telfonaktiebolaget LM Ericsson,
Series B Sponsored ADR 1,713,562
--------------
7,984,177
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.3%)
12,500 Gartner Group, Inc. 456,250
15,375 Paychex, Inc. 822,562
--------------
1,278,812
--------------
FOOD & KINDRED PRODUCTS (0.4%)
36,600 Coca-Cola Company 1,871,175
--------------
HEALTH SERVICES (0.4%)
34,050 Columbia/HCA Healthcare
Corporation(b) 1,362,000
6,300 IDEXX Laboratories, Inc.(a) 220,500
--------------
1,582,500
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.6%)
22,600 Franklin Resources, Inc. 1,615,900
28,600 T. Rowe Price 1,033,175
--------------
2,649,075
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.9%)
30,500 Cisco Systems Inc.(a) 2,070,187
33,100 Hewlett-Packard Company 1,783,262
--------------
3,853,449
--------------
INSURANCE CARRIERS (0.6%)
21,600 American International Group, Inc. 2,484,000
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.4%)
24,200 Medtronic, Inc. 1,600,225
--------------
MISCELLANEOUS RETAIL (0.7%)
36,900 Autozone, Inc.(a) 908,662
39,700 Petsmart, Inc.(a)(b) 1,012,350
37,900 Staples, Inc.(a)(b) 748,525
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS RETAIL (continued)
<TABLE>
<C> <S> <C>
16,700 Viking Office Products, Inc.(a) $ 522,918
--------------
3,192,455
--------------
PHARMACEUTICAL PREPARATIONS (0.5%)
11,500 Amgen, Inc.(a) 700,062
16,300 Pfizer, Inc. 1,460,887
--------------
2,160,949
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.7%)
79,800 Charles Schwab Corporation 2,403,975
13,700 Donaldson, Lufkin & Jenrette, Inc. 488,062
--------------
2,892,037
--------------
TOBACCO PRODUCTS (0.2%)
10,100 Philip Morris Companies, Inc. 1,041,564
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.3%)
19,900 Corporate Express, Inc.(a)(b) 557,200
31,300 Office Depot, Inc.(a) 610,350
--------------
1,167,550
--------------
TOTAL COMMON STOCKS (COST $30,463,666) 46,754,911
--------------
REPURCHASE AGREEMENTS (0.1%)
199,808 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$199,902(c) 199,808
199,808 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
199,902(c) 199,808
--------------
TOTAL REPURCHASE AGREEMENTS (COST $399,616)
399,616
--------------
TOTAL LARGE COMPANY GROWTH STYLE (COST 30,868,639)
47,154,527
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (4.4%)
529,436 Small Company Portfolio of Core
Trust (Delaware)(l) 18,817,362
--------------
TOTAL SMALL COMPANY INVESTMENT STYLE (COST
$16,144,456) 18,817,362
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
77
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
INTERNATIONAL INVESTMENT STYLE (6.5%)
1,120,192 International Portfolio II of Core
Trust (Delaware)(l) $ 27,813,712
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$24,537,476) 27,813,712
--------------
OTHER INVESTMENT STYLE (0.2%)
REPURCHASE AGREEMENTS (0.2%)
536,517 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$536,770(c) 536,517
536,516 Chase Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$536,781(c) 536,516
--------------
TOTAL REPURCHASE AGREEMENTS (COST $1,073,033)
1,073,033
--------------
TOTAL OTHER INVESTMENT STYLE (COST $1,073,033) 1,073,033
--------------
TOTAL INVESTMENTS (100.0%) (COST $368,286,998)
$427,603,777
--------------
--------------
- ----------------------------------------------------
GROWTH BALANCED FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (10.7%)
ASSET BACKED SECURITIES (0.3%)
1,200,000 Green Tree Financial Corporation,
Series 1994-1 A4, 7.20%, due
4/15/19 (cost $1,221,376) $ 1,232,520
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.0%)
1,334,799 CMC Securities Corporation II,
Series 1993-2I A2, 7.134639%, due
9/25/23 1,350,468
661,930 Federal Home Loan Mortgage
Corporation, Series 1096 D, 7.00%,
due 6/15/20 661,102
900,000 Federal Home Loan Mortgage
Corporation, Series 1338 H, 7.00%,
due 7/15/06 916,029
900,000 Federal Home Loan Mortgage
Corporation, Series 1992 1374 B,
7.00%, due 6/15/15 903,042
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
217,330 Federal National Mortgage
Association, Series 1991-45 Z,
8.00%, due 5/25/98 $ 222,098
499,852 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, due 8/20/13 524,424
686,789 L.F. Rothschild, 9.95%, due 8/1/17 760,850
1,600,000 Residential Funding Mortgage
Securities I, Series 1993-S15 A5,
6.70%, due 4/25/08 1,600,992
753,753 Resolution Trust Corporation, Series
1991-M5 A, 9.00%, due 3/25/17 805,453
806,089 Resolution Trust Corporation, Series
1992-4 A2, 7.65% variable rate,
due 7/25/28 825,375
600,000 Resolution Trust Corporation, Series
1995-1 A2C, 7.50%, due 10/25/28 608,156
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$8,915,918) 9,177,989
--------------
CORPORATE BONDS & NOTES (5.1%)
850,000 Applied Materials, 7.00%, due 9/6/05 866,672
750,000 Associates Corporation of North
America, 7.25%, due 9/1/99 773,066
1,000,000 Cargill, Inc., 8.35%, due 2/12/11(d) 1,099,294
600,000 Charles Schwab Corporation, 6.25%,
due 1/23/03 592,640
1,000,000 Chase Manhattan Corporation, 8.625%,
due 5/1/02 1,100,917
1,100,000 Chrysler Financial Corporation,
5.375%, due 10/15/98 1,090,375
1,000,000 Citicorp, 9.50%, due 2/1/02 1,136,571
800,000 City Group Holdings, 6.15%, due
12/15/02 797,623
400,000 Coca Cola Bottling Co., 6.85%, due
11/1/07 399,648
800,000 Continental Bank, N.A.(a BankAmerica
subsidiary), 11.25%, due 7/1/01 862,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
78
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
600,000 Corestates Capital Corporation,
5.875%, due 10/15/03 $ 579,644
650,000 Dean Witter Discover, 6.25%, due
3/15/00 652,276
500,000 El Paso Natural Gas, 7.75%, due
1/15/02 527,486
500,000 FBS Capital I, 8.09%, due
11/15/26(d) 518,041
450,000 Federal Express Corporation, 6.25%,
due 4/15/98 451,506
350,000 Fina Oil & Chemical, 6.875%, due
7/15/01,due 7/16/01 358,019
600,000 Fletcher Challenge Cap Can, 7.75%,
due 6/20/06(b) 636,919
800,000 Heller Financial, 7.875%, due
11/1/99 837,000
500,000 International Lease Finance, 6.43%,
due 3/1/00 506,030
750,000 Lehman Brothers Holdings, 8.80%, due
3/1/15 863,123
850,000 Lucent Technologies Inc, 6.90%, due
7/15/01, 874,879
600,000 May Department Stores, 9.875%, due
6/15/00 669,800
400,000 Norcen Energy Resources, 7.375%, due
5/15/6 416,100
1,000,000 Paine Webber Group, Inc., 7.00%, due
3/1/00 1,016,710
759,000 Philips Electronics, 6.75, due
8/15/03 765,569
500,000 Potomac Capital Investment
Corporation, 7.32%, due 4/14/00(d) 513,070
1,000,000 Reinsurance Group of America, 7.25%,
due 4/1/06(d) 1,026,250
500,000 Royal Carribbean Cruises, 7.125%,
due 9/18/02 511,399
500,000 Texas Instrument, 6.875%, due
7/15/00(b) 511,538
625,000 Terra Nova Holdings, 10.75%, due
7/1/05 712,273
750,000 Tyco International Limited, 6.50%,
due 11/1/01 754,817
100,000 Whitman Corporation, 7.50%, due
2/1/03 104,870
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
600,000 Weatherford Enterra, 7.25%, due
5/15/06 $ 622,301
--------------
TOTAL CORPORATE BONDS & NOTES (COST $22,471,230)
23,148,426
--------------
GOVERNMENT AGENCY BONDS & NOTES (0.2%)
1,100,000 Federal National Mortgage
Association, 7.55% variable rate,
due 7/23/97 (cost $1,034,462)(b) 1,111,079
--------------
MORTGAGE BACKED SECURITIES (1.1%)
1,482,914 Federal Home Loan Mortgage
Corporation, Adjustable Rate
Mortgage, Pool 410425, 6.10%, due
9/2/26 1,517,277
500,000 Federal Home Loan Mortgage
Corporation, Series 1832 D, 6.5%,
due 6/15/08 504,402
950,394 Federal National Mortgage
Association, 5.7470% variable
rate, due 6/1/26 974,007
686,497 Federal National Mortgage
Association, Pool 344689, 7.4350%,
due 11/1/25 707,812
519,654 Federal National Mortgage
Association, Series 1989-27 Y,
6.90%, due 6/25/19 525,233
1,000,000 Government National Mortgage
Association, 7.00%, due 8/16/17 1,007,030
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,109,461)
5,235,761
--------------
RECEIVABLES BACKED SECURITIES (0.5%)
900,000 First Merchants Auto Receivables
Corporation, Series 1996-A, Class
A2, Private Placement, 6.70%. due
7/17/00(d) 907,796
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, due 11/25/10 515,570
</TABLE>
[LOGO]
See Notes to Financial Statements.
79
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
750,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, due 9/7/99 $ 791,060
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$2,185,970) 2,214,426
--------------
REPURCHASE AGREEMENTS (0.6%)
2,690,647 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$2,691,914(c) (cost $2,690,647) 2,690,647
--------------
ZERO COUPON SECURITIES (0.1%)
800,000 Resolution Funding Corporation
STRIP, due 4/15/00(b)(h) (cost
$550,740) 660,512
--------------
U.S. TREASURY OBLIGATIONS (0.8%)
2,000,000 U.S. Treasury Notes, 8.00%, due
8/15/99(b) 2,115,000
250,000 U.S. Treasury Notes, 5.875%, due
2/15/04 248,828
1,100,000 U.S. Treasury Notes, 6.50%, due
8/15/05 1,134,030
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $3,470,960)
3,497,858
--------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE
(COST $47,650,764) 48,969,218
--------------
POSITIVE RETURN INVESTMENT STYLE (10.6%)
ASSET BACKED SECURITIES (0.3%)
1,229,132 Premier Auto Trust, 5.445% variable
rate, due 9/6/98 (cost $1,229,132) 1,230,668
--------------
CERTIFICATES OF DEPOSIT (0.9%)
2,250,000 Deutsche Bank, 5.62%, due 1/15/97 2,249,748
2,000,000 Toronto Dominion Bank, 5.17%, due
1/17/97 1,998,952
--------------
TOTAL CERTIFICATES OF DEPOSIT (COST $4,243,826)
4,248,700
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (0.9%)
1,500,000 Federal Farm Credit Bank, 5.40%
variable rate, due 7/1/97 $ 1,500,174
2,500,000 Federal National Mortgage
Association, 5.37% variable rate,
due 6/11/97 2,499,438
--------------
TOTAL GOVERNMENT BONDS & NOTES (COST $3,998,706)
3,999,612
--------------
CORPORATE BONDS & NOTES (0.3%)
1,600,000 Morgan Guaranty Trust Company, 5.31%
variable rate, due 8/21/98 (cost
$1,600,000) 1,601,041
--------------
RECEIVABLE BACKED SECURITIES (2.0%)
1,733,334 Bombardier Receivables Master Trust
I Series 1994-1 A, 5.60% variable
rate, due 3/15/99 1,733,854
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 5.7175% variable rate,
due 1/18/00 1,750,805
1,875,000 Chevy Chase Master Credit Card
Trust, variable rate 5.575%, due
10/15/99 1,878,731
499,086 IBM Credit Receivables Lease Asset
Master Trust, Series 19931 A,
4.55%, due 11/15/00 496,326
1,500,000 Peoples Bank Credit Card Master
Trust, Series 1994-2 A, 5.525%
variable rate, due 3/15/01 1,502,895
1,750,000 Signet Credit Card Master Trust,
Series 1994-2 A, 5.535% variable
rate, due 9/15/00 1,750,455
--------------
TOTAL RECEIVABLES BACKED SECURITIES (COST
$9,109,632) 9,113,066
--------------
REPURCHASE AGREEMENTS (2.2%)
10,199,623 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$10,204,425 (cost $10,199,623)(c) 10,199,623
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
80
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (4.0%)
5,600,000 U.S. Treasury Bills, 5.40%, due
1/9/97 $ 5,570,970
10,600,000 U.S. Treasury Notes, 7.50%, due
12/31/96 10,623,183
1,000,000 U.S. Treasury Bonds, 7.125%, due
2/15/23 1,080,937
1,000,000 U.S. Treasury Bonds, 6.25%, due
8/15/23 971,562
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $18,223,607)
18,246,652
--------------
TOTAL POSITIVE RETURN INVESTMENT STYLE
(COST $48,604,526) 48,639,362
--------------
TOTAL RETURN BOND INVESTMENT STYLE (10.6%)
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
350,000 Federal Farm Credit Bank, 5.69%, due
11/12/97 350,638
525,000 Federal Home Loan Mortgage
Corporation, 6.45%, due 6/4/99 531,621
400,000 Federal National Mortgage
Association, 5.375%, due 1/13/98 399,059
1,000,000 Federal National Mortgage
Association, 5.89%, due 11/13/98 1,002,637
500,000 Federal National Mortgage
Association, 5.92%, due 4/3/98 501,120
150,000 Federal National Mortgage
Association, 6.06%, due 10/2/97 150,000
--------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST
$2,925,643) 2,935,075
--------------
CORPORATE BONDS & NOTES (1.5%)
800,000 AMR Corporation, 7.47%, due 1/28/97 802,194
850,000 Chrysler Financial Corporation,
8.125%, due 2/15/96 850,627
1,100,000 General Motors Acceptance
Corporation, Medium Term Notes,
5.625%, due 10/19/98 1,095,657
1,000,000 Houston Industries, Inc., 7.25%, due
12/1/96 1,000,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
750,000 Limited, Inc., 8.875%, due 8/15/99 $ 791,821
500,000 McDermott International, Inc.,
6.50%, due 4/23/98 500,875
475,000 McDermott International, Inc.,
7.94%, due 6/25/97 479,484
300,000 National Rural Utilities
Corporation, 9.64%, due 5/19/97 305,510
500,000 Salomon, Inc., 5.34%, due 12/17/96 499,927
475,000 USX Corporation, 8.875%, due 9/15/97 485,601
--------------
TOTAL CORPORATE BONDS & NOTES (COST $6,858,024)
6,811,696
--------------
MORTGAGE BACKED SECURITIES (1.0%)
1,041,112 Government National Mortgage
Association, Pool 352001, 6.50%,
due 12/15/23 1,020,976
1,060,094 Government National Mortgage
Association, Pool 354665, 6.50%,
due 10/15/23 1,039,591
579,880 Government National Mortgage
Association, Pool 354692, 6.50%,
due 11/15/23 568,664
1,039,293 Government National Mortgage
Association, Pool 376400, 6.50%,
due 2/15/24 1,018,433
1,087,313 Government National Mortgage
Association, Pool 780144, 7.00%,
due 7/15/24 1,088,323
--------------
TOTAL MORTGAGE BACKED SECURITIES (COST $4,511,607)
4,735,987
--------------
REPURCHASE AGREEMENTS (0.1%)
593,316 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$593,595 (cost $593,316)(c) 593,316
--------------
U.S. TREASURY OBLIGATIONS (7.4%)
900,000 U.S. Treasury Notes, 8.875%, due
11/15/97 928,688
</TABLE>
[LOGO]
See Notes to Financial Statements.
81
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
700,000 U.S. Treasury Notes, 5.875%, due
8/15/98 $ 703,500
2,100,000 U.S. Treasury Notes, 8.875%, due
11/15/98 2,226,000
5,075,000 U.S. Treasury Notes, 6.125%, due
7/31/00 5,135,266
1,025,000 U.S. Treasury Notes, 6.25%, due
5/31/00 1,041,016
500,000 U.S. Treasury Notes, 6.50%, due
5/15/05 515,469
1,000,000 U.S. Treasury Notes, 6.875%, due
3/31/00 1,034,062
1,800,000 U.S. Treasury Notes, 7.125%, due
2/29/00 1,873,125
1,100,000 U.S. Treasury Notes, 7.25%, due
8/15/04 1,184,563
2,500,000 U.S. Treasury Notes, 8.00%, due
5/15/01 2,714,063
1,200,000 U.S. Treasury Notes, 8.50%, due
2/15/00 1,296,374
2,350,000 U.S. Treasury Notes, 8.75%, due
8/15/05 2,422,701
725,000 U.S. Treasury Notes, 8.875%, due
5/15/00 795,914
2,200,000 U.S. Treasury Notes, 8.75%, due
8/15/00 2,416,562
2,500,000 U.S. Treasury Bonds, 6.875%, due
5/15/06 2,642,968
2,125,000 U.S. Treasury Bonds, 8.125%, due
8/15/19 2,540,704
225,000 U.S. Treasury Bonds, 8.75%, due
11/15/97 286,523
3,150,000 U.S. Treasury Bonds, 9.375%, due
2/15/06 3,884,344
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $33,780,832)
33,641,842
--------------
TOTAL TOTAL RETURN BOND INVESTEMENT STYLE
(COST $48,669,422) 48,717,916
--------------
INCOME EQUITY INVESTMENT STYLE (16.9%)
COMMON STOCKS (16.8%)
BUSINESS SERVICES (0.3%)
39,900 Cognizant Corporation(a) 1,376,550
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
CHEMICALS & ALLIED PRODUCTS (0.9%)
28,500 E.I. du Pont de Nemours & Company $ 2,686,125
38,400 Morton International, Inc. 1,550,400
--------------
4,236,525
--------------
COMMUNICATIONS (0.8%)
49,900 AT&T Corporation 1,958,575
41,100 GTE Corporation 1,844,362
--------------
3,802,937
--------------
DEPOSITORY INSTITUTIONS (0.9%)
26,200 First Bank System, Inc.(b) 1,909,326
21,600 J.P. Morgan & Company, Inc. 2,038,501
--------------
3,947,827
--------------
EATING & DRINKING PLACES (0.2%)
23,500 McDonald's Corporation(b) 1,098,625
--------------
ELECTRIC, GAS, & SANITARY SERVICES (1.4%)
27,500 Consolidated Natural Gas Company 1,570,938
11,700 FPL Group, Inc. 539,663
35,700 Pacific Gas & Electric
Company(b) 861,263
49,200 Public Service Enterprise Group,
Inc. 1,408,351
16,800 Texas Utilities Company 663,600
43,900 WMX Technologies, Inc. 1,580,400
--------------
6,624,215
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (1.7%)
16,400 Emerson Electric Company 1,609,250
22,700 General Electric Company 2,360,800
47,900 Honeywell, Inc. 3,287,155
14,310 Lucent Technologies, Inc.(b) 733,388
--------------
7,990,593
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.3%)
49,900 Dun & Bradstreet Corporation 1,128,989
--------------
FOOD & KINDRED PRODUCTS (1.1%)
46,600 PepsiCo, Inc. 1,392,175
18,600 Procter & Gamble Company 2,022,750
</TABLE>
[LOGO]
See Notes to Financial Statements.
82
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
40,000 Sara Lee Corporation $ 1,570,000
--------------
4,984,925
--------------
GENERAL MERCHANDISE STORES (1.1%)
35,400 Dayton Hudson Corporation 1,376,175
21,800 J.C. Penney Company, Inc.(b) 1,171,750
27,600 May Department Stores Company(a) 1,345,500
19,500 Sears Roebuck and Company 970,125
--------------
4,863,550
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.7%)
55,800 Hewlett-Packard Company 3,006,225
--------------
INSURANCE CARRIERS (0.3%)
34,900 American General Corporation 1,435,263
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.3%)
19,500 Eastman Kodak Company 1,579,500
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.7%)
30,300 American Express Company 1,583,175
20,450 Transamerica Corporation 1,623,219
--------------
3,206,394
--------------
OIL & GAS EXTRACTION (0.5%)
20,850 Schlumberger, Ltd. 2,168,400
--------------
PAPER & ALLIED PRODUCTS (0.6%)
33,400 Minnesota Mining & Manufacturing
Company(b) 2,797,250
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.8%)
13,100 Atlantic Richfield Company 1,822,538
30,700 Chevron Corporation 2,056,900
18,450 Exxon Corporation 1,745,831
10,250 Mobil Corporation 1,240,250
7,500 Royal Dutch Petroleum Company ADR 1,274,063
--------------
8,139,582
--------------
PHARMACEUTICAL PREPARATIONS (1.4%)
31,700 American Home Products Corporation 2,036,725
27,300 Johnson & Johnson 1,450,313
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PHARMACEUTICAL PREPARATIONS (continued)
<TABLE>
<C> <S> <C>
17,700 Merck & Company, Inc.(b) $ 1,469,100
18,700 Pfizer, Inc. 1,675,987
--------------
6,632,125
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.3%)
45,600 Deluxe Corporation 1,413,600
--------------
TOBACCO PRODUCTS (1.0%)
52,400 American Brands, Inc. 2,502,100
19,700 Philip Morris Companies, Inc. 2,031,562
--------------
4,533,662
--------------
TRANSPORTATION EQUIPMENT (0.5%)
16,500 United Technologies Corporation(b) 2,314,125
--------------
TOTAL COMMON STOCKS (COST $51,060,220) 77,280,862
--------------
REPURCHASE AGREEMENTS (0.1%)
294,481 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$294,620 (cost $294,481)(c) 294,481
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE
(COST $51,354,701) 77,575,343
--------------
INDEX INVESTMENT STYLE (17.1%)
2,105,300 Index Portfolio of Core Trust
(Delaware)(m) 78,279,022
--------------
TOTAL INDEX INVESTMENT STYLE
(COST $49,749,542) 78,279,022
--------------
LARGE COMPANY GROWTH INVESTMENT STYLE (17.0%)
COMMON STOCKS (16.4%)
AMUSEMENT & RECREATION SERVICES (0.3%)
20,000 Walt Disney Company 1,475,000
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.3%)
18,900 Cintas Corporation(b) 1,148,175
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.7%)
39,000 Home Depot, Inc. 2,032,875
</TABLE>
[LOGO]
See Notes to Financial Statements.
83
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS (continued)
<TABLE>
<C> <S> <C>
33,000 Lowe's Companies, Inc. $ 1,340,625
--------------
3,373,500
--------------
BUSINESS SERVICES (3.1%)
22,200 DST Systems, Inc.(a)(b) 718,725
36,500 Electronic Data Systems Corporation 1,765,687
89,800 First Data Corporation(b) 3,580,775
26,000 Fiserv, Inc.(a) 981,500
23,400 HBO & Company 1,330,875
33,800 Microsoft Corporation(a) 5,302,375
17,300 Sungard Data Systems, Inc.(a)(b) 726,600
--------------
14,406,537
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (2.9%)
47,200 Intel Corporation 5,988,500
42,931 Molex Inc., Class A 1,513,317
25,300 Motorola, Inc. 1,400,987
24,500 Solectron Corporation(a)(b) 1,433,250
95,700 Telfonakriebolaget LM Ericsson,
Series B, Sponsored ADR 2,954,739
--------------
13,290,793
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.4%)
19,900 Gartner Group, Inc.(b) 726,350
24,800 Paychex, Inc. 1,326,800
--------------
2,053,150
--------------
FOOD & KINDRED PRODUCTS (0.6%)
57,100 Coca-Cola Company 2,919,237
--------------
HEALTH SERVICES (0.6%)
56,250 Columbia HCA Healthcare
Corporation(b) 2,250,000
9,800 Idexx Laboratories, Inc.(a) 343,000
--------------
2,593,000
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.0%)
36,300 Franklin Resources, Inc. 2,595,450
49,700 T. Rowe Price 1,795,412
--------------
4,390,862
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.4%)
50,500 Cisco Systems, Inc.(a)(b) $ 3,427,687
56,500 Hewlett-Packard Company 3,043,937
--------------
6,471,624
--------------
INSURANCE CARRIERS (0.8%)
33,400 American International Group, Inc. 3,841,000
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.6%)
38,900 Medtronic, Inc. 2,572,262
--------------
MISCELLANEOUS RETAIL (1.2%)
57,700 Autozone, Inc.(a) 1,420,862
68,500 Petsmart, Inc.(a)(b) 1,746,750
59,900 Staples, Inc.(a)(b) 1,183,025
30,000 Viking Office Products, Inc.(a) 939,375
--------------
5,290,012
--------------
PHARMACEUTICAL PREPARATIONS (0.7%)
19,100 Amgen, Inc.(a) 1,162,712
24,100 Pfizer, Inc. 2,159,962
--------------
3,322,674
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.0%)
123,200 Charles Schwab Corporation(b) 3,711,400
20,900 Donaldson, Lufkin & Jenrette, Inc. 744,562
--------------
4,455,962
--------------
TOBACCO PRODUCTS (0.4%)
16,100 Philip Morris Companies, Inc. 1,660,312
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.4%)
30,500 Corporate Express, Inc.(a)(b) 854,000
49,200 Office Depot, Inc.(a) 959,400
--------------
1,813,400
--------------
TOTAL COMMON STOCKS (COST $50,855,527) 75,077,500
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
84
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.6%)
2,589,980 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$2,591,199 (cost $2,589,980)(c) $ 2,589,980
--------------
TOTAL LARGE COMPANY INVESTMENT STYLE
(COST $53,449,591) 77,667,480
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (6.8%)
878,966 Small Company Portfolio of Core
Trust (Delaware)(m) 31,240,271
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE
(COST $26,758,547) 31,240,271
--------------
INTERNATIONAL INVESTMENT STYLE (10.0%)
1,852,873 International Portfolio II of Core
Trust (Delaware)(m) 46,005,609
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE
(COST $40,478,718) 46,005,609
--------------
OTHER INVESTMENTS (0.3%)
REPURCHASE AGREEMENTS (0.3%)
1,148,236 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$1,148,777 (cost $1,148,236)(c) 1,148,236
--------------
TOTAL OTHER INVESTMENTS 1,148,236
--------------
TOTAL INVESTMENTS (100.0%) (COST $367,864,047)
$458,242,457
--------------
--------------
- ----------------------------------------------------
INCOME EQUITY FUND
- ----------------------------------------------------
COMMON STOCKS (96.6%)
BUSINESS SERVICES (1.7%)
191,400 Cognizant Corporation(a) $ 6,603,300
--------------
CHEMICALS & ALLIED PRODUCTS (5.0%)
124,000 E.I. du Pont de Nemours & Company 11,687,000
202,100 Morton International, Inc. 8,159,787
--------------
19,846,787
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
COMMUNICATIONS (4.9%)
252,500 AT&T Corporation $ 9,910,625
207,400 GTE Corporation 9,307,075
--------------
19,217,700
--------------
DEPOSITORY INSTITUTIONS (4.4%)
106,600 First Bank System, Inc. 7,768,475
103,900 J.P. Morgan & Company, Inc. 9,805,579
--------------
17,574,054
--------------
EATING & DRINKING PLACES (1.2%)
100,700 McDonald's Corporation(b) 4,707,725
--------------
ELECTRIC, GAS, & SANITARY SERVICES (8.7%)
114,900 Consolidated Natural Gas Company 6,563,662
50,900 FPL Group, Inc. 2,347,762
243,400 Pacific Gas & Electric Company(b) 5,872,025
192,000 Public Service Enterprise Group,
Inc. 5,496,000
73,400 Texas Utilities Company 2,899,300
308,000 WMX Technologies, Inc.(b) 11,088,000
--------------
34,266,749
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (9.2%)
78,000 Emerson Electric Company 7,653,750
88,300 General Electric Company 9,183,200
216,600 Honeywell, Inc. 14,864,175
84,006 Lucent Technologies, Inc.(b) 4,305,309
--------------
36,006,434
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES
(2.3%)
391,400 Dun & Bradstreet Corporation 8,855,425
--------------
FOOD & KINDRED PRODUCTS (7.1%)
241,200 PepsiCo, Inc. 7,205,850
100,000 Procter & Gamble Company 10,875,000
255,600 Sara Lee Corporation 10,032,300
--------------
28,113,150
--------------
GENERAL MERCHANDISE STORES (6.4%)
134,400 Dayton Hudson Corporation(b) 5,224,800
152,400 J.C. Penney Company, Inc.(b) 8,191,500
</TABLE>
[LOGO]
See Notes to Financial Statements.
85
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
GENERAL MERCHANDISE STORES (continued)
<TABLE>
<C> <S> <C>
174,000 May Department Stores Company(a)(b) $ 8,482,500
65,900 Sears Roebuck and Company 3,278,525
--------------
25,177,325
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (4.0%)
291,000 Hewlett-Packard Company 15,677,625
--------------
INSURANCE CARRIERS (3.0%)
65,467 Allstate Corporation 3,944,386
189,000 American General Corporation(b) 7,772,625
--------------
11,717,011
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.3%)
111,200 Eastman Kodak Company 9,007,200
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (3.5%)
127,000 American Express Company 6,635,750
88,300 Transamerica Corporation 7,008,815
--------------
13,644,565
--------------
OIL & GAS EXTRACTION (2.5%)
95,400 Schlumberger, Ltd.(b) 9,921,600
--------------
PAPER & ALLIED PRODUCTS (3.4%)
157,600 Minnesota Mining & Manufacturing
Company(b) 13,199,000
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (9.4%)
65,000 Atlantic Richfield Company 9,043,125
133,500 Chevron Corporation(b) 8,944,500
87,100 Exxon Corporation 8,241,837
44,000 Mobil Corporation 5,324,000
31,500 Royal Dutch Petroleum Company ADR 5,351,064
--------------
36,904,526
--------------
PHARMACEUTICAL PREPARATIONS (8.0%)
121,400 American Home Products Corporation 7,799,950
171,600 Johnson & Johnson(b) 9,116,250
88,500 Merck & Company, Inc.(b) 7,345,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PHARMACEUTICAL PREPARATIONS (continued)
<TABLE>
<C> <S> <C>
80,400 Pfizer, Inc. $ 7,205,850
--------------
31,467,550
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.4%)
177,400 Deluxe Corporation 5,499,400
--------------
TOBACCO PRODUCTS (5.1%)
225,600 American Brands, Inc. 10,772,400
89,700 Philip Morris Companies, Inc. 9,250,312
--------------
20,022,712
--------------
TRANSPORTATION EQUIPMENT (3.1%)
86,500 United Technologies Corporation(b) 12,131,625
--------------
TOTAL COMMON STOCKS (COST $286,852,144) 379,561,463
--------------
REPURCHASE AGREEMENTS (1.8%)
7,217,675 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
7,221,073 (cost $7,217,675)(c) 7,217,675
--------------
SHORT-TERM HOLDINGS (1.6%)
3,169,690 Dreyfus Cash Management Fund 3,169,690
3,271,496 Institutional Funds Group TempFund
Fund 3,271,496
--------------
TOTAL SHORT-TERM HOLDINGS (COST $6,441,186) 6,441,186
--------------
TOTAL INVESTMENTS (100.0%) (COST $300,511,005)
$393,220,324
--------------
--------------
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (99.9%)
AMUSEMENT & RECREATION SERVICES (1.7%)
44,400 Walt Disney Company $ 3,274,500
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(1.6%)
31,700 Home Depot, Inc. 1,652,362
33,600 Lowe's Companies, Inc. 1,365,000
--------------
3,017,362
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
86
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
BUSINESS SERVICES (8.7%)
144,000 ADT Ltd.(a)(b) $ 2,952,000
97,200 Cabletron Systems, Inc.(b) 3,924,450
76,600 Electronic Data Systems Corporation 3,705,525
78,800 First Data Corporation(b) 3,142,150
20,500 Microsoft Corporation(a) 3,215,937
--------------
16,940,062
--------------
CHEMICALS & ALLIED PRODUCTS (5.1%)
59,300 Baxter International, Inc. 2,520,250
38,300 E.I. du Pont de Nemours & Company 3,609,775
93,200 Monsanto Company 3,704,700
--------------
9,834,725
--------------
DEPOSITORY INSTITUTIONS (4.0%)
50,500 First Union Corporation 3,856,937
58,200 State Street Boston Corporation 3,935,775
--------------
7,792,712
--------------
ELECTRIC, GAS, & SANITARY SERVICES (8.2%)
65,400 American Electric Power Company 2,714,100
68,400 Consolidated Natural Gas Company(b) 3,907,350
108,800 DPL, Inc.(b) 2,652,000
75,600 Texas Utilities Company 2,986,200
113,600 USA Waste Services, Inc.(a)(b) 3,663,600
--------------
15,923,250
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (9.5%)
35,900 Emerson Electric Company 3,522,687
35,600 General Electric Company(b) 3,702,400
55,400 Honeywell, Inc.(b) 3,801,825
30,000 Intel Corporation(b) 3,806,250
120,300 Telfonakriebolaget LM Ericsson,
Series B, Sponsored ADR 3,714,262
--------------
18,547,424
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (3.6%)
67,100 Crown Cork & Seal Company, Inc.(b) 3,556,300
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
47,400 Gillette Company(b) $ 3,495,750
--------------
7,052,050
--------------
FOOD STORES (1.6%)
87,000 Albertson's, Inc. 3,034,125
--------------
FOOD & KINDRED PRODUCTS (5.2%)
62,000 Coca-Cola Company 3,169,750
117,300 PepsiCo, Inc. 3,504,337
32,300 Procter & Gamble Company(b) 3,512,625
--------------
10,186,712
--------------
GENERAL MERCHANDISE STORES (3.8%)
73,500 May Department Stores Company(a)(b) 3,583,125
75,600 Sears Roebuck and Company 3,761,100
--------------
7,344,225
--------------
HEALTH SERVICES (4.4%)
93,824 Columbia HCA Healthcare
Corporation(b) 3,752,960
149,900 Vencor, Inc.(a) 4,853,012
--------------
8,605,972
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.8%)
49,600 Franklin Resources, Inc. 3,546,400
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (8.3%)
119,400 Black & Decker Corporation 4,522,275
128,600 EMC Corporation(a)(b) 4,147,350
70,000 Hewlett-Packard Company 3,771,250
72,200 York International Corporation 3,790,500
--------------
16,231,375
--------------
INSURANCE CARRIERS (5.5%)
30,950 American International Group, Inc. 3,559,250
68,800 Chubb Corporation(b) 3,732,400
80,000 SunAmerica, Inc.(b) 3,350,000
--------------
10,641,650
--------------
MACHINERY (1.6%)
45,000 Fluor Corporation(b) 3,060,000
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
87
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (7.3%)
51,600 Medtronic, Inc. $ 3,412,050
83,000 Millipore Corporation 3,392,625
105,000 Thermo Electron Corporation(b) 3,806,250
71,400 Xerox Corporation 3,507,525
--------------
14,118,450
--------------
OIL & GAS EXTRACTION (1.8%)
34,000 Schlumberger, Ltd. 3,536,000
--------------
PAPER & ALLIED PRODUCTS (1.9%)
135,200 Sonoco Products Company(b) 3,684,200
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (5.5%)
55,100 Chevron Corporation(b) 3,691,700
29,500 Mobil Corporation 3,569,500
19,585 Royal Dutch Petroleum Company(b) ADR 3,327,006
--------------
10,588,206
--------------
PHARMACEUTICAL PREPARATIONS (3.7%)
54,100 American Home Products Corporation 3,475,925
45,300 Merck & Company, Inc.(b) 3,759,900
--------------
7,235,825
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (3.1%)
106,500 Gentex Corporation 2,073,416
125,400 Newell Company(b) 3,887,400
--------------
5,960,816
--------------
WHOLESALE TRADE-NONDURABLE GOODS (2.0%)
73,300 Alco Standard Corporation(b) 3,793,276
--------------
TOTAL COMMON STOCKS (COST $138,449,237) 193,949,317
--------------
SHORT-TERM HOLDINGS (0.1%)
133,431 Dreyfus Cash Management Fund 133,431
117,167 Institutional Funds Group, TempFund
Fund 117,167
--------------
SHORT-TERM HOLDINGS (COST $250,598) 250,598
--------------
TOTAL INVESTMENTS (100.0%) (COST $138,699,835)
$194,199,915
--------------
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND
- ----------------------------------------------------
COMMON STOCKS (95.0%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
4,600 Pioneer Hi-Bred International, Inc. $ 320,850
--------------
AMUSEMENT & RECREATION SERVICES (0.9%)
5,700 Harrah's Entertainment, Inc.(a) 101,175
37,500 Walt Disney Company 2,765,625
--------------
2,866,800
--------------
APPAREL & ACCESSORY STORES (0.5%)
5,700 Charming Shoppes, Inc.(a) 29,212
15,800 Gap, Inc.(b) 507,575
15,000 Limited, Inc. 270,000
5,800 Melville Corporation 238,525
4,500 Nordstrom, Inc. 195,750
4,000 TJX Companies, Inc.(b) 180,502
--------------
1,421,564
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
1,669 Footstar, Inc.(a) 34,214
4,000 Liz Claiborne, Inc. 169,500
3,500 V.F. Corporation 237,562
--------------
441,276
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.0%)
3,400 Pep Boys - Manny, Moe & Jack 124,525
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.0%)
1,600 Centex Corporation 57,600
2,100 Kaufman & Broad Home Corporation 27,037
1,300 Pulte Corporation 39,812
--------------
124,449
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.5%)
26,500 Home Depot, Inc. 1,381,312
9,500 Lowe's Companies, Inc. 385,937
--------------
1,767,249
--------------
BUSINESS SERVICES (4.2%)
9,300 3Com Corporation(a)(b) 698,663
2,500 Autodesk, Inc. 70,000
16,000 Automatic Data Processing, Inc. 686,001
</TABLE>
[LOGO]
See Notes to Financial Statements.
88
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
20,400 C.U.C. International, Inc.(a)(b) $ 538,051
8,400 Cabletron Systems, Inc.(a)(b) 339,150
3,800 Ceridian Corporation(a) 182,876
9,400 Cognizant Corporation(b) 324,300
20,100 Computer Associates International,
Inc. 1,321,576
4,200 Computer Sciences Corporation(a) 330,226
24,800 First Data Corporation(b) 988,900
4,500 Interpublic Group of Companies, Inc. 222,750
33,000 Microsoft Corporation(a) 5,176,877
19,500 Novell, Inc.(a) 214,500
36,100 Oracle Systems Corporation(a)(b) 1,768,900
3,200 Safety Kleen Corporation 50,801
1,300 Shared Medical Systems Corporation 64,675
10,200 Sun Microsystems, Inc(a) 594,150
10,400 UST, Inc. 339,301
--------------
13,911,697
--------------
CHEMICALS & ALLIED PRODUCTS (7.1%)
43,100 Abbott Laboratories 2,402,825
6,200 Air Products & Chemicals, Inc. 430,900
1,500 Alberto Culver Company 71,250
3,600 Allergan, Inc. 115,650
4,700 Alza Corporation(a)(b) 132,775
7,300 Avon Products, Inc. 406,975
15,000 Baxter International, Inc.(b) 637,500
27,700 Bristol-Myers Squibb Company 3,150,875
2,900 Clorox Company 302,325
8,100 Colgate-Palmolive Company(b) 750,262
13,500 Dow Chemical Company 1,130,625
31,000 E.I. du Pont de Nemours & Company 2,921,750
4,300 Eastman Chemical Company(b) 245,637
3,600 Ecolab, Inc. 139,950
30,200 Eli Lilly & Company 2,310,300
2,000 FMC Corporation(a) 154,500
3,000 Goodrich (B.F.) Company 134,625
3,500 Great Lakes Chemical Corporation 187,687
5,900 Hercules, Inc. 286,150
6,100 International Flavors & Fragrances,
Inc.(b) 277,550
<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>
4,100 Mallinckrodt, Inc.(b) $ 180,400
32,400 Monsanto Company 1,287,900
7,900 Morton International, Inc. 318,962
3,700 Nalco Chemical Company 141,062
10,300 PPG Industries, Inc.(b) 630,875
28,100 Pharmacia & Upjohn, Inc. 1,085,362
8,600 Praxair, Inc. 418,175
3,600 Rohm & Haas Company 286,650
20,400 Schering-Plough Corporation 1,453,500
4,700 Sherwin-Williams Company 266,725
7,200 Union Carbide Corporation 332,100
4,860 WR Grace-WI(a) 256,972
15,000 Warner-Lambert Company 1,072,500
--------------
23,921,294
--------------
COMMUNICATIONS (6.5%)
89,000 AT&T Corporation 3,493,250
27,600 Airtouch Communications, Inc.(a) 707,251
10,500 Alltel Corporation 334,689
30,300 Ameritech Corporation(b) 1,783,915
24,200 Bell Atlantic Corporation(b) 1,521,577
54,900 BellSouth Corporation 2,216,589
12,900 Comcast Corporation, Class A 216,075
53,400 GTE Corporation(b) 2,396,327
2,100 King World Productions, Inc.(a) 80,063
38,000 MCI Communications Corporation 1,159,000
24,200 NYNEX Corporation 1,122,277
23,700 Pacific Telesis Group 876,900
33,600 SBC Communications, Inc.(b) 1,768,203
23,800 Sprint Corporation 996,626
36,000 Tele-Communications, Inc.(a) 486,000
26,400 US West Communications Group 825,000
26,200 US West Media Group(a) 501,077
19,700 Viacom, Inc. Class B(a)(b) 743,675
21,400 WorldCom, Inc.(a)(b) 494,875
--------------
21,723,369
--------------
DEPOSITORY INSTITUTIONS (7.8%)
24,100 Banc One Corporation 1,147,762
8,400 Bank of Boston Corporation 586,950
21,300 Bank of New York Company, Inc.(b) 764,137
</TABLE>
[LOGO]
See Notes to Financial Statements.
89
<PAGE>
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PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
19,900 BankAmerica Corporation $ 2,049,700
4,400 Bankers Trust New York Corporation 382,800
10,600 Barnett Banks, Inc. 466,400
8,700 Boatmen's Bancshares, Inc.(b) 579,637
24,100 Chase Manhattan Corporation 2,277,450
26,500 Citicorp(b) 2,895,125
6,300 Comerica, Inc. 368,550
12,300 Corestates Financial Corporation(b) 662,662
5,800 Fifth Third Bancorp 406,000
7,800 First Bank System, Inc. 568,425
17,500 First Chicago NBD Corporation(b) 1,028,125
15,200 First Union Corporation 1,160,900
14,500 Fleet Financial Group, Inc.(b) 802,937
3,200 Golden West Financial Corporation(b) 216,000
7,600 Great Western Financial Corporation 236,550
5,900 H. F. Ahmanson & Company(b) 194,700
10,300 J.P. Morgan & Company, Inc 972,062
12,700 KeyCorp(b) 665,162
7,200 Mellon Bank Corporation(b) 520,200
12,200 National City Corporation 565,775
16,100 NationsBank Corporation(b) 1,668,365
20,500 Norwest Corporation(a)(b)(f) 958,375
18,800 PNC Bank Corporation(b) 742,600
3,100 Republic New York Corporation 273,575
12,300 Suntrust Banks, Inc. 624,225
8,500 U.S. Bancorp(b) 363,375
9,200 Wachovia Corporation 552,000
5,200 Wells Fargo & Company 1,480,050
--------------
26,180,574
--------------
EATING & DRINKING PLACES (0.7%)
8,700 Darden Restaurants, Inc. 75,039
1,300 Luby's Cafeterias, Inc. 28,600
7,100 Marriott International, Inc. 395,825
38,600 McDonald's Corporation 1,804,550
2,800 Ryan's Family Steak Houses, Inc.(a) 19,600
2,700 Shoney's, Inc.(a) 22,275
<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>
7,100 Wendy's International, Inc. $ 151,763
--------------
2,497,652
--------------
ELECTRIC, GAS, & SANITARY SERVICES (3.9%)
10,400 American Electric Power Company 431,600
8,100 Baltimore Gas and Electric
Company(a) 225,787
11,700 Browning-Ferris Industries 314,437
8,700 CINergy Corporation 291,450
8,400 Carolina Power & Light Company(b) 307,650
11,600 Central & Southwest Corporation 310,300
5,800 Coastal Corporation 279,125
3,000 Columbia Gas System, Inc. 193,875
13,000 Consolidated Edison Company of New
York, Inc. 377,000
5,200 Consolidated Natural Gas Company 297,050
8,000 DTE Energy Company 256,000
9,800 Dominion Resources, Inc. 373,625
11,200 Duke Power Company(b) 519,400
3,800 ENSERCH Corporation 88,825
1,100 Eastern Enterprises 41,250
24,200 Edison International(b) 480,975
14,000 Enron Corporation(b) 640,500
12,600 Entergy Corporation(b) 341,775
10,100 FPL Group, Inc.(b) 465,862
6,700 General Public Utilities Corporation 225,287
14,500 Houston Industries, Inc. 319,000
17,300 Laidlaw, Inc., Class B 211,925
8,000 Niagara Mohawk Power Corporation(a) 70,000
2,800 Nicor, Inc. 103,250
7,600 NorAm Energy Corporation 117,800
3,800 Northern States Power Company 179,075
8,400 Ohio Edison Company 193,200
1,500 Oneok, Inc. 41,250
8,900 PP&L Resources, Inc. 203,587
16,200 PacifiCorp 340,200
4,700 Pacific Enterprises 143,937
23,000 Pacific Gas & Electric Company(b) 554,875
</TABLE>
[LOGO]
See Notes to Financial Statements.
90
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<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>
8,300 Panenergy Corporation $ 365,200
12,300 Peco Energy Company 313,650
1,900 People's Energy Corporation 68,875
13,500 Public Service Enterprise Group,
Inc. 386,437
4,800 Sonat, Inc. 248,400
37,200 Southern Company 827,700
12,400 Texas Utilities Company 489,800
5,600 Union Electric Company 222,600
27,100 WMX Technologies, Inc.(b) 975,600
5,800 Williams Companies, Inc. 325,525
--------------
13,163,659
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (7.8%)
12,100 AMP, Inc. 462,825
7,500 Advanced Micro Devices, Inc.(a) 181,875
3,300 Andrew Corporation(a) 190,987
6,000 Cooper Industries, Inc. 249,000
6,400 DSC Communications Corporation(a) 115,200
12,400 Emerson Electric Company 1,216,750
91,200 General Electric Company 9,484,800
7,600 General Instrument Corporation(a) 168,150
2,100 Harris Corporation 143,850
7,000 Honeywell, Inc. 480,375
6,500 ITT Corporation(a) 299,812
45,400 Intel Corporation(b) 5,760,125
7,100 LSI Logic Corporation(a)(b) 213,887
35,143 Lucent Technologies, Inc.(b) 1,801,078
5,600 Maytag Corporation 107,100
11,500 Micron Technology, Inc.(b) 380,937
32,700 Motorola, Inc. 1,810,762
7,600 National Semiconductor
Corporation(a)(b) 186,200
2,600 National Service Industries 91,000
14,300 Northern Telecom, Ltd. 940,225
2,500 Raychem Corporation 213,125
4,200 Scientific-Atlanta, Inc. 65,100
9,800 Tellabs, Inc.(a)(b) 389,550
10,500 Texas Instruments, Inc.(b) 669,375
2,200 Thomas & Betts Corporation 99,550
<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>
4,100 Whirlpool Corporation $ 205,000
--------------
25,926,638
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.1%)
3,133 ACNielson Corporation 54,436
9,400 Dun & Bradstreet Corporation 212,676
2,600 EG&G, Inc. 47,450
--------------
314,562
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.8%)
1,700 Ball Corporation 41,650
1,700 Crane Company 79,475
7,100 Crown Cork & Seal Company, Inc. 376,300
24,600 Gillette Company(b) 1,814,250
4,100 Parker-Hannifin Corporation 166,563
3,400 Snap-On, Inc. 123,250
4,900 Stanley Works 144,550
--------------
2,746,038
--------------
FOOD STORES (0.5%)
13,900 Albertson's, Inc. 484,764
8,100 American Stores Company 322,989
3,300 Giant Food, Inc., Class A 111,375
2,100 Great Atlantic & Pacific Tea Company 68,775
6,900 Kroger Company(a) 318,264
8,400 Winn-Dixie Stores, Inc. 282,451
--------------
1,588,618
--------------
FOOD & KINDRED PRODUCTS (7.6%)
2,100 Adolph Coors Company 41,737
27,400 Anheuser-Busch Companies, Inc.(b) 1,161,075
30,100 Archer Daniels Midland Company(b) 662,200
3,800 Brown-Forman Corporation 176,700
8,000 CPC International, Inc. 666,000
13,700 Campbell Soup Company 1,131,962
137,700 Coca-Cola Company 7,039,912
13,400 Conagra, Inc.(b) 711,875
8,800 General Mills, Inc. 558,800
</TABLE>
[LOGO]
See Notes to Financial Statements.
91
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<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>
20,400 Heinz (H.J.) Company(b) $ 772,650
8,500 Hershey Foods Corporation 423,937
11,700 Kellogg Company(b) 794,137
86,500 PepsiCo, Inc. 2,584,187
37,900 Procter & Gamble Company(b) 4,121,625
7,500 Quaker Oats Company 295,312
5,800 Ralston-Ralston Purina Group(b) 443,700
26,800 Sara Lee Corporation 1,051,900
20,700 Seagram Company, Ltd.(b) 846,112
8,800 Unilever N.V. ADR(b) 1,523,500
5,800 Whitman Corporation 133,400
6,400 Wrigley (Wm) Jr. Company(b) 373,600
--------------
25,514,321
--------------
FURNITURE & FIXTURES (0.1%)
8,900 Masco Corporation 324,850
--------------
GENERAL MERCHANDISE STORES (2.3%)
11,900 Dayton Hudson Corporation(b) 462,612
6,300 Dillard Department Stores, Inc.
Class A(b) 192,937
11,500 Federated Department Stores,
Inc.(a)(b) 392,437
4,000 Harcourt General, Inc. 218,500
12,400 J.C. Penney Company, Inc.(b) 666,500
26,800 Kmart Corporation(b) 298,150
13,800 May Department Stores Company(a) 672,750
2,000 Mercantile Stores Company, Inc. 100,500
10,800 Price/Costco, Inc.(a) 251,100
21,600 Sears, Roebuck and Company 1,074,600
126,700 Wal-Mart Stores, Inc.(b) 3,230,850
7,300 Woolworth Corporation(a) 175,200
--------------
7,736,136
--------------
HEALTH SERVICES (0.6%)
5,500 Beverly Enterprises, Inc.(a) 72,875
37,050 Columbia HCA Healthcare
Corporation(b) 1,482,000
3,500 Manor Care, Inc. 88,375
11,900 Tenet Healthcare Corporation(a)(b) 266,263
--------------
1,909,513
--------------
<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%)
4,600 Fluor Corporation(b) $ 312,800
2,200 Foster Wheeler Corporation 79,476
6,300 Halliburton Company 379,575
--------------
771,851
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.0%)
5,400 Circuit City Stores, Inc.(b) 180,225
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (0.3%)
2,800 Bally Entertainment Corporation(a) 81,551
3,500 Choice Hotels Corporation, Inc.(a) 53,813
6,800 HFS, Inc.(a)(b) 440,300
10,800 Hilton Hotels Corporation(b) 315,900
--------------
891,564
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.1%)
6,700 Amdahl Corporation(a) 79,562
6,900 Apple Computer, Inc. 166,462
9,900 Applied Materials, Inc.(a)(b) 377,437
8,000 Baker Hughes, Inc. 293,000
10,400 Bay Networks, Inc.(a) 278,200
4,800 Black & Decker Corporation 181,800
1,600 Briggs & Stratton Corporation 66,200
5,400 Brunswick Corporation 137,700
4,000 Case Corporation 210,000
10,600 Caterpillar, Inc. 838,725
2,200 Cincinnati Milacron, Inc. 45,650
35,700 Cisco Systems, Inc.(a) 2,423,137
14,900 Compaq Computer Corporation(a)(b) 1,180,825
2,200 Cummins Engine Company, Inc. 99,550
2,200 Data General Corporation(a) 32,175
14,300 Deere & Company(b) 638,137
5,000 Dell Computer Corporation(a) 508,125
8,600 Digital Equipment Corporation(a) 316,050
6,300 Dover Corporation 336,262
9,900 Dresser Industries, Inc. 324,225
12,800 EMC Corporation(a)(b) 412,800
2,700 General Signal Corporation 116,437
</TABLE>
[LOGO]
See Notes to Financial Statements.
92
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<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>
1,900 Giddings & Lewis, Inc. $ 22,325
2,600 Harnischfeger Industries, Inc. 115,375
56,500 Hewlett-Packard Company 3,043,937
6,000 Ingersoll-Rand Company 279,000
2,600 Intergraph Corporation(a) 23,725
29,100 International Business Machines
Corporation(b) 4,637,812
3,000 McDermott International, Inc. 53,250
6,400 Pall Corporation(b) 167,200
8,200 Pitney Bowes, Inc. 483,800
11,600 Seagate Technology, Inc.(a)(b) 458,200
9,500 Silicon Graphics, Inc.(a) 188,812
6,500 Tandem Computers, Inc.(a) 88,562
3,300 Tandy Corporation 139,012
9,400 Tenneco, Inc.(b) 479,400
1,700 Timken Company 77,562
1,600 Trinova Corporation 58,400
8,400 Tyco International, Ltd.(b) 459,900
9,600 Unisys Corporation(a) 73,200
23,200 Westinghouse Electric Corporation(b) 435,000
--------------
20,346,931
--------------
INSURANCE AGENTS, BROKERS, & SERVICE (0.3%)
2,500 Alexander & Alexander Services, Inc. 36,250
6,000 Aon Corporation 365,250
9,000 Humana, Inc.(a) 169,875
4,000 Marsh & McLennan Companies, Inc.(b) 453,500
--------------
1,024,875
--------------
INSURANCE CARRIERS (3.8%)
8,300 Aetna, Inc.(b) 598,637
24,600 Allstate Corporation 1,482,150
11,300 American General Corporation(b) 464,712
25,900 American International Group, Inc. 2,978,500
4,200 CIGNA Corporation 593,775
9,600 Chubb Corporation(b) 520,800
4,300 General Re Corporation(b) 725,625
6,500 ITT Hartford Group, Inc. 444,437
3,900 Jefferson-Pilot Corporation 227,175
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
5,800 Lincoln National Corporation(b) $ 312,475
6,400 Loews Corporation 593,600
3,300 MGIC Investment Corporation 247,087
5,200 Providian Corporation 278,200
7,000 Safeco Corporation 291,375
4,600 St. Paul Companies, Inc. 270,825
4,000 Torchmark Corporation 208,000
35,333 Travelers Group, Inc.(b) 1,589,985
1,900 US Life Corporation 58,662
6,500 USF&G Corporation 130,000
10,200 United Healthcare Corporation(b) 439,875
4,000 Unum Corporation(b) 284,500
--------------
12,740,395
--------------
LEATHER & LEATHER PRODUCTS (0.0%)
2,700 Stride Rite Corporation 27,000
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
6,000 Louisiana-Pacific Corporation 135,751
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.9%)
3,100 Bard (C.R.), Inc. 86,800
3,100 Bausch & Lomb, Inc. 115,087
6,900 Becton, Dickinson & Company(b) 289,800
6,400 Biomet, Inc.(b) 105,600
9,800 Boston Scientific Corporation(a) 572,075
18,600 Eastman Kodak Company 1,506,600
2,300 Johnson Controls, Inc. 178,250
13,200 Medtronic, Inc. 872,850
2,400 Millipore Corporation 98,100
2,400 Perkin-Elmer Corporation 147,900
2,500 Polaroid Corporation 106,562
13,100 Raytheon Company 669,737
4,500 St. Jude Medical, Inc.(a) 187,875
1,800 Tektronix, Inc. 87,750
3,400 U.S. Surgical Corporation 136,425
17,900 Xerox Corporation 879,337
--------------
6,040,748
--------------
METAL MINING (0.6%)
19,700 Barrick Gold Corporation(b) 591,000
12,400 Battle Mountain Gold Company 89,900
</TABLE>
[LOGO]
See Notes to Financial Statements.
93
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
METAL MINING (continued)
<TABLE>
<C> <S> <C>
5,100 Cyprus Amax Minerals Company(b) $ 126,225
7,700 Echo Bay Mines, Ltd. 47,643
10,800 Freeport McMoran, Inc., Class B 340,200
8,100 Homestake Mining Company 122,512
5,500 Newmont Mining Corporation 263,312
13,200 Placer Dome, Inc(b) 311,850
7,300 Santa Fe Pacific Gold Corporation 83,950
--------------
1,976,592
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
4,800 Hasbro, Inc. 197,401
6,500 ITT Industries, Inc. 151,937
2,100 Jostens, Inc. 44,625
15,100 Mattel, Inc. 466,229
500 NACCO Industries, Inc. 23,875
--------------
884,067
--------------
MISCELLANEOUS RETAIL (0.4%)
1,100 Longs Drug Stores, Inc. 55,137
4,600 Rite Aid Corporation(b) 182,275
15,100 Toys 'R' Us, Inc.(a) 520,950
13,600 Walgreen Company(b) 567,800
--------------
1,326,162
--------------
MOTION PICTURES (0.1%)
11,900 Unicom Corporation 316,837
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.0%)
2,200 Caliber System, Inc. 42,625
2,400 Consolidated Freightways, Inc. 57,900
1,600 Yellow Corporation(a) 24,000
--------------
124,525
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.3%)
26,200 American Express Company 1,368,950
3,000 Beneficial Corporation 186,375
9,100 Dean Witter Discover & Company(b) 622,212
9,900 Federal Home Loan Mortgage
Corporation(b) 1,131,075
60,300 Federal National Mortgage
Association 2,487,375
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
NONDEPOSITORY CREDIT INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
7,600 Green Tree Financial Corporation $ 318,250
5,300 Household International, Inc.(b) 502,175
12,300 MBNA Corporation 496,612
3,700 Transamerica Corporation 293,687
--------------
7,406,711
--------------
OIL & GAS EXTRACTION (1.3%)
6,900 Burlington Resources, Inc. 365,700
1,400 Helmerich & Payne, Inc. 75,250
17,800 Occidental Petroleum Corporation 427,200
5,800 Oryx Energy Company(a) 120,350
14,500 Phillips Petroleum Company 654,312
4,700 Rowan Companies, Inc 111,037
5,000 Santa Fe Energy Resources, Inc.(a) 72,500
13,500 Schlumberger, Ltd.(b) 1,404,000
15,900 USX-Marathon Group, Inc. 363,712
13,999 Union Pacific Resources Group,
Inc.(b) 418,220
2,900 Western Atlas, Inc.(a) 204,450
--------------
4,216,731
--------------
PAPER & ALLIED PRODUCTS (2.0%)
2,900 Avery Dennison Corporation 204,812
2,900 Bemis Company, Inc. 103,312
2,700 Boise Cascade Corporation(b) 83,700
5,300 Champion International Corporation 227,900
5,000 Georgia Pacific Corporation 363,750
16,600 International Paper Company(b) 705,500
4,700 James River Corporation of
Virginia(b) 150,400
15,600 Kimberly-Clark Corporation 1,524,900
2,900 Mead Corporation 171,825
23,100 Minnesota Mining & Manufacturing
Company(b) 1,934,625
5,500 Stone Container Corporation 84,562
3,100 Temple-Inland, Inc. 166,625
3,800 Union Camp Corporation 186,675
5,600 Westvaco Corporation 158,200
11,000 Weyerhaeuser Company 506,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
94
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PAPER & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
3,100 Willamette Industries $ 210,800
--------------
6,783,586
--------------
PERSONAL SERVICES (0.2%)
5,700 H & R Block, Inc. 166,725
13,000 Service Corporation International 391,625
--------------
558,350
--------------
PETROLEUM REFINING AND RELATED INDUSTRIES (6.9%)
5,100 Amerada Hess Corporation 300,262
27,500 Amoco Corporation 2,134,687
3,600 Ashland, Inc. 172,800
8,900 Atlantic Richfield Company(b) 1,238,212
36,000 Chevron Corporation 2,412,000
68,600 Exxon Corporation 6,491,275
2,700 Kerr-McGee Corporation 189,000
1,900 Louisiana Land & Exploration Company 113,525
21,800 Mobil Corporation 2,637,800
2,600 Pennzoil Company 146,250
29,600 Royal Dutch Petroleum Company ADR(b) 5,028,300
4,100 Sun Company, Inc. 102,500
14,600 Texaco, Inc. 1,447,225
13,700 Unocal Corporation(b) 558,275
--------------
22,972,111
--------------
PHARMACEUTICAL PREPARATIONS (4.7%)
35,100 American Home Products Corporation 2,255,175
14,600 Amgen, Inc.(a) 888,775
73,600 Johnson & Johnson(b) 3,910,000
67,200 Merck & Company, Inc.(b) 5,577,600
35,500 Pfizer, Inc. 3,181,687
--------------
15,813,237
--------------
PRIMARY METAL INDUSTRIES (0.9%)
12,500 Alcan Aluminum, Ltd.(b) 440,625
9,600 Allegheny Teledyne, Inc. 224,400
9,600 Aluminum Company of America 610,800
5,900 Armco, Inc.(a) 26,550
2,400 Asarco, Inc. 65,400
6,100 Bethlehem Steel Corporation(a) 54,900
7,900 Engelhard Corporation 154,050
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
9,300 Inco, Ltd. $ 324,337
2,700 Inland Steel Industries, Inc. 50,287
4,800 Nucor Corporation 261,000
3,600 Phelps Dodge Corporation 261,450
3,500 Reynolds Metals Company(b) 208,250
4,700 USX-US Steel Group, Inc. 141,587
5,000 Worthington Industries, Inc. 99,375
--------------
2,923,011
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.2%)
4,100 American Greetings Corporation 115,825
4,600 Deluxe Corporation 142,600
5,400 Dow Jones & Company, Inc. 187,650
7,800 Gannett Company, Inc. 612,300
1,700 John H. Harland Company 52,487
5,300 Knight-Ridder, Inc.(b) 222,600
5,500 McGraw-Hill Companies, Inc. 250,250
1,500 Meredith Corporation 77,250
5,500 Moore Corporation, Ltd. 115,500
5,400 New York Times Company 201,825
8,500 R.R. Donnelley & Sons Company(b) 284,750
32,100 Time Warner, Inc.(b) 1,308,075
5,700 Times Mirror Company 298,537
3,400 Tribune Company 294,100
--------------
4,163,749
--------------
RAILROAD TRANSPORTATION (0.9%)
8,500 Burlington Northern Santa Fe
Corporation 763,937
11,700 CSX Corporation 546,975
4,500 Conrail, Inc.(b) 437,625
7,000 Norfolk Southern Corporation 630,000
13,500 Union Pacific Corporation 786,375
--------------
3,164,912
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.8%)
2,000 Armstrong World Industries 150,500
4,600 Cooper Tire and Rubber Company 94,300
8,600 Goodyear Tire & Rubber Company 417,100
6,800 Illinois Tool Works, Inc.(b) 583,100
15,800 Nike, Inc. Class B 898,625
</TABLE>
[LOGO]
See Notes to Financial Statements.
95
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (continued)
<TABLE>
<C> <S> <C>
3,100 Reebok International, Ltd. $ 117,800
8,300 Rubbermaid, Inc. 199,200
3,400 Tupperware Corporation 180,200
--------------
2,640,825
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.5%)
9,300 Merrill Lynch & Company, Inc.(b) 746,325
8,400 Morgan Stanley Group, Inc.(b) 505,050
5,800 Salomon, Inc. 264,625
--------------
1,516,000
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.3%)
12,700 Corning, Inc.(b) 514,350
8,800 Newell Company 272,800
2,800 Owens-Corning Corporation(a)(b) 120,050
--------------
907,200
--------------
TEXTILE MILL PRODUCTS (0.1%)
4,200 Fruit of the Loom, Inc. Class
A(a)(b) 149,625
2,100 Russell Corporation 60,375
1,100 Springs Industries, Inc. Class A 51,150
--------------
261,150
--------------
TOBACCO PRODUCTS (1.5%)
9,400 American Brands, Inc. 448,850
45,200 Philip Morris Companies, Inc. 4,661,250
--------------
5,110,100
--------------
TRANSPORTATION BY AIR (0.4%)
5,000 AMR Corporation(a) 456,250
4,400 Delta Airlines, Inc.(b) 331,100
6,200 Federal Express Corporation(a) 274,350
8,000 Southwest Airlines Company 198,000
3,500 U.S. Air Group, Inc.(a) 81,375
--------------
1,341,075
--------------
TRANSPORTATION EQUIPMENT (4.4%)
15,600 Allied-Signal, Inc. 1,142,700
19,200 Boeing Company 1,908,000
40,200 Chrysler Corporation(b) 1,427,100
5,600 Dana Corporation 174,300
4,300 Eaton Corporation(b) 297,775
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
3,400 Echlin, Inc.(b) $ 114,325
2,000 Fleetwood Enterprises, Inc. 61,000
65,300 Ford Motor Company 2,138,575
3,500 General Dynamics Corporation 258,125
41,700 General Motors Corporation 2,402,962
11,100 Lockheed Martin Corporation(b) 1,005,937
11,900 McDonnell Douglas Corporation 629,212
4,200 Navistar International
Corporation(a) 39,900
3,200 Northrop Grumman Corporation 266,000
2,100 Paccar, Inc. 139,650
12,100 Rockwell International Corporation 777,425
3,600 TRW, Inc.(b) 350,550
4,500 Textron, Inc. 429,187
6,700 United Technologies Corporation(b) 939,675
--------------
14,502,398
--------------
TRANSPORTATION SERVICES (0.0%)
4,500 Ryder System, Inc. 136,688
--------------
WHOLESALE TRADE-DURABLE GOODS (0.2%)
6,700 Genuine Parts Company 301,500
2,800 Grainger (W.W.), Inc. 222,600
1,600 Potlatch Corporation 70,800
--------------
594,900
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.3%)
7,200 Alco Standard Corporation(b) 372,600
2,100 Fleming Companies, Inc. 34,388
2,800 Sigma Aldrich 175,000
3,700 Supervalu, Inc. 109,613
10,000 Sysco Corporation 341,252
--------------
1,032,853
--------------
TOTAL COMMON STOCKS (COST $226,131,139) 317,358,744
--------------
TIME DEPOSITS (4.9%)
16,306,407 Foreign Sanwa Bank Ltd., 5.75%, due
12/2/96 (cost $16,306,407) 16,306,407
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
96
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (0.1%)
580,000 U.S. Treasury, 5.21% yield, due
5/29/97 (cost $565,363)(e) $ 565,628
--------------
TOTAL INVESTMENTS (100.0%) (COST $243,002,909)
$334,230,779
--------------
--------------
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND
- ----------------------------------------------------
INCOME EQUITY INVESTMENT STYLE (24.7%)
COMMON STOCKS (24.7%)
BUSINESS SERVICES (0.4%)
130,800 Cognizant Corporation(a)(b) $ 4,512,600
--------------
CHEMICALS & ALLIED PRODUCTS (1.4%)
96,600 E.I. du Pont de Nemours & Company 9,104,550
143,600 Morton International, Inc. 5,797,850
--------------
14,902,400
--------------
COMMUNICATIONS (1.1%)
163,000 AT&T Corporation 6,397,750
126,600 GTE Corporation 5,681,175
--------------
12,078,925
--------------
</TABLE>
<TABLE>
<C> <S> <C>
DEPOSITORY INSTITUTIONS (1.3%)
92,400 First Bank System, Inc.(b) 6,733,650
74,400 J.P. Morgan & Company, Inc. 7,021,511
-------------
13,755,161
-------------
EATING & DRINKING PLACES (0.3%)
73,500 McDonald's Corporation(b) 3,436,125
-------------
ELECTRIC, GAS, & SANITARY SERVICES (2.1%)
107,600 Consolidated Natural Gas
Company 6,146,650
39,600 FPL Group, Inc.(b) 1,826,550
133,400 Pacific Gas & Electric
Company(b) 3,218,275
132,000 Public Service Enterprise
Group, Inc. 3,778,501
55,300 Texas Utilities Company 2,184,350
172,000 WMX Technologies, Inc.(b) 6,192,000
-------------
23,346,326
-------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (2.6%)
54,900 Emerson Electric Company $ 5,387,063
80,100 General Electric Company 8,330,400
171,600 Honeywell, Inc. 11,776,050
58,103 Lucent Technologies, Inc.(b) 2,977,778
--------------
28,471,291
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.5%)
230,800 Dun & Bradstreet Corporation(b) 5,221,850
--------------
FOOD & KINDRED PRODUCTS (1.7%)
163,200 PepsiCo, Inc. 4,875,600
66,000 Procter & Gamble Company 7,177,500
155,600 Sara Lee Corporation 6,107,300
--------------
18,160,400
--------------
GENERAL MERCHANDISE STORES (1.6%)
120,100 Dayton Hudson Corporation(b) 4,668,888
97,400 J.C. Penney Company, Inc.(b) 5,235,250
97,600 May Department Stores Company(a) 4,758,000
60,100 Sears Roebuck and Company 2,989,902
--------------
17,652,040
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.0%)
204,000 Hewlett-Packard Company 10,990,500
--------------
INSURANCE CARRIERS (0.6%)
6,000 Allstate Corporation 361,500
149,000 American General Corporation(b) 6,127,626
--------------
6,489,126
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.6%)
81,900 Eastman Kodak Company 6,633,900
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.0%)
93,200 American Express Company 4,869,700
66,200 Transamerica Corporation 5,254,626
--------------
10,124,326
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
97
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
OIL & GAS EXTRACTION (0.7%)
74,000 Schlumberger, Ltd.(b) $ 7,696,000
--------------
PAPER & ALLIED PRODUCTS (0.7%)
94,900 Minnesota Mining & Manufacturing
Company(b) 7,947,875
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (2.6%)
47,000 Atlantic Richfield Company(b) 6,538,876
83,600 Chevron Corporation 5,601,200
76,800 Exxon Corporation 7,267,201
37,600 Mobil Corporation 4,549,600
27,600 Royal Dutch Petroleum Company ADR 4,688,550
--------------
28,645,427
--------------
PHARMACEUTICAL PREPARATIONS (2.1%)
79,800 American Home Products Corporation 5,127,150
115,400 Johnson & Johnson(b) 6,130,625
60,100 Merck & Company, Inc.(b) 4,988,300
67,200 Pfizer, Inc. 6,022,800
--------------
22,268,875
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (0.4%)
155,200 Deluxe Corporation 4,811,200
--------------
TOBACCO PRODUCTS (1.3%)
175,100 American Brands, Inc. 8,361,025
60,500 Philip Morris Companies, Inc. 6,239,062
--------------
14,600,087
--------------
TRANSPORTATION EQUIPMENT (0.7%)
50,800 United Technologies Corporation(b) 7,124,672
--------------
TOTAL COMMON STOCKS (COST $181,827,215) 268,869,106
--------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST
$181,827,215) 268,869,106
--------------
INDEX INVESTMENT STYLE(25.1%)
7,321,616 Index Portfolio of Core Trust
(Delaware)(i) 272,232,048
--------------
TOTAL INDEX INVESTMENT STYLE (COST $188,917,763)
272,232,048
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE(25.1%)
COMMON STOCKS (24.4%)
AMUSEMENT & RECREATION SERVICES (0.5%)
76,580 Walt Disney Company(b) $ 5,647,775
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.3%)
57,000 Cintas Corporation 3,462,750
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(1.2%)
142,793 Home Depot, Inc. 7,443,088
132,300 Lowe's Companies, Inc. 5,374,693
--------------
12,817,781
--------------
BUSINESS SERVICES (4.8%)
79,100 DST Systems, Inc.(a) 2,560,866
129,850 Electronic Data Systems
Corporation(b) 6,281,496
316,000 First Data Corporation(b) 12,600,500
102,550 Fiserv, Inc.(a) 3,871,263
87,200 HBO & Company(b) 4,959,502
123,020 Microsoft Corporation(a) 19,298,766
62,000 Sungard Data Systems, Inc.(a)(b) 2,604,000
--------------
52,176,393
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (4.3%)
163,300 Intel Corporation 20,718,691
142,506 Molex, Inc., Class A 5,023,338
89,660 Motorola, Inc. 4,964,928
91,500 Solectron Corporation(a)(b) 5,352,750
343,800 Telfonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(a) 10,614,827
--------------
46,674,534
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.6%)
69,900 Gartner Group, Inc.(b) 2,551,350
72,700 Paychex, Inc. 3,889,450
--------------
6,440,800
--------------
FOOD & KINDRED PRODUCTS (0.9%)
198,100 Coca-Cola Company 10,127,864
--------------
HEALTH SERVICES (0.9%)
200,700 Columbia HCA Healthcare
Corporation(b) $ 8,028,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
98
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HEALTH SERVICES (continued)
<TABLE>
<C> <S> <C> <C>
34,700 IDEXX Laboratories, Inc.(a) 1,214,500
--------------
9,242,500
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.4%)
128,500 Franklin Resources, Inc. 9,187,750
166,800 T. Rowe Price 6,025,651
--------------
15,213,401
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.1%)
180,400 Cisco Systems, Inc.(a)(b) 12,244,653
197,800 Hewlett-Packard Company 10,656,475
--------------
22,901,128
--------------
INSURANCE CARRIERS (1.3%)
118,325 American International Group, Inc. 13,607,375
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.8%)
137,200 Medtronic, Inc. 9,072,352
--------------
MISCELLANEOUS RETAIL (1.6%)
207,700 Autozone, Inc.(a)(b) 5,114,616
217,200 Petsmart, Inc.(a)(b) 5,538,600
211,300 Staples, Inc.(a)(b) 4,173,175
85,700 Viking Office Products, Inc.(a) 2,683,484
--------------
17,509,875
--------------
PHARMACEUTICAL PREPARATIONS (1.1%)
67,600 Amgen, Inc.(a) 4,115,153
85,400 Pfizer, Inc. 7,653,975
--------------
11,769,128
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.5%)
436,400 Charles Schwab Corporation(b) 13,146,075
74,100 Donaldson, Lufkin & Jenrette, Inc. 2,639,816
--------------
15,785,891
--------------
TOBACCO PRODUCTS (0.5%)
58,100 Philip Morris Companies, Inc. $ 5,991,562
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.6%)
110,500 Corporate Express, Inc.(a)(b) 3,094,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
WHOLESALE TRADE-NONDURABLE GOODS (continued)
<TABLE>
<C> <S> <C> <C>
173,760 Office Depot, Inc.(a) 3,388,320
--------------
6,482,320
--------------
TOTAL COMMON STOCKS (COST $177,089,429) 264,923,429
--------------
REPURCHASE AGREEMENTS (0.7%)
7,521,957 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$7,525,499 (cost $7,521,957)(c) 7,521,957
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$184,657,529) 272,445,386
--------------
SMALL COMPANY GROWTH INVESTMENT STYLE (10.0%)
3,068,932 Small Company Portfolio of Core
Trust (Delaware)(i) 109,077,139
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$94,630,706) 109,077,139
--------------
INTERNATIONAL INVESTMENT STYLE(14.8%)
6,487,884 International Portfolio II of Core
Trust (Delaware)(i) 161,090,277
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$144,954,972) 161,090,277
--------------
OTHER INVESTMENTS (0.3%)
2,714,765 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$2,716,043 (cost $2,714,765)(c) 2,714,765
--------------
TOTAL OTHER INVESTMENTS (COST $2,714,765) 2,714,765
--------------
TOTAL INVESTMENTS (100.0%) (COST $797,702,950)
$1,086,428,721
--------------
--------------
- ----------------------------------------------------
GROWTH EQUITY FUND
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (35.0%)
COMMON STOCKS (34.9%)
AMUSEMENT & RECREATION SERVICES (0.7%)
80,900 Walt Disney Company(b) $ 5,966,375
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
99
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.5%)
72,200 Cintas Corporation(b) 4,386,150
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(1.6%)
153,100 Home Depot, Inc. 7,980,340
135,400 Lowe's Companies, Inc. 5,500,630
--------------
13,480,970
--------------
BUSINESS SERVICES (6.9%)
86,200 DST Systems, Inc.(a)(b) 2,790,725
143,400 Electronic Data Systems
Corporation(b) 6,936,980
359,800 First Data Corporation(b) 14,347,020
107,600 Fiserv, Inc.(a) 4,061,900
94,800 HBO & Company(b) 5,391,750
135,200 Microsoft Corporation(a)(b) 21,209,500
67,400 Sungard Data Systems, Inc.(a)(b) 2,830,800
--------------
57,568,675
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (6.1%)
177,900 Intel Corporation 22,571,065
150,043 Molex, Inc., Class A(b) 5,289,015
98,500 Motorola, Inc.(b) 5,454,440
100,000 Solectron Corporation(a)(b) 5,850,000
376,100 Telfonaktiebolaget LM Ericsson,
Series B, Sponsored ADR(a)(b) 11,612,074
--------------
50,776,594
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.9%)
77,100 Gartner Group, Inc.(b) 2,814,150
85,125 Paychex, Inc. 4,554,180
--------------
7,368,330
--------------
FOOD & KINDRED PRODUCTS (1.4%)
228,800 Coca-Cola Company 11,697,400
--------------
HEALTH SERVICES (1.2%)
220,600 Columbia HCA Healthcare
Corporation(b) $ 8,824,000
38,300 IDEXX Laboratories, Inc.(a) 1,340,500
--------------
10,164,500
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
HOLDING & OTHER INVESTMENT OFFICES (2.0%)
141,100 Franklin Resources, Inc.(b) 10,088,650
176,200 T. Rowe Price(b) 6,365,225
--------------
16,453,875
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.0%)
198,600 Cisco Systems, Inc.(a)(b) 13,479,970
216,700 Hewlett-Packard Company(b) 11,674,710
--------------
25,154,680
--------------
INSURANCE CARRIERS (1.9%)
136,750 American International Group, Inc. 15,726,245
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.2%)
151,000 Medtronic, Inc. 9,984,876
--------------
MISCELLANEOUS RETAIL (2.2%)
227,600 Autozone, Inc.(a)(b) 5,604,650
229,400 Petsmart, Inc.(a)(b) 5,849,700
232,700 Staples, Inc.(a)(b) 4,595,825
87,800 Viking Office Products, Inc.(a)(b) 2,749,240
--------------
18,799,415
--------------
PHARMACEUTICAL PREPARATIONS (1.5%)
73,600 Amgen, Inc.(a)(b) 4,480,403
93,600 Pfizer, Inc. 8,388,905
--------------
12,869,308
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (2.1%)
474,800 Charles Schwab Corporation(b) 14,303,355
80,700 Donaldson, Lufkin & Jenrette, Inc. 2,874,940
--------------
17,178,295
--------------
TOBACCO PRODUCTS (0.8%)
63,700 Philip Morris Companies, Inc. 6,569,065
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.9%)
120,400 Corporate Express, Inc.(a)(b) $ 3,371,200
</TABLE>
[LOGO]
See Notes to Financial Statements.
100
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
WHOLESALE TRADE-NONDURABLE GOODS (continued)
<TABLE>
<C> <S> <C> <C>
191,500 Office Depot, Inc.(a) 3,734,250
--------------
7,105,450
--------------
TOTAL COMMON STOCKS (COST $197,380,566) 291,250,203
--------------
REPURCHASE AGREEMENTS (0.1%)
1,199,629 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$1,200,194 (cost $1,199,629)(c) 1,199,629
--------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$198,600,218) 292,449,832
--------------
SMALL COMPANY STOCK INVESTMENT STYLE (35.2%)
8,255,522 Small Company Portfolio of Core
Trust (Delaware)(j) 293,419,727
--------------
TOTAL SMALL COMPANY STOCK INVESTMENT STYLE (COST
$254,368,473) 293,419,727
--------------
INTERNATIONAL INVESTMENT STYLE (29.6%)
9,938,220 International Portfolio II of Core
Trust (Delaware)(j) 246,760,113
--------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST
$221,254,892) 246,760,113
--------------
OTHER INVESTMENTS (0.2%)
2,081,947 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$2,082,927(c) 2,081,947
--------------
TOTAL OTHER INVESTMENTS (COST $2,081,947) 2,081,947
--------------
TOTAL INVESTMENTS (100.0%) (COST $676,305,530)
$ 834,711,619
--------------
--------------
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCKS (95.6%)
AMUSEMENT & RECREATION SERVICES (1.8%)
24,200 Walt Disney Company $ 1,784,750
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.3%)
21,700 Cintas Corporation $ 1,318,275
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(4.3%)
48,600 Home Depot Inc. 2,533,275
44,100 Lowe's Companies, Inc. 1,791,565
--------------
4,324,840
--------------
BUSINESS SERVICES (15.3%)
28,600 DST Systems, Inc.(a)(b) 925,925
123,400 First Data Corporation(b) 4,920,575
39,500 Fiserv, Inc. 1,491,125
44,800 Microsoft Corporation(a) 7,028,003
22,600 Sungard Data Systems, Inc.(a)(b) 949,200
--------------
15,314,828
--------------
CHEMICALS & ALLIED PRODUCTS (0.4%)
12,700 Idexx Laboratories, Inc.(a) 444,500
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (16.2%)
59,400 Intel Corporation 7,536,375
107,600 Telefonaktiebolaget LM Ericsson,
Series B, Sponsored ADR 3,322,150
50,843 Molex, Inc., Class A 1,792,215
32,300 Motorola, Inc. 1,788,612
30,900 Solectron Corporation(a)(b) 1,807,650
--------------
16,247,002
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES
(2.4%)
25,300 Gartner Group, Inc.(b) 923,450
27,125 Paychex, Inc. 1,451,187
--------------
2,374,637
--------------
FOOD & KINDRED PRODUCTS (3.8%)
74,400 Coca-Cola Company 3,803,700
--------------
HEALTH SERVICES (4.8%)
71,500 Columbia HCA Healthcare
Corporation(b) 2,860,000
34,100 HBO & Company 1,939,437
--------------
4,799,437
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
101
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
HOLDING & OTHER INVESTMENT OFFICES (7.8%)
48,100 Electronic Data Systems Corporation $ 2,326,837
47,100 Franklin Resources, Inc. 3,367,650
59,500 T. Rowe Price 2,149,437
--------------
7,843,924
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (7.7%)
59,300 Cisco Systems, Inc.(a)(b) 4,024,987
68,300 Hewlett-Packard Company 3,679,662
--------------
7,704,649
--------------
INSURANCE CARRIERS (5.3%)
46,550 American International Group, Inc. 5,353,250
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (3.3%)
49,600 Medtronic, Inc. 3,279,800
--------------
MISCELLANEOUS RETAIL (7.7%)
75,300 Autozone, Inc.(a) 1,854,262
63,000 Office Depot, Inc.(a) 1,228,500
81,900 Petsmart, Inc.(a)(b) 2,088,450
76,600 Staples, Inc.(a)(b) 1,512,850
33,700 Viking Office Products Inc.(a) 1,055,231
--------------
7,739,293
--------------
PHARMACEUTICAL PREPARATIONS (4.4%)
24,100 Amgen, Inc.(a) 1,467,087
32,400 Pfizer, Inc. 2,903,850
--------------
4,370,937
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (5.9%)
159,000 Charles Schwab Corporation(b) 4,789,875
30,600 Donaldson, Lufkin & Jenrette, Inc. 1,090,125
--------------
5,880,000
--------------
TOBACCO PRODUCTS (2.1%)
20,800 Philip Morris Companies, Inc. 2,145,000
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
WHOLESALE TRADE-NONDURABLE GOODS (1.1%)
38,600 Corporate Express, Inc.(a)(b) $ 1,080,800
--------------
TOTAL COMMON STOCKS (COST $64,119,625) 95,809,622
--------------
REPURCHASE AGREEMENTS (4.4%)
4,424,155 BA Securities, Inc., 5.65%, due
12/2/96 to be repurchased at
$4,426,238 (cost $4,424,155)(c) 4,424,155
--------------
TOTAL INVESTMENTS (100.0%) (COST $68,543,780)
$ 100,233,777
--------------
--------------
- ----------------------------------------------------
SMALL COMPANY STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (93.4%)
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (1.1%)
107,600 Ugly Duckling Corporation(a)(b) $ 1,869,550
--------------
BUSINESS SERVICES (12.7%)
69,500 Computer Task Group, Inc. 2,910,312
122,400 HCIA, Inc.(a) 3,519,000
157,900 IKOS Systems, Inc.(a) 3,039,575
103,950 Information Management Resources,
Inc.(a) 1,715,175
29,800 Keane, Inc.(a) 1,575,675
168,800 Renters Choice, Inc.(a) 3,080,600
93,250 STB Systems, Inc.(a) 2,074,812
181,400 USCS International, Inc.(a) 3,038,450
--------------
20,953,599
--------------
CHEMICALS & ALLIED PRODUCTS (2.1%)
136,900 Tetra Technologies, Inc.(a) 3,486,665
--------------
DEPOSITORY INSTITUTIONS (5.8%)
272,800 Bank Plus Corporation(a) 3,103,100
89,600 Coast Savings Financial(a)(b) 3,180,800
116,900 GA Financial, Inc. 1,782,725
60,000 Ocean Financial Corporation(a) 1,545,000
--------------
9,611,625
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (10.9%)
145,000 Actel Corporation(a) 3,190,000
54,975 Computer Products, Inc.(a) 1,106,371
118,900 Etec Systems, Inc.(a) 3,492,687
</TABLE>
[LOGO]
See Notes to Financial Statements.
102
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C> <C>
63,700 Harman International Industries,
Inc. $ 3,248,700
67,700 P-COM, Inc.(a)(b) 2,149,475
131,800 Powell Industries, Inc.(a) 1,318,000
187,000 Symmetricom, Inc.(a) 3,529,625
--------------
18,034,858
--------------
FINANCIAL SERVICES (1.1%)
55,350 Southern Pacific Funding
Corporation(a)(b) 1,757,362
--------------
HEALTH SERVICES (5.0%)
7,100 Express Scripts, Inc.(a) 252,937
191,700 Inphynet Medical Management, Inc.(a) 3,474,562
75,000 Physicians Resource Group, Inc.(a) 1,556,250
167,925 RoTech Medical Corporation(a)(b) 2,854,725
--------------
8,138,474
--------------
HOLDING & OTHER INVESTMENTS (0.5%)
69,300 HealthCare Financial Partners,
Inc.(a) 866,250
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (4.5%)
91,300 Ciprico, Inc.(a) 1,255,375
112,300 Greenfield Industries 3,284,775
214,700 Par Technology Corporation(a) 2,898,450
--------------
7,438,600
--------------
INSURANCE CARRIERS (1.5%)
97,600 Sierra Health Services, Inc.(a)(b) 2,403,400
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (5.3%)
108,000 Arrow International, Inc. 2,889,000
90,600 Lunar Corporation(a) 2,808,600
77,800 Zygo Corporation(a)(b) 3,092,550
--------------
8,790,150
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (1.6%)
40,900 RockShox, Inc.(a) 526,587
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MISCELLANEOUS MANUFACTURING INDUSTRIES (continued)
<TABLE>
<C> <S> <C> <C>
199,000 YES! Entertainment Corporation(a)(b) $ 2,039,750
--------------
2,566,337
--------------
MISCELLANEOUS RETAIL (0.6%)
73,550 Friedman's, Inc. Class A(a)(b) 1,011,312
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.1%)
142,700 Swift Transportation, Inc.(a) 3,433,718
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (12.1%)
167,000 AmeriCredit Corporation(a) 3,319,125
290,700 Imperial Credit Industries, Inc. 6,177,375
135,400 Imperial Credit Mortgage Holdings(b) 2,944,950
102,700 Medallion Financial Corporation 1,476,312
206,200 Resource Bancshares Mortgage Group,
Inc. 3,118,775
128,030 WFS Financial, Inc. 2,944,690
--------------
19,981,227
--------------
OIL & GAS EXTRACTION (18.9%)
375,500 Abacan Resource Corporation(a) 3,215,220
169,700 FX Energy, Inc.(a) 1,527,300
61,300 Flores & Rucks, Inc.(a)(b) 3,011,363
104,800 Forcenergy, Inc.(a)(b) 3,209,500
132,000 Key Energy Group(a) 1,600,500
216,100 Marine Drilling Company, Inc.(a) 3,430,588
70,450 Neuvo Energy Company(a) 3,522,500
168,750 Pride Petroleum Services, Inc.(a)(b) 3,058,595
144,500 Seagull Energy Corporation(a)(b) 3,305,439
137,100 Tuboscope Vetco International
Corporation(a) 2,107,913
94,300 Vintage Petroleum, Inc. 3,159,050
--------------
31,147,968
--------------
REAL ESTATE (1.9%)
175,900 NHP, Inc.(a) 3,056,263
--------------
TRANSPORTATION BY AIR (4.9%)
118,000 Atlas Air, Inc.(a)(b) 5,487,000
</TABLE>
[LOGO]
See Notes to Financial Statements.
103
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION BY AIR (continued)
<TABLE>
<C> <S> <C> <C>
103,000 Kitty Hawk, Inc.(a) $ 1,236,000
129,000 Mesa Airlines, Inc.(a) 1,273,875
--------------
7,996,875
--------------
WHOLESALE TRADE-NONDURABLE GOODS (0.8%)
98,700 United Natural Foods, Inc.(a)(b) 1,332,450
--------------
TOTAL COMMON STOCKS (COST $132,334,461) 153,876,683
--------------
SHORT-TERM HOLDINGS (6.6%)
2,480,773 Dreyfus Treasury Cash Management
Fund 2,480,773
2,428,010 Federated U.S. Short-Term Government
Fund 2,428,010
2,684,285 Fidelity Money Market 2,684,285
3,247,432 Provident Federal Trust 3,247,432
--------------
SHORT-TERM HOLDINGS (COST $10,840,500) 10,840,500
--------------
TOTAL INVESTMENTS (100.0%) (COST $143,174,961)
$ 164,717,183
--------------
--------------
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCKS (96.7%)
APPAREL & ACCESSORY STORES (1.6%)
318,800 Stage Stores, Inc. $ 5,977,500
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.8%)
263,200 Warnaco Group, Inc., Class A(a) 7,007,700
--------------
BUILDING CONSTRUCTION-GENERAL CONTRACTORS & OPERATIVE BUILDERS
(2.2%)
205,900 American Homestar Corporation 3,757,675
272,500 Del Webb Corporation(a) 4,598,437
--------------
8,356,112
--------------
BUSINESS SERVICES (3.4%)
150,000 BTG, Inc. 3,018,750
85,300 Computer Horizons Corporation 2,857,550
227,500 GTECH Holdings Corporation 7,166,250
--------------
13,042,550
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
CHEMICALS & ALLIED PRODUCTS (12.1%)
96,500 Agouron Pharmaceuticals, Inc. $ 5,295,438
230,000 Axogen Limited-UTS 4,973,750
137,900 Biovail Corporation International 3,930,150
155,766 Elan Corporation, plc Sponsored ADR 4,634,039
320,900 Genzyme Corporation 7,300,475
129,700 Interneuron Pharmaceuticals, Inc. 2,529,150
105,100 Martek Biosciences Corporation 1,865,525
203,000 North American Vaccine, Inc. 4,948,126
500,000 Oncogene Science, Inc. 3,437,500
239,500 Sepracor, Inc. 3,981,689
306,000 Twinlab Corporation 3,672,000
--------------
46,567,842
--------------
COMMUNICATIONS (3.5%)
128,900 Central European Media Enterprises,
Ltd. 3,609,200
55,900 Commnet Cellular, Inc. 1,579,175
58,900 Excel Communications, Inc. 1,472,500
101,850 Vanguard Cellular Systems, Inc. 1,718,718
166,900 Young Broadcasting Corporation 5,069,587
--------------
13,449,180
--------------
DEPOSITORY INSTITUTIONS (3.3%)
193,400 California Federal Bancorp, Inc. 4,689,950
513,200 Dime Bancorp, Inc. 8,147,050
--------------
12,837,000
--------------
EATING & DRINKING PLACES (2.3%)
434,200 Foodmaker, Inc. 3,962,076
587,800 Shoney's, Inc. 4,849,350
--------------
8,811,426
--------------
ELECTRIC, GAS, & SANITARY SERVICES (2.9%)
298,800 Philip Environmental, Inc. 3,884,400
219,300 USA Waste Services, Inc. 7,072,425
--------------
10,956,825
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
104
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (7.8%)
150,100 Adaptec, Inc. $ 5,591,225
219,700 American Power Conversion 5,204,143
202,500 BMC Industries, Inc.(a) 5,821,875
46,900 Hutchinson Technology, Inc. 2,473,975
81,200 Microchip Technology, Inc. 3,877,300
81,300 Portugal Telecom, ADR(a) 2,154,450
594,500 Silicon Storage Technology 4,830,312
--------------
29,953,280
--------------
FINANCIAL SERVICES (1.1%)
161,900 Credit Acceptance Corporation 4,189,162
--------------
FOOD STORES (1.5%)
273,100 Dominick's Supermarkets, Inc. 5,735,100
--------------
GENERAL MERCHANDISE STORES (1.4%)
149,500 Consolidated Stores Corporation 5,531,500
--------------
HEALTH SERVICES (3.8%)
61,000 Genesis Health Ventures, Inc. 1,700,375
230,800 OrNda Healthcorp 6,722,050
221,900 Quorum Health Group, Inc. 6,240,937
--------------
14,663,362
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.9%)
198,800 RFS Hotel Investors, Inc. 3,329,900
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (2.6%)
229,500 Aztar Corporation 1,663,875
290,300 Red Roof, Inc. 4,572,225
71,500 Sun International Hotels, Ltd. 3,548,187
--------------
9,784,287
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.6%)
104,200 American Standard Companies, Inc. 3,972,625
77 Applied Magnetics Corporation 2,107
78,800 Case Corporation(a) 4,137,000
241,500 Varco International, Inc. 5,524,312
--------------
13,636,044
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
INSURANCE CARRIERS (3.5%)
246,000 Everest Reinsurance Holdings,
Inc.(a) $ 6,918,750
112,700 The PMI Group, Inc.(a) 6,536,600
--------------
13,455,350
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (2.6%)
235,000 Mentor Corporation(a) 6,433,125
196,800 Possis Medical, Inc. 3,444,000
--------------
9,877,125
--------------
MISCELLANEOUS MANUFACTURING (0.6%)
174,600 RockShox, Inc. 2,247,975
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (1.4%)
147,200 Lear Seating Corporation 5,280,800
--------------
MISCELLANEOUS RETAIL (4.4%)
137,300 Borders Group, Inc. 5,011,450
445,225 OfficeMax, Inc. 6,455,762
186,600 Petsmart, Inc. 4,758,300
54,100 Rent-Way, Inc. 524,093
--------------
16,749,605
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.5%)
140,500 Olympic Financial, Ltd. 1,949,437
--------------
OIL & GAS EXTRACTION (10.5%)
105,700 Apache Corporation(a) 3,844,837
90,000 Dawson Production Services, Inc. 1,113,750
111,800 Input/Output, Inc. 2,683,200
291,900 Noble Drilling Corporation 5,619,075
212,500 Parker & Parsley Petroleum Company,
Delaware(a) 7,012,500
559,600 Parker Drilling Company 5,246,250
305,800 Pool Energy Services Company 4,510,550
127,600 Reading & Bates Corporation 3,700,400
107,200 Transocean Offshore, Inc.(a) 6,458,800
--------------
40,189,362
--------------
PRIMARY METAL INDUSTRIES (4.4%)
231,200 Olympic Steel, Inc. 5,577,700
222,000 Steel Dynamics, Inc. 4,051,500
29,600 Texas Industries, Inc.(a) 1,683,500
</TABLE>
[LOGO]
See Notes to Financial Statements.
105
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C> <C>
170,400 Titanium Metals Corporation $ 5,708,400
--------------
17,021,100
--------------
REAL ESTATE (1.1%)
268,500 Newhall Land & Farming Company(a) 4,195,314
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (1.1%)
86,500 Energy Ventures, Inc. 4,249,313
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.2%)
221,600 Amresco, Inc. 4,764,400
--------------
TRANSPORTATION EQUIPMENT (3.8%)
293,700 Gulfstream Aerospace Corporation 7,048,800
179,340 LucasVarity plc Sponsored ADR 7,599,534
--------------
14,648,334
--------------
WATER TRANSPORTATION (1.3%)
673,700 OMI Corporation 5,136,963
--------------
WHOLESALE TRADE-DURABLE GOODS (2.2%)
182,100 Tech Data Corporation 5,463,000
99,200 Ultrak, Inc. 3,038,000
--------------
8,501,000
--------------
WHOLESALE TRADE-NONDURABLE GOODS (2.3%)
85,800 AmeriSource Health Corporation 3,378,375
95,600 Barrett Resources Corporation 3,895,700
50,000 Nu Skin Asia Pacific Inc.-A 1,481,250
--------------
8,755,325
--------------
TOTAL COMMON STOCKS (COST $307,687,364) 370,850,173
--------------
REPURCHASE AGREEMENTS (3.3%)
12,505,372 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$12,511,260 (cost $12,505,372)(c) 12,505,372
--------------
TOTAL INVESTMENTS (100.0%) (COST $320,192,736)
$ 383,355,545
--------------
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
SMALL CAP OPPORTUNITIES FUND
- ----------------------------------------------------
1,154,582 Schroder U.S. Smaller Companies
Portfolio of Schroder Capital
Funds(o) $ 20,580,544
--------------
TOTAL INVESTMENTS (100.0%) (COST $19,986,613)
$ 20,580,544
--------------
--------------
- ----------------------------------------------------
CONTRARIAN STOCK FUND
- ----------------------------------------------------
COMMON STOCKS (96.5%)
APPAREL & ACCESORY STORES (2.7%)
25,200 Limited, Inc. $ 453,600
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (1.2%)
39,300 Hartmarx Corporation(a) 206,325
--------------
CHEMICALS & ALLIED PRODUCTS (3.0%)
3,100 Dow Chemical Company 259,625
15,500 Wellman, Inc. 249,937
--------------
509,562
--------------
COAL MINING (0.7%)
9,500 Pittston Minerals Group 125,875
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (2.4%)
11,100 Keystone International, Inc. 216,450
11,900 Material Sciences Corporation(a) 197,837
--------------
414,287
--------------
FOOD & KINDRED PRODUCTS (3.2%)
41,000 Chiquita Brands International,
Inc.(b) 543,250
--------------
GENERAL MERCHANDISE STORES (2.9%)
6,400 Dillard Department Stores, Inc.(b) 196,000
11,500 Wal-Mart Stores, Inc.(b) 293,250
--------------
489,250
--------------
HOLDING & OTHER INVESTMENT OFFICES (1.7%)
62,800 Mesabi Trust 282,600
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.4%)
14,300 Bombay Company, Inc.(a) 67,925
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
106
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (16.5%)
14,000 Ampco Pittsburgh Corporation $ 194,250
18,000 BW/IP Holding, Inc. 274,500
22,000 Data General Corporation(a) 321,750
24,000 Gerber Scientific, Inc. 372,000
10,000 Giddings & Lewis, Inc. 117,500
10,000 Goulds Pumps, Inc. 246,250
39,300 McDermott International, Inc. 697,575
15,200 Trinova Corporation 554,800
--------------
2,778,625
--------------
INSURANCE CARRIERS (4.1%)
12,700 Chubb Corporation 688,975
--------------
METAL MINING (3.1%)
21,500 Cyprus Amax Minerals Company(b) 532,125
--------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS (1.2%)
15,300 Dravo Corporation(a) 202,725
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.9%)
11,900 Swift Transportation, Inc.(a) 286,343
13,000 Werner Enterprises, Inc. 209,625
--------------
495,968
--------------
OIL & GAS EXTRACTION (7.7%)
9,000 Phillips Petroleum Company 406,127
39,000 USX-Marathon Group, Inc. 892,127
--------------
1,298,254
--------------
PAPER & ALLIED PRODUCTS (5.4%)
13,600 Bowater, Inc. 511,700
8,000 Champion International Corporation 344,000
1,300 Consolidated Papers, Inc. 64,512
--------------
920,212
--------------
PAPER & FOREST PRODUCTS (0.9%)
10,500 Abitibi - Price(b) 154,875
--------------
PRIMARY METAL INDUSTRIES (25.9%)
24,000 Alcan Aluminum, Ltd.(b) 846,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C> <C>
28,100 Alumax, Inc.(a) $ 909,737
72,300 Armco, Inc.(a) 325,350
4,500 Asarco, Inc. 122,625
46,000 Bethlehem Steel Corporation(a) 414,000
23,806 Inland Steel Industries, Inc. 443,386
60,100 LTV Corporation 646,075
23,000 USX-US Steel Group, Inc. 692,875
--------------
4,400,048
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (1.0%)
8,500 Lafarge Corporation(b) 163,625
--------------
TEXTILE MILL PRODUCTS (4.1%)
19,200 Albany International Corporation 424,800
5,000 Burlington Industries, Inc.(a) 54,375
26,000 Cone Mills Corporation(a) 217,750
--------------
696,925
--------------
TRANSPORTATION SERVICES (3.5%)
1,300 Aar Corporation 38,837
18,500 Ryder System, Inc. 561,937
--------------
600,774
--------------
TRUCKING (0.7%)
4,000 Teekay Shipping Corporation 120,000
--------------
WATER TRANSPORTATION (1.3%)
28,900 OMI Corporation(a) 220,364
--------------
TOTAL COMMON STOCKS (COST $16,519,649) 16,366,169
--------------
SHORT-TERM HOLDINGS (3.5%)
176,820 Dreyfus Cash Management Fund 176,820
418,427 Institutional Funds Group, TempFund
Fund 418,427
--------------
TOTAL SHORT-TERM HOLDINGS (COST $595,247) 595,247
--------------
TOTAL INVESTMENTS (100.0%) (COST $17,114,896)
$ 16,961,416
--------------
--------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
107
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONTINUED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C> <C>
- ----------------------------------------------------
INTERNATIONAL FUND
- ----------------------------------------------------
7,360,815 International Portfolio of Core
Trust (Delaware)(n) $ 179,347,192
--------------
TOTAL INVESTMENTS (100.0%) (COST $162,916,876)
$ 179,347,192
--------------
--------------
- ----------------------------------------------------
NOTES TO PORTFOLIO 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: BA Securities, Inc.,
collateralized by U.S. Treasury Bills 4.93% to 5.06%, due 12/12/96 to
1/16/97, Par $17,043,850; U.S. Treasury Notes 7.50%, due 12/31/96, Par
$15,000,000; Federal Farm Credit Bank 5.26% to 5.33%, due 12/31/96 to
5/23/97, Par $5,910,000; Federal Home Loan Mortgage Corporation 5.27%, due
1/2/97, Par $25,000,000; Federal National Mortgage Association 5.20% to
5.35%, due 12/27/96 to 6/24/97, Par $85,000,000; Student Loan Mortgage
Association 5.19%, due 12/2/96, Par $6,000,000. Chase Securities Inc.,
collateralized by Federal Home Loan Bank 5.19%, due 12/6/96, Par
$25,000,000; Federal Home Loan Mortgage Corporation 5.32%, due 12/9/96 to
12/12/96, Par $128,700,000.
(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.
(e) At November 30, 1996, $580,000 of U.S. Treasury
Bills, due 5/29/97 with a market value of $565,627 were pledged to cover
margin requirements for open futures contracts.
(f) During the period June 1, 1996 through November 30,
1996, Index Fund purchased 5,100 share 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 November 30, 1996.
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(continued)
- ----------------------------------------------------
(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 November 30, 1996, Diversified Equity Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represents 66.76%, 23.91%, and 33.09%,
respectively, of those portfolios' outstanding interest. Accordingly, the
Fund may be deemed to own 66.76%, 23.91%, and 33.09% of each security and
other assets net of other liabilities of the respective portfolios. The
Portfolio of Investments of Index Portfolio, Small Company Portfolio, and
International Portfolio II are presented beginning at page 117.
(j) As November 30, 1996, Growth Equity Fund's
investment in Small Company Portfolio and International Portfolio II of Core
Trust (Delaware) represents 64.31% and 50.66%, respectively, of those
portfolios' outstanding interest. Accordingly, the Fund may be deemed to own
64.31% and 50.66% 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
125.
(k) As November 30, 1996, Conservative Balanced Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represents 2.29%, .81%, and 2.29%,
respectively, of those portfolios' outstanding interest. Accordingly, the
Fund may be deemed to own 2.29%, .81%, and 2.29% 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 117.
(l) As November 30, 1996, Moderate Balanced Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represents 11.75%, 4.12%, and 5.70%,
[LOGO]
See Notes to Financial Statements.
108
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONCLUDED) NOVEMBER 30, 1996
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(continued)
- ----------------------------------------------------
respectively, of those portfolios' outstanding interest. Accordingly, the
Fund may be deemed to own 11.75%, 4.12%, and 5.70% 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 117.
(m) As November 30, 1996, Growth Balanced Fund's
investment in Index Portfolio, Small Company Portfolio, and International
Portfolio II of Core Trust (Delaware) represents 19.20%, 6.85%, and 9.44%,
respectively, of those portfolios' outstanding interest. Accordingly, the
Fund may be deemed to own 19.20%, 6.85%, and 9.44% 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 117.
(n) As November 30, 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 134.
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(continued)
- ----------------------------------------------------
(o) As November 30, 1996, Small Cap Opportunities
Fund's investment in Schroder U.S. Smaller Companies 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 Schroder U.S. Smaller Companies is presented at page 143.
(p) Variable rate demand notes are payable upon not
more than one, seven or thirty days notice. Put bonds and notes have demand
features which are exercisable within one year. The interest rate shown
reflects the rate in effect on the date of this report.
<TABLE>
<S> <C>
ADR American Depositary Receipts
AMBAC American Municipal Bond Assurance Corp.
BIG Bond Insurance Group
FGIC Federal Guaranty Insurance Corp.
FNMA Federal National Mortgage Association
FSA Financial Security Assurance, Inc.
GNMA Government National Mortgage Association
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
</TABLE>
[LOGO]
See Notes to Financial Statements.
109
<PAGE>
CORE TRUST (DELAWARE)
SEMI-ANNUAL REPORT
NOVEMBER 30, 1996
INDEX PORTFOLIO
SMALL COMPANY PORTFOLIO
INTERNATIONAL PORTFOLIO II
INTERNATIONAL PORTFOLIO
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS & LIABILITIES (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value(a) (Note 2)............... $406,939,543 $456,580,187 $489,717,033 $179,685,392
Collateral for securities loaned (Note 6)....... 121,228,643 30,767,686 - -
Cash............................................ - 360 - -
Interest, dividends and other receivables....... 869,866 297,474 985,389 352,244
Receivable for securities sold.................. - 3,998,821 9,148,412 2,588,574
Receivable for forward foreign currency
contracts, net (Note 3)....................... - - 772,669 261,936
Receivable for daily variation margin on futures
contracts (Note 2)............................ 21,850 - - -
Organization Costs, net of amortization (Note
2)............................................ 17,929 17,929 17,929 17,929
------------ ------------ ------------- -------------
TOTAL ASSETS...................................... 529,077,831 491,662,457 500,641,432 182,906,075
------------ ------------ ------------- -------------
LIABILITIES:
Payable for securities purchased................ - 4,581,702 13,423,336 3,415,223
Payable for securities loaned................... 121,228,643 30,767,686 - -
Accrued advisory or administration fees (Note
4)............................................ - - - 65,169
Accrued expenses & other payables............... 50,827 55,019 97,681 78,491
------------ ------------ ------------- -------------
TOTAL LIABILITIES................................. 121,279,470 35,404,407 13,521,017 3,558,883
------------ ------------ ------------- -------------
NET ASSETS........................................ $407,798,361 $456,258,050 $487,120,415 $179,347,192
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
COMPONENTS OF NET ASSETS:
Investors' capital.............................. $274,624,733 $395,003,793 $435,931,445 $162,605,837
Net unrealized appreciation (depreciation) from
investments................................... 133,173,628 61,254,257 51,188,970 16,741,355
------------ ------------ ------------- -------------
NET ASSETS........................................ $407,798,361 $456,258,050 $487,120,415 $179,347,192
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
(a) Investments at cost........................... $274,230,640 $395,325,930 $439,299,971 $163,206,889
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
110
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income................................. $ 250,850 $ 491,624 $ 584,352 $ 239,400
Dividend income(a).............................. 3,914,427 2,112,413 3,083,797 1,096,189
Securities lending income (Note 6).............. 4,117 22,148 - -
------------ ------------ ------------- -------------
TOTAL INCOME...................................... 4,169,394 2,626,185 3,668,149 1,335,589
------------ ------------ ------------- -------------
EXPENSES
Advisory fee (Note 4)........................... 278,687 1,847,638 1,007,059 363,300
Administration fee (Note 4)..................... 185,791 205,293 223,791 121,100
Transfer Agent fee (Note 4)..................... 6,000 6,000 6,000 6,000
Custodian fee (Note 4).......................... - - 162,967 58,600
Accounting fee (Note 4)......................... 53,000 33,000 43,000 45,000
Legal fee (Note 4).............................. 8,670 4,749 5,295 1,917
Registration fees............................... - - - -
Auditing fee.................................... 13,648 13,133 16,481 15,450
Trustees' fees.................................. 2,238 2,422 2,561 1,290
Amortization of organization costs (Note 2)..... 3,036 3,036 3,036 3,036
Other........................................... 23,969 18,951 23,725 12,108
------------ ------------ ------------- -------------
TOTAL EXPENSES.................................... 575,039 2,134,222 1,493,915 627,801
Fees waived (Note 4)............................ (331,094 ) (1,890,200 ) (1,033,487) (28,771)
------------ ------------ ------------- -------------
NET EXPENSES...................................... 243,945 244,022 460,428 599,030
------------ ------------ ------------- -------------
NET INVESTMENT INCOME (LOSS)...................... 3,925,449 2,382,163 3,207,721 736,559
------------ ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS
Net realized gain (loss)
from Securities................................. 3,856,355 12,056,592 5,103,710 1,097,404
Foreign currency transactions................... - - 2,310,589 775,301
Futures transactions............................ 857,348 - - -
------------ ------------ ------------- -------------
Net Realized Gain (Loss) from investments......... 4,713,703 12,056,592 7,414,299 1,872,705
------------ ------------ ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from:
Securities...................................... 43,254,800 598,762 2,122,821 1,245,127
Foreign currency transactions................... - - (906,277) (35,331)
Futures transactions............................ (319,550 ) - - -
------------ ------------ ------------- -------------
Net Change in Unrealized Appreciation
(Depreciation) from investments.................. 42,935,250 598,762 1,216,544 1,209,796
------------ ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM
INVESTMENTS...................................... 47,648,953 12,655,354 8,630,843 3,082,501
------------ ------------ ------------- -------------
INCREASE IN NET ASSETS FROM OPERATIONS............ $51,574,402 $15,037,517 $ 11,838,564 $ 3,819,060
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
(a) Net of foreign withholding taxes of........... $ - $ - $ 334,571 $ 124,231
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
111
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS NOVEMBER 30, 1996
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
----------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
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 3,944,815 923,241
Realized gain(loss) from investments............ 8,163,250 39,718,461 6,433,695 1,389,462
Net Change in unrealized appreciation from
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
----------- ----------- ------------- -------------
OPERATIONS
Net investment income........................... 3,925,449 2,382,163 3,207,721 736,559
Realized gain(loss) from investments............ 4,713,703 12,056,592 7,414,299 1,872,705
Net change in unrealized appreciation from
investments................................... 42,935,250 598,762 1,216,544 1,209,796
----------- ----------- ------------- -------------
51,574,402 15,037,517 11,838,564 3,819,060
----------- ----------- ------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions................................... 18,177,377 64,482,521 66,421,947 33,710,634
Withdrawals..................................... (22,422,573) (25,389,100) (30,955,253) (3,937,751)
----------- ----------- ------------- -------------
(4,245,196) 39,093,421 35,466,694 29,772,883
----------- ----------- ------------- -------------
NET ASSETS--NOVEMBER 30, 1996 (UNAUDITED)......... $407,798,361 $456,258,050 $487,120,415 $179,347,192
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
CORE TRUST (DELAWARE)
112
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOVEMBER 30, 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 certain estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from the 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
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
securities. 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. A 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)
113
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 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 recorded on the
basis of identified cost.
- --------------------------------------------------------------------------------
NOTE 3. FINANCIAL INSTRUMENTS
FINANCIAL FUTURES CONTRACTS-As of November 30, 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 November
30, 1996 is as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
POSITION CONTRACTS INDEX (DEPRECIATION)
- ------------ --------- -------------------------------------------- --------------
<S> <C> <C> <C>
Long 19 S&P 500 Futures, Expiring December 20, 1996 $464,725
</TABLE>
As of November 30, 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 November 30, 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.... December 16, 1996 Swiss Franc 11,200,000 $ 8,589,890 $522,519
Deutsche
International Portfolio II.... December 18, 1996 Mark 17,000,000 11,056,860 250,150
------------
$772,669
------------
------------
International Portfolio....... December 16, 1996 Swiss Franc 3,700,000 $ 2,837,715 $172,617
Deutsche
International Portfolio....... December 18, 1996 Mark 6,070,000 3,947,928 89,319
------------
$261,936
------------
------------
</TABLE>
CORE TRUST (DELAWARE)
114
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) NOVEMBER 30, 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. (the "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
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 the Portfolio. In addition, for the period ended November 30, 1996,
certain legal expenses were charged to the Portfolios by Forum. The respective
amounts for Index Portfolio, Small Company Portfolio and International Portfolio
II and International Portfolio were: $1,294, $1,459, $1,541, and $563.
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-For the period ended November 30, 1996, fees waived by the Portfolio's
service providers were as follows:
<TABLE>
<CAPTION>
FEES WAIVED FEES WAIVED
BY FORUM BY NORWEST
------------- -----------
<S> <C> <C>
Index Portfolio...................................................................... $ 21,000 $ 310,094
Small Company Portfolio.............................................................. 15,000 1,875,200
International Portfolio II........................................................... 7,000 1,026,487
International Portfolio.............................................................. 9,000 19,771
</TABLE>
- --------------------------------------------------------------------------------
NOTE 5. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales (including maturities) of securities
(excluding short-term investments) during the period ended November 30, 1996
were as follows:
<TABLE>
<CAPTION>
PROCEEDS
COST OF FROM
PURCHASES SALES
------------ ------------
<S> <C> <C>
Index Portfolio............... $ 41,694,394 $ 12,528,118
Small Company Portfolio....... 299,297,389 271,406,328
International Portfolio II.... 201,579,986 166,892,966
International Portfolio....... 82,630,156 53,454,199
</TABLE>
CORE TRUST (DELAWARE)
115
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) NOVEMBER 30, 1996
- --------------------------------------------------------------------------------
NOTE 5. SECURITIES TRANSACTIONS (CONTINUED)
Gross unrealized appreciation and depreciation based on identified tax cost as
of November 30, 1996 were as follows:
<TABLE>
<CAPTION>
UNREALIZED UNREALIZED TAX
APPRECIATION DEPRECIATION COST BASIS
------------ ------------ ------------
<S> <C> <C> <C>
Index Portfolio............... $136,101,648 $ 2,928,018 $274,230,640
Small Company Portfolio....... 73,206,862 11,952,605 395,325,930
International Portfolio II.... 68,428,288 17,239,318 439,299,971
International Portfolio....... 23,135,209 6,393,854 163,206,889
</TABLE>
- --------------------------------------------------------------------------------
NOTE 6. PORTFOLIO SECURITIES LOANED
As of November 30, 1996, Index Portfolio had loaned securities with a market
value of $117,098,438 which were collateralized by various securities, including
time deposits, commercial paper, corporate bonds and repurchase agreements with
a market value of $121,228,643. Small Company Portfolio had loaned securities
with a market value of $29,304,470 which were collateralized by various
securities, including time deposits, commercial paper, corporate bonds and
repurchase agreements with a market value of $30,767,686.
- --------------------------------------------------------------------------------
NOTE 7. CONCENTRATION OF RISK
International Portfolio II and International Portfolio have a relatively large
concentration of portfolio securities invested in companies domiciled in Japan.
The Portfolio's may be more susceptible to political, social and economic events
adversely affecting Japanese companies than portfolios not so concentrated.
- --------------------------------------------------------------------------------
NOTE 8. 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
June 1, 1996 to November 30,
1996......................... 1.06% 0.07% 0.16% 3.44% $0.0473
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
June 1, 1996 to November 30,
1996......................... 0.58% 0.06% 0.52% 66.78% $0.0562
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
June 1, 1996 to November 30,
1996......................... 0.72% 0.10% 0.33% 38.57% $0.0206
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
June 1, 1996 to November 30,
1996......................... 0.46% 0.37% 0.39% 34.75% $0.0213
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 various 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)
116
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (UNAUDITED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO
- ----------------------------------------------------
COMMON STOCKS (98.1%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
5,800 Pioneer Hi-Bred International, Inc. $ 404,550
--------------
AMUSEMENT & RECREATION SERVICES (0.9%)
7,100 Harrah's Entertainment, Inc.(a) 126,025
47,200 Walt Disney Company 3,481,000
--------------
3,607,025
--------------
APPAREL & ACCESSORY STORES (0.4%)
7,300 CVS Corporation(b) 300,213
7,200 Charming Shoppes, Inc.(a) 36,901
20,000 Gap, Inc.(b) 642,501
5,700 Nordstrom, Inc. 247,950
5,100 TJX Companies, Inc. 230,138
18,800 The Limited, Inc. 338,400
--------------
1,796,103
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.1%)
2,159 Footstar, Inc.(a) 44,261
5,100 Liz Claiborne, Inc. 216,113
4,400 V.F. Corporation 298,651
--------------
559,025
--------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.0%)
4,300 Pep Boys-Manny, Moe & Jack 157,488
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.0%)
2,000 Centex Corporation 72,000
2,700 Kaufman & Broad Home Corporation 34,763
1,700 Pulte Corporation 52,063
--------------
158,826
--------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS
(0.6%)
33,300 Home Depot, Inc. 1,735,765
11,900 Lowe's Companies, Inc. 483,439
--------------
2,219,204
--------------
BUSINESS SERVICES (4.3%)
11,700 3Com Corporation(a)(b) 878,964
3,200 Autodesk, Inc. 89,600
20,200 Automatic Data Processing, Inc.(b) 866,076
25,650 C.U.C. International, Inc.(a)(b) 676,520
10,600 Cabletron Systems, Inc.(a)(b) 427,975
4,800 Ceridian Corporation(a) 231,001
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
11,800 Cognizant Corporation(b) $ 407,100
25,400 Computer Associates International,
Inc. 1,670,050
5,200 Computer Sciences Corporation(a) 408,851
31,200 First Data Corporation(b) 1,244,100
5,700 Interpublic Group of Companies, Inc. 282,150
41,600 Microsoft Corporation(a) 6,526,001
24,600 Novell, Inc.(a) 270,600
45,500 Oracle Systems Corporation(a)(b) 2,229,500
4,000 Safety Kleen Corporation 63,500
1,700 Shared Medical Systems Corporation 84,575
12,800 Sun Microsystems, Inc.(a) 745,600
13,000 UST, Inc. 424,127
--------------
17,526,290
--------------
CHEMICALS & ALLIED PRODUCTS (7.4%)
54,200 Abbott Laboratories 3,021,650
7,700 Air Products & Chemicals, Inc. 535,150
2,000 Alberto Culver Company 95,000
4,500 Allergan, Inc. 144,563
5,900 Alza Corporation(a)(b) 166,675
9,200 Avon Products, Inc. 512,900
19,000 Baxter International, Inc.(b) 807,500
34,800 Bristol-Myers Squibb Company 3,958,500
3,600 Clorox Company 375,300
10,200 Colgate-Palmolive Company(b) 944,777
17,000 Dow Chemical Company 1,423,750
39,000 E.I. du Pont de Nemours & Company 3,675,750
5,500 Eastman Chemical Company(b) 314,189
4,500 Ecolab, Inc. 174,938
38,000 Eli Lilly & Company 2,907,000
2,500 FMC Corporation(a) 193,125
3,700 Goodrich (B.F.) Company 166,038
4,400 Great Lakes Chemical Corporation 235,951
7,400 Hercules, Inc. 358,900
7,700 International Flavors & Fragrances,
Inc.(b) 350,350
5,200 Mallinckrodt, Inc.(b) 228,800
40,700 Monsanto Company 1,617,825
9,900 Morton International, Inc. 399,713
4,700 Nalco Chemical Company(b) 179,189
12,900 PPG Industries, Inc.(b) 790,125
35,300 Pharmacia & Upjohn, Inc. 1,363,464
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
117
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
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>
10,900 Praxair, Inc. $ 530,015
4,500 Rohm & Haas Company 358,314
25,700 Schering-Plough Corporation(b) 1,831,125
6,000 Sherwin-Williams Company 340,500
9,000 Union Carbide Corporation 415,125
6,200 WR Grace - WI(a) 327,825
18,900 Warner-Lambert Company 1,351,350
--------------
30,095,376
--------------
COMMUNICATIONS (6.7%)
112,100 AT&T Corporation(b) 4,399,925
34,700 Airtouch Communications, Inc.(a) 889,188
13,200 Alltel Corporation 420,751
38,200 Ameritech Corporation 2,249,026
30,400 Bell Atlantic Corporation(b) 1,911,402
69,100 BellSouth Corporation 2,789,913
16,300 Comcast Corporation, Class A 273,025
67,300 GTE Corporation 3,020,089
2,600 King World Productions, Inc.(a) 99,125
48,800 MCI Communications Corporation 1,488,400
30,400 NYNEX Corporation 1,409,802
29,800 Pacific Telesis Group 1,102,600
42,400 SBC Communications, Inc.(b) 2,231,302
30,000 Sprint Corporation 1,256,252
45,400 Tele-Communications, Inc.(a) 612,900
33,200 US West Communications Group(b) 1,037,500
33,000 US West Media Group(a) 631,127
24,800 Viacom Inc. Class B(a)(b) 936,200
27,000 WorldCom, Inc. (a)(b) 624,375
--------------
27,382,902
--------------
DEPOSITORY INSTITUTIONS (8.1%)
30,200 Banc One Corporation 1,438,275
10,600 Bank of Boston Corporation 740,676
26,800 Bank of New York Company, Inc.(b) 961,450
25,100 BankAmerica Corporation 2,585,300
5,600 Bankers Trust New York Corporation 487,200
13,400 Barnett Banks, Inc. 589,600
10,900 Boatmen's Bancshares, Inc.(b) 726,213
30,300 Chase Manhattan Corporation 2,863,350
33,400 Citicorp(b) 3,648,950
8,000 Comerica, Inc. 468,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
15,500 Corestates Financial Corporation(b) $ 835,064
7,300 Fifth Third Bancorp 511,000
9,800 First Bank System, Inc.(b) 714,176
22,000 First Chicago NBD Corporation(b) 1,292,501
19,200 First Union Corporation 1,466,401
18,200 Fleet Financial Group, Inc.(b) 1,007,827
4,000 Golden West Financial Corporation(b) 270,000
9,500 Great Western Financial Corporation 295,688
7,400 H. F. Ahmanson & Company(b) 244,200
12,900 J.P. Morgan & Company, Inc. 1,217,438
16,100 KeyCorp(b) 843,240
9,000 Mellon Bank Corporation(b) 650,251
15,500 National City Corporation 718,814
20,300 NationsBank Corporation(b) 2,103,590
25,700 Norwest Corporation(a)(b)(e) 1,201,475
23,700 PNC Bank Corporation(b) 936,150
3,800 Republic New York Corporation 335,350
15,500 Suntrust Banks, Inc.(b) 786,625
10,800 U.S. Bancorp(b) 461,700
11,600 Wachovia Corporation 696,000
6,600 Wells Fargo & Company 1,878,527
--------------
32,975,031
--------------
EATING & DRINKING PLACES (0.8%)
11,000 Darden Restaurants, Inc. 94,876
1,700 Luby's Cafeterias, Inc. 37,400
8,900 Marriott International, Inc.(b) 496,175
48,700 McDonald's Corporation 2,276,725
3,500 Ryan's Family Steak Houses, Inc.(a) 24,500
3,300 Shoney's, Inc.(a) 27,225
8,900 Wendy's International, Inc. 190,239
--------------
3,147,140
--------------
ELECTRIC, GAS, & SANITARY SERVICES (4.1%)
13,000 American Electric Power Company(b) 539,500
10,300 Baltimore Gas and Electric Company(a) 287,115
14,800 Browning-Ferris Industries 397,750
11,000 CINergy Corporation 368,500
10,600 Carolina Power & Light Company(b) 388,227
14,600 Central & Southwest Corporation 390,550
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
118
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<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>
7,300 Coastal Corporation $ 351,314
3,800 Columbia Gas System, Inc. 245,575
16,300 Consolidated Edison Company of New
York, Inc. 472,700
6,600 Consolidated Natural Gas Company 377,026
10,100 DTE Energy Company 323,200
12,300 Dominion Resources, Inc. 468,938
14,100 Duke Power Company(b) 653,889
4,800 ENSERCH Corporation 112,200
1,400 Eastern Enterprises 52,500
30,400 Edison International(b) 604,202
17,600 Enron Corporation(b) 805,200
15,900 Entergy Corporation(b) 431,290
12,700 FPL Group, Inc.(b) 585,789
8,400 General Public Utilities
Corporation(b) 282,450
18,300 Houston Industries, Inc.(b) 402,600
21,700 Laidlaw, Inc., Class B 265,825
10,100 Niagara Mohawk Power Corporation(a) 88,375
3,500 Nicor, Inc. 129,063
9,500 NorAm Energy Corporation 147,250
4,800 Northern States Power Company 226,202
10,600 Ohio Edison Company 243,800
1,900 Oneok, Inc. 52,250
11,300 PP&L Resources, Inc. 258,488
20,500 PacifiCorp 430,500
5,900 Pacific Enterprises 180,689
28,900 Pacific Gas & Electric Company(b) 697,214
10,500 Panenergy Corporation 462,000
15,500 Peco Energy Company(b) 395,250
2,400 People's Energy Corporation 87,000
17,000 Public Service Enterprise Group, Inc. 486,627
6,000 Sonat, Inc. 310,500
46,800 Southern Company 1,041,300
15,600 Texas Utilities Company 616,200
7,100 Union Electric Company 282,225
34,200 WMX Technologies, Inc.(b) 1,231,200
7,300 Williams Companies, Inc. 409,713
--------------
16,582,186
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (8.0%)
15,300 AMP, Inc. 585,225
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
9,400 Advanced Micro Devices, Inc.(a) $ 227,950
4,200 Andrew Corporation(a) 243,075
7,500 Cooper Industries, Inc.(b) 311,250
8,100 DSC Communications Corporation(a) 145,800
15,600 Emerson Electric Company 1,530,750
114,800 General Electric Company(b) 11,939,200
9,500 General Instrument Corporation(a) 210,188
2,700 Harris Corporation 184,950
8,800 Honeywell, Inc. 603,903
8,100 ITT Corporation(a) 373,614
57,200 Intel Corporation(b) 7,257,252
9,000 LSI Logic Corporation(a)(b) 271,127
44,207 Lucent Technologies, Inc.(b) 2,265,611
7,000 Maytag Corporation 133,876
14,500 Micron Technology, Inc.(b) 480,314
41,200 Motorola, Inc. 2,281,451
9,600 National Semiconductor
Corporation(a)(b) 235,200
3,300 National Service Industries 115,500
17,900 Northern Telecom, Ltd. 1,176,925
3,100 Raychem Corporation 264,275
5,400 Scientific-Atlanta, Inc. 83,700
12,400 Tellabs, Inc.(a) 492,900
13,200 Texas Instruments, Inc. 841,500
2,800 Thomas & Betts Corporation 126,700
5,200 Whirlpool Corporation 260,000
--------------
32,642,236
--------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES
(0.1%)
3,933 ACNielson Corporation 68,336
11,800 Dun & Bradstreet Corporation 266,977
3,300 EG&G, Inc. 60,225
--------------
395,538
--------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION
EQUIPMENT (0.9%)
2,100 Ball Corporation 51,450
2,100 Crane Company 98,175
8,900 Crown Cork & Seal Company, Inc. 471,700
30,900 Gillette Company(b) 2,278,875
5,200 Parker-Hannifin Corporation 211,250
4,200 Snap-On, Inc. 152,251
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
119
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
6,200 Stanley Works $ 182,900
--------------
3,446,601
--------------
FOOD STORES (0.5%)
17,500 Albertson's, Inc. 610,315
10,200 American Stores Company 406,726
4,100 Giant Food, Inc., Class A 138,375
2,600 Great Atlantic & Pacific Tea Company 85,150
8,700 Kroger Company(a) 401,290
10,600 Winn-Dixie Stores, Inc. 356,426
--------------
1,998,282
--------------
FOOD & KINDRED PRODUCTS (7.9%)
2,600 Adolph Coors Company 51,676
34,500 Anheuser-Busch Companies, Inc.(b) 1,461,938
38,000 Archer Daniels Midland Company(b) 836,000
4,800 Brown-Forman Corporation 223,200
10,100 CPC International Inc. 840,825
17,200 Campbell Soup Company 1,421,151
173,300 Coca-Cola Company 8,859,963
16,900 Conagra Inc.(b) 897,813
11,100 General Mills, Inc. 704,850
25,700 Heinz (H.J.) Company(b) 973,388
10,700 Hershey Foods Corporation 533,663
14,700 Kellogg Company(b) 997,764
108,900 PepsiCo, Inc. 3,253,388
47,700 Procter & Gamble Company 5,187,375
9,400 Quaker Oats Company 370,126
7,300 Ralston-Ralston Purina Group(b) 558,450
33,800 Sara Lee Corporation 1,326,650
26,000 Seagram Company, Ltd.(b) 1,062,752
11,200 Unilever N.V. ADR(b) 1,939,002
7,300 Whitman Corporation 167,900
8,100 Wrigley (Wm) Jr. Company(b) 472,839
--------------
32,140,713
--------------
FURNITURE & FIXTURES (0.1%)
11,200 Masco Corporation 408,800
--------------
GENERAL MERCHANDISE STORES (2.4%)
15,100 Dayton Hudson Corporation(b) 587,016
7,900 Dillard Department Stores, Inc. Class
A(b) 241,939
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
GENERAL MERCHANDISE STORES (continued)
<TABLE>
<C> <S> <C>
14,400 Federated Department Stores,
Inc.(a)(b) $ 491,401
5,100 Harcourt General, Inc. 278,590
15,700 J.C. Penney Company, Inc.(b) 843,875
33,800 Kmart Corporation 376,028
17,300 May Department Stores Company(a) 843,375
2,500 Mercantile Stores Company, Inc. 125,625
13,600 Price/Costco, Inc.(a) 316,200
27,200 Sears Roebuck and Company 1,353,200
159,500 Wal-Mart Stores, Inc.(b) 4,067,250
9,300 Woolworth Corporation(a) 223,200
--------------
9,747,699
--------------
HEALTH SERVICES (0.6%)
6,900 Beverly Enterprises, Inc.(a) 91,425
46,700 Columbia/HCA Healthcare Corporation(b) 1,868,000
4,400 Manor Care, Inc. 111,100
15,100 Tenet Healthcare Corporation(a) 337,864
--------------
2,408,389
--------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS
(0.2%)
5,800 Fluor Corporation(b) 394,400
2,800 Foster Wheeler Corporation 101,151
8,000 Halliburton Company 482,000
--------------
977,551
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (0.1%)
6,900 Circuit City Stores, Inc.(b) 230,289
--------------
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (0.3%)
3,500 Bally Entertainment Corporation(a) 101,938
3,950 Choice Hotels Corporation Inc.(a) 67,651
8,600 HFS, Inc.(a)(b) 556,850
13,700 Hilton Hotels Corporation(b) 400,725
--------------
1,127,164
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.3%)
8,400 Amdahl Corporation(a) 99,752
8,600 Apple Computer, Inc. 207,477
12,400 Applied Materials, Inc.(a)(b) 472,751
10,100 Baker Hughes, Inc. 369,914
13,100 Bay Networks, Inc.(a) 350,425
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
120
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<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>
6,100 Black & Decker Corporation $ 231,039
2,100 Briggs & Stratton Corporation 86,888
6,900 Brunswick Corporation 175,950
5,100 Case Corporation(b) 267,750
13,400 Caterpillar, Inc.(b) 1,060,276
2,700 Cincinnati Milacron, Inc. 56,025
45,000 Cisco Systems Inc.(a) 3,054,376
18,700 Compaq Computer Corporation(a)(b) 1,481,975
2,700 Cummins Engine Company, Inc. 122,175
2,700 Data General Corporation(a) 39,488
17,900 Deere & Company(b) 798,789
6,300 Dell Computer Corporation(a) 640,238
10,800 Digital Equipment Corporation(a) 396,900
7,900 Dover Corporation 421,663
12,400 Dresser Industries, Inc. 406,100
16,100 EMC Corporation(a)(b) 519,225
3,400 General Signal Corporation 146,626
2,400 Giddings & Lewis, Inc. 28,200
3,200 Harnischfeger Industries, Inc. 142,001
71,100 Hewlett-Packard Company 3,830,513
7,600 Ingersoll-Rand Company 353,400
3,200 Intergraph Corporation(a) 29,200
36,700 International Business Machines
Corporation(b) 5,849,063
3,800 McDermott International, Inc. 67,450
8,000 Pall Corporation(b) 209,001
10,400 Pitney Bowes, Inc. 613,600
14,600 Seagate Technology Inc.(a)(b) 576,700
11,900 Silicon Graphics, Inc.(a) 236,514
8,200 Tandem Computers, Inc.(a) 111,726
4,100 Tandy Corporation 172,714
11,800 Tenneco, Inc.(b) 601,800
2,200 Timken Company 100,375
2,000 Trinova Corporation 73,000
10,600 Tyco International, Ltd.(b) 580,350
12,000 Unisys Corporation(a) 91,502
29,300 Westinghouse Electric Corporation(b) 549,375
--------------
25,622,286
--------------
INSURANCE AGENTS, BROKERS, & SERVICE (0.3%)
3,100 Alexander & Alexander Services, Inc. 44,950
7,500 Aon Corporation 456,563
11,300 Humana, Inc.(a) 213,289
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
INSURANCE AGENTS, BROKERS, & SERVICE (continued)
<TABLE>
<C> <S> <C>
5,000 Marsh & McLennan Companies, Inc.(b) $ 566,875
--------------
1,281,677
--------------
INSURANCE CARRIERS (3.9%)
10,500 Aetna, Inc.(b) 757,315
30,900 Allstate Corporation 1,861,725
14,200 American General Corporation(b) 583,976
32,600 American International Group, Inc. 3,749,000
5,300 CIGNA Corporation 749,289
12,100 Chubb Corporation(b) 656,425
5,500 General Re Corporation(b) 928,125
8,100 ITT Hartford Group, Inc. 553,839
5,000 Jefferson-Pilot Corporation 291,251
7,200 Lincoln National Corporation(b) 387,901
8,000 Loews Corporation 742,000
4,100 MGIC Investment Corporation 306,988
6,500 Providian Corporation 347,750
8,800 Safeco Corporation 366,300
5,900 St. Paul Companies, Inc. 347,363
5,000 Torchmark Corporation 260,000
44,533 Travelers Group, Inc. 2,003,985
2,300 US Life Corporation 71,013
8,200 USF&G Corporation 164,000
12,800 United Healthcare Corporation(b) 552,001
5,100 Unum Corporation 362,739
--------------
16,042,985
--------------
LEATHER & LEATHER PRODUCTS (0.0%)
3,400 Stride Rite Corporation 34,000
--------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
7,500 Louisiana-Pacific Corporation 169,688
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.9%)
3,900 Bard (C.R.), Inc. 109,200
3,900 Bausch & Lomb, Inc. 144,789
8,600 Becton, Dickinson & Company(b) 361,200
8,000 Biomet, Inc.(b) 132,000
12,300 Boston Scientific Corporation(a)(b) 718,013
23,400 Eastman Kodak Company 1,895,400
2,800 Johnson Controls, Inc. 217,000
16,600 Medtronic, Inc. 1,097,676
3,000 Millipore Corporation 122,625
3,000 Perkin-Elmer Corporation 184,875
3,100 Polaroid Corporation 132,138
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
121
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL & OPTICAL
GOODS (continued)
<TABLE>
<C> <S> <C>
16,400 Raytheon Company $ 838,451
5,600 St. Jude Medical, Inc.(a) 233,800
2,300 Tektronix, Inc. 112,125
4,300 U.S. Surgical Corporation 172,538
22,600 Xerox Corporation 1,110,228
--------------
7,582,058
--------------
METAL MINING (0.6%)
24,900 Barrick Gold Corporation(b) 747,000
15,700 Battle Mountain Gold Company 113,825
6,500 Cyprus Amax Minerals Company(b) 160,875
9,700 Echo Bay Mines, Ltd. 60,020
13,600 Freeport McMoran Inc., Class B 428,400
10,200 Homestake Mining Company 154,277
7,000 Newmont Mining Corporation 335,127
16,600 Placer Dome, Inc.(b) 392,176
9,100 Santa Fe Pacific Gold Corporation 104,650
--------------
2,496,350
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
6,000 Hasbro, Inc.(b) 246,751
8,200 ITT Industries, Inc. 191,670
2,600 Jostens, Inc. 55,250
19,000 Mattel, Inc. 586,624
600 NACCO Industries, Inc. 28,657
--------------
1,108,952
--------------
MISCELLANEOUS RETAIL (0.4%)
1,400 Longs Drug Stores, Inc. 70,176
5,900 Rite Aid Corporation(b) 233,788
19,000 Toys "R" Us, Inc.(a) 655,500
17,100 Walgreen Company(b) 713,925
--------------
1,673,389
--------------
MOTION PICTURES (0.1%)
15,000 Unicom Corporation 399,376
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.0%)
2,700 Caliber System, Inc. 52,314
3,000 Consolidated Freightways, Inc. 72,376
2,000 Yellow Corporation(a) 30,000
--------------
154,690
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.3%)
33,000 American Express Company 1,724,250
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
NONDEPOSITORY CREDIT INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
3,700 Beneficial Corporation $ 229,863
11,500 Dean Witter Discover & Company(b) 786,315
12,400 Federal Home Loan Mortgage
Corporation(b) 1,416,700
75,900 Federal National Mortgage Association 3,130,875
9,500 Green Tree Financial Corporation 397,813
6,800 Household International, Inc.(b) 644,300
15,500 MBNA Corporation 625,815
4,600 Transamerica Corporation 365,126
--------------
9,321,057
--------------
OIL & GAS EXTRACTION (1.3%)
8,700 Burlington Resources, Inc. 461,100
1,800 Helmerich & Payne, Inc. 96,750
22,400 Occidental Petroleum Corporation 537,600
7,200 Oryx Energy Company(a) 149,400
18,300 Phillips Petroleum Company 825,789
5,900 Rowan Companies, Inc.(a) 139,388
6,300 Santa Fe Energy Resources, Inc.(a) 91,351
17,000 Schlumberger, Ltd.(b) 1,768,000
20,000 USX-Marathon Group, Inc. 457,501
17,599 Union Pacific Resources Group, Inc.(b) 525,770
3,700 Western Atlas, Inc.(a) 260,850
--------------
5,313,499
--------------
PAPER & ALLIED PRODUCTS (2.1%)
3,600 Avery Dennison Corporation 254,251
3,600 Bemis Company, Inc. 128,251
3,300 Boise Cascade Corporation(b) 102,300
6,700 Champion International Corporation 288,100
6,400 Georgia Pacific Corporation 465,600
20,900 International Paper Company(b) 888,250
5,900 James River Corporation of Virginia(b) 188,800
19,600 Kimberly-Clark Corporation 1,915,900
3,600 Mead Corporation 213,300
29,200 Minnesota Mining & Manufacturing
Company(b) 2,445,500
6,900 Stone Container Corporation 106,088
3,800 Temple-Inland, Inc. 204,250
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
122
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
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>
4,800 Union Camp Corporation $ 235,802
7,000 Westvaco Corporation 197,751
13,800 Weyerhaeuser Company 634,800
3,800 Willamette Industries 258,400
--------------
8,527,343
--------------
PERSONAL SERVICES (0.2%)
7,100 H & R Block, Inc. 207,675
16,300 Service Corporation International 491,038
--------------
698,713
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (7.1%)
6,500 Amerada Hess Corporation 382,688
34,600 Amoco Corporation 2,685,820
4,500 Ashland, Inc. 216,000
11,200 Atlantic Richfield Company(b) 1,558,200
45,400 Chevron Corporation 3,041,800
86,300 Exxon Corporation 8,166,140
3,400 Kerr-McGee Corporation 238,000
2,300 Louisiana Land & Exploration Company 137,420
27,400 Mobil Corporation 3,315,400
3,200 Pennzoil Company 180,000
37,300 Royal Dutch Petroleum Company ADR(b) 6,336,340
5,200 Sun Company, Inc. 130,000
18,400 Texaco, Inc. 1,823,901
17,200 Unocal Corporation(b) 700,900
--------------
28,912,609
--------------
PHARMACEUTICAL PREPARATIONS (4.9%)
44,200 American Home Products Corporation 2,839,840
18,400 Amgen Inc.(a) 1,120,100
92,600 Johnson & Johnson 4,919,360
84,600 Merck & Company, Inc.(b) 7,021,800
44,600 Pfizer, Inc. 3,997,250
--------------
19,898,350
--------------
PRIMARY METAL INDUSTRIES (0.9%)
15,800 Alcan Aluminum, Ltd.(b) 556,950
12,100 Allegheny Teledyne Inc. 282,838
12,100 Aluminum Company of America(b) 769,863
7,400 Armco, Inc.(a) 33,300
2,900 Asarco, Inc. 79,025
7,700 Bethlehem Steel Corporation(a) 69,300
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
10,000 Engelhard Corporation $ 195,000
11,600 Inco, Ltd. 404,551
3,400 Inland Steel Industries, Inc. 63,325
6,100 Nucor Corporation 331,689
4,600 Phelps Dodge Corporation 334,077
4,400 Reynolds Metals Company(b) 261,800
5,900 USX-US Steel Group, Inc. 177,731
6,400 Worthington Industries, Inc. 127,201
--------------
3,686,650
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.3%)
5,200 American Greetings Corporation 146,900
5,800 Deluxe Corporation 179,800
6,800 Dow Jones & Company, Inc. 236,300
9,800 Gannett Company, Inc. 769,300
2,200 John H. Harland Company 67,920
6,700 Knight-Ridder, Inc.(b) 281,400
7,000 McGraw-Hill Companies, Inc. 318,485
1,900 Meredith Corporation 97,850
7,000 Moore Corporation, Ltd. 147,000
6,800 New York Times Company 254,145
10,700 R.R. Donnelley & Sons Company(b) 358,450
39,400 Time Warner, Inc.(b) 1,605,550
7,100 Times Mirror Company 371,850
4,200 Tribune Company 363,300
--------------
5,198,250
--------------
RAILROAD TRANSPORTATION (1.0%)
10,700 Burlington Northern Santa Fe
Corporation 961,663
14,700 CSX Corporation 687,225
5,700 Conrail, Inc.(b) 554,325
8,800 Norfolk Southern Corporation 792,000
16,900 Union Pacific Corporation 984,425
--------------
3,979,638
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.8%)
2,500 Armstrong World Industries 188,125
5,800 Cooper Tire and Rubber Company 118,900
10,800 Goodyear Tire & Rubber Company 523,800
8,500 Illinois Tool Works, Inc.(b) 728,875
20,000 Nike, Inc. Class B 1,137,500
3,900 Reebok International, Ltd. 148,200
10,400 Rubbermaid, Inc. 249,600
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
123
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (continued)
<TABLE>
<C> <S> <C>
4,300 Tupperware Corporation $ 227,900
--------------
3,322,900
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.5%)
11,700 Merrill Lynch & Company, Inc.(b) 938,925
10,600 Morgan Stanley Group, Inc.(b) 637,326
7,300 Salomon, Inc. 333,064
--------------
1,909,315
--------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (0.3%)
16,000 Corning, Inc.(b) 648,000
11,100 Newell Company 344,100
3,600 Owens-Corning Corporation(a)(b) 154,351
--------------
1,146,451
--------------
TEXTILE MILL PRODUCTS (0.1%)
5,300 Fruit of the Loom, Inc. Class A(a)(b) 188,813
2,600 Russell Corporation 74,750
1,400 Springs Industries, Inc. Class A 65,100
--------------
328,663
--------------
TOBACCO PRODUCTS (1.5%)
11,800 American Brands, Inc. 563,450
56,900 Philip Morris Companies, Inc. 5,867,800
--------------
6,431,250
--------------
TRANSPORTATION BY AIR (0.4%)
6,400 AMR Corporation(a) 584,000
5,500 Delta Airlines, Inc.(b) 413,875
7,800 Federal Express Corporation(a) 345,150
10,100 Southwest Airlines Company 249,975
4,400 U.S. Air Group, Inc.(a) 102,300
--------------
1,695,300
--------------
TRANSPORTATION EQUIPMENT (4.5%)
19,700 Allied-Signal Inc. 1,443,025
24,200 Boeing Company 2,404,800
50,600 Chrysler Corporation(b) 1,796,300
7,000 Dana Corporation 217,876
5,400 Eaton Corporation(b) 373,950
4,300 Echlin, Inc.(b) 144,589
2,400 Fleetwood Enterprises, Inc. 73,200
82,200 Ford Motor Company 2,692,050
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
4,400 General Dynamics Corporation $ 324,500
52,600 General Motors Corporation 3,031,070
13,900 Lockheed Martin Corporation(b) 1,259,650
15,000 McDonnell Douglas Corporation 793,120
5,200 Navistar International Corporation 49,400
4,000 Northrop Grumman Corporation 332,501
2,700 Paccar, Inc. 179,550
15,200 Rockwell International Corporation 976,600
4,500 TRW, Inc.(b) 438,180
5,600 Textron, Inc. 534,100
8,400 United Technologies Corporation(b) 1,178,100
--------------
18,242,561
--------------
TRANSPORTATION SERVICES (0.0%)
5,700 Ryder System, Inc. 173,138
--------------
WHOLESALE TRADE--DURABLE GOODS (0.2%)
8,400 Genuine Parts Company 378,000
3,500 Grainger (W.W.), Inc. 278,250
2,000 Potlatch Corporation 88,500
--------------
744,750
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
9,100 Alco Standard Corporation(b) 470,925
2,600 Fleming Companies, Inc. 42,576
3,400 Sigma Aldrich 212,500
4,700 Supervalu, Inc. 139,238
12,600 Sysco Corporation 429,976
--------------
1,295,215
--------------
TOTAL COMMON STOCKS (COST $266,816,714) 399,525,511
--------------
TIME DEPOSITS (1.8%)
7,116,588 Sanwa Bank Ltd., 5.75%, due 12/2/96
(cost $7,116,588) 7,116,588
--------------
U.S. TREASURY OBLIGATIONS (0.1%)
305,000 U.S. Treasury Bills, 5.21% yield, due
5/29/97 (cost $297,336)(d) 297,444
--------------
TOTAL INVESTMENTS (100.0%)
(COST $274,230,638) $406,939,543
--------------
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
124
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (continued) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO
- ----------------------------------------------------
SMALL COMPANY CORE INVESTMENT STYLE (33.8%)
COMMON STOCKS (31.8%)
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.4%)
104,500 Ugly Duckling Corporation(a)(b) $ 1,815,688
--------------
BUSINESS SERVICES (3.9%)
35,400 Computer Task Group, Inc. 1,482,375
117,600 HCIA, Inc. 3,381,000
155,500 IKOS Systems, Inc.(a) 2,993,375
86,700 Information Management Resources,
Inc.(b) 1,430,550
28,300 Keane, Inc.(a) 1,496,360
162,000 Renters Choice, Inc.(a) 2,956,500
55,300 STB Systems, Inc.(a)(b) 1,230,425
164,050 USCS International, Inc.(b) 2,747,838
--------------
17,718,423
--------------
CHEMICALS & ALLIED PRODUCTS (0.7%)
133,200 Tetra Technologies, Inc. 3,392,431
--------------
DEPOSITORY INSTITUTIONS (1.4%)
264,500 Bank Plus Corporation(a) 3,008,685
115,700 GA Financial, Inc. 1,764,425
61,000 Ocean Financial Corporation 1,570,750
--------------
6,343,860
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (3.9%)
140,200 Actel Corporation 3,084,400
61,600 Computer Products, Inc.(a) 1,239,700
115,250 Etec Systems, Inc. 3,385,470
61,900 Harman International Industries
Inc.(b) 3,156,900
65,600 P-COM, Inc.(a)(b) 2,082,800
139,200 Powell Industries, Inc.(a) 1,392,000
181,700 Symmetricom, Inc. 3,429,585
--------------
17,770,855
--------------
FINANCIAL SERVICES (.4%)
53,100 Southern Pacific Funding
Corporation(b) 1,685,925
--------------
HEALTH SERVICES (1.8%)
7,500 Express Scripts, Inc. 267,188
194,000 Inphynet Medical Management, Inc.(b) 3,516,250
72,000 Physicians Resource Group, Inc. 1,494,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
HEALTH SERVICES (continued)
<TABLE>
<C> <S> <C>
163,200 RoTech Medical Corporation(b) $ 2,774,400
--------------
8,051,838
--------------
HOLDING & OTHER INVESTMENTS (0.2%)
69,350 HealthCare Financial Partners, Inc. 866,875
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.6%)
93,550 Ciprico, Inc. 1,286,310
107,900 Greenfield Industries 3,156,075
222,000 Par Technology Corporation 2,997,000
--------------
7,439,385
--------------
INSURANCE CARRIERS (0.4%)
82,200 Sierra Health Services, Inc.(b) 2,024,175
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (1.9%)
109,000 Arrow International, Inc. 2,915,750
88,200 Lunar Corporation 2,734,200
75,600 Zygo Corporation(a)(b) 3,005,100
--------------
8,655,050
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.5%)
16,500 RockShox, Inc. 212,437
192,000 YES! Entertainment Corporation(b) 1,968,001
--------------
2,180,438
--------------
MISCELLANEOUS RETAIL (0.1%)
34,300 Friedman's, Inc. Class A(a) 471,626
--------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.7%)
138,200 Swift Transportation, Inc.(a) 3,325,439
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.2%)
162,500 AmeriCredit Corporation(a) 3,229,687
280,350 Imperial Credit Industries,
Inc.(a)(b) 5,957,437
129,900 Imperial Credit Mortgage Holdings 2,825,325
99,700 Medallion Financial Corporation 1,433,185
197,300 Resource Bancshares Mortgage Group,
Inc.(a) 2,984,161
125,851 WFS Financial, Inc.(a) 2,894,551
--------------
19,324,346
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
125
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
OIL & GAS EXTRACTION (6.4%)
364,050 Abacan Resource Corporation $ 3,117,180
59,300 Flores & Rucks Inc.(a)(b) 2,913,112
101,500 Forcenergy, Inc.(b) 3,108,438
166,400 FX Energy, Inc. 1,497,600
88,000 Key Energy Group 1,067,000
207,800 Marine Drilling Company, Inc.(a) 3,298,826
68,175 Neuvo Energy Company(a) 3,408,750
162,000 Pride Petroleum Services, Inc.(b) 2,936,251
139,900 Seagull Energy Corporation(a) 3,200,213
102,350 Tuboscope Vetco International
Corporation(a) 1,573,632
91,400 Vintage Petroleum, Inc. 3,061,900
--------------
29,182,902
--------------
REAL ESTATE (0.7%)
171,425 NHP, Inc.(a) 2,978,510
--------------
SAVINGS INSTITUTION, FEDERALLY CHARTERED (0.6%)
82,100 Coast Savings Financial(a)(b) 2,914,550
--------------
TRANSPORTATION BY AIR (1.7%)
113,250 Atlas Air, Inc.(a) 5,266,125
99,000 Kitty Hawk, Inc. 1,188,000
132,100 Mesa Airlines, Inc.(a) 1,304,488
--------------
7,758,613
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
95,500 United Natural Foods, Inc.(b) 1,289,251
--------------
TOTAL COMMON STOCKS (COST $124,704,158) 145,190,180
--------------
REPURCHASE AGREEMENTS (2.0%)
4,600,982 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$4,603,148 (cost $4,600,982)(c) 4,600,982
4,600,982 Chase Securities, Inc., 5.92%, due
12/2/96, to be repurchased at
$4,603,252 (cost $4,600,982)(c) 4,600,982
--------------
TOTAL REPURCHASE AGREEMENTS (COST $9,201,964)
9,201,964
--------------
TOTAL SMALL COMPANY CORE INVESTMENT STYLE (COST
$133,906,122) 154,392,144
--------------
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
SMALL COMPANY VALUE INVESTMENT STYLE (33.3%)
COMMON STOCKS (31.7%)
AMUSEMENT & RECREATION SERVICES (0.6%)
39,300 Cedar Fair L.P. $ 1,439,360
133,900 Jackpot Enterprises, Inc. 1,339,000
--------------
2,778,360
--------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.2%)
52,000 Pillowtex Corporation 903,500
--------------
AUTOMOTIVE REPAIR, SERVICES, & PARKING (0.2%)
37,200 Breed Technologies, Inc. 995,100
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.4%)
45,800 Continental Homes Holding
Corporation 938,900
132,400 MDC Holdings, Inc. 993,000
--------------
1,931,900
--------------
BUSINESS SERVICES (0.2%)
63,700 Sequent Computer Systems, Inc. 1,074,935
--------------
CHEMICALS & ALLIED PRODUCTS (1.7%)
35,850 Bio-Rad Laboratories, Inc. 1,071,015
75,000 First Mississippi Corporation 2,165,625
142,000 NL Industries, Inc. 1,366,751
41,900 Terra Nitrogen Company, L.P. 1,806,935
70,900 Wellman, Inc. 1,143,260
--------------
7,553,586
--------------
COAL MINING (0.2%)
53,000 Zeigler Coal Holding Co. 973,876
--------------
DEPOSITORY INSTITUTIONS (3.3%)
75,360 Commerce Bancorp, Inc. 2,185,440
30,100 First Citizens BancShares, Inc. 2,408,000
61,400 First Hawaiian, Inc. 1,995,500
62,750 One Valley Bancorp of West Virginia 2,353,126
77,500 Peoples Bank of Bridgeport,
Connecticut 2,179,687
76,600 Peoples Heritage Financial Group,
Inc. 2,144,800
88,500 Trans Financial, Inc. 1,891,689
--------------
15,158,242
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
126
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
EATING & DRINKING PLACES (0.6%)
114,100 Perkins Family Restaurants, L.P. $ 1,454,775
53,100 Sbarro, Inc. 1,387,238
--------------
2,842,013
--------------
ELECTRIC, GAS, & SANITARY SERVICES (3.3%)
28,800 CILCORP, Inc. 1,051,200
99,800 Central Vermont Public Service 1,247,500
57,500 Energen Corporation 1,559,690
69,700 Isomedix, Inc. 958,375
73,600 NUI Corporation 1,472,000
150,300 NorAm Energy Corporation 2,329,650
66,800 Public Service Company of New Mexico 1,277,551
57,800 Rochester Gas & Electric Corporation 1,105,426
81,200 Safety Kleen Corporation 1,289,052
79,800 Tuscon Electric Power Company 1,496,250
32,200 United Illuminating Company 1,074,676
--------------
14,861,370
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (2.1%)
68,000 Cypress Semiconductor Corporation 833,000
56,600 Exar Corporation 884,376
86,800 Exide Electronics Group, Inc. 943,952
39,200 HADCO Corporation 1,820,350
23,900 Hutchinson Technology, Inc. 1,260,725
60,000 Read-Rite Corporation(a) 1,327,500
27,100 Trinova Corporation 989,150
61,000 VLSI Technology, Inc.(a) 1,403,000
--------------
9,462,053
--------------
FOOD STORES (0.5%)
152,600 Ingles Markets, Inc. 2,222,239
50,400 Penn Traffic Company 258,301
--------------
2,480,540
--------------
FURNITURE & FIXTURES (0.6%)
45,200 Kimball International, Inc., Class B 1,887,100
58,600 Knape & Vogt Manufacturing Company 922,950
--------------
2,810,050
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
GENERAL MERCHANDISE STORES (0.2%)
28,000 Waban Inc. $ 738,500
--------------
HEALTH SERVICES (0.5%)
74,500 GranCare, Inc. 1,322,375
93,200 Regency Health Services, Inc. 978,600
--------------
2,300,975
--------------
HOME FURNITURE, FURNISHINGS, & EQUIPMENT STORES (.1%)
3,000 Rex Stores Corporation 419,250
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.4%)
47,000 AGCO Corporation 1,310,126
39,900 Allied Products Corporation 952,616
66,000 Data General Corporation(a) 965,250
36,600 Kysor Industrial Corporation 1,116,300
33,000 Lam Research Corporation 1,183,875
58,600 Park-Ohio Industries 842,377
--------------
6,370,544
--------------
INSURANCE CARRIERS (2.4%)
48,600 Allied Group, Inc. 2,150,550
68,900 Capitol American Financial
Corporation 2,497,625
72,000 Fremont General Corporation 2,241,000
71,600 Harleysville Group, Inc. 2,219,600
46,000 PXRE Corporation 1,109,750
22,600 Transnational Re Corporation(a) 567,826
--------------
10,786,351
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.9%)
55,400 Allied Healthcare Products, Inc. 387,800
39,200 Amcast Industrial Corporation 926,101
35,000 Esterline Technologies Corporation 888,126
55,300 Haemonetics Corporation(a) 960,838
37,000 SpaceLabs Medical, Inc. 744,626
--------------
3,907,491
--------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.4%)
12,900 NACCO Industries, Inc. 615,975
75,700 Oneida Limited 1,286,900
--------------
1,902,875
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
127
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MISCELLANEOUS RETAIL (0.1%)
120,000 Service Merchandise $ 660,000
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.7%)
122,900 Consumer Portfolio Services 1,582,335
95,100 First Merchants Acceptance
Corporation 1,997,100
128,000 Olympic Financial, Ltd.(a) 1,776,000
167,990 Resource Bancshares Mortgage Group,
Inc.(a) 2,540,845
--------------
7,896,280
--------------
PAPER & ALLIED PRODUCTS (0.4%)
60,100 Chesapeake Corporation 1,833,050
--------------
PERSONAL SERVICES (0.6%)
48,600 Angelica Corporation 935,550
94,000 CPI Corporation 1,598,000
--------------
2,533,550
--------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.2%)
77,000 Tesoro Petroleum Corporation(a) 1,116,500
--------------
PRIMARY METAL INDUSTRIES (1.6%)
41,500 MAXXAM, Inc. 1,914,190
83,400 Quanex Corporation 2,230,950
30,400 Texas Industries, Inc. 1,729,000
160,600 WHX Corporation 1,505,626
--------------
7,379,766
--------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.0%)
28,800 Houghton Mifflin Company 1,508,400
56,100 John H. Harland Company 1,732,085
31,900 Plenum Publishing Corporation 1,140,425
--------------
4,380,910
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.1%)
66,400 Applied Extrusion Technologies, Inc. 622,500
--------------
SAVINGS INSTITUTION, FEDERALLY CHARTERED (1.2%)
26,080 Charter One Financial Inc. 1,134,480
105,700 Roosevelt Financial Group, Inc. 2,021,510
159,305 Sovereign Bancorp, Inc. 2,090,875
--------------
5,246,865
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (1.4%)
49,000 Eaton Vance Corporation 2,107,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (continued)
<TABLE>
<C> <S> <C>
130,300 Morgan Keegan, Inc. $ 2,280,250
76,000 Raymond James Financial, Inc. 2,156,500
--------------
6,543,750
--------------
TEXTILE MILL PRODUCTS (0.3%)
223,000 Collins & Aikman Corporation 1,338,000
--------------
TRANSPORTATION BY AIR (0.3%)
45,500 Midwest Express Holdings, Inc. 1,501,500
--------------
TRANSPORTATION EQUIPMENT (1.6%)
55,400 A. O. Smith Corporation 1,641,225
115,000 Artic Cat Inc. 1,092,500
84,000 Avondale Industries Inc. 1,459,500
80,400 Gencorp, Inc. 1,487,400
149,100 Navistar International
Corporation(a) 1,416,450
--------------
7,097,075
--------------
WHOLESALE TRADE--DURABLE GOODS (0.5%)
21,700 Barnes Group, Inc. 1,231,473
57,000 Getty Petroleum Corporation 912,000
--------------
2,143,473
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.9%)
55,200 Bindley Western Industries, Inc. 979,800
34,800 Chemed Corporation 1,305,000
88,800 Nash-Finch Company 1,687,200
--------------
3,972,000
--------------
TOTAL COMMON STOCKS (COST $128,666,396) 144,516,730
--------------
REPURCHASE AGREEMENTS (1.6%)
3,718,255 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
3,718,255 (cost $3,718,255)(c) 3,718,255
3,718,255 Chase Securities, Inc., 5.92%, due
12/2/96, to be repurchased at
3,720,089 (cost $3,718,255)(c) 3,718,255
--------------
TOTAL REPURCHASE AGREEMENTS (COST $7,436,510)
7,436,510
--------------
TOTAL SMALL COMPANY VALUE INVESTMENT STYLE (COST
$136,102,906) 151,953,240
--------------
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
128
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
SMALL COMPANY GROWTH INVESTMENT STYLE (32.9%)
COMMON STOCKS (31.0%)
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR
MATERIALS (0.5%)
84,000 Warnaco Group Inc. Class A $ 2,236,501
--------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS
(0.4%)
93,700 Del Webb Corporation 1,581,189
--------------
BUSINESS SERVICES (1.1%)
32,100 Computer Horizons Corporation 1,075,350
87,900 GTECH Holdings Corporation 2,768,850
48,700 Winthrop Resources Corporation 1,387,950
--------------
5,232,150
--------------
CHEMICALS & ALLIED PRODUCTS (3.4%)
36,100 Agouron Pharmaceuticals Inc. 1,980,988
60,000 Biovail Corporation International(a) 1,710,000
72,000 Elan Corporation, plc Sponsored
ADR(a) 2,142,000
123,900 Genzyme Corporation(a) 2,818,725
47,600 Interneuron Pharmaceuticals, Inc. 928,200
42,100 Martek Biosciences Corporation(a) 747,275
80,000 North American Vaccine, Inc. 1,950,002
102,300 Sepracor, Inc.(a) 1,700,738
119,000 Twinlab Corporation 1,428,000
--------------
15,405,928
--------------
COMMUNICATIONS (1.0%)
54,700 Central European Media Enterprises,
Ltd.(a) 1,531,600
19,800 Commnet Cellular Inc(a) 559,350
40,900 Vanguard Cellular Systems, Inc.(a) 690,187
62,700 Young Broadcasting Corporation 1,904,513
--------------
4,685,650
--------------
DEPOSITORY INSTITUTIONS (1.3%)
96,000 California Federal Bancorp, Inc.(a) 2,328,000
223,400 Dime Bancorp, Inc.(a) 3,546,475
--------------
5,874,475
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
EATING & DRINKING PLACES (0.9%)
232,100 Foodmaker, Inc. $ 2,117,914
248,600 Shoney's, Inc.(a) 2,050,950
--------------
4,168,864
--------------
ELECTRIC, GAS, & SANITARY SERVICES (1.0%)
111,900 Philip Environmental, Inc.(a) 1,454,700
93,500 U.S.A. Waste Services, Inc.(a) 3,015,375
--------------
4,470,075
--------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT
COMPUTER EQUIPMENT (3.1%)
54,400 Adaptec Inc. 2,026,400
94,700 American Power Conversion 2,243,205
98,600 BMC Industries Inc. 2,834,750
19,500 Hutchinson Technology, Inc.(a) 1,028,625
29,100 Microchip Technology, Inc. 1,389,525
30,100 Portugal Telecom, ADR 797,650
235,500 Silicon Storage Technology 1,913,435
160,000 SmallWorldWide plc-ADR 1,800,000
--------------
14,033,590
--------------
FOOD STORES (0.5%)
109,200 Dominick's Supermarkets, Inc. 2,293,200
--------------
FINANCIAL SERVICES (0.3%)
60,500 Credit Acceptance Corporation(a) 1,565,438
--------------
FURNITURE & FIXTURES (0.4%)
55,700 Lear Corporation(a) 1,998,237
--------------
GENERAL MERCHANDISE STORES (1.0%)
61,000 Consolidated Stores Corporation(a) 2,257,000
123,000 Stage Stores, Inc.(a) 2,306,250
--------------
4,563,250
--------------
HEALTH SERVICES (1.2%)
21,500 Genesis Health Ventures, Inc.(a) 599,310
93,800 OrNda Healthcorp(a) 2,731,925
82,600 Quorum Health Group, Inc.(a) 2,323,125
--------------
5,654,360
--------------
HOLDING & OTHER INVESTMENT OFFICES (0.2%)
60,500 RFS Hotel Investors, Inc.(a) 1,013,375
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
129
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
HOTELS, ROOMING HOUSES, CAMPS, & OTHER LODGING PLACES (0.8%)
85,800 Aztar Corporation $ 622,050
119,700 Red Roof, Inc.(a) 1,885,275
25,800 Sun International Hotels, Ltd.(a) 1,280,325
--------------
3,787,650
--------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.2%)
38,100 American Standard Companies, Inc. 1,452,564
34,300 Case Corporation 1,800,750
90,900 Varco International Inc. 2,079,338
--------------
5,332,652
--------------
INSURANCE CARRIERS (1.2%)
81,500 Everest Reinsurance Holdings, Inc. 2,292,188
56,200 The PMI Group, Inc. 3,259,600
--------------
5,551,788
--------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC,
MEDICAL & OPTICAL GOODS (0.9%)
97,100 Mentor Corporation 2,658,114
80,000 Possis Medical, Inc.(a) 1,400,000
--------------
4,058,114
--------------
MISCELLANEOUS MANUFACTURING (0.2%)
65,400 RockShox, Inc. 842,025
--------------
MISCELLANEOUS RETAIL (1.5%)
56,200 Borders Group, Inc.(a) 2,051,300
194,175 OfficeMax, Inc.(a) 2,815,538
72,800 Petsmart, Inc.(a) 1,856,400
--------------
6,723,238
--------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.2%)
55,900 Olympic Financial Ltd.(a) 775,612
--------------
OIL & GAS EXTRACTION (3.5%)
40,600 Apache Corporation 1,476,825
35,700 Barrett Resources Corporation(a) 1,454,775
43,000 Input/Output Inc.(a) 1,032,000
109,000 Noble Drilling Corporation 2,098,250
82,400 Parker & Parsley Petroleum Company,
Delaware(a) 2,719,200
<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>
194,900 Parker Drilling Company $ 1,827,185
115,500 Pool Energy Services Company 1,703,625
43,100 Reading & Bates Corporation(a) 1,249,900
35,500 Transocean Offshore Inc. 2,138,875
--------------
15,700,635
--------------
PRIMARY METAL INDUSTRIES (1.5%)
93,800 Olympic Steel, Inc. 2,262,925
114,500 Steel Dynamics, Inc. 2,089,625
11,400 Texas Industries, Inc. 648,375
64,900 Titanium Metals Corporation, 2,174,150
--------------
7,175,075
--------------
REAL ESTATE (0.3%)
93,100 Newhall Land & Farming Company 1,454,684
--------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.5%)
48,200 Energy Ventures, Inc. 2,367,825
--------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES, & SERVICE (0.4%)
86,100 Amresco Inc. 1,851,150
--------------
TRANSPORTATION EQUIPMENT (1.2%)
111,000 Gulfstream Aerospace Corporation 2,664,000
68,876 LucasVarity plc-ADR 2,918,620
--------------
5,582,620
--------------
WATER TRANSPORTATION (0.5%)
274,200 OMI Corporation 2,090,775
--------------
WHOLESALE TRADE--DURABLE GOODS (0.5%)
75,400 Tech Data Corporation(a) 2,262,000
--------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
37,400 AmeriSource Health Corporation 1,472,626
--------------
TOTAL COMMON STOCKS (COST $116,886,850) 141,804,751
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
130
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (continued) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (1.9%)
4,215,026 BA Securities, Inc., 5.65%, due
12/2/96, to be repurchased at
$4,217,105 (cost $4,215,026(c) $ 4,215,026
4,215,026 Chase Securities, Inc., 5.92%, due
12/2/96, to be repurchased at
$4,217,105 (cost $4,215,026)(c) 4,215,026
--------------
TOTAL REPURCHASE AGREEMENTS (COST $8,430,052)
8,430,052
--------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$125,316,902) 150,234,803
--------------
--------------
TOTAL INVESTMENTS (100.0%) (COST $395,325,930)
$456,580,187
--------------
--------------
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II
- ----------------------------------------------------
STOCKS AND WARRANTS (94.8%)
ARGENTINA (0.3%)
COMMON STOCKS
213,982 Compania Naviera Perez Companc SA $ 1,455,806
--------------
AUSTRALIA (0.8%)
COMMON STOCKS
240,000 Australia & New Zealand Banking
Group Ltd. 1,577,456
68,000 Brambles Industries Ltd. 1,190,748
140,000 Woodside Petroleum Ltd.(a) 984,036
--------------
3,752,240
--------------
BRAZIL (0.7%)
COMMON STOCKS
45,260 Telecomunicacoes Brasileiras SA --
Telebras ADR 3,428,446
--------------
CANADA (1.4%)
COMMON STOCKS
59,000 Canadian Pacific Ltd. 1,622,107
152,000 NOVA Corporation 1,449,391
66,000 Noranda, Inc. 1,562,328
63,000 Royal Bank of Canada 2,337,489
--------------
6,971,315
--------------
CHILE (0.3%)
COMMON STOCKS
14,200 Compania Telecomunicacion Chile 1,350,776
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
DENMARK (0.5%)
COMMON STOCKS
83,000 ISS International Service System A/S $ 2,297,178
--------------
FRANCE (6.5%)
COMMON STOCKS
18,800 Canal Plus 4,312,488
40,925 Compagnie Generale des Eaux 5,046,471
84,000 Elf Aquitaine 7,335,887
90,541 Michelin 4,644,417
18,360 Primagaz Cie 1,901,294
76,000 SGS-Thomson Microelectronics NV(a) 5,027,764
31,500 Societe Generale 3,443,974
--------------
31,712,295
--------------
GERMANY (5.2%)
COMMON STOCKS
150,000 Bayer AG 6,030,837
9,000 Mannesmann AG 3,747,316
5,700 SGL Carbon AG 704,574
126,000 Veba AG 7,381,628
200 Wella AG 110,078
PREFERRED STOCKS
19,225 GEA AG 5,755,867
3,400 Wella AG 1,875,739
--------------
25,606,039
--------------
HONG KONG (5.8%)
COMMON STOCKS
440,200 Cheung Kong Holdings Ltd. 3,871,393
1,132,000 Citic Pacific Ltd. 5,900,103
707,200 Hutchison Whampoa Ltd. 5,464,976
223,900 Sun Hung Kai Properties Ltd. 2,779,928
537,200 Swire Pacific Ltd. 5,089,227
1,050,000 Wharf (Holdings) Ltd. 5,431,971
--------------
28,537,598
--------------
INDONESIA (1.2%)
COMMON STOCKS
751,400 PT Indofoods Sukses Makmur 1,570,090
473,000 PT Indosat 1,306,044
1,207,000 PT Telekomunikasi Indonesia 1,994,509
54,700 PT Unilever Indonesia 821,083
--------------
5,691,726
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
131
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
ITALY (1.4%)
COMMON STOCKS
1,590,000 Fiat SpA(a) $ 4,649,552
1,027,100 Telecom Italia SpA 2,420,422
--------------
7,069,974
--------------
JAPAN (26.1%)
COMMON STOCKS
163,000 Amada Metrecs Company Ltd. 1,819,068
144,000 Arcland Sakamoto 1,809,490
323,000 Bridgestone Corporation 5,960,456
165,000 Credit Saison Company Ltd. 3,784,270
247 DDI Corporation 1,768,937
730,000 Dai-Tokyo Fire & Marine Insurance
Company 4,426,187
730 East Japan Railway Company 3,348,506
290,000 Fuji Photo Film Company 9,097,539
58,000 Glory Ltd. 1,503,515
403,000 Hanshin Electric Railway(a) 1,657,329
56,500 Hirose Electric Company 3,425,746
647,000 Hitachi Ltd. 6,026,540
272,000 Ito-Yokado Company Ltd. 13,743,408
124,000 Japan Airport Terminal Company 1,765,205
1,932,000 Kobe Steel Ltd.(a) 4,498,945
28,000 Kyocera Corporation 1,801,055
84,000 Mabuchi Motor Company 4,222,144
42,000 Meiko Shokai 1,734,622
1,088,000 Mitsubishi Electric Corporation 6,262,215
234,000 Murata Manufacturing Company Ltd. 7,998,770
39,000 Nagaileben Company Ltd. 1,679,262
178,000 Omron Corporation 3,394,201
85,800 SMC Corporation 5,820,527
665,000 Takeda Chemical Industries 13,031,194
20,000 Toho Company 3,181,018
838,000 Tokio Marine & Fire Insurance
Company 9,278,382
184,000 Toyota Motor Corporation 5,028,471
--------------
128,067,002
--------------
KOREA, REPUBLIC OF (0.9%)
COMMON STOCKS
42,000 Korea Electric Power Corporation 1,342,663
33,900 Korean Air 675,751
12,000 Pohang Iron & Steel Company Ltd. 799,011
9,602 Samsung Electronics Company 708,969
<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>
54,054 Shinhan Bank $ 966,379
--------------
4,492,773
--------------
MALAYSIA (3.3%)
COMMON STOCKS
1,800,000 DCB Holdings Berhad 6,160,238
791,000 Hicom Holdings Berhad 2,284,590
659,000 Tenaga Nasional Berhad 2,998,417
496,000 United Engineers (Malaysia) Ltd. 4,493,927
--------------
15,937,172
--------------
MEXICO (0.2%)
COMMON STOCKS
350,936 Cemex SA de CV 1,166,897
--------------
NETHERLANDS (9.2%)
COMMON STOCKS
9,223 Ceteco Holdings NV 520,381
290,000 Elsevier NV 4,944,042
203,088 Getronics NV 5,440,803
63,000 Gucci Group NV 4,622,625
41,000 Heineken NV 7,358,365
327,862 ING Groep NV 11,483,252
56,341 KLM Royal Dutch Air Lines NV 1,453,856
60,000 Koninklijke Ahold NV 3,754,132
45,476 Koninklijke Sphinx Gustavsberg NV 553,781
37,980 Oce-Van Der Grinten NV 4,140,470
35,000 Otra NV 604,812
PREFERRED STOCKS
6,100 ING Group NV 32,896
--------------
44,909,415
--------------
PHILIPPINES (1.0%)
COMMON STOCKS
1,481,502 Ayala Land Inc. 1,606,282
183,300 Manila Electric Company "B" Shares 1,359,792
14,390 Manila Electric Company GDR 514,443
15,000 Philippine Long Distance Telephone
Company 875,942
6,800 Philippine Long Distance Telephone
Company ADR 391,000
760,000 SM Prime Holdings 182,150
--------------
4,929,609
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
132
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
PORTUGAL (0.8%)
COMMON STOCKS
80,200 Portugal Telecom(a) $ 2,129,158
129,450 Semapa-Sociedade de Investimento e
Gestao SGPS SA 2,001,933
--------------
4,131,091
--------------
SINGAPORE (3.5%)
COMMON STOCKS
555,000 City Developments Ltd. 4,907,302
360,000 Development Bank of Singapore Ltd. 4,646,320
240,400 Singapore Press Holdings Ltd. 4,542,640
305,000 United Overseas Bank Ltd. 3,240,516
--------------
17,336,778
--------------
SPAIN (0.9%)
COMMON STOCKS
12,000 Banco Popular Espanol SA 2,325,869
90,000 Centros Comerciales Pryca SA 1,890,348
--------------
4,216,217
--------------
SWEDEN (1.9%)
COMMON STOCKS
215,000 Atlas Copco AB 4,964,618
138,000 Telefonaktiebolaget LM Ericsson "B"
Shares 4,255,643
--------------
9,220,261
--------------
SWITZERLAND (7.5%)
COMMON STOCKS
5,500 ABB Asea Brown Boveri Ltd. 6,888,199
16,200 Adecco SA 4,179,683
33,000 CS Holding AG 3,515,895
11,500 Ciba-Geigy AG 14,243,647
3,700 Nestle SA 4,020,195
500 Roche Holding AG 3,847,040
--------------
36,694,659
--------------
THAILAND (0.8%)
COMMON STOCKS
105,000 Land & House Public Company Ltd. 830,448
270,700 Thai Farmers Bank Public Company
Ltd. 2,310,559
100,000 United Communication Industry 806,566
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
THAILAND (continued)
<TABLE>
<C> <S> <C>
WARRANTS
33,837 Thai Farmers Bank Public Company
Ltd.(a) $ 43,389
--------------
3,990,962
--------------
UNITED KINGDOM (14.6%)
COMMON STOCKS
272,900 Airtours plc 3,083,939
827,000 Asda Group plc 1,653,722
115,900 Barclays plc 1,992,366
65,000 British Aerospace plc 1,264,829
273,300 British Airways plc 2,700,394
350,420 British Land Company plc 2,847,053
900,800 British Steel plc 2,512,734
249,700 Cable & Wireless plc 1,997,264
218,609 Cadbury Schweppes plc 1,882,660
358,000 Courtaulds plc 2,406,319
810,000 David S. Smith (Holdings) plc 4,273,904
199,000 De La Rue plc 1,942,850
295,600 Enterprise Oil plc 2,955,504
345,000 Guinness plc 2,585,616
135,000 Johnson Matthey plc 1,234,078
228,600 Kingfisher plc 2,493,050
696,300 LASMO plc 2,585,823
389,000 Lloyds TSB Group plc 2,693,127
800,000 LucasVarity plc(a) 3,407,831
831,900 MFI Furniture plc 2,697,978
1,165,000 Pilkington Brothers plc 2,926,693
235,370 Prudential Corporation plc 1,928,128
140,000 RTZ Corporation plc 2,352,546
407,000 Rank Group plc 2,975,046
372,850 Tesco plc 2,129,587
101,405 Tibbett and Britten Group plc 1,087,152
330,584 United News & Media plc 3,749,691
705,800 Vodafone Group plc 3,054,000
72,000 Zeneca Group plc 1,984,205
--------------
71,398,089
--------------
TOTAL STOCKS AND WARRANTS (COST $413,947,256)
464,364,318
--------------
SHORT-TERM HOLDINGS (5.2%)
25,352,715 Norwest Cash Investment Fund 25,352,715
--------------
TOTAL INVESTMENTS (100.0%) (COST $439,299,971)
$489,717,033
--------------
--------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
133
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO
- ----------------------------------------------------
STOCKS AND WARRANTS (96.4%)
ARGENTINA (0.3%)
COMMON STOCKS
79,991 Compania Naviera Perez Companc SA $ 544,211
--------------
BRAZIL (0.7%)
COMMON STOCKS
16,790 Telecomunicacoes Brasileiras
SA--Telebras ADR 1,271,843
--------------
CANADA (1.5%)
COMMON STOCKS
22,000 Canadian Pacific Ltd. 604,853
56,000 NOVA Corporation 533,987
25,000 Noranda Inc. 591,790
24,000 Royal Bank of Canada 890,471
--------------
2,621,101
--------------
CHILE (0.3%)
COMMON STOCKS
5,200 Compania Telecomunicacion Chile 494,651
--------------
DENMARK (0.4%)
COMMON STOCKS
28,300 ISS International Service System A/S 783,254
--------------
FRANCE (7.7%)
COMMON STOCKS
7,200 Canal Plus 1,651,591
14,466 Compagnie Generale des Eaux 1,783,805
31,000 Elf Aquitaine 2,707,291
75,181 Michelin 3,856,506
6,765 Primagaz Cie 751,292
26,000 SGS-Thomson Microelectronics NV(a) 1,720,024
12,300 Societe Generale 1,344,790
WARRANTS
615 Primagaz Cie-CW(a) 12,953
--------------
13,828,252
--------------
GERMANY (5.2%)
COMMON STOCKS
50,000 Bayer AG 2,010,279
3,500 Mannesmann AG 1,457,289
1,800 SGL Carbon AG 222,497
1,000 Siemens AG 48,273
47,000 Veba AG 2,753,463
100 Wella AG 55,039
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
GERMANY (continued)
<TABLE>
<C> <S> <C>
PREFERRED STOCKS
6,790 GEA AG $ 2,032,892
1,300 Wella AG 717,195
--------------
9,296,927
--------------
HONG KONG (5.5%)
COMMON STOCKS
146,700 Cheung Kong Holdings Ltd. 1,290,171
377,000 Citic Pacific Ltd. 1,964,964
255,400 Hutchison Whampoa Ltd. 1,973,635
74,700 Sun Hung Kai Properties Ltd. 927,470
179,400 Swire Pacific Ltd. 1,699,567
400,000 Wharf (Holdings) Ltd. 2,069,323
--------------
9,925,130
--------------
INDONESIA (1.2%)
COMMON STOCKS
227,700 PT Indofoods Sukses Makmur 475,791
178,000 PT Indosat 491,492
500,000 PT Telekomunikasi Indonesia 826,226
20,700 PT Unilever Indonesia 310,721
--------------
2,104,230
--------------
ITALY (1.4%)
COMMON STOCKS
590,000 Fiat SpA(a) 1,725,306
346,700 Telecom Italia SpA 817,019
--------------
2,542,325
--------------
JAPAN (26.3%)
COMMON STOCKS
60,000 Amada Metrecs Company Ltd. 669,595
53,000 Arcland Sakamoto 665,993
118,000 Bridgestone Corporation 2,177,504
66,000 Credit Saison Company Ltd. 1,513,709
73 DDI Corporation 522,803
257,000 Dai-Tokyo Fire & Marine Insurance
Company 1,558,260
240 East Japan Railway Company 1,100,879
108,000 Fuji Photo Film Company 3,388,049
21,000 Glory Ltd. 544,377
148,000 Hanshin Electric Railway(a) 608,647
20,400 Hirose Electric Company 1,236,907
237,000 Hitachi Ltd. 2,207,557
100,000 Ito-Yokado Company Ltd. 5,052,722
44,000 Japan Airport Terminal Company 626,363
724,000 Kobe Steel Ltd.(a) 1,685,941
10,000 Kyocera Corporation 643,234
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
134
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
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>
29,000 Mabuchi Motor Company $ 1,457,645
15,000 Meiko Shokai 619,510
398,000 Mitsubishi Electric Corporation 2,290,773
89,000 Murata Manufacturing Company Ltd. 3,042,269
14,000 Nagaileben Company Ltd. 602,812
71,000 Omron Corporation 1,353,866
33,400 SMC Corporation 2,265,800
251,000 Takeda Chemical Industries 4,918,541
7,500 Toho Company 1,192,882
308,000 Tokio Marine & Fire Insurance
Company 3,410,194
67,000 Toyota Motor Corporation 1,831,019
--------------
47,187,851
--------------
KOREA, REPUBLIC OF (1.1%)
COMMON STOCKS
14,000 Korea Electric Power Corporation 447,554
500 Korea Mobile Telecommunications 505,398
19,800 Korean Air 394,686
3,000 Pohang Iron & Steel Company Ltd. 199,752
3,400 Samsung Electronics(a) 251,427
12,000 Shinhan Bank 214,536
422 Samsung Electronics Company 1st New 30,443
--------------
2,043,796
--------------
MALAYSIA (3.7%)
COMMON STOCKS
690,000 DCB Holdings Berhad 2,361,425
264,000 Hicom Holdings Berhad 762,493
438,000 Tenaga Nasional Berhad 1,992,879
169,000 United Engineers (Malaysia) Ltd. 1,531,197
--------------
6,647,994
--------------
MEXICO (0.2%)
COMMON STOCKS
130,000 Cemex SA de CV 432,263
--------------
NETHERLANDS (9.2%)
COMMON STOCKS
3,484 Ceteco Holdings NV 196,574
100,000 Elsevier NV 1,704,842
61,476 Getronics NV 1,646,964
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
NETHERLANDS (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
23,000 Gucci Group $ 1,687,625
15,500 Heineken NV 2,781,821
121,215 ING Groep NV 4,245,513
30,365 KLM Royal Dutch Air Lines NV 783,557
22,000 Koninklijke Ahold NV 1,376,515
17,218 NV Koninklijke Sphinx Gustavsberg 209,672
15,071 Oce-Van Der Grinten NV 1,642,996
13,000 Otra NV 224,645
PREFERRED STOCKS
2,300 ING Groep NV 12,404
--------------
16,513,128
--------------
PHILIPPINES (1.1%)
COMMON STOCKS
644,062 Ayala Land Inc. 698,310
45,500 Manila Electric Company-B Shares 337,537
9,015 Manila Electric Company GDR 322,286
7,000 Philippine Long Distance Telephone
Company 408,773
2,600 Philippine Long Distance Telephone
Company ADR 149,500
200,000 SM Prime Holdings 47,934
--------------
1,964,340
--------------
PORTUGAL (0.9%)
COMMON STOCKS
30,160 Portugal Telecom(a) 800,691
48,300 Semapa--Sociedade de Investimento e
Gestao SGPS SA 746,956
--------------
1,547,647
--------------
SINGAPORE (3.5%)
COMMON STOCKS
185,000 City Developments Ltd. 1,635,767
133,000 Development Bank of Singapore Ltd. 1,716,558
95,000 Singapore Press Holdings Ltd. 1,795,137
115,000 United Overseas Bank Ltd. 1,221,834
--------------
6,369,296
--------------
SPAIN (1.0%)
COMMON STOCKS
4,500 Banco Popular Espanol SA 872,201
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
135
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS OF CORE TRUST (DELAWARE) (CONTINUED) NOVEMBER 30,
1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
SPAIN (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
42,000 Centros Comerciales Pryca, SA $ 882,162
--------------
1,754,363
--------------
SWEDEN (1.8%)
COMMON STOCKS
80,000 Atlas Copco AB 1,847,300
46,000 Telefonaktiebolaget LM Ericsson "B"
Shares 1,418,548
--------------
3,265,848
--------------
SWITZERLAND (7.7%)
COMMON STOCKS
2,100 ABB Asea Brown Boveri Ltd. 2,630,040
6,400 Adecco SA 1,651,233
12,500 CS Holding AG 1,331,778
4,210 Ciba-Geigy AG 5,214,413
1,300 Nestle SA 1,412,501
210 Roche Holding AG 1,615,756
--------------
13,855,721
--------------
THAILAND (0.8%)
COMMON STOCKS
53,100 Krung Thai Bank Public Company Ltd. 151,771
42,000 Land & House Public Company Ltd. 332,180
62,900 Thai Farmers Bank Public Company
Ltd. 536,883
45,000 United Communication Industry 362,955
WARRANTS
7,862 Thai Farmers Bank FRN-WT(a) 10,081
--------------
1,393,870
--------------
UNITED KINGDOM (14.9%)
COMMON STOCKS
104,400 Airtours plc 1,179,784
400,000 Asda Group plc 799,865
32,000 Barclays plc 550,092
31,500 British Aerospace plc 612,956
98,900 British Airways plc 977,200
131,880 British Land Company plc 1,071,484
394,000 British Steel plc 1,099,043
73,000 Cable & Wireless plc 583,901
87,000 Cadbury Schweppes plc 749,244
114,300 Courtaulds plc 768,274
304,600 David S. Smith (Holdings) plc 1,607,198
68,000 De La Rue plc 663,889
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
91,000 Enterprise Oil plc $ 909,847
121,700 Guinness plc 912,086
50,300 Johnson Matthey plc 459,808
66,000 Kingfisher plc 719,778
316,000 LASMO plc 1,173,517
141,000 Lloyds TSB Group plc 976,172
339,000 LucasVarity plc(a) 1,444,067
302,000 MFI Furniture plc 979,432
318,000 Pilkington Brothers plc 798,874
154,050 Prudential Corporation plc 1,261,962
59,000 RTZ Corporation plc 991,430
157,000 Rank Group plc 1,147,622
136,350 Tesco plc 778,783
113,260 United News & Media plc 1,284,666
351,800 Vodafone Group plc 1,522,239
27,000 Zeneca Group plc 744,077
--------------
26,767,290
--------------
TOTAL STOCKS AND WARRANTS (COST $156,946,828)
173,155,331
--------------
SHORT-TERM HOLDINGS (3.6%)
6,530,061 Norwest Cash Investment Fund 6,530,061
--------------
TOTAL INVESTMENTS (100.0%) (COST $163,476,889)
$179,685,392
--------------
--------------
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
- ----------------------------------------------------
</TABLE>
(a) Non-income producing security.
(b) Part of all of this investment on loan, see Note 6 of Notes to Financial
Statements.
(c) Repurchase Agreements: BA Securities, Inc., collateralized by U.S. Treasury
Bills 4.93% to 5.06%, due 12/12/96 to 1/16/97, Par $17,043,850; U.S.
Treasury Notes 7.50%, due 12/31/96, Par $15,000,000; Federal Farm Credit
Bank 5.26% to 5.33%, due 12/31/96 to 5/23/97, Par $5,910,000; Federal Home
Loan Mortgage Corporation 5.27%, due 1/2/97, Par $25,000,000; Federal
National Mortgage Association 5.20% to 5.35%, due 12/27/96 to 6/24/97, Par
$85,000,000; Student Loan Mortgage Association 5.19%, due 12/2/96, Par
$6,000,000. Chase Securities Inc., collateralized by Federal Home Loan Bank
5.19%, due 12/6/96, Par $25,000,000; Federal Home Loan Mortgage Corporation
5.32%, due 12/9/96 to 12/12/96, Par $128,700,000.
See Notes to Financial Statements. CORE TRUST (DELAWARE)
136
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS OF INVESTMENTS (CONCLUDED) NOVEMBER 30, 1996
- ----------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS (continued)
- ----------------------------------------------------
(d) At November 30, 1996, $305,000 of U.S. Treasury Bills, due 5/29/97 with a
market value of $297,444 were pledged to cover margin requirements for open
futures contracts.
(e) During the period June 1, 1996 through November 30, 1996, Index Fund
purchased 3,900 shares of Norwest Bank Minnesota, N.A.
ADR - American Depositary Receipts
GDR - Global Depositary Receipts
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
137
<PAGE>
SCHRODER CAPITAL FUNDS
FINANCIAL STATEMENTS
FOR THE PERIOD ENDED
NOVEMBER 30, 1996
U.S. SMALLER COMPANIES PORTFOLIO
<PAGE>
- --------------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENT OF ASSETS & LIABILITIES (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment, at value (cost $30,531,509) (Note 2).......... $ 34,351,788
Cash...................................................... 12,061
Receivable for investments sold........................... 128,916
Receivable for dividends and interest..................... 53,939
------------
TOTAL ASSETS................................................ 34,546,704
------------
LIABILITIES:
Payable for securities purchased.......................... 3,650
Accrued investment advisory and administration fees (Note
4)...................................................... 7,762
Other payables and accrued expenses....................... 61,350
------------
TOTAL LIABILITIES........................................... 72,762
------------
NET ASSETS.................................................. $ 34,473,942
------------
------------
NET ASSETS CONSIST OF:
Investors' capital........................................ $ 30,653,663
Net unrealized appreciation of investments................ 3,820,279
------------
NET ASSETS.................................................. $ 34,473,942
------------
------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
138
<PAGE>
- --------------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED) FOR THE PERIOD ENDED NOVEMBER 30, 1996
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividend..................................................... $ 51,464
Interest..................................................... 32,858
-----------
TOTAL INVESTMENT INCOME........................................ 84,322
-----------
EXPENSES:
Investment Advisory fees (Note 4)............................ 42,120
Administration fees (Note 4)................................. 5,265
Transfer agent fees and expenses (Note 4).................... 3,562
Custodian fees............................................... 1,930
Accounting service fees (Note 4)............................. 10,645
Other professional fees...................................... 13,957
Trustees fees and expenses................................... 284
Other........................................................ 2,993
-----------
TOTAL EXPENSES................................................. 80,756
Fees waiver (Note 4)......................................... (20,260)
-----------
NET EXPENSES................................................... 60,496
-----------
NET INVESTMENT INCOME.......................................... 23,826
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments............................. 911,894
Net change in unrealized appreciation of investments......... 3,820,279
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS................ 4,732,173
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $4,755,999
-----------
-----------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
139
<PAGE>
- --------------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENT OF CHANGES (UNAUDITED) FOR THE PERIOD ENDED NOVEMBER 30, 1996
<TABLE>
<S> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income........................... $ 23,826
Net realized gain on investments................ 911,894
Net change in unrealized appreciation of
investments................................... 3,820,279
------------
Net increase in net assets resulting from
operations.................................... 4,755,999
------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions................................... 31,371,678
Withdrawals..................................... (1,653,735)
------------
NET CONTRIBUTIONS IN INVESTORS' BENIFICIAL
INTEREST......................................... 29,717,943
------------
INCREASE IN NET ASSETS............................ 34,473,942
------------
NET ASSETS:
Beginning of period............................. -
------------
End of period................................... $ 34,473,942
------------
------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
140
<PAGE>
- --------------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Schroder U.S. Smaller Companies Portfolio (the "Portfolio") is a separately
managed, diversified portfolio of Schroder Capital Funds, a registered open-end
management investment company.
- --------------------------------------------------------------------------------
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The Portfolio's 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.
SECURITY VALUATION-The value of securities traded on the New York Stock Exchange
is based on the last sale price, and the value of securities traded on any other
national stock exchange is based on the last sale price as of 4:00 p.m. in New
York as quoted by authoritative sources. In the absence of a recorded sale, the
average of the closing bid and asked prices is used. Securities traded on other
organized markets are valued at the average of the bid and asked prices as of
4:00 p.m. in New York as available from authoritative sources at the end of the
business day.
SECURITY TRANSACTIONS AND INVESTMENT INCOME-Security transactions are recorded
on trade date. Dividend income is recorded on the ex-dividend date. Interest
income is recorded on an accrual basis.
Realized gains and losses from security transactions are determined on the basis
of identified cost.
- --------------------------------------------------------------------------------
NOTE 3. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and the proceeds from sales of securities
(excluding short-term investments) for the period ended November 30, 1996,
aggregated $20,021,400 and $4,292,893, respectively.
As of November 30, 1996, the aggregate cost of investment securities for Federal
income tax purposes was $30,531,509. The gross unrealized appreciation of
investments was $4,636,076 and the gross unrealized depreciation of investments
was $815,797.
- --------------------------------------------------------------------------------
NOTE 4. RELATED PARTIES
For the period ended November 30, 1996, remunerations to related parties were
paid or accrued in the following amounts:
<TABLE>
<CAPTION>
EARNED WAIVED NET
----------- ----------- ---------
<S> <C> <C> <C>
Schroder Capital Management International Inc. (Investment Advisor).................. $ 42,120 $ 20,260 $ 21,860
Forum Financial Services, Inc. (Administrator)....................................... 5,265 - 5,265
Forum Financial Corp. (Fund Accountant and Transfer agent)........................... 14,207 - 14,207
</TABLE>
The Portfolio retains Schroder Capital Management International Inc. ("SCMI") to
act as investment adviser pursuant to an Investment Advisory Contract. SCMI
manages the investment and reinvestment of the assets included in the Portfolio
and continuously reviews, supervises and administers the Portfolio's
investments. It is the responsibility of SCMI to make decisions relating to the
Portfolio's investments and to place purchase and sale orders regarding such
investments with brokers or dealers selected at its discretion. For its services
as investment adviser to the Portfolio, SCMI receives a monthly fee equal on an
annual basis to 0.60% of the average daily net assets of the Portfolio.
The Portfolio has entered into an Administrative Services Contract with Schroder
Fund Advisors Inc. ("Schroder Advisors"). In addition, the Portfolio and
Schroder Advisors have entered into a Sub-Administration Agreement with Forum
Financial Services, Inc. ("Forum"). Pursuant to their agreements, Schroder
Advisors and Forum provide certain management and administrative services
necessary to the Portfolio's operations other than the investment management and
administrative services provided to the Portfolio by SCMI pursuant to the
Investment Advisory Contract. Schroder Advisors is compensated for these
services at an annual rate of 0.075% of the average daily net assets of the
Portfolio, a portion of which Forum receives for its services with respect to
the Portfolio. SCMI and Schroder Advisors have voluntarily undertaken to waive a
portion of their fees and assume certain expenses of the Fund during the period
ended November 30, 1996.
Forum Financial Corp. ("FFC") performs portfolio accounting for the Portfolio
and is compensated for those services by the Portfolio in the amount of $36,000
per year, plus additional surcharges based upon total assets or security
positions. FFC is also the Portfolio's transfer agent pursuant to a Transfer
Agency Agreement between Schroder Capital Funds and FFC. FFC is compensated for
those services in the amount of $12,000 per year, plus certain interestholder
account fees.
SCHRODER CAPITAL FUNDS
141
<PAGE>
- --------------------------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
NOTE 5. FEDERAL INCOME TAXES
The Portfolio is not required to pay Federal income taxes on its net investment
income and capital gain, as it is treated as a partnership for Federal income
tax purposes. All interest, dividends, gains and losses of the Portfolio are
deemed to have been "passed through" to the partners in proportion to their
holdings of the Portfolio, regardless of whether such interest, dividends or
gains have been distributed by the Portfolio.
- --------------------------------------------------------------------------------
NOTE 6. FINANCIAL HIGHLIGHTS
<TABLE>
<S> <C>
PORTFOLIO PERFORMANCE FOR THE PERIOD ENDED NOVEMBER 30, 1996(B)
Ratio of expenses to average net assets net of fee waivers............................... 0.44%(c)
Ratio of net investment income to average net assets net of fee waivers.................. 0.17%(c)
Ratio of expenses to average net assets excluding fee waivers............................ 0.58%(c)
Ratio of net investment income to average net assets excluding fee waivers............... 0.31%(c)
Portfolio turnover rate.................................................................. 17.39%
Average brokerage commission per share(a)................................................ $0.0553
</TABLE>
(a) Amount represents the average commission per share paid to brokers on the
purchase and sale of portfolio securities.
(b) Commencement of operations was August 15, 1996.
(c) Annualized.
SCHRODER CAPITAL FUNDS
142
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- ----------------------------------------------------
COMMON STOCKS (89.5%)
BASIC MATERIALS (3.5%)
17,300 AMCOL International Corporation $ 244,365
8,000 Ball Corporation 196,000
31,200 Calgon Carbon Corporation 362,705
13,600 Ferro Corporation 392,702
--------------
1,195,772
--------------
CAPITAL GOODS/CONSTRUCTION (8.6%)
14,100 BMC Industries Inc. 405,375
12,375 Cavalier Homes Inc. 139,220
10,100 Dal-Tile International Inc.(a) 214,625
11,100 Donaldson Company Inc. 338,550
4,600 Harsco Corporation 320,850
12,100 Miller Industries Inc.(a) 335,775
10,900 Tracor Inc.(a) 239,800
11,700 Triangle Pacific Corporation(a) 255,207
8,300 Trinova Corporation 302,950
12,500 U.S.A. Waste Services, Inc.(a) 403,125
--------------
2,955,477
--------------
CONSUMER CYCLICAL (18.5%)
9,992 AccuStaff Inc.(a) 202,339
6,700 Barnett Inc.(a) 165,825
6,650 CDW Computer Centers Inc.(a) 438,900
7,200 Consolidated Stores Corporation(a) 266,400
12,700 Day Runner Inc.(a) 307,975
2,900 Ethan Allen Interiors Inc. 96,425
26,000 Furniture Brands International,
Inc.(a) 321,750
10,000 Goody's Family Clothing, Inc.(a) 163,751
8,800 HFS Inc.(a) 569,800
10,400 Nautica Enterprises(a) 332,800
7,300 Performance Food Group Company(a) 88,057
22,900 Petco Animal Supplies Inc.(a) 500,940
18,350 Regal Cinemas Inc.(a) 598,671
5,800 Robert Half International, Inc.(a) 216,050
21,800 ShoLodge Inc.(a) 294,300
16,750 Sonic Corporation(a) 383,158
7,000 Tiffany & Company 258,126
7,600 Viking Office Products, Inc.(a) 237,977
11,000 Warnaco Group, Inc. Class A 292,876
13,500 WestPoint Stevens Inc.(a) 405,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
CONSUMER CYCLICAL (continued)
<TABLE>
<C> <S> <C>
9,600 Wet Seal Inc.(a) $ 218,400
--------------
6,359,520
--------------
CONSUMER STAPLES (6.6%)
11,000 Compdent Corporation(a) 302,500
15,500 Data Processing Resources
Corporation(a) 269,314
10,100 Eckerd Corporation(a) 348,450
21,900 Fine Host Corporation(a) 347,664
6,350 Harman International Industries,
Inc. 323,850
7,900 Henry Schein Inc.(a) 321,925
17,400 Physician Sales & Service, Inc.(a) 352,350
--------------
2,266,053
--------------
ENERGY (8.3%)
7,800 B.J. Services Company(a) 372,450
5,700 Cooper Cameron Corporation(a) 374,775
7,600 Flores & Rucks Inc.(a) 373,350
11,500 Input/Output, Inc.(a) 276,000
12,500 Offshore Energy Development
Corporation(a) 198,438
7,100 Tosco Corporation 540,489
13,400 Union Texas Petroleum Holdings, Inc. 298,150
18,100 Varco International Inc.(a) 414,039
--------------
2,847,691
--------------
FINANCIAL (18.0%)
7,900 American States Financial
Corporation 216,263
9,600 Bank United Corporation(a) 256,800
5,500 Banknorth Group Inc. 211,750
5,800 CMAC Investment Corporation 442,250
20,500 CWM Mortgage Holdings Inc. 422,817
3,350 Charter One Financial, Inc. 145,725
14,900 Commercial Federal Corporation 720,791
3,500 Community First Bankshares, Inc. 96,250
9,100 Compass Bancshares Inc. 353,765
11,500 Cullen/Frost Bankers, Inc. 408,250
13,800 FBL Financial Group, Inc.(a) 334,650
13,000 Inkeepers USA Trust 162,500
11,500 MLF Bancorp Inc.(a) 168,907
</TABLE>
See Notes to Financial Statements.
143
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED) NOVEMBER 30, 1996
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
FINANCIAL (continued)
<TABLE>
<C> <S> <C>
8,000 North Fork Bancorporation, Inc. $ 272,000
12,900 Penncorp Financial Group Inc. 443,440
7,000 Starwood Lodging Trust 334,250
9,400 UST Inc. 176,250
8,582 Union Planters Corporation 355,080
14,600 UnionBancorp Inc. 198,920
5,200 Walden Bancorp Inc. 178,750
4,900 Westamerica Bancorporation 284,200
--------------
6,183,608
--------------
HEALTH CARE (9.4%)
3,300 AmeriSource Health Corporation(a) 129,938
11,800 Bergen Brunswig Corporation 321,550
30,100 Community Psychiatric Centers(a) 270,900
17,400 Coventry Corporation(a) 171,826
9,600 Genzyme Corporation(a) 218,400
19,100 Haemonetics Corporation(a) 331,860
25,162 Healthdyne Technologies Inc.(a) 229,600
7,700 Invacare Corporation 207,900
21,000 Isis Pharmaceuticals Inc.(a) 343,870
29,100 Matria Healthcare Inc.(a) 174,600
20,050 Multicare Companies Inc.(a) 395,980
3,800 Shared Medical Systems Corporation 189,050
13,100 Value Health Inc.(a) 237,430
--------------
3,222,904
--------------
TECHNOLOGY (11.7%)
14,100 Amphenol Corporation(a) 301,390
17,000 Antec Corporation(a) 165,750
11,675 Cadence Design Systems Inc.(a) 465,540
51,700 Computervision Corporation(a) 491,150
10,100 Credence Systems Corporation(a) 199,475
2,000 Cymer Inc.(a) 66,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
TECHNOLOGY (continued)
<TABLE>
<C> <S> <C>
16,200 EG&G Inc. $ 295,650
13,500 Exabyte Corporation(a) 195,750
14,500 INTERSOLV(a) 134,125
13,600 Intergraph Corporation(a) 124,100
4,700 Lam Research Corporation(a) 168,610
9,800 Marcam Corporation(a) 111,470
8,400 MicroTouch Systems Inc.(a) 210,000
3,500 Symbol Technologies Inc.(a) 163,190
16,300 System Software Associates Inc. 226,165
9,200 Thomas & Betts Corporation 416,300
13,400 Wang Laboratories Inc.(a) 283,070
--------------
4,018,235
--------------
TRANSPORTATION/SERVICES/MISCELLANEOUS (4.9%)
10,100 Atlantic Southeast Airlines Inc. 229,775
15,000 Comair Holdings Inc. 373,120
5,000 Heritage Media Corporation(a) 69,375
7,300 Jacor Communications Inc.(a) 175,200
7,000 Landstar System Inc.(a) 161,000
9,900 Mid-America Apartment Communities
Inc. 252,450
20,600 RemedyTemp Inc.(a) 329,600
6,200 Skywest Inc. 89,120
--------------
1,679,640
--------------
TOTAL COMMON STOCKS (COST $26,908,621) 30,728,900
--------------
SHORT-TERM HOLDINGS (10.5%)
3,622,888 Chase Institutional Treasury Money
Market Fund Non Personal (cost
$3,622,888) 3,622,888
--------------
TOTAL INVESTMENTS (100.0%) (COST $30,531,509)
$34,351,788
--------------
--------------
</TABLE>
(a) Non-income producing.
See Notes to Financial Statements.
144
<PAGE>
Norwest Advantage Funds ---------------
733 Marquette Avenue Bulk Rate
Minneapolis, MN 55479-0040 U.S. Postage
PAID
Permit No. 3489
Mpls, MN
---------------
[LOGO] NORWEST ADVANTAGE FUNDS-SM-
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
- -C-1996 NORWEST ADVANTAGE FUNDS
MFBOA 032 1/97
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectuses of the Norwest
Advantage Funds.
