<PAGE>
A N N U A L R E P O R T
MAY 31, 1997
- --------------------------------------------------------------------------------
MONEY MARKET FUNDS
----------
CASH INVESTMENT FUND
U.S. GOVERNMENT FUND
TREASURY FUND
READY CASH INVESTMENT FUND
MUNICIPAL MONEY MARKET FUND
[LOGO] NORWEST
-------------------------------------
ADVANTAGE FUNDS-Registered Trademark-
NOT FDIC INSURED
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS............................................. 1
INDEPENDENT AUDITORS' REPORT.............................................. 2
FINANCIAL STATEMENTS OF NORWEST ADVANTAGE FUNDS
Statements of Assets and Liabilities............................... 3
Statements of Operations........................................... 4
Statements of Changes in Net Assets................................ 5
Financial Highlights............................................... 6
Notes to Financial Statements...................................... 7
Schedule of Investments
Cash Investment Fund........................................ 11
U.S. Government Fund........................................ 13
Treasury Fund............................................... 15
Ready Cash Investment Fund.................................. 15
Municipal Money Market Fund................................. 18
Notes to Schedules of Investments.................................. 30
</TABLE>
[LOGO]
<PAGE>
A MESSAGE TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
July 21, 1997
Dear Fellow Shareholders:
We are pleased to present the 1997 Annual Report for our
Norwest Advantage Funds. This report includes five of the
twenty-eight Norwest Advantage Funds money market
portfolios. The twenty-three Norwest Advantage Funds stock
and bond portfolios are reported separately.
Norwest Advantage Funds experienced significant growth
over the last year, with net assets increasing from one
year ago by 22% to more than $14 billion as of May 31,
1997. We strongly believe that this success is the result
of the confidence and support of our shareholders borne
from the continued positive performance of our Funds.
While past performance is not indicative of future
results, we believe the Funds are positioned well for the
coming year.
The stock market continued its torrid pace over the past
year with the Standard & Poor's 500 Index returning 29.41%
for the twelve months ending May 31, 1997, compared to a
14.72% average annual return for the past ten years. The
bond market, however, did not keep pace with the S&P, with
the Lehman Brothers Aggregate Bond Index returning 8.32%
over the same period, compared to an 8.84% average annual
return over the past ten years.
Both the stock and bond markets were plagued by short-term
volatility swings. A small handful of the very large,
blue-chip stocks propelled the returns of the S&P as the
market continued to reward companies that hit their
forecasted earnings and to pummel those that did not. In
addition, within the various segments of the stock market,
there were large variations in performance -- small
companies significantly trailed large companies, interest-
rate sensitive sectors did not fare as well as
non-interest-rate sensitive sectors, and technology stocks
experienced a wild ride.
The bond markets continued to react quickly to changes in
financial news, particularly news on inflation. Signs of a
strengthening economy -- tight labor markets, low interest
rates and consistently strong corporate earnings --
refueled fears of inflation. As a possible preemptive
strike, the Fed raised the Fed Funds rate, the rate banks
charge each other for overnight loans, by .25% this past
March. In May of this year, the Fed decided that the
economy was growing at a sustainable rate and left the Fed
Funds rate alone.
In a volatile market environment like this past year,
discriminating stock picking and discerning bond selection
-- which is what we do best -- will play vital roles in
providing notable performance results. If you have any
questions or would like additional information, please
call (800) 338-1348 or (612) 667-8833 (press 1). We
appreciate your decision to invest with our Norwest
Advantage Funds.
Sincerely,
/s/ John Y. Keffer
John Y. Keffer
CHAIRMAN, NORWEST ADVANTAGE
FUNDS
[LOGO]
1
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
Norwest Advantage Funds
We have audited the accompanying statements of assets and
liabilities, including the schedules of investments of
Cash Investment Fund, U.S. Government Fund, Treasury Fund,
Ready Cash Investment Fund and Municipal Money Market
Fund, portfolios of Norwest Advantage Funds (the Funds) as
of May 31, 1997, the related statements of operations for
the year then ended, changes in net assets for each of the
years in the two-year period then ended and financial
highlights for each of the years or periods in the
four-year period then ended. These financial statements
and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an
opinion on these financial statements and financial
highlights based on our audits. The financial highlights
for the year ended May 31, 1993 were audited by other
auditors whose report dated July 20, 1993 expressed an
unqualified opinion on those financial highlights.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures
included confirmation of securities owned as of May 31,
1997 by correspondence with the custodian and brokers. An
audit also includes assessing the accounting principles
used and significant estimates made by management, as well
as evaluating the overall financial statement
presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the
financial position of Cash Investment Fund, U.S.
Government Fund, Treasury Fund, Ready Cash Investment Fund
and Municipal Money Market Fund, portfolios of Norwest
Advantage Funds, at May 31, 1997, results of their
operations for the year then ended, changes in their net
assets for each of the years in the two-year period then
ended, and financial highlights for each of the years or
periods in the four-year period then ended in conformity
with generally accepted accounting principles.
KPMG Peat Marwick
LLP
Boston, Massachusetts
July 21, 1997
[LOGO]
2
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
CASH U.S. READY CASH MONEY
INVESTMENT GOVERNMENT TREASURY INVESTMENT MARKET
FUND FUND FUND FUND FUND
--------------- --------------- --------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at amortized cost....... $2,153,458,928 $1,554,207,289 $ 853,173,584 $1,933,798,849 $688,581,925
Repurchase Agreements at cost....... - 359,186,212 - - -
--------------- --------------- --------------- --------------- -------------
Total investments at value........ 2,153,458,928 1,913,393,501 853,173,584 1,933,798,849 688,581,925
Cash.................................. 180,937 50,855 4,074 130,578 13,814
Interest and other receivables........ 11,721,570 6,542,120 7,281,153 10,349,419 7,089,457
Receivable for securities sold........ - - 146,605,409 - -
--------------- --------------- --------------- --------------- -------------
TOTAL ASSETS............................ 2,165,361,435 1,919,986,476 1,007,064,220 1,944,278,846 695,685,196
--------------- --------------- --------------- --------------- -------------
LIABILITIES:
Payable for securities purchased...... 15,000,000 - - 10,000,000 3,500,000
Payable to Adviser and affiliates
(Note 3)............................ 711,591 709,842 348,539 796,072 227,044
Payable to other related parties (Note
3).................................. 121,905 101,488 17,727 115,477 34,774
Accrued expenses and other
liabilities......................... 161,221 112,079 102,579 152,103 45,737
Dividends payable..................... 1,473,078 6,489,061 2,898,865 6,099,586 1,607,030
--------------- --------------- --------------- --------------- -------------
TOTAL LIABILITIES....................... 17,467,795 7,412,470 3,367,710 17,163,238 5,414,585
--------------- --------------- --------------- --------------- -------------
NET ASSETS.............................. $2,147,893,640 $1,912,574,006 $ 1,003,696,510 $1,927,115,608 $690,270,611
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
COMPONENTS OF NET ASSETS:
Paid in Capital....................... $2,149,746,638 $1,912,865,294 $ 1,003,774,362 $1,927,183,047 $690,501,245
Undistributed (distribution in excess)
net investment income............... (147,522) (56,270) 102,005 (3,100) (136,840)
Accumulated net realized gain
(loss).............................. (1,705,476) (235,018) (179,857) (64,339) (93,794)
--------------- --------------- --------------- --------------- -------------
NET ASSETS.............................. $2,147,893,640 $1,912,574,006 $ 1,003,696,510 $1,927,115,608 $690,270,611
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
NET ASSETS BY SHARE CLASS:
Single class funds.................... $2,147,893,640 $1,912,574,006 $ 1,003,696,510 $ - $ -
Investor Shares....................... - - - 576,011,271 54,615,913
Exchange Shares....................... - - - 655,077 -
Institutional Shares.................. - - - 1,350,449,260 635,654,698
--------------- --------------- --------------- --------------- -------------
NET ASSETS.............................. $2,147,893,640 $1,912,574,006 $ 1,003,696,510 $1,927,115,608 $690,270,611
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
SHARES OF BENEFICIAL INTEREST:
Single class funds.................... 2,149,671,799 1,912,908,806 1,003,773,077 - -
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
Investor Shares....................... - - - 576,030,990 54,631,118
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
Exchange Shares....................... - - - 655,113 -
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
Institutional Shares.................. - - - 1,350,506,173 635,746,998
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
NET ASSET VALUE PER SHARE (OFFERING AND
REDEMPTION PRICE PER SHARE):
All share classes..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------------- --------------- --------------- --------------- -------------
--------------- --------------- --------------- --------------- -------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
3
<PAGE>
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
CASH U.S. READY CASH MONEY
INVESTMENT GOVERNMENT TREASURY INVESTMENT MARKET
FUND FUND FUND FUND FUND
------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................ $111,245,872 $96,213,030 $49,754,578 $102,000,511 $25,572,248
------------- ------------ ------------ ------------ ------------
EXPENSES:
Advisory (Note 3).......................... 2,805,919 2,538,240 1,548,275 6,267,045 2,394,475
Management (Note 3)........................ 1,252,466 1,140,934 728,447 3,666,903 1,396,600
Transfer agent (Note 3):
Single class funds....................... 5,012,332 4,454,666 2,392,239 - -
Investor Shares.......................... - - - 1,338,317 151,663
Exchange Shares.......................... - - - 1,062 -
Institutional Shares..................... - - - 1,297,700 637,635
Custody (Note 3)........................... 215,493 193,187 110,690 198,345 84,830
Legal...................................... 91,677 71,288 38,291 86,345 29,220
Registration............................... 174,224 135,356 109,834 185,089 58,190
Accounting (Note 3)........................ 65,000 60,000 54,500 86,000 90,000
Audit...................................... 17,841 15,097 12,602 13,514 13,771
Trustees................................... 33,467 30,239 15,809 30,585 12,019
12b-1 Distribution fees -- Exchange Shares
(Note 3)................................. - - - 3,187 -
Miscellaneous.............................. 106,147 140,212 83,689 135,341 95,583
------------- ------------ ------------ ------------ ------------
Total expenses............................... 9,774,566 8,779,219 5,094,376 13,309,433 4,963,986
Fees waived and expenses reimbursed (Note
4)....................................... (196,249) (24,318) (712,745) (2,733,554) (1,716,882)
------------- ------------ ------------ ------------ ------------
Net expenses................................. 9,578,317 8,754,901 4,381,631 10,575,879 3,247,104
------------- ------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS)................. 101,667,555 87,458,129 45,372,947 91,424,632 22,325,144
------------- ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments.... (28,706) 37,429 (179,063) 2,559 (1,206,040)
Net change in unrealized appreciation
(depreciation) on investments............ - - - - 1,200,000
------------- ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS................................ (28,706) 37,429 (179,063) 2,559 (6,040)
------------- ------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.................. $101,638,849 $87,495,558 $45,193,884 $91,427,191 $22,319,104
------------- ------------ ------------ ------------ ------------
------------- ------------ ------------ ------------ ------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
4
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEARS ENDED MAY 31, 1996 AND 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL
CASH U.S. READY CASH MONEY
INVESTMENT GOVERNMENT TREASURY INVESTMENT MARKET
FUND FUND FUND FUND FUND
---------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
NET ASSETS -- MAY 31, 1995......... $ 1,464,303,901 $1,159,421,353 $ 661,097,567 $ 775,006,153 $ 326,377,056
---------------- --------------- --------------- --------------- ---------------
OPERATIONS:
Net investment income (loss)..... 89,052,204 77,507,593 37,457,600 61,215,967 18,883,349
Net realized gain (loss) on
investments.................... 490,336 254,457 284,133 2,735 -
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets resulting from
operations..................... 89,542,540 77,762,050 37,741,733 61,218,702 18,883,349
---------------- --------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- Single
class funds.................... (89,052,204) (77,507,593) (37,457,600) - -
Net investment income -- Investor
Shares......................... - - - (19,184,887) (1,883,550)
Net investment income -- Exchange
Shares......................... - - - (5,918) -
Net investment income --
Institutional Shares........... - - - (42,025,162) (16,999,799)
---------------- --------------- --------------- --------------- ---------------
Total distributions to
shareholders................... (89,052,204) (77,507,593) (37,457,600) (61,215,967) (18,883,349)
---------------- --------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS (AT
$1.00 PER SHARE):
Sale of shares -- Single class
funds.......................... 15,533,974,038 8,689,610,881 5,417,106,078 - -
Sale of shares -- Investor
Shares......................... - - - 972,589,473 123,308,710
Sale of shares -- Exchange
Shares......................... - - - 10,333 -
Sale of shares -- Institutional
Shares......................... - - - 2,418,720,030 2,165,513,879
Reinvestment of distributions --
Single class funds............. 73,206,956 17,484,474 16,539,657 - -
Reinvestment of distributions --
Investor Shares................ - - - 20,298,681 2,020,283
Reinvestment of distributions --
Exchange Shares................ - - - 6,534 -
Reinvestment of distributions --
Institutional Shares........... - - - 17,499 19,032,125
Redemption of shares -- Single
class funds.................... (15,332,426,295) (8,217,050,414) (5,292,757,198) - -
Redemption of shares -- Investor
Shares......................... - - - (787,613,307) (115,732,342)
Redemption of shares -- Exchange
Shares......................... - - - (47,612) -
Redemption of shares --
Institutional Shares........... - - - (1,844,727,840) (1,871,062,880)
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) from
capital share transactions..... 274,754,699 490,044,941 140,888,537 779,253,791 323,079,775
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets......................... 275,245,035 490,299,398 141,172,670 779,256,526 323,079,775
---------------- --------------- --------------- --------------- ---------------
NET ASSETS -- MAY 31, 1996......... 1,739,548,936 1,649,720,751 802,270,237 1,554,262,679 649,456,831
---------------- --------------- --------------- --------------- ---------------
OPERATIONS:
Net investment income (loss)..... 101,667,555 87,458,129 45,372,947 91,424,632 22,325,144
Net realized gain (loss) on
investments.................... (28,706) 37,429 (179,063) 2,559 (1,206,040)
Net change in unrealized
appreciation (depreciation) on
investments.................... - - - - 1,200,000
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets resulting from
operations..................... 101,638,849 87,495,558 45,193,884 91,427,191 22,319,104
---------------- --------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- Single
class funds.................... (101,667,555) (87,458,129) (45,269,658) - -
Net investment income -- Investor
Shares......................... - - - (25,410,929) (1,828,190)
Net investment income -- Exchange
Shares......................... - - - (17,107) -
Net investment income --
Institutional Shares........... - - - (65,996,596) (20,496,954)
Net capital gains -- Single class
funds.......................... - - (103,289) - -
---------------- --------------- --------------- --------------- ---------------
Total distributions to
shareholders................... (101,667,555) (87,458,129) (45,372,947) (91,424,632) (22,325,144)
---------------- --------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS (AT
$1.00 PER SHARE):
Sale of shares -- Single class
funds.......................... 10,161,636,220 7,060,636,868 3,708,986,665 - -
Sale of shares -- Investor
Shares......................... - - - 620,857,448 121,151,683
Sale of shares -- Exchange
Shares......................... - - - 1,259,541 -
Sale of shares -- Institutional
Shares......................... - - - 3,780,214,447 1,793,226,504
Reinvestment of distributions --
Single class funds............. 84,172,490 16,661,503 14,996,298 - -
Reinvestment of distributions --
Investor Shares................ - - - 25,380,468 1,826,002
Reinvestment of distributions --
Exchange Shares................ - - - 17,199 -
Reinvestment of distributions --
Institutional Shares........... - - - 148,015 3,949,686
Redemption of shares -- Single
class funds.................... (9,837,435,300) (6,814,482,545) (3,522,377,627) - -
Redemption of shares -- Investor
Shares......................... - - - (544,106,362) (125,382,243)
Redemption of shares -- Exchange
Shares......................... - - - (750,549) -
Redemption of shares --
Institutional Shares........... - - - (3,510,169,837) (1,753,951,812)
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) from
capital share transactions..... 408,373,410 262,815,826 201,605,336 372,850,370 40,819,820
---------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets......................... 408,344,704 262,853,255 201,426,273 372,852,929 40,813,780
---------------- --------------- --------------- --------------- ---------------
NET ASSETS -- MAY 31, 1997......... $ 2,147,893,640 $1,912,574,006 $ 1,003,696,510 $ 1,927,115,608 $ 690,270,611
---------------- --------------- --------------- --------------- ---------------
---------------- --------------- --------------- --------------- ---------------
</TABLE>
[LOGO]
See Notes to Financial Statements.
5
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SELECTED DATA FOR A SHARE OUTSTANDING DURING THE PERIODS
<TABLE>
<CAPTION>
BEGINNING NET REALIZED DIVIDENDS CAPITAL
NET ASSET NET AND UNREALIZED FROM NET CONTRIBUTION ENDING NET
VALUE PER INVESTMENT GAIN (LOSS) ON INVESTMENT FROM ASSET VALUE
SHARE INCOME INVESTMENTS INCOME ADVISER PER SHARE
--------- ---------- -------------- ---------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
CASH INVESTMENT FUND
Year Ended May 31,
1997...................... $1.00 $0.051 $ - $(0.051) $ - $1.00
1996...................... 1.00 0.054 - (0.054) - 1.00
1995...................... 1.00 0.049 - (0.049) - 1.00
1994...................... 1.00 0.031 - (0.031) - 1.00
1993...................... 1.00 0.033 - (0.033) - 1.00
U.S. GOVERNMENT FUND
Year Ended May 31,
1997...................... 1.00 0.049 - (0.049) - 1.00
1996...................... 1.00 0.052 - (0.052) - 1.00
1995...................... 1.00 0.047 - (0.047) - 1.00
1994...................... 1.00 0.030 - (0.030) - 1.00
1993...................... 1.00 0.030 - (0.030) - 1.00
TREASURY FUND
Year Ended May 31,
1997...................... 1.00 0.047 - (0.047) - 1.00
1996...................... 1.00 0.050 - (0.050) - 1.00
1995...................... 1.00 0.046 - (0.046) - 1.00
1994...................... 1.00 0.028 - (0.028) - 1.00
1993...................... 1.00 0.029 - (0.029) - 1.00
READY CASH INVESTMENT FUND
INVESTOR SHARES
Year Ended May 31,
1997...................... 1.00 0.047 - (0.047) - 1.00
1996...................... 1.00 0.051 - (0.051) - 1.00
1995...................... 1.00 0.045 - (0.045) - 1.00
1994...................... 1.00 0.027 - (0.027) - 1.00
1993...................... 1.00 0.030 - (0.030) - 1.00
EXCHANGE SHARES
Year Ended May 31,
1997...................... 1.00 0.040 - (0.040) - 1.00
1996...................... 1.00 0.043 - (0.043) - 1.00
1995...................... 1.00 0.038 - (0.038) - 1.00
Period Ended May 31,
1994(b)................. 1.00 0.001 - (0.001) - 1.00
INSTITUTIONAL SHARES
Year Ended May 31,
1997...................... 1.00 0.051 - (0.051) - 1.00
1996...................... 1.00 0.054 - (0.054) - 1.00
1995...................... 1.00 0.049 - (0.049) - 1.00
Period Ended May 31,
1994(b)................. 1.00 0.013 - (0.013) - 1.00
MUNICIPAL MONEY MARKET FUND
INVESTOR SHARES
Year Ended May 31,
1997...................... 1.00 0.030 - (0.030) - 1.00
1996...................... 1.00 0.033 - (0.033) - 1.00
1995...................... 1.00 0.031 (0.004) (0.031) 0.004 1.00
1994...................... 1.00 0.021 - (0.021) - 1.00
1993...................... 1.00 0.021 - (0.021) - 1.00
INSTITUTIONAL SHARES
Year Ended May 31,
1997...................... 1.00 0.032 - (0.032) - 1.00
1996...................... 1.00 0.035 - (0.035) - 1.00
1995...................... 1.00 0.033 (0.004) (0.033) 0.004 1.00
Period Ended May 31,
1994(b)................. 1.00 0.019 - (0.019) - 1.00
<CAPTION>
RATIOS TO AVERAGE
NET ASSETS
----------------------------------------- NET ASSETS AT
NET END OF PERIOD
NET GROSS INVESTMENT TOTAL (000'S
EXPENSES EXPENSES(d) INCOME RETURN OMITTED)
----------- ------------- ----------- ------ -------------
<S> <C> <C> <C> <C> <C>
CASH INVESTMENT FUND
Year Ended May 31,
1997...................... 0.48% 0.49% 5.07% 5.21% $2,147,894
1996...................... 0.48% 0.49% 5.36% 5.50% 1,739,549
1995...................... 0.48% 0.50% 4.87% 4.96% 1,464,304
1994...................... 0.49% 0.49% 3.11% 3.16% 1,381,402
1993...................... 0.50% 0.51% 3.29% 3.36% 1,944,948
U.S. GOVERNMENT FUND
Year Ended May 31,
1997...................... 0.49% 0.49% 4.91% 5.04% 1,912,574
1996...................... 0.50% 0.51% 5.13% 5.27% 1,649,721
1995...................... 0.50% 0.52% 4.68% 4.81% 1,159,421
1994...................... 0.47% 0.53% 3.02% 3.07% 1,091,141
1993...................... 0.45% 0.57% 3.00% 3.06% 903,274
TREASURY FUND
Year Ended May 31,
1997...................... 0.46% 0.53% 4.74% 4.87% 1,003,697
1996...................... 0.46% 0.56% 4.91% 5.04% 802,270
1995...................... 0.46% 0.57% 4.62% 4.65% 661,098
1994...................... 0.46% 0.58% 2.81% 2.83% 526,483
1993...................... 0.47% 0.58% 2.93% 2.98% 384,751
READY CASH INVESTMENT FUND
INVESTOR SHARES
Year Ended May 31,
1997...................... 0.82% 0.83% 4.75% 4.87% 576,011
1996...................... 0.82% 0.87% 5.02% 5.17% 473,879
1995...................... 0.82% 0.91% 4.64% 4.62% 268,603
1994...................... 0.82% 0.92% 2.70% 2.74% 164,138
1993...................... 0.82% 0.94% 3.04% 3.08% 162,585
EXCHANGE SHARES
Year Ended May 31,
1997...................... 1.57% 5.66% 4.03% 4.09% 655
1996...................... 1.57% 8.24% 4.32% 4.38% 129
1995...................... 1.57% 6.32% 3.62% 3.69% 160
Period Ended May 31,
1994(b)................. 1.53%(a) 1.85%(a) 2.48%(a) 2.51%(a) 151
INSTITUTIONAL SHARES
Year Ended May 31,
1997...................... 0.48% 0.68% 5.09% 5.23% 1,350,449
1996...................... 0.48% 0.72% 5.59% 5.53% 1,080,255
1995...................... 0.48% 0.73% 4.97% 4.98% 506,243
Period Ended May 31,
1994(b)................. 0.43%(a) 0.81%(a) 3.12%(a) 3.17%(a) 333,464
MUNICIPAL MONEY MARKET FUND
INVESTOR SHARES
Year Ended May 31,
1997...................... 0.65% 0.87% 3.01% 3.08% 54,616
1996...................... 0.65% 0.88% 3.25% 3.31% 57,021
1995...................... 0.65% 0.93% 3.10% 3.13%(c) 47,424
1994...................... 0.65% 0.99% 2.03% 2.09% 33,554
1993...................... 0.65% 0.97% 2.13% 2.18% 75,521
INSTITUTIONAL SHARES
Year Ended May 31,
1997...................... 0.45% 0.70% 3.21% 3.28% 635,655
1996...................... 0.45% 0.72% 3.41% 3.52% 592,436
1995...................... 0.45% 0.74% 3.37% 3.33%(c) 278,953
Period Ended May 31,
1994(b)................. 0.45%(a) 0.77%(a) 2.33%(a) 2.34%(a) 190,356
</TABLE>
- ------------------------------
(a) Annualized.
(b) See Note 1 of Notes to Financial Statements for dates of commencement of
operations.
(c) The total return for 1995 includes the effect of a capital contribution by
the Fund's investment adviser. Without the capital contribution, the total
return would have been 2.59% for Investor shares and 2.79% for Institutional
shares.
(d)The ratio of Gross Expenses to Average Net Assets does not reflect fees
waived or expenses reimbursed.
[LOGO]
See Notes to Financial Statements.
6
<PAGE>
NOTES TO FINANCIAL STATEMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Norwest Advantage Funds ("Trust") is organized as a Delaware business trust and
is registered as an open-end management investment company. The Trust currently
has twenty-eight separate investment portfolios. These financial statements
relate to the five money market investment portfolios of the Trust (each a
"Fund"), each of which is a diversified portfolio. The Funds (and classes
thereof) commenced operations on the following dates:
<TABLE>
<S> <C>
Cash Investment Fund.................................................................. October 14, 1987
U.S. Government Fund.................................................................. November 16, 1987
Treasury Fund......................................................................... December 3, 1990
Ready Cash Investment Fund (Investor Shares).......................................... January 20, 1988
Ready Cash Investment Fund (Exchange Shares).......................................... May 9, 1994
Ready Cash Investment Fund (Institutional Shares)..................................... January 4, 1994
Municipal Money Market Fund (Investor Shares)......................................... January 7, 1988
Municipal Money Market Fund (Institutional Shares).................................... August 3, 1993
</TABLE>
Each share of each class represents an undivided, proportionate interest in a
Fund. The Trust Instrument authorizes the issuance, by each Fund, of an
unlimited number of shares of beneficial interest without par value. Exchange
Shares are sold only through the exchange privilege available to shareholders of
B Shares of the various fixed income and equity funds of the Trust and are
subject to a contingent deferred sales charge upon redemption. Shareholders of
Institutional Shares and Investor Shares incur no sales charge. The difference
between these two classes is the minimum investment required and the level of
transfer agent expenses.
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles, which require management to make estimates and
assumptions that affect the reported amounts of assets and liabilities,
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.
The following represent significant accounting policies of the Funds:
SECURITY VALUATION - The Funds value securities utilizing the amortized cost
method pursuant to Rule 2a-7 under the Investment Company Act of 1940. Under
this method all investments purchased at a discount or premium are valued by
accreting or amortizing, respectively, the difference between the purchase price
and maturity value of the issue over the period to maturity.
INTEREST INCOME - Interest income is recorded on the accrual basis and includes
amortization of premiums and accretion of discounts.
DISTRIBUTIONS TO SHAREHOLDERS - Distributions to shareholders of net investment
income are declared daily and paid monthly. Net capital gain, if any, is
distributed to shareholders at least annually. Distributions are based on
amounts calculated in accordance with applicable federal income tax regulations.
FEDERAL TAXES - Each Fund intends to qualify and continue to qualify each year
as a regulated investment company and distribute all of its taxable income. In
addition, by distributing in each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Fund
will not be subject to a federal excise tax. Therefore, no federal income or
excise tax provision is required.
REPURCHASE AGREEMENTS - Except for the Treasury Fund, each Fund may invest in
repurchase agreements. The Funds, through their custodian, receive delivery of
the underlying collateral, whose market value must always equal or exceed the
repurchase price. The investment adviser is responsible for determining the
value of the underlying collateral at all times. In the event of default, a Fund
may have difficulties with the disposition of such collateral.
EXPENSE ALLOCATION - The Trust accounts separately for the assets and
liabilities and operations of each Fund. Expenses that are directly attributable
to more than one Fund are allocated among the respective Funds. Expenses that
are directly attributable to a class are allocated to that class.
REALIZED GAIN AND LOSS - Security transactions are recorded on a trade date
basis. Realized gain and loss on investments sold are recorded on the basis of
identified cost.
[LOGO]
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER - Until May 31, 1997, the investment adviser of each Fund was
Norwest Bank Minnesota, N.A. ("Norwest"), a subsidiary of Norwest Corporation.
Effective June 1, 1997, Norwest Investment Management, Inc. ("Adviser"), a
wholly owned subsidiary of Norwest became the investment adviser. The Adviser
receives an advisory fee from Cash Investment Fund, U.S. Government Fund,
Treasury Fund and Ready Cash Investment Fund at annual rates of 0.20%, 0.20%,
0.20% and 0.40%, respectively, of the average daily net assets for the first
$300 million of net assets of each Fund, declining to 0.12%, 0.12%, 0.12% and
0.32%, respectively, of the average daily net assets of each Fund's net assets
in excess of $700 million. The Adviser receives an advisory fee from Municipal
Money Market Fund at an annual rate of 0.35% of the average daily net assets for
the first $500 million of net assets of the Fund, declining to 0.30% of the
average daily net assets of the Fund's net assets in excess of $1 billion.
MANAGEMENT, ADMINISTRATION AND DISTRIBUTION SERVICES - The manager and
distributor of the Trust is Forum Financial Services, Inc.-Registered Trademark-
("FFSI"), a registered broker-dealer and a member of the National Association of
Securities Dealers, Inc. FFSI receives no payments for its services as
distributor. Forum Administrative Services, Limited Liability Company ("FAS")
provides administrative services for the Funds. For their services, FFSI and FAS
receives a management and administrative fee, respectively, in aggregate from
Cash Investment Fund, U.S. Government Fund and Treasury Fund at an annual rate
of 0.10% of the average daily net assets for the first $300 million of each
Fund's net assets, declining to 0.05% of the average daily net assets for each
Fund's net assets in excess of $700 million. FFSI and FAS receives a management
and administrative fee, respectively, in aggregate from Ready Cash Investment
Fund and Municipal Money Market Fund at an annual rate of 0.20% of the average
daily net assets of each Fund attributable to each class of each Fund's shares.
In addition, certain legal expenses were charged to the Trust by FAS. The
respective amounts of legal expenses charged by FAS for the year ended May 31,
1997 for Cash Investment Fund, U.S. Government Fund, Treasury Fund, Ready Cash
Investment Fund and Municipal Money Market Fund were: $17,992, $16,083, $8,618,
$16,534 and $6,318.
TRANSFER AGENT, DIVIDEND DISBURSING AGENT AND CUSTODIAN - Norwest serves as the
Trust's transfer agent, dividend disbursing agent and custodian, and is
compensated for those services at an aggregate annual rate of up to 0.28% of the
average daily net assets of Cash Investment Fund, U.S. Government Fund and
Treasury Fund; of up to 0.15% of the average daily net assets of Ready Cash
Investment Fund and Municipal Money Market Fund attributable to Institutional
Shares; and of up to 0.30% of the average daily net assets attributable to the
other classes of Ready Cash Investment Fund and Municipal Money Market Fund.
DISTRIBUTION PLAN - The Trust has adopted a Distribution Plan (the "Plan") with
respect to Exchange Shares of Ready Cash Investment Fund pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plan authorizes the payment to
FFSI 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 Ready
Cash Investment Fund attributable to Exchange Shares. No maintenance fees were
incurred by the Fund during the year ended May 31, 1997. The distribution
payments will be used to reimburse the distributor for (i) sales commissions at
levels set from time to time by the Board of Trustees ("Trustees") not to exceed
6.25% of the amount received by the Fund for each Exchange share sold (excluding
reinvestment of dividends and distributions) and (ii) interest calculated by
applying the rate of 1% over the prime rate to the outstanding balance of
unreimbursed distribution charges. The current sales commission rate is based
upon that rate in effect for the fixed income or equity fund from which the
shareholder exchanged its shares. The Plan may be terminated by vote of a
majority of the Fund's 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 Trustees,
the Fund may continue to pay distribution service fees to FFSI (but only with
respect to sales that occurred prior to the termination or discontinuance of the
Plan) until the earlier of (a) four years after the date of termination or
discontinuance or (b) such time as there exist no unreimbursed distribution
charges attributable to that Fund under the Plan, as calculated pursuant to the
Plan. Unreimbursed distribution charges at May 31, 1997 for Ready Cash
Investment Fund were $(3,393).
OTHER SERVICE PROVIDERS - Forum Financial Corp.-Registered Trademark- ("FFC"),
an affiliate of FFSI, provides portfolio accounting services to each Fund
pursuant to a separate agreement.
[LOGO]
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 4. VOLUNTARY WAIVERS AND REIMBURSEMENT OF EXPENSES
The Adviser, Norwest and FFSI have waived a portion of their fees and have
reimbursed certain expenses of the Funds so that fees paid would not exceed
certain levels. For the year ended May 31, 1997, fees waived and expenses
reimbursed by the Trust's service providers were as follows:
<TABLE>
<CAPTION>
FEES WAIVED
------------------------------------------- EXPENSES TOTAL FEES
CUSTODIAN AND REIMBURSED WAIVED
TRANSFER ------------- AND EXPENSES
AGENT ADVISER FFSI/FAS FFSI REIMBURSED
------------- ----------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Cash Investment Fund...... $ 69,057 $ - $ 127,192 $ - $ 196,249
U.S. Government Fund...... 12,204 - 12,114 - 24,318
Treasury Fund............. 117,077 - 595,668 - 712,745
Ready Cash Investment
Fund..................... 238,791 50,148 2,429,202 15,413 2,733,554
Municipal Money Market
Fund..................... 251,280 369,405 1,096,197 - 1,716,882
</TABLE>
NOTE 5. FEDERAL INCOME TAXES
As of May 31, 1997, certain of the Funds had capital loss carryovers available
to offset future capital gains as follows:
<TABLE>
<CAPTION>
YEAR OF EXPIRATION
-----------------------------------------
2003 2004 2005 TOTAL
------------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
Cash Investment Fund..................................... $ 1,663,035 $ - $ - $ 1,663,035
U.S. Government Fund..................................... 226,240 - - 226,240
Treasury Fund............................................ - - 79,864 79,864
Ready Cash Investment Fund............................... 60,813 - - 60,813
Municipal Money Market Fund.............................. 72,404 15,350 2,493 90,247
</TABLE>
- --------------------------------------------------------------------------------
[LOGO]
9
<PAGE>
SUPPLEMENTARY INFORMATION MAY 31, 1997
- --------------------------------------------------------------------------------
PROXY VOTE (UNAUDITED)
The proxy had nine proposals of which the following relate to the funds in this
report.
PROPOSAL 1. ELECTION OF TRUSTEES. (FOR SHAREHOLDERS OF ALL FUNDS)
Each trustee or nominee was elected by shareholders. The vote is listed below.
<TABLE>
<CAPTION>
FOR WITHHELD
------------- ----------
<S> <C> <C>
Robert C. Brown............................................... 4,115,622,828 70,716,413
Donald Burkhardt.............................................. 4,115,554,881 70,784,360
James C. Harris............................................... 4,115,562,074 70,777,167
John Y. Keffer................................................ 4,115,619,839 70,718,523
Richard M. Leach.............................................. 4,115,622,828 70,716,413
John S. McCune................................................ 4,115,617,629 70,721,612
Timothy J. Penny.............................................. 4,115,622,828 70,716,413
Donald Willeke................................................ 4,115,611,783 70,727,458
</TABLE>
PROPOSAL 2. RATIFICATION OF THE SELECTION OF KPMG PEAT MARWICK LLP AS
INDEPENDENT AUDITORS OF THE TRUST FOR THE FISCAL YEAR ENDING MAY 31, 1997 (FOR
ALL SHAREHOLDERS OF ALL FUNDS).
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ----------- -------------
<S> <C> <C> <C>
Total.................................................... 4,089,939,735 32,437,547 62,986,468
</TABLE>
PROPOSAL 3. FOR SHAREHOLDERS OF ALL FUNDS:
To approve amendments to certain fundamental investment policies to permit a
Fund to invest all or a portion of its assets in one or more investment
companies and related amendments to the Fund's investment advisory agreement.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ----------- -------------
<S> <C> <C> <C>
Cash Investment Fund...................................... 1,063,141,212 26,795,502 36,234,598
U.S. Government Fund...................................... 1,124,941,401 18,541,176 44,802,083
Treasury Fund............................................. 651,505,826 14,758,404 8,128,384
Ready Cash Investment Fund................................ 905,976,277 40,549,232 49,707,605
Municipal Money Market Fund............................... 433,422,780 37,975,883 2,706,511
</TABLE>
PROPOSAL 5. FOR SHAREHOLDERS OF CASH INVESTMENT FUND:
To approve changes to the Fund's investment advisory fee structure related to
the investment of the Fund's assets in two other investment companies.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ----------- -------------
<S> <C> <C> <C>
Cash Investment Fund...................................... 1,014,479,745 69,088,030 42,603,539
</TABLE>
FEDERAL TAX STATUS OF DIVIDENDS DECLARED DURING THE FISCAL YEAR (UNAUDITED)
INCOME DIVIDENDS - 99.96% of the income dividends paid by Municipal Money Market
Fund were of exempt interest.
All income dividends of Cash Investment Fund, U.S. Government Fund, Treasury
Fund and Ready Cash Investment Fund were ordinary income for federal income tax
purposes.
CAPITAL GAIN DIVIDENDS - No long term capital gain dividends were declared by
any of the Funds.
[LOGO]
10
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND
- ------------------------------------------------------------------------
ASSET BACKED SECURITIES (2.3%)
6,822,633 Capital Equipment Receivables Trust
1996-1, Receivable Backed Notes, Class
A-1, 5.60%, 10/15/97(a) $ 6,822,633
42,304,963 WFP Tower B Finance Corp., Short-Term
STEERS Trust, Series 1996 A, 5.72%
V/R, 12/8/97(a)(c) 42,304,963
--------------
TOTAL ASSET BACKED SECURITIES 49,127,596
--------------
BANK NOTES (6.0%)
25,000,000 Bank of Hawaii, 5.63%, 11/7/97 24,998,149
20,000,000 FCC National Bank, 5.73%, 8/21/97 19,996,600
25,000,000 National Australia Bank Ltd., 5.80%,
10/3/97 25,005,325
25,000,000 PNC Bank, N.A., Pittsburgh, 5.59% V/R,
7/2/97 24,998,079
35,000,000 Shizuoka Bank Ltd., 5.69% V/R, 10/27/97 34,997,250
--------------
TOTAL BANK NOTES 129,995,403
--------------
CERTIFICATES OF DEPOSIT (7.0%)
25,000,000 Banque Francaise du Commerce Exterieure
London, 5.51%, 6/5/97 25,000,108
15,000,000 Bayerische Hypotheken-und Wechsel Bank
AG, London Branch, 5.96%, 8/6/97 15,003,912
20,000,000 Bayerische Vereinsbank, AG, New York
Branch, 5.54%, 7/10/97 20,000,422
15,000,000 Deutsche Bank, 5.91%, 6/10/97 14,999,965
10,000,000 Deutsche Bank, 6.17%, 5/22/98 9,997,220
5,900,000 Morgan Guaranty Trust Co. of New York,
5.78%, 8/5/97 5,899,399
20,000,000 Societe Generale, 6.10%, 3/25/98 19,995,340
25,000,000 Societe Generale, 6.19%, 5/11/98 24,995,507
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
15,000,000 Westpac Banking Corp., 5.80%, 8/25/97 $ 14,999,206
--------------
TOTAL CERTIFICATES OF DEPOSIT 150,891,079
--------------
COMMERCIAL PAPER (44.3%)
45,000,000 Abbey National Treasury Services, 5.36%,
7/9/97 44,745,400
25,906,000 Apex Funding Corp., 5.48%, 6/5/97(a) 25,890,226
22,000,000 Ascot Capital Corp., 5.77%, 11/13/97(a) 21,418,192
17,500,000 Asset Backed Capital Finance Inc.,
5.43%, 6/9/97(a) 17,478,883
14,500,000 Asset Backed Capital Finance Inc.,
5.43%, 8/1/97(a) 14,366,588
20,000,000 Atlas Funding Corp., 5.62%, 6/11/97(a) 19,968,778
17,500,000 Atlas Funding Corp., 5.68%, 6/16/97(a) 17,458,583
20,000,000 Banca Serfin SA, 5.45%, 8/4/97 19,806,223
25,000,000 Banco Rio de La Plata, 5.38%, 10/28/97 24,443,320
21,990,000 Banner Receivables Corp., 5.69%,
7/14/97(a) 21,840,547
23,624,000 Banner Receivables Corp., 5.73%,
7/17/97(a) 23,451,033
19,261,000 Banner Receivables Corp., 5.72%,
8/1/97(a) 19,074,319
13,300,000 Bavaria TRR Corp., 5.68%, 7/1/97 13,237,047
18,517,000 Broadway Capital Corp., 5.75%,
6/16/97(a) 18,472,636
11,206,000 Broadway Capital Corp., 5.75%,
7/11/97(a) 11,134,406
30,000,000 Caisse Centrale Desjardins du Quebec,
5.46%, 8/27/97 29,604,150
3,000,000 Caisse D'Amortissement de la Dette
Sociale, 5.40%, 10/3/97 2,944,200
13,000,000 Caisse D'Amortissement de la Dette
Sociale, 5.44%, 10/10/97 12,742,658
50,000,000 Compagnie Bancaire USA Finance Corp.,
5.50%, 8/27/97 49,335,417
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
11
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
22,000,000 Creative Capital Corp., 5.50%, 6/2/97(a) $ 21,996,639
30,000,000 Creative Capital Corp., 5.75%,
7/11/97(a) 29,808,334
10,000,000 Finance One Funding Corp., Credit Suisse
LOC, 5.75%, 8/22/97 9,869,028
20,286,000 Gotham Funding Corp., 5.57%, 6/10/97(a) 20,257,752
15,594,000 Gotham Funding Corp., 5.75%, 7/8/97(a) 15,501,844
10,000,000 Gotham Funding Corp., 5.43%, 7/24/97(a) 9,920,059
5,083,000 International Securitization Corp.,
5.48%, 7/30/97 5,037,349
25,000,000 Madison Funding Corp., 5.75%, 7/21/97 24,800,348
15,000,000 Madison Funding Corp., 5.72%, 8/11/97 14,830,784
25,000,000 Merrill Lynch & Co., Inc., 5.42%,
9/22/97 24,574,682
44,900,000 Oak Funding Corp., 5.75%, 6/26/97 44,720,712
10,000,000 Orix America, Inc., Sanwa Bank Ltd. LOC,
5.42%, 6/27/97 9,960,856
20,000,000 Sigma Finance Inc., 5.40%, 7/15/97 19,868,000
54,000,000 Sigma Finance Inc., 5.40%, 7/17/97 53,627,400
36,415,000 Sigma Finance Inc., 5.45%, 8/26/97 35,940,897
16,418,000 Strait Capital Corp., 5.75%, 7/22/97 16,284,262
15,876,000 Strait Capital Corp., 5.75%, 8/29/97 15,650,318
9,000,000 Strategic Asset Funding Corp., 5.80%,
8/26/97 8,875,300
8,754,000 Strategic Asset Funding Corp., 5.80%,
8/29/97 8,628,478
25,350,000 Tri-Lateral Capital, Inc., 5.50%,
6/2/97(a) 25,346,127
4,475,000 Tri-Lateral Capital, Inc., 5.50%,
6/11/97(a) 4,468,163
17,450,000 Tri-Lateral Capital, Inc., 5.77%,
7/24/97(a) 17,301,767
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
9,140,000 Tri-Lateral Capital, Inc., 5.73%,
8/20/97(a) $ 9,023,618
35,000,000 Tri-Lateral Capital, Inc., 5.74%,
8/29/97(a) 34,503,331
10,000,000 Westpac Banking Corp., 5.36%, 7/9/97 9,943,423
25,000,000 Working Capital Management Co., L.P.,
5.68%, 6/24/97 24,909,278
21,515,000 Working Capital Management Co., L.P.,
5.75%, 7/18/97 21,353,488
10,000,000 Yamaha Motor Owners Trust, 5.70%,
6/16/97(a) 9,976,250
--------------
TOTAL COMMERCIAL PAPER 954,391,093
--------------
CORPORATE NOTES (22.0%)
32,000,000 Asset Backed Trust 1995 Series A-1,
5.69% V/R, 12/10/97(a)(c) 32,000,000
27,500,000 Asset Backed Trust 1995 Series A-3,
5.89% V/R, 4/15/98(a)(c) 27,500,000
35,000,000 Asset Backed Trust 1996 Series A-5,
5.74% V/R, 3/16/98(a)(c) 35,000,000
10,000,000 Asset Backed Trust 1996 Series M, 5.69%
V/R, 10/15/97(a)(c) 10,000,000
50,000,000 Bear Stearns Cos., Inc., 5.72% V/R,
10/22/97 50,000,000
25,000,000 Bear Stearns Cos., Inc., 5.84% V/R,
3/15/01(b) 25,000,000
6,000,000 Beneficial Corp., 8.83%, 6/15/98 6,156,569
35,000,000 Beta Finance, Inc., 5.80%, 7/10/97(a) 35,000,000
20,000,000 Beta Finance, Inc., 5.83%, 1/30/98(a) 20,017,941
15,000,000 CC (USA) Inc., 5.80%, 1/13/98(a) 15,000,000
9,770,000 Caterpillar Financial Services Corp.,
7.46%, 10/15/97 9,830,668
15,000,000 Centauri Corp., 6.17%, 6/3/98 15,000,000
10,000,000 Citicorp Banking Corp., 10.15%, 2/15/98 10,285,123
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
12
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
15,000,000 Compagnie Bancaire USA Funding Inc.,
6.15%, 5/20/98 $ 14,996,784
15,000,000 CS First Boston, Inc., 5.64% V/R,
9/15/00(b) 15,000,000
12,000,000 Ford Motor Credit Co., 7.13%, 12/1/97 12,071,906
23,000,000 Ford Motor Credit Co., 6.25%, 2/26/98 23,048,554
7,790,000 Korea Development Bank, 5.00%, 3/2/98 7,726,912
40,000,000 Morgan Stanley Group, Inc., 5.66% V/R,
3/15/01(b) 40,000,000
25,000,000 Morgan Stanley Group, Inc., 5.76% V/R,
5/15/01(b) 25,000,000
15,000,000 Restructured Asset Certificates, Series
1996 MM-2-2, 5.96% V/R,
1/10/00(a)(b)(c) 15,000,000
25,000,000 Structured Product Asset Return
Certificate Trusts, Series 96-12,
5.79% V/R, 10/22/97(a)(c) 25,000,000
4,000,000 U.S. Leasing International, Inc., 7.00%,
11/1/97 4,019,737
--------------
TOTAL CORPORATE NOTES 472,654,194
--------------
FLOATING RATE FUNDING AGREEMENTS (3.5%)
50,000,000 General American Life Insurance, 5.87%
V/R, 3/20/30(b) 50,000,000
25,000,000 Transamerica Life Insurance, 5.69% V/R,
4/3/98 25,000,000
--------------
TOTAL FLOATING RATE FUNDING AGREEMENTS 75,000,000
--------------
MUNICIPAL BONDS & NOTES (1.8%)
8,300,000 Durham, NC, COP, Series B, 5.64%, V/R,
7/1/03(b) 8,300,000
1,090,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) 1,090,000
2,045,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) 2,045,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
CASH INVESTMENT FUND (concluded)
- ------------------------------------------------------------------------
2,280,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) $ 2,280,000
18,000,000 New York, NY, Bayerische Landesbank LOC,
5.88%, 8/18/97 18,000,000
2,500,000 Prince William County, VA, Taxable
Notes, Series A, Wachovia Bank of
North Carolina LOC, 5.64% V/R,
3/1/17(b) 2,500,000
5,200,000 Ridgefield, CT, Bond Anticipation Notes,
5.85%, 11/7/97 5,203,201
--------------
TOTAL MUNICIPAL BONDS & NOTES 39,418,201
--------------
TIME DEPOSITS (11.9%)
71,346,362 Banca Commerciale Italiana Spa Canada,
Toronto, 5.66%, 6/2/97 71,346,362
39,060,000 Branch Banking & Trust Co., 5.63%,
6/2/97 39,060,000
53,300,000 Deutsche Bank, 5.66%, 6/2/97 53,300,000
93,275,000 Norddeutsche Landesbank Girozentrale,
5.66%, 6/2/97 93,275,000
--------------
TOTAL TIME DEPOSITS 256,981,362
--------------
OTHER INVESTMENTS (1.2%)
15,000,000 American General Finance Inc., Master
Note 15,000,000
10,000,000 General Electric Co., Master Note 10,000,000
--------------
TOTAL OTHER INVESTMENTS 25,000,000
--------------
TOTAL INVESTMENTS (100.0%)(d) $2,153,458,928
--------------
--------------
- ------------------------------------------------------------------------
U.S. GOVERNMENT FUND
- ------------------------------------------------------------------------
AGENCY NOTES (31.7%)
FEDERAL FARM CREDIT BANK (5.5%)
20,000,000 5.93%, 7/1/97 $ 19,997,922
36,000,000 5.62%, 9/3/97 35,982,944
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
13
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
U.S. GOVERNMENT FUND (continued)
- ------------------------------------------------------------------------
50,000,000 5.50% V/R, 12/17/97 $ 49,975,861
--------------
TOTAL FEDERAL FARM CREDIT BANK 105,956,727
--------------
FEDERAL HOME LOAN BANK (5.7%)
10,000,000 5.63%, 12/17/97 10,000,000
50,000,000 5.52% V/R, 1/2/98 49,978,289
11,500,000 5.73%, 1/27/98 11,498,111
25,000,000 5.80%, 1/28/98 25,000,000
11,750,000 6.19%, 4/24/98 11,750,000
--------------
TOTAL FEDERAL HOME LOAN BANK 108,226,400
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (9.1%)
35,000,000 9.20%, 6/10/97 35,031,160
50,000,000 5.63% V/R, 11/25/97 49,981,144
50,000,000 5.57% V/R, 1/15/98 49,984,729
33,975,000 5.50%, 2/18/98 33,890,707
5,000,000 5.41% V/R, 8/4/97 4,998,973
--------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION
173,886,713
--------------
STUDENT LOAN MARKETING ASSOCIATION (11.4%)
12,000,000 5.51% V/R, 10/30/97 12,007,111
10,150,000 5.82%, 11/7/97 10,150,000
15,000,000 5.67%, 12/19/97 15,000,000
31,500,000 5.51% V/R, 1/21/98 31,517,485
48,250,000 5.46% V/R, 2/17/98 48,233,068
25,000,000 5.41% V/R, 4/21/98 24,996,817
25,980,000 5.35% V/R, 8/20/98 25,955,274
50,000,000 5.41% V/R, 11/6/98 49,957,196
--------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION
217,816,951
--------------
TOTAL AGENCY NOTES 605,886,791
--------------
DISCOUNT NOTES (49.6%)
FEDERAL FARM CREDIT BANK (1.3%)
25,000,000 5.46%, 10/15/97 24,484,334
--------------
FEDERAL HOME LOAN BANK (11.1%)
15,805,000 5.17%, 6/4/97 15,798,191
35,000,000 5.22%, 7/2/97 34,842,675
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
U.S. GOVERNMENT FUND (continued)
- ------------------------------------------------------------------------
40,000,000 5.30%, 8/11/97 $ 39,581,890
25,000,000 5.16%, 8/18/97 24,720,500
23,245,000 5.55%, 9/29/97 22,815,356
11,730,000 5.32%, 10/31/97 11,466,519
43,000,000 5.21%, 11/6/97 42,016,769
14,000,000 5.59%, 11/13/97 13,641,310
7,855,000 5.38%, 11/24/97 7,648,397
--------------
TOTAL FEDERAL HOME LOAN BANK 212,531,607
--------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (14.5%)
19,500,000 5.31%, 6/13/97 19,465,485
31,175,000 5.50%, 7/1/97 31,032,115
50,000,000 5.50%, 7/15/97 49,663,889
100,000,000 5.51%, 7/17/97 99,295,945
19,105,000 5.53%, 8/5/97 18,914,371
12,675,000 5.52%, 8/7/97 12,544,786
35,000,000 5.44%, 8/13/97 34,613,912
11,150,000 5.53%, 8/14/97 11,023,256
--------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION
276,553,759
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (18.3%)
71,370,000 5.18%, 6/6/97 71,318,412
50,000,000 5.32%, 6/13/97 49,912,000
61,700,000 5.30%, 6/19/97 61,536,649
37,730,000 5.23%, 6/25/97 37,598,448
10,000,000 5.42%, 7/9/97 9,942,789
7,095,000 5.16%, 8/18/97 7,015,678
82,000,000 5.59%, 10/14/97 80,276,876
8,270,000 5.32%, 10/15/97 8,103,792
25,000,000 5.50%, 11/26/97 24,320,140
--------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION
350,024,784
--------------
TENNESSEE VALLEY AUTHORITY (4.4%)
35,000,000 5.39%, 6/20/97 34,900,435
50,000,000 5.46%, 6/24/97 49,825,579
--------------
TOTAL TENNESSEE VALLEY AUTHORITY 84,726,014
--------------
TOTAL DISCOUNT NOTES 948,320,498
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
14
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
U.S. GOVERNMENT FUND (concluded)
- ------------------------------------------------------------------------
REPURCHASE AGREEMENTS (18.7%)
29,570,000 BancAmerica, 5.50%, 6/2/97, to be
repurchased at $29,583,553.
Collateralized by $23,000,000 FHLB
Discount Notes, 5.50%, 1997 and
$7,530,000 UST Notes, 5.88%, 1998 $ 29,570,000
179,616,212 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $179,699,584.
Collateralized by $37,000,000 Farm
Credit Discount Notes, 5.57%, 1997 to
1998; $11,000,000 FHLB Discount Notes,
5.88%, 1998; $63,000,000 FHLMC
Discount Notes, 5.57%, 1997;
$33,755,000 FNMA Discount Notes,
5.57%, 1997; $50,000,000 TVA Discount
Notes, 5.57%, 1997 179,616,212
150,000,000 Bear, Stearns & Co., Inc., 5.55% V/R,
6/2/97, available on demand at
$150,000,000 plus accrued interest.
Collateralized by $211,105,000 UST
Strip Notes, 6.16% to 6.72%, 1999 to
2004 150,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 359,186,212
--------------
TOTAL INVESTMENTS (100.0%)(d) $1,913,393,501
--------------
--------------
- ------------------------------------------------------------------------
TREASURY FUND
- ------------------------------------------------------------------------
U.S. TREASURY BILLS (A)(66.0%)
100,000,000 4.99% to 5.10%, 6/5/97 $ 99,944,055
115,000,000 4.95% to 5.15%, 6/19/97 114,707,875
50,000,000 5.00%, 7/3/97 49,778,000
17,000,000 5.10%, 7/10/97 16,906,075
120,430,000 5.03% to 5.20%, 7/24/97 119,524,441
163,945,000 5.10% to 5.30%, 8/21/97 162,021,221
--------------
TOTAL U.S. TREASURY BILLS 562,881,667
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
TREASURY FUND (concluded)
- ------------------------------------------------------------------------
U.S. TREASURY NOTES (34.0%)
75,000,000 6.75%, 6/2/97 $ 75,001,616
75,000,000 8.50%, 7/15/97 75,270,545
50,000,000 5.88%, 7/31/97 50,036,830
30,000,000 5.75%, 9/30/97 30,022,442
25,000,000 5.75%, 10/31/97 25,008,434
35,000,000 5.38%, 11/30/97 34,952,050
--------------
TOTAL U.S. TREASURY NOTES 290,291,917
--------------
TOTAL INVESTMENTS (100.0%)(d) $ 853,173,584
--------------
--------------
(A) Annualized yields at time of purchase.
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND
- ------------------------------------------------------------------------
AGENCY NOTES (1.5%)
30,000,000 FFCB, 5.93%, 7/1/97 $ 29,996,883
--------------
ASSET BACKED SECURITIES (2.1%)
5,458,107 Capital Equipment Receivables Trust
1996-1, Receivable Backed Notes, Class
A-1, 5.60%, 10/15/97(a) 5,458,107
34,839,382 WFP Tower B Finance Corp., Short-Term
STEERS Trust, Series 1996 A, 5.72%
V/R, 12/8/97(a)(c) 34,835,907
--------------
TOTAL ASSET BACKED SECURITIES 40,294,014
--------------
BANK NOTES (7.0%)
20,000,000 Bank of Hawaii, 5.63%, 11/7/97 19,998,520
15,000,000 FCC National Bank, 5.73%, 8/21/97 14,997,451
50,000,000 National Australia Bank Ltd., 5.80%,
10/3/97 50,004,717
25,000,000 PNC Bank, N.A., Pittsburgh, 5.59% V/R,
7/2/97 24,998,079
25,000,000 Shizuoka Bank Ltd., 5.73% V/R, 8/25/97 25,000,000
--------------
TOTAL BANK NOTES 134,998,767
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
15
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (6.1%)
13,000,000 Bayerische Hypotheken-und Wechsel Bank
AG, London Branch, 5.96%, 8/6/97 $ 13,003,390
25,000,000 Bayerische Vereinsbank, AG, New York
Branch, 5.54%, 7/10/97 25,000,527
10,000,000 Deutsche Bank, 5.91%, 6/10/97 9,999,974
10,000,000 Deutsche Bank, 6.17%, 5/22/98 9,997,220
10,400,000 Societe Generale, 6.03%, 7/21/97 10,402,372
15,000,000 Societe Generale, 6.10%, 3/25/98 14,996,507
25,000,000 Societe Generale, 6.19%, 5/11/98 24,995,507
10,000,000 Westpac Banking Corp., 5.80%, 8/25/97 9,999,470
--------------
TOTAL CERTIFICATES OF DEPOSIT 118,394,967
--------------
COMMERCIAL PAPER (49.2%)
19,850,000 ABN Amro Bank, North America Finance,
Inc., 5.47%, 12/5/97 19,285,991
45,000,000 Abbey National Treasury Services, 5.36%,
7/9/97 44,745,400
50,000,000 Anchor Funding Corp., 5.66%, 6/20/97(a) 49,850,639
13,650,000 Asset Backed Capital Finance Inc.,
5.43%, 6/9/97(a) 13,633,529
10,000,000 Asset Backed Capital Finance Inc.,
5.43%, 8/1/97(a) 9,907,992
22,900,000 Asset Backed Capital Finance Inc.,
5.58%, 9/22/97(a) 22,498,907
10,000,000 Banner Receivables Corp., 5.69%,
7/14/97(a) 9,932,036
17,870,000 Banner Receivables Corp., 5.75%,
8/1/97(a) 17,695,892
20,850,000 Broadway Capital Corp., 5.47%,
6/30/97(a) 20,843,664
50,000,000 Broadway Capital Corp., 5.70%,
8/11/97(a) 49,437,917
13,000,000 Caisse D'Amortissement de la Dette
Sociale, 5.44%, 10/10/97 12,742,658
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
15,000,000 Compagnie Bancaire USA Funding Inc.,
5.51%, 6/17/97 $ 14,963,267
6,500,000 Compagnie Bancaire USA Funding Inc.,
5.34%, 7/30/97 6,443,115
47,475,000 Compagnie Bancaire USA Funding Inc.,
5.50%, 8/18/97 46,909,257
10,300,000 Cooperative Association of Tractor
Dealers, 5.42%, 7/22/97 10,220,913
20,000,000 Corporate Asset Securitization Australia
Ltd., Inc., 5.70%, 8/7/97(a) 19,787,834
15,000,000 Creative Capital Corp., 5.50%, 6/2/97(a) 14,997,708
28,000,000 Dairy Investments Ltd., 5.71%, 8/18/97 27,653,593
25,000,000 Goldman Sachs Group L.P., 5.40%,
10/10/97 24,508,750
20,290,000 Gotham Funding Corp., 5.75%, 7/15/97(a) 20,147,407
32,400,000 Industrial Funding Corp., 5.75%, 7/9/97 32,203,350
13,546,000 International Securitization Corp.,
5.45%, 7/15/97 13,455,769
14,948,000 International Securitization Corp.,
5.45%, 7/29/97 14,816,748
14,296,000 International Securitization Corp.,
5.45%, 8/18/97 14,127,189
7,696,000 International Securitization Corp.,
5.45%, 8/20/97 7,602,794
35,077,000 Jet Funding Corp., 5.75%, 7/31/97 34,740,846
15,565,000 Madison Funding Corp., 5.72%, 8/11/97 15,389,410
75,000,000 Merrill Lynch & Co., Inc., 5.42%,
9/22/97 73,724,042
6,300,000 Oak Funding Corp., 5.67%, 6/3/97 6,298,016
40,000,000 Sigma Finance Inc., 5.40%, 7/15/97 39,736,000
43,349,000 Strait Capital Corp., 5.75%, 7/31/97 42,933,573
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
16
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
14,412,000 Thames Asset Global Securitization,
Inc., 5.72%, 8/13/97 $ 14,244,837
28,800,000 Toshiba Capital (Asia) Ltd., 5.71%,
7/22/97 28,567,032
25,350,000 Tri-Lateral Capital, Inc., 5.50%,
6/2/97(a) 25,346,127
12,575,000 Tri-Lateral Capital, Inc., 5.50%,
6/11/97(a) 12,555,788
10,100,000 Tri-Lateral Capital, Inc., 5.75%,
7/24/97(a) 10,014,501
9,000,000 Tri-Lateral Capital, Inc., 5.75%,
8/14/97(a) 8,893,625
15,000,000 Tri-Lateral Capital, Inc., 5.74%,
8/29/97(a) 14,787,142
10,000,000 Westpac Banking Corp., 5.36%, 7/9/97 9,943,423
25,852,000 Working Capital Management Co., L.P.,
5.70%, 6/17/97 25,786,508
25,000,000 Working Capital Management Co., L.P.,
5.68%, 6/24/97 24,909,278
25,000,000 Yamaha Motor Owners Trust, 5.70%,
6/16/97(a) 24,940,625
--------------
TOTAL COMMERCIAL PAPER 951,223,092
--------------
CORPORATE NOTES (17.8%)
15,000,000 Asset Backed Trust 1995 Series A-1,
5.63% V/R, 12/10/97(a)(c) 15,000,000
22,000,000 Asset Backed Trust 1995 Series A-3,
5.89% V/R, 4/15/98(a)(c) 22,000,000
15,000,000 Asset Bank Trust 1996 Series A-4, 5.70%
V/R, 1/15/98(a)(c) 15,000,000
30,000,000 Asset Backed Trust 1996 Series A-5,
5.74% V/R, 3/16/98(a)(c) 30,000,000
15,000,000 Asset Backed Trust 1996 Series M, 5.69%
V/R, 10/15/97(a)(c) 15,000,000
25,000,000 Bear Stearns Cos., Inc., 5.72% V/R,
10/22/97 25,000,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND (continued)
- ------------------------------------------------------------------------
25,000,000 Bear Stearns Cos., Inc., 5.84% V/R,
3/15/01(b) $ 25,000,000
10,000,000 Beta Finance Inc., 5.79%, 8/13/97(a) 10,003,384
15,000,000 Beta Finance Inc., 5.80%, 1/12/98(a) 15,000,000
22,000,000 Beta Finance Inc., 5.83%, 1/30/98(a) 22,019,736
10,000,000 CC (USA) Inc., 5.80%, 1/13/98(a) 10,000,000
10,000,000 Centauri Corp., 6.17%, 6/3/98 10,000,000
10,000,000 Compagnie Bancaire USA Funding Inc.,
6.15%, 5/20/98 9,997,857
10,000,000 CS First Boston, Inc., 5.64% V/R,
9/15/00(b) 10,000,000
30,000,000 Morgan Stanley Group, Inc., 5.66% V/R,
3/15/01(b) 30,000,000
25,000,000 Morgan Stanley Group, Inc., 5.76% V/R,
5/15/01(b) 25,000,000
10,000,000 National Rural Utilities Corp., 8.50%,
2/15/98 10,153,087
5,000,000 Northern Indiana Public Service, 5.83%,
4/6/98 4,983,715
15,000,000 Restructured Asset Certificates, Series
1996 MM-2-2, 5.96% V/R,
1/10/00(a)(b)(c) 15,000,000
25,000,000 Structured Product Asset Return
Certificate Trusts, Series 96-12,
5.79% V/R, 10/22/97(a)(c) 25,000,000
--------------
TOTAL CORPORATE NOTES 344,157,779
--------------
FLOATING RATE FUNDING AGREEMENTS (3.9%)
50,000,000 General American Life Insurance, 5.87%
V/R, 3/20/30(b) 50,000,000
25,000,000 Transamerica Life Insurance, 5.69% V/R,
4/3/98 25,000,000
--------------
TOTAL FLOATING RATE FUNDING AGREEMENTS 75,000,000
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
17
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
READY CASH INVESTMENT FUND (concluded)
- ------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES (1.2%)
1,180,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) $ 1,180,000
1,180,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) 1,180,000
2,790,000 Kalamazoo Funding Corp., Old Kent Bank
LOC, 5.71% V/R, 12/1/26(b) 2,790,000
18,000,000 New York, NY, Bayerische Landesbank LOC,
5.88%, 8/18/97 18,000,000
--------------
TOTAL MUNICIPAL BONDS & NOTES 23,150,000
--------------
TIME DEPOSITS (9.9%)
57,508,347 Banca Commerciale Italiana Spa Canada,
Toronto, 5.66%, 6/2/97 57,508,347
31,500,000 Branch Banking & Trust Co., 5.63%,
6/2/97 31,500,000
37,300,000 Deutsche Bank, 5.66%, 6/2/97 37,300,000
65,275,000 Norddeutsche Landesbank Girozentrale,
5.66%, 6/2/97 65,275,000
--------------
TOTAL TIME DEPOSITS 191,583,347
--------------
OTHER INVESTMENTS (1.3%)
15,000,000 American General Finance Inc., Master
Note 15,000,000
10,000,000 General Electric Co., Master Note 10,000,000
--------------
TOTAL OTHER INVESTMENTS 25,000,000
--------------
TOTAL INVESTMENTS (100.0%)(d) $1,933,798,849
--------------
--------------
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND
- ------------------------------------------------------------------------
ALASKA (1.7%)
9,600,000 Alaska State Department Administration,
COP, CAPMAC insured, 4.15% V/R,
9/1/06(b) $ 9,600,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
2,110,000 Alaska State Housing Finance Corp.,
Housing RV, Series A, MBIA insured,
3.75%, 6/1/97 $ 2,110,000
--------------
TOTAL ALASKA 11,710,000
--------------
ARIZONA (2.1%)
10,000,000 Apache County, AZ, IDA, Power RV,
Bankers Trust Co. LOC, 3.95% V/R,
12/15/18(b) 10,000,000
4,400,000 Chandler, AZ, IDA RV, Parsons Municipal
Services, Inc., National Westminster
Bank, USA LOC,
3.85% V/R, 12/15/09(b) 4,400,000
--------------
TOTAL ARIZONA 14,400,000
--------------
ARKANSAS (0.9%)
2,500,000 Arkansas State Development Finance
Authority, SFM RV, Mortgage Backed
Securities, Series G, 3.70%, 7/1/17,
mandatory put 11/5/97 @ 100 2,500,000
1,000,000 Little Rock, AR, IDA RV, GTD by CPC
International, 5.44% V/R, 12/1/03(b) 1,000,000
2,370,000 Little Rock, AR, SD Tax & Revenue
Anticipation Promissory Notes, 4.25%,
12/30/97 2,375,255
--------------
TOTAL ARKANSAS 5,875,255
--------------
CALIFORNIA (2.0%)
3,000,000 California School Cash Reserve Program
Authority, Educational Facilities
Revenue Notes, Series A, MBIA insured,
4.75%, 7/2/97 3,002,207
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
18
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
2,500,000 California Statewide Communities, MFHR
Bonds, Whispering Winds Apartment,
Series A, GTD by Continental Casualty,
4.05% V/R, 12/1/22(b) $ 2,500,000
3,000,000 Cotati-Rohnert Park, CA, Unified SD,
Educational Facilities Revenue Notes,
4.50%, 8/13/97 3,002,880
855,000 Exeter, CA, Union Elementary SD,
Educational Facilities RV, 4.00%,
11/25/97 855,998
3,200,000 Kern, CA, Community College, Educational
Facilities RV, Union Bank of
California LOC, 4.50% V/R, 1/1/25(b) 3,200,000
1,000,000 Los Angeles, CA, Unified SD, GO Bonds,
TRANS, Series B, 4.50%, 9/30/97 1,003,063
--------------
TOTAL CALIFORNIA 13,564,148
--------------
COLORADO (3.5%)
3,250,000 Arapahoe County, CO, SD #5, Cherry
Creek, GO Bonds, 0.00% (3.70%
effective yield), 12/15/97 3,186,848
1,500,000 Arapahoe County, CO, SD #5, Cherry
Creek, GO Bonds, Series A, 4.50%,
12/15/97 1,506,643
9,700,000 Colorado Health Facilities Authority RV,
Sisters of Charity Health,
3.85% V/R, 5/15/25(b) 9,700,000
2,800,000 Colorado Health Facilities Authority RV,
Valley View Hospital Association
Project, Fuji Bank Ltd. LOC, 4.55%
V/R, 10/1/12(b) 2,800,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
3,000,000 Colorado HFA, MFHR Bonds, St. Moritz,
Series H, COLL by FNMA, 3.95% V/R,
10/15/16(b) $ 3,000,000
1,700,000 Moffat County, CO, PCR Bonds, AMBAC
insured, 4.05% V/R, 7/1/10(b) 1,700,000
1,930,000 Parkview Metropolitan District, CO,
Arapahoe County, GO Bonds, 4.20% V/R,
12/1/12(b) 1,930,000
--------------
TOTAL COLORADO 23,823,491
--------------
CONNECTICUT (0.4%)
3,000,000 Connecticut State Development Authority,
IDA RV, GTD by General Accident
Insurance, 3.64%, 12/1/13(b) 3,000,000
--------------
FLORIDA (6.4%)
5,770,000 Dade County, FL, HFA, MFHR Bonds, Cutler
Club Apartment Project, Series J, GTD
by John Hancock Insurance, 4.15% V/R,
2/1/05(b) 5,770,000
2,000,000 Dade County, FL, IDA RV, GTD by ADP,
Inc., 4.30% V/R, 11/15/17(b) 2,000,000
5,545,000 Dade County, FL, MFHR Bonds, La Hacienda
Apartments, GTD by John Hancock
Insurance, Series I, 4.15% V/R,
2/1/05(b) 5,545,000
3,700,000 Dade County, FL, MFHR Bonds, Mayan Tower
& Villa, Series M, GTD by John Hancock
Insurance, 4.15% V/R, 12/1/29(b) 3,700,000
6,870,000 Florida HFA, MFHR Bonds, Buena Vista
Project, GTD by New England Mutual
Life, 4.05% V/R, 11/1/07(b) 6,870,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
19
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
8,120,000 Florida HFA, MFHR Bonds, Country Club
Project, Bankers Trust LOC, 4.15% V/R,
12/1/07(b) $ 8,120,000
1,200,000 Florida HFA, MFHR Bonds, Series A, Wells
Fargo Bank LOC, 3.90% V/R, 4/1/07(b) 1,200,000
1,710,000 Florida HFA, MFHR Bonds, South Trust
Alabama LOC, 4.15% V/R, 6/1/07(b) 1,710,000
1,600,000 Hillsborough County, FL, IDA, Port
Facilities RV, Seaboard System
Railroad, Inc. Project, National Bank
Detroit LOC, 3.85% V/R, 10/15/99(b) 1,600,000
250,000 Homestead, FL, Special Insurance
Assessment RV, Unrefunded Balance,
MBIA insured, 4.40%, 9/1/97 250,518
1,050,000 Orange County, FL, HFA, Multi-Family GTD
Mortgage Revenue Refunding Bonds,
Sundown Association II, Series B,
Fleet Bank LOC,
4.05% V/R, 6/1/04(b) 1,050,000
6,200,000 Sarasota County, FL, Health Facilities
Authority Revenue Bonds, Bay Village
Project, Barnett Bank LOC, 3.90% V/R,
12/1/19(b) 6,200,000
--------------
TOTAL FLORIDA 44,015,518
--------------
GEORGIA (1.6%)
1,100,000 Clayton County, GA, MFHR Bonds,
Hungtington Woods, Series A, FSA
insured, 4.00% V/R, 1/1/21(b) 1,100,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
1,175,000 Clayton County, GA, MFHR Bonds, Villa
Rouge Apartments, Series C, FSA
insured, 4.00% V/R, 1/1/21(b) $ 1,175,000
2,595,000 Fulton County, GA, IDA RV, GTD by ADP,
Inc., 3.85% V/R, 9/1/12(b) 2,595,000
6,000,000 Marietta, GA, MFHR Bonds, Falls at Bells
Ferry, Guardian Savings & Loan LOC,
3.65%, 1/15/09,(b) optional put
1/15/98 @ 100 6,000,000
--------------
TOTAL GEORGIA 10,870,000
--------------
HAWAII (4.5%)
7,700,000 Hawaii State Department of Budget &
Finance, Special Purpose Mortgage RV,
G.N. Wilcox Memorial Hospital Project,
Fuji Bank Ltd., NY LOC, 4.65% V/R,
7/1/18(b) 7,700,000
6,350,000 Hawaii State Department of Budget &
Finance, Special Purpose Mortgage RV,
Kuakini Medical Center Project, Bank
of Hawaii LOC, 3.80% V/R, 7/1/04(b) 6,350,000
1,340,000 Hawaii State Department of Budget &
Finance, Special Purpose Mortgage RV,
Queens Medical Center Project, FGIC
insured, 6.70%, 7/1/97 1,343,414
8,300,000 Hawaii State Housing Finance &
Development Corp., MFHR Bonds,
Industrial Bank of Japan LOC, 4.05%
V/R, 7/1/25(b) 8,300,000
5,300,000 Hawaii State Housing Finance &
Development Corp., MFHR Bonds, Series
A, Industrial Bank of Japan LOC, 4.05%
V/R, 7/1/25(b) 5,300,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
20
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
2,000,000 Honolulu, HI, City & County, GO Bonds,
Series B, 4.20%, 10/1/97 $ 2,003,753
--------------
TOTAL HAWAII 30,997,167
--------------
IDAHO (0.7%)
4,500,000 Twin Falls, ID, IDA RV, Longview Fibre
Co. Project, Sumitomo Bank LOC, 4.20%
V/R, 12/1/15(b) 4,500,000
--------------
ILLINOIS (13.7%)
1,000,000 Bedford Park, IL, IDA RV, GTD by CPC
International, 5.44% V/R, 11/1/08(b) 1,000,000
2,500,000 Chicago, IL, GO Bonds, Series B, COLL by
USG, 9.25%, 1/1/13(b), P/R 7/1/97 @
102 2,561,268
3,885,000 Cook County, IL, Municipal Trust
Receipts, Series SG-7, MBIA insured,
4.10% V/R, 11/15/23(b) 3,885,000
1,000,000 Illinois Development Finance Authority
RV, GTD by CPC International, 5.44%
V/R, 9/1/97 1,000,000
6,000,000 Illinois Development Finance Authority
RV, MFHR Bonds, Garden Glen
Apartments, GTD by Continental
Casualty Co., 4.20% V/R, 12/1/13(b) 6,000,000
915,000 Illinois Development Finance Authority
RV, North Wacker Drive, 4.15% V/R,
12/1/15(b) 915,000
5,000,000 Illinois Development Finance Authority
RV, Supervalu, Inc. Project, Wachovia
Corp. LOC, 3.95% V/R, 2/1/01(b) 5,000,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
1,350,000 Illinois Educational Facilities
Authority RV, Cultural Pool, First
National Bank of Chicago LOC,
3.95% V/R, 12/1/25(b) $ 1,350,000
2,100,000 Illinois Health Facilities Authority RV,
Condell Memorial Hospital, Bank of
Tokyo LOC, 4.20% V/R, 11/1/05(b) 2,100,000
5,000,000 Illinois Health Facilities Authority RV,
Evanston Hospital Corp., 3.95% V/R,
8/15/30(b), mandatory put 8/15/97 @
100 5,000,000
5,000,000 Illinois Health Facilities Authority RV,
Evanston Hospital Corp., Series A,
3.85% V/R, 3/15/25(b), mandatory put
10/15/97 @ 100 5,000,000
12,000,000 Illinois Health Facilities Authority RV,
Evanston Hospital Corp., Series B,
3.75%, 8/15/15(b), mandatory put
1/15/98 @ 100 12,000,000
11,400,000 Illinois Health Facilities Authority RV,
Memorial Medical Center, Series C,
Kredietbank N.V. LOC, 3.95% V/R,
1/1/16(b) 11,400,000
11,600,000 Illinois Health Facilities Authority RV,
Northwestern Memorial Hospital, 4.00%
V/R, 8/15/25(b) 11,600,000
1,350,000 Kane Cook & Du Page Counties, IL, GO
Bonds, SD #46, Elgin, FGIC insured,
9.00%, 1/1/98 1,391,201
1,000,000 Lake County, IL, Forest Preservation
District, GO Bonds, 6.90%, 2/1/02(b),
P/R 2/1/98 @ 102 1,039,904
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
21
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
6,800,000 Lombard, IL, IDA RV, 2500 Highland
Avenue, Mid-America Federal Savings &
Loan LOC, 4.35% V/R, 12/1/06(b) $ 6,800,000
10,000,000 Lombard, IL, MFHR Bonds, Clover Creek
Apartments, remarketed 12/15/96,
Continental Casualty Surety Bond LOC,
3.80%, 12/15/06(b), mandatory put
12/15/97 @ 100 10,000,000
2,000,000 South Barrington, IL, GO Bonds, Cook
County, Harris Trust & Savings Bank
LOC, 3.90% V/R, 12/1/15(b) 2,000,000
4,100,000 Springfield, IL, Transportation RV, GTD
by Allied Signal, 4.15% V/R,
10/15/16(b) 4,100,000
--------------
TOTAL ILLINOIS 94,142,373
--------------
INDIANA (0.1%)
1,000,000 Gary, IN, Enviromental Improvement
Revenue, PCR Bonds, U.S. Steel Group
Project, Bank of Nova Scotia LOC,
3.85% V/R, 7/15/02(b) 1,000,000
--------------
IOWA (6.2%)
3,800,000 Algona, IA, IDA RV, George A. Hormel &
Co. Project, Sumitomo Bank Ltd. LOC,
4.15% V/R, 5/1/05(b) 3,800,000
4,600,000 Des Moines, IA, IDA RV, Grand Office
Park, GTD by Principal Mutual Life,
4.05% V/R, 4/1/15(b) 4,600,000
4,500,000 Iowa School Corp., Educational
Facilities RV, Warrants Certificates,
Series A, 4.75%, 6/27/97 4,502,465
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
15,000,000 Iowa School Corp., Educational
Facilities RV, Warrants Certificates,
Series B, 4.25%, 1/30/98 $ 15,054,124
4,000,000 Urbandale, IA, IDA RV, Aurora Business
Park Association Project, GTD by
Principal Mutual Life Insurance, 4.05%
V/R, 10/1/15(b) 4,000,000
6,000,000 Urbandale, IA, IDA RV, Interstate Acres
L.P. Project, GTD by Principal Mutual
Life Insurance, 4.15% V/R, 12/1/14(b) 6,000,000
4,605,000 Urbandale, IA, IDA RV, Meredith Drive
Association Project, GTD by Principal
Mutual Life Insurance, 4.05% V/R,
11/1/15(b) 4,605,000
--------------
TOTAL IOWA 42,561,589
--------------
KANSAS (0.8%)
2,160,000 Olathe, KS, GO Bonds, Series A, 4.00%,
6/1/97 2,160,011
2,230,000 Overland Park, KS, GO Bonds, Series A,
3.80%, 4/1/98 2,231,006
1,200,000 Prairie Village, KS, MFHR Bonds, J.C.
Nichols Co. Project, GTD by Principal
Mutual Life Insurance, 4.05% V/R,
12/1/15(b) 1,200,000
--------------
TOTAL KANSAS 5,591,017
--------------
KENTUCKY (0.0%)
300,000 Kentucky State Turnpike Authority,
Resource Recovery Revenue, 13.13%,
7/1/09(b), P/R 7/1/97 @ 100 302,247
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
22
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
LOUISIANA (1.9%)
4,615,000 Louisiana PFA, Hospital Equipment
Revenue Refunding Bonds, Series A,
Sumitomo Bank Ltd. LOC, 4.30% V/R,
12/1/05(b) $ 4,615,000
1,000,000 Louisiana State, GO Bonds, Series A,
AMBAC insured, COLL by USG, 7.00%,
8/1/02(b), P/R 8/1/97 @ 102 1,025,153
1,000,000 Louisiana State, GO Bonds, Series A,
COLL by USG, 7.00%, 8/1/02(b), P/R
8/1/97 @ 102 1,025,477
3,400,000 Plaquemines, LA, Port Harbor & Term
District Port Facilities Revenue,
Morgan Guaranty LOC, 3.75%, 3/15/06 3,400,000
2,500,000 Plaquemines, LA, Port Harbor & Term
District Port Facilities Revenue, GTD
by Chevron Pipe Line Co., 3.85%,
9/1/08 2,500,000
--------------
TOTAL LOUISIANA 12,565,630
--------------
MARYLAND (4.3%)
7,500,000 Baltimore, MD, IDA RV, Dai-Ichi Kangyo
Ltd. LOC, 4.05% V/R, 8/1/16(b) 7,500,000
7,000,000 Howard County, MD, MFHR Bonds, Sherwood
Crossing Ltd. Project, Guardian
Savings & Loan LOC, 3.75% V/R,
6/1/08(b), mandatory put 6/1/98 @ 100 7,000,000
4,740,000 Maryland State Community Development
Administration, SFM RV, 3.80% V/R,
4/1/17(b), optional put 10/1/97 @ 100 4,740,000
1,000,000 Maryland State DOT, RV, 6.30%, 11/1/97 1,010,793
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
2,500,000 Maryland State, Industrial Authority
Economic Development RV, Johnson
Controls, Inc., 4.10% V/R, 12/1/03(b) $ 2,500,000
6,900,000 Montgomery County, MD, Housing
Opportunities Commission, MFHR Bonds,
Issue I, GTD by Commonwealth Life,
4.10% V/R, 11/1/20(b) 6,900,000
--------------
TOTAL MARYLAND 29,650,793
--------------
MASSACHUSETTS (0.5%)
1,000,000 Boston, MA, GO Bonds, Series A, AMBAC
insured, 6.75%, 2/1/98 1,018,799
2,500,000 Massachusetts State, GO Bonds, Series A,
4.25%, 6/10/97 2,500,326
--------------
TOTAL MASSACHUSETTS 3,519,125
--------------
MICHIGAN (3.2%)
3,700,000 Bruce TWP, MI, Hospital Finance
Authority, Health Care RV, Sisters
Charity St. Joseph, Series A, MBIA
insured, 3.80%, 5/1/18 3,700,000
8,300,000 Michigan State, Strategic Fund Ltd.
Obligation RV, Consumers Power Co.
Project, Series A, Canadian Imperial
Bank LOC, 4.00% V/R, 6/15/10(b) 8,300,000
9,900,000 Monroe County, MI, Economic Development
Corp. RV, Detroit Edison, Series CC,
Barclays Bank LOC, 4.00% V/R,
10/1/24(b) 9,900,000
--------------
TOTAL MICHIGAN 21,900,000
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
23
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
MINNESOTA (5.7%)
5,000,000 Crystal, MN, MFHR Bonds, Crystal
Apartments L.P. Project, 4.00% V/R,
5/1/27(b) $ 5,000,000
4,000,000 Mankato, MN, MFHR Bonds, Highland Hills
Project, 3.95% V/R, 5/1/27(b) 4,000,000
2,900,000 Maple Grove, MN, MFHR Bonds, Eagle Ridge
Apartments, Sumitomo Bank Ltd. LOC,
Series A, 4.15% V/R, 6/1/26(b) 2,900,000
4,355,000 Mendota Heights, MN, MFHR Bonds,
Lexington Heights Apartment Project,
Series A, Sumitomo Bank Ltd. LOC,
4.15% V/R, 11/1/25(b) 4,355,000
4,350,000 Minneapolis, MN, Hospital Facilities
Revenue Bonds, Life Span Inc., Series
B, COLL by USG, 9.13%, 12/1/14(b), P/R
12/1/97 @ 102 4,548,347
5,285,000 Minnesota SD Tax & Aid Anticipation
Borrowing Program Certificates,
Educational Facilities Revenue Notes,
Minnesota SD Credit Enhancement,
Series B, 4.50%, 9/9/97 5,293,932
1,740,000 Minnesota SD Tax & Aid Anticipation COP,
Series B, 3.65%, 3/10/98 1,740,000
2,860,000 Minnesota State HFA, SFM RV, Series A,
4.30%, 1/1/17(b), mandatory tender
6/3/97 @ 100 2,860,088
635,000 Southern Minnesota Municipal Power
Agency, Power Supply System RV, Series
B, 5.00%, 1/1/98 639,661
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
4,660,000 Spring Lake Park, MN, Independent SD
#16, GO Bonds, Tax Anticipation
Certificate Indebture, 3.73%, 2/13/98 $ 4,660,000
2,300,000 St. Paul, MN, Housing & Redevelopment
Authority, Utilities RV, Sumitomo Bank
Ltd. LOC,
4.15% V/R, 12/1/12(b) 2,300,000
940,000 West St. Paul, MN, Independent SD #197,
GO Bonds, Capital Appreciation School
Building Project, MBIA insured, 0.00%
(3.75% effective yield), 2/1/98 917,102
--------------
TOTAL MINNESOTA 39,214,130
--------------
MISSOURI (4.6%)
2,655,000 Dunklin County, MO, IDA RV, National
HealthCorp Project, Bank of Tokyo Ltd.
LOC, 4.30% V/R, 12/1/10(b) 2,655,000
5,000,000 Independence, MO, IDA RV, Resthaven
Project, Credit Local de France LOC,
3.95% V/R, 2/1/25(b) 5,000,000
13,975,000 Kansas City, MO, IDA, MFHR Bonds, Coach
House II Project, GTD by Principal
Mutual Life Insurance, 4.05% V/R,
12/1/15(b) 13,975,000
2,200,000 Kansas City, MO, IDA, MFHR Bonds, JC
Nichols Co. Project, GTD by Principal
Mutual Life Insurance, 4.05% V/R,
5/1/15(b) 2,200,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
24
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
3,000,000 Missouri State Environmental Improvement
& Energy Resources Authority, PCR
Bonds, Union Electric Co., Series B,
Union Bank of Switzerland LOC, 3.65%
V/R, 6/1/14(b), optional put 6/1/97 @
100 $ 3,000,000
3,100,000 St. Louis County, MO, IDA, MFHR Bonds,
remarketed 1/2/97, Cedar Run
Apartments, 4.15% V/R, 12/1/25(b) 3,100,000
2,000,000 University of Missouri, Capital Project
Notes, Educational Facilities RV,
4.75%, 6/30/97 2,001,330
--------------
TOTAL MISSOURI 31,931,330
--------------
MONTANA (1.3%)
6,355,000 Montana State Board of Investments,
Municipal Finance Contruction,
Intercap Program RV, 3.65%, 3/1/05(b),
optional put 3/1/98 @ 100 6,354,754
2,315,000 Montana State Board of Investments,
Municipal Finance Construction,
Intercap Program RV, 3.65%, 3/1/10(b),
optional put 3/1/98 @ 100 2,307,637
--------------
TOTAL MONTANA 8,662,391
--------------
NEBRASKA (0.4%)
3,060,000 Nebraska Finance Authority, SFM RV, GNMA
Securities, Series B, 3.60%, 7/15/15 3,060,000
--------------
NEW HAMPSHIRE (0.1%)
900,000 New Hampshire State Turnpike System, RV,
8.38%, 11/1/17(b), P/R 11/1/97 @ 102 935,230
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
NEW MEXICO (1.3%)
2,500,000 Bloomfield, NM, GO Bonds, Series A, La
Salle National Bank LOC, 4.10% V/R,
11/15/10(b) $ 2,500,000
2,760,000 Espanola, NM, Health Care RV, Series A,
La Salle National Bank LOC, 4.10% V/R,
11/15/10(b) 2,760,000
2,000,000 New Mexico State Highway RV, FSA
insured,
3.90% V/R, 6/15/11(b) 2,000,000
1,735,000 Silver City, NM, GO Bonds, Series A, La
Salle National Bank LOC, 4.10% V/R,
11/15/10(b) 1,735,000
--------------
TOTAL NEW MEXICO 8,995,000
--------------
NEW YORK (1.7%)
3,200,000 County of Westchester, NY, IDA RV, 4.50%
V/R, 7/1/98 3,200,000
1,000,000 Housing, NY, Housing RV, Series A, COLL
by USG, 9.00%, 11/1/17(b), P/R 11/1/97
@ 102 1,040,929
2,500,000 New York, NY, City Municipal Water
Finance Authority, Utility RV, Series
G, FGIC insured, 4.00% V/R, 6/15/24(b) 2,500,000
5,200,000 New York State Dorm Authority RV,
Municipal Securities Receipts, Series
CMC1B, 4.00% V/R, 2/15/08(b) 5,200,000
--------------
TOTAL NEW YORK 11,940,929
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
25
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
NORTH CAROLINA (0.4%)
3,000,000 Person County, NC, Industrial Facilities
& Pollution Control Financing
Authority, PCR Bonds, GTD by Carolina
Power & Light Co., 4.15% V/R,
11/1/19(b) $ 3,000,000
--------------
OHIO (4.0%)
1,260,000 Butler County, OH, Hospital Facilities
RV, Middleton Regional Hospital, FGIC
insured, 6.00%, 11/15/97 1,273,592
5,200,000 Hamilton County, OH, IDA RV, Community
Urban Redevelopment Project, National
Westminster LOC, 3.85% V/R,
10/15/12(b) 5,200,000
11,900,000 Montgomery County, OH, Health Care RV,
Sisters of Charity, 3.85% V/R,
5/15/25(b) 11,900,000
5,000,000 Ohio State, IDA RV, U.S. Steel Corp.,
Sanwa Bank Ltd. LOC, 4.20% V/R,
5/1/11(b) 5,000,000
4,400,000 Wooster, OH, IDA RV, Allen Group, Inc.,
National Bank of Detroit LOC,
4.10% V/R, 12/1/10(b) 4,400,000
--------------
TOTAL OHIO 27,773,592
--------------
OKLAHOMA (1.0%)
1,000,000 Grand River Dam Authority, OK, Utilities
RV, 6.70%, 6/1/00(b), P/R 6/1/97 @ 102 1,020,072
570,000 Norman, OK, Regional Hospital Authority,
Health Care RV, Series A, MBIA
insured, 3.85%, 9/1/97 570,000
2,625,000 Oklahoma County, OK, IDA RV, Carbon
Office, FGIC insured, 3.80% V/R,
12/1/14(b) 2,625,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
2,615,000 Oklahoma County, OK, Finance Authority,
IDA RV, Perrine Office Project, FGIC
insured, 3.80% V/R, 12/1/14(b) $ 2,615,000
--------------
TOTAL OKLAHOMA 6,830,072
--------------
PENNSYLVANIA (2.3%)
1,000,000 Berks County, PA, IDA RV, GTD by CNA
Insurance, 3.85% V/R, 7/1/16(b) 1,000,000
1,100,000 Butler County, PA, IDA, PCR Bonds,
Pennzoil Co. Project, Mellon Bank LOC,
4.30% V/R, 12/1/12(b) 1,100,000
4,890,000 Chartiers Valley, PA, Industrial &
Commercial Development Authority, IDA
RV, GTD by ADP, Inc., 4.30% V/R,
11/15/17(b) 4,890,000
120,000 Conshohocken Board Authority, PA,
Utilities RV, AMBAC insured, 3.75%,
11/1/97 119,966
2,590,000 Pennsylvania Intergovernmental Coop
Authority, Special Tax RV, MBIA
insured, 4.05% V/R, 6/15/23(b) 2,590,000
2,000,000 Pennsylvania Intergovernmental Coop
Authority, Special Tax RV,
Philadelphia Funding Project, 5.00%,
6/15/97 2,000,964
4,300,000 Quakertown, PA, Health Care RV, Hospital
Group Pooled Financing, Series A, PNC
Bank LOC,
4.00% V/R, 7/1/26(b) 4,300,000
--------------
TOTAL PENNSYLVANIA 16,000,930
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
26
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
RHODE ISLAND (0.6%)
1,400,000 Rhode Island Housing & Mortgage Finance
Corp., Housing RV, Series 22-A, GTD by
FGIC Capital, 3.65%, 4/1/27(b),
mandatory put 12/2/97 @ 100 $ 1,400,000
2,695,000 Rhode Island State, GO Bonds, MBIA
insured, 5.00%, 8/1/97 2,701,095
--------------
TOTAL RHODE ISLAND 4,101,095
--------------
SOUTH CAROLINA (1.2%)
8,355,000 South Carolina State, Public Service
Authority RV, Series SG-2, MBIA
insured, 4.10% V/R, 7/1/21(b) 8,355,000
--------------
SOUTH DAKOTA (0.7%)
5,000,000 South Dakota SD, Cash Flow Financing
Program, Educational Facilities RV,
COP, 4.75%, 7/28/97 5,006,002
--------------
TENNESSEE (0.4%)
1,500,000 Metropolitan Governments of Nashville &
Davidson Counties, TN, Health &
Education Facilities RV, Vanderbilt
University, Series A, 3.65% V/R,
1/15/14(b) 1,500,000
1,000,000 Tennessee State, GO Bonds, Series A,
5.50%, 3/1/98 1,013,235
--------------
TOTAL TENNESSEE 2,513,235
--------------
TEXAS (6.9%)
1,000,000 Abilene, TX, Higher Education Authority
Inc., Educational Facilities RV,
Series A, Bond International Gold LOC,
7.50%, 7/1/97 1,002,879
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
1,100,000 Bexar County, TX, Housing Finance Corp.,
MFHR Bonds, Creightons Mill
Development Project, Series A, GTD by
New England Mutual Life Insurance Co.,
4.10% V/R, 8/1/06(b) $ 1,100,000
4,950,000 Bexar County, TX, Housing Finance Corp.,
MFHR Bonds, Park Hill Development
Project, Series B, GTD by New England
Mutual Life Insurance Co., 4.10% V/R,
6/1/05(b) 4,950,000
505,000 College Station, TX, GO Bonds, FGIC
insured, 7.50%, 2/15/98 517,971
1,000,000 Dallas, TX, Waterworks & Sewer System
RV, Series A, 6.63%, 10/1/04(b), P/R
10/1/97 @ 100 1,024,705
3,540,000 Harris County, TX, GO Bonds, FGIC
insured, 0.00% (3.80% effective
yield), 8/15/97 3,513,020
15,000,000 Harris County, TX, Health Care
Facilities RV, 4.50% V/R, 12/1/25(b),
mandatory tender 12/1/98 @ 100 15,000,000
3,895,000 Harris County, TX, Housing Finance
Corp., MFHR Bonds, Arbor II Ltd.
Project, Guardian Savings & Loan LOC,
4.15%, 10/1/15(b), optional put
10/1/97 @ 100 3,895,000
15,330,000 State of Texas, Sales Tax Revenue Notes,
TANS, 4.75%, 8/29/97 15,358,605
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
27
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
920,000 Tarrant County, TX, MFHR Bonds, Single
Family Apartments Project, Suntrust
Bank, Nashville LOC, 4.05% V/R,
11/1/17(b) $ 920,000
--------------
TOTAL TEXAS 47,282,180
--------------
UTAH (0.2%)
1,500,000 Intermountain Power Agency, UT, Power
Supply RV, Series F, GTD by Morgan
Guaranty, 3.93%, 7/1/21(b), optional
put 6/16/97 @ 100 1,500,000
--------------
VERMONT (0.0%)
300,000 Vermont Educational & Health Buildings
Financing Agency, Educational
Facilities RV, Middlebury College
Project, Series A, 3.75%, 11/1/27(b),
optional put 11/1/97 @ 100 300,000
--------------
VIRGINIA (1.2%)
7,500,000 Harrisonburg, VA, MFHR Bonds, Rolling
Brook Village Apartments, Series A,
Guardian Savings & Loan LOC, 3.70%
V/R, 2/1/26(b), mandatory put 2/1/98 @
100 7,500,000
700,000 Virginia State Public School Authority,
GO Bonds, Series A, 7.00%, 1/1/98 713,090
--------------
TOTAL VIRGINIA 8,213,090
--------------
WASHINGTON (1.4%)
5,800,000 Port Seattle, WA, IDA RV, Sysco Food
Services Project, 3.95% V/R,
11/1/25(b) 5,800,000
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
1,000,000 Washington Public Power Supply System,
Power RV, Nuclear Project #3, Series
13, MBIA insured, 4.10% V/R, 7/1/15(b) $ 1,000,000
1,295,000 Washington State Health Care Facilities
Authority RV, Empire Health Services
of Spokane, MBIA insured, 8.38%,
11/1/06(b), P/R 11/1/97 @ 102 1,345,447
1,385,000 Washington State Housing Finance
Commission, SFM RV, Series 1N-S,
3.95%, 12/1/17(b), mandatory tender
4/1/98 @ 100 1,385,000
--------------
TOTAL WASHINGTON 9,530,447
--------------
WASHINGTON, D.C. (2.3%)
3,000,000 District of Columbia, Educational
Facilities RV, Catholic University,
Series A, Sanwa Bank Ltd. LOC, 4.05%
V/R, 12/1/09(b) 3,000,000
3,000,000 District of Columbia, Supplemental
Student Loan RV, CONSERN Loan Program,
Bank of Toyko-Mitsubishi Ltd. LOC,
4.33% V/R, 7/1/01(b), optional put
7/1/97 @ 100 3,000,668
9,900,000 Washington, DC, Hospital RV, Columbia
Women's Hospital, Series A, Mitsubishi
Bank Ltd. LOC, 4.05% V/R, 7/1/20(b) 9,900,000
--------------
TOTAL WASHINGTON, D.C. 15,900,668
--------------
WISCONSIN (4.5%)
1,000,000 Beloit & Rock County, WI, IDA RV, GTD by
CPC International, 5.44% V/R,
4/1/19(b) 1,000,000
5,000,000 Green Bay, WI, Area Public SD, BAN,
3.84%, 2/2/98 5,000,312
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
28
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (continued)
- ------------------------------------------------------------------------
1,405,000 Johnson Controls, Inc., Tax-Exempt Bond,
Grantor Trust, Wachovia Corp. LOC,
4.40% V/R, 10/1/01(b) $ 1,405,000
10,000,000 Milwaukee, WI, Educational Facilities
RV, School Order Notes, Series B,
4.25%, 8/21/97 10,008,348
1,115,000 Milwaukee, WI, PCR Bonds, GTD by Johnson
Controls, Inc., 4.20% V/R, 12/1/97 1,115,000
6,000,000 Racine, WI, United SD, Educational
Facilities RV, Tax & Anticipation
Promissory Note, 4.25%, 8/22/97 6,005,946
3,000,000 Waukesha, WI, SD, Educational Facilities
RV, Tax & Revenue Anticipation
Promissory Note, 4.15%, 8/22/97 3,001,948
1,000,000 Wisconsin Health & Educational
Facilities Authority RV, Alverno
College Project, Series B, COLL by
USG, 7.32%, 5/31/00(b), P/R 5/31/98 @
101 1,041,697
2,240,000 Wisconsin Housing & EDA, Home Ownership
RV, Series A, 3.60% V/R, 9/1/16(b) 2,240,000
--------------
TOTAL WISCONSIN 30,818,251
--------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND (concluded)
- ------------------------------------------------------------------------
WYOMING (0.1%)
1,000,000 Green River, WY, PCR Bonds, Allied Corp.
Project, GTD by Allied Signal Corp.,
4.80% V/R, 12/1/12(b) $ 1,000,000
--------------
ALL OTHER (3.2%)
9,100,000 Puttable Floating Option, Tax-Exempt
Receipts, Series PL-1, Credit Suisse
LOC, 4.10% V/R, 10/20/00(b) 9,100,000
12,630,000 Puttable Floating Option, Tax-Exempt
Receipts, Series PPT-4, AMBAC insured,
4.25% V/R, 10/11/30(b) 12,630,000
--------------
TOTAL ALL OTHER 21,730,000
--------------
TOTAL INVESTMENTS (100.0%)(d) $ 688,581,925
--------------
--------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
29
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
(a) 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.
(b) Certain rate securities are deemed to have a maturity remaining until the
next readjustment of the interest rate or the longer of the demand period or
readjustment. The interest rates shown reflect the rate in effect on May 31,
1997.
(c) These securities have been determined to be illiquid. In the absence of
market value, the securities are valued based upon their fair value
determined under procedures approved by the Board of Trustees. A money
market fund may make investments in an amount up to 10% of the value of a
Fund's net assets in such securities. The security description, acquisition
date, acquisition cost and carry value per unit are as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION CARRY VALUE
SECURITY DESCRIPTION DATE COST PER UNIT
- ------------------------------------------------------------------------- ----------- ---------- -----------
<S> <C> <C> <C>
CASH INVESTMENT FUND:
- -------------------------------------------------------------------------
Asset Backed Trust 1995 A1, 5.69% 12/10/97 11/30/95 $25,000,000 $ 100.00
Asset Backed Trust 1995 A1, 5.69% 12/10/97 3/20/96 6,999,678 100.00
Asset Backed Trust 1995 A3, 5.89% 4/15/98 6/10/96 27,500,000 100.00
Asset Backed Trust 1996 A5, 5.74% 3/16/98 3/26/96 35,000,000 100.00
Asset Backed Trust 1996 M, 5.69% 10/15/97 10/24/96 10,000,000 100.00
Restructured Asset Certificates, Series 1996 MM 2 2, 5.96% V/R, 1/10/00 6/6/96 15,000,000 100.00
Structured Product Asset Return Certificate Trusts, Series 96-12, 5.79%
V/R, 10/22/97 10/4/96 12,500,000 100.00
Structured Product Asset Return Certificate Trusts, Series 96-12, 5.79%
V/R, 10/22/97 10/11/96 12,500,000 100.00
WFP Tower B Finance Corp., Short-Term STEERS Trust, Series 1996 A, 5.72%
V/R, 12/8/97 2/6/97 42,403,334 100.00
READY CASH INVESTMENT FUND:
- -------------------------------------------------------------------------
Asset Backed Trust 1995 A1, 5.69% 12/10/97 11/30/95 15,000,000 100.00
Asset Backed Trust 1995 A3, 5.89% 4/15/98 6/10/96 22,000,000 100.00
Asset Backed Trust 1996 A4, 5.70% 1/15/98 3/20/96 14,999,625 100.00
Asset Backed Trust 1996 A5, 5.74% 3/16/98 3/26/96 30,000,000 100.00
Asset Backed Trust 1996 M, 5.69% 10/15/97 10/24/96 15,000,000 100.00
Restructured Asset Certificates, Series 1996 MM 2 2, 5.96% V/R, 1/10/00 6/6/96 15,000,000 100.00
Structured Product Asset Return Certificate Trusts, Series 96-12, 5.79%
V/R, 10/22/97 10/4/96 12,500,000 100.00
Structured Product Asset Return Certificate Trusts, Series 96-12, 5.79%
V/R, 10/22/97 10/11/96 12,500,000 100.00
WFP Tower B Finance Corp., Short-Term STEERS Trust Series 1996 A, 5.72%
V/R, 12/8/97 11/20/96 34,993,000 99.98
</TABLE>
At May 31, 1997, the fair value of these securities for Cash Investment Fund and
Ready Cash Investment Fund was $186,804,963 (8.70% of the Fund's net assets) and
$171,835,907 (8.92% of the Fund's net assets), respectively.
(d) Aggregate cost for federal tax purposes is the same for each Fund except for
the U.S. Government Fund, which has a federal tax cost of $1,913,402,279.
[LOGO]
See Notes to Financial Statements.
30
<PAGE>
SCHEDULES OF INVESTMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
- ------------------------------------------------------------------------
NOTES TO SCHEDULES OF INVESTMENTS (concluded)
- ------------------------------------------------------------------------
</TABLE>
ABBREVIATIONS
<TABLE>
<S> <C>
AMBAC American Municipal Bond Assurance
Corporation
BAN Bond Anticipation Notes
CAPMAC Capital Markets Assurance Corporation
COLL Collateralized
COP Certificate of Participation
DOT Department of Transportation
EDA Economic Development Authority
FFCB Federal Farm Credit Bank
FGIC Financial Guaranty Insurance Company
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FSA Financial Security Assurance, Inc.
GNMA Government National Mortgage Association
GO General Obligation
GTD Guaranteed
HFA Housing Finance Authority
IDA Industrial Development Authority
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
MFHR Multi Family Housing Revenue
P/R Prerefunded
PCR Pollution Control Revenue
PFA Public Finance Authority
RV Revenue Bonds
SD School District
SFM Single Family Mortgage
TANS Tax Anticipation Note
TRANS Tax & Revenue Anticipation Notes
TVA Tennessee Valley Authority
USG U.S. Governments
UST U.S. Treasury
V/R Variable Rate
</TABLE>
[LOGO]
See Notes to Financial Statements.
31
<PAGE>
---------------
Bulk Rate
Norwest Advantage Funds US Postage
733 Marquette Avenue PAID
Minneapolis, MN 55479 0040 Permit No. 3489
Mpls, MN
---------------
[LOGO] NORWEST
-------------------------------------
ADVANTAGE FUNDS-Registered Trademark-
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- 1997 NORWEST ADVANTAGE FUNDS
MFBOA 067 7/97
------------------------------------------------------------
THIS REPORT IS FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND MAY
BE DISTRIBUTED TO OTHERS ONLY IF PRECEDED OR ACCOMPANIED
BY CURRENT PROSPECTUSES OF THE NORWEST ADVANTAGE FUNDS.
------------------------------------------------------------
<PAGE>
A N N U A L R E P O R T
MAY 31, 1997
- --------------------------------------------------------------------------------
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-Registered Trademark-
- --------------------------------------------------------------------------------
NOT FDIC INSURED
<PAGE>
TABLE OF CONTENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS............................................. 1
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA.......................... 2
Stable Income Fund............................................... 2
Intermediate Government Income Fund.............................. 3
Diversified Bond Fund............................................ 4
Income Fund...................................................... 5
Total Return Bond Fund........................................... 6
Limited Term Tax-Free Fund....................................... 7
Tax-Free Income Fund............................................. 8
Colorado Tax-Free Fund........................................... 9
Minnesota Tax-Free Fund.......................................... 10
Conservative Balanced Fund....................................... 11
Moderate Balanced Fund........................................... 12
Growth Balanced Fund............................................. 13
Income Equity Fund............................................... 14
ValuGrowth-SM- Stock Fund........................................ 15
Index Fund....................................................... 16
Diversified Equity Fund.......................................... 17
Growth Equity Fund............................................... 18
Large Company Growth Fund........................................ 19
Small Company Stock Fund......................................... 20
Small Company Growth Fund........................................ 21
Small Cap Opportunities Fund..................................... 22
Contrarian Stock Fund............................................ 23
International Fund............................................... 24
INDEPENDENT AUDITORS' REPORT (NORWEST ADVANTAGE FUNDS).................... 25
FINANCIAL STATEMENTS OF NORWEST ADVANTAGE FUNDS
Statements of Assets and Liabilities............................. 26
Statements of Operations......................................... 30
Statements of Changes in Net Assets.............................. 34
Notes to Financial Statements.................................... 40
Financial Highlights............................................. 50
Notes to Financial Highlights.................................... 58
Supplementary Information........................................ 59
Schedule of Investments.......................................... 63
Stable Income Fund...................................... 63
Intermediate Government Income Fund..................... 65
Diversified Bond Fund................................... 66
Income Fund............................................. 70
Total Return Bond Fund.................................. 71
Limited Term Tax-Free Fund.............................. 72
Tax-Free Income Fund.................................... 75
Colorado Tax-Free Fund.................................. 80
Minnesota Tax-Free Fund................................. 82
Conservative Balanced Fund.............................. 85
Moderate Balanced Fund.................................. 93
Growth Balanced Fund.................................... 101
Income Equity Fund...................................... 107
ValuGrowth-SM- Stock Fund............................... 108
Index Fund.............................................. 110
Diversified Equity Fund................................. 118
Growth Equity Fund...................................... 121
Large Company Growth Fund............................... 122
Small Company Stock Fund................................ 123
Small Company Growth Fund............................... 124
Small Cap Opportunities Fund............................ 127
Contrarian Stock Fund................................... 127
International Fund...................................... 128
Notes to Schedules of Investments................................ 129
</TABLE>
[LOGO]
<PAGE>
TABLE OF CONTENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
INDEPENDENT AUDITORS' REPORT (CORE TRUST (DELAWARE))...................... 134
FINANCIAL STATEMENTS OF CORE TRUST (DELAWARE)
Statements of Assets and Liabilities............................. 135
Statements of Operations......................................... 136
Statements of Changes in Nets Assets............................. 137
Financial Highlights............................................. 138
Notes to Financial Statements.................................... 139
Schedule of Investments of Core Trust (Delaware)................. 142
Index Portfolio......................................... 142
Small Company Portfolio................................. 149
International Portfolio II.............................. 155
International Portfolio................................. 158
Notes to Schedules of Investments................................ 162
INDEPENDENT AUDITORS' REPORT (SCHRODER CAPITAL FUNDS)..................... 164
FINANCIAL STATEMENTS OF SCHRODER CAPITAL FUNDS
Statement of Assets and Liabilities.............................. 165
Statement of Operations.......................................... 166
Statement of Changes in Net Assets............................... 167
Financial Highlights............................................. 168
Notes to Financial Statements.................................... 169
Schedule of Investments of Schroder U.S. Smaller Companies
Portfolio......................................................... 171
</TABLE>
[LOGO]
<PAGE>
A MESSAGE TO OUR SHAREHOLDERS MAY 31, 1997
- --------------------------------------------------------------------------------
July 21, 1997
Dear Fellow Shareholders:
We are pleased to present the 1997 Annual Report for our
Norwest Advantage Funds. This report includes twenty-three
of the twenty-eight Norwest Advantage Funds portfolios.
Our five Norwest Advantage Funds money market portfolios
are reported separately.
Norwest Advantage Funds experienced significant growth
over the last year, with net assets increasing from one
year ago by 22% to more than $14 billion as of May 31,
1997. We strongly believe that this success is the result
of the confidence and support of our shareholders borne
from the continued positive performance of our Funds.
While past performance is not indicative of future
results, we believe the Funds are positioned well for the
coming year.
The stock market continued its torrid pace over the past
year with the Standard & Poor's 500 Index returning 29.41%
for the twelve months ending May 31, 1997, compared to a
14.72% average annual return for the past ten years. The
bond market, however, did not keep pace with the S&P, with
the Lehman Brothers Aggregate Bond Index returning 8.32%
over the same period, compared to an 8.84% average annual
return over the past ten years.
Both the stock and bond markets were plagued by short-term
volatility swings. A small handful of the very large,
blue-chip stocks propelled the returns of the S&P as the
market continued to reward companies that hit their
forecasted earnings and to pummel those that did not. In
addition, within the various segments of the stock market,
there were large variations in performance--small
companies significantly trailed large companies, interest-
rate sensitive sectors did not fare as well as
non-interest-rate sensitive sectors, and technology stocks
experienced a wild ride.
The bond markets continued to react quickly to changes in
financial news, particularly news on inflation. Signs of a
strengthening economy--tight labor markets, low interest
rates and consistently strong corporate earnings--refueled
fears of inflation. As a possible preemptive strike, the
Fed raised the Fed Funds rate, the rate banks charge each
other for overnight loans, by .25% this past March. In May
of this year, the Fed decided that the economy was growing
at a sustainable rate and left the Fed Funds rate alone.
In a volatile market environment like this past year,
discriminating stock picking and discerning bond
selection--which is what we do best--will play vital roles
in providing notable performance results. If you have any
questions or would like additional information, please
call (800) 338-1348 or (612) 667-8833 (press 1). We
appreciate your decision to invest with our Norwest
Advantage Funds.
Sincerely,
[SIGNATURE]
John Y. Keffer
CHAIRMAN, NORWEST ADVANTAGE
FUNDS
[LOGO]
1
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA MAY 31, 1997
- --------------------------------------------------------------------------------
STABLE INCOME FUND MANAGED BY: KARL P. TOURVILLE
An interview with Karl P. Tourville
Portfolio Manager of Stable Income Fund
Q. Karl, how has the Fund performed?
A. The Fund has done well. For the twelve months ended May 31, 1997, the Fund
achieved a total return of 6.24%, compared to a return of 6.11% for the One-Year
Treasury Bill and 6.31% for the Lipper Short Investment-Grade Debt Funds
Average.
Q. What contributed to the Fund's good performance?
A. We believe that our security selection, with an over-emphasis on
high-quality securities, has led to our outperformance in the past year. We
essentially manage the fund towards a targeted duration of one year. We attempt
to outperform the benchmark by building in a yield advantage, relative to the
benchmark, through an emphasis on corporate, mortgage-backed and asset-backed
securities.
Q. The Fed raised the Fed Funds rate in March by 25 basis points. Did that
affect the Fund or your investment style?
A. No, the short-term interest rate increase really didn't affect the Fund or
our style. Our Fund is managed with a style that does not utilize interest rate
anticipation strategies or yield curve bets. Therefore, overall direction in
interest rates will not generally have a large impact on Fund performance,
relative to its benchmark. In addition, movements in interest rates will have
less of an impact on a shorter-duration fund, like this Fund, than on a
longer-duration fund.
Q. Other comments?
A. Well, there is only so much we can discuss since the Fund has such a
straightforward objective. We will continue to maintain quality, we do not move
duration often, and investors should expect consistency in our performance
relative to our benchmark. It might sound boring, but it is in line with what
our investors expect.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
STABLE INCOME FUND VS. ONE-YEAR U.S. TREASURY BILL ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 4.65% 4.68% 6.24% 6.11%
SINCE INCEPTION 5.80% 4.62% 6.44% 6.21%
INCEPTION DATE 11/11/94* 5/17/96 11/11/94 10/31/94
VALUE MAY 31, 1997 $ 11,551 $ 10,480 $ 11,727 $ 11,685
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
11-Nov-94 $10,000 $10,000
May-95 $10,450 $10,428
May-96 $11,038 $11,012
May-97 $11,727 $11,685
</TABLE>
* 5/2/96 was the actual inception date of A Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
2
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND MANAGED BY: MARJORIE H. GRACE
An interview with Marjorie H. Grace
Portfolio Manager of Intermediate Government Income Fund
Q. Margie, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund achieved a total return of 6.36%,
compared to a return of 6.94% for the Lipper Intermediate Government Funds
Average.
Q. What contributed to the Fund's performance?
A. We manage the portfolio on a calendar basis. Therefore, I do not consider
the Fund as having underperformed, since, for the calendar year to date, we are
very close to our benchmark. Having said that, one of the reasons the Fund
underperformed for the fiscal year was probably due to our longer duration.
Although it is virtually impossible to measure the duration of the Fund's peer
group, we believe the Fund was slightly longer than its peers.
Q. The Fed raised the Fed Funds rate -- the rate banks charge each other for
overnight loans -- by 25 basis points in March. Did this move affect the Fund?
A. Yes it did. As mentioned before, due to our longer duration, when interest
rates move, the Fund generally reacts more strongly than a shorter duration
fund. And keep in mind that, in general, bond funds and bond prices are
inversely effected by movements in interest rates.
Q. Bond prices have been quite volatile in the short-term. How has this
impacted the Fund?
A. The volatility in the bond market has caused volatility in our relative
performance on a month-to-month basis, as one might expect. However, over the
long term, the performance of the Fund tends to net out the short-term
volatility. In addition, short-term volatility can make it more difficult from a
duration management point of view.
Q. What is your outlook on the market?
A. We have a positive view of interest rates. The Fund will continue to be
relatively long because we believe there is room for interest rates to decline
over the long-term. And we will undoubtedly continue to see short-term
volatility in the market. We still manage the Fund conservatively and expect to
continue to deliver positive results to shareholders.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INTERMEDIATE GOVERNMENT INCOME FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT
INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 2.38% 3.51% 6.36% 8.09%
FIVE YEAR 4.32% N.A. 5.12% 6.72%
TEN YEAR 6.53% N.A. 6.93% 8.18%
SINCE INCEPTION N.A. 2.88% N.A. N.A.
INCEPTION DATE N.A. 5/17/96 N.A. N.A.
VALUE MAY 31, 1997 $18,824 $10,299 $19,581 $21,959
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
31-May-87 $10,000 $10,000
May-88 $10,702 $10,704
May-89 $11,567 $11,681
May-90 $12,388 $12,736
May-91 $13,781 $14,250
May-92 $15,248 $15,864
May-93 $16,883 $17,456
May-94 $16,419 $17,783
May-95 $17,800 $19,432
May-96 $18,408 $20,315
May-97 $19,581 $21,959
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
3
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
DIVERSIFIED BOND FUND
MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
DIVERSIFIED BOND FUND seeks to provide total return by diversifying its
investments among different fixed-income investment styles. The Fund follows a
"multi-style" approach designed to reduce the price and return volatility of the
Fund and to provide more consistent returns. The Fund's portfolio combines three
different fixed income investment styles: (i) Total Return Bond style; (ii)
Managed Fixed Income style; and (iii) Positive Return style. The Fund is managed
by multiple managers.
For the year ended May 31, 1997, the Fund returned 6.22%, compared to a return
of 7.56% for the Lipper Intermediate Investment-Grade Debt Funds Average.
The diversified structure of the Fund continues to help it perform consistently
in the volatile fixed-income market we have experienced in the past year. The
bond market, as measured by the Lehman Brothers Aggregate Bond Index, returned
8.32% for the twelve months ended May 31, 1997, compared to an 8.84% return over
the past ten years. Bond prices throughout the period were volatile and reacted
rapidly to changes in financial news.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
DIVERSIFIED BOND FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE
INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 19,823
INDEX VALUE $ 21,975
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
-------------------------
I SHARES* INDEX
----------- -----------
<S> <C> <C>
ONE YEAR 6.23% 7.38%
FIVE YEAR 5.14% 6.61%
TEN YEAR 7.08% 8.19%
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
31-May-87 $10,000 $10,000
May-88 $10,695 $10,726
May-89 $11,690 $11,714
May-90 $12,644 $12,777
May-91 $13,995 $14,300
May-92 $15,425 $15,956
May-93 $16,467 $17,617
May-94 $16,735 $17,847
May-95 $17,934 $19,568
May-96 $18,661 $20,466
May-97 $19,823 $21,975
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
4
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
INCOME FUND MANAGED BY: MARJORIE H. GRACE
An interview with Marjorie H. Grace
Portfolio Manager of Income Fund
Q. Margie, how has the Fund performed?
A. For the twelve months ended May 31, 1997, the Fund achieved a total return
of 6.90%, compared to a return of 7.60% for the Lipper Corporate Debt A Rated
Funds Average.
Q. What contributed to the Fund's underperformance relative to its peers?
A. One of the reasons the Fund underperformed was probably due to our longer
duration, which clearly delineates the Fund as a longer term income fund. This
strategy, however, also makes the Fund more volatile in the short-term. Duration
can measure a fund's sensitivity to interest rate changes -- with a "longer-
duration" fund, like this Fund, being more sensitive to changes in interest
rates than a "shorter-duration" fund. Although it is virtually impossible to
measure the duration of the Fund's peer group, we believe the Fund was slightly
longer than its peers.
Q. The Fed raised the Fed Funds rate -- the rate banks charge each other for
overnight loans -- by 25 basis points in March. Did this move affect the Fund?
A. Yes it did. As mentioned before, due to our longer duration, when interest
rates move, the Fund generally reacts more strongly than a shorter duration
fund. And keep in mind that, in general, bond funds and bond prices are
inversely effected by movements in interest rates.
Q. What is your outlook on the market?
A. We have a positive view of interest rates. The Fund will continue to be
relatively long because we believe there is room for interest rates to decline
over the long-term. And we will undoubtedly continue to see short-term
volatility in the market.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INCOME FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX
("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 2.80% 4.03% 6.90% 7.38%
FIVE YEAR 4.64% N.A. 5.45% 6.61%
SINCE INCEPTION 7.26% 2.66% 7.67% 8.19%
INCEPTION DATE 6/9/87 8/5/93 6/9/87* 5/31/87
VALUE MAY 31, 1997 $20,137 $11,159 $20,913 $21,975
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
9-Jun-87 $9,500 $10,000
May-88 $9,625 $10,726
May-89 $11,130 $11,714
May-90 $12,099 $12,777
May-91 $13,597 $14,300
May-92 $15,444 $15,956
May-93 $17,214 $17,617
May-94 $16,943 $17,847
May-95 $18,382 $19,568
May-96 $18,857 $20,466
May-97 $20,137 $21,975
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
5
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
TOTAL RETURN BOND FUND MANAGED BY: DAVID B. KINNEY
An interview with David B. Kinney
Portfolio Manager of Total Return Bond Fund
Q. Dave, how has the Fund performed?
A. For the twelve months ended May 31, 1997, the Fund achieved a total return
of 6.95%, compared to returns of 8.63% for the Lipper Corporate Debt Average
BBB-Rated Index and 7.38% for the Lehman Bros. Intermediate Government/Corporate
Index. The Fund's year-to-date numbers, however, are significantly higher than
both Indices.
Q. Why did the Fund trail the Indices for the one year period?
A. We seek to provide superior returns through active management of US
Government and high-quality, corporate fixed-income securities. As such, we
actively manage the Fund's duration. Duration can measure a fund's sensitivity
to interest rate changes -- with a "shorter-duration" fund, as this Fund was
positioned during the period, being less sensitive to changes in interest rates
than a "longer-duration" fund. This strategy contributed to the Fund
underperforming the Indices over the one-year period, but has helped the Fund
return 33 basis points higher than the Lipper Average over the year-to-date
period. And keep in mind that the Lipper Index carries a BBB rating, while the
Fund's average holding is AAA.
Q. You have been extending the Fund's duration for most of 1997. How have you
done that?
A. Well, there are a few ways we could have extended the Fund's duration. We
could have bought additional 10-year Treasuries, but instead we bought some
discount GNMA's. These discount GNMA's allowed us to extend the Fund's duration
and pick up an additional 70 basis points.
Q. On March 25th, the Fed raised the rate banks charge each other for overnight
loans -- the Fed Funds rate -- to 5.50% from 5.25%. What effect did this move
have on the Fund?
A. Not very much. Remember, while we certainly keep an eye on interest-rate
movements, we do not make interest-rate bets. On the positive side, the
short-term interest-rate rise in March did afford us opportunities to extend the
Fund's duration. With the economy as a whole being so strong, we believe
ultimately that we'll see a cyclical rise in inflation and a cyclical rise in
interest rates before we get to the next recession.
Q. Recession?
A. Well, recession is a relative term. We use that term in the context of
today's economy -- now in its seventh year of an economic expansion, one of the
largest during the post-war era. To us, a true recession does not seem likely
anytime soon because operating rates are high, inventories are low, and real
hourly wages are growing faster than anytime in the last fifteen years.
Q. What's your outlook for the bond markets?
A. Right now, we think there is more risk in the bond markets than there is
profit opportunity. We think there has been a desperate search for yield among
various sectors, which has narrowed the yield spread in the corporate as well as
high yield areas. Over the course of the next year or so, however, we anticipate
that these spreads will widen to more historic levels. Regardless, we will
continue to actively manage the Fund, especially from a duration standpoint, in
order to continue to provide solid returns to shareholders
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
TOTAL RETURN BOND FUND VS. LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE
INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 2.83% 4.27% 6.95% 7.38%
SINCE INCEPTION 3.93% 4.13% 5.14% 5.45%
INCEPTION DATE 12/31/93 12/31/93 12/31/93 12/31/93
VALUE MAY 31, 1997 $11,408 $11,483 $11,869 $11,990
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
31-Dec-93 $10,000 $10,000
May-94 $9,806 $9,737
May-95 $10,731 $10,676
May-96 $11,098 $11,166
May-97 $11,869 $11,990
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES. PERFORMANCE OF
THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON
DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE
DIFFERENT CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
6
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
LIMITED TERM TAX-FREE FUND MANAGED BY: WILLIAM T. JACKSON AND PATRICIA HOVANETZ
An interview with William T. Jackson
Portfolio Manager of Limited Term Tax-Free Fund
Q. Bill, how has the Fund performed?
A. For the period since inception on October 1, 1996, the Fund achieved a
non-annualized total return of 6.99% through May 31, 1997. For the five month
period ended May 31st, the Fund returned 1.75%, compared to a 1.37% return for
the Lipper Short Intermediate Municipal Debt Funds Average.
Q. What led to the Fund outperforming its Lipper peer group?
A. Pinpointing one or two reasons the Fund outperformed its peer group by 38
basis points can be difficult. That being said, I think one reason for our
success was the Fund's defensive position. We carried a fair amount of
short-term securities and cash equivalents this year. When the market sold off
in February and March, the Fund did quite well.
Q. What was the bond market like over the past year?
A. This past March, the Fed raised the Fed Funds rate -- the rate banks charge
each other for overnight loans -- by 25 basis points. Then in May, the Fed
decided to leave the Fed Funds rate alone. The bond market has been in what we
call a "Fed-watching" mode for well over a year now. We've seen the market go
from euphoria to pessimism and back again in a moments turn.
Q. Has this volatility or the raise in short-term interest rates affected the
Fund?
A. The Fund was affected by the Fed's move in March to the extent that, in
general, bond funds and bond prices are inversely affected by movements in
interest rates. But we do not make significant interest-rate bets because we
honestly believe that we can not predict interest rates better than anyone else.
Rather, we rely on our trading and issue selection experience to add incremental
value each day by buying cheaply priced bonds and selling high priced bonds.
Q. What types of bonds was the Fund buying?
A. The types of bonds the Fund bought could be separated into two categories.
There were some bonds that carried additional credit risk and therefore offered
a yield premium to the general market. And other bonds carried additional
structure risk, typically some type of call option, which again offered a yield
premium relative to the market.
Q. What is your outlook?
A. We have a very positive long-term view of interest rates. With the current
progress that has been made on the budget in Washington and the current low
inflation environment, we feel that there is room for interest rates to continue
to decline. However, we are not surprised when we see short periods of
volatility like we saw this spring. Regardless, we will continue to seek high
current income that is exempt from federal income taxes for our shareholders.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
LIMITED TERM TAX-FREE FUND VS. LEHMAN QUALITY SHORT TERM INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 10,699
INDEX VALUE $ 10,363
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL
RETURN
-------------------------
I SHARES INDEX
----------- -----------
<S> <C> <C>
ONE YEAR N.A. N.A.
SINCE INCEPTION 10.68% 5.49%
INCEPTION DATE 10/1/96 9/30/96
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
1-Oct-96 $10,000 $10,000
Oct-96 $10,387 $10,086
Nov-96 $10,537 $10,211
Dec-96 $10,515 $10,196
Jan-97 $10,555 $10,237
Feb-97 $10,621 $10,303
Mar-97 $10,566 $10,208
Apr-97 $10,616 $10,252
May-97 $10,699 $10,363
Jun-97
Jul-97
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
7
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
TAX-FREE INCOME FUND MANAGED BY: WILLIAM T. JACKSON
An interview with William T. Jackson
Portfolio Manager of Tax-Free Income Fund
Q. Bill, how has the Fund performed?
A. We were pleased with the Fund's performance. For the twelve months that
ended May 31, 1997, the Fund achieved a total return of 8.54%, compared to a
7.60% return for the Lipper General Municipal Debt Funds Average.
Q. What led to the Fund's performance?
A. We focus on maintaining positions that have as much upside price potential
as they do downside price potential. A big risk in a bond fund -- particularly
when the fund invests in callable bonds, as do most municipal bond funds -- is
that you end up in a position where a bond can fall in price a lot more than it
can rise in price. Our primary value added strategy is to focus on bonds, issue
by issue, so that we can buy undervalued bonds and sell overvalued bonds.
Q. Other strategies?
A. When an issue falls out of favor, we intentionally look for opportunities to
realize tax losses. The intent is to build up a loss carryforward at the Fund
level, which will effectively give us a tax shield. If we find ourselves in a
position of wanting or needing to take gains, we can hopefully do so with little
or no capital gain distributions. This strategy should help minimize a taxable
event for shareholders.
Q. The Fund held about 10% in cash towards the end of May. Why?
A. When the market was run-up in May, we simply sold some longer-term bonds and
added to the cash position. Generally speaking, we like to have between 5% and
10% in cash equivalents. This gives us flexibility to be more opportunistic in
our trading. In other words, if we carry some cash equivalents, we always have
some "dry powder" which we can use in an opportunistic way.
Q. What is your outlook for the bond markets?
A. We have a very positive long-term view of interest rates. We expect,
however, short-term market sentiment to be volatile and will react to each of
these short-term swings in order to add value. Our philosophy is to not make
significant interest-rate bets because we honestly believe that we can not
predict interest rates better than anyone else. We liken our strategy to hitting
bunts and singles every day, rather than swinging for the fences. It's a
strategy that has proved quite successful for our shareholders over the years.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
TAX-FREE INCOME FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 4.38% 5.63% 8.54% 8.18%
FIVE YEAR 5.50% N.A. 6.34% 7.48%
SINCE INCEPTION 6.11% 4.66% 6.65% 7.87%
INCEPTION DATE 8/1/89 8/6/93 8/1/89* 7/31/89
VALUE MAY 31, 1997 $15,920 $11,904 $16,558 $18,109
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
1-Aug-89 $9,625 $10,000
May-90 $9,972 $10,597
May-91 $10,886 $11,698
May-92 $11,719 $12,785
May-93 $12,641 $14,359
May-94 $12,860 $14,846
May-95 $13,944 $16,179
May-96 $14,681 $17,176
May-97 $15,920 $18,109
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
8
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
COLORADO TAX-FREE FUND MANAGED BY: WILLIAM T. JACKSON
An interview with William T. Jackson
Portfolio Manager of Colorado Tax-Free Fund
Q. Bill, how has the Fund performed?
A. The Fund performed very well. For the year ended May 31, 1997, the Fund
achieved a total return of 9.00%, compared to a 7.54% return for the Lipper
Colorado Municipal Debt Funds Average. In fact, the Fund's return has been ahead
of its Lipper peer group average for every time period since its inception.
Q. What led the Fund to such great performance?
A. As I mention in most interviews, it is impossible to pinpoint one or two
reasons the Fund outperformed its peer group. Yet, one significant reason for
the Fund's success is certainly excellent issuer selection. Our primary value
added strategy is to focus on bonds, issue by issue, so that we can buy
undervalued bonds and sell overvalued bonds.
Q. How was the municipal bond market this past year?
A. There was a lot of short-term volatility. In the past year, we have seen
credit quality spreads -- which is the premium you get paid to hold lower
quality bonds versus higher quality bonds --narrow significantly. We have,
therefore, made a strategic decision to sell lower quality bonds and buy higher
quality bonds. We feel that this is prudent because the credit risk of the lower
quality bonds just was not worth the price, in our opinion. This decision is
reflected in the Fund's average holding carrying a quality rating of AA+.
Q. Why have credit-quality spreads narrowed?
A. Well, histocially, credit spreads have been widest when the risk of default
was greatest. If the market has no fear of default, then there will be no credit
premium attached to pricing, and credit spreads will be narrow. It's what we
call the "greed and fear" pendulum. This market is currently on the greed side
of the swing since there is no fear of default.
Q. What is the Fund's cash position?
A. After bond prices rallied in early May of this year, we raised the Fund's
cash position to nearly 10%. This should give us the flexibility to be more
opportunistic should attractive buying opportunities become available.
Q. So, the Fund is not fully invested?
A. No, not at all. A stock fund with a 10% cash position would be considered
uninvested. But I view cash as just being short-term bonds. To me, the Fund is
fully invested -- it's really a matter of whether the Fund is long or short.
Q. What is your outlook for the municipal bond markets?
A. Although we expect short term volatility in the market, we have a very
positive long-term view of interest rates. And we will continue to seek high
current income that is exempt from federal and Colorado state income taxes for
our shareholders.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
COLORADO TAX-FREE FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 4.91% 6.19% 9.00% 8.18%
SINCE INCEPTION 4.92% 4.86% 5.92% 6.30%
INCEPTION DATE 6/1/93 8/2/93 6/1/93* 5/31/93
VALUE MAY 31, 1997 $12,119 $11,993 $12,590 $12,772
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
1-Jun-93 $9,625 $10,000
May-94 $9,820 $10,339
May-95 $10,553 $11,268
May-96 $11,118 $11,962
May-97 $12,119 $12,940
</TABLE>
* 8/23/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
9
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
MINNESOTA TAX-FREE FUND MANAGED BY: PATRICIA D. HOVANETZ
An interview with Patricia D. Hovanetz
Portfolio Manager of Minnesota Tax-Free Fund
Q. Pat, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund achieved a total return of 7.98%,
compared to a 7.21% return for the Lipper Minnesota Muni Debt Funds Average.
Q. What led to the Fund outperforming its Lipper peer group?
A. We diligently focus to keep the convexity structure of the Fund favorable.
In other words, we make sure that we don't hold too many bonds that have more
downside than upside price potential. And I think we have done a good job with
issue selection. Being a Minnesota resident also helps us to know which names
have appeal.
Q. Any other reasons?
A. Although it is virtually impossible to measure the duration of the Fund's
peer group, we believe the Fund is slightly longer than its peers. In the
current market, which has been quite strong, the Fund's longer duration was an
expected plus.
Q. How was the Minnesota bond market this past year?
A. Well, there really has been a dearth of new issues since the first of the
year. With most single-state funds, there is usually a flood of issues in
January and February and the summer months are typically slow. This year, to us,
seems significantly slower than summers gone by.
Q. What is the Fund's cash position?
A. The Fund currently has about 8% in cash, which is higher than our usual
3-5%. The reason the Fund has such a large cash position is that we were simply
reluctant to pay high prices for bonds that we believed carried poor structure.
It has been a real struggle to find bonds with good structure -- better than
average call or non-callable features -- because these bonds have been bid up in
price. Plus, having this amount in cash should allow us flexibility when the
market cools off and better opportunities come along.
Q. What is your outlook for the Fund?
A. I am more bullish than bearish. The fundamentals, mainly low inflation and
moderate growth in the economy, are there for a good bond market. We will
continue to focus on the same strategy that led us to outperform our peer group
and will continue to seek high current income that is exempt from federal and
Minnesota state income taxes.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
MINNESOTA TAX-FREE FUND VS. LEHMAN BROTHERS 10-YEAR MUNICIPAL INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 3.94% 5.18% 7.98% 8.18%
FIVE YEAR 5.51% N.A. 6.32% 7.48%
SINCE INCEPTION 6.32% 4.32% 6.75% 8.21%
INCEPTION DATE 1/12/88 8/6/93 1/12/88* 12/31/87
VALUE MAY 31, 1997 $17,775 $11,757 $18,467 $21,032
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
12-Jan-88 $9,625 $10,000
May-88 $9,511 $10,300
May-89 $10,621 $11,312
May-90 $11,240 $12,303
May-91 $12,167 $13,580
May-92 $13,084 $14,842
May-93 $14,307 $16,669
May-94 $14,586 $17,235
May-95 $15,833 $18,782
May-96 $16,461 $19,940
May-97 $17,775 $21,570
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
10
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
CONSERVATIVE BALANCED FUND
MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
CONSERVATIVE BALANCED FUND seeks to provide a combination of current income and
capital appreciation by diversifying investment of the Fund's assets among
stocks, bonds and other fixed income instruments through investment in several
equity and fixed income investment styles. In other words, the Fund is designed
for investors seeking to invest in fixed income securities with limited exposure
to equity securities. The Fund has a 75% bond and 25% stock mix and is managed
by multiple managers.
For the year ended May 31, 1997, the Fund returned 9.58%, compared to a return
of 9.95% to its Benchmark, which represents the appropriate base allocation
percentages applied to the Lipper Universe of the underlying component
portfolios.
All four components in the Fund performed well during the year, enabling the
Fund to continue delivering attractive risk-adjusted returns. The short maturity
investments segment yielded 5.72%, the stable income style yielded 6.24%, the
diversified bond portfolio rose 6.22%, and the diversified equity style returned
20.76%.
The bond market, as measured by the Lehman Brothers Aggregate Bond Index,
returned 8.32% for the twelve months ending May 31, 1997, compared to an 8.84%
return over the past ten years. Bond prices throughout the period were volatile
and reacted rapidly to changes in financial news.
The stock market continued its breathtaking pace over the past year with the
Standard & Poor's 500 Index returning 29.41%, compared to a 14.72% average
annual return for the past ten years. A healthy economy, low inflation, and
optimism over corporate earnings prospects helped drive the S&P's returns.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
CONSERVATIVE BALANCED FUND VS. STANDARD & POOR'S 500 INDEX ("S&P 500 INDEX") AND
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX ("LEHMAN INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with two broad-based averages or indices. These indices exclude the
effect of any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 20,116
S&P 500 INDEX $ 34,577
LEHMAN INDEX $ 19,131
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
----------- ----------- -----------
<S> <C> <C> <C>
ONE YEAR 9.58% 29.41% 7.38%
FIVE YEAR 7.95% 18.38% 6.61%
SINCE INCEPTION 9.03% 16.59% 8.36%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
<TABLE>
<CAPTION>
Fund S&P 500 Lehman Int Corp/Gvt.
<S> <C> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/1/89 $10,000 $10,000 $10,000
May-89 $10,189 $10,356 $10,198
May-90 $11,282 $12,129 $11,123
May-91 $12,528 $13,556 $12,449
May-92 $13,721 $14,889 $13,891
May-93 $14,731 $16,614 $15,337
May-94 $15,309 $17,318 $15,537
May-95 $16,663 $20,808 $17,035
May-96 $18,356 $26,721 $17,817
May-97 $20,116 $34,577 $19,131
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
11
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
MODERATE BALANCED FUND
MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
MODERATE BALANCED FUND seeks a combination of current income and capital
appreciation by diversifying investment of the Fund's assets among stocks, bonds
and other fixed income investments through investment in several equity and
fixed income investment styles. In other words, the Fund is designed for
investors seeking roughly equivalent exposures to fixed income securities and
equity securities. The Fund has a 60% bond and 40% bond mix and is managed by
multiple managers.
For the year ended May 31, 1997, the Fund returned 12.04%, compared to a return
of 11.95% to its Benchmark, which represents the appropriate base allocation
percentages applied to the Lipper Universe of the underlying component
portfolios.
All three components in the Fund performed well during the year, enabling the
Fund to continue delivering attractive risk-adjusted returns. The stable income
style yielded 6.24%, the diversified bond portfolio rose 6.22%, and the
diversified equity style returned 20.76%.
The bond market, as measured by the Lehman Brothers Aggregate Bond Index,
returned 8.32% this past year, compared to an 8.84% average annual return over
the past ten years. This past March, the Fed raised the Fed Funds rate, the rate
banks charge each other for overnight loans, by .25%.
The stock market continued its record-setting climb this past year with the
Standard & Poor's 500 Index returning 29.41% for the twelve months ending May
31, 1997, compared to a 14.72% average annual return for the past ten years. A
healthy economy, low inflation, and optimism over corporate earnings prospects
helped drive the S&P's returns.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
MODERATE BALANCED FUND VS. STANDARD & POOR'S 500 INDEX ("S&P 500 INDEX") AND
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE INDEX ("LEHMAN INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with two broad-based averages or indices. These indices exclude the
effect of any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 22,736
S&P 500 INDEX $ 34,577
LEHMAN INDEX $ 19,131
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
----------- ----------- -----------
<S> <C> <C> <C>
ONE YEAR 12.04% 29.41% 7.38%
FIVE YEAR 9.64% 18.38% 6.61%
SINCE INCEPTION 10.68% 16.59% 8.36%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
<TABLE>
<CAPTION>
Fund S&P 500 Lehman Int Corp/Gvt.
<S> <C> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/1/89 $10,000 $10,000 $10,000
May-89 $10,228 $10,356 $10,198
May-90 $11,673 $12,129 $11,123
May-91 $13,017 $13,556 $12,449
May-92 $14,350 $14,889 $13,891
May-93 $15,512 $16,614 $15,337
May-94 $16,186 $17,318 $15,537
May-95 $17,823 $20,808 $17,035
May-96 $20,292 $26,721 $17,817
May-97 $22,736 $34,577 $19,131
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
12
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
GROWTH BALANCED FUND
MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
GROWTH BALANCED FUND seeks a combination of current income and capital
appreciation by diversifying investment of the Fund's assets between stocks and
bonds through investment in several equity and fixed income investment styles.
In other words, the Fund is designed for investors seeking long-term capital
appreciation in the equity securities market in a balanced fund. The Fund has a
65% stock and 35% bond mix and is managed by multiple managers.
For the year ended May 31, 1997, the Fund returned 15.81%, compared to a return
of 15.18% to its Benchmark, which represents the appropriate base allocation
percentages applied to the Lipper Universe of the underlying component
portfolios.
Both components in the Fund performed well during the year, enabling the Fund to
continue delivering attractive risk-adjusted returns. The diversified bond
portfolio rose 6.22%, and the diversified equity style returned 20.76%.
The stock market continued reaching new heights this past year with the Standard
& Poor's 500 Index returning 29.41% for the twelve months ending May 31, 1997,
compared to a 14.72% average annual return for the past ten years. A healthy
economy, low inflation, and optimism over corporate earnings prospects helped
drive the S&P's returns.
The bond market, as measured by the Lehman Brothers Aggregate Bond Index,
returned 8.32% this past year, compared to an 8.84% average annual return over
the past ten years.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GROWTH BALANCED FUND VS. STANDARD & POOR'S 500 INDEX ("S&P 500 INDEX") AND
LEHMAN BROTHERS
INTERMEDIATE GOVERNMENT/CORPORATE INDEX ("LEHMAN INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with two broad-based averages or indices. These indices exclude the
effect of any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 26,053
S&P 500 INDEX $ 34,577
LEHMAN INDEX $ 19,131
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------
S&P 500 LEHMAN
I SHARES* INDEX INDEX
----------- ----------- -----------
<S> <C> <C> <C>
ONE YEAR 15.81% 29.41% 7.38%
FIVE YEAR 12.17% 18.38% 6.61%
SINCE INCEPTION 12.56% 16.59% 8.36%
INCEPTION DATE 5/1/89 4/30/89 4/30/89
</TABLE>
<TABLE>
<CAPTION>
Fund S&P 500 Lehman Int Corp/Gvt.
<S> <C> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/1/89 $10,000 $10,000 $10,000
May-89 $10,155 $10,356 $10,198
May-90 $11,720 $12,129 $11,123
May-91 $13,201 $13,556 $12,449
May-92 $14,669 $14,889 $13,891
May-93 $15,981 $16,614 $15,337
May-94 $16,759 $17,318 $15,537
May-95 $18,781 $20,808 $17,035
May-96 $22,496 $26,721 $17,817
May-97 $26,053 $34,577 $19,131
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
13
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
INCOME EQUITY FUND MANAGED BY: DAVID L. ROBERTS
An interview with David L. Roberts
Portfolio Manager of Income Equity Fund
Q. Dave, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund achieved a total return of 22.40%,
compared to returns of 22.43% for the Lipper Growth Funds Average and 29.41% for
the S&P 500 Index.
Q. What led to the Fund's performance relative to its Lipper peer group?
A. There were two reasons why the Fund trailed its Lipper peer group by 3 basis
points. The first reason was the Fund's smaller relative position in the finance
sector, which performed quite well. Over the period, we reduced our position in
this sector and beefed up our position in consumer cyclicals. The other sector
that was a drag on the Fund's performance was the technology sector. Considering
the characteristics of companies that we are looking for, we had trouble finding
yield and value with reasonable growth in the technology sector. So our holdings
were more "hardware oriented" in the technology sector with companies such as
Hewlett Packard, AMP and Lucent Technologies. While the technology sector as a
whole did quite well, it was driven mainly by the software companies such as
Microsoft and Intel, with less appreciation coming from the "hardware"
companies.
Q. You've mentioned the technology, consumer cyclicals and finance sectors. Is
there a large commitment to any particular sector?
A. Although we don't make sector bets, we see many opportunities in capital
goods and energy and will most likely continue to be overweighted in these
areas, relative to some of our peers. We believe that capital goods will
continue to perform well because of widespread restructuring, the global
economic environment and the demographics of committing to capital versus labor.
We also believe that capital goods are undervalued in relation to consumer
goods. Over very long periods of time, capital goods tend to be at parity with
consumer stocks. The energy sector gives us good value and yield. As a whole,
the sector is much less sensitive to oil prices than in the past. International
oil companies have increased their returns on capital from about 8.5% to 11%
from 1990 through 1995, despite declining oil prices in 1996.
Q. What is your outlook on the market?
A. We think the market is highly valued, but there is probably no reason for it
not to be. We think that the combination of today's inflation coupled with the
current business environment is really unprecedented. And many US companies,
because of some restructurings, are poised to continue to grow in the ever
expanding global economy -- especially the large US companies with significant
operations overseas. We do, however, expect earnings to slow down to around
8-10% in the upcoming year.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INCOME EQUITY FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 16.89% 18.48% 22.40% 29.41%
FIVE YEAR 15.88% N.A. 16.95% 18.38%
SINCE INCEPTION 15.84% 19.43% 16.49% 17.13%
INCEPTION DATE 3/31/89 5/2/96 3/31/89 3/31/89
VALUE MAY 31, 1997 $33,267 $12,119 $34,835 $36,370
</TABLE>
<TABLE>
<CAPTION>
FUND INDEX
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
31-Mar-89 $10,000 $10,000
May-89 $10,972 $10,893
May-90 $12,624 $12,758
May-91 $14,599 $14,259
May-92 $15,914 $15,661
May-93 $17,614 $17,476
May-94 $17,832 $18,216
May-95 $22,163 $21,887
May-96 $28,459 $28,106
May-97 $34,835 $36,370
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
14
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND MANAGED BY: DAVID S. LUNT
An interview with David S. Lunt
One of the Portfolio Managers of ValuGrowth Stock Fund
Q. Dave, how has the Fund performed?
A. For the twelve months that ended May 31, 1997, the Fund returned 23.30%,
compared to a 17.72% return for the Lipper Growth Funds Average and 29.41% for
the S&P 500 Index.
Q. Before we discuss the reasons for the Fund's performance, can you explain
how the Fund is managed?
A. Sure. The Fund is managed by a ValuGrowth Team which has been in place for
more than a year. This team consists of five people focusing their energies on
the Fund. Of course, there has not been any change in the style of the Fund --
we pursue high growth companies that we can find at reasonable prices.
Q. What contributed to the Fund's performance?
A. One reason for the Fund's strong performance was that the Fund had more of a
large-cap exposure than our peer group. And this past year has been a market
predominantly driven by the large caps. Part of the reason our Fund lagged the
S&P was due to the very narrow nature of the S&P's strong advance. A small
handful of the very large, blue-chip stocks drove the returns of the S&P. While
our Fund had more of a large cap weighting than the Lipper average, it was still
smaller than the large cap stocks that propelled the S&P.
Q. Were there any underlying themes to your stock picking?
A. We tend to be equally weighted in our positions. At different times during
the year, the Fund held anywhere from 50-60 positions. This leads to an average
position of approximately 2%. We often stick our toe in the water with a 1%
position when we are adding a new position to the Fund. And of course we tend to
invest slightly more where we have the most confidence from a fundamental
perspective and if the stock has some decent momentum from an earnings
perspective.
Q. Is there a large commitment to a particular sector?
A. No, there really isn't. We like to consider the Fund "economically neutral."
With all the volatility in the economy, it does not make sense to try to predict
which way the market is heading. Instead, we thoroughly examine the fundamentals
of our holdings.
Q. What is the Fund's cash position?
A. I intend to have the Fund fully invested at all times. Any cash in the Fund
is strictly frictional cash. Frictional cash is a result of the Fund's daily
inflows and outflows.
Q. What is your outlook for the Fund?
A. We don't really try to predict the market. We do, however, believe that it
is going to be difficult for many companies to continue the dramatic earnings
growth that they have experienced in the past five years. At the same time, we
feel that there are some dynamics within the market that should allow us to
continue to perform well.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
VALUGROWTH-SM- STOCK FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 17.75% 19.33% 23.30% 29.41%
FIVE YEAR 12.01% N.A. 13.01% 18.38%
SINCE INCEPTION 13.10% 13.70% 13.63% 17.43%
INCEPTION DATE 1/8/88 8/5/93 1/8/88* 12/31/87
VALUE MAY 31, 1997 $31,814 $16,353 $33,244 $45,392
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
8-Jan-88 $9,550 $10,000
May-88 $9,348 $10,775
May-89 $11,486 $13,595
May-90 $13,907 $15,923
May-91 $15,205 $17,796
May-92 $17,225 $19,545
May-93 $18,830 $21,811
May-94 $19,147 $22,734
May-95 $21,200 $27,316
May-96 $25,798 $35,078
May-97 $31,814 $45,392
</TABLE>
* 8/2/93 was the actual inception date of I Shares of the Fund; however,
performance information has been calculated using the inception date of the
initial class of shares.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
15
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
INDEX FUND CO-MANAGED BY: DAVID D. SYLVESTER AND LAURIE R. WHITE
An interview with Laurie R. White
Portfolio Manager of Index Fund
Q. Laurie, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund returned 29.02%, compared to
returns of 28.80% for the Lipper S&P 500 Index Funds Average and 29.41% for the
S&P 500 Index.
Q. What contributed to the Fund's performance?
A. Our mandate is to completely replicate the S&P 500 Index. This means that we
purchase all of the securities in the Index, within the proper weightings. This
strategy has been successful and has resulted in performance closely tracking
the Index.
Q. Is the Fund fully invested?
A. We keep a portion of the Fund in cash in order to handle purchases and
redemptions without requiring us to execute stock transactions. The way we
reduce the drag of cash is to hedge our cash position by investing in S&P
futures contracts. This effectively gives us a 100% equity position.
Q. Do you consider management of the Fund to be active or passive?
A. Since the management of the Fund is based completely on replicating the S&P,
we consider management of the Fund to be passive. The only active management in
the Fund is in its cash position.
Q. What is your outlook for the stock market?
A. Again, since we position the Fund to replicate the Index, our outlook for
the market in no way impacts the Fund's performance. We believe that our careful
replication and active management of the cash position will allow the Fund to
continue to perform in line with the Index.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INDEX FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 37,381
INDEX VALUE $ 39,379
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL
RETURN
-------------------------
I SHARES* INDEX
----------- -----------
<S> <C> <C>
ONE YEAR 29.02% 29.41%
FIVE YEAR 17.66% 18.38%
TEN YEAR 14.08% 14.69%
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/31/87 $10,000 $10,000
May-88 $9,298 $9,348
May-89 $11,723 $11,794
May-90 $13,530 $13,813
May-91 $15,154 $15,438
May-92 $16,569 $16,956
May-93 $18,428 $18,922
May-94 $19,061 $19,722
May-95 $22,740 $23,697
May-96 $28,974 $30,431
May-97 $37,381 $39,379
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
16
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
DIVERSIFIED EQUITY FUND
MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
DIVERSIFIED EQUITY FUND seeks long-term capital appreciation while moderating
annual return volatility by diversifying its investments among five different
equity investment styles.
The Fund follows a "multi-style" approach designed to minimize the volatility
and risk of investing in equity securities. The Fund's portfolio combines five
different equity investment styles: (i) an index style; (ii) an income equity
style; (iii) a large company growth style; (iv) small company styles; and (v) an
international style. In addition, the Fund allocates the assets dedicated to
small company investments to three distinct small company investment styles.
For the year ended May 31, 1997, the Fund returned 20.76%, compared to a return
of 19.30% to its Benchmark, which represents the appropriate base allocation
percentages applied to the Lipper Universe of the underlying component
portfolios. The S&P 500 Index returned 29.41% over the same period.
All five styles comprising the Fund performed well during the year, enabling the
Fund to continue delivering attractive returns. The index portfolio turned in
29.03% and the income equity style earned 22.40%. The large company growth
segment gained 21.93%, the small company stocks portfolio returned 9.76%, while
the international component rose 10.27%.
The stock market continued breaking record ground this past year with the
Standard & Poor's 500 Index returning 29.41% for the twelve months ending May
31, 1997, compared to a 14.72% average annual return for the past ten years. A
healthy economy, low inflation, and optimism over corporate earnings prospects
helped drive the S&P's returns. Small company stocks trailed large company
stocks significantly over the period. International equity markets fared well,
both from strong local currency gains and appreciating foreign currencies.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
DIVERSIFIED EQUITY FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 15.32% 16.86% 20.76% 29.41%
FIVE YEAR 15.12% N.A. 16.18% 18.38%
SINCE INCEPTION 16.10% 19.94% 16.73% 17.53%
INCEPTION DATE 1/1/89 5/6/96 1/1/89 12/31/88
VALUE MAY 31, 1997 $35,149 $12,147 $36,795 $38,943
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
1/1/89 $10,000 $10,000
May-89 $11,542 $11,663
May-90 $13,699 $13,660
May-91 $15,579 $15,268
May-92 $17,379 $16,769
May-93 $19,112 $18,712
May-94 $20,370 $19,504
May-95 $23,748 $23,435
May-96 $30,470 $30,094
May-97 $36,795 $38,943
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
17
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
GROWTH EQUITY FUND MANAGED BY: NORWEST INVESTMENT MANAGEMENT--MULTIPLE MANAGERS
GROWTH EQUITY FUND seeks a high level of long-term capital appreciation while
moderating annual return volatility by diversifying its investments among three
different equity investment styles.
The Fund follows a "multi-style" approach designed to reduce the volatility and
risk of investing in equity securities. The Fund's portfolio combines three
different equity investment styles: (i) a large company growth style; (ii) small
company styles; and (iii) an international style. In addition, the Fund
allocates the assets dedicated to small company investments to three distinct
small company investment styles.
For the year ended May 31, 1997, the Fund returned 14.11%, compared to a return
of 11.15% to its Benchmark, which represents the appropriate base allocation
percentages applied to the Lipper Universe of the underlying component
portfolios. The S&P 500 Index returned 29.41% over the same period.
All three styles of the Fund performed well during the year, enabling the Fund
to continue delivering solid returns. The large company growth segment gained
21.93%, the small company stocks portfolio returned 9.76%, while the
international component rose 10.27%.
The stock market forged into record territory this past year with the Standard &
Poor's 500 Index returning 29.41% for the twelve months ending May 31, 1997,
compared to a 14.72% average annual return for the past ten years. A healthy
economy, low inflation, and optimism over corporate earnings prospects helped
drive the S&P's returns. International equity markets also fared well, both from
strong local currency gains and appreciating foreign currencies.
THE COMPOSITION, INDUSTRIES AND HOLDINGS OF EACH STYLE ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GROWTH EQUITY FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 8.98% 10.28% 14.11% 29.41%
FIVE YEAR 14.63% N.A. 15.69% 18.38%
SINCE INCEPTION 15.58% 12.83% 16.24% 16.59%
INCEPTION DATE 5/1/89 5/6/96 5/1/89 4/30/89
VALUE MAY 31, 1997 $32,274 $11,385 $33,798 $34,577
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/1/89 $10,000 $10,000
May-89 $10,318 $10,356
May-90 $12,520 $12,129
May-91 $14,282 $13,556
May-92 $16,299 $14,889
May-93 $18,436 $16,614
May-94 $20,541 $17,318
May-95 $22,955 $20,808
May-96 $29,618 $26,721
May-97 $33,798 $34,577
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
18
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
LARGE COMPANY GROWTH FUND MANAGED BY: JOHN S. DALE
An interview with John S. Dale
Portfolio Manager of Large Company Growth Fund
Q. John, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund returned 21.93%, compared to a
return of 17.72% for the Lipper Growth Funds Average. The S&P 500 Index returned
29.41% for the same period.
Q. What contributed to the Fund's performance?
A. We think the Fund's performance is directly linked to our bottom-up stock
picking, which focuses on securities with high growth prospects. While the S&P's
returns were driven by a very select few of the very large names, we felt that a
majority of these names were moderate, not high, growth companies. But they have
been bid up for liquidity and a whole host of other reasons unrelated to growth
prospects.
Q. Can you describe your strategy?
A. Sure. Our focus is on truly high growth companies -- growth being a broadly
defined term. Our definition of a growth company is one that can grow future
earnings at least 50% faster than the average company. But there are two caveats
attached. First, we want this future earnings growth from a normalized base.
Second, we want the growth beyond an economic cycle -- beyond 5 to 7 years. So
that takes us out of the short-term earnings momentum and sector rotation games.
Q. The top holdings in the Fund as of May 31, 1997 continue to be technology
companies. In fact, technology makes up about 30% of the portfolio. Is this a
sector bet?
A. No, not at all. We do not manage the Fund by making sector bets. Instead,
all holdings are bottom-up driven and selected on fundamental qualities alone.
That being said, we have always had a large weighting in technology. The
technology names in the Fund fit our investment criteria, such as high growth
and market domination.
Q. What is your outlook?
A. Our outlook is positive. We expect to see a transition towards normalcy. The
recent rapid earnings growth of many large cap companies, although overdue from
a historical perspective, will be difficult to sustain and double digit growth
will become more difficult. We think we are entering a market where careful
stock picking will be vital. And first and foremost, we are stockpickers.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
LARGE COMPANY GROWTH FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 34,279
INDEX VALUE $ 39,379
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
-------------------------
I SHARES* INDEX
----------- -----------
<S> <C> <C>
ONE YEAR 21.93% 29.41%
FIVE YEAR 14.42% 18.38%
TEN YEAR 13.10% 14.69%
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
5/31/87 $10,000 $10,000
May-88 $7,950 $9,348
May-89 $9,849 $11,794
May-90 $12,064 $13,813
May-91 $14,857 $15,438
May-92 $17,470 $16,956
May-93 $17,901 $18,922
May-94 $18,549 $19,722
May-95 $21,243 $23,697
May-96 $28,115 $30,431
May-97 $34,279 $39,379
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
19
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
SMALL COMPANY STOCK FUND MANAGED BY: KIRK MCCOWN
An interview with Kirk McCown
Portfolio Manager of Small Company Stock Fund
Q. Kirk, how has the Fund performed?
A. For the twelve months that ended May 31, 1997, the Fund returned 6.30%,
compared to a 3.85% return for the Lipper Small Cap Funds Average and 6.97% for
the Russell 2000 Index.
Q. What contributed to the Fund's performance?
A. We believe that excellent stock picking within the technology and energy
sectors led the Fund to outperform its Lipper peers. This was during a time when
small cap stocks trailed large cap stocks significantly. In particular, within
the technology sector, we were very pleased with the Fund's "Year 2000" stocks.
Q. Why do you think large cap stocks performed so well?
A. In part, because for quite some time, large cap earnings have been stellar
and so consistent. We also believe that as this economic recovery matured, many
investors became more timid, and there was a subsequent flight to quality
towards the large caps. The small cap arena is a more risky and volatile area
when compared to the larger caps, but the rewards can be significant -- as
demonstrated by the Fund's one month total return of 20.49% for May 1997. Of
course, this Fund should be viewed as a long-term investment and not judged by
short-term performance numbers.
Q. Is there a large commitment to any particular sector?
A. No, not really. We are very much bottom-up investors. We prefer to
diligently examine each company's fundamentals and base our decisions on those
fundamentals. As it so happens, our research has led us to conclude that the
energy sector, as a whole, presents some very good bargains. But we will not own
an energy company without doing our research.
Q. What is your outlook for the small cap market?
A. Frankly, we're skeptical that small caps will reemerge or catch up to the
larger caps, in the near-term. We tend to concentrate on individual company
earnings and we see the earnings of larger caps coming in fairly well. However,
we also believe that there will be a cyclical upswing in the technology sector
which tends to favor the smaller caps. But the investor can rest easy knowing
that we will not make sector bets. We analyze individual companies.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
SMALL COMPANY STOCK FUND VS. RUSSELL 2000 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 1.56% 2.46% 6.30% 6.97%
SINCE INCEPTION 13.35% 13.58% 14.73% 13.74%
INCEPTION DATE 12/31/93 12/31/93 12/31/93 12/31/93
VALUE MAY 31, 1997 $15,345 $15,449 $15,998 $15,560
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
12/31/93 $9,550 $10,000
May-94 $9,472 $9,641
May-95 $10,440 $10,479
May-96 $14,430 $14,234
May-97 $15,345 $15,220
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF A SHARES. PERFORMANCE OF
THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON
DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE
DIFFERENT CLASSES.
THE RISKS INVOLVED IN SEEKING CAPITAL APPRECIATION FROM INVESTMENTS PRINCIPALLY
IN COMPANIES WITH SMALL MARKET CAPITALIZATION ARE SET FORTH IN THE PROSPECTUS.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
20
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
SMALL COMPANY GROWTH FUND MANAGED BY: ROBERT MERSKY
An interview with Robert Mersky
Portfolio Manager of Small Company Growth Fund
Q. Paul, how has the Fund performed?
A. For the year ended May 31, 1997, the Fund returned 5.65%, compared to a
3.85% return for the Lipper Small Cap Funds Average and 6.97% for the Russell
2000 Index.
Q. What led to the Fund's performance?
A. We believe that our very disciplined process of buying and selling
securities led to the Fund's performance. This was during a time when small cap
stocks trailed large cap stocks significantly.
Q. Can you explain your process of buying and selling?
A. Sure. First, we search for stocks that are selling at price-earnings ratios
that are low relative to their very high growth rates. We find our holdings fall
into two groups: small, rapidly growing stocks we call Discovery phase stocks,
and Overlooked stocks. Both of these groups are selling for less than their real
worth. The reason companies may be selling for less than their real worth is
predicated on the information gap -- where their stocks are not widely held by
institutions because the companies may be early in their investment life cycle,
don't have the track record, don't have widespread Wall Street coverage or have
fallen on hard times for a number of possible reasons. As this information gap
closes, institutional ownership rises, creating the opportunity for dramatic
stock price appreciation.
Q. That's it?
A. That's only half of it. Most importantly, we follow very disciplined
purchase and sale criteria. Before we buy a stock, it must be trading
substantially below its real worth. Once we buy a stock, we determine a fair
value where we believe the stock could trade within a certain time period. We
then set target prices which are 20% below fair value. This cushion makes our
stocks attractive to other investors, making it easier for us to close out our
position.
Q. What is your outlook for the Fund?
A. We are very optimistic that the Fund and small stocks in general will do
well. We believe that the valuation of the Fund's holdings relative to the
market is, and will continue to be, outstanding. The Fund's average holding
carries a price-earnings ratio of approximately 16x forward twelve months
earnings as compared to 20x for the S&P. That means people are paying 3-4
multiple points more for S&P earnings. In addition, we have just witnessed a
record twelve month underperformance in small cap stocks. We think this gives
small cap stocks a better than average chance of outperforming large caps given
the excellent valuation levels.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
SMALL COMPANY GROWTH FUND VS. RUSSELL 2000 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 47,377
INDEX VALUE $ 24,681
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL
TOTAL RETURN
-------------------------
I SHARES* INDEX
----------- -----------
<S> <C> <C>
ONE YEAR 5.65% 6.97%
FIVE YEAR 20.18% 14.66%
TEN YEAR 16.82% 9.46%
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
May-87 $10,000 $10,000
May-88 $8,753 $8,735
May-89 $10,767 $10,595
May-90 $11,372 $10,434
May-91 $15,893 $11,138
May-92 $18,889 $12,395
May-93 $24,489 $14,492
May-94 $26,101 $15,557
May-95 $30,415 $16,910
May-96 $44,842 $22,969
May-97 $47,377 $24,681
</TABLE>
* Prior to November 11, 1994, Norwest Investment Management managed a collective
trust fund with investment objectives and policies substantially the same as
those of the Fund. Performance information includes the performance of the
predecessor collective trust fund for periods before it became a mutual fund on
November 11, 1994. The collective trust fund performance was adjusted to reflect
the Fund's 1994 estimate of its expense ratio for the first year of operations
as a mutual fund. The collective trust fund was not registered under the
Investment Company Act of 1940 (the "1940 Act") or subject to certain investment
restrictions that are imposed by the 1940 Act. If the collective trust fund had
been registered under the 1940 Act, the collective trust fund historical return
may have been adversely affected. Index returns do not reflect expenses, which
have been deducted from the Fund's return.
THE RISKS INVOLVED IN SEEKING CAPITAL APPRECIATION FROM INVESTMENTS PRINCIPALLY
IN COMPANIES WITH SMALL MARKET CAPITALIZATION ARE SET FORTH IN THE PROSPECTUS.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
21
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
SMALL CAP OPPORTUNITIES FUND MANAGED BY: FARIBA TALEBI
An interview with Fariba Talebi
Portfolio Manager of Small Cap Opportunities Fund
Q. Fariba, how has the Fund performed?
A. The Fund performed very well compared to its peers. For the twelve months
ended May 31, 1997, the Fund returned 11.42%, compared to returns of 3.85% for
the Lipper Small Cap Funds Average and 6.97% for the Russell 2000 Index.
Q. What contributed to the Fund's performance?
A. Our bottom-up stock selection was a primary reason for the Fund's
outperformance. Although there were no significant changes in sector weightings
and, we do not make sector bets, the Fund did benefit from its healthcare
exposure. A number of companies we held in that sector, including HEALTHSOURCE,
HEALTHDYNE TECHNOLOGIES and VALUE HEALTH were the subject of takeover activity
during the period.
Q. Small caps have significantly lagged large caps in the past year. Why?
A. Although large cap stocks outperformed small cap stocks in the last year,
both markets still experienced a fair amount of volatility. In the first quarter
of 1997, investors worried about inflationary pressures and a potential interest
rate hike (which ultimately occurred in late March). At the start of the second
quarter, liquidity was on the mind of investors which further widened the gap
between the two groups. However, this activity did uncover opportunities in the
small cap universe allowing us to search for companies that will grow their
earnings regardless of the economic cycle.
Q. Can you describe your investment criteria?
A. We focus on companies in industries with favorable industry structures and
growth rates. Within these industries we search for profitable companies with
dominant market positions and a well-articulated strategy for growth. We look
for companies which generate free cash flow, which have incentivized management,
significant management ownership, and conservative accounting practices. In our
valuation analysis, we look for companies with an earnings multiple that is at a
discount to its earnings growth rate.
Q. What is your outlook for small cap stocks?
A. Small cap valuations have remained relatively reasonable and there has been
little sign of speculation in the small cap market. This provides a favorable
environment for long-term oriented, opportunistic stock pickers. We continue to
search for companies that can grow their earnings independently of the economic
cycle. We also believe that many smaller companies offer more attractive
investment opportunities than larger companies based on valuations and growth
rates. We will remain focused on our research-intensive individual stock
selection, concentrating on underfollowed and misunderstood companies that can
offer superior earnings growth.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
SMALL CAP OPPORTUNITIES FUND VS. RUSSELL 2000 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES B SHARES I SHARES INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 6.36% N.A. 11.42% 6.97%
SINCE INCEPTION 23.55% 23.52% 25.03% 14.22%
INCEPTION DATE 8/1/93 11/8/96 8/1/93 7/31/93
VALUE MAY 31, 1997 $22,488 $11,253 $23,560 $16,643
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
8/1/93 $10,000 $10,000
May-94 $11,343 $10,542
May-95 $13,373 $11,460
May-96 $21,144 $15,565
May-97 $23,560 $16,643
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
PRIOR TO THE INCEPTION OF OTHER CLASSES). THE FUND CURRENTLY SEEKS TO ACHIEVE
ITS INVESTMENT OBJECTIVE BY INVESTING ALL OF ITS INVESTMENT ASSETS IN SCHRODER
U.S. SMALLER COMPANIES PORTFOLIO ("PORTFOLIO"), A SEPARATE PORTFOLIO OF A
REGISTERED OPEN- END MANAGEMENT COMPANY WITH AN IDENTICAL INVESTMENT OBJECTIVE.
ACCORDINGLY, THE SMALL CAP OPPORTUNITIES FUND'S INVESTMENT EXPERIENCE WILL
CORRESPOND WITH THE PORTFOLIO'S INVESTMENT EXPERIENCE, AS REFLECTED ABOVE.
PERFORMANCE OF THE OTHER CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE
SHOWN BASED ON DIFFERENCES IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS
INVESTING IN THE DIFFERENT CLASSES.
THE RISKS INVOLVED IN SEEKING CAPITAL APPRECIATION FROM INVESTMENTS PRINCIPALLY
IN COMPANIES WITH SMALL MARKET CAPITALIZATION ARE SET FORTH IN THE PROSPECTUS.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
22
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
CONTRARIAN STOCK FUND MANAGED BY: LOU SCHREUR
An interview with Lou Schreur
Portfolio Manager of Contrarian Stock Fund
Q. Jim, how has the Fund performed?
A. Not as well as we would have hoped. For the year ended May 31, 1997, the
Fund achieved a return of 13.02%, compared to returns of 22.81% for the Lipper
Growth & Income Funds Average and 29.41% for the S&P 500 Index.
Q. What led to the Fund's underperformance?
A. The Fund was heavily concentrated in industrial related, economically
sensitive stocks. In fact, 45% of the Fund was invested in basic industrial
companies and 20% was in capital goods related securities. These two sectors
performed significantly weaker than we expected.
Q. Could you describe the Fund's objective?
A. We seek to provide our shareholders with long-term capital appreciation by
investing in price depressed, undervalued companies, with strong fundamental
value. We see as a great opportunity the fact that many of the securities held
are currently selling at very depressed levels, comparable in some cases to
prices posted in the last recession. It is our conviction that going forward,
people will buy into the increasingly visible earnings power of these
securities, which in turn will appreciate.
Q. What is your outlook?
A. We anticipate a global synchronized expansion with commodity prices rising
and earnings of these companies doing very well. We also expect the European
economies to continue to improve. An indicator of that was a recent significant
increase in European steel prices. Further, the earnings numbers for the first
quarter of 1997 were very strong and we expect that trend to continue throughout
the calendar year. We also expect the domestic economy to improve after a weak
second quarter. Finally, we have conviction in our investment philosophy and
believe that our style will provide positive performance to our long-term
investors.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON THE MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
CONTRARIAN STOCK FUND VS. STANDARD & POOR'S 500 INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
MAY 31, 1997
--------------
<S> <C>
FUND VALUE $ 13,909
INDEX VALUE $ 19,775
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-------------------------------
I SHARES INDEX
-------------- --------------
<S> <C> <C>
ONE YEAR 13.02% 29.41%
SINCE INCEPTION 10.13% 22.08%
INCEPTION DATE 12/31/93 12/31/93
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
12/31/93 $10,000 $10,000
May-94 $9,775 $9,904
May-95 $11,097 $11,900
May-96 $12,307 $15,282
May-97 $13,909 $19,775
</TABLE>
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES. ON MAY 30, 1997,
A AND B SHARES CLOSED.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
23
<PAGE>
INVESTMENT ADVISER'S REPORT AND PERFORMANCE DATA (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
INTERNATIONAL FUND MANAGED BY: MICHAEL PERELSTEIN
An interview with Michael Perelstein
Portfolio Manager of International Fund
Q. How has the Fund performed?
A. For the twelve months ended May 31, 1997, the Fund returned 10.27%, compared
to a return of 12.03% for the Lipper International Funds Average. The MSCI EAFE
Index, a common benchmark for the international stock market, returned 7.54% for
the same period.
Q. Why did the fund beat the MSCI EAFE Index yet trail the Lipper Index?
A. Since the start of 1997, the Fund has outperformed the Lipper Index. The
reason for the twelve month underperformance must be traced back to 1996,
notably in the fourth quarter. At the beginning of 1996, the Fund was overweight
in Japan relative to its peers based on our view that a better economic outlook
in Japan, supported by low interest rates, a correction in the yen overvaluation
and improving corporate profitability would translate to recovery. However,
although earnings growth exceeded expectations, equities failed to respond.
Q. Speaking of Japan, the yen had declined during the beginning of the period
and has appreciated substantially in the last few months. Do you employ any
currency hedging strategies?
A. Actively and sensibly managing the currency risk of the portfolio is part of
the overall picture of managing the Fund. In the context of the time frame here,
we had been hedging the Japanese currency risk last year, but removed those
hedges going into this year. This strategy was successful and helped protect the
Fund when the yen was declining last year. When the yen bounced back in the past
few months, we were able to capture its appreciation in our equity exposure.
Q. Hong Kong will be handed over to China at the end of June. What is your view
towards the Hong Kong market?
A. We are confident that Hong Kong will remain a prosperous community and
continue its role as the chief financial center for China. Hong Kong based
companies stand to benefit materially from the long-term growth of the mainland
economy, both as a market for goods and services and a source of competitive
labor and raw materials. The current market valuation is above historic averages
but this is appropriate given expectations of a pick up in the Chinese economy
which should feed through to accelerated earnings growth for Hong Kong.
Q. What's your outlook for international securities?
A. We are encouraged by the improvement in the cyclical economic indicators
internationally and by the increasing shareholder friendliness of many
companies; our universe of attractive companies is therefore quite large,
although it remains important to focus on the managements who are most motivated
to improve returns. Such situations could command increasing attention if the
main impetus for worldwide growth starts to shift away from U.S. as the year
progresses.
THE OPINIONS EXPRESSED IN THIS INTERVIEW REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH MAY 31, 1997. THE MANAGER'S OPINIONS ARE SUBJECT TO CHANGE AT ANY
TIME BASED ON MARKET AND OTHER CONDITIONS. THE COMPOSITION, INDUSTRIES AND
HOLDINGS OF THE PORTFOLIO ARE SUBJECT TO CHANGE.
THE PERFORMANCE REPRESENTS INFORMATION OF I SHARES.
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
INTERNATIONAL FUND VS. MSCI EAFE INDEX ("INDEX")
- --------------------------------------------------------------------------------
The following chart reflects the value of a $10,000 investment in the Fund,
including reinvested dividends and distributions, over the past 10 fiscal year
periods or since inception (for funds lacking 10-year records). The result is
compared with a broad-based average or index. The Index excludes the effect of
any fees or sales charges. Investment return and principal value of an
investment in the Fund will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. PAST PERFORMANCE
IS NOT PREDICTIVE NOR A GUARANTEE OF FUTURE RESULTS.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------
A SHARES* B SHARES I SHARES* INDEX
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ONE YEAR 5.39% 6.44% 10.27% 7.54%
FIVE YEAR N.A. N.A. 12.03% 10.55%
SINCE INCEPTION 7.68% 11.18% 8.07% 5.64%
INCEPTION DATE 6/1/87 5/12/95 6/1/87 5/31/87
VALUE MAY 31, 1997 $20,958 $12,436 $21,769 $17,314
</TABLE>
<TABLE>
<CAPTION>
Fund Index
<S> <C> <C>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
6/1/87 $10,000 $10,000
May-88 $9,481 $10,347
May-89 $10,127 $11,223
May-90 $12,443 $11,496
May-91 $11,457 $10,877
May-92 $11,868 $10,512
May-93 $12,564 $12,236
May-94 $15,917 $13,895
May-95 $16,431 $14,577
May-96 $18,990 $16,134
May-97 $20,940 $17,314
</TABLE>
* Performance information includes the performance of the Fund's predecessor
collective trust fund for periods before the Fund's registration statement
became effective on November 11, 1994. Performance reflects the historic
performance of the mutual fund in which the collective trust invested, which is
managed by Schroder Capital Management International Inc. Performance has been
adjusted to reflect the fees and expenses of the fund, which are higher than the
fees and expenses of the predecessor collective trust fund during those periods.
The collective trust fund was not registered under the Investment Company Act of
1940 (the "1940 Act") or subject to certain investment restrictions that are
imposed by the 1940 Act. If the collective trust fund had been registered under
the 1940 Act, the collective trust fund historical return may have been
adversely affected. Index returns do not reflect expenses, which have been
deducted from the Fund's return.
THE ABOVE GRAPH REPRESENTS PERFORMANCE INFORMATION OF I SHARES (THE SOLE CLASS
OF SHARES PRIOR TO THE INCEPTION OF OTHER CLASSES). PERFORMANCE OF THE OTHER
CLASSES WILL BE GREATER OR LESS THAN THE PERFORMANCE SHOWN BASED ON DIFFERENCES
IN SALES CHARGES AND EXPENSES PAID BY SHAREHOLDERS INVESTING IN THE DIFFERENT
CLASSES.
INVESTING IN FOREIGN SECURITIES INVOLVES GREATER RISKS THAN INVESTING IN
SECURITIES OF U.S. ISSUERS, INCLUDING CURRENCY FLUCTUATION AND POLITICAL
UNCERTAINTY.
TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN FEES AND EXPENSES NOT BEEN
VOLUNTARILY WAIVED AND/OR REIMBURSED.
[LOGO]
24
<PAGE>
INDEPENDENT AUDITORS' REPORT MAY 31, 1997
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders
Norwest Advantage Funds
We have audited the accompanying statements of assets and
liabilities, including the schedules of investments of
Stable Income Fund, Intermediate Government Income Fund,
Diversified Bond Fund, Income Fund, Total Return Bond
Fund, Limited Term Tax-Free Fund, Tax-Free Income Fund,
Colorado Tax-Free Fund, Minnesota Tax-Free Fund,
Conservative Balanced Fund, Moderate Balanced Fund, Growth
Balanced Fund, Income Equity Fund, ValuGrowth-SM- Stock
Fund, Index Fund, Diversified Equity Fund, Growth Equity
Fund, Large Company Growth Fund, Small Company Stock Fund,
Small Company Growth Fund, Small Cap Opportunities Fund,
Contrarian Stock Fund and International Fund, portfolios
of Norwest Advantage Funds (the Funds) as of May 31, 1997,
the related statements of operations for the periods
presented on pages 30 to 33, changes in net assets for
each of the periods presented on pages 34 to 39 and
financial highlights for each of the periods presented on
pages 50 to 58. These financial statements and financial
highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on
these financial statements and financial highlights based
on our audits. The financial highlights for the year or
period ended May 31, 1993 were audited by other auditors
whose report dated July 20, 1993 expressed an unqualified
opinion on those financial highlights.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures
included confirmation of securities owned as of May 31,
1997 by correspondence with the custodian and brokers. An
audit also includes assessing the accounting principles
used and significant estimates made by management, as well
as evaluating the overall financial statement
presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the
financial position of Stable Income Fund, Intermediate
Government Income Fund, Diversified Bond Fund, Income
Fund, Total Return Bond Fund, Limited Term Tax-Free Fund,
Tax-Free Income Fund, Colorado Tax-Free Fund, Minnesota
Tax-Free Fund, Conservative Balanced Fund, Moderate
Balanced Fund, Growth Balanced Fund, Income Equity Fund,
ValuGrowth-SM- Stock Fund, Index Fund, Diversified Equity
Fund, Growth Equity Fund, Large Company Growth Fund, Small
Company Stock Fund, Small Company Growth Fund, Small Cap
Opportunities Fund, Contrarian Stock Fund and
International Fund, portfolios of Norwest Advantage Funds,
at May 31, 1997, results of their operations for the
periods presented on pages 30 to 33, changes in their net
assets for each of the periods presented on pages 34 to
39, and financial highlights for each of the periods
presented on pages 50 to 58 in conformity with generally
accepted accounting principles.
KPMG Peat Marwick LLP
Boston, Massachusetts
July 21, 1997
[LOGO]
25
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
STABLE GOVERNMENT DIVERSIFIED TOTAL RETURN
INCOME INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2)
Investments at cost......... $ 122,977,915 $391,665,026 $ 160,436,733 $ 267,593,385 $130,152,206
Net unrealized appreciation
(depreciation).......... (125,905) (3,587,741) (726,757) (2,927,099) (830,598)
------------- ------------- ------------- ------------- -------------
TOTAL INVESTMENTS AT VALUE... 122,852,010 388,077,285 159,709,976 264,666,286 129,321,608
Collateral for securities
loaned (Notes 2 & 5)..... 18,196,574 81,594,272 28,100,578 34,020,660 32,752,885
Interest, dividends and other
receivables.............. 1,560,738 5,706,873 2,419,683 3,670,787 2,160,799
Receivable for securities
sold..................... - - - - -
Receivable for daily
variation margin on
financial futures
contracts (Note 2)....... - - - - -
Receivable for Fund shares
issued................... 303,097 160,871 355,923 75,166 28,660
Receivable from other related
parties (Note 3)......... 12,028 - - - -
Organization Costs, net of
amortization (Note 2).... 29,238 29,238 29,238 - 10,353
------------- ------------- ------------- ------------- -------------
TOTAL ASSETS.................. 142,953,685 475,568,539 190,615,398 302,432,899 164,274,305
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for securities
purchased................ - - - - -
Payable for securities loaned
(Notes 2 & 5)............ 18,196,574 81,594,272 28,100,578 34,020,660 32,752,885
Payable for Fund shares
redeemed................. 152,247 304,732 92,105 103,668 15,144
Payable to custodian......... - - - - -
Payable to Norwest and
affiliates (Note 3)...... 58,334 193,977 82,975 147,490 56,229
Payable to other related
parties (Note 3)......... - 122,765 13,279 10,046 20,843
Accrued expenses & other
payables................. 7,056 50,040 16,688 19,622 16,868
Dividends payable............ 1,668 16,582 - 1,433,772 636,362
------------- ------------- ------------- ------------- -------------
TOTAL LIABILITIES............. 18,415,879 82,282,368 28,305,625 35,735,258 33,498,331
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 124,537,806 $393,286,171 $ 162,309,773 $ 266,697,641 $130,775,974
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
COMPONENTS OF NET ASSETS:
Paid in capital.............. $ 131,933,687 $424,238,474 $ 157,731,111 $ 287,778,308 $132,204,568
Undistributed (distributions
in excess of) net
investment income........ 18,567 10,583 6,088,052 17,328 -
Accumulated net realized gain
(loss) from investments
sold..................... (7,288,543) (27,375,145) (782,633) (18,170,896) (597,996)
Net unrealized appreciation
(depreciation) on
investments.............. (125,905) (3,587,741) (726,757) (2,927,099) (830,598)
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 124,537,806 $393,286,171 $ 162,309,773 $ 266,697,641 $130,775,974
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ 12,451,003 $ 13,037,664 $ - $ 5,142,077 $ 3,085,522
B Shares..................... 1,056,319 8,970,187 - 3,348,609 2,253,876
I Shares..................... 111,030,484 371,278,320 162,309,773 258,206,955 125,436,576
------------- ------------- ------------- ------------- -------------
NET ASSETS.................... $ 124,537,806 $393,286,171 $ 162,309,773 $ 266,697,641 $130,775,974
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
SHARES OF BENEFICIAL INTEREST
A Shares..................... 1,215,647 1,202,891 - 554,472 328,147
B Shares..................... 103,170 828,046 - 361,657 239,286
I Shares..................... 10,843,673 34,242,058 6,340,340 27,868,740 13,323,356
NET ASSET VALUE PER SHARE(A)
A Shares..................... $ 10.24 $ 10.84 $ - $ 9.27 $ 9.40
B Shares..................... $ 10.24 $ 10.83 $ - $ 9.26 $ 9.42
I Shares..................... $ 10.24 $ 10.84 $ 25.60 $ 9.27 $ 9.41
</TABLE>
(a) Net Assets by Share Class divided by Shares of Beneficial Interest
See Notes to Financial Statements.
[LOGO]
26
<PAGE>
MAY 31, 1997
- --------------------------------------------------------------------------------
<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 (Note 2)
Investments at cost......... $40,235,444 $284,163,382 $59,032,666 $46,060,924 $115,458,201 $354,771,590 $387,342,999
Net unrealized appreciation
(depreciation).......... 147,244 9,198,333 1,919,204 1,151,266 12,081,284 60,529,120 113,591,775
------------ ------------ ----------- ----------- ------------ ------------ ------------
TOTAL INVESTMENTS AT VALUE... 40,382,688 293,361,715 60,951,870 47,212,190 127,539,485 415,300,710 500,934,774
Collateral for securities
loaned (Notes 2 & 5)..... - - - - 12,519,150 45,313,344 41,350,311
Interest, dividends and other
receivables.............. 746,977 5,594,477 1,239,217 791,288 1,141,125 3,558,887 2,564,012
Receivable for securities
sold..................... - - 1,526,251 - - - -
Receivable for daily
variation margin on
financial futures
contracts (Note 2)....... - - - - - - -
Receivable for Fund shares
issued................... 32,500 1,096,835 17,743 113,455 192,191 460,226 607,821
Receivable from other related
parties (Note 3)......... 2,490 - - - 7,921 - -
Organization Costs, net of
amortization (Note 2).... - - - - 29,238 29,238 29,238
------------ ------------ ----------- ----------- ------------ ------------ ------------
TOTAL ASSETS.................. 41,164,655 300,053,027 63,735,081 48,116,933 141,429,110 464,662,405 545,486,156
------------ ------------ ----------- ----------- ------------ ------------ ------------
LIABILITIES:
Payable for securities
purchased................ - 2,196,856 2,582,486 - - - -
Payable for securities loaned
(Notes 2 & 5)............ - - - - 12,519,150 45,313,344 41,350,311
Payable for Fund shares
redeemed................. - 56,817 15,000 404 47,307 346,129 344,112
Payable to custodian......... - - - - - - -
Payable to Norwest and
affiliates (Note 3)...... 6,881 112,642 19,709 12,115 75,912 274,125 348,109
Payable to other related
parties (Note 3)......... - 30,143 3,770 2,168 - 24,332 35,648
Accrued expenses & other
payables................. 21,691 39,212 20,736 26,591 10,236 24,238 26,142
Dividends payable............ 145,960 1,210,684 152,881 73,346 - - -
------------ ------------ ----------- ----------- ------------ ------------ ------------
TOTAL LIABILITIES............. 174,532 3,646,354 2,794,582 114,624 12,652,605 45,982,168 42,104,322
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $40,990,123 $296,406,673 $60,940,499 $48,002,309 $128,776,505 $418,680,237 $503,381,834
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
COMPONENTS OF NET ASSETS:
Paid in capital.............. $40,890,640 $297,089,468 $60,051,703 $47,446,214 $111,227,632 $336,781,331 $376,009,704
Undistributed (distributions
in excess of) net
investment income........ - (509,881) - (41,761) 3,648,779 9,730,043 6,915,443
Accumulated net realized gain
(loss) from investments
sold..................... (47,761) (9,371,247) (1,030,408) (553,410) 1,818,810 11,639,743 6,864,912
Net unrealized appreciation
(depreciation) on
investments.............. 147,244 9,198,333 1,919,204 1,151,266 12,081,284 60,529,120 113,591,775
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $40,990,123 $296,406,673 $60,940,499 $48,002,309 $128,776,505 $418,680,237 $503,381,834
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ - $ 29,217,018 $27,806,047 $25,739,457 $ - $ - $ -
B Shares..................... - 7,328,983 7,217,622 11,127,599 - - -
I Shares..................... 40,990,123 259,860,672 25,916,830 11,135,253 128,776,505 418,680,237 503,381,834
------------ ------------ ----------- ----------- ------------ ------------ ------------
NET ASSETS.................... $40,990,123 $296,406,673 $60,940,499 $48,002,309 $128,776,505 $418,680,237 $503,381,834
------------ ------------ ----------- ----------- ------------ ------------ ------------
------------ ------------ ----------- ----------- ------------ ------------ ------------
SHARES OF BENEFICIAL INTEREST
A Shares..................... - 2,906,731 2,720,629 2,435,632 - - -
B Shares..................... - 729,005 705,343 1,053,215 - - -
I Shares..................... 3,946,129 25,837,359 2,535,381 1,053,649 6,973,107 19,390,986 20,319,060
NET ASSET VALUE PER SHARE(A)
A Shares..................... $ - $ 10.05 $ 10.22 $ 10.57 $ - $ - $ -
B Shares..................... $ - $ 10.05 $ 10.23 $ 10.57 $ - $ - $ -
I Shares..................... $ 10.39 $ 10.06 $ 10.22 $ 10.57 $ 18.47 $ 21.59 $ 24.77
</TABLE>
(a) Net Assets by Share Class divided by Shares of Beneficial Interest
[LOGO]
27
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (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 (Note 2)
Investments at cost......... $ 377,731,534 $148,446,714 $ 398,201,695 $ 880,833,097 $ 699,765,138
Net unrealized appreciation
(depreciation).......... 122,477,101 57,437,347 112,986,896 389,976,600 218,085,686
------------- ------------- ------------- --------------- -------------
TOTAL INVESTMENTS AT VALUE... 500,208,635 205,884,061 511,188,591 1,270,809,697 917,850,824
Collateral for securities
loaned (Notes 2 & 5)..... 69,397,545 60,633,246 45,424,700 98,835,800 62,864,239
Interest, dividends and other
receivables.............. 1,772,280 436,417 1,047,090 1,121,915 55,232
Receivable for securities
sold..................... - 1,445,408 - - -
Receivable for daily
variation margin on
financial futures
contracts (Note 2)....... - - 201,924 - -
Receivable for Fund shares
issued................... 1,269,197 208,120 1,582,432 1,951,943 1,915,038
Receivable from other related
parties (Note 3)......... - - - - -
Organization Costs, net of
amortization (Note 2).... 29,238 - 29,238 29,238 29,238
------------- ------------- ------------- --------------- -------------
TOTAL ASSETS.................. 572,676,895 268,607,252 559,473,975 1,372,748,593 982,714,571
------------- ------------- ------------- --------------- -------------
LIABILITIES:
Payable for securities
purchased................ - 1,975,602 692,123 - -
Payable for securities loaned
(Notes 2 & 5)............ 69,397,545 60,633,246 45,424,700 98,835,800 62,864,239
Payable for Fund shares
redeemed................. 276,373 91,720 25,570 1,130,826 617,478
Payable to custodian......... - - - - -
Payable to Norwest and
affiliates (Note 3)...... 313,049 145,105 63,542 949,738 872,057
Payable to other related
parties (Note 3)......... 52,664 15,899 47,958 24,012 24,429
Accrued expenses & other
payables................. 93,428 25,403 86,186 99,831 57,149
Dividends payable............ 12,597 95,077 - 1,874 -
------------- ------------- ------------- --------------- -------------
TOTAL LIABILITIES............. 70,145,656 62,982,052 46,340,079 101,042,081 64,435,352
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 502,531,239 $205,625,200 $ 513,133,896 $ 1,271,706,512 $ 918,279,219
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
COMPONENTS OF NET ASSETS:
Paid in capital.............. $ 370,866,659 $130,299,700 $ 357,793,026 $ 857,556,866 $ 679,329,082
Undistributed (distributions
in excess of) net
investment income........ 1,669,443 901,111 4,878,091 7,152,297 1,234,050
Accumulated net realized gain
(loss) on investments
sold..................... 7,518,036 16,987,042 34,942,508 17,020,749 19,630,401
Net unrealized appreciation
(depreciation) on
investments.............. 122,477,101 57,437,347 115,520,271 389,976,600 218,085,686
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 502,531,239 $205,625,200 $ 513,133,896 $ 1,271,706,512 $ 918,279,219
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ 43,708,440 $ 18,830,246 $ - $ 25,271,233 $ 14,145,867
B Shares..................... 33,626,134 6,590,837 - 33,870,135 8,713,088
I Shares..................... 425,196,665 180,204,117 513,133,896 1,212,565,144 895,420,264
------------- ------------- ------------- --------------- -------------
NET ASSETS.................... $ 502,531,239 $205,625,200 $ 513,133,896 $ 1,271,706,512 $ 918,279,219
------------- ------------- ------------- --------------- -------------
------------- ------------- ------------- --------------- -------------
SHARES OF BENEFICIAL INTEREST
A Shares..................... 1,317,923 751,519 - 692,261 435,432
B Shares..................... 1,016,062 268,432 - 932,891 269,957
I Shares..................... 12,822,741 7,199,513 12,993,418 33,218,060 27,564,448
NET ASSET VALUE PER SHARE(A)
A Shares..................... $ 33.16 $ 25.06 $ - $ 36.51 $ 32.49
B Shares..................... $ 33.09 $ 24.55 $ - $ 36.31 $ 32.28
I Shares..................... $ 33.16 $ 25.03 $ 39.49 $ 36.50 $ 32.48
</TABLE>
(a) Net Assets by Share Class divided by Shares of Beneficial Interest
(b) Represents the investment in Schroder U.S. Smaller Companies Porfolio of
Schroder Capital Funds
(c) Represents the investment in International Portfolio of Core Trust
(Delaware)
See Notes to Financial Statements.
[LOGO]
28
<PAGE>
MAY 31, 1997
- --------------------------------------------------------------------------------
<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 (Note 2)
Investments at cost......... $ 88,124,394 $149,723,740 $366,939,834 $70,103,050 $6,617,320 $198,931,794
Net unrealized appreciation
(depreciation).......... 43,668,258 24,836,406 79,923,956 7,181,430 1,265,416 33,402,816
------------ ------------ ------------ ------------- ----------- -------------
TOTAL INVESTMENTS AT VALUE... 131,792,652 174,560,146 446,863,790 77,284,480(b) 7,882,736 232,334,610(c)
Collateral for securities
loaned (Notes 2 & 5)..... 11,212,362 36,064,263 - - 1,651,898 -
Interest, dividends and other
receivables.............. 16,145 86,549 60,407 2,759 16,594 -
Receivable for securities
sold..................... - 1,306,344 1,142,454 - 651,283 -
Receivable for daily
variation margin on
financial futures
contracts (Note 2)....... - - - - - -
Receivable for Fund shares
issued................... 49,988 145,105 682,041 601,273 7,088 355,280
Receivable from other related
parties (Note 3)......... 9,882 - - 20,842 3,192 -
Organization Costs, net of
amortization (Note 2).... 29,238 10,353 29,238 - 10,353 29,238
------------ ------------ ------------ ------------- ----------- -------------
TOTAL ASSETS.................. 143,110,267 212,172,760 448,777,930 77,909,354 10,223,144 232,719,128
------------ ------------ ------------ ------------- ----------- -------------
LIABILITIES:
Payable for securities
purchased................ - 1,411,251 527,725 - - -
Payable for securities loaned
(Notes 2 & 5)............ 11,212,362 36,064,263 - - 1,651,898 -
Payable for Fund shares
redeemed................. 12,163 40,668 117,240 30,852 598 12,800
Payable to custodian......... - - - - 305,850 -
Payable to Norwest and
affiliates (Note 3)...... 97,847 138,130 419,586 24,151 1,739 97,651
Payable to other related
parties (Note 3)......... - 8,778 76,839 - - 116,149
Accrued expenses & other
payables................. 19,802 31,509 56,317 - 1,853 33,216
Dividends payable............ - 2,257 - - 983 -
------------ ------------ ------------ ------------- ----------- -------------
TOTAL LIABILITIES............. 11,342,174 37,696,856 1,197,707 55,003 1,962,921 259,816
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $131,768,093 $174,475,904 $447,580,223 $77,854,351 $8,260,223 $232,459,312
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
COMPONENTS OF NET ASSETS:
Paid in capital.............. $ 86,995,016 $142,424,660 $355,922,685 $70,112,320 $8,837,614 $197,710,317
Undistributed (distributions
in excess of) net
investment income........ - - - - 75,642 2,442,797
Accumulated net realized gain
(loss) on investments
sold..................... 1,104,819 7,214,838 11,733,582 560,601 (1,918,449 ) (1,096,618)
Net unrealized appreciation
(depreciation) on
investments.............. 43,668,258 24,836,406 79,923,956 7,181,430 1,265,416 33,402,816
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $131,768,093 $174,475,904 $447,580,223 $77,854,351 $8,260,223 $232,459,312
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS BY SHARE CLASS
A Shares..................... $ - $ 7,355,315 $ - $ 522,212 $ - $ 2,239,876
B Shares..................... - 5,125,480 - 157,951 - 1,667,170
I Shares..................... 131,768,093 161,995,109 447,580,223 77,174,188 8,260,223 228,552,266
------------ ------------ ------------ ------------- ----------- -------------
NET ASSETS.................... $131,768,093 $174,475,904 $447,580,223 $77,854,351 $8,260,223 $232,459,312
------------ ------------ ------------ ------------- ----------- -------------
------------ ------------ ------------ ------------- ----------- -------------
SHARES OF BENEFICIAL INTEREST
A Shares..................... - 527,303 - 26,334 - 103,425
B Shares..................... - 375,996 - 7,999 - 77,359
I Shares..................... 4,038,037 11,669,633 14,402,581 3,890,717 805,532 10,546,701
NET ASSET VALUE PER SHARE(A)
A Shares..................... $ - $ 13.95 $ - $ 19.83 $ - $ 21.66
B Shares..................... $ - $ 13.63 $ - $ 19.75 $ - $ 21.55
I Shares..................... $ 32.63 $ 13.88 $ 31.08 $ 19.84 $ 10.25 $ 21.67
</TABLE>
(a) Net Assets by Share Class divided by Shares of Beneficial Interest
(b) Represents the investment in Schroder U.S. Smaller Companies Porfolio of
Schroder Capital Funds
(c) Represents the investment in International Portfolio of Core Trust
(Delaware)
[LOGO]
29
<PAGE>
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<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.............. $ 7,093,872 $29,729,809 $11,751,009 $ 20,226,936 $9,193,619
Dividend income.............. - - - - -
Securities lending income
(Notes 2 & 5)............ 16,334 58,288 13,431 96,666 61,431
Net investment income (loss)
from Core Trust
(Delaware) and/or
Schroder Capital Funds
(Note 1)................. - - - - -
----------- ------------ ------------ ------------ -----------
TOTAL INCOME.................. 7,110,206 29,788,097 11,764,440 20,323,602 9,255,050
----------- ------------ ------------ ------------ -----------
EXPENSES
Advisory (Note 3)............ 334,768 1,355,907 598,019 1,385,988 651,181
Administration (Note 3)...... 38,381 135,246 56,542 183,927 87,736
Management (Note 3).......... 73,208 275,635 114,320 370,469 172,736
Transfer Agent (Note 3)
A Shares................... 31,825 36,178 - 13,230 6,484
B Shares................... 1,998 24,882 - 8,532 5,635
I Shares................... 245,150 966,142 427,156 671,232 313,471
Custody (Note 3)............. - - - 42,720 24,535
Accounting (Note 3).......... 92,500 85,500 54,000 93,000 66,000
Legal (Note 3)............... 4,627 13,333 7,331 11,180 5,065
Registration................. 29,584 32,133 8,979 25,662 21,417
Audit........................ 17,568 18,029 14,882 12,290 9,571
Trustees'.................... 1,819 6,682 2,959 4,802 2,236
12b-1 Distribution fees--B
shares (Note 3).......... 7,992 99,968 - 34,127 22,540
Amortization of organization
costs (Note 2)........... 11,920 11,920 11,920 - 6,539
Miscellaneous................ 12,997 25,649 19,458 30,216 12,086
----------- ------------ ------------ ------------ -----------
TOTAL EXPENSES................ 904,337 3,087,204 1,315,566 2,887,375 1,407,232
FEES WAIVED AND EXPENSES
REIMBURSED (Note 3 &
Exhibit A )............. (176,733) (235,465) (126,124) (794,393) (418,828)
----------- ------------ ------------ ------------ -----------
NET EXPENSES.................. 727,604 2,851,739 1,189,442 2,092,982 988,404
----------- ------------ ------------ ------------ -----------
NET INVESTMENT INCOME
(LOSS).................... 6,382,602 26,936,358 10,574,998 18,230,620 8,266,646
----------- ------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. (16,722) (6,210,130) (628,563) (6,842,137) (597,996)
Investments in:
Core Trust (Delaware).... - - - - -
Schroder Capital Funds... - - - - -
Foreign currency
transactions from
investments in Core
Trust (Delaware)....... - - - - -
Futures transactions....... - - - - -
----------- ------------ ------------ ------------ -----------
Net Realized Gain (Loss) from
Investments.............. (16,722) (6,210,130) (628,563) (6,842,137) (597,996)
----------- ------------ ------------ ------------ -----------
Net Change in Unrealized
Appreciation
(Depreciation) from:
Securities................... 350,666 4,866,761 477,226 7,049,605 1,219,804
Investments in:
Core Trust (Delaware)...... - - - - -
Schroder Capital Funds..... - - - - -
Foreign currency transactions
from investments in Core
Trust (Delaware)......... - - - - -
Futures transactions......... - - - - -
----------- ------------ ------------ ------------ -----------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 350,666 4,866,761 477,226 7,049,605 1,219,804
----------- ------------ ------------ ------------ -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 333,944 (1,343,369) (151,337) 207,468 621,808
----------- ------------ ------------ ------------ -----------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $ 6,716,546 $25,592,989 $10,423,661 $ 18,438,088 $8,888,454
----------- ------------ ------------ ------------ -----------
----------- ------------ ------------ ------------ -----------
</TABLE>
(a) Commenced operations on October 1, 1996.
(b) Commenced operations on August 15, 1996.
See Notes to Financial Statements.
[LOGO]
30
<PAGE>
FOR THE PERIOD ENDED MAY 31, 1997
- --------------------------------------------------------------------------------
<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.............. $905,014 $18,150,323 $3,478,404 $2,425,297 $6,186,152 $15,915,077 $10,432,284
Dividend income.............. - - - - 583,434 2,782,633 5,082,735
Securities lending income
(Notes 2 & 5)............ - - - - 8,130 59,895 75,730
Net investment income (loss)
from Core Trust
(Delaware) and/or
Schroder Capital Funds
(Note 1)................. - - - - - - -
--------- ----------- ---------- ---------- ----------- ----------- -----------
TOTAL INCOME.................. 905,014 18,150,323 3,478,404 2,425,297 6,777,716 18,757,605 15,590,749
--------- ----------- ---------- ---------- ----------- ----------- -----------
EXPENSES
Advisory (Note 3)............ 88,741 1,537,966 299,582 212,616 589,365 2,185,490 2,688,223
Administration (Note 3)...... 8,874 202,688 40,474 28,909 41,579 139,434 154,897
Management (Note 3).......... 8,874 412,498 79,359 56,138 89,391 272,923 308,589
Transfer Agent (Note 3)
A Shares................... - 73,577 68,628 64,745 - - -
B Shares................... - 16,619 16,915 25,454 - - -
I Shares................... 44,370 678,787 64,248 16,109 327,425 1,030,892 1,158,717
Custody (Note 3)............. 3,550 45,759 11,983 8,505 - - -
Accounting (Note 3).......... 24,000 91,000 66,000 64,000 60,000 62,000 61,000
Legal (Note 3)............... 802 12,438 3,574 3,381 6,370 20,390 22,898
Registration................. 26,592 30,169 4,233 5,974 7,968 11,393 13,633
Audit........................ 13,008 13,602 9,538 13,288 14,856 14,992 15,005
Trustees'.................... 212 5,370 1,029 715 2,317 7,062 7,983
12b-1 Distribution fees--B
shares (Note 3).......... - 66,476 67,660 101,817 - - -
Amortization of organization
costs (Note 2)........... - - - - 11,920 11,920 11,920
Miscellaneous................ 6,900 55,714 14,265 15,055 22,058 39,317 40,255
--------- ----------- ---------- ---------- ----------- ----------- -----------
TOTAL EXPENSES................ 225,923 3,242,663 747,488 616,706 1,173,249 3,795,813 4,483,120
FEES WAIVED AND EXPENSES
REIMBURSED (Note 3 &
Exhibit A )............. (110,570) (1,645,574) (427,390) (286,902) (132,242) (296,544) (320,626)
--------- ----------- ---------- ---------- ----------- ----------- -----------
NET EXPENSES.................. 115,353 1,597,089 320,098 329,804 1,041,007 3,499,269 4,162,494
--------- ----------- ---------- ---------- ----------- ----------- -----------
NET INVESTMENT INCOME
(LOSS).................... 789,661 16,553,234 3,158,306 2,095,493 5,736,709 15,258,336 11,428,255
--------- ----------- ---------- ---------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss)
from:
Securities................. (47,761) 1,727,823 493,059 (141,622) 3,444,081 12,234,628 14,545,145
Investments in:
Core Trust (Delaware).... - - - - - - -
Schroder Capital Funds... - - - - -
Foreign currency
transactions from
investments in Core
Trust (Delaware)....... - - - - 97,737 430,110 735,091
Futures transactions....... - - - - 26,583 133,912 271,037
--------- ----------- ---------- ---------- ----------- ----------- -----------
Net Realized Gain (Loss) from
Investments.............. (47,761) 1,727,823 493,059 (141,622) 3,568,401 12,798,650 15,551,273
--------- ----------- ---------- ---------- ----------- ----------- -----------
Net Change in Unrealized
Appreciation
(Depreciation) from:
Securities................... 147,244 6,758,068 1,445,137 1,253,339 2,542,815 18,845,290 41,519,469
Investments in:
Core Trust (Delaware)...... - - - -
Schroder Capital Funds..... - - - - - - -
Foreign currency transactions
from investments in Core
Trust (Delaware)......... - - - - (14,029) (41,032) (39,583)
Futures transactions......... - - - - (4,541) 2,450 17,988
--------- ----------- ---------- ---------- ----------- ----------- -----------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments.............. 147,244 6,758,068 1,445,137 1,253,339 2,524,245 18,806,708 41,497,874
--------- ----------- ---------- ---------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 99,483 8,485,891 1,938,196 1,111,717 6,092,646 31,605,358 57,049,147
--------- ----------- ---------- ---------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $889,144 $25,039,125 $5,096,502 $3,207,210 $11,829,355 $46,863,694 $68,477,402
--------- ----------- ---------- ---------- ----------- ----------- -----------
--------- ----------- ---------- ---------- ----------- ----------- -----------
</TABLE>
(a) Commenced operations on October 1, 1996.
(b) Commenced operations on August 15, 1996.
[LOGO]
31
<PAGE>
STATEMENTS OF OPERATIONS (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.............. $ 851,663 $ 164,508 $ 1,687,335 $ 1,963,567 $ 1,515,428
Dividend income.............. 9,826,233 2,901,366 7,073,690 16,218,203 7,167,666
Securities lending income
(Notes 2 & 5)............ 65,547 40,832 57,755 268,750 234,353
Net investment income (loss)
from Core Trust
(Delaware) and/or
Schroder Capital Funds
(Note 1)................. - - - - -
------------ ------------ ------------- ------------- -------------
TOTAL INCOME.................. 10,743,443 3,106,706 8,818,780 18,450,520 8,917,447
------------ ------------ ------------- ------------- -------------
EXPENSES
Advisory (Note 3)............ 1,906,693 1,475,664 563,081 6,874,776 7,205,405
Administration (Note 3)...... 140,044 125,831 143,019 372,532 279,793
Management (Note 3).......... 241,294 243,085 232,367 685,126 520,808
Transfer Agent (Note 3)
A Shares................... 92,753 41,540 - - -
B Shares................... 58,957 14,148 - - -
I Shares................... 801,637 405,457 938,468 2,644,145 2,001,501
Custody (Note 3)............. - 32,661 - - -
Accounting (Note 3).......... 71,500 66,000 60,000 81,500 79,000
Legal (Note 3)............... 16,959 13,232 17,303 53,877 40,488
Registration................. 72,899 25,668 58,265 85,380 54,725
Audit........................ 17,057 11,197 17,098 15,282 14,147
Trustees'.................... 5,846 3,140 5,906 17,463 13,400
12b-1 Distribution fees--B
shares (Note 3).......... 235,829 56,592 - 159,132 43,471
Amortization of organization
costs (Note 2)........... 11,920 - 11,920 11,920 11,920
Miscellaneous................ 33,015 16,608 47,389 79,732 57,089
------------ ------------ ------------- ------------- -------------
TOTAL EXPENSES................ 3,706,403 2,530,823 2,094,816 11,080,865 10,321,747
FEES WAIVED AND EXPENSES
REIMBURSED (Note 3 &
Exhibit A )............. (304,545) (625,933) (1,160,619) (844,306) (611,827)
------------ ------------ ------------- ------------- -------------
NET EXPENSES.................. 3,401,858 1,904,890 934,197 10,236,559 9,709,920
------------ ------------ ------------- ------------- -------------
NET INVESTMENT INCOME
(LOSS).................... 7,341,585 1,201,816 7,884,583 8,213,961 (792,473)
------------ ------------ ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss) from:
Securities.................. 7,545,807 27,574,311 30,269,451 20,317,318 28,226,600
Investments in:
Core Trust (Delaware)..... - - - - -
Schroder Capital Funds.... - - - - -
Foreign currency
transactions from
investments in Core
Trust (Delaware)........ - - - 2,121,742 3,341,211
Futures transactions........ - - 7,017,529 978,412 -
------------ ------------ ------------- ------------- -------------
Net Realized Gain (Loss) from
Investments............... 7,545,807 27,574,311 37,286,980 23,417,472 31,567,811
------------ ------------ ------------- ------------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) from:
Securities.................. 67,108,555 10,617,449 56,666,888 180,496,467 83,982,564
Investments in:
Core Trust (Delaware)....... - - - - -
Schroder Capital Funds...... - - - - -
Foreign currency transactions
from investments in Core
Trust (Delaware).......... - - - 73,060 16,831
Futures transactions.......... - - 2,533,375 204,802 -
------------ ------------ ------------- ------------- -------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments............... 67,108,555 10,617,449 59,200,263 180,774,329 83,999,395
------------ ------------ ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 74,654,362 38,191,760 96,487,243 204,191,801 115,567,206
------------ ------------ ------------- ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $ 81,995,947 $39,393,576 $ 104,371,826 $ 212,405,762 $ 114,774,733
------------ ------------ ------------- ------------- -------------
------------ ------------ ------------- ------------- -------------
</TABLE>
(a) Commenced operations on October 1, 1996.
(b) Commenced operations on August 15, 1996.
(c) Net of expenses from Schroder U.S. Smaller Companies Portfolio of Schroder
Capital Funds in the amount of $226,720.
(d) Net of expenses from International Portfolio of Core Trust (Delaware) in the
amount of $1,404,940.
See Notes to Financial Statements.
[LOGO]
32
<PAGE>
FOR THE PERIOD ENDED MAY 31, 1997
- --------------------------------------------------------------------------------
<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.............. $ 201,597 $ 424,120 $1,098,080 $ - $ 38,320 $ -
Dividend income.............. 556,852 716,216 964,146 - 363,782 -
Securities lending income
(Notes 2 & 5)............ 52,516 59,882 8,580 - 2,107 -
Net investment income (loss)
from Core Trust
(Delaware) and/or
Schroder Capital Funds
(Note 1)................. - - - 64,968 - 1,772,651
--------- ----------- ---------- ---------- ----------- ------------
TOTAL INCOME.................. 810,965 1,200,218 2,070,806 64,968(c) 404,209 1,772,651(d)
--------- ----------- ---------- ---------- ----------- ------------
EXPENSES
Advisory (Note 3)............ 651,110 1,481,914 3,513,581 - 161,601 -
Administration (Note 3)...... 36,058 103,456 135,857 13,161 9,189 64,332
Management (Note 3).......... 64,112 192,927 254,540 80,376 31,212 567,233
Transfer Agent (Note 3)
A Shares................... - 14,958 - 305 1,243 3,735
B Shares................... - 10,410 - 108 835 3,116
I Shares................... 250,427 345,110 975,995 66,399 48,422 444,267
Custody (Note 3)............. - 27,229 - - 4,040 -
Accounting (Note 3).......... 38,000 76,000 55,000 26,057 60,000 36,000
Legal (Note 3)............... 4,428 6,661 16,350 1,314 3,919 10,670
Registration................. 15,408 32,775 35,345 57,628 16,816 35,167
Audit........................ 13,819 10,880 13,946 7,409 8,918 7,480
Trustees'.................... 1,625 2,484 6,553 287 414 2,895
12b-1 Distribution fees--B
shares (Note 3).......... - 41,641 - 431 3,340 12,465
Amortization of organization
costs (Note 2)........... 11,920 6,539 11,920 - 6,539 11,920
Miscellaneous................ 7,931 13,813 26,356 8,486 3,749 11,076
--------- ----------- ---------- ---------- ----------- ------------
TOTAL EXPENSES................ 1,094,838 2,366,797 5,045,443 261,961 360,237 1,210,356
FEES WAIVED AND EXPENSES
REIMBURSED (Note 3 &
Exhibit A )............. (98,645) (567,672) (191,180) (154,885) (117,861) (25,882)
--------- ----------- ---------- ---------- ----------- ------------
NET EXPENSES.................. 996,193 1,799,125 4,854,263 107,076 242,376 1,184,474
--------- ----------- ---------- ---------- ----------- ------------
NET INVESTMENT INCOME
(LOSS).................... (185,228) (598,907) (2,783,457) (42,108) 161,833 588,177
--------- ----------- ---------- ---------- ----------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS
Net Realized Gain (Loss) from:
Securities.................. 1,200,464 7,815,985 30,533,189 - (1,905,305) -
Investments in:
Core Trust (Delaware)..... - - - - - 214,268
Schroder Capital Funds.... - - - 578,865 - -
Foreign currency
transactions from
investments in Core
Trust (Delaware)........ - - - - - 2,259,655
Futures transactions........ - - - - - -
--------- ----------- ---------- ---------- ----------- ------------
Net Realized Gain (Loss) from
Investments............... 1,200,464 7,815,985 30,533,189 578,865 (1,905,305) 2,473,923
--------- ----------- ---------- ---------- ----------- ------------
Net Change in Unrealized
Appreciation
(Depreciation) from:
Securities.................. 20,808,081 5,063,015 (4,867,156) - 1,616,215 -
Investments in:
Core Trust (Delaware)....... - - - - - 18,836,534
Schroder Capital Funds...... - - - 7,181,430 - -
Foreign currency transactions
from investments in Core
Trust (Delaware).......... - - - - - (654,238)
Futures transactions.......... - - - - - -
--------- ----------- ---------- ---------- ----------- ------------
Net Change in Unrealized
Appreciation
(Depreciation) from
Investments............... 20,808,081 5,063,015 (4,867,156) 7,181,430 1,616,215 18,182,296
--------- ----------- ---------- ---------- ----------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) FROM
INVESTMENTS............... 22,008,545 12,879,000 25,666,033 7,760,295 (289,090) 20,656,219
--------- ----------- ---------- ---------- ----------- ------------
INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................ $21,823,317 $12,280,093 $22,882,576 $7,718,187 $ (127,257) $21,244,396
--------- ----------- ---------- ---------- ----------- ------------
--------- ----------- ---------- ---------- ----------- ------------
</TABLE>
(a) Commenced operations on October 1, 1996.
(b) Commenced operations on August 15, 1996.
(c) Net of expenses from Schroder U.S. Smaller Companies Portfolio of Schroder
Capital Funds in the amount of $226,720.
(d) Net of expenses from International Portfolio of Core Trust (Delaware) in the
amount of $1,404,940.
[LOGO]
33
<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 sold......... 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
FROM:
Net investment income--
A Shares.................... (69,993) (42,791) - (378,659) (78,735)
B Shares.................... (3,559) (25,500) - (188,666) (94,365)
I Shares.................... (4,182,485) (6,285,505) (10,159,009) (11,837,728) (7,536,461)
Net realized gain on
investments--
A Shares.................... - - - - (2,358)
B Shares.................... - - - - (3,618)
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 Shares--
A Shares.................... 25,709 66,723 - 2,291,426 1,956,528
B Shares.................... 478,396 4,314 - 899,180 1,523,367
I Shares.................... 33,067,211 7,989,936 26,153,631 197,433,835 49,367,074
Shares issued in merger (Note
7)--
A Shares.................... 16,263,468 18,921,088 - - -
B Shares.................... 393,994 10,829,902 - - -
I Shares.................... 16,857,313 354,137,467 - - -
Reinvestment of
distributions--
A Shares.................... 43,901 31,592 - 337,470 70,922
B Shares.................... 2,620 16,277 - 161,167 92,460
I Shares.................... 4,405,074 6,463,069 11,987,041 179,740 2,814,343
Redemption of Shares--
A Shares.................... (16,429) (2,337,507) - (3,106,414) (548,923)
B Shares.................... (5,075) (87,494) - (928,666) (364,624)
I Shares.................... (16,208,158) (10,777,222) (30,868,007) (22,976,452) (23,414,179)
------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 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
(loss)................... 6,382,602 26,936,358 10,574,998 18,230,620 8,266,646
Net realized gain (loss) from
investments.............. (16,722) (6,210,130) (628,563) (6,842,137) (597,996)
Net change in unrealized
appreciation
(depreciation) from
investments.............. 350,666 4,866,761 477,226 7,049,605 1,219,804
------------- ------------- ------------- ------------- -------------
6,716,546 25,592,989 10,423,661 18,438,088 8,888,454
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... (721,899) (951,891) - (348,870) (165,157)
B Shares.................... (38,565) (583,483) - (200,173) (126,442)
I Shares.................... (5,602,672) (25,549,628) (11,271,882) (17,681,577) (7,975,055)
Net realized gain on
investments--
A Shares.................... - - - - (7,033)
B Shares.................... - - - - (6,165)
I Shares.................... - - (2,307,298) - (348,086)
Distribution in Excess--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - -
------------- ------------- ------------- ------------- -------------
(6,363,136) (27,085,002) (13,579,180) (18,230,620) (8,627,938)
------------- ------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... 1,191,772 1,106,096 - 1,161,599 1,601,894
B Shares.................... 701,755 1,575,225 - 1,023,640 666,573
I Shares.................... 61,899,250 47,225,594 56,312,542 34,365,830 46,717,303
Reinvestment of
distributions--
A Shares.................... 260,034 712,814 - 296,467 175,548
B Shares.................... 26,240 358,502 - 158,950 110,954
I Shares.................... 4,614,509 3,133,761 13,557,797 242,372 446,003
Redemption of Shares--
A Shares.................... (5,300,964) (5,302,226) - (1,842,981) (705,561)
B Shares.................... (542,351) (3,611,256) - (1,127,169) (627,550)
I Shares.................... (39,192,241) (76,988,609) (71,564,199) (47,759,316) (42,745,129)
------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 23,658,004 (31,790,099) (1,693,860) (13,480,608) 5,640,035
------------- ------------- ------------- ------------- -------------
NET ASSETS--MAY 31, 1997...... $124,537,806 $393,286,171 $162,309,773 $ 266,697,641 $ 130,775,974
------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- -------------
November 1, November 1, November 1,
(a) Beginning of Period....... 1995 1995 1995 June 1, 1995 June 1, 1995
</TABLE>
See Notes to Financial Statements.
[LOGO]
34
<PAGE>
FOR THE YEARS OR PERIODS ENDED MAY 31, 1996 AND 1997
- --------------------------------------------------------------------------------
<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 sold......... - (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
FROM:
Net investment income--
A Shares.................... - (1,868,529) (1,437,522) (1,160,466) -
B Shares.................... - (236,778) (269,519) (315,283) -
I Shares.................... - (11,133,956) (1,309,065) (108,000) (5,731,263)
Net realized gain on
investments--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - (1,742,779)
---------------- ------------- ------------- ------------- -----------------
- (13,239,263) (3,016,106) (1,583,749) (7,474,042)
---------------- ------------- ------------- ------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... - 8,363,276 4,568,871 13,073,591 -
B Shares.................... - 2,517,278 1,869,835 4,415,986 -
I Shares.................... - 212,589,116 6,423,556 2,423,693 25,829,440
Shares issued in merger (Note
7)--
A Shares.................... - - - - -
B Shares.................... - - - -
I Shares.................... - - - -
Reinvestment of
distributions--
A Shares.................... - 1,689,697 1,247,299 1,004,820 -
B Shares.................... - 170,166 189,093 267,653 -
I Shares.................... - 106,017 12,673 19,399 7,474,042
Redemption of Shares--
A Shares.................... - (6,743,422) (4,732,320) (2,585,119) -
B Shares.................... - (479,398) (814,836) (793,041) -
I Shares.................... - (26,969,864) (6,886,075) (163,496) (22,700,219)
---------------- ------------- ------------- ------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. - 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
(loss)................... 789,661 16,553,234 3,158,306 2,095,493 5,736,709
Net realized gain (loss) from
investments.............. (47,761) 1,727,823 493,059 (141,622) 3,568,401
Net change in unrealized
appreciation
(depreciation) from
investments.............. 147,244 6,758,068 1,445,137 1,253,339 2,524,245
---------------- ------------- ------------- ------------- -----------------
889,144 25,039,125 5,096,502 3,207,210 11,829,355
---------------- ------------- ------------- ------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... - (1,591,311) (1,470,771) (1,322,564) -
B Shares.................... - (308,558) (311,583) (443,287) -
I Shares.................... (789,661) (14,653,365) (1,375,952) (329,642) (6,159,478)
Net realized gain on
investments--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - (2,495,149)
Distribution in Excess--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - -
---------------- ------------- ------------- ------------- -----------------
(789,661) (16,553,234) (3,158,306) (2,095,493) (8,654,627)
---------------- ------------- ------------- ------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... - 6,496,836 1,722,891 3,538,661 -
B Shares.................... - 1,904,021 1,012,888 2,882,204 -
I Shares.................... 41,586,251 41,150,176 5,985,260 8,567,269 36,138,290
Reinvestment of
distributions--
A Shares.................... - 1,278,621 1,199,954 1,051,926 -
B Shares.................... - 224,415 217,609 342,375 -
I Shares.................... 40,619 274,923 17,000 59,840 8,655,005
Redemption of Shares--
A Shares.................... - (13,367,873) (3,001,775) (6,143,453) -
B Shares.................... - (884,326) (633,831) (1,171,847) -
I Shares.................... (736,230) (65,125,982) (4,982,823) (1,659,308) (66,141,197)
---------------- ------------- ------------- ------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 40,890,640 (28,049,189) 1,537,173 7,467,667 (21,347,902)
---------------- ------------- ------------- ------------- -----------------
NET ASSETS--MAY 31, 1997...... $40,990,123 $ 296,406,673 $ 60,940,499 $ 48,002,309 $128,776,505
---------------- ------------- ------------- ------------- -----------------
---------------- ------------- ------------- ------------- -----------------
(a) Beginning of 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 sold......... 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
FROM:
Net investment income--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (12,519,924) (9,048,079)
Net realized gain on
investments--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (5,073,401) (3,082,601)
----------------- -----------------
(17,593,325) (12,130,680)
----------------- -----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... - -
B Shares.................... - -
I Shares.................... 74,842,548 115,893,160
Shares issued in merger (Note
7)--
A Shares.................... - -
B Shares.................... - -
I Shares.................... - -
Reinvestment of
distributions--
A Shares.................... - -
B Shares.................... - -
I Shares.................... 17,593,325 12,130,682
Redemption of Shares--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (77,264,966) (49,868,392)
----------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 15,170,907 78,155,450
----------------- -----------------
NET ASSETS--MAY 31, 1996...... 398,005,320 484,641,177
----------------- -----------------
OPERATIONS
Net investment income
(loss)................... 15,258,336 11,428,255
Net realized gain (loss) from
investments.............. 12,798,650 15,551,273
Net change in unrealized
appreciation
(depreciation) from
investments.............. 18,806,708 41,497,874
----------------- -----------------
46,863,694 68,477,402
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (15,207,156) (11,872,271)
Net realized gain on
investments--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (5,845,141) (17,285,365)
Distribution in Excess--
A Shares.................... - -
B Shares.................... - -
I Shares.................... - -
----------------- -----------------
(21,052,297) (29,157,636)
----------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... - -
B Shares.................... - -
I Shares.................... 116,845,894 143,517,666
Reinvestment of
distributions--
A Shares.................... - -
B Shares.................... -
I Shares.................... 21,052,296 29,111,750
Redemption of Shares--
A Shares.................... - -
B Shares.................... - -
I Shares.................... (143,034,670) (193,208,525)
----------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. (5,136,480) (20,579,109)
----------------- -----------------
NET ASSETS--MAY 31, 1997...... $418,680,237 $ 503,381,834
----------------- -----------------
----------------- -----------------
(a) Beginning of Period....... November 1, 1995 November 1, 1995
</TABLE>
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35
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<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 sold......... 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
FROM:
Net investment income--
A Shares.................... - (84,795) - - -
B Shares.................... - (22,463) - - -
I Shares.................... (1,597,797) (920,207) (3,001,143) (11,170,188) (2,687,990)
Net realized gain on
investments--
A Shares.................... - (79,478) - - -
B Shares.................... - (25,735) - - -
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 Shares--
A Shares.................... 2,520,809 2,965,125 - 2,685,565 3,337,642
B Shares.................... 748,680 1,356,765 - 2,417,385 694,106
I Shares.................... 31,446,734 26,276,880 44,343,984 156,508,771 132,045,471
Shares issued in merger (Note
7)--
A Shares.................... 28,896,764 - - - -
B Shares.................... 16,515,834 - - - -
I Shares.................... 145,790,368 - - - -
Reinvestment of
distributions--
A Shares.................... - 181,544 - - -
B Shares.................... - 50,538 - - -
I Shares.................... 1,811,078 106,150 4,323,406 37,884,552 44,807,402
Redemption of Shares--
A Shares.................... (97,978) (2,587,716) - (12,102) (10,957)
B Shares.................... (27,196) (625,881) - - -
I Shares.................... (6,354,584) (33,730,227) (13,406,058) (82,476,663) (57,474,997)
---------------- --------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 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
(loss)................... 7,341,585 1,201,816 7,884,583 8,213,961 (792,473)
Net realized gain (loss) from
investments.............. 7,545,807 27,574,311 37,286,980 23,417,472 31,567,811
Net change in unrealized
appreciation
(depreciation) from
investments.............. 67,108,555 10,617,449 59,200,263 180,774,329 83,999,395
---------------- --------------- ---------------- ----------------- -----------------
81,995,947 39,393,576 104,371,826 212,405,762 114,774,733
---------------- --------------- ---------------- ----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... (631,328) (24,656) - (71,788) -
B Shares.................... (248,650) (761) - (37,139) -
I Shares.................... (5,409,270) (238,700) (5,954,051) (5,048,533) -
Net realized gain on
investments--
A Shares.................... - (1,711,849) - (86,235) (221,686)
B Shares.................... - (581,032) - (95,727) (95,413)
I Shares.................... - (16,880,842) (6,050,374) (6,064,480) (15,939,879)
Distribution in Excess--
A Shares.................... - - - - (14,426)
B Shares.................... - - - - -
I Shares.................... - - - - (1,037,304)
---------------- --------------- ---------------- ----------------- -----------------
(6,289,248) (19,437,840) (12,004,425) (11,403,902) (17,308,708)
---------------- --------------- ---------------- ----------------- -----------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... 13,631,365 3,013,903 - 21,946,642 13,671,892
B Shares.................... 14,627,119 1,120,672 - 28,308,236 7,397,442
I Shares.................... 179,823,737 29,570,961 298,477,778 306,247,811 261,561,411
Reinvestment of
distributions--
A Shares.................... 604,511 1,725,002 - 157,020 234,009
B Shares.................... 240,847 557,001 - 128,150 95,271
I Shares.................... 2,063,741 1,397,591 11,725,407 11,033,830 16,970,323
Redemption of Shares--
A Shares.................... (9,134,378) (2,965,382) - (2,937,661) (4,688,246)
B Shares.................... (3,238,148) (829,125) - (898,800) (321,575)
I Shares.................... (51,392,099) (24,835,838) (139,080,889) (205,649,293) (213,875,777)
---------------- --------------- ---------------- ----------------- -----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 147,226,695 8,754,785 171,122,296 158,335,935 81,044,750
---------------- --------------- ---------------- ----------------- -----------------
NET ASSETS--MAY 31, 1997...... $502,531,239 $205,625,200 $513,133,896 $1,271,706,512 $ 918,279,219
---------------- --------------- ---------------- ----------------- -----------------
---------------- --------------- ---------------- ----------------- -----------------
(a) Beginning of Period....... November 1, 1995 June 1, 1995 November 1, 1995 November 1, 1995 November 1, 1995
</TABLE>
See Notes to Financial Statements.
[LOGO]
36
<PAGE>
FOR THE YEARS OR PERIODS ENDED MAY 31, 1996 AND 1997
- --------------------------------------------------------------------------------
<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 sold......... 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
FROM:
Net investment income--
A Shares.................... - (5,330) - - (6,448)
B Shares.................... - (1,964) - - (3,399)
I Shares.................... - (157,562) - - (372,373)
Net realized gain on
investments--
A Shares.................... - (124,863) - - (60,262)
B Shares.................... - (93,838) - - (57,350)
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 Shares--
A Shares.................... - 3,231,815 - - 542,495
B Shares.................... - 2,541,448 - - 233,371
I Shares.................... 11,429,389 55,628,805 54,322,606 - 16,652,803
Shares issued in merger (Note
7)--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - -
Reinvestment of
distributions--
A Shares.................... - 130,687 - - 67,001
B Shares.................... - 93,288 - - 58,754
I Shares.................... 612,610 224,735 26,837,810 - 638,476
Redemption of Shares--
A Shares.................... - (422,224) - - (279,551)
B Shares.................... - (202,809) - - (148,560)
I Shares.................... (3,711,267) (9,720,850) (17,840,616) - (27,147,010)
---------------- ------------- ---------------- --------------- --------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 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
(loss)................... (185,228) (598,907) (2,783,457) (42,108) 161,833
Net realized gain (loss) from
investments.............. 1,200,464 7,815,985 30,533,189 578,865 (1,905,305)
Net change in unrealized
appreciation
(depreciation) from
investments.............. 20,808,081 5,063,015 (4,867,156) 7,181,430 1,616,215
---------------- ------------- ---------------- --------------- --------------
21,823,317 12,280,093 22,882,576 7,718,187 (127,257)
---------------- ------------- ---------------- --------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... - - - - (2,376)
B Shares.................... - - - - (535)
I Shares.................... - - - - (83,280)
Net realized gain on
investments--
A Shares.................... - (403,293) - (55) (54,381)
B Shares.................... - (282,900) - (25) (72,155)
I Shares.................... (776,305) (9,739,168) (41,561,778) (18,248) (2,323,753)
Distribution in Excess--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... - - - - -
---------------- ------------- ---------------- --------------- --------------
(776,305) (10,425,361) (41,561,778) (18,328) (2,536,480)
---------------- ------------- ---------------- --------------- --------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... - 2,507,754 - 490,051 268,444
B Shares.................... - 1,214,647 - 145,725 67,343
I Shares.................... 46,499,014 60,448,696 123,744,071 75,031,266 4,868,878
Reinvestment of
distributions--
A Shares.................... - 400,158 - 49 56,085
B Shares.................... - 280,822 - 25 69,441
I Shares.................... 761,975 1,357,055 41,561,778 15,061 115,373
Redemption of Shares--
A Shares.................... - (1,071,456) - (4,799) (1,139,629)
B Shares.................... - (500,213) - - (653,518)
I Shares.................... (18,653,787) (27,553,043) (77,592,594) (5,522,886) (30,256,096)
---------------- ------------- ---------------- --------------- --------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 28,607,202 37,084,420 87,713,255 70,154,492 (26,603,679)
---------------- ------------- ---------------- --------------- --------------
NET ASSETS--MAY 31, 1997...... $131,768,093 $ 174,475,904 $447,580,223 $77,854,351 $ 8,260,223
---------------- ------------- ---------------- --------------- --------------
---------------- ------------- ---------------- --------------- --------------
(a) Beginning of 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 sold......... 1,700,340
Net change in unrealized
appreciation
(depreciation) from
investments.............. 11,541,514
----------------
13,665,280
----------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income--
A Shares.................... (6,180)
B Shares.................... (7,672)
I Shares.................... (1,689,715)
Net realized gain on
investments--
A Shares.................... -
B Shares.................... -
I Shares.................... -
----------------
(1,703,567)
----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... 857,967
B Shares.................... 530,692
I Shares.................... 44,692,502
Shares issued in merger (Note
7)--
A Shares.................... -
B Shares.................... -
I Shares.................... -
Reinvestment of
distributions--
A Shares.................... 6,176
B Shares.................... 7,632
I Shares.................... 1,627,705
Redemption of Shares--
A Shares.................... (60,668)
B Shares.................... (4,128)
I Shares.................... (5,914,538)
----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 41,743,340
----------------
NET ASSETS--MAY 31, 1996...... 145,717,531
----------------
OPERATIONS
Net investment income
(loss)................... 588,177
Net realized gain (loss) from
investments.............. 2,473,923
Net change in unrealized
appreciation
(depreciation) from
investments.............. 18,182,296
----------------
21,244,396
----------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net investment income--
A Shares.................... (7,226)
B Shares.................... (869)
I Shares.................... (878,290)
Net realized gain on
investments--
A Shares.................... -
B Shares.................... -
I Shares.................... -
Distribution in Excess--
A Shares.................... (7,004)
B Shares.................... (843)
I Shares.................... (851,430)
----------------
(1,745,662)
----------------
CAPITAL SHARE TRANSACTIONS
Sale of Shares--
A Shares.................... 1,308,335
B Shares.................... 697,162
I Shares.................... 90,113,789
Reinvestment of
distributions--
A Shares.................... 14,232
B Shares.................... 1,700
I Shares.................... 1,332,379
Redemption of Shares--
A Shares.................... (333,794)
B Shares.................... (166,748)
I Shares.................... (25,724,008)
----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 67,243,047
----------------
NET ASSETS--MAY 31, 1997...... $232,459,312
----------------
----------------
(a) Beginning of Period....... November 1, 1995
</TABLE>
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37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
STABLE GOVERNMENT DIVERSIFIED CONSERVATIVE MODERATE
INCOME INCOME BOND BALANCED BALANCED
FUND FUND FUND FUND FUND
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
NET ASSETS--NOVEMBER 11,
1994...................... $ - $ - $ - $ - $ -
---------------- ---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income
(loss)................... 2,247,375 3,785,503 10,159,007 5,659,746 12,180,822
Net realized gain (loss) from
investments sold......... 186,598 849,868 1,828,032 1,684,960 4,970,239
Net change in unrealized
appreciation
(depreciation) from
investments.............. 279,309 775,097 7,313,620 7,397,834 30,121,332
---------------- ---------------- ---------------- ---------------- ----------------
2,713,282 5,410,468 19,300,659 14,742,540 47,272,393
---------------- ---------------- ---------------- ---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... 19,314,379 57,693,187 165,471,906 121,670,509 306,233,476
Shares issued in
conversion--(a)
I Shares.................... 54,013,693 12,232,271 49,356,217 34,871,159 100,309,597
Redemption of Shares--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... (27,954,786) (25,122,913) (62,675,817) (34,574,397) (79,817,235)
---------------- ---------------- ---------------- ---------------- ----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 45,373,286 44,802,545 152,152,306 121,967,271 326,725,838
---------------- ---------------- ---------------- ---------------- ----------------
NET ASSETS--OCTOBER 31,
1995...................... $ 48,086,568 $ 50,213,013 $171,452,965 $136,709,811 $373,998,231
---------------- ---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ---------------- ----------------
<CAPTION>
GROWTH
BALANCED
FUND
----------------
<S> <C>
NET ASSETS--NOVEMBER 11,
1994...................... $ -
----------------
OPERATIONS:
Net investment income
(loss)................... 8,360,471
Net realized gain (loss) from
investments sold......... 3,457,351
Net change in unrealized
appreciation
(depreciation) from
investments.............. 44,675,320
----------------
56,493,142
----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... -
B Shares.................... -
I Shares.................... 281,218,952
Shares issued in
conversion--(a)
I Shares.................... 111,127,105
Redemption of Shares--
A Shares.................... -
B Shares.................... -
I Shares.................... (73,947,039)
----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 318,399,018
----------------
NET ASSETS--OCTOBER 31,
1995...................... $374,892,160
----------------
----------------
</TABLE>
(a) 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., 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.
See Notes to Financial Statements.
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38
<PAGE>
FOR THE PERIOD FROM NOVEMBER 11, 1994 TO OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE
INCOME DIVERSIFIED GROWTH COMPANY
EQUITY INDEX EQUITY EQUITY GROWTH
FUND FUND FUND FUND FUND
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
NET ASSETS--NOVEMBER 11,
1994...................... $ - $ - $ - $ - $ -
---------------- ---------------- ---------------- ---------------- ----------------
OPERATIONS:
Net investment income
(loss)................... 940,343 3,001,143 5,807,642 (470,845) (127,770)
Net realized gain (loss) from
investments sold......... (25,794) 1,288,749 10,899,023 22,944,720 680,905
Net change in unrealized
appreciation
(depreciation) from
investments.............. 8,269,668 30,497,283 112,290,241 67,077,512 12,771,480
---------------- ---------------- ---------------- ---------------- ----------------
9,184,217 34,787,175 128,996,906 89,551,387 13,324,615
---------------- ---------------- ---------------- ---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... 32,004,647 124,576,780 496,787,751 346,892,541 59,880,621
Shares issued in
conversion--(a)
I Shares.................... 16,330,430 48,078,887 188,578,327 187,721,674 9,419,837
Redemption of Shares--
A Shares.................... - - - - -
B Shares.................... - - - - -
I Shares.................... (8,519,290) (21,246,270) (103,252,075) (60,161,325) (19,058,149)
---------------- ---------------- ---------------- ---------------- ----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 39,815,787 151,409,397 582,114,003 474,452,890 50,242,309
---------------- ---------------- ---------------- ---------------- ----------------
NET ASSETS--OCTOBER 31,
1995...................... $ 49,000,004 $186,196,572 $711,110,909 $ 564,004,277 $ 63,566,924
---------------- ---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ---------------- ----------------
<CAPTION>
SMALL
COMPANY
GROWTH INTERNATIONAL
FUND FUND
---------------- ----------------
<S> <C> <C>
NET ASSETS--NOVEMBER 11,
1994...................... $ - $ -
---------------- ----------------
OPERATIONS:
Net investment income
(loss)................... (1,033,557) 442,752
Net realized gain (loss) from
investments sold......... 27,823,268 (722,933)
Net change in unrealized
appreciation
(depreciation) from
investments.............. 43,595,077 3,679,006
---------------- ----------------
70,384,788 3,398,825
---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Sale of Shares--
A Shares.................... - 218,716
B Shares.................... - 395,763
I Shares.................... 207,281,383 86,709,689
Shares issued in
conversion--(a)
I Shares.................... 44,901,924 17,857,644
Redemption of Shares--
A Shares.................... - (3,261)
B Shares.................... - (2,647)
I Shares.................... (44,510,221) (16,562,251)
---------------- ----------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE
TRANSACTIONS.............. 207,673,086 88,613,653
---------------- ----------------
NET ASSETS--OCTOBER 31,
1995...................... $278,057,874 $ 92,012,478
---------------- ----------------
---------------- ----------------
</TABLE>
(a) 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., 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.
[LOGO]
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Norwest Advantage Funds ("Trust") is organized as a Delaware business trust and
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................... N/A N/A 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. Contrarian Stock Fund ceased offering A Shares and
B Shares on May 30, 1997.
MASTER-FEEDER ARRANGEMENT--Each of Small Cap Opportunities Fund and
International Fund seek to achieve its investment objective by investing all of
its assets in Schroder U.S. Smaller Companies Portfolio and International
Portfolio, each a "Portfolio" and collectively the "Portfolios" respectively, a
separate diversified portfolio of Schroder Capital Funds and Core Trust
(Delaware) ("Core Trust"), respectively, which are registered as 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 ("Blended Funds") invest a
portion of their assets in various portfolios of Core Trust--Index Portfolio,
International Portfolio II and Small Company Portfolio ("Blended Portfolios")
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 Schroder
Capital Funds and Core Trust, respectively as partnership investments and record
their share of each portfolio's income, expense and realized and unrealized gain
and loss daily. The financial statements of the Portfolios are included in this
report and should be read in conjunction with the Funds' financial statements.
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles, which require management to make estimates and
assumptions that affect the reported amounts of assets and liabilities,
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.
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40
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 of Trustees.
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 are based on amounts calculated in accordance with applicable
federal income tax regulations.
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.
FEDERAL TAXES--Each Fund intends to qualify and continue to qualify each year as
a regulated investment company and distribute all of its taxable income. In
addition, by distributing in each calendar year substantially all of its net
investment income, capital gain and certain other amounts, if any, each Fund
will not be subject to a federal excise tax. Therefore, no federal income or
excise tax provision is required.
REPURCHASE AGREEMENTS--Each Fund may invest in repurchase agreements. The Funds,
through their custodian, receive delivery of the underlying collateral, whose
market value must always equal or exceed the repurchase price. The investment
adviser is responsible for determining the value of the underlying collateral at
all times. In the event of default, a Fund may have difficulties with the
disposition of such collateral.
EXPENSE ALLOCATION--The Trust accounts separately for the assets and liabilities
and operations of each Fund. Expenses that are directly attributable to more
than one Fund are allocated among the respective Funds. Expenses that are
directly attributable to a class are allocated to that class.
REALIZED GAIN AND LOSS--Security transactions are recorded on a trade date
basis. Realized gain and loss on investments sold are recorded on the basis of
identified cost.
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 at least equal to 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.
FUTURES CONTRACTS--The Index Fund may invest in index futures contracts. A
futures contract is an agreement between two parties to buy and sell a security
at a set price on a future date. Upon entering into such a contract the Fund is
required to pledge to the broker an amount of cash or securities equal to the
minimum "initial margin" requirements of the exchange on which the contract is
traded. Pursuant to the contract, the Fund agrees to receive from or pay to the
broker an amount of cash equal to the daily
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41
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
fluctuation in value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Fund as unrealized gain or loss. When
the contract is closed, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. The potential risk to the Fund is that the
change in value of the underlying securities may not correlate to the change in
value of the contracts.
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISERS--Until May 31, 1997, the investment adviser of each Fund was
Norwest Bank Minnesota, N.A. ("Norwest"), a subsidiary of Norwest Corporation.
Effective June 1, 1997, Norwest Investment Management, Inc. ("Adviser"), a
wholly owned subsidiary of Norwest became the investment adviser. The Adviser
receives an annual advisory fee from each Fund based on a percentage of average
daily net assets of each Fund. Refer to Exhibit A of Notes to Financial
Statements for a detail listing of the contractual fee arrangements, related fee
waivers and expense reimbursements.
Pursuant to its investment advisory agreements with each Fund or its
administrative services agreement with International Fund, Norwest is obligated
to reimburse each Fund for certain operating expenses (exclusive of interest,
taxes, brokerage fees, fees and other expenses paid pursuant to any distribution
plan and organization expenses, all to the extent permitted by applicable state
law or regulation) which in any year exceed the limits prescribed by any state
in which the Fund's shares are qualified for sale. The Funds' annual expenses
are estimated and accrued daily and any related reimbursements are made monthly
by the Adviser. Pursuant to an agreement among the Adviser, the Trust and
Crestone Capital Management, Inc. ("Crestone"), a subsidiary of Norwest, the
Adviser has delegated certain of its advisory responsibilities to Crestone and
pays Crestone a fee.
The investment adviser of Schroder U.S. Smaller Companies Portfolio and
International Portfolio of Core Trust is Schroder Capital Management
International Inc. ("Schroder"). Small Cap Opportunities Fund and International
Fund may withdraw its investment from Schroder U. S. Smaller Companies Portfolio
and 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 and International Fund make such a
withdrawal, the Trust has retained Schroder to act as investment subadviser.
Neither the Adviser nor Schroder will receive any advisory or subadvisory fees
with respect to Small Cap Opportunities Fund and International Fund as long as
the Fund remains completely invested in Schroder U.S. Smaller Companies
Portfolio and 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 May 31, 1997, 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, ADMINISTRATION AND DISTRIBUTION SERVICES--As manager and distributor
of the Trust, Forum Financial Services, Inc.-Registered Trademark- ("FFSI"), a
registered broker-dealer and a member of the National Association of Securities
Dealers, Inc., receives no payments for its services as distributor. Forum
Administrative Services, Limited Liability Company ("FAS") provides
administrative services for the Funds. For their services FFSI and FAS receives
a management and administrative fee, respectively, in aggregate between 0.10%
and 0.20% of the average daily net assets attributable to each class of each
Fund. In addition, for the period ended May 31, 1997, FAS charged the Trust
legal expenses aggregating $71,430.
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 of Trustees 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, respectively or another investment company.
TRANSFER AGENT, DIVIDEND DISBURSING AGENT AND CUSTODIAN--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
[LOGO]
42
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH
AFFILIATES (CONTINUED)
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
percentages charged for transfer agent and custodian fees.
DISTRIBUTION PLAN--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 FFSI of an annual distribution service fee of 0.75% of the average daily net
assets, and a maintenance fee of 0.25% of the average daily net assets, of each
Fund attributable to B Shares. No Fund incurred any maintenance fees during the
period ended May 31, 1997. 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 a Fund's Class B shareholders or by vote of a majority of the Board
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, a Fund will continue to pay distribution
service fees to FFSI (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 a Fund under the Plan, as
calculated pursuant to the Plan. The respective unreimbursed distribution
charges at May 31, 1997 were as follows: Stable Income Fund, $15,281;
Intermediate Government Income Fund, $153,833; Income Fund, $75,004; Total
Return Bond Fund, $45,378; Tax-Free Income Fund, $105,116; Colorado Tax-Free
Fund, $84,082; Minnesota Tax-Free Fund, $201,660; Income Equity Fund, $908,315;
ValuGrowth-SM- Stock Fund, $119,169; Diversified Equity Fund, $1,132,878; Growth
Equity Fund, $301,051; Small Company Stock Fund, $122,207; Small Cap
Opportunities Fund, $5,656; Contrarian Stock Fund, $20,101; and International
Fund, $51,784.
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 May 31, 1997 attributable to each Blended Funds' investment in the
Blended Portfolios of Core Trust were as follows: Conservative Balanced Fund,
$25,007; Moderate Balanced Fund, $117,499; Growth Balanced Fund, $210,846;
Diversified Equity Fund, $702,317; and Growth Equity Fund $733,628.
OTHER SERVICE PROVIDER--Forum Financial Corp.-Registered Trademark- ("FFC"), an
affiliate of FFSI, provides portfolio accounting services to each Fund pursuant
to a separate agreement.
NOTE 4. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales (including maturities) of securities
(excluding short-term investments) during the year or period ended May 31, 1997
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 the Blended Portfolios, and International Portfolio of Core Trust
and Schroder U.S. Smaller Companies Portfolio of Schroder Capital Funds,
respectively.
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 capital gains, as of May 31, 1997, are
presented in Exhibit B of Notes to Financial Statements.
[LOGO]
43
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 5. PORTFOLIO SECURITIES LOANED
As of May 31, 1997, 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................................ $ 17,579,765 $ 18,196,574
Intermediate Government Income Fund............... 78,761,911 81,594,272
Diversified Bond Fund............................. 27,093,668 28,100,578
Income Fund....................................... 26,619,185 34,020,660
Total Return Bond Fund............................ 31,539,371 32,752,885
Conservative Balanced Fund........................ 12,103,767 12,519,150
Moderate Balanced Fund............................ 43,958,655 45,313,344
Growth Balanced Fund.............................. 40,204,079 41,350,311
Income Equity Fund................................ 67,779,603 69,397,545
ValuGrowth-SM- Stock Fund......................... 56,661,784 60,633,246
Index Fund........................................ 44,242,323 45,424,700
Diversified Equity Fund........................... 95,630,990 98,835,800
Growth Equity Fund................................ 60,713,082 62,864,239
Large Company Growth Fund......................... 11,017,746 11,212,362
Small Company Stock Fund.......................... 35,170,053 36,064,263
Contrarian Stock Fund............................. 1,575,923 1,651,898
</TABLE>
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44
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 6. 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
three years or periods were as follows:
<TABLE>
<CAPTION>
SHARES
OTHER ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
ENDED(a) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
----------------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund
A Shares......................... May 31, 1997 116,433 - 25,455 (519,673) (377,785)
A Shares......................... May 31, 1996 2,512 1,588,229 4,300 (1,609) 1,593,432
B Shares......................... May 31, 1997 68,546 - 2,568 (52,923) 18,191
B Shares......................... May 31, 1996 46,741 38,476 257 (495) 84,979
I Shares......................... May 31, 1997 6,043,926 - 451,686 (3,826,730) 2,668,882
I Shares......................... May 31, 1996 3,171,044 1,646,222 429,364 (1,557,800) 3,688,830
I Shares......................... October 31, 1995 7,185,816 - - (2,699,855) 4,485,961
Intermediate Government
Income Fund
A Shares......................... May 31, 1997 101,046 - 65,443 (485,037) (318,548)
A Shares......................... May 31, 1996 6,716 1,724,803 2,885 (212,965) 1,521,439
B Shares......................... May 31, 1997 143,867 - 32,932 (330,050) (153,251)
B Shares......................... May 31, 1996 579 987,229 1,486 (7,997) 981,297
I Shares......................... May 31, 1997 4,318,750 - 287,445 (7,035,092) (2,428,897)
I Shares......................... May 31, 1996 1,177,241 34,509,135 572,649 (398,252) 35,860,773
I Shares......................... October 31, 1995 208,300 1,038,496 - (436,614) 810,182
Diversified Bond Fund
I Shares......................... May 31, 1997 2,161,872 - 535,458 (2,779,738) (82,408)
I Shares......................... May 31, 1996 985,367 - 456,475 (1,160,178) 281,664
I Shares......................... October 31, 1995 1,885,663 6,596,859 - (2,341,438) 6,141,084
Income Fund
A Shares......................... May 31, 1997 124,580 - 31,742 (197,291) (40,969)
A Shares......................... May 31, 1996 236,584 - 35,126 (323,284) (51,574)
B Shares......................... May 31, 1997 110,014 - 17,044 (121,013) 6,045
B Shares......................... May 31, 1996 93,265 - 16,806 (97,218) 12,853
I Shares......................... May 31, 1997 3,688,038 - 25,996 (5,115,980) (1,401,946)
I Shares......................... May 31, 1996 20,209,039 - 18,760 (2,390,661) 17,837,138
Total Return Bond Fund
A Shares......................... May 31, 1997 170,319 - 18,604 (74,659) 114,264
A Shares......................... May 31, 1996 201,628 - 7,319 (56,614) 152,333
B Shares......................... May 31, 1997 70,772 - 11,735 (66,379) 16,128
B Shares......................... May 31, 1996 157,199 - 9,555 (37,976) 128,778
I Shares......................... May 31, 1997 4,957,128 - 47,176 (4,529,523) 474,781
I Shares......................... May 31, 1996 5,082,461 - 289,805 (2,412,585) 2,959,681
Limited Term Tax-Free Fund
I Shares......................... May 31, 1997 4,012,956 - 3,911 (70,738) 3,946,129
Tax-Free Income Fund
A Shares......................... May 31, 1997 651,520 - 128,315 (1,341,769) (561,934)
A Shares......................... May 31, 1996 844,644 - 170,761 (683,344) 332,061
B Shares......................... May 31, 1997 192,278 - 22,497 (88,841) 125,934
B Shares......................... May 31, 1996 254,385 - 17,185 (48,446) 223,124
I Shares......................... May 31, 1997 4,135,427 - 19,966 (6,547,997) (2,392,604)
I Shares......................... May 31, 1996 21,317,628 - 10,725 (2,717,376) 18,610,977
Colorado Tax-Free Fund
A Shares......................... May 31, 1997 170,726 - 117,975 (297,437) (8,736)
A Shares......................... May 31, 1996 453,951 - 124,490 (474,632) 103,809
B Shares......................... May 31, 1997 100,299 - 21,464 (62,801) 58,962
B Shares......................... May 31, 1996 184,980 - 18,848 (81,822) 122,006
I Shares......................... May 31, 1997 591,668 - 1,678 (492,050) 101,296
I Shares......................... May 31, 1996 638,741 - 1,264 (683,956) (43,951)
</TABLE>
[LOGO]
45
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 6. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
SHARES
OTHER ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
ENDED(a) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
----------------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Minnesota Tax-Free Fund
A Shares......................... May 31, 1997 337,553 - 100,177 (585,949) (148,219)
A Shares......................... May 31, 1996 1,244,834 - 95,738 (246,111) 1,094,461
B Shares......................... May 31, 1997 275,429 - 32,596 (111,982) 196,043
B Shares......................... May 31, 1996 420,449 - 25,555 (76,177) 369,827
I Shares......................... May 31, 1997 818,720 - 5,690 (157,930) 666,480
I Shares......................... May 31, 1996 228,639 - 1,852 (15,455) 215,036
Conservative Balanced Fund
I Shares......................... May 31, 1997 1,988,531 - 488,156 (3,615,308) (1,138,621)
I Shares......................... May 31, 1996 1,455,459 - 425,387 (1,275,154) 605,692
I Shares......................... October 31, 1995 2,035,455 7,514,366 - (2,043,785) 7,506,036
Moderate Balanced Fund
I Shares......................... May 31, 1997 5,665,636 - 1,032,988 (6,939,729) (241,105)
I Shares......................... May 31, 1996 3,798,355 - 907,808 (3,925,457) 780,706
I Shares......................... October 31, 1995 5,463,069 17,749,616 - (4,361,300) 18,851,385
Growth Balanced Fund
I Shares......................... May 31, 1997 6,156,683 - 1,275,712 (8,337,658) (905,263)
I Shares......................... May 31, 1996 5,279,837 - 571,663 (2,273,197) 3,578,303
I Shares......................... October 31, 1995 5,817,900 15,666,998 - (3,838,878) 17,646,020
Income Equity Fund
A Shares......................... May 31, 1997 456,258 - 20,378 (299,650) 176,986
A Shares......................... May 31, 1996 90,978 1,053,473 - (3,514) 1,140,937
B Shares......................... May 31, 1997 487,593 - 8,139 (108,511) 387,221
B Shares......................... May 31, 1996 27,490 602,328 - (977) 628,841
I Shares......................... May 31, 1997 6,080,951 - 69,140 (1,703,263) 4,446,828
I Shares......................... May 31, 1996 1,201,965 5,314,997 69,338 (250,449) 6,335,851
I Shares......................... October 31, 1995 763,606 1,693,544 - (417,088) 2,040,062
ValuGrowth-SM- Stock Fund
A Shares......................... May 31, 1997 129,010 - 76,755 (127,445) 78,320
A Shares......................... May 31, 1996 142,948 - 8,842 (123,725) 28,065
B Shares......................... May 31, 1997 48,421 - 25,310 (35,598) 38,133
B Shares......................... May 31, 1996 66,819 - 2,473 (30,373) 38,919
I Shares......................... May 31, 1997 1,270,685 - 62,286 (1,057,238) 275,733
I Shares......................... May 31, 1996 1,282,430 - 5,183 (1,627,713) (340,100)
Index Fund
I Shares......................... May 31, 1997 8,601,686 - 339,126 (3,875,130) 5,065,682
I Shares......................... May 31, 1996 1,494,825 - 150,066 (446,260) 1,198,631
I Shares......................... October 31, 1995 1,918,980 5,714,937 - (904,812) 6,729,105
Diversified Equity Fund
A Shares......................... May 31, 1997 688,908 - 4,817 (89,797) 603,928
A Shares......................... May 31, 1996 88,731 - - (398) 88,333
B Shares......................... May 31, 1997 875,773 - 3,939 (26,943) 852,769
B Shares......................... May 31, 1996 80,122 - - - 80,122
I Shares......................... May 31, 1997 9,526,934 - 338,461 (6,338,921) 3,526,474
I Shares......................... May 31, 1996 5,447,250 - 1,313,210 (2,902,396) 3,858,064
I Shares......................... October 31, 1995 7,672,804 22,368,531 - (4,207,813) 25,833,522
</TABLE>
[LOGO]
46
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 6. CAPITAL SHARE TRANSACTIONS (CONTINUED)
<TABLE>
<CAPTION>
SHARES
OTHER ISSUED NET
YEAR/PERIOD SHARES SHARES FOR DIVIDEND SHARES INCREASE
ENDED(a) SUBSCRIBED ISSUED REINVESTMENT REDEEMED (DECREASE)
----------------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Growth Equity Fund
A Shares......................... May 31, 1997 468,640 - 7,941 (155,931) 320,650
A Shares......................... May 31, 1996 115,164 - - (382) 114,782
B Shares......................... May 31, 1997 253,247 - 3,244 (10,702) 245,789
B Shares......................... May 31, 1996 24,168 - - - 24,168
I Shares......................... May 31, 1997 8,961,272 - 576,046 (7,274,990) 2,262,328
I Shares......................... May 31, 1996 4,846,652 - 1,651,658 (2,108,869) 4,389,441
I Shares......................... October 31, 1995 7,804,338 15,568,747 - (2,460,406) 20,912,679
Large Company Growth Fund
I Shares......................... May 31, 1997 1,625,992 - 26,366 (658,984) 993,374
I Shares......................... May 31, 1996 471,467 - 26,577 (148,296) 349,748
I Shares......................... October 31, 1995 442,993 3,236,987 - (985,065) 2,694,915
Small Company Stock Fund
A Shares......................... May 31, 1997 192,692 - 30,374 (82,668) 140,398
A Shares......................... May 31, 1996 266,295 - 11,419 (35,555) 242,159
B Shares......................... May 31, 1997 95,993 - 21,752 (40,086) 77,659
B Shares......................... May 31, 1996 216,344 - 8,232 (17,389) 207,187
I Shares......................... May 31, 1997 4,669,144 - 103,596 (2,126,789) 2,645,951
I Shares......................... May 31, 1996 4,695,219 - 19,738 (813,654) 3,901,303
Small Company Growth Fund
I Shares......................... May 31, 1997 4,080,643 - 1,418,007 (2,568,519) 2,930,131
I Shares......................... May 31, 1996 1,838,657 - 972,032 (610,709) 2,199,980
I Shares......................... October 31, 1995 1,653,407 9,475,352 - (1,856,289) 9,272,470
Small Cap Opportunities Fund
A Shares......................... May 31, 1997 26,607 - 3 (276) 26,334
B Shares......................... May 31, 1997 7,998 - 1 - 7,999
I Shares......................... May 31, 1997 4,193,736 - 850 (303,869) 3,890,717
Contrarian Stock Fund
A Shares......................... May 31, 1997 26,510 - 6,299 (116,769) (83,960)
A Shares......................... May 31, 1996 50,267 - 6,560 (25,341) 31,486
B Shares......................... May 31, 1997 6,710 - 7,981 (70,733) (56,042)
B Shares......................... May 31, 1996 20,976 - 5,826 (13,448) 13,354
I Shares......................... May 31, 1997 504,786 - 12,989 (3,042,555) (2,524,780)
I Shares......................... May 31, 1996 1,546,052 - 61,649 (2,481,497) (873,796)
International Fund
A Shares......................... May 31, 1997 65,020 - 731 (16,799) 48,952
A Shares......................... May 31, 1996 45,286 - 344 (3,189) 42,441
B Shares......................... May 31, 1997 35,177 - 87 (8,379) 26,885
B Shares......................... May 31, 1996 28,226 - 426 (229) 28,423
I Shares......................... May 31, 1997 4,508,576 - 68,362 (1,271,670) 3,305,268
I Shares......................... May 31, 1996 2,387,598 - 90,228 (318,244) 2,159,582
I Shares......................... October 31, 1995 1,065,477 5,018,364 - (1,001,990) 5,081,851
</TABLE>
(a) See the related Statements of Changes in Net Assets for the dates of
beginning of period presented.
NOTE 7. MERGER OF FUNDS
On May 17, 1996, Stable Income Fund, Intermediate Government Income Fund and
Income Equity Fund ("Acquiring Funds") acquired all of the assets and
liabilities of Adjustable U.S. Government Reserve Fund, Government Income Fund
and Income Stock Fund ("Target Funds"), respectively, pursuant to a plan of
reorganization and liquidation approved by the shareholders on May 13, 1996. The
acquisition was accomplished by a tax free exchange of assets and liabilities of
the individual Target Funds for shares of 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]
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 7. MERGER OF FUNDS (CONTINUED)
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. GOVERNMENT RESERVE FUND
- ----------------------------------------- --------------------------------------------------------
MAY 17, 1996 UNREALIZED ACCUMULATED MAY 17, 1996
SHARE SHARES PER SHARE GAIN NET GAIN MAY 17, 1996 PER SHARE
CLASS ISSUED VALUE (LOSS) (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.
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 ACCUMULATED MAY 17, 1996
SHARE SHARES PER SHARE UNREALIZED NET GAIN MAY 17, 1996 PER SHARE
CLASS ISSUED VALUE GAIN (LOSS) (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 ACCUMULATED MAY 17, 1996
SHARE SHARES PER SHARE UNREALIZED NET GAIN MAY 17, 1996 PER SHARE
CLASS ISSUED VALUE GAIN (LOSS) (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 8. CONCENTRATION OF RISK
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]
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
EXHIBIT A--ADDITIONAL EXPENSE INFORMATION
<TABLE>
<CAPTION>
FEES FEES WAIVED
--------------------- -------------------------------------------------
CUSTODIAN CUSTODIAN EXPENSES
AND AND REIMBURSED
TRANSFER TRANSFER BY FFSI/
ADVISORY AGENT AGENT ADVISER FFSI/ FAS FAS
--------- --------- --------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Stable Income Fund................................ 0.30% 0.25% $ - $ - $ 139,629 $ 37,104
Intermediate Government........................... 0.33% 0.25% - - 225,379 10,086
Diversified Bond Fund............................. 0.35% 0.25% - - 126,124 -
Income Fund....................................... 0.50% 0.27%(d) 42,720 277,198 462,242 12,233
Total Return Bond Fund............................ 0.50% 0.27%(d) 16,109 357,998 39,458 5,263
Limited Term Tax-Free Fund........................ 0.50% 0.27%(d) 29,034 63,145 17,748 643
Tax-Free Income Fund.............................. 0.50% 0.27%(d) 45,760 1,236,539 360,797 2,478
Colorado Tax-Free Fund............................ 0.50%(a) 0.27%(d) 64,397 238,690 124,303 -
Minnesota Tax-Free Fund........................... 0.50%(a) 0.27%(d) 12,369 190,702 83,831 -
Conservative Balanced Fund........................ 0.45% 0.25% - - 132,242 -
Moderate Balanced Fund............................ 0.53% 0.25% - - 296,544 -
Growth Balanced Fund.............................. 0.58% 0.25% - - 320,626 -
Income Equity Fund................................ 0.50% 0.25% - - 302,122 2,423
ValuGrowth-SM- Stock Fund......................... 0.80%(b) 0.27%(d) 354,187 18,446 249,323 3,977
Index Fund........................................ 0.15% 0.25% 726,141 212,327 222,151 -
Diversified Equity Fund........................... 0.65% 0.25% - - 816,052 28,254
Growth Equity Fund................................ 0.90% 0.25% - - 593,677 18,150
Large Company Growth Fund......................... 0.65% 0.25% - - 98,645 -
Small Company Stock Fund.......................... 1.00%(c) 0.27%(d) 27,229 419,413 119,270 1,760
Small Company Growth Fund......................... 0.90% 0.25% - - 191,180 -
Small Cap Opportunities Fund...................... - 0.25% 26,869 - 52,890 75,126
Contrarian Stock Fund............................. 0.80%(b) 0.27%(d) 7,908 61,290 38,075 10,588
International Fund................................ - 0.25% - - 20,269 5,613
<CAPTION>
TOTAL FEES
WAIVED AND
EXPENSES
REIMBURSED
----------
<S> <C>
Stable Income Fund................................ $ 176,733
Intermediate Government........................... 235,465
Diversified Bond Fund............................. 126,124
Income Fund....................................... 794,393
Total Return Bond Fund............................ 418,828
Limited Term Tax-Free Fund........................ 110,570
Tax-Free Income Fund.............................. 1,645,574
Colorado Tax-Free Fund............................ 427,390
Minnesota Tax-Free Fund........................... 286,902
Conservative Balanced Fund........................ 132,242
Moderate Balanced Fund............................ 296,544
Growth Balanced Fund.............................. 320,626
Income Equity Fund................................ 304,545
ValuGrowth-SM- Stock Fund......................... 625,933
Index Fund........................................ 1,160,619
Diversified Equity Fund........................... 844,306
Growth Equity Fund................................ 611,827
Large Company Growth Fund......................... 98,645
Small Company Stock Fund.......................... 567,672
Small Company Growth Fund......................... 191,180
Small Cap Opportunities Fund...................... 154,885
Contrarian Stock Fund............................. 117,861
International Fund................................ 25,882
</TABLE>
(a) For the first $300 million of average net assets of the Fund, declining to
0.42% for average net assets in excess of $700 million.
(b) For the first $300 million of average net assets of the Fund, declining to
0.72% for average net assets in excess of $700 million.
(c) For the first $300 million of average net assets of the Fund, declining to
0.92% for average net assets in excess of $700 million.
(d) In addition to the transfer agent fee, the custody fee is 0.02% for the
first $100 million of average net assets of the Fund, declining to 0.01% for
average net assets in excess of $200 million.
EXHIBIT B--ADDITIONAL INVESTMENT/SECURITIES INFORMATION
<TABLE>
<CAPTION>
COST PROCEEDS UNREALIZED
OF FROM -------------------------------------------------
PURCHASES SALES APPRECIATION DEPRECIATION NET
--------------- --------------- --------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Stable Income Fund.................. $ 93,877,187 $ 42,347,088 $ 423,936 $ 549,841 $ (125,905)
Intermediate Government............. 735,498,264 763,123,395 892,820 4,760,934 (3,868,114)
Diversified Bond Fund............... 106,794,416 91,067,995 754,187 1,740,243 (986,056)
Income Fund......................... 624,246,012 644,170,783 522,879 3,452,947 (2,930,068)
Total Return Bond Fund.............. 75,126,355 69,740,019 1,467,528 2,366,751 (899,223)
Limited Term Tax-Free Fund.......... 40,317,691 4,363,327 170,270 23,026 147,244
Tax-Free Income Fund................ 439,853,286 489,007,051 8,168,233 98,175 8,070,058
Colorado Tax-Free Fund.............. 76,212,571 73,517,493 1,730,236 4,750 1,725,486
Minnesota Tax-Free Fund............. 44,856,643 39,212,507 1,164,279 21,079 1,143,200
Conservative Balanced Fund.......... 83,612,549 84,928,006 13,550,783 1,492,459 12,058,324
Moderate Balanced Fund.............. 232,387,906 175,594,361 65,667,463 5,360,103 60,307,360
Growth Balanced Fund................ 143,964,210 103,836,606 120,621,931 7,222,969 113,398,962
Income Equity Fund.................. 158,804,157 17,361,838 128,237,480 5,760,379 122,477,101
ValuGrowth-SM- Stock Fund........... 136,749,305 145,189,672 59,218,979 2,184,820 57,034,159
Index Fund.......................... 246,655,053 84,010,473 120,656,399 5,250,731 115,405,668
Diversified Equity Fund............. 1,244,114,721 498,741,325 406,174,621 16,660,580 389,514,041
Growth Equity Fund.................. 78,159,120 72,001,699 237,822,576 20,282,608 217,539,968
Large Company Growth Fund........... 50,741,206 23,584,791 44,897,263 1,429,777 43,467,486
Small Company Stock Fund............ 319,280,858 296,587,827 26,671,583 2,012,525 24,659,058
Small Company Growth Fund........... 501,296,064 462,168,194 86,453,834 6,557,523 79,896,311
Small Cap Opportunities Fund........ - - 8,648,162 1,485,815 7,162,347
Contrarian Stock Fund............... 2,590,052 30,158,600 1,468,123 521,058 947,065
International Fund.................. - - 40,856,269 7,454,579 33,401,690
<CAPTION>
CAPITAL
TAX LOSS
COST BASIS CARRYOVERS(a)
-------------- -------------
<S> <C> <C>
Stable Income Fund.................. $ 122,977,915 $ 7,288,543
Intermediate Government............. 391,945,399 24,283,206
Diversified Bond Fund............... 160,696,032 171,595
Income Fund......................... 267,596,354 17,757,682
Total Return Bond Fund.............. 130,220,831 466,225
Limited Term Tax-Free Fund.......... 40,235,444 -
Tax-Free Income Fund................ 285,291,657 8,242,972
Colorado Tax-Free Fund.............. 59,226,384 836,690
Minnesota Tax-Free Fund............. 46,068,990 446,909
Conservative Balanced Fund.......... 115,458,688 -
Moderate Balanced Fund.............. 354,888,411 -
Growth Balanced Fund................ 387,342,094 -
Income Equity Fund.................. 377,731,534 -
ValuGrowth-SM- Stock Fund........... 148,849,902 -
Index Fund.......................... 398,316,298 -
Diversified Equity Fund............. 880,665,132 -
Growth Equity Fund.................. 699,354,041 -
Large Company Growth Fund........... 88,325,166 -
Small Company Stock Fund............ 149,901,088 -
Small Company Growth Fund........... 366,967,479 -
Small Cap Opportunities Fund........ 70,122,133 -
Contrarian Stock Fund............... 6,935,671 1,600,098
International Fund.................. 198,745,656 658,163
</TABLE>
(a) Expiring in various years through 2005.
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49
<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 May 31, 1997............... $10.20 $ 0.58 $ 0.04 $(0.58) $ - $10.24
May 2, 1996 to May 31, 1996................ 10.22 0.02 - (0.04) - 10.20
B SHARES
June 1, 1996 to May 31, 1997............... 10.20 0.52 0.02 (0.50) - 10.24
May 17, 1996 to May 31, 1996............... 10.23 0.02 (0.01) (0.04) - 10.20
I SHARES
June 1, 1996 to May 31, 1997............... 10.20 0.58 0.04 (0.58) - 10.24
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 May 31, 1997............... 10.89 0.73 (0.05) (0.73) - 10.84
May 2, 1996 to May 31, 1996................ 10.89 0.03 - (0.03) - 10.89
B SHARES
June 1, 1996 to May 31, 1997............... 10.89 0.64 (0.05) (0.65) - 10.83
May 17, 1996 to May 31, 1996 10.97 0.03 (0.08) (0.03) - 10.89
I SHARES
June 1, 1996 to May 31, 1997............... 10.89 0.72 (0.04) (0.73) - 10.84
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(d)... 11.11 0.93 0.36 - - 12.40
DIVERSIFIED BOND FUND
- -------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31, 1997............... 26.03 1.59 0.01 (1.69) (0.34) 25.60
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 May 31, 1997............... 9.27 0.62 - (0.62) - 9.27
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
B SHARES
June 1, 1996 to May 31, 1997............... 9.26 0.55 - (0.55) - 9.26
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 May 31, 1997............... 9.26 0.62 0.01 (0.62) - 9.27
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 May 31, 1997............... 9.40 0.60 0.03 (0.60) (0.03) 9.40
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 May 31, 1997............... 9.40 0.53 0.05 (0.53) (0.03) 9.42
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 May 31, 1997............... 9.40 0.60 0.04 (0.60) (0.03) 9.41
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 May 31, 1997............ 10.00 0.31 0.39 (0.31) - 10.39
</TABLE>
[LOGO]
See Notes to Financial Statements.
50
<PAGE>
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS NET ASSETS AT
------------------------------------------- PORTFOLIO END OF PERIOD AVERAGE
NET INVESTMENT NET GROSS TOTAL TURNOVER (000'S COMMISSION
INCOME (LOSS) EXPENSES EXPENSES(b) RETURN(f) RATE OMITTED) RATE(c)
--------------- ---------- ------------ ------------ ----------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
STABLE INCOME FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997................. 5.69% 0.65% 0.87% 6.24% 41.30% $ 12,451 N/A
May 2, 1996 to May 31,
1996................. 5.77%(a) 0.70%(a) 2.22%(a) 0.23% 109.95% 16,256 N/A
B SHARES
June 1, 1996 to May 31,
1997................. 4.96% 1.39% 2.89% 5.43% 41.30% 1,056 N/A
May 17, 1996 to May 31,
1996................. 5.02%(a) 1.42%(a) 3.07%(a) 0.12% 109.95% 867 N/A
I SHARES
June 1, 1996 to May 31,
1997................. 5.73% 0.65% 0.79% 6.24% 41.30% 111,030 N/A
November 1, 1995 to May
31, 1996............. 5.74%(a) 0.65%(a) 0.92%(a) 2.97% 109.95% 83,404 N/A
November 11, 1994 to
October 31, 1995..... 5.91%(a) 0.65%(a) 0.98%(a) 7.20% 115.85% 48,087 N/A
INTERMEDIATE GOVERNMENT INCOME FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997................. 6.58% 0.68% 0.80% 6.36% 183.05% 13,038 N/A
May 2, 1996 to May 31,
1996................. 7.32%(a) 0.75%(a) 1.74%(a) 0.26% 74.64% 16,562 N/A
B SHARES
June 1, 1996 to May 31,
1997................. 5.80% 1.42% 1.85% 5.51% 183.05% 8,970 N/A
May 17, 1996 to May 31,
1996 5.56%(a) 1.35%(a) 2.65%(a) (0.49%) 74.64% 10,682 N/A
I SHARES
June 1, 1996 to May 31,
1997................. 6.57% 0.68% 0.72% 6.36% 183.05% 371,278 N/A
November 1, 1995 to May
31, 1996............. 6.71%(a) 0.71%(a) 1.17%(a) 0.60% 74.64% 399,324 N/A
November 11, 1994 to
October 31,
1995(d).............. 7.79%(a) 0.68%(a) 0.93%(a) 11.58% 240.90% 50,213 N/A
DIVERSIFIED BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997................. 6.19% 0.70% 0.77% 6.23% 57.19% 162,310 N/A
November 1, 1995 to May
31, 1996............. 6.78%(a) 0.70%(a) 0.77%(a) 0.22% 118.92% 167,159 N/A
November 11, 1994 to
October 31, 1995..... 5.87%(a) 0.67%(a) 0.82%(a) 11.32% 58.90% 171,453 N/A
INCOME FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997................. 6.59% 0.75% 1.17% 6.79% 231.00% 5,142 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
B SHARES
June 1, 1996 to May 31,
1997................. 5.87% 1.50% 2.25% 6.03% 231.00% 3,349 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%(a) 1.33%(a) 2.08%(a) (4.82%)(a) 26.67% 2,605 N/A
I SHARES
June 1, 1996 to May 31,
1997................. 6.59% 0.75% 1.02% 6.90% 231.00% 258,207 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%(a) 0.61%(a) 1.09%(a) (4.04%)(a) 26.67% 93,665 N/A
TOTAL RETURN BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997................. 6.37% 0.75% 1.31% 6.84% 55.07% 3,086 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%(a) 0.37%(a) 13.29%(a) (4.64%)(a) 37.50% 150 N/A
B SHARES
June 1, 1996 to May 31,
1997................. 5.61% 1.49% 2.37% 6.27% 55.07% 2,254 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%(a) 1.11%(a) 8.29%(a) (5.23%)(a) 37.50% 186 N/A
I SHARES
June 1, 1996 to May 31,
1997................. 6.36% 0.75% 1.05% 6.95% 55.07% 125,437 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%(a) 0.46%(a) 2.10%(a) (4.62%)(a) 37.50% 11,694 N/A
LIMITED TERM TAX-FREE FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
I SHARES
October 1, 1996 to May
31, 1997............. 4.45%(a) 0.65%(a) 1.27%(a) 6.99% 16.39% 40,990 N/A
</TABLE>
[LOGO]
51
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<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>
TAX-FREE INCOME FUND
- ----------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31, 1997............... $ 9.78 $ 0.54 $ 0.27 $(0.54) $ - $10.05
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
B SHARES
June 1, 1996 to May 31, 1997............... 9.78 0.46 0.27 (0.46) - 10.05
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 May 31, 1997............... 9.78 0.54 0.28 (0.54) - 10.06
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 May 31, 1997............... 9.89 0.54 0.33 (0.54) - 10.22
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 May 31, 1997............... 9.90 0.47 0.33 (0.47) - 10.23
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 May 31, 1997............... 9.89 0.54 0.33 (0.54) - 10.22
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 May 31, 1997............... 10.30 0.54 0.27 (0.54) - 10.57
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
B SHARES
June 1, 1996 to May 31, 1997............... 10.30 0.46 0.27 (0.46) - 10.57
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 May 31, 1997............... 10.30 0.54 0.27 (0.54) - 10.57
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 May 31, 1997............... 18.12 0.97 0.71 (0.95) (0.38) 18.47
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 May 31, 1997............... 20.27 0.77 1.60 (0.76) (0.29) 21.59
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
</TABLE>
[LOGO]
See Notes to Financial Statements.
52
<PAGE>
SELECTED DATA FOR A SHARE OUTSTANDING DURING EACH PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO TO AVERAGE NET ASSETS NET ASSETS
---------------------------------------- AT
NET END OF
INVESTMENT PORTFOLIO PERIOD AVERAGE
INCOME NET GROSS TOTAL TURNOVER (000'S COMMISSION
(LOSS) EXPENSES EXPENSES(b) RETURN(f) RATE OMITTED) RATE(c)
---------- --------- -------- -------- -------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
TAX-FREE INCOME FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 5.41% 0.50% 1.06% 8.43% 152.33% $29,217 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
B SHARES
June 1, 1996 to May 31,
1997...................... 4.64% 1.26% 2.15% 7.63% 152.33% 7,329 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%(a) 1.31%(a) 2.24%(a) (0.98%)(a) 116.54% 2,674 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... 5.40% 0.50% 1.03% 8.54% 152.33% 259,861 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%(a) 0.60%(a) 1.10%(a) (0.21%)(a) 116.54% 102,084 N/A
COLORADO TAX-FREE FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 5.36% 0.45% 1.14% 9.00% 129.26% 27,806 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 May 31,
1997...................... 4.60% 1.20% 2.15% 8.19% 129.26% 7,218 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%(a) 0.85%(a) 2.24%(a) 0.27%(a) 40.92% 4,494 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... 5.35% 0.45% 1.13% 9.00% 129.26% 25,917 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%(a) 0.11%(a) 1.21%(a) 0.90%(a) 40.92% 15,153 N/A
MINNESOTA TAX-FREE FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 5.11% 0.60% 1.21% 7.98% 96.68% 25,739 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
B SHARES
June 1, 1996 to May 31,
1997...................... 4.35% 1.34% 2.21% 7.18% 96.68% 11,128 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%(a) 1.31%(a) 2.45%(a) (0.58%)(a) 84.23% 2,485 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... 5.12% 0.60% 1.23% 7.98% 96.68% 11,135 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%(a) 0.61%(a) 1.54%(a) 0.29%(a) 84.23% 872 N/A
CONSERVATIVE BALANCED FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... 4.38%(e) 0.81%(e) 0.98%(e) 9.58% 72.03% 128,777 $ 0.0720
November 1, 1995 to May 31,
1996...................... 4.65%(a)(e) 0.82%(a)(e) 0.97%(a)(e) 5.14% 56.47% 146,950 0.0648
November 11, 1994 to October
31, 1995.................. 4.67%(a)(e) 0.82%(a)(e) 1.03%(a)(e) 12.48% 65.53% 136,710 N/A
MODERATE BALANCED FUND
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... 3.70%(e) 0.88%(e) 1.04%(e) 12.04% 45.33% 418,680 0.0684
November 1, 1995 to May 31,
1996...................... 3.95%(a)(e) 0.90%(a)(e) 1.04%(a)(e) 7.03% 52.71% 398,005 0.0658
November 11, 1994 to October
31, 1995.................. 3.76%(a)(e) 0.92%(a)(e) 1.11%(a)(e) 15.01% 62.08% 373,998 N/A
</TABLE>
[LOGO]
53
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<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>
GROWTH BALANCED FUND
- -------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31, 1997............... $22.83 $ 0.62 $ 2.86 $(0.63) $(0.91) $24.77
November 1, 1995 to May 31, 1996........... 21.25 0.31 1.95 (0.51) (0.17) 22.83
November 11, 1994 to October 31, 1995...... 17.95 0.47 2.83 - - 21.25
INCOME EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31, 1997............... 27.56 0.57 5.54 (0.51) - 33.16
May 2, 1996 to May 31, 1996................ 26.94 0.07 0.55 - - 27.56
B SHARES
June 1, 1996 to May 31, 1997............... 27.54 0.36 5.52 (0.33) - 33.09
May 2, 1996 to May 31, 1996................ 26.94 0.02 0.58 - - 27.54
I SHARES
June 1, 1996 to May 31, 1997............... 27.56 0.56 5.55 (0.51) - 33.16
November 1, 1995 to May 31, 1996........... 24.02 0.29 4.02 (0.69) (0.08) 27.56
November 11, 1994 to October 31, 1995...... 18.90 0.46 4.66 - - 24.02
VALUGROWTH-SM- STOCK FUND
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31, 1997............... 22.63 0.17 4.80 (0.13) (2.41) 25.06
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
B SHARES
June 1, 1996 to May 31, 1997............... 22.28 0.01 4.68 (0.01) (2.41) 24.55
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 May 31, 1997............... 22.61 0.16 4.80 (0.13) (2.41) 25.03
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 May 31, 1997............... 31.49 0.49 8.50 (0.48) (0.51) 39.49
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 May 31, 1997............... 30.56 0.20 6.10 (0.16) (0.19) 36.51
May 2, 1996 to May 31, 1996................ 29.89 0.02 0.65 - - 30.56
B SHARES
June 1, 1996 to May 31, 1997............... 30.54 0.03 6.00 (0.07) (0.19) 36.31
May 6, 1996 to May 31, 1996................ 29.41 0.02 1.11 - - 30.54
I SHARES
June 1, 1996 to May 31, 1997............... 30.55 0.25 6.05 (0.16) (0.19) 36.50
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 May 31, 1997............... 29.08 (0.02) 4.06 (0.04) (0.59) 32.49
May 2, 1996 to May 31, 1996................ 28.50 - 0.58 - - 29.08
B SHARES
June 1, 1996 to May 31, 1997............... 29.07 (0.13) 3.93 - (0.59) 32.28
May 6, 1996 to May 31, 1996................ 28.18 - 0.89 - - 29.07
I SHARES
June 1, 1996 to May 31, 1997............... 29.08 (0.02) 4.05 (0.04) (0.59) 32.48
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
</TABLE>
[LOGO]
See Notes to Financial Statements.
54
<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(b) RETURN(f) RATE (000'S OMITTED) RATE(c)
---------------- -------- ----------- --------- -------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... 2.47%(e) 0.94%(e) 1.16%(e) 15.81% 24.33% $ 503,382 $0.0676
November 1, 1995 to May 31,
1996...................... 2.66%(a)(e) 0.98%(a)(e) 1.16%(a)(e) 10.87% 38.78% 484,641 0.0696
November 11, 1994 to October
31, 1995.................. 2.63%(a)(e) 0.99%(a)(e) 1.23%(a)(e) 18.38% 41.04% 374,892 N/A
INCOME EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 1.95% 0.85% 0.93% 22.40% 4.76% 43,708 0.0792
May 2, 1996 to May 31,
1996...................... 3.69%(a) 0.91%(a) 1.91%(a) 2.30% 0.69% 31,448 0.0942
B SHARES
June 1, 1996 to May 31,
1997...................... 1.24% 1.59% 1.96% 21.48% 4.76% 33,626 0.0792
May 2, 1996 to May 31,
1996...................... 2.92%(a) 1.72%(a) 2.63%(a) 2.23% 0.69% 17,318 0.0942
I SHARES
June 1, 1996 to May 31,
1997...................... 1.97% 0.85% 0.90% 22.40% 4.76% 425,197 0.0792
November 1, 1995 to May 31,
1996...................... 2.72%(a) 0.86%(a) 1.13%(a) 18.14% 0.69% 230,831 0.0942
November 11, 1994 to October
31, 1995.................. 2.51%(a) 0.85%(a) 1.12%(a) 27.09% 7.03% 49,000 N/A
VALUGROWTH-SM- STOCK FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 0.70% 1.01% 1.39% 23.32% 75.50% 18,830 0.0781
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
B SHARES
June 1, 1996 to May 31,
1997...................... (0.07%) 1.76% 2.48% 22.33% 75.50% 6,591 0.0781
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%(a) 1.95%(a) 2.55%(a) 2.36%(a) 86.07% 2,218 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... 0.67% 1.01% 1.33% 23.30% 75.50% 180,204 0.0781
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%(a) 1.20%(a) 1.39%(a) 2.99%(a) 86.07% 113,061 N/A
INDEX FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... 2.10% 0.25% 0.56% 29.02% 24.17% 513,134 0.0417
November 1, 1995 to May 31,
1996...................... 2.25%(a) 0.31%(a) 0.57%(a) 16.27% 9.12% 249,644 0.0517
November 11, 1994 to October
31, 1995.................. 2.12%(a) 0.50%(a) 0.64%(a) 26.93% 14.48% 186,197 N/A
DIVERSIFIED EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 0.81%(e) 1.02%(e) 1.40%(e) 20.75% 48.08% 25,271 0.0626
May 2, 1996 to May 31,
1996...................... 1.88%(a)(e) 1.52%(a)(e) 4.06%(a)(e) 2.24% 5.76% 2,699 0.0671
B SHARES
June 1, 1996 to May 31,
1997...................... 0.09%(e) 1.76%(e) 2.41%(e) 19.86% 48.08% 33,870 0.0626
May 6, 1996 to May 31,
1996...................... 1.24%(a)(e) 2.37%(a)(e) 4.95%(a)(e) 3.84% 5.76% 2,447 0.0671
I SHARES
June 1, 1996 to May 31,
1997...................... 0.79%(e) 1.02%(e) 1.31%(e) 20.76% 48.08% 1,212,565 0.0626
November 1, 1995 to May 31,
1996...................... 1.00%(a)(e) 1.06%(a)(e) 1.30%(a)(e) 16.38% 5.76% 907,223 0.0671
November 11, 1994 to October
31, 1995.................. 1.01%(a)(e) 1.09%(a)(e) 1.37%(a)(e) 23.95% 10.33% 711,111 N/A
GROWTH EQUITY FUND
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... (0.12%)(e) 1.30%(e) 1.95%(e) 14.11% 9.06% 14,146 0.0565
May 2, 1996 to May 31,
1996...................... 0.34%(a)(e) 2.08%(a)(e) 6.40%(a)(e) 2.04% 7.39% 3,338 0.0617
B SHARES
June 1, 1996 to May 31,
1997...................... (0.82%)(e) 2.04%(e) 3.02%(e) 13.28% 9.06% 8,713 0.0565
May 6, 1996 to May 31,
1996...................... (0.40%)(a)(e) 2.92%(a)(e) 7.44%(a)(e) 3.16% 7.39% 703 0.0617
I SHARES
June 1, 1996 to May 31,
1997...................... (0.09%)(e) 1.30%(e) 1.84%(e) 14.11% 9.06% 895,420 0.0565
November 1, 1995 to May 31,
1996...................... 0.01%(a)(e) 1.35%(a)(e) 1.85%(a)(e) 15.83% 7.39% 735,728 0.0617
November 11, 1994 to October
31, 1995.................. (0.11%)(a)(e) 1.38%(a)(e) 1.92%(a)(e) 21.10% 8.90% 564,004 N/A
</TABLE>
[LOGO]
55
<PAGE>
FINANCIAL HIGHLIGHTS (CONCLUDED)
- --------------------------------------------------------------------------------
<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>
LARGE COMPANY GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31, 1997............... $ 26.97 $(0.03) $ 5.91 - $(0.22) $32.63
November 1, 1995 to May 31, 1996........... 23.59 (0.04) 3.64 - (0.22) 26.97
November 11, 1994 to October 31, 1995...... 18.50 (0.05) 5.14 - - 23.59
SMALL COMPANY STOCK FUND
- ------------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31, 1997............... 14.02 (0.04) 0.88 - (0.91) 13.95
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 May 31, 1997............... 13.83 (0.11) 0.82 - (0.91) 13.63
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 May 31, 1997............... 13.96 (0.04) 0.87 - (0.91) 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 May 31, 1997............... 33.00 (0.18) 1.83 - (3.57) 31.08
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 OPPORTUNITIES FUND
- ------------------------------------------------------------------------------------------------------------------------------------
A SHARES
October 9, 1996 to May 31, 1997............ 17.39 (0.01) 2.46 - (0.01) 19.83
B SHARES
November 8, 1996 to May 31, 1997........... 17.41 (0.05) 2.40 - (0.01) 19.75
I SHARES
August 15, 1996 to May 31, 1997............ 16.26 (0.01) 3.60 - (0.01) 19.84
CONTRARIAN STOCK FUND
- ------------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31, 1997............... 10.82 0.09 1.03 (0.08) (1.61) 10.25
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 May 31, 1997............... 19.82 0.10 1.94 (0.20) - 21.66
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 May 31, 1997............... 19.71 (0.06) 1.93 (0.03) - 21.55
November 1, 1995 to May 31, 1996........... 17.91 0.25 1.83 (0.28) - 19.71
May 12, 1995 to October 31, 1995........... 17.20 0.01 0.70 - - 17.91
I SHARES
June 1, 1996 to May 31, 1997............... 19.84 0.09 1.94 (0.20) - 21.67
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.
56
<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(b) RETURN(f) RATE (000'S OMITTED) RATE(c)
---------------- -------- ----------- --------- ---------- --------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
LARGE COMPANY GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... (0.18%) 0.99% 1.09% 21.93% 24.37% $131,768 $0.0564
November 1, 1995 to May 31,
1996...................... (0.30%)(a) 1.00%(a) 1.13%(a) 15.40% 16.93% 82,114 0.0616
November 11, 1994 to October
31, 1995.................. (0.23%)(a) 1.00%(a) 1.20%(a) 27.51% 31.60% 63,567 N/A
SMALL COMPANY STOCK FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... (0.38%) 1.19% 1.67% 6.34% 210.19% 7,355 0.0774
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%(a) 0.22%(a) 10.66%(a) (1.98%)(a) 14.98% 265 N/A
B SHARES
June 1, 1996 to May 31,
1997...................... (1.13%) 1.94% 2.73% 5.46% 210.19% 5,125 0.0774
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%(a) 0.98%(a) 20.87%(a) (2.77%)(a) 14.98% 195 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... (0.38%) 1.19% 1.56% 6.30% 210.19% 161,995 0.0774
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%(a) 0.20%(a) 4.33%(a) (2.93%)(a) 14.98% 9,251 N/A
SMALL COMPANY GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... (0.71%) 1.24% 1.29% 5.65% 124.03% 447,580 0.0565
November 1, 1995 to May 31,
1996...................... (0.41%)(a) 1.25%(a) 1.29%(a) 21.43% 62.06% 378,546 0.0583
November 11, 1994 to October
31, 1995.................. (0.47%)(a) 1.25%(a) 1.35%(a) 37.07% 106.55% 278,058 N/A
SMALL CAP OPPORTUNITIES FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
A SHARES
October 9, 1996 to May 31,
1997...................... (0.18%)(a)(e) 1.25%(a)(e) 10.51%(a)(e) 11.37%(h) 34.45%(g) 522 0.0584(g)
B SHARES
November 8, 1996 to May 31,
1997...................... (0.99%)(a)(e) 2.06%(a)(e) 27.27%(a)(e) 13.53% 34.45%(g) 158 0.0584(g)
I SHARES
August 15, 1996 to May 31,
1997...................... (0.16%)(a)(e) 1.25%(a)(e) 1.89%(a)(e) 11.42%(h) 34.45%(g) 77,174 0.0584(g)
CONTRARIAN STOCK FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
I SHARES
June 1, 1996 to May 31,
1997...................... 0.81% 1.19% 1.72% 13.02% 13.36% 8,260 0.0472
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%(a) 0.62%(a) 3.52%(a) (5.35%)(a) 2.67% 4,548 N/A
INTERNATIONAL FUND
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
A SHARES
June 1, 1996 to May 31,
1997...................... 0.42%(e) 1.43%(e) 1.72%(e) 10.33% 48.23%(g) 2,240 0.0202(g)
November 1, 1995 to May 31,
1996...................... 0.92%(a)(e) 1.50%(a)(e) 2.51%(a)(e) 12.31% 14.12%(g) 1,080 0.0325(g)
April 12, 1995 to October
31, 1995.................. 0.26%(a)(e) 1.32%(a)(e) 20.95%(a)(e) 8.91% 29.41%(g) 216 N/A
B SHARES
June 1, 1996 to May 31,
1997...................... (0.34%)(e) 2.18%(e) 2.76%(e) 9.44% 48.23%(g) 1,667 0.0202(g)
November 1, 1995 to May 31,
1996...................... (0.02%)(a)(e) 2.25%(a)(e) 3.11%(a)(e) 11.79% 14.12%(g) 995 0.0325(g)
May 12, 1995 to October 31,
1995...................... 0.17%(a)(e) 1.27%(a)(e) 14.57%(a)(e) 4.30% 29.41%(g) 395 N/A
I SHARES
June 1, 1996 to May 31,
1997...................... 0.40%(e) 1.43%(e) 1.44%(e) 10.27% 48.23%(g) 228,552 0.0202(g)
November 1, 1995 to May 31,
1996...................... 0.60%(a)(e) 1.50%(a)(e) 1.52%(a)(e) 12.31% 14.12%(g) 143,643 0.0325(g)
November 11, 1994 to October
31, 1995.................. 0.54%(a)(e) 1.50%(a)(e) 1.66%(a)(e) 4.11% 29.41%(g) 91,401 N/A
</TABLE>
[LOGO]
57
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(a) Annualized.
(b) 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, International Fund and Small Cap Opportunities Fund, the absence of
waivers and reimbursements from the Funds and the Blended Portfolios of Core
Trust (Delaware) and Schroder U.S. Smaller Companies Portfolios of Schroder
Capital Funds, respectively. See note 1 of notes to financial statements.
(c) For the fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose average commission per share paid to brokers on the
purchase and sale of equity securities.
(d) Adjusted for a five to one stock split.
(e) Includes expenses allocated from Index Portfolio, Small Company Portfolio,
International Portfolio, and International Portfolio II of Core Trust
(Delaware) and Schroder U.S. Smaller Companies Portfolio of Schroder Capital
Funds.
(f) Total return calculations do not include any sales charges.
(g) The portfolio turnover rate and the average commission rate represents the
activity from their investments in their respective Portfolios.
(h) The Fund currently seeks to achieve its investment objective by investing
all of its investment assets in Schroder U.S. Smaller Companies Portfolio
("Portfolio"), a separate portfolio of a registered open-end management
company with an identical investment objective. Accordingly, the Small Cap
Opportunities Fund's investment experience will correspond with the
Portfolio's investment experience.
[LOGO]
See Notes to Financial Statements.
58
<PAGE>
SUPPLEMENTARY INFORMATION MAY 31, 1997
- --------------------------------------------------------------------------------
PROXY VOTE (UNAUDITED)
The proxy had nine proposals of which the following relate to the funds in this
report.
PROPOSAL 1. ELECTION OF TRUSTEES. (FOR SHAREHOLDERS OF ALL FUNDS)
Each trustee or nominee was elected by shareholders. The vote is listed below.
<TABLE>
<CAPTION>
FOR WITHHELD
-------------- -----------
<S> <C> <C>
Robert C. Brown............................................... 4,115,622,828 70,716,413
Donald Burkhardt.............................................. 4,115,554,881 70,784,360
James C. Harris............................................... 4,115,562,074 70,777,167
John Y. Keffer................................................ 4,115,619,839 70,718,523
Richard M. Leach.............................................. 4,115,622,828 70,716,413
John S. McCune................................................ 4,115,617,629 70,721,612
Timothy J. Penny.............................................. 4,115,622,828 70,716,413
Donald Willeke................................................ 4,115,611,783 70,727,458
</TABLE>
PROPOSAL 2. RATIFICATION OF THE SELECTION OF KPMG PEAT MARWICK LLP AS
INDEPENDENT AUDITORS OF THE TRUST FOR THE FISCAL YEAR ENDING MAY 31, 1997 (FOR
SHAREHOLDERS OF ALL FUNDS).
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ----------- -------------
<S> <C> <C> <C>
Total.................................................... 4,089,939,735 32,437,547 62,986,468
</TABLE>
PROPOSAL 3.
To approve amendements to certain fundamental investment policies to permit the
Fund to invest all or a portion of its assets in one or more investment
companies and approve related amendments to each Fund's investment advisory
agreement.
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Stable Income Fund...................... 7,860,066 162,828 198,945
Intermediate Government Income Fund..... 31,151,216 1,961,026 1,321,925
Diversified Bond Fund................... 5,216,858 35,624 128,883
Income Fund............................. 24,108,437 367,266 507,138
Total Return Bond Fund.................. 6,524,692 185,732 1,192,553
Limited Term Tax-Free Fund.............. 2,333,388 - -
Tax-Free Income Fund.................... 22,818,523 330,610 2,483,878
Colorado Tax-Free Fund.................. 3,694,108 176,620 189,673
Minnesota Tax-Free Fund................. 1,727,002 28,365 183,987
Conservative Balanced Fund.............. 5,281,834 792,739 -
Moderate Balanced Fund.................. 10,814,385 913,799 6,438,122
Growth Balanced Fund.................... 16,437,908 3,294 37,883
Income Equity Fund...................... 8,960,704 311,412 369,309
ValuGrowth-SM- Stock Fund............... 5,356,853 245,641 299,464
Index Fund.............................. 12,032,005 984,943 1,073,700
Diversified Equity Fund................. 26,347,188 417,371 1,060,203
Growth Equity Fund...................... 23,908,615 430,711 789,807
Large Company Growth Fund............... 3,167,997 110,664 34,457
Small Company Stock Fund................ 10,018,414 273,726 155,677
Small Company Growth Fund............... 12,513,634 15,073 16,321
Small Cap Opportunities Fund............ 1,877,416 155,351 75,034
Contrarian Stock Fund................... 624,411 - 91,738
International Fund...................... 8,120,980 686,101 111,076
</TABLE>
[LOGO]
59
<PAGE>
SUPPLEMENTARY INFORMATION (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
PROXY VOTE (UNAUDITED) (CONTINUED)
PROPOSAL 4.
To approve changes to each of the following Fund's current advisory fee
structure, including payment to Norwest Bank Minnesota, N.A. of a fee for asset
allocation services:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Diversified Bond Fund................... 5,024,040 224,943 132,381
Conservative Balanced Fund.............. 3,904,731 821,280 1,348,561
Moderate Balanced Fund.................. 11,542,857 706,662 5,916,787
Diversified Equity Fund................. 24,683,394 1,864,197 1,277,172
Growth Equity Fund...................... 20,145,983 3,362,258 1,620,791
</TABLE>
PROPOSAL 6.
To approve a subadvisory agreement among Norwest Bank Minnesota, N.A., Galliard
Capital Management, Inc. and the Trust, on behalf of the following Funds:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Stable Income Fund...................... 7,821,033 286,935 184,915
Diversified Bond Fund................... 5,081,721 223,893 76,425
Conservative Balanced Fund.............. 5,255,088 266,837 556,147
Moderate Balanced Fund.................. 11,782,147 61,781 6,330,025
</TABLE>
PROPOSAL 7.
To approve a subadvisory agreement among Norwest Bank Minnesota, N.A., Peregrine
Capital Management, Inc. and the Trust, on behalf of the following Funds:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Diversified Bond Fund................... 5,081,721 223,893 76,245
Conservative Balanced Fund.............. 5,258,130 263,794 556,147
Moderate Balanced Fund.................. 11,780,403 61,781 6,331,768
Diversified Equity Fund................. 26,929,373 460,781 876,229
Growth Equity Fund...................... 22,459,161 2,183,231 655,169
Large Company Growth Fund............... 3,166,763 114,462 36,823
Small Company Growth Fund............... 12,514,532 15,072 16,322
</TABLE>
PROPOSAL 8.
To approve a subadvisory agreement among Norwest Bank Minnesota, N.A., United
Capital Management and the Trust, on behalf of the following Funds:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Diversified Bond Fund................... 5,272,657 35,519 73,188
Total Return Bond Fund.................. 6,930,043 832,557 281,515
Conservative Balanced Fund.............. 5,258,130 263,794 556,147
Moderate Balanced Fund.................. 11,444,142 901,396 5,828,415
Growth Balanced Fund.................... 16,129,770 54,364 294,949
Contrarian Stock Fund................... 653,535 - 73,663
</TABLE>
[LOGO]
60
<PAGE>
SUPPLEMENTARY INFORMATION (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
PROXY VOTE (UNAUDITED) (CONTINUED)
PROPOSAL 9.
To approve an amendment to each of the following Fund's investment objective:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
------------- ------------- -------------
<S> <C> <C> <C>
Diversified Bond Fund................... 5,272,657 35,519 73,188
Income Fund............................. 24,435,727 137,416 409,697
Income Equity Fund...................... 9,042,701 142,667 456,060
ValuGrowth Stock Fund................... 5,340,919 253,842 307,198
Small Company Growth Fund............... 12,513,634 15,072 16,322
</TABLE>
FEDERAL TAX STATUS OF DIVIDENDS DECLARED (UNAUDITED)
Long-term capital gain dividends paid during the period are presented below. For
federal income tax purposes, dividends from short-term capital gains are
classified as ordinary income. All net investment income dividends were ordinary
income, except for those Funds noted below that paid exempt income dividends.
The percentage of qualifying dividends eligible for the corporate dividends
received deduction are also listed below for the applicable Funds.
<TABLE>
<CAPTION>
LONG-TERM TAX-EXEMPT
CAPITAL GAIN INCOME QUALIFYING
DIVIDENDS DIVIDENDS DIVIDENDS
------------- ------------- -------------
<S> <C> <C> <C>
Diversified Bond Fund................... $ 2,307,298 - -
Total Return Bond Fund.................. 361,284 - -
Limited Term Tax-Free Fund.............. - 100.00% -
Tax-Free Income Fund.................... - 99.98% -
Colorado Tax-Free Fund.................. - 99.93% -
Minnesota Tax-Free Fund................. - 99.90% -
Conservative Balanced Fund.............. 2,495,149 - 8.65%
Moderate Balanced Fund.................. 5,845,141 - 15.44%
Growth Balanced Fund.................... 17,018,804 - 36.55%
Income Equity Fund...................... - - 100.00%
ValuGrowth-SM- Stock Fund............... 18,454,537 - 88.53%
Index Fund.............................. 4,817,448 - 59.94%
Diversified Equity Fund................. 6,246,442 - 100.00%
Growth Equity Fund...................... 12,216,441 - 100.00%
Large Company Growth Fund............... 721,532 - -
Small Company Stock Fund................ 2,089,052 - 31.78%
Small Company Growth Fund............... 35,550,740 - -
Small Cap Opportunities Fund............ 18,328 - -
Contrarian Stock Fund................... 2,172,305 - 78.56%
</TABLE>
[LOGO]
61
<PAGE>
SUPPLEMENTARY INFORMATION (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
FOREIGN DIVIDENDS AND FOREIGN TAX PER SHARE (UNAUDITED)
Foreign dividends and foreign tax, for a share outstanding on May 31, 1997, for
International Fund are as follows:
<TABLE>
<CAPTION>
COUNTRY DIVIDENDS FOREIGN TAX
- ---------------------------------------- ------------- -------------
<S> <C> <C>
Argentina............................... $ 0.0013 $ -
Australia............................... 0.0049 0.0001
Brazil.................................. 0.0060 -
Canada.................................. 0.0076 0.0011
Chile................................... 0.0032 0.0010
France.................................. 0.0251 -
Germany................................. 0.0178 0.0015
Hong Kong............................... 0.0159 -
Indonesia............................... 0.0033 0.0005
Italy................................... 0.0024 0.0004
Japan................................... 0.0294 0.0045
Korea................................... 0.0020 0.0003
Malaysia................................ 0.0046 0.0014
Mexico.................................. 0.0007 -
Netherlands............................. 0.0317 0.0044
Philippines............................. 0.0015 0.0003
Portugal................................ 0.0089 0.0012
Singapore............................... 0.0052 0.0014
Spain................................... 0.0051 0.0006
Sweden.................................. 0.0050 0.0008
Switzerland............................. 0.0259 0.0038
Thailand................................ 0.0020 0.0002
United Kingdom.......................... 0.0800 0.0124
</TABLE>
[LOGO]
62
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (23.8%)
1,556,782 AFC Home Equity Loan Trust Series 1995-2
A1, 7.19% V/R, 7/25/26 $ 1,566,999
154,827 BW Trust Series 1989-1 A, 9.10%, 9/15/04 155,549
1,990,623 GMAC, Commercial Mortgage Securities,
Inc., Series 1996 C1 A1, 5.91% V/R,
10/15/28 1,999,955
243,568 GMAC, Grantor Trust, Series 1993-B A,
4.00%, 9/15/98 243,424
1,043,606 Green Tree Financial Corp., Series
1993-3 A3, 5.20%, 10/15/18 1,044,034
1,340,000 Green Tree Financial Corp., Series
1993-4 A3, 6.25%, 1/15/19 1,333,193
1,000,000 Green Tree Financial Corp., Series
1994-1 A3, 6.90%, 4/15/19 1,008,630
1,500,000 Green Tree Financial Corp., Series
1995-10 A4, 6.30%, 2/15/27 1,472,490
2,000,000 HCLT, Series 1997-1 A3, 6.04% V/R,
3/15/07 1,995,626
1,654,209 MLMI, Inc., Series 1987-C A, 10.10%,
12/15/07 1,739,154
114,648 SBA, Adjustable Rate Pool 500025, 8.38%,
12/25/10 120,524
69,165 SBA, Adjustable Rate Pool 500276,
10.38%, 5/25/07 74,698
237,613 SBA, Adjustable Rate Pool 500299,
10.38%, 6/25/07 260,781
743,254 SBA, Adjustable Rate Pool 500392, 8.38%,
11/25/12 790,636
104,688 SBA, Adjustable Rate Pool 500569,
10.38%, 6/25/08 113,193
637,038 SBA, Adjustable Rate Pool 500664, 8.38%,
3/25/04 661,034
717,959 SBA, Adjustable Rate Pool 500957, 8.75%,
7/25/14 784,370
37,972 SBA, Adjustable Rate Pool 501013, 9.38%,
6/25/98 38,067
714,051 SBA, Adjustable Rate Pool 501224, 7.25%,
6/25/15 750,646
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
89,014 SBA, Adjustable Rate Pool 501828, 9.13%,
9/25/98 $ 89,348
97,771 SBA, Adjustable Rate Pool 501973,
10.13%, 12/25/01 101,926
351,332 SBA, Adjustable Rate Pool 502083, 8.38%,
11/25/04 362,311
270,534 SBA, Adjustable Rate Pool 502241, 8.38%,
4/25/03 274,930
577,587 SBA, Adjustable Rate Pool 502394,
10.13%, 6/25/13 651,952
1,307,616 SBA, Adjustable Rate Pool 502462, 9.73%,
11/25/07 1,423,667
974,893 SBA, Adjustable Rate Pool 502501, 9.73%,
4/25/03 1,021,201
475,356 SBA, Adjustable Rate Pool 502568, 9.73%,
9/25/03 499,124
448,778 SBA, Adjustable Rate Pool 502583, 9.73%,
9/25/03 471,217
1,110,913 SBA, Adjustable Rate Pool 503611, 8.38%,
12/25/21 1,192,081
1,490,683 SBA, Adjustable Rate Pool 503658, 9.63%,
9/25/10 1,638,411
942,351 SBA, Adjustable Rate Pool 503664, 8.98%,
1/25/13 1,021,921
998,995 SBA, Adjustable Rate Pool 503694, 8.38%,
1/25/22 1,101,392
806,839 SASC, Series 1992-CFL A2A, 7.75%,
2/25/28 813,318
1,122,616 SASC, Series 1992-M1 A1, 7.05%, 11/25/07 1,128,229
1,293,182 SASC, Series 1996-C1 A, 5.94% V/R,
10/25/10(b) 1,292,374
---------------
TOTAL ASSET BACKED SECURITIES
(COST $29,421,930) 29,236,405
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (27.5%)
1,750,000 FHLB, Series DU-98, 4.60%, 8/3/98(d) 1,734,688
3,000,000 FHLMC, Series 1625, 5.50%, 7/15/04 2,982,870
63,971 FHLMC, Series G8-SB, 9.60% V/R, 3/25/23 51,781
198,447 FNMA, Series 1993-39 FA, 7.12% V/R,
4/25/23 202,702
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
63
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
3,213,785 FNMA, Series 1994-1 A1, 5.89% V/R,
10/1/04 $ 3,209,768
1,250,000 MLCC Mortgage Investors, Inc., Series
1994 A A3, 6.49% V/R, 7/15/19 1,269,531
883,126 MLCC Mortgage Investors, Inc., Series
1994 B A1, 6.09% V/R, 12/15/19 884,276
1,164,739 MLMI, Inc., Series 1994-I A1, 7.88% V/R,
1/25/05 1,187,671
979,364 MNB Mortgage Pass-thru Certificates,
Series 1990-1 A, 9.50%, 6/25/19 979,364
1,500,000 PRAT, Series 1997-1 B, 6.55%, 9/6/03 1,489,688
1,044,017 RFMSI ARM, Series 1989-5A 5A, 7.62% V/R,
10/25/19 1,060,982
357,552 RFMSI ARM, Series 1991 21 BA, 7.60% V/R,
8/25/21 364,256
474,242 RTC, Series 1991-6 E, 11.60%
V/R, 5/25/24 496,917
1,223,726 RTC, Series 1991-14 A1, 7.56% V/R,
1/25/22 1,235,198
568,546 RTC, Series 1991 M6 A3, 8.38% V/R,
6/25/21 568,191
918,075 RTC, Series 1992-4 A2, 7.63%
V/]R, 7/25/28 938,445
3,036,374 RTC, Series 1992-7 A2D, 8.35%, 6/25/29 3,078,124
1,280,209 RTC, Series 1992-9 B4, 7.50%
V/R, 4/25/27 1,286,610
1,029,257 RTC, Series 1992-18P A4, 6.70% V/R,
4/25/28 1,025,397
3,286,856 RTC, Series 1992-C2 A2, 6.75% V/R,
10/25/21(b) 3,289,940
1,583,315 RTC, Series 1992-C3 A3, 6.90% V/R,
8/25/23 1,584,304
276,473 RTC, Series 1992-CHF A2, 6.78% V/R,
12/25/20 276,646
1,450,614 RTC, Series 1992-M3 A4, 7.75% V/R,
7/25/30 1,453,336
1,780,058 RTC, Series 1995-1 A3, 7.26%
V/R, 10/25/28 1,831,235
<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 RTC, Series 1995-2 A1B, 7.15%, 5/25/29 $ 1,275,797
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$33,727,046) 33,757,717
---------------
CORPORATE BONDS & NOTES (7.7%)
900,000 American General Corp., 9.75%, 10/15/97 913,280
2,500,000 Chase Manhattan Corp., 10.13%, 11/1/00 2,751,308
850,000 Chrysler Financial Corp., 6.26%, 7/20/98 850,808
1,000,000 Lehman Brothers Holdings, Inc., 8.88%,
11/1/98 1,032,170
2,000,000 Newell Co., 6.18%, 7/11/00 1,971,364
1,000,000 Transamerica Financial, 6.41%, 6/20/00 991,119
1,000,000 Transamerica Financial, 6.36%, 6/26/00 989,623
---------------
TOTAL CORPORATE BONDS & NOTES
(COST $9,495,722) 9,499,672
---------------
GOVERNMENT AGENCY BONDS & NOTES (7.1%)
FHLB (5.2%)
350,000 5.78% V/R, 12/23/97 350,050
2,000,000 4.50% V/R, 3/2/98 1,976,356
1,000,000 4.95% V/R, 3/4/98 988,594
400,000 3.83% V/R, 7/15/98 388,310
950,000 Series AP98, 5.40% V/R, 4/27/98 944,299
1,790,000 Series RR98, 4.55% V/R, 3/16/98 1,767,306
---------------
TOTAL FHLB (COST $6,464,636) 6,414,915
---------------
FHLMC (0.8%)
1,000,000 Structured Note, 4.65% V/R, 3/11/98
(cost $991,158) 989,742
---------------
FNMA (1.1%)
1,300,000 4.81% V/R, 3/10/98 (cost $1,228,803) 1,288,803
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $8,684,597)
8,693,460
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
64
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (5.0%)
FHLMC ARM (1.6%)
948,014 Pool 410220, 7.75% V/R, 10/1/25 $ 966,377
1,006,837 Pool 846367, 6.86% V/R, 4/1/29 1,034,729
---------------
TOTAL FHLMC ARM (COST $1,989,043) 2,001,106
---------------
FNMA ARM (3.4%)
1,853,320 Pool 155506, 7.46% V/R, 4/1/22 1,930,332
2,076,407 Pool 321051, 7.76% V/R, 8/1/25 2,157,322
---------------
TOTAL FNMA ARM (COST $4,004,659) 4,087,654
---------------
TOTAL MORTGAGE BACKED SECURITIES
(COST $5,993,702) 6,088,760
---------------
MUNICIPAL BONDS (1.7%)
745,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County GTD, 6.02%, 6/30/97 745,156
1,000,000 Utah State SD Financial Corp. RV, 6.90%,
2/15/10, Putable 8/17/98 @ 100 1,010,823
330,000 York County, PA, Tax-Exempt Economic
Development RV, 5.45%, 12/30/98 324,110
---------------
TOTAL MUNICIPAL BONDS (COST $2,093,845) 2,080,089
---------------
RECEIVABLES BACKED SECURITIES (5.9%)
2,500,000 Choice Credit Card Master Trust, Series
1992-2 B, 7.20%, 4/15/99 2,526,200
219,620 Daimler-Benz Auto Grantor Trust, Series
1993-A A, 3.90%, 10/15/98 218,867
1,000,000 First Merchants Auto Receivables Corp.,
Series 1996-A, A2, 6.70%, 7/17/00(b) 1,001,094
911,197 First Merchants Grantor Trust, Series
1996-2 A, 6.85%, 11/15/01 912,621
2,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 2,072,812
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
STABLE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
559,674 World Omni Automobile Lease
Securitization Trust, Series 1994-B A,
7.95%, 1/25/01 $ 561,471
---------------
TOTAL RECEIVABLES BACKED SECURITIES
(COST $7,291,243) 7,293,065
---------------
REPURCHASE AGREEMENTS (5.3%)
6,527,198 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $6,530,228 (cost
$6,527,198)(e) 6,527,198
---------------
U.S. TREASURY OBLIGATIONS (16.0%)
U.S. TREASURY NOTES (16.0%)
18,000,000 8.00%, 8/15/99(d) 18,641,268
1,000,000 7.75%, 1/31/00 1,034,376
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $19,742,632) 19,675,644
---------------
TOTAL INVESTMENTS (100.0%)
(COST $122,977,915) $ 122,852,010
---------------
---------------
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.7%)
6,352,400 AMBS, Series AS-1006 1, 7.49%, 1/25/12 $ 6,437,763
4,592,682 AMBS, Series BA-1001 1, 6.92%, 1/25/03 4,542,452
3,271,545 AMBS, Series CS-1001 1, 7.19%, 7/25/01 3,289,947
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$14,435,321) 14,270,162
---------------
GOVERNMENT AGENCY BONDS & NOTES (7.8%)
FHLB (6.2%)
5,000,000 7.59%, 3/10/05 5,201,000
9,000,000 6.41%, 10/11/05 8,716,860
10,000,000 6.44%, 12/12/11 9,865,300
---------------
TOTAL FHLB (COST $24,331,581) 23,783,160
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
65
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
GOVERNMENT AGENCY BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
FHLMC (1.1%)
4,000,000 8.07%, 1/27/05 (cost $4,583,750) $ 4,263,120
---------------
OTHER (0.5%)
2,000,000 TVA, 8.38%, 10/1/99
(cost $2,041,140) 2,085,540
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $30,956,471)
30,131,820
---------------
MORTGAGE BACKED SECURITIES (23.5%)
FHLMC (10.9%)
14,371,929 Gold Pool C00492, 7.50%, 1/1/27 14,349,509
9,925,599 Gold Pool C80461, 7.00%, 12/1/26 9,686,789
9,075,260 Gold Pool D70924, 6.50%, 5/1/26 8,635,654
9,486,875 Gold Pool L80205, 7.00%, 6/1/03 9,492,852
---------------
TOTAL FHLMC (COST $42,236,150) 42,164,804
---------------
FNMA (7.6%)
10,282,400 Pool 73595, 7.43% V/R, 8/1/06 10,546,041
4,983,838 Pool 73806, 7.30%, 12/1/11 5,024,356
5,166,530 Pool 73932, 6.84%, 1/1/07 5,092,339
8,749,402 Pool 303851, 7.00%, 4/1/11 8,713,880
---------------
TOTAL FNMA (COST $29,324,174) 29,376,616
---------------
GNMA (5.0%)
19,740,148 Pool 445071, 7.50%, 1/15/27
(cost $19,746,316) 19,672,242
---------------
TOTAL MORTGAGE BACKED SECURITIES
(COST $91,306,640) 91,213,662
---------------
U.S. TREASURY OBLIGATIONS (62.2%)
U.S. TREASURY BONDS (8.9%)
14,000,000 11.75%, 2/15/01(d) 16,441,740
13,000,000 12.75%, 11/15/10 17,961,190
---------------
TOTAL U.S. TREASURY BONDS (COST $34,697,886) 34,402,930
---------------
U.S. TREASURY NOTES (53.3%)
3,000,000 8.88%, 2/15/99(d) 3,131,250
21,000,000 9.13%, 5/15/99 22,112,160
8,000,000 6.75%, 5/31/99 8,081,440
10,000,000 6.88%, 8/31/99(d) 10,129,900
10,000,000 7.88%, 11/15/99 10,354,600
10,000,000 7.75%, 11/30/99 10,329,800
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INTERMEDIATE GOVERNMENT INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY NOTES (continued)
<TABLE>
<C> <S> <C>
22,500,000 8.50%, 2/15/00 $ 23,692,050
14,000,000 6.63%, 6/30/01(d) 14,070,700
14,500,000 7.50%, 11/15/01(d) 15,057,815
10,000,000 7.25%, 5/15/04(d) 10,368,500
27,000,000 7.25%, 8/15/04(d) 27,973,620
16,000,000 7.88%, 11/15/04(d) 17,165,440
31,000,000 7.00%, 7/15/06(d) 31,665,880
3,000,000 6.50%, 10/15/06(d) 2,962,500
---------------
TOTAL U.S. TREASURY NOTES
(COST $209,305,652) 207,095,655
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $244,003,538) 241,498,585
---------------
SHORT-TERM HOLDINGS (2.8%)
10,963,056 Dreyfus Treasury Cash Management A
Series Fund (cost $10,963,056) 10,963,056
---------------
TOTAL INVESTMENTS (100.0%)
(COST $391,665,026) $ 388,077,285
---------------
---------------
- ----------------------------------------------------
DIVERSIFIED BOND FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (33.3%)
ASSET BACKED SECURITIES (1.9%)
1,100,000 Green Tree Financial Corp., Series
1994-1 A4, 7.20%, 4/15/19 $ 1,115,741
1,100,000 Green Tree Home Improvement Loan Trust,
Series 1995-F A4, 6.15%, 1/15/21 1,079,210
801,869 Structured Asset Securities Corp.,
Series 1992-M1 A1, 7.05%, 11/25/07 805,877
---------------
TOTAL ASSET BACKED SECURITIES (COST $2,987,368)
3,000,828
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (8.0%)
1,167,421 CMC Securities Corp. II, Series 1993-2I
A2, 7.05%, 9/25/23 1,190,039
394,292 FNMA, Series 1988-5 Z, 9.20%, 3/25/18 415,245
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
66
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
1,034,440 FNMA, Series 1989-27 Y, 6.90%, 6/25/19 $ 1,004,637
1,127,513 FNMA, Series 1993-28 PZ, 6.80%, 6/25/05 1,124,728
1,000,000 FNMA, Series 1994-M1 B, 6.50%, 10/25/03 975,625
499,852 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, 8/20/13 510,630
1,000,000 GNMA, Series 1994-7 PG, 6.50%, 8/16/17 982,390
604,444 L.F. Rothschild Mortgage Trust, Series
2Z, 9.95%, 8/1/17 656,827
769,713 RTC, Series 1991-M5 A, 9.00%, 3/25/17 798,977
734,460 RTC, Series 1992-4 A2, 7.63% V/R,
7/25/28 750,756
600,000 RTC, Series 1995-1 A2C, 7.50%, 10/25/28 602,086
1,000,000 RTC, Series 1995-1 A2D, 7.50%, 10/25/28 996,563
1,000,000 RTC, Series 1995-2 A1C, 7.45%, 5/25/29 1,005,469
750,000 Vendee Mortgage Trust, Series 1995-1C
3E, 8.00%, 7/15/18 772,370
1,000,000 Vendee Mortgage Trust, Series 1997-1 2C,
7.50%, 9/15/17 1,007,760
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$12,781,478) 12,794,102
---------------
CORPORATE BONDS & NOTES (18.3%)
750,000 Allied Signal, Inc., 9.88%, 6/1/02 843,270
900,000 Applied Materials, 7.00%, 9/6/05 884,834
1,000,000 CIT Group Holdings, 6.15%, 12/15/02 969,719
1,000,000 Cargill, Inc., 8.35%, 2/12/11(b)(o) 1,052,130
600,000 Charles Schwab Corp., 6.25%, 1/23/03 576,727
1,000,000 Chase Manhattan Corp., 8.63%, 5/1/02 1,068,741
1,000,000 Citicorp, 9.50%, 2/1/02 1,097,758
500,000 Coca Cola Bottling Co., 6.85%, 11/1/07 482,497
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
625,000 Colonial Pipeline, 7.45%, 8/15/07(b)(o) $ 630,668
1,000,000 Continental Bank, N.A., 11.25%, 7/1/01 1,050,140
675,000 Corestates Capital Corp., 5.88%,
10/15/03 634,880
750,000 Corestates Capital Corp., 6.47% V/R,
1/15/27(b)(o) 740,318
500,000 El Paso Natural Gas, 7.75%, 1/15/02 512,963
1,000,000 First Data Corp., 6.63%, 4/1/03 983,823
600,000 Fletcher Challenge Cap Canada, 7.75%,
6/20/06 612,844
1,000,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 998,663
500,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 501,004
625,000 International Lease Finance Corp.,
6.43%, 3/1/00 620,950
1,000,000 LG-Caltex Oil, 7.88%, 7/1/06(b)(o) 1,014,436
1,000,000 Lehman Brothers Holdings, Inc., 8.80%,
3/1/15(b) 1,108,363
625,000 Levi Strauss & Co., 6.80%, 11/1/03(b)(o) 617,147
500,000 MBNA Corp., 7.49%, 9/14/99 508,067
600,000 May Department Stores, 9.88%, 6/15/00 650,804
1,000,000 Paine Webber Group, Inc., 7.00%, 3/1/00 1,003,540
400,000 Petroleum Geo-Services, 7.50%, 3/31/07 400,212
500,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 509,797
800,000 Philips Electronics, 6.75%, 8/15/03 779,423
500,000 Potomac Capital Investment Corp., 7.32%,
4/14/00(b) 506,540
1,000,000 Reinsurance Group of America, 7.25%,
4/1/06(b)(o) 990,890
750,000 Reynolds & Reynolds, 7.00%, 12/15/06 732,287
500,000 Royal Caribbean Cruises, 7.13%, 9/18/02 500,744
1,000,000 Scholastic Corp., 7.00%, 12/15/03 986,816
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
67
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<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%, 7/1/05 $ 777,103
500,000 Texas Instrument Inc., 6.75%, 7/15/99 502,959
600,000 Transamerica Financial, 6.41%, 6/20/00 594,671
1,000,000 Tyco International Ltd., 6.38%, 1/15/04 962,675
1,000,000 Universal Corp., 9.25%, 2/15/01 1,069,907
750,000 Whitman Corp., 7.50%, 2/1/03 763,682
---------------
TOTAL CORPORATE BONDS & NOTES (COST $29,212,764)
29,241,992
---------------
MORTGAGE BACKED SECURITIES (3.2%)
FHLMC ARM (2.3%)
865,258 Pool 410425, 6.09% V/R, 9/1/26 885,392
931,637 Pool 410464, 6.28% V/R, 11/1/26 953,912
774,853 Pool 605429, 7.20% V/R, 2/1/15 807,958
1,006,837 Pool 846367, 6.86%, 4/1/29 1,034,729
---------------
TOTAL FHLMC ARM (COST $3,642,280) 3,681,991
---------------
FNMA (0.4%)
668,825 Pool 344692, 7.54%, 10/1/25 (cost
$683,458) 691,469
---------------
GNMA (0.0%)
118 Pool 665, 7.50%, 5/15/01 119
1,495 Pool 2218, 6.50%, 12/15/02 1,478
---------------
TOTAL GNMA (COST $1,500) 1,597
---------------
OTHER (0.5%)
750,000 Paine Webber Mortgage Acceptance Corp.,
1996-M1, Multi-Family Mortgage Pass-
thru, 6.80%, 1/2/12 (cost
$757,500)(b)(o) 750,000
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,084,738)
5,125,057
---------------
RECEIVABLES BACKED SECURITIES (1.9%)
1,000,000 First Merchants Auto Receivables Corp.,
Series 1996-A A2, Private Placement,
6.70%, 7/17/00(b) 1,001,095
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,000,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, 11/25/10 $ 1,008,940
1,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 1,036,406
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $3,047,874)
3,046,441
---------------
REPURCHASE AGREEMENTS (0.0%)
9,725 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $9,730 (cost $9,725)(e) 9,725
---------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$53,123,947) 53,218,145
---------------
POSITIVE RETURN INVESTMENT STYLE (33.5%)
CORPORATE BONDS & NOTES (1.3%)
2,000,000 Morgan Guaranty Trust Co., 5.72% V/R,
8/21/98 (cost $2,000,000) 2,000,416
---------------
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
FFCB
1,000,000 5.58% V/R, 7/1/97 (cost $999,945) 1,000,203
---------------
RECEIVABLES BACKED SECURITIES (4.8%)
2,700,000 Carco Auto Loan Master Trust, Series
1993-1 A, 6.03% V/R, 1/18/00 2,702,079
2,700,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.83% V/R, 4/17/00 2,703,834
2,314,286 Peoples Bank Credit Card Master Trust,
Series 1994-2 A, 5.84% V/R, 3/15/01 2,318,035
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $7,720,109)
7,723,948
---------------
REPURCHASE AGREEMENTS (5.2%)
8,315,389 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $8,319,249 (cost
$8,315,389)(e) 8,315,389
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
68
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (21.6%)
U.S. TREASURY BONDS (18.4%)
4,000,000 6.25%, 8/15/23(d) $ 3,646,253
5,600,000 7.50%, 11/15/24(d) 5,950,006
6,000,000 6.88%, 8/15/25(d) 5,928,756
15,800,000 6.00%, 2/15/26(d) 13,908,947
---------------
TOTAL U.S. TREASURY BONDS (COST $30,073,812) 29,433,962
---------------
U.S. TREASURY NOTES (3.2%)
5,000,000 5.63%, 10/31/97(d) (cost $4,994,531) 5,006,255
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $35,068,343)
34,440,217
---------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$54,103,786) 53,480,173
---------------
TOTAL RETURN BOND INVESTMENT STYLE (33.2%)
CORPORATE BONDS & NOTES (4.8%)
800,000 AT&T Capital Corp., 6.26%, 2/18/99 797,292
400,000 Chrysler Financial Corp., 9.50%,
12/15/99 426,991
1,450,000 GMAC, 7.00%, 4/15/98 1,461,372
500,000 McDermott International, Inc., 6.50%,
4/20/98 499,407
500,000 McDermott International, Inc., 6.50%,
4/23/98 499,369
200,000 Pennsylvania Power & Light Co., 5.50%,
4/1/98 198,918
600,000 Philadelphia Electric, 5.38%, 8/15/98 593,401
250,000 Texas Utilities Electric Co., 9.50%,
8/1/99 263,030
1,150,000 USX Corp., 8.88%, 9/15/97 1,159,592
500,000 USX Corp., 6.38%, 7/15/98 499,644
500,000 Unicom Corp., 6.00%, 3/15/98 499,238
500,000 Union Pacific Corp., 6.25%, 3/15/99 497,944
200,000 Virginia Electric Power, 6.35%, 6/8/98 200,417
---------------
TOTAL CORPORATE BONDS & NOTES (COST $7,640,367)
7,596,615
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
GOVERNMENT AGENCY BONDS & NOTES (0.6%)
FHLMC (0.6%)
1,000,000 6.45%, 6/4/99 (cost $1,000,000) $ 1,002,276
---------------
MORTGAGE BACKED SECURITIES (5.2%)
GNMA (5.2%)
407,278 Pool 345066, 6.50%, 10/15/23 389,345
1,164,993 Pool 352001, 6.50%, 12/15/23 1,113,698
1,201,035 Pool 354665, 6.50%, 10/15/23 1,148,153
560,759 Pool 354692, 6.50%, 11/15/23 536,069
1,436,465 Pool 354711, 6.50%, 12/15/23 1,373,217
1,103,364 Pool 361398, 6.50%, 1/15/24 1,053,051
514,562 Pool 366641, 6.50%, 11/15/23 491,906
1,137,781 Pool 376400, 6.50%, 2/15/24 1,085,898
1,146,577 Pool 780144, 7.00%, 7/15/24 1,122,487
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $8,146,482)
8,313,824
---------------
REPURCHASE AGREEMENTS (0.0%)
34,555 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $34,571 (cost
$34,555)(e) 34,555
---------------
U.S. TREASURY OBLIGATIONS (22.6%)
U.S. TREASURY BONDS (6.1%)
2,400,000 11.63%, 11/15/04(d) 3,093,002
2,700,000 9.38%, 2/15/06(d) 3,179,253
250,000 8.75%, 5/15/17 296,875
2,425,000 8.13%, 8/15/19 2,726,612
425,000 8.75%, 8/15/20 508,938
---------------
TOTAL U.S. TREASURY BONDS (COST $10,042,564) 9,804,680
---------------
U.S. TREASURY NOTES (16.5%)
100,000 8.88%, 11/15/98 103,875
2,000,000 5.75%, 12/31/98 1,991,252
750,000 7.75%, 12/31/99 775,547
3,825,000 7.13%, 2/29/00 3,899,113
3,600,000 6.88%, 3/31/00 3,649,504
4,000,000 6.25%, 5/31/00(d) 3,988,752
4,800,000 6.13%, 7/31/00(d) 4,767,005
450,000 8.75%, 8/15/00(d) 480,235
400,000 7.25%, 8/15/04 414,250
2,050,000 6.50%, 8/15/05 2,028,860
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
69
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED BOND FUND (continued)
- ----------------------------------------------------
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY NOTES (continued)
3,600,000 7.00%, 7/15/06(d) $ 3,675,377
500,000 6.25%, 2/15/07 485,938
---------------
TOTAL U.S. TREASURY NOTES (COST $26,345,032) 26,259,708
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $36,387,596)
36,064,388
---------------
TOTAL RETURN BOND INVESTMENT STYLE (COST $53,209,000)
53,011,658
---------------
TOTAL INVESTMENTS (100.0%) (COST $160,436,733)
$ 159,709,976
---------------
---------------
- ----------------------------------------------------
INCOME FUND
- ----------------------------------------------------
ASSET BACKED SECURITIES (11.4%)
7,000,000 AmeriCredit Automobile Receivables
Trust, Series B, A3, 6.67%, 2/12/03 $ 6,993,441
4,998,518 First Plus Home Loan Trust, Series
1996-2 A5, 7.47%, 2/20/11 5,075,545
9,421,037 First USA Consumer Trust, A, 6.50%,
9/15/02(b) 9,387,178
8,603,013 Pacific Southwest, Auto Grantor Trust
1997-1, 6.06%, 6/17/02(b) 8,586,882
---------------
TOTAL ASSET BACKED SECURITIES
(COST $30,008,168) 30,043,046
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (4.9%)
12,800,000 Agricultural Mortgage Backed Securities,
Series AS-1008 1, 7.54%, 1/25/12 (cost
$12,876,000) 13,024,000
---------------
CORPORATE BONDS & NOTES (40.4%)
5,000,000 ABN Amro Bank, Chicago, 7.55%, 6/28/06 5,108,000
6,000,000 AMBAC, Inc., 9.38%, 8/1/11 7,057,020
6,000,000 American Home Products Corp., 7.25%,
3/1/23 5,842,320
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
5,000,000 Atlantic Richfield Co., 9.00%, 4/1/21 $ 5,795,000
3,000,000 Bayerische Landesbank, New York, 6.20%,
2/9/06 2,822,970
5,000,000 Bear Stearns Cos., Inc., 7.00%, 3/1/07 4,885,700
8,000,000 Boeing Co., 7.25%, 6/15/25 7,821,680
7,000,000 Campbell Soup Co., 8.88%, 5/1/21 8,113,840
6,000,000 Caterpillar Inc., 9.38%, 3/15/21 7,192,500
5,000,000 Consolidated Natural Gas Co., 6.63%,
12/1/08 4,785,250
5,000,000 Ford Motor Co., 7.25%, 10/1/08 4,980,200
6,000,000 General Electric Capital Corp., 8.70%,
2/15/03 6,535,920
8,000,000 Halliburton Co., 8.75%, 2/15/21 9,089,120
7,000,000 Lehman Brothers Holdings, Inc., 8.50%,
8/1/15 7,400,190
5,000,000 Morgan Stanley Group, Inc., 6.88%,
3/1/07 4,883,400
5,000,000 Royal Caribbean Cruises, 7.25%, 8/15/06 4,930,200
4,000,000 Seagate Technology, Inc., 7.13%, 3/1/04 3,977,240
5,800,000 Swiss Bank Corp., 7.50%, 7/15/25 5,692,758
---------------
TOTAL CORPORATE BONDS & NOTES
(COST $109,430,126) 106,913,308
---------------
MORTGAGE BACKED SECURITIES (19.1%)
FHLMC (6.9%)
9,925,599 Gold Pool C80461, 7.00%, 12/1/26 9,686,789
9,075,260 Gold Pool D70924, 6.50%, 5/1/26 8,635,654
---------------
TOTAL FHLMC
(COST $18,446,249) 18,322,443
---------------
FNMA (12.2%)
9,810,894 Pool 250547, 6.00%, 3/1/26 9,053,591
8,749,402 Pool 303851, 7.00%, 4/1/11 8,713,880
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
70
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
FNMA (continued)
<TABLE>
<C> <S> <C>
14,000,000 Pool 375112, 7.78%, 5/1/15 $ 14,573,132
---------------
TOTAL FNMA
(COST $32,709,845) 32,340,603
---------------
TOTAL MORTGAGE BACKED SECURITIES
(COST $51,156,094) 50,663,046
---------------
U.S. TREASURY OBLIGATIONS (17.1%)
U.S. TREASURY BONDS (6.5%)
6,500,000 10.75%, 5/15/03(d) 7,827,560
2,000,000 9.00%, 11/15/18 2,443,260
4,000,000 7.13%, 2/15/23 4,058,640
3,000,000 6.63%, 2/15/27(d) 2,892,300
---------------
TOTAL U.S. TREASURY BONDS
(COST $17,107,657) 17,221,760
---------------
U.S. TREASURY NOTES (10.6%)
7,000,000 6.88%, 7/31/99(d) 7,089,250
7,000,000 8.75%, 8/15/00(d) 7,472,570
6,000,000 8.50%, 11/15/00 6,384,480
4,700,000 7.88%, 8/15/01 4,938,901
2,000,000 7.00%, 7/15/06(d) 2,042,960
---------------
TOTAL U.S. TREASURY NOTES
(COST $28,142,375) 27,928,161
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $45,250,032) 45,149,921
---------------
SHORT-TERM HOLDINGS (7.1%)
11,999,465 Dreyfus Cash Management Fund 11,999,465
6,873,500 Federated Treasury Obligations Fund 6,873,500
---------------
TOTAL SHORT-TERM HOLDINGS
(COST $18,872,965) 18,872,965
---------------
TOTAL INVESTMENTS (100.0%)
(COST $267,593,385) $ 264,666,286
---------------
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
TOTAL RETURN BOND FUND
- ----------------------------------------------------
CORPORATE BONDS & NOTES (14.6%)
1,900,000 AT&T Capital Corp., 6.26%, 2/18/99 $ 1,893,569
975,000 Chrysler Financial Corp., 9.50%,
12/15/99 1,040,790
1,500,000 GMAC, 6.90%, 2/19/98 1,509,858
1,525,000 GMAC, 7.00%, 4/15/98 1,536,961
1,000,000 McDermott International, Inc., 7.94%,
6/25/97 1,001,274
1,500,000 McDermott International, Inc., 6.50%,
4/23/98 1,498,107
800,000 Philadelphia Electric, 5.38%, 8/15/98 791,201
675,000 Texas Utilities Electric Co., 9.50%,
8/1/99 710,180
1,000,000 USX Corp., 8.88%, 9/15/97 1,008,341
1,400,000 USX Corp., 6.38%, 7/15/98 1,399,003
1,300,000 Unicom Corp., 6.00%, 3/15/98 1,298,019
1,000,000 Union Oil of California, 8.90%, 2/15/99 1,039,304
1,300,000 Union Oil of California, 7.24%, 4/1/99 1,317,349
1,300,000 Union Pacific Corp., 6.25%, 3/15/99 1,294,653
600,000 Virginia Electric Power, 6.35%, 6/8/98 601,252
1,000,000 Washington Natural Gas, 7.08%, 1/15/99 1,008,914
---------------
TOTAL CORPORATE BONDS & NOTES
(COST $19,059,005) 18,948,775
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.0%)
FHLMC (1.0%)
1,250,000 6.45%, 6/4/99 (cost $1,250,000) 1,252,845
---------------
MORTGAGE BACKED SECURITIES (14.6%)
GNMA (14.6%)
1,629,112 Pool 345066, 6.50%, 10/15/23 1,557,382
2,496,413 Pool 352001, 6.50%, 12/15/23 2,386,496
2,573,646 Pool 354665, 6.50%, 10/15/23 2,460,328
1,291,824 Pool 354692, 6.50%, 11/15/23 1,234,945
3,575,411 Pool 354711, 6.50%, 12/15/23 3,417,985
1,324,037 Pool 361398, 6.50%, 1/15/24 1,263,661
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
71
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (continued)
GNMA (continued)
1,811,259 Pool 366641, 6.50%, 11/15/23 $ 1,731,510
2,482,431 Pool 376400, 6.50%, 2/15/24 2,369,232
2,463,017 Pool 780144, 7.00%, 7/15/24 2,411,269
---------------
TOTAL MORTGAGE BACKED SECURITIES
(COST $18,457,664) 18,832,808
---------------
U.S. TREASURY OBLIGATIONS (68.7%)
U.S. TREASURY BONDS (19.5%)
2,275,000 11.63%, 11/15/04 2,931,909
9,300,000 9.38%, 2/15/06(d) 10,950,759
2,700,000 6.88%, 5/15/06 2,734,595
415,000 11.25%, 2/15/15 595,914
5,425,000 7.50%, 11/15/16 5,718,292
850,000 8.75%, 5/15/17 1,009,371
1,100,000 8.13%, 8/15/19 1,236,814
---------------
TOTAL U.S. TREASURY BONDS (COST $24,705,977) 25,177,654
---------------
U.S. TREASURY NOTES (49.2%)
750,000 5.75%, 12/31/98 746,720
4,075,000 6.88%, 7/31/99(d) 4,127,214
1,325,000 7.75%, 12/31/99 1,370,134
3,650,000 8.50%, 2/15/00 3,843,910
5,650,000 7.13%, 2/29/00 5,759,475
7,725,000 6.88%, 3/31/00(d) 7,831,226
2,200,000 8.88%, 5/15/00(d) 2,349,189
5,575,000 6.25%, 5/31/00(d) 5,559,324
8,975,000 6.13%, 7/31/00(d) 8,913,305
6,850,000 8.75%, 8/15/00(d) 7,310,238
6,650,000 6.50%, 8/15/05 6,581,425
8,200,000 7.00%, 7/15/06(d) 8,371,692
1,000,000 6.25%, 2/15/07 971,876
---------------
TOTAL U.S. TREASURY NOTES (COST $65,305,762) 63,735,728
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $90,011,739) 88,913,382
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TOTAL RETURN BOND FUND (continued)
- ----------------------------------------------------
SHORT-TERM HOLDINGS (1.1%)
815,907 Dreyfus Cash Management Fund $ 815,907
557,891 Institutional Funds Group, TempFund Fund 557,891
---------------
TOTAL SHORT-TERM HOLDINGS
(COST $1,373,798) 1,373,798
---------------
TOTAL INVESTMENTS (100.0%)
(COST $130,152,206) $ 129,321,608
---------------
---------------
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (96.2%)
ALABAMA (2.5%)
1,000,000 Birmingham Jefferson, AL, Civic Center
Authority Special Tax Bonds, Series B,
7.10%, 1/1/01 $ 1,022,420
---------------
ARIZONA (6.9%)
1,390,000 Maricopa County, AZ, IDA, MFHR Bonds,
Advantage Point Projects, Series A,
5.75%, 7/1/01 1,406,026
1,305,000 Mesa, AZ, IDA, Healthcare Facilities RV,
Western Health Network B-1, BIG
insured, 7.50%, 1/1/04 1,383,260
---------------
2,789,286
---------------
CALIFORNIA (4.4%)
1,665,000 Santa Ana, CA, Community Redevelopment
Agency Tax Allocation Bonds, Santa Ana
Redevelopment Project Area, Series B,
COLL by USG, 6.50%, 12/15/14, P/R
12/15/00 @ 102 1,778,836
---------------
COLORADO (4.5%)
100,000 Blackhawk, CO, Device Tax RV, 6.00%,
12/1/98 102,334
1,000,000 Castle Rock Ranch, CO, PFA RV, 5.70%,
12/1/06(b) 1,027,310
200,000 Colorado HFA, SFM RV, Series D-I,
remarketed 7/15/94, 6.25%, 12/1/01 206,328
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
72
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
COLORADO (continued)
<TABLE>
<C> <S> <C>
215,000 Colorado HFA, SFM RV, Series D-II,
remarketed 11/15/97, 6.38%, 12/1/01 $ 221,904
145,000 Genesee, CO, Water & Sanitation
District, Jefferson County, GO Bonds,
MBIA insured, 4.50%, 12/1/99 145,938
115,000 Genesee, CO, Water & Sanitation
District, Jefferson County, GO Bonds,
MBIA insured, 4.60%, 12/1/00 115,653
---------------
1,819,467
---------------
FLORIDA (2.7%)
480,000 Broward County, FL, Resource Recovery
RV, SES Broward Co. LP South Project,
7.95%, 12/1/08 523,090
545,000 Osceola County, FL, Health Facilities
Authority RV, Lutheran Good Samaritan
Society, 5.00%, 5/1/99 551,235
---------------
1,074,325
---------------
HAWAII (2.7%)
1,000,000 Honolulu, HI, City and County, GO Bonds,
Series A, 6.70%, 8/1/07, P/R 8/1/01 @
101 1,089,230
---------------
IDAHO (4.4%)
1,250,000 Boise City, ID, HFA RV, Hobbler Place
Project, 5.25%, 2/1/02 1,248,375
500,000 Pocatello, ID, IDA RV, Allocation Tax
Increment Bonds, Series B, 7.25%,
12/1/08 528,390
---------------
1,776,765
---------------
ILLINOIS (6.0%)
1,185,000 Des Plaines, IL, Hospital Facilities RV,
Holy Family Hospital, MBIA insured,
10.63%, 1/1/03, P/R 7/1/02 @ 100 1,389,176
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
ILLINOIS (continued)
<TABLE>
<C> <S> <C>
500,000 Illinois State, Sales Tax RV, Series E,
7.10%, 6/15/98 $ 511,230
500,000 Metropolitan Pier & Exposition
Authority, IL, Dedicated State Tax RV,
McCormick Place Expansion Project,
Series A, AMBAC insured, 4.90%,
12/15/03 501,375
---------------
2,401,781
---------------
IOWA (0.9%)
350,000 Ottumwa, IA, Hospital Facilities RV,
Ottumwa Regional Health Center, Inc.,
9.50%, 11/1/00 361,620
---------------
LOUISIANA (1.1%)
415,000 Louisiana PFA, MFHR Bonds, Edgewood
Apartments, FNMA insured, 5.70%,
6/1/05 425,092
---------------
MICHIGAN (4.0%)
300,000 Lakeview, MI, Community Schools, GO
Bonds, FGIC insured, 6.50%, 5/1/05 331,488
305,000 Lakeview, MI, Community Schools, GO
Bonds, FGIC insured, 6.50%, 5/1/06 339,090
395,000 Merrill, MI, Community SD, GO Bonds,
FGIC insured, 6.50%, 5/1/05 435,642
450,000 Schoolcraft, MI, Community SD, GO Bonds,
FGIC insured, 6.50%, 5/1/04 493,596
---------------
1,599,816
---------------
MINNESOTA (2.6%)
1,000,000 St. Paul, MN, Housing & Redevelopment
Authority, Hospital RV, Healtheast
Project, Series D, 9.75%, 11/1/17,
crossover refunded 11/1/97 @ 102 1,042,870
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
73
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (continued)
MISSISSIPPI (0.8%)
335,000 Ridgeland, MS, MFHR Bonds, Sunchase
Apartments Project, FNMA insured,
6.50%, 10/1/07 $ 338,068
---------------
MISSOURI (3.9%)
735,000 Boone County, MO, Hospital RV, 7.10%,
8/1/99 770,450
780,000 St. Louis, MO, Regional Convention &
Sports Complex Authority RV, Series C,
7.75%, 8/15/01 819,982
---------------
1,590,432
---------------
NEVADA (4.0%)
1,000,000 Clark County, NV, Flood Control, GO
Bonds, AMBAC insured, 6.10%, 11/1/02 1,064,820
500,000 Clark County, NV, SD, GO Bonds, Series
A, MBIA insured, 7.00%, 6/1/05, P/R
6/1/01 @ 101 548,255
---------------
1,613,075
---------------
NEW YORK (8.9%)
1,000,000 County of Westchester, NY, IDA RV, AGR
Realty Co. Project, 5.75%, 1/1/02(o) 1,009,550
1,925,000 New York State HFA, EFA RV, State
University Construction, ETM USG,
6.50%, 11/1/06 2,084,506
500,000 Syracuse, NY, IDA, PILOT RV, 5.13%,
10/15/02 499,855
---------------
3,593,911
---------------
NORTH CAROLINA (1.8%)
700,000 North Carolina Municipal Power Agency
#1, Catawba Electric RV, 5.90%, 1/1/03 725,858
---------------
OHIO (5.4%)
1,285,000 Akron, OH, COP, Sports Facilities RV,
Municipal Baseball Stadium Project,
0.00%, (5.32% effective yield),
12/1/01 1,015,381
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
OHIO (continued)
<TABLE>
<C> <S> <C>
230,000 Akron, OH, COP, Sports Facilities RV,
Municipal Baseball Stadium Project,
0.00%, (6.50% effective yield),
12/1/07 $ 179,413
500,000 Cleveland, OH, Cuyahoga County Port
Authorities RV, Rock & Roll Hall of
Fame, 4.30%, 12/1/98 499,440
500,000 Cleveland, OH, Cuyahoga County Port
Authorities RV, Rock & Roll Hall of
Fame, 4.60%, 12/1/99 498,715
---------------
2,192,949
---------------
OKLAHOMA (0.5%)
215,000 Norman, OK, Regional Hospital Authority,
Health Care RV, Series A, MBIA
insured, 4.60%, 9/1/00 215,237
---------------
PENNSYLVANIA (4.8%)
265,000 Philadelphia, PA, Gas Works RV,
Thirteenth Series, 7.50%, 6/15/01 288,108
550,000 Philadelphia, PA, IDA RV, Gallery II
Garage Project, 6.13%, 2/15/03(o) 553,520
1,000,000 Windber, PA, Area Authority Hospital
R/V, Windber Hospital Project, 6.50%,
FHA insured, 2/1/30, P/R 8/1/05 @ 102 1,095,880
---------------
1,937,508
---------------
PUERTO RICO (1.3%)
500,000 Puerto Rico, Electric Power Authority
RV, Series W, 5.00%, 7/1/98 505,775
---------------
SOUTH CAROLINA (2.5%)
250,000 Medical University of SC, Hospital
Facilities RV, Series A, 7.00%, 7/1/02 271,110
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
74
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
SOUTH CAROLINA (continued)
<TABLE>
<C> <S> <C>
250,000 Medical University of SC, Hospital
Facilities RV, Series A, 7.20%, 7/1/05 $ 269,268
450,000 South Carolina State Public Service
Authority RV, Series B, 6.40%, 7/1/00 474,093
---------------
1,014,471
---------------
TEXAS (12.3%)
450,000 Desoto, TX, Housing Finance Corp., MFHR
Bonds, Windsor Foundation Project,
Series A, 6.13%, 2/1/05 461,705
1,460,000 Grand Prairie, TX, Health Facilities RV,
Dallas/Fort Worth Medical Center
Project, 6.00%, 11/1/99 1,496,120
535,000 Grape Creek-Pulliam, TX, Independent SD,
EFA RV, Public Facilities Corp.,
6.20%, 5/15/02 538,831
750,000 Houston, TX, Housing Finance Corp., SFM
RV, Series A-1, 8.00%, 6/1/14 815,453
250,000 Houston, TX, Housing Finance Corp., SFM
RV, Series B-1, 8.00%, 6/1/14 270,205
855,000 San Antonio, TX, HEFA, Educational
Facilities RV, University of Texas at
San Antonio, Phase I, 6.50%,
11/1/01(o) 863,413
495,000 Texas Water Resource Finance Authority
RV, AMBAC insured, 7.50%, 8/15/03 525,997
---------------
4,971,724
---------------
UTAH (1.2%)
105,000 West Valley City, UT, Redevelopment
Agency Tax Increment RV, 4.55%, 3/1/00 104,412
100,000 West Valley City, UT, Redevelopment
Agency Tax Increment RV, 4.70%, 3/1/01 99,322
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LIMITED TERM TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
UTAH (continued)
<TABLE>
<C> <S> <C>
70,000 West Valley City, UT, Redevelopment
Agency Tax Increment RV, 4.80%, 3/1/02 $ 69,438
105,000 West Valley City, UT, Redevelopment
Agency Tax Increment RV, 5.00%, 3/1/03 104,629
100,000 West Valley City, UT, Redevelopment
Agency Tax Increment RV, 5.10%, 3/1/04 99,823
---------------
477,624
---------------
WASHINGTON (4.8%)
850,000 Seattle, WA, MFHR Bonds, Market House
Elderly Housing, Series A, 6.20%,
2/1/04 872,780
1,000,000 Washington State Public Power Supply,
System Nuclear Project #2, Power RV,
FGIC insured, 6.50%, 7/1/05 1,084,460
---------------
1,957,240
---------------
WISCONSIN (1.3%)
500,000 Wisconsin Housing & Economic Development
Authority, Housing RV, Series A, HUD
insured, 6.20%, 11/1/01 519,410
---------------
TOTAL MUNICIPALS (COST $38,687,546) 38,834,790
---------------
SHORT-TERM HOLDINGS (3.8%)
1,547,898 Norwest Municipal Money Market Fund
(cost $1,547,898) 1,547,898
---------------
TOTAL INVESTMENTS (100.0%) (COST $40,235,444)
$ 40,382,688
---------------
---------------
- ----------------------------------------------------
TAX-FREE INCOME FUND
- ----------------------------------------------------
MUNICIPAL BONDS (89.9%)
ARIZONA (1.3%)
3,000,000 Maricopa County, AZ, Union SD #48, GO
Bonds, School Improvements, 9.00%,
7/1/05 $ 3,811,710
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
75
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (continued)
CALIFORNIA (3.9%)
4,200,000 California, EFA RV, St. Mary's College,
MBIA insured, 4.75%, 10/1/20 $ 3,646,818
1,910,000 Los Angeles, CA, Community Redevelopment
Agency Housing RV, Monterey Hills
Redevelopment Project, Series A,
8.20%, 12/1/13 2,127,836
2,310,000 Pomona, CA, SD, GO Bonds, Series A, MBIA
insured, 6.50%, 8/1/19 2,571,168
2,500,000 San Bernardino County, CA, COP, Health
Care RV, Capital Facilities Project,
Series B, 6.88%, 8/1/24 2,963,700
---------------
11,309,522
---------------
COLORADO (14.6%)
7,275,000 Adams County, CO, SFM RV, Series A-2,
8.70%, 6/1/12 7,907,561
1,750,000 Arapahoe County, CO, Utilities RV, Water
& Wastewater Authority Revenue, 6.25%,
12/1/20 1,748,932
1,950,000 Castle Rock Ranch, CO, PFA RV, 5.70%,
12/1/06(b) 2,003,254
1,000,000 Colorado HFA, GO Bonds, Series A, 7.40%,
5/1/11 1,063,330
1,500,000 Colorado HFA, SFM RV, Series A-2, 7.15%,
11/1/14 1,660,980
3,060,000 Colorado HFA, SFM RV, Series B-2, 7.50%,
12/1/16 3,424,996
4,225,000 Colorado HFA, SFM RV, Series C, 7.90%,
12/1/24 4,695,580
4,110,000 Colorado HFA, SFM RV, Series D-1,
remarketed 7/15/94, 8.00%, 12/1/24 4,629,340
2,895,000 Colorado HFA, SFM RV, Series D-2,
remarketed 11/15/94, 8.13%, 6/1/25 3,264,345
5,200,000 Denver, CO, Urban Renewal Authority, Tax
Increment RV, remarketed 6/15/94,
9.13%, 9/1/17(o) 6,098,560
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
COLORADO (continued)
<TABLE>
<C> <S> <C>
3,500,000 El Paso County, CO, SD #11, Colorado
Springs, GO Bonds, 7.10%, 12/1/17 $ 4,144,455
905,000 Logan County, CO, SFM RV, Series 1992 A,
8.50%, 11/1/11 968,277
1,085,000 Vail, CO, SFM RV, Series A, 8.13%,
6/1/10 1,171,821
---------------
42,781,431
---------------
FLORIDA (7.7%)
10,350,000 Dade County, FL, Special Obligation,
Sales Tax RV, Series B, AMBAC insured,
5.00%, 10/1/35 9,396,351
3,000,000 Lakeland, FL, Electric & Water RV, FGIC
insured, 6.00%, 10/1/14 3,205,980
4,500,000 North Broward, FL, Hospital District RV,
MBIA insured, 5.38%, 1/15/24 4,339,350
6,000,000 Orlando, FL, Utilities Community Water &
Electric RV, Series B, 5.25%, 10/1/23 5,629,740
---------------
22,571,421
---------------
IDAHO (0.2%)
500,000 Pocatello, ID, IDA RV, Allocation Tax
Increment, Series B, 7.25%, 12/1/08 528,390
---------------
ILLINOIS (5.6%)
3,000,000 Illinois Development Financial Authority
RV, Community Rehabilitation Providers
Facility, Series A, 7.88%, 7/1/20(o) 3,125,250
1,215,000 Illinois Health Facilities Authority RV,
Health Care RV, Edgewater Medical
Center, Series A, 9.25%, 7/1/24(o) 1,338,383
1,250,000 Illinois Health Facilities Authority RV,
Rush Presbyterian, Series A, 6.25%,
11/15/20 1,305,625
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
76
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
ILLINOIS (continued)
<TABLE>
<C> <S> <C>
1,025,000 Lake County, IL, Community Unit SD #116,
Educational Facilities RV, Rund Lake,
7.60%, 2/1/13 $ 1,220,180
7,350,000 Regional Transportation Authority, IL,
Sales Tax RV, Series D, FGIC insured,
7.75%, 6/1/19 9,362,283
---------------
16,351,721
---------------
INDIANA (0.4%)
3,500,000 Indiana Transportation Financial
Authority Highway RV, Series A, AMBAC
insured, 0.00% (5.89% effective
yield), 12/1/17 1,075,235
---------------
KANSAS (1.3%)
3,175,000 Kansas State, DOT, Highway RV, Series A,
7.25%, 9/1/08 3,774,122
---------------
LOUISIANA (1.0%)
480,000 East Baton Rouge, LA, Mortgage Finance
Authority, SFM RV, Series 1988 C, GNMA
COLL, 8.38%, 2/1/17 502,819
5,000,000 Rapides Parish, LA, Housing & Mortgage
Finance Authority, Capital
Appreciation RV, Series C, 0.00%,
(7.45% effective yield), 7/10/14 1,573,800
2,900,000 St. Bernard Parish, LA, Housing Mortgage
Agency, SFM RV, Series 1992 C, 0.00%,
(7.65% effective yield), 7/10/14 814,436
---------------
2,891,055
---------------
MAINE (1.0%)
2,840,000 Maine HEHFA RV, Series B, AMBAC insured,
5.75%, 7/1/26 2,845,595
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
MASSACHUSETTS (3.2%)
5,325,000 Massachusetts Bay Transportation
Authority, General Transportation
System RV, Series B, 6.20%, 3/1/16 $ 5,773,525
2,500,000 Massachusetts State College Building
Authority, Educational Facilities RV,
Series A, 7.50%, 5/1/14 3,050,600
685,000 New Bedford, MA, IDA RV, Aerovox Inc.,
Project, Series 1982, 7.42%, 7/1/02(o) 699,481
---------------
9,523,606
---------------
MICHIGAN (1.2%)
2,760,000 Wayland, MI, Unified SD, GO Bonds, FGIC
insured, 8.00%, 5/1/10 3,440,174
---------------
MISSISSIPPI (0.8%)
2,000,000 Mississippi Home Corp., Residual Capital
Appreciation RV, Series 1992 II, 0.00%
(7.38% effective yield), 4/15/12 708,860
1,500,000 Mississippi Hospital Equipment &
Facilities Authority RV, Rush Medical
Foundation Project, Series A, 8.75%,
1/1/16 1,675,875
---------------
2,384,735
---------------
NEW HAMPSHIRE (0.7%)
2,050,000 New Hampshire HEHFA RV, New London
Hospital Association Project, 7.00%,
6/1/00 2,119,639
---------------
NEW MEXICO (4.2%)
5,295,000 Bernalillo County, NM, Gross Receipts
Tax RV, Series B, 5.70%, 4/1/27 5,343,979
1,330,000 Hobbs, NM, SFM RV, 8.75%, 7/1/11 1,477,284
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
77
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
NEW MEXICO (continued)
<TABLE>
<C> <S> <C>
5,285,000 Santa Fe County, NM, Correctional
Systems RV, FSA insured, 6.00%, 2/1/27 $ 5,632,594
---------------
12,453,857
---------------
NEW YORK (8.2%)
4,055,000 New York State Medical Care Facilities
Finance Agency, Health Care RV,
MBIA-FHA insured, 5.38%, 2/15/25 3,858,616
12,500,000 New York State Urban Development RV,
Correctional Capital Facilities,
Series A, FSA insured, 5.25%, 1/1/21 11,705,500
5,400,000 New York, NY, City Municipal Water
Finance Authority, Water & Sewer
System RV, Series F, MBIA insured,
5.50%, 6/15/23 5,229,306
110,000 New York, NY, GO Bonds, Series B-1,
7.30%, 8/15/10 121,383
1,370,000 New York, NY, GO Bonds, Series B-1,
7.30%, 8/15/10, P/R 8/15/04 @ 101 1,593,050
1,365,000 New York, NY, GO Bonds, Series B-1,
7.38%, 8/15/13 1,512,243
135,000 New York, NY, GO Bonds, Series B-1,
7.38%, 8/15/13, P/R 8/15/04 @ 101 157,052
---------------
24,177,150
---------------
NORTH CAROLINA (2.5%)
2,500,000 North Carolina Eastern Municipal Power
RV, Series C, 5.00% 1/1/21 2,170,950
2,000,000 North Carolina Medical Care Common
Health Care RV, Carolina Medicorp
Project, 5.13%, 5/1/16 1,886,580
1,890,000 North Carolina Medical Care Common
Health Care RV, Carolina Medicorp
Project, 5.25%, 5/1/26 1,766,262
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
NORTH CAROLINA (continued)
<TABLE>
<C> <S> <C>
1,500,000 North Carolina Medical Care Common
Hospital RV, Duke University Hospital
Project, Series C, 5.25%, 6/1/21 $ 1,426,410
---------------
7,250,202
---------------
NORTH DAKOTA (0.6%)
2,000,000 Fargo, ND, Health System RV, Meritcare
Obligatee Group, Series A, MBIA
insured, 5.38%, 6/1/27 1,905,700
---------------
OHIO (1.4%)
4,500,000 Akron, OH, COP, Sports Facilities RV,
Municipal Baseball Stadium Project,
0.00% (6.90% effective yield), 12/1/16 3,441,060
700,000 Cleveland, OH, Cuyahoga County Port
Authorities RV, Rock & Roll Hall of
Fame, 5.35%, 12/1/04 698,719
---------------
4,139,779
---------------
OKLAHOMA (0.5%)
1,245,000 Tulsa, OK, IDA RV, University of Tulsa,
Series A, MBIA insured, 6.00%, 10/1/16 1,326,884
---------------
OREGON (1.8%)
2,000,000 Emerald Peoples Utilities District, OR,
Utilities RV, FGIC insured, 7.35%,
11/1/11 2,403,740
2,490,000 Emerald Peoples Utilities District, OR,
Utilities RV, FGIC insured, 7.35%,
11/1/12 3,000,649
---------------
5,404,389
---------------
PENNSYLVANIA (0.4%)
1,150,000 Cumberland County, PA, Municipal
Authority Health Care RV, Carlisle
Hospital & Health, 6.80%, 11/15/14 1,210,456
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
78
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
MUNICIPAL BONDS (continued)
RHODE ISLAND (1.4%)
4,085,000 Rhode Island Depositors Economic
Protection Corp., Special Obligation
Bonds, Series A, ETM, 5.75%, 8/1/21 $ 4,211,962
---------------
SOUTH CAROLINA (4.5%)
7,500,000 Piedmont, SC, Municipal Power Agency,
Electric RV, Series A, 6.55%, 1/1/16 7,532,925
5,725,000 Piedmont, SC, Municipal Power Agency,
Electric RV, Series A, 6.60%, 1/1/21 5,747,843
---------------
13,280,768
---------------
SOUTH DAKOTA (1.3%)
3,500,000 South Dakota State, HEFA RV, Huron
Regional Medical Center, 7.30%,
4/1/16(o) 3,885,316
---------------
TEXAS (11.5%)
575,000 Baytown, TX, Housing Finance Corp., SFM
RV, Series 1992 A, 8.50%, 9/1/11 637,422
2,520,000 Beaumont, TX, Housing Finance Corp. RV,
9.20%, 3/1/12 2,801,408
2,080,000 Corpus Christi, TX, HFA, Housing RV,
Series A, MBIA insured, 7.70%, 7/1/11 2,263,165
2,395,000 Desoto, TX, Housing Finance Corp., MFHR
Bonds, Windsor Foundation Project,
Series A, 7.00%, 2/1/25 2,532,497
290,000 El Paso, TX, Housing Finance Corp., SFM
RV, Series A, 8.75%, 10/1/11 322,138
390,000 Galveston County, TX, Property Finance
Authority Inc., SFM RV, Series A,
8.50%, 9/1/11 421,691
1,300,000 Grape Creek-Pulliam, TX, Independent SD
Public Facilities Corp., GO Bonds,
7.25%, 5/15/21 1,377,090
6,250,000 Houston, TX, Housing Finance Corp., SFM
RV, Series A-1, 8.00%, 6/1/14 6,795,438
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
TEXAS (continued)
<TABLE>
<C> <S> <C>
2,250,000 Houston, TX, Housing Finance Corp., SFM
RV, Series B-1, 8.00%, 6/1/14 $ 2,431,845
255,000 Port Arthur, TX, Housing Finance Corp.,
SFM RV, 8.70%, 3/1/12 279,054
5,500,000 San Antonio, TX, Electric & Gas RV,
5.00%, 2/1/17 5,118,465
4,180,000 San Antonio, TX, HEFA, Educational
Facilities RV, 7.13%, 11/1/15(o) 4,314,554
2,000,000 Tarrant County, TX, Water Control RV,
AMBAC insured, 4.75%, 3/1/12 1,848,640
2,200,000 Texas State Department of Housing and
Community Affairs, SFM RV, Series A,
8.10%, 9/1/15 2,477,134
---------------
33,620,541
---------------
UTAH (0.6%)
1,650,000 West VY City, UT, Redevelopment Agency
Tax Increment RV, 6.00%, 3/1/24 1,644,374
---------------
VIRGINIA (1.0%)
3,000,000 Fairfax County, VA, Redevelopment &
Housing Authority, MFHR Bonds, Burke
Shire Commons, 7.60%, 10/1/36(o) 3,024,450
---------------
WASHINGTON (4.2%)
1,748,000 Kitsap County, WA, Housing Authority
Revenue, MFHR Bonds, Low Income
Housing, GNMA COLL, 7.10%, 2/20/16 1,893,049
4,000,000 Washington Public Power Supply System,
Power RV, Nuclear Project #1, Series
A, AMBAC insured, 6.00%, 7/1/07 4,280,920
2,750,000 Washington Public Power Supply System,
Power RV, Nuclear Project #2, Series
A, 6.00%, 7/1/07 2,905,348
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
79
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
TAX-FREE INCOME FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
WASHINGTON (continued)
<TABLE>
<C> <S> <C>
3,000,000 Yakima County, WA, SD #007, GO Bonds,
MBIA insured, 6.75%, 12/1/06 $ 3,411,540
---------------
12,490,857
---------------
WEST VIRGINIA (1.3%)
4,000,000 West Virginia, GO Bonds, Series A, FGIC
insured, 5.25%, 11/1/26 3,801,800
---------------
WISCONSIN (1.6%)
5,000,000 Wisconsin State HEFA RV, MBIA insured,
5.25%, 8/15/23 4,603,000
---------------
TOTAL MUNICIPALS (COST $254,641,508) 263,839,841
---------------
SHORT-TERM HOLDINGS (10.1%)
10,115,207 Federated Tax-Free Obligations Money
Market Fund 10,115,207
4,500,000 Illinois Health Care Authority RV,
Northwest Community Hospital, First
National Bank of Chicago, LOC, 3.95%
V/R, 7/1/27(c) 4,500,000
14,906,667 Norwest Municipal Money Market Fund 14,906,667
---------------
TOTAL SHORT-TERM HOLDINGS
(COST $29,521,874) 29,521,874
---------------
TOTAL INVESTMENTS (100.0%)
(COST $284,163,382) $ 293,361,715
---------------
---------------
- ----------------------------------------------------
COLORADO TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (91.8%)
AIRPORT REVENUE (11.2%)
4,500,000 Denver, CO, City & County, Airport RV,
Series A, MBIA insured, 5.50%,
11/15/25 $ 4,358,475
2,500,000 Denver, CO, City & County, Airport RV,
Series A, MBIA insured, 5.60%,
11/15/20 2,447,225
---------------
6,805,700
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
GENERAL OBLIGATION--POLITICAL SUBDIVISION (1.7%)
1,000,000 Highlands Ranch, CO, Metropolitan
District #1, GO Bonds, AMBAC insured,
5.75%, 9/1/12 $ 1,044,980
---------------
GENERAL OBLIGATION--SCHOOL DISTRICTS (12.7%)
500,000 Denver, CO, City & County SD #1, GO
Bonds, Series A, 6.50%, 6/1/10 560,625
1,740,000 Douglas County, CO, SD #1, Douglas &
Elbert Counties, GO Bonds, MBIA
insured, 5.13%, 12/15/16 1,675,516
2,500,000 El Paso County, CO, SD #11, Colorado
Springs, GO Bonds, 7.10%, 12/1/17 2,960,325
2,500,000 Metex Metropolitan District, CO., GO
Bonds, Series A, 5.80%, 12/1/16 2,556,025
---------------
7,752,491
---------------
GENERAL OBLIGATION--STATES, TERRITORIES (2.0%)
1,100,000 Highlands Ranch, CO, Metropolitan
District #2, GO Bonds, 6.50%, FSA
insured, 6/15/12 1,237,456
---------------
HEALTH CARE REVENUE (6.8%)
2,000,000 Colorado Health Facilities Authority RV,
Craig Hospital Project, 5.50%, 12/1/21 1,920,780
1,250,000 Colorado Health Facilities Authority RV,
Sisters of Charity, Series A, AMBAC
insured, 6.25%, 5/15/11 1,362,825
1,000,000 Denver, CO, City & County RV, Sisters of
Charity of Leavenworth, 5.00%, 12/1/23 899,220
---------------
4,182,825
---------------
INDUSTRIAL DEVELOPMENT REVENUE (5.0%)
3,000,000 Fort Collins, CO, PCR Bonds, Anheuser
Busch Project, 6.00%, 9/1/31 3,044,400
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
80
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
<TABLE>
<C> <S> <C>
MULTI-FAMILY HOUSING REVENUE (2.2%)
300,000 Aurora, CO, Housing Authority Finance
Corp., MFHR Bonds, Mountainview Place,
FHA insured, 7.13%, 9/1/22 $ 311,457
1,000,000 San Miguel County, CO, Housing
Authority, MFHR Bonds, Telluride
Village Apartments Project, 6.40%,
7/1/23 1,002,750
---------------
1,314,207
---------------
OTHER REVENUE (10.3%)
140,000 Blackhawk, CO, Device Tax RV, 5.60%,
12/1/04 141,880
145,000 Blackhawk, CO, Device Tax RV, 5.70%,
12/1/05 147,440
3,000,000 Castle Rock Ranch CO, PFA RV, 6.25%,
12/1/17(b) 3,226,440
1,000,000 Highlands Ranch, CO, Metropolitan
District #2, GO Bonds, FSA insured,
6.50%, 6/15/11 1,124,650
1,210,000 Montrose County, CO, COP, Series A,
6.40%, 12/1/12 1,243,033
355,000 Pueblo, CO, COP, Public Parking-Lease,
Purchase & Sublease, 6.90%, 7/1/15 369,310
---------------
6,252,753
---------------
POWER REVENUE (3.9%)
2,500,000 Puerto Rico, Electric Power Authority
RV, Series X, 5.50%, 7/1/25 2,401,525
---------------
SALES TAX REVENUE (1.0%)
590,000 Westminster, CO, Sales & Use Tax RV,
Series A, FGIC insured, 5.25%, 12/1/11 585,570
---------------
SINGLE FAMILY HOUSING REVENUE (25.7%)
1,915,000 Adams County, CO, SFM RV, Series A-2,
8.70%, 6/1/12 2,081,509
3,390,000 Colorado HFA, SFM RV, Series B-2, 7.45%,
11/1/27 3,820,191
470,000 Colorado HFA, SFM RV, Series B-2, 7.50%,
12/1/16 526,062
1,710,000 Colorado HFA, SFM RV, Series C-2, 7.45%,
6/1/17 1,920,091
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
SINGLE FAMILY HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
1,855,000 Colorado HFA, SFM RV, Series D-1,
remarketed 7/15/94, 8.00%, 12/1/24 $ 2,089,398
1,650,000 Colorado HFA, SFM RV, Series D-2, 7.10%,
6/1/14 1,818,119
3,000,000 Colorado HFA, SFM RV, Series D-2,
remarketed 11/15/94, 8.13%, 6/1/25 3,382,740
---------------
15,638,110
---------------
SPORTS FACILITIES REVENUE (1.4%)
500,000 Summit County, CO, Sports Facilities RV,
Keystone Resorts Management Project,
Ralston Purina Corp. LOC, 7.38%,
9/1/10 578,675
250,000 Summit County, CO, Sports Facilities RV,
Keystone Resorts Management Project,
Ralston Purina Corp. LOC, 7.75%,
9/1/06 293,170
---------------
871,845
---------------
TRANSPORTATION REVENUE (2.6%)
1,490,000 Arapahoe County, CO, Capital
Improvements & Transportation Highway
RV, Series E-470, MBIA insured,
remarketed 8/31/95, 6.15%, 8/31/26 1,573,500
---------------
UTILITIES REVENUE (5.3%)
1,250,000 Arapahoe County, CO, Utilities RV, Water
& Wastewater Authority Revenue, 6.25%,
12/1/20 1,249,236
1,000,000 Commonwealth of Puerto Rico, Aqueduct &
Sewer Authority RV, 5.00%, 7/1/19 915,570
1,000,000 Upper Eagle Regional Water Authority,
CO, Water RV, Water Refining &
Improvement, Eagle County, 6.38%,
12/1/10 1,066,620
---------------
3,231,426
---------------
TOTAL MUNICIPALS (COST $54,017,584) 55,936,788
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
81
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
COLORADO TAX-FREE FUND (continued)
- ----------------------------------------------------
SHORT-TERM HOLDINGS (8.2%)
2,000,000 Moffat County, CO, PCR Bonds, AMBAC
insured, 4.05% V/R, 7/1/10(c) $ 2,000,000
265,082 Norwest Municipal Money Market Fund 265,082
2,750,000 Pitkin County, CO, MFHR Bonds,
Centennial, Series A, Credit Lyonnais,
LOC, Series A, 4.00% V/R, 12/1/24(c) 2,750,000
---------------
TOTAL SHORT-TERM HOLDINGS (COST $5,015,082) 5,015,082
---------------
TOTAL INVESTMENTS (100.0%)
(COST $59,032,666) $ 60,951,870
---------------
---------------
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND
- ----------------------------------------------------
MUNICIPAL BONDS (94.4%)
EDUCATION FACILITIES REVENUE (10.6%)
500,000 Minnesota Higher EFA RV, College of St.
Benedict, Series 3-W, 6.00%, 3/1/07 $ 519,890
1,000,000 Minnesota Higher EFA RV, Hamline
University, Series 4-I, 6.00%, 10/1/16 1,015,250
3,500,000 University of Minnesota RV, Series A,
5.50%, 7/1/21 3,492,860
---------------
5,028,000
---------------
GENERAL OBLIGATION--POLITICAL SUBDIVISION (5.8%)
1,000,000 Bloomington, MN, GO Bonds, 6.00%,
12/1/99 1,041,500
100,000 Bloomington, MN, Tax Increment GO Bonds,
9.70%, 2/1/04 127,114
210,000 Bloomington, MN, Tax Increment GO Bonds,
9.75%, 2/1/07 273,340
1,100,000 Maple Grove, MN, GO Bonds, Series A,
5.20%, 2/1/17 1,061,192
245,000 Waconia, MN, GO Bonds, Water Revenue,
6.00%, 6/1/07 254,229
---------------
2,757,375
---------------
GENERAL OBLIGATION--SCHOOL DISTRICTS (16.2%)
1,675,000 Burnsville, MN, Independent SD #191, GO
Bonds, SCEP, Series A, 5.13%, 2/1/17 1,600,915
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
GENERAL OBLIGATION--SCHOOL DISTRICTS (continued)
<TABLE>
<C> <S> <C>
500,000 Chaska, MN, Independent SD #112, GO
Bonds, SCEP, Series B, 6.00%, 2/1/13 $ 519,980
1,000,000 Farmington, MN, Independent SD #192, GO
Bonds, Series A, FSA insured, 5.30%,
6/1/20 958,350
1,650,000 Minnetonka, MN, Independent SD #276, GO
Bonds, State Credit Enhancement
Program, Series B, 5.75%, 2/1/22 1,679,485
2,200,000 Wayzata, MN, Independent SD #284, GO
Bonds, Series A, 5.35%, 2/1/15 2,170,410
1,285,000 West St. Paul, MN, Independent SD #197,
GO Bonds, Capital Appreciation-School
Building Project, MBIA insured, 0.00%
(5.90% effective yield), 2/1/08 724,778
---------------
7,653,918
---------------
GENERAL OBLIGATION--STATES, TERRITORIES (3.1%)
1,500,000 Minnesota State, GO Bonds, 5.25%, 8/1/15 1,468,095
---------------
HEALTH CARE REVENUE (23.0%)
1,000,000 Brainerd, MN, Health Care Facilities RV,
Benedictine Health--St. Joseph's
Health Center, Series 1993 E, Connie
Lee insured, 6.00%, 2/15/20 1,016,220
500,000 Duluth, MN, EDA, Hospital Facilities RV,
St. Luke's Hospital of Duluth, Series
B, Connie Lee insured, 6.40%, 5/1/18 519,030
500,000 Glencoe, MN, Health Care RV, 6.40%,
12/1/15(o) 495,350
690,000 Glencoe, MN, Hospital RV, 6.63%,
4/1/11(o) 704,828
1,000,000 Hibbing, MN, Health Care Facilities RV,
Duluth Clinic Ltd., FSA insured,
5.50%, 11/1/16 987,040
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
82
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<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>
780,000 Mankato, MN, Hospital Facilities RV, 1st
Mortgage--Immanuel
St. Joseph's Project, Series A, 6.30%,
8/1/22 $ 807,058
1,000,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Childrens Health Care RV,
Series A, FSA insured, 5.70%, 8/15/16 1,010,310
500,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Health Care RV, Group Health
Plan, Inc., Project, 6.75%, 12/1/13 541,590
600,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Health Care RV, HealthOne
Obligated Group Project, Series A,
MBIA insured, 7.40%, 8/15/11 652,656
1,000,000 Minneapolis & St. Paul, MN, Housing &
Redevelopment Authority Health Care
System, Healthspan, Series A, AMBAC
insured, 5.00%, 11/15/13 937,020
2,000,000 Minnesota Agriculture & Economic
Development, Health Care RV, Fairview
Hospital, Series A, MBIA insured,
5.75%, 11/15/26 1,995,700
115,000 Red Wing, MN, Health Care Facilities RV,
River Region Obligated Group, Series
1993 B, 6.35%, 9/1/07 121,325
1,000,000 Rochester, MN, Health Care Facilities
RV, Mayo Medical Center, Series F,
6.25%, 11/15/21 1,052,530
---------------
10,840,657
---------------
<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 (6.2%)
660,000 Minnesota State, HFA, Housing
Development RV, 6.25%, 2/1/20 $ 666,903
550,000 Minnesota State, HFA, Housing
Development RV, Series A, 6.85%,
2/1/07 578,820
700,000 Minnesota State, HFA, MFHR Bonds, 6.38%,
2/1/20 707,462
495,000 Minnesota State, HFA, Rental Housing RV,
Series B, 6.25%, 8/1/22 500,019
485,000 Minnesota State, HFA, Rental Housing RV,
Series D, MBIA insured, 5.90%, 8/1/15 491,009
---------------
2,944,213
---------------
NURSING HOME REVENUE (5.0%)
500,000 Minneapolis, MN, Health Care Facilities
RV, Ebenezer Society Project, Series
A, 7.20%, 7/1/23(o) 507,870
750,000 Moorhead, MN, EDA, MFHR Bonds, Eventide
Project, Series A, 8.00%, 9/1/11(o) 811,043
500,000 Vadnais Heights, MN, SFM RV, 6.00%,
11/1/09 513,195
500,000 Waconia, MN, Housing & Redevelopment
Authority RV, The Evangelical Lutheran
Project, Series A, 5.85%, 6/1/06 514,595
---------------
2,346,703
---------------
OTHER GUARANTEED MUNICIPALS (0.5%)
200,000 Bemidji, MN, Hospital Facilities, Health
Care First Mortgage RV, North Country
Health Services Project, Series 1991
A, 7.00%, 9/1/11, P/R 9/1/01 @ 102 222,160
---------------
OTHER REVENUE (2.7%)
250,000 Duluth, MN, Gross RV, Spirit Mountain
Recreation Area, Series 1992, 6.40%,
2/1/03(o) 255,698
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
83
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<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 RV, Giants Ridge
Recreational Area, 7.25%, 10/1/11(o) $ 1,012,650
---------------
1,268,348
---------------
POLLUTION CONTROL REVENUE (4.7%)
1,000,000 Minnesota Public Facilities Authority,
Water PCR Bonds, Series A, 7.00%,
3/1/05 1,139,880
1,000,000 Minnesota Public Facilities Authority,
Water PCR Bonds, Series A, 6.50%,
3/1/14 1,084,461
---------------
2,224,341
---------------
POWER REVENUE (10.6%)
1,135,000 Northern Minnesota Municipal Power
Agency, Electric System RV, Series A,
5.00%, 1/1/21 1,030,534
1,000,000 Northern Minnesota Municipal Power
Agency, Electric System RV, Series B,
AMBAC insured, 5.50%, 1/1/18 986,020
1,000,000 Puerto Rico, Electric Power Authority
RV, Series X, 5.50%, 7/1/25 960,610
6,000,000 Southern Minnesota Municipal Power
Agency, Power Supply System RV, Series
A, MBIA insured, 0.00% (5.78%
effective yield), 1/1/24 1,298,700
750,000 Southern Minnesota Municipal Power
Agency, Power Supply System RV, Series
B, AMBAC insured, 5.00%, 1/1/13 708,804
---------------
4,984,668
---------------
SINGLE FAMILY HOUSING REVENUE (4.9%)
970,000 Minnesota State, HFA, SFM RV, remarketed
8/12/92, 6.25%, 1/1/15 997,616
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MINNESOTA TAX-FREE FUND (continued)
- ----------------------------------------------------
</TABLE>
MUNICIPAL BONDS (continued)
SINGLE FAMILY HOUSING REVENUE (continued)
<TABLE>
<C> <S> <C>
600,000 Minnesota State, HFA, SFM RV, Series A,
5.95%, 1/1/17 $ 607,482
675,000 St. Paul, MN, Housing & Redevelopment
Authority, SFM RV, FNMA Mortgage
Backed Securities Program, FNMA
insured, mandatory extraordinary
redemption @ 100, 3/1/07, 6.25%,
9/1/14 699,854
---------------
2,304,952
---------------
TRANSPORTATION REVENUE (1.1%)
500,000 Commonwealth of Puerto Rico Highway &
Transportation Authority RV, Series W,
FSA insured, 5.50%, 7/1/13 508,810
---------------
TOTAL MUNICIPALS (COST $43,400,974) 44,552,240
---------------
SHORT-TERM HOLDINGS (5.6%)
1,315,000 Fridley, MN, IDR Bonds, Longview Fibre
Co., Algemene Bank Netherlands-Amro
Bank, LOC, 3.95% V/R, 1/1/03(c) 1,315,000
44,950 Norwest Municipal Money Market Fund 44,950
200,000 Robbinsdale, MN, IDR Bonds, Unicare
Homes, Inc. Project, Banque Paribas,
LOC, 4.30% V/R, 10/1/14(c) 200,000
1,100,000 St. Paul, MN, IDR Bonds, Housing &
Redevelopment Authority, United Way
Project, First Bank, LOC, 3.95% V/R,
12/1/18(c) 1,100,000
---------------
TOTAL SHORT-TERM HOLDINGS (COST $2,659,950) 2,659,950
---------------
TOTAL INVESTMENTS (100.0%)
(COST $46,060,924) $ 47,212,190
---------------
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
84
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME INVESTMENT STYLE (14.9%)
ASSET BACKED SECURITIES (3.7%)
298,902 AFC Home Equity Loan Trust, Series
1995-2 A1, 7.19% V/R, 7/25/26 $ 300,863
524,748 Bear Stearns Secured Investors Trust,
Series 1991-2 H, 7.50%, 9/20/20 527,180
116,913 GMAC Grantor Trust, Series 1993-B A,
4.00%, 9/15/98 116,843
260,901 Green Tree Financial Corp., Series
1993-3 A3, 5.20%, 10/15/18 261,008
6,584 Green Tree Financial Corp., Series
1994-4 A1, 6.55%, 7/15/19 6,595
500,000 Green Tree Financial Corp., Series
1995-10 A4, 6.30%, 2/15/27 490,830
500,000 HCLT, Series 1997-1, A3, 6.04% V/R,
3/15/07 498,907
331,880 SBA, Adjustable Rate Pool 500806, 7.00%,
2/25/14 339,763
105,735 SBA, Adjustable Rate Pool 501017, 6.88%,
9/25/14 108,776
223,431 SBA, Adjustable Rate Pool 502966, 9.73%,
5/25/15 246,816
220,989 SBA, Adjustable Rate Pool 503249, 8.38%,
4/25/07 230,106
243,516 SBA, Adjustable Rate Pool 503250, 9.73%,
3/25/09 266,651
244,842 SBA, Adjustable Rate Pool 503398, 8.88%,
5/25/13 269,633
458,799 SBA, Adjustable Rate Pool 503405, 8.63%,
5/25/13 504,679
223,415 SBA, Adjustable Rate Pool 503653, 9.13%,
1/25/10 241,629
323,295 SASC, Series 1996-C1 A, 5.94% V/R,
10/25/10 323,093
---------------
TOTAL ASSET BACKED SECURITIES (COST $4,744,530)
4,733,372
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (4.8%)
900,000 FHLB, Series DU-98, 4.60%, 8/3/98 892,125
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
500,000 FHLMC, Series 1625DA, 5.50%, 7/15/04 $ 497,145
189,046 FNMA, Series 1994-1 A1, 5.89% V/R,
10/1/04 188,810
500,000 MLCC Mortgage Investors, Inc., Series
1994-A, 6.49% V/R, 7/15/19 507,813
193,385 MLCC Mortgage Investors, Inc., Series
1994-B A1, 6.09% V/R, 12/15/19 193,637
274,127 MNB Mortgage Home Equity Loan ABS
Certificates, Series 1990-1 A, 9.50%,
6/25/19 274,128
500,000 PRAT, Series 1997-1B, 6.55%, 9/6/03 496,563
535,830 RTC, Series 1992-7 A2D, 8.35%, 6/25/29 543,198
480,319 RTC, Series 1992-18P A4, 6.70% V/R,
4/25/28 478,519
469,551 RTC, Series 1992-C2 A2, 6.75% V/R,
10/25/21 469,991
791,657 RTC, Series 1992-C3 A3, 6.90% V/R,
8/25/23 792,152
746,030 RTC, Series 1992-M3 A4, 7.75% V/R,
7/25/30 747,430
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$6,047,799) 6,081,511
---------------
CORPORATE BONDS & NOTES (1.5%)
537,000 Chase Manhattan Corp., 10.13%, 11/1/00 590,981
300,000 Chrysler Financial Corp., 6.26%, 7/20/98 300,285
475,000 Newell Co., 6.18%, 7/11/00 468,199
500,000 Transamerica Financial, 6.41%, 6/20/00 495,559
---------------
TOTAL CORPORATE BONDS & NOTES (COST $1,858,373)
1,855,024
---------------
GOVERNMENT AGENCY BONDS & NOTES (0.4%)
500,000 FHLB, 4.65% V/R, 3/11/98 (cost $486,910) 494,871
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
85
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (1.3%)
347,773 FNMA, ARM, Pool 318464, 7.54%, 4/1/25 $ 359,548
655,728 FNMA, ARM, Pool 321051, 7.73%, 8/1/25 681,282
266,062 FNMA, ARM, Pool 331866, 7.24%, 12/1/25 274,546
327,054 FNMA, ARM, Pool 46698, 7.13% V/R,
12/1/15 340,830
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $1,619,598)
1,656,206
---------------
MUNICIPAL BONDS (0.7%)
330,000 Los Angeles County California, Taxable
Pension Obligation Bonds, Series D,
MBIA County GTD, 6.02%, 6/30/97 330,069
500,000 Utah State SD Financial Corp. RV, 6.90%,
2/15/10, putable 8/17/98 @ 100 505,412
---------------
TOTAL MUNICIPAL BONDS (COST $847,830) 835,481
---------------
RECEIVABLES BACKED SECURITIES (0.5%)
128,368 Daimler-Benz Auto Grantor Trust, Series
1993-A A, 3.90%, 10/15/98 127,928
364,479 First Merchants Grantor Trust, Series
1996-2 A, 6.85%, 11/15/01 365,049
109,545 Honda Auto Receivables Grantor Trust,
Series 1994-A A, 4.80%, 8/15/99 109,440
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $599,720)
602,417
---------------
REPURCHASE AGREEMENTS (1.1%)
1,591,622 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $1,592,361 (cost
$1,591,622) 1,591,622
---------------
U.S. TREASURY NOTES (0.9%)
1,250,000 5.88%, 2/15/04 (cost $1,211,917)(d) 1,202,346
---------------
TOTAL STABLE INCOME INVESTMENT STYLE (COST $19,008,299)
19,052,850
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (16.0%)
ASSET BACKED SECURITIES (2.5%)
500,000 EQCC Home Equity Loan Trust, Series
1996-2 A4, 7.50%, 6/15/21 $ 506,085
250,000 FHLMC, Series 1832 D, 6.50%, 6/15/08 246,990
500,000 GNMA, Series 1994-7 PG, 6.50%, 8/16/17 491,195
400,000 Green Tree Financial Corp., Series
1994-1 A4, 7.20%, 4/15/19 405,724
600,000 Green Tree Financial Corp., Series
1995-5 A5, 6.90%, 9/15/26 598,260
500,000 Green Tree Financial Corp., Series
1995-10 A4, 6.30%, 2/15/27 490,830
481,121 SASC, Series 1192-M1, 7.05%, 11/25/07 483,526
---------------
TOTAL ASSET BACKED SECURITIES (COST $3,208,355)
3,222,610
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.3%)
400,000 American Housing Trust, Series VI, Class
I-I, 9.15%, 5/25/20 429,937
269,405 CMC Securities Corp. II, Series 1993-2I
A2, 7.05%, 9/25/23 274,624
500,000 FNMA, Series 1994-M1 B, 6.50% V/R,
10/25/03 487,812
423,111 L.F. Rothschild Mortgage Trust, Series
2Z, 9.95%, 8/1/17 459,779
529,427 Merrill Lynch Mortgage Investors, Inc.,
Series 1994-I, 7.88%, 1/25/05 539,850
650,000 RFMSI, ARM, 7.00%, 5/25/24 642,187
367,230 RTC, Series 1992-4 A2, 7.63% V/R,
7/25/28 375,378
200,000 RTC, Series 1995 1 A2C, 7.50%, 10/25/28 200,695
500,000 Vendee Mortgage Trust, Series 1995-1C
3E, 8.00%, 7/15/18 514,914
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
86
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
250,000 Vendee Mortgage Trust, Series 1997-1 2C,
7.50%, 9/15/17 $ 251,940
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$4,200,327) 4,177,116
---------------
CORPORATE BONDS & NOTES (8.7%)
250,000 Allied Signal, Inc., 9.88%, 6/1/02 281,090
400,000 Applied Materials, 7.00%, 9/6/05 393,260
400,000 CIT Group Holdings, 6.15%, 12/15/02 387,888
500,000 Cargill, Inc., 8.35%, 2/12/11(b)(o) 526,065
100,000 Charles Schwab Corp., 7.19%, 5/31/01 100,670
200,000 Charles Schwab Corp., 6.25%, 1/23/03 192,243
400,000 Chase Manhattan Corp., 8.63%, 5/1/02 427,496
500,000 Chrysler Financial Corp., 5.38%,
10/15/98 496,050
400,000 Citicorp, 9.50%, 2/1/02 439,103
100,000 Coca Cola Bottling Co., 6.85%, 11/01/07 96,499
300,000 Colonial Pipeline, 7.13%, 8/15/02(b) 302,250
400,000 Continental Bank, N.A., 11.25%, 7/1/01 420,056
250,000 Corestates Capital Corp., 5.88%,
10/15/03 235,141
200,000 Fina Oil & Chemical, 6.88%, 7/15/01 199,961
200,000 First Bank N.A., 6.00%, 10/15/03 189,485
300,000 First Bank Systems, Inc., 7.63%, 5/1/05 307,179
200,000 Fletcher Challenge Cap Canada, 7.75%,
6/20/06 204,281
400,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 399,465
200,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 200,402
250,000 International Lease Finance Corp.,
6.43%, 3/1/00 248,380
250,000 Levi Strauss & Co., 6.80%, 11/1/03(b)(o) 246,859
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
300,000 Lucent Technologies Inc., 6.90%, 7/15/01 $ 301,296
200,000 May Department Stores, 9.88%, 6/15/00 216,935
500,000 Paine Webber Group, Inc., 7.00%, 3/1/00 501,770
100,000 Petroleum Geo-Services, 7.50%, 3/31/07 100,053
450,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 458,817
250,000 Philips Electronics, 6.75%, 8/15/03 243,570
250,000 Potomac Capital Investment Corp., 7.32%,
4/14/00(b) 253,270
500,000 Reinsurance Group of America, 7.25%,
4/1/06(b)(o) 495,445
250,000 Reynolds & Reynolds, 7.00%, 12/15/06 244,096
250,000 Royal Caribbean Cruises, 7.13%, 9/18/02 250,372
325,000 Scholastic Corp., 7.00%, 12/15/03 320,715
300,000 Terra Nova Holdings, 10.75%, 7/1/05 333,044
100,000 Texas Instrument, 9.25%, 6/15/03 111,207
300,000 Transamerica Financial, 6.41%, 6/20/00 297,335
500,000 Tyco International Ltd., 6.38%, 1/15/04 481,338
250,000 Vastar Resources, Inc., 6.95%, 11/8/06 242,697
---------------
TOTAL CORPORATE BONDS & NOTES (COST $11,104,318)
11,145,783
---------------
MORTGAGE BACKED SECURITIES (0.5%)
453,780 FNMA, Pool 342042, 7.50% V/R, 6/1/25 468,796
231,839 FNMA, Pool 344689, 7.73%, 11/1/25 239,747
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $702,176)
708,543
---------------
RECEIVABLES BACKED SECURITIES (0.5%)
300,000 Keystone/Lehman Title I Loan Trust,
Series 1996-2, 7.45%, 11/25/10 302,682
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
87
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
300,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 $ 310,922
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $614,578)
613,604
---------------
REPURCHASE AGREEMENTS (0.1%)
76,481 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $76,516 (cost
$76,481)(e) 76,481
---------------
U.S. TREASURY NOTES (0.4%)
500,000 6.38%, 5/15/99 (cost $503,907) 501,564
---------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$20,410,142) 20,445,701
---------------
POSITIVE RETURN INVESTMENT STYLE (16.1%)
ASSET BACKED SECURITIES (0.8%)
1,000,000 Discover Master Card Trust I, Series
1993-1, 5.96%, 10/16/01 (cost
$1,003,437) 1,003,770
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.6%)
1,000,000 FFCB, 5.58% V/R, 7/1/97 1,000,203
1,000,000 FNMA, 5.58% V/R, 6/11/97 1,000,031
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $1,999,460)
2,000,234
---------------
CORPORATE BONDS & NOTES (0.6%)
750,000 Morgan Guaranty Trust Co., 5.72% V/R,
8/21/98 (cost $750,000) 750,156
---------------
RECEIVABLES BACKED SECURITIES (1.5%)
1,000,000 Carco Auto Loan Master Trust, Series
1993-1 A, 6.03% V/R, 1/18/00 1,000,770
900,000 Chevy Chase Master Credit Card Trust,
Series 1994-2, Class A, 5.89% V/R,
10/15/99 901,530
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $1,904,155)
1,902,300
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (2.3%)
2,973,945 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $2,975,326 (cost
$2,973,945)(e) $ 2,973,945
---------------
U.S. TREASURY OBLIGATIONS (9.3%)
U.S. TREASURY BONDS (7.7%)
325,000 7.50%, 11/15/24 345,313
4,600,000 6.88%, 8/15/25(d) 4,545,380
5,650,000 6.00%, 2/15/26(d) 4,973,768
---------------
TOTAL U.S. TREASURY BONDS (COST $10,124,969) 9,864,461
---------------
U.S. TREASURY NOTES (1.6%)
1,000,000 5.63%, 10/31/97(d) 1,001,251
1,000,000 5.63%, 1/31/98(d) 999,063
---------------
TOTAL U.S. TREASURY NOTES (COST $1,995,938) 2,000,314
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $12,120,907)
11,864,775
---------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$20,751,904) 20,495,180
---------------
TOTAL RETURN BOND INVESTMENT STYLE (16.0%)
GOVERNMENT AGENCY BONDS & NOTES (0.4%)
75,000 FHLMC, 6.45%, 6/4/99 75,170
225,000 FNMA, 5.92%, 4/3/98 225,136
200,000 FNMA, 5.89%, 11/13/98 199,228
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $500,000)
499,534
---------------
CORPORATE BONDS & NOTES (2.3%)
300,000 AT&T Capital Corp., 6.26%, 2/18/99 298,984
150,000 Chrysler Financial Corp., 9.50%,
12/15/99 160,121
550,000 GMAC, Medium Term Notes, 5.63%, 10/19/98 545,448
275,000 McDermott International, Inc., 7.94%,
6/25/97 275,350
180,000 McDermott International, Inc., 6.50%,
4/23/98 179,773
300,000 Puget Sound Power & Light, 6.41%,
9/16/99 298,592
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
88
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
100,000 Texas Utilities Electric Co., 9.50%,
8/1/99 $ 105,212
350,000 Union Oil of California, 7.24%, 4/1/99 354,671
200,000 Union Pacific Corp., 6.25%, 3/15/99 199,177
280,000 USX Corp., 8.88%, 9/15/97 282,335
225,000 USX Corp., 6.38%, 7/15/98 224,840
---------------
TOTAL CORPORATE BONDS & NOTES (COST $2,948,973)
2,924,503
---------------
MORTGAGE BACKED SECURITIES (2.4%)
150,050 GNMA, Pool 345066, 6.50%, 10/15/23 143,443
436,872 GNMA, Pool 352001, 6.50%, 12/15/23 417,637
450,388 GNMA, Pool 354665, 6.50%, 10/15/23 430,557
228,458 GNMA, Pool 354692, 6.50%, 11/15/23 218,399
557,434 GNMA, Pool 354711, 6.50%, 12/15/23 532,891
220,673 GNMA, Pool 361398, 6.50%, 1/15/24 210,610
205,825 GNMA, Pool 366641, 6.50%, 11/15/23 196,762
434,425 GNMA, Pool 376400, 6.50%, 2/15/24 414,616
445,891 GNMA, Pool 780144, 7.00%, 7/15/24 436,523
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $2,940,195)
3,001,438
---------------
REPURCHASE AGREEMENTS (0.2%)
296,599 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $296,737 (cost
$296,599)(e) 296,599
---------------
U.S. TREASURY OBLIGATIONS (10.7%)
U.S. TREASURY BONDS (2.6%)
1,200,000 9.38%, 2/15/06(d) 1,413,001
650,000 6.88%, 5/15/06(d) 658,329
175,000 8.75%, 5/15/17 207,813
900,000 8.13%, 8/15/19(d) 1,011,938
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY BONDS (continued)
<TABLE>
<C> <S> <C>
25,000 8.75%, 8/15/20 $ 29,938
---------------
TOTAL U.S. TREASURY BONDS (COST $3,454,510) 3,321,019
---------------
U.S. TREASURY NOTES (8.1%)
350,000 7.75%, 11/30/99 361,594
925,000 7.75%, 12/31/99 956,508
1,025,000 7.13%, 2/29/00 1,044,861
1,375,000 6.88%, 3/31/00(d) 1,393,908
400,000 8.88%, 5/15/00(d) 427,125
1,375,000 6.13%, 7/31/00(d) 1,365,548
1,725,000 8.75%, 8/15/00(d) 1,840,900
150,000 8.00%, 5/15/01 157,875
900,000 6.50%, 8/15/05 890,720
1,200,000 7.00%, 7/15/06 1,225,125
700,000 6.25%, 2/15/07 680,313
---------------
TOTAL U.S. TREASURY NOTES (COST $10,582,273) 10,344,477
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $14,036,783)
13,665,496
---------------
TOTAL RETURN BOND INVESTMENT STYLE (COST $20,722,550)
20,387,570
---------------
INCOME EQUITY INVESTMENT STYLE (6.7%)
COMMON STOCK (6.6%)
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.0%)
1,500 Autoliv, Inc.(a) 55,875
---------------
BUSINESS SERVICES (0.1%)
3,600 Cognizant Corp. 133,200
---------------
CHEMICALS & ALLIED PRODUCTS (0.3%)
2,700 E.I. du Pont de Nemours & Co. 293,962
4,400 Morton International, Inc. 141,900
---------------
435,862
---------------
COMMUNICATIONS (0.3%)
4,700 AT&T Corp. 173,312
4,600 GTE Corp. 202,975
---------------
376,287
---------------
DEPOSITORY INSTITUTIONS (0.4%)
2,750 First Bank System, Inc.(d) 225,500
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
89
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
2,150 J.P. Morgan & Co., Inc. $ 231,125
---------------
456,625
---------------
EATING & DRINKING PLACES (0.1%)
2,850 McDonald's Corp. 143,212
---------------
ELECTRIC, GAS & SANITARY SERVICES (0.5%)
3,600 Consolidated Natural Gas Co. 191,250
1,550 FPL Group, Inc. 72,075
3,100 Pacific Gas & Electric Co. 71,687
4,300 Public Service Enterprise Group, Inc. 106,425
1,750 Texas Utilities Co. 60,156
5,600 Waste Management, Inc. 177,800
---------------
679,393
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (0.7%)
5,500 AMP, Inc. 226,187
4,200 Emerson Electric Co. 226,800
3,400 General Electric Co. 205,275
2,600 Honeywell, Inc. 189,150
1,491 Lucent Technologies, Inc. 94,864
---------------
942,276
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.1%)
7,000 Dun & Bradstreet Corp. 182,875
---------------
FOOD & KINDRED PRODUCTS (0.5%)
4,600 PepsiCo, Inc. 169,050
1,700 Procter & Gamble Co. 234,387
4,450 Sara Lee Corp. 181,894
---------------
585,331
---------------
GENERAL MERCHANDISE STORES (0.5%)
4,200 Dayton Hudson Corp. 202,125
1,300 J.C. Penney Co., Inc. 66,950
4,600 May Department Stores Co. 216,775
2,050 Sears Roebuck and Co. 100,706
---------------
586,556
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.2%)
5,400 Hewlett-Packard Co. 278,100
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
INSURANCE CARRIERS (0.1%)
3,050 American General Corp. $ 134,963
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.2%)
2,450 Eastman Kodak Co. 203,044
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.4%)
3,200 American Express Co. 222,400
2,650 Transamerica Corp. 240,819
---------------
463,219
---------------
OIL & GAS EXTRACTION (0.1%)
1,600 Schlumberger, Ltd. 190,601
---------------
PAPER & ALLIED PRODUCTS (0.2%)
2,750 Minnesota Mining & Manufacturing Co. 252,313
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.7%)
1,000 Atlantic Richfield Co. 145,500
2,250 Chevron Corp.(d) 157,500
3,600 Exxon Corp. 213,300
1,100 Mobil Corp. 153,863
750 Royal Dutch Petroleum Co. ADR(d) 146,438
---------------
816,601
---------------
PHARMACEUTICAL PREPARATIONS (0.6%)
2,950 American Home Products Corp. 224,938
3,350 Johnson & Johnson 200,581
1,800 Merck & Co., Inc. 161,775
1,600 Pfizer, Inc. 164,600
---------------
751,894
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (0.1%)
4,500 Deluxe Corp. 146,250
---------------
TOBACCO PRODUCTS (0.3%)
3,500 American Brands, Inc. 171,500
4,750 Philip Morris Cos., Inc. 209,000
---------------
380,500
---------------
TRANSPORTATION EQUIPMENT (0.2%)
2,400 United Technologies Corp. 192,900
---------------
TOTAL COMMON STOCK (COST $5,121,769) 8,387,877
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
90
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.1%)
147,747 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $147,816 (cost
$147,747)(e) $ 147,747
---------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST $5,269,516)
8,535,624
---------------
INDEX INVESTMENT STYLE (6.8%)
N/A Index Portfolio of Core Trust
(Delaware)(h) 8,597,228
---------------
TOTAL INDEX INVESTMENT STYLE (COST $3,985,348) 8,597,228
---------------
LARGE COMPANY GROWTH INVESTMENT STYLE (6.8%)
COMMON STOCK (6.6%)
AMUSEMENT & RECREATION SERVICES (0.1%)
2,200 Walt Disney Co. 180,125
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.1%)
1,900 Cintas Corp. 117,800
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.3%)
3,900 Home Depot, Inc. 245,700
3,000 Lowe's Cos., Inc. 118,125
---------------
363,825
---------------
BUSINESS SERVICES (1.2%)
2,400 DST Systems, Inc.(a) 73,800
1,400 Electronic Data Systems Corp. 52,325
9,200 First Data Corp.(d) 368,000
2,900 Fiserv, Inc.(a) 119,262
1,400 HBO & Company 89,775
6,400 Microsoft Corp.(a) 793,600
1,700 Sungard Data Systems, Inc.(a) 72,250
---------------
1,569,012
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (1.2%)
4,200 Intel Corp. 636,300
4,020 Molex, Inc., Class A 145,724
2,700 Motorola, Inc. 179,212
2,300 Solectron Corp.(a) 143,750
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
11,000 Telfonaktiebolaget LM Ericsson, Series B
ADR $ 391,875
---------------
1,496,861
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.1%)
2,100 Gartner Group, Inc.(a) 61,162
3,525 Paychex, Inc. 129,543
---------------
190,705
---------------
FOOD & KINDRED PRODUCTS (0.3%)
5,900 Coca-Cola Co. 402,675
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.5%)
5,600 Franklin Resources, Inc. 362,601
4,600 T. Rowe Price 226,550
---------------
589,151
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.6%)
5,500 Cisco Systems, Inc.(a) 372,625
5,400 Hewlett-Packard Co. 278,100
---------------
650,725
---------------
INSURANCE CARRIERS (0.4%)
3,350 American International Group, Inc. 453,506
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.3%)
5,300 Medtronic, Inc. 392,200
---------------
MISCELLANEOUS RETAIL (0.2%)
2,200 Office Depot, Inc.(a) 37,950
6,800 PETsMART, Inc.(a)(d) 83,300
6,100 Staples, Inc.(a)(d) 134,200
2,400 Viking Office Products Inc.(a) 45,300
---------------
300,750
---------------
PHARMACEUTICAL PREPARATIONS (0.5%)
3,800 Merck & Co., Inc. 341,525
3,100 Pfizer, Inc. 318,912
---------------
660,437
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
91
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (0.5%)
12,300 Charles Schwab Corp. $ 499,688
2,300 Donaldson, Lufkin & Jenrette, Inc. 121,040
---------------
620,728
---------------
TOBACCO PRODUCTS (0.2%)
6,700 Philip Morris Cos., Inc. 294,800
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.1%)
1,800 Cardinal Health, Inc. 104,850
2,350 Corporate Express, Inc.(a) 32,312
---------------
137,162
---------------
TOTAL COMMON STOCK (COST $5,340,225) 8,420,462
---------------
REPURCHASE AGREEMENTS (0.2%)
243,783 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $243,896 (cost
$243,783)(e) 243,783
---------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$5,584,008) 8,664,245
---------------
SMALL COMPANY INVESTMENT STYLE (2.7%)
N/A Small Company Portfolio of Core Trust
(Delaware)(h) 3,503,059
---------------
TOTAL SMALL COMPANY INVESTMENT STYLE (COST $2,941,414)
3,503,059
---------------
INTERNATIONAL INVESTMENT STYLE (4.0%)
N/A International Portfolio II of Core Trust
(Delaware)(h) 5,067,162
---------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST $3,987,427)
5,067,162
---------------
SHORT MATURITY INVESTMENT STYLE (10.0%)
ASSET BACKED SECURITIES (0.4%)
497,705 WFP Tower B Finance Corp., Short-Term
STEERS Trust, Series 1996 A, 5.72%
V/R, 12/8/97(b)(o) (cost $497,706) 497,700
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
COMMERCIAL PAPER (2.0%)
500,000 ABN Amro Bank, North America Finance,
Inc., 5.47%, 12/5/97 $ 485,108
500,000 Asset Backed Capital Finance Inc.,
5.43%, 8/1/97(b) 495,399
500,000 Cargill Global Funding plc, 5.42%,
11/25/97 485,967
550,000 October Corp., 5.70%, 7/7/97 546,806
531,000 Working Capital Management Co. LP,
5.65%, 6/5/97 530,654
---------------
TOTAL COMMERCIAL PAPER (COST $2,545,390) 2,543,934
---------------
CORPORATE BONDS & NOTES (3.2%)
500,000 Air Products & Chemicals, Medium Term
Notes, Series C, 8.00%, 12/15/97 505,941
500,000 Asset Backed Trust 1995 Series A-3,
5.71% V/R, 4/15/98(b)(o) 500,000
500,000 Bear Stearns & Co., Inc., 5.90% V/R,
7/16/99 501,790
500,000 Ford Motor Credit Medium Term Note,
5.66% V/R, 6/13/97 499,996
500,000 John Hancock Capital Corp., 6.43%,
9/3/98 500,760
500,000 Province of Quebec, 8.78%, 3/30/98 510,652
500,000 Unum Corp., 6.53%, 11/3/97 501,704
500,000 Virginia Electric Power, 6.35%, 6/8/98 501,044
---------------
TOTAL CORPORATE BONDS & NOTES (COST $4,036,080)
4,021,887
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.0%)
150,000 FFCB, 5.95% V/R, 11/19/97 150,658
100,000 FNMA, 5.14% V/R, 6/4/97 100,000
1,000,000 FNMA, 4.84% V/R, 2/25/98 994,850
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $1,236,580)
1,245,508
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
92
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
CONSERVATIVE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (3.4%)
4,481,837 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $4,483,917 (cost
$4,481,837)(e) $ 4,481,837
---------------
TOTAL SHORT MATURITY INVESTMENT STYLE (COST $12,797,593)
12,790,866
---------------
TOTAL INVESTMENTS (100%) (COST $115,458,201)
$ 127,539,485
---------------
---------------
- ----------------------------------------------------
MODERATE BALANCED FUND
- ----------------------------------------------------
STABLE INCOME INVESTMENT STYLE (14.9%)
ASSET BACKED SECURITIES (3.2%)
700,552 AFC Home Equity Loan Trust Series 1995-2
A1, 7.19% V/R, 7/25/26 $ 705,150
1,124,461 Bear Stearns Secured Investors Trust,
Series 1991-2 H, 7.50%, 9/20/20 1,129,672
243,568 GMAC Grantor Trust, Series 1993-B A,
4.00%, 9/15/98 243,424
1,474,414 GMAC, Series 1996 C1 A1, 5.91% V/R,
10/15/28 1,481,326
866,193 Green Tree Financial Corp., Series
1993-3 A3, 5.20%, 10/15/18 866,548
1,500,000 Green Tree Financial Corp., Series
1995-10 A4, 6.30%, 2/15/27 1,472,490
313,940 SBA, Adjustable Rate Pool 500806, 7.00%,
2/25/14 321,396
105,736 SBA, Adjustable Rate Pool 501017, 6.88%,
9/25/14 108,776
163,828 SBA, Adjustable Rate Pool 503249, 8.38%,
4/25/07 170,585
243,516 SBA, Adjustable Rate Pool 503250, 9.73%,
3/25/09 266,651
244,843 SBA, Adjustable Rate Pool 503398, 8.63%,
5/25/13 269,633
458,799 SBA, Adjustable Rate Pool 503405, 8.88%,
5/25/13 504,679
1,110,913 SBA, Adjustable Rate Pool 503611, 8.38%,
12/25/21 1,192,081
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
ASSET BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
942,351 SBA, Adjustable Rate Pool 503664, 8.98%,
1/25/13 $ 1,021,921
1,248,744 SBA, Adjustable Rate Pool 503694, 8.38%,
1/25/22 1,376,740
969,886 SASC, Series 1996-C1 A, 5.94% V/R,
10/25/10(b) 969,280
1,000,000 HCLT, Series 1997-1, A3, 6.04% V/R,
3/15/07 997,813
---------------
TOTAL ASSET BACKED SECURITIES (COST $13,130,855)
13,098,165
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (4.9%)
2,350,000 FHLB, Series DU-98, 4.60%, 8/3/98(d) 2,329,438
1,000,000 FHLMC, Series 1625, 5.50%, 7/15/04 994,290
3,024,739 FNMA, Series 1994-1 A1, 5.89% V/R,
10/1/04 3,020,958
1,250,000 MLCC Mortgage Investors, Inc., Series
1994-A, 6.49% V/R, 7/15/19 1,269,531
419,001 MLCC Mortgage Investors, Inc., Series
1994-B A1, 6.09% V/R, 12/15/19 419,547
979,364 MNB Mortgage Home Equity Loan ABS
Certificates, Series 1190-1 A, 9.50%,
6/25/19 979,364
1,000,000 PRAT, Series 1997-1, B, 6.55%, 9/6/03 993,125
1,428,882 RTC, Series 1992-7 A2D, 8.35%, 6/25/29 1,448,529
1,171,637 RTC, Series 1992-18P A4, 6.70% V/R,
4/25/28(b) 1,167,243
3,286,856 RTC, Series 1992-C2 A2, 6.75% V/R,
10/25/21 3,289,939
2,374,972 RTC, Series 1992-C3 A3, 6.90% V/R,
8/25/23 2,376,456
276,473 RTC, Series 1992-CHF A2, 6.78% V/R,
12/25/20 276,646
1,947,968 RTC, Series 1992-M3 A4, 7.75% V/R,
7/25/30 1,951,622
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$20,453,753) 20,516,688
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
93
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
CORPORATE BONDS & NOTES (1.0%)
1,000,000 Chase Manhattan Corp., 10.13%, 11/1/00 $ 1,100,523
1,000,000 Chrysler Financial Corp., 6.26%, 7/20/98 1,000,951
1,043,000 Lehman Brothers Holdings, Inc., 8.88%,
11/1/98 1,076,553
1,000,000 Newell Co., 6.18%, 7/11/00 985,682
---------------
TOTAL CORPORATE BONDS & NOTES (COST $4,204,707)
4,163,709
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.3%)
1,200,000 FFCB, 4.65% V/R, 3/2/98 1,188,281
2,000,000 FHLB, 7.11%, 7/8/99(d) 2,030,214
1,000,000 FHLMC, Structured Note, 4.65% V/R,
3/11/98 989,742
1,000,000 FNMA, 8.70%, 6/10/99 1,044,676
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $5,255,975)
5,252,913
---------------
MORTGAGE BACKED SECURITIES (1.4%)
1,451,687 FHLMC ARM, Pool 845151, 7.23%, 6/1/22 1,511,902
1,433,203 FNMA ARM, Pool 220706, 7.63%, 6/1/23 1,500,651
1,887,272 FNMA ARM, Pool 318464, 7.54%, 4/1/25 1,951,170
675,389 FNMA ARM, Pool 331866, 7.26%, 12/1/25 696,925
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,547,133)
5,660,648
---------------
MUNICIPAL BONDS (0.5%)
885,000 LA County California Taxable Pension
Obligation Bonds, Series D, MBIA
County GTD, 6.02%, 6/30/97 885,186
1,100,000 Utah State SD Financial Corp. RV, 6.90%,
2/15/10, putable 8/17/98 @ 100 1,111,905
---------------
TOTAL MUNICIPAL BONDS (COST $2,024,226) 1,997,091
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
RECEIVABLES BACKED SECURITIES (0.8%)
219,620 Daimler-Benz Auto Grantor Trust, Series
1993-A A, 3.90%, 10/15/98 $ 218,867
911,197 First Merchants Grantor Trust, Series
1996-2 A, 6.85%, 11/15/01 912,621
1,000,000 Signet Credit Card Master Trust, Series
1994-4 A, 6.80%, 12/15/00 1,004,830
1,000,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 1,036,406
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $3,181,769)
3,172,724
---------------
REPURCHASE AGREEMENTS (1.2%)
5,093,607 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $5,095,971 (cost
$5,093,607)(e) 5,093,607
---------------
U.S. TREASURY NOTES (0.6%)
3,000,000 6.38%, 9/30/01 (cost $2,962,505) 2,985,939
---------------
TOTAL STABLE INCOME INVESTMENT STYLE (COST $61,854,530)
61,941,484
---------------
MANAGED FIXED INCOME INVESTMENT STYLE (14.5%)
ASSET BACKED SECURITIES (0.8%)
941,000 EQCC Home Equity Loan Trust, Series
1996-2 A4, 7.50%, 6/15/21 952,452
1,100,000 Green Tree Financial Corp., Series
1994-1 A4, 7.20%, 4/15/19 1,115,741
1,000,000 Green Tree Financial Corp., Series
1995-10 A4, 6.30%, 2/15/27 981,660
---------------
TOTAL ASSET BACKED SECURITIES (COST $3,070,319)
3,049,853
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.9%)
600,000 American Housing Trust, Series VI, I-I,
9.15%, 5/25/20 644,906
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
94
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
750,000 Asset Securitization Corp., Series
1997-D4, A1C, 7.42%, 4/14/27 $ 763,825
1,167,421 CMC Securities Corp. II, Series 1993-2I
A2, 7.04%, 9/25/23 1,190,040
157,716 FNMA, Series 1988-5, Z, 9.20%, 3/25/18 166,098
1,000,000 FNMA, Series 1994-M1 B, 6.50% V/R,
10/25/03 975,625
499,852 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, 8/20/13 510,630
1,000,000 GNMA, Series 1994-7 PG, 6.50%, 8/16/17 982,390
604,444 L.F. Rothschild Mortgage Trust, Series
2, Class Z, 9.95%, 8/1/17 656,827
900,026 Merrill Lynch Mortgage Investors, Inc.,
Series 1994-I, 7.88%, 1/25/05 917,746
786,681 RTC, Series 1991-14 A1, 7.56% V/R,
1/25/22 794,056
769,713 RTC, Series 1991-M5 A, 9.00%, 3/25/17 798,977
734,460 RTC, Series 1992-4 A2, 7.63%
V/R, 7/25/28 750,756
600,000 RTC, Series 1995 1 A2C, 7.50%, 10/25/28 602,086
1,250,000 RTC, Series 1995 C2 A1C, 6.55% V/R,
5/25/27 1,234,375
1,250,000 RFMSI ARM, 1994-S13 A2, 7.00%, 5/25/24 1,234,975
1,000,000 Vendee Mortgage Trust, Series 1992-2 2D,
7.75%, 12/15/14 1,018,610
1,000,000 Vendee Mortgage Trust, Series 1995-1C,
3E, 8.00%, 7/15/18 1,029,827
1,000,000 Vendee Mortgage Trust, Series 1997-1 2C,
7.50%, 9/15/17 1,007,760
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
750,000 Vendee Mortgage Trust, Series 1997-1 2D,
7.50%, 1/15/19 $ 745,215
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$16,085,587) 16,024,724
---------------
CORPORATE BONDS & NOTES (7.8%)
1,000,000 Allied Signal, Inc., 9.88%, 6/1/02 1,124,362
600,000 Applied Materials, 6.70%, 9/6/05 578,771
850,000 Applied Materials, 7.00%, 9/6/05 835,677
800,000 CIT Group Holdings, 6.15%, 12/15/02 775,775
1,100,000 Cargill, Inc., 8.35%, 2/12/11(b)(o) 1,157,343
300,000 Charles Schwab Corp., 7.19%, 5/31/01 302,009
600,000 Charles Schwab Corp., 6.25%, 1/23/03 576,728
1,000,000 Chase Manhattan Corp., 8.63%, 5/1/02 1,068,741
1,100,000 Chrysler Financial Corp., 5.38%,
10/15/98 1,091,310
1,000,000 Citicorp, 9.50%, 2/1/02 1,097,758
500,000 Coca Cola Bottling Co., 6.85%, 11/1/07 482,497
600,000 Colonial Pipeline, 7.13%, 8/15/02(b) 604,500
750,000 Continental Airlines Inc., 7.46%,
4/1/15(b) 748,577
800,000 Continental Bank, N.A., 11.25%, 7/1/01 840,112
650,000 Corestates Capital Corp., 5.88%,
10/15/03 611,367
350,000 Fina Oil & Chemical, 6.88, 7/15/01 349,932
500,000 First Bank Systems, Inc., 7.63, 5/1/05 511,965
600,000 Fletcher Challenge Cap Canada, 7.75%,
6/20/06 612,844
800,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 798,930
500,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 501,004
625,000 International Lease Finance Corp.,
6.43%, 3/1/00 620,950
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
95
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<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 LG-Caltex Oil, 7.88%, 7/1/06(b)(o) $ 507,218
750,000 Lehman Brothers Holdings, Inc., 8.80%,
3/1/15(b) 831,272
640,000 Levi Strauss & Co., 6.80%, 11/1/03(b)(o) 631,958
850,000 Lucent Technologies Inc., 6.90%, 7/15/01 853,672
600,000 May Department Stores, 9.88%, 6/15/00 650,804
1,100,000 Paine Webber Group, Inc., 7.00%, 3/1/00 1,103,894
750,000 Paine Webber Group, Inc., 6.90%, 8/15/03 737,120
500,000 Petroleum Geo-Services, 7.50%, 3/31/07 500,265
900,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 917,634
900,000 Philips Electronics, 6.75%, 8/15/03 876,850
750,000 Potomac Capital Investment Corp., 7.32%,
4/14/00(b) 759,810
1,000,000 Reinsurance Group of America, 7.25%,
4/1/06(b)(o) 990,890
750,000 Reynolds & Reynolds, 7.00%, 12/15/06 732,287
500,000 Royal Caribbean Cruises, 7.13%, 9/18/02 500,744
1,000,000 Scholastic Corp., 7.00%, 12/15/03 986,816
625,000 Terra Nova Holdings, 10.75%, 7/1/05 693,842
400,000 Texas Instrument, 9.25%, 6/15/03 444,828
600,000 Transamerica Financial, 6.41%, 6/20/00 594,671
1,000,000 Tyco International Ltd., 6.38%, 1/15/04 962,675
500,000 US West Capital Funding, Inc., 6.95%,
1/15/37 492,945
885,000 United Missouri Bancsh, 7.30%, 2/24/03 887,503
600,000 Weatherford Enterra, 7.25%, 5/15/06 598,004
1,000,000 Whitman Corp, 7.29%, 9/15/26 1,008,809
---------------
TOTAL CORPORATE BONDS & NOTES (COST $32,503,873)
32,555,663
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES (1.3%)
1,000,000 FHLMC Pool 1634 PE, 5.75%, 6/15/18 $ 979,832
912,401 FHLMC ARM, Pool 605429, 7.20%, 2/1/15 951,382
1,006,837 FHLMC Pool 846367, 6.77%, 4/1/29 1,034,729
521,637 FNMA, Pool 344689, 7.55%, 11/1/25 539,431
1,853,221 FNMA, Pool 356114, 5.73% V/R, 9/1/26 1,895,983
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,331,053)
5,401,357
---------------
RECEIVABLES BACKED SECURITIES (0.5%)
1,000,000 First Merchants Auto Receivables Corp.,
Series 1996-A, A2, 6.70%, 7/17/00(b) 1,001,094
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, 11/25/10 504,470
750,000 Standard Credit Card Master Trust,
Series 1991-3 B, 9.25%, 9/7/99 777,301
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $2,285,313)
2,282,865
---------------
REPURCHASE AGREEMENTS (0.2%)
715,219 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $715,551 (cost
$715,219)(e) 715,219
---------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$59,991,364) 60,029,681
---------------
POSITIVE RETURN INVESTMENT STYLE (14.5%)
ASSET BACKED SECURITIES (0.5%)
2,000,000 Discover Master Card Trust I, Series
1993-1, 5.96%, 10/16/01 (cost
$2,006,875) 2,007,540
---------------
CORPORATE BONDS & NOTES (0.9%)
2,000,000 Morgan Guaranty Trust Co., 5.72% V/R,
8/21/98 2,000,416
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
96
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
2,000,000 Toyota Motor Credit Corp., 7.00%,
4/27/98 $ 2,013,750
---------------
TOTAL CORPORATE BONDS & NOTES (COST $4,026,317)
4,014,166
---------------
GOVERNMENT AGENCY BONDS & NOTES (1.2%)
2,100,000 FFCB, 5.58% V/R, 7/1/97 2,100,426
2,750,000 FNMA, 5.58% V/R, 6/11/97 2,750,085
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $4,848,552)
4,850,511
---------------
RECEIVABLES BACKED SECURITIES (1.1%)
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 6.03% V/R, 1/18/00 1,751,348
1,000,000 First USA Credit Card Master Trust,
Series 1993-1 A, 5.99% V/R, 2/15/00 1,002,310
1,750,000 First USA Credit Card Master Trust,
Series 1994-5 A, 5.83% V/R, 4/17/00 1,752,487
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $4,509,765)
4,506,145
---------------
REPURCHASE AGREEMENTS (0.9%)
3,627,003 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $3,628,687 (cost
$3,627,003)(e) 3,627,003
---------------
U.S. TREASURY OBLIGATIONS (9.9%)
U.S. TREASURY BONDS (8.2%)
2,050,000 6.25%, 8/15/23(d) 1,868,704
1,325,000 7.50%, 11/15/24 1,407,814
15,000,000 6.88%, 8/15/25(d) 14,821,890
18,300,000 6.00%, 2/15/26(d) 16,109,729
---------------
TOTAL U.S. TREASURY BONDS (COST $35,124,017) 34,208,137
---------------
U.S. TREASURY NOTES (1.7%)
2,000,000 5.63%, 10/31/97 2,002,502
2,000,000 5.63%, 1/31/98 1,998,126
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY NOTES (continued)
<TABLE>
<C> <S> <C>
3,000,000 7.25%, 2/15/98 $ 3,030,001
---------------
TOTAL U.S. TREASURY NOTES (COST $7,037,816) 7,030,629
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $42,161,833)
41,238,766
---------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$61,180,345) 60,244,131
---------------
TOTAL RETURN BOND INVESTMENT STYLE (14.4%)
GOVERNMENT AGENCY BONDS & NOTES (0.4%)
575,000 FNMA, 5.92%, 4/3/98 575,350
1,000,000 FNMA, 5.89%, 11/13/98 996,140
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $1,575,000)
1,571,490
---------------
CORPORATE BONDS & NOTES (2.2%)
925,000 AT&T Capital Corp., 6.26%, 2/18/99 921,865
475,000 Chrysler Financial Corp., 9.50%,
12/15/99 507,052
1,350,000 GMAC, 5.625%, 10/19/98 1,338,827
250,000 Limited, Inc., 8.88%, 8/15/99 258,772
750,000 McDermott International, Inc., 7.94%,
6/25/97 750,956
500,000 McDermott International, Inc., 6.50%,
4/23/98 499,369
1,000,000 Puget Sound Power & Light, 6.41%,
9/16/99 995,307
325,000 Texas Utilities Electric Co., 9.50%,
8/1/99 341,939
675,000 USX Corp., 8.88%, 9/15/97 680,630
600,000 USX Corp., 6.38%, 7/15/98 599,573
1,775,000 Union Oil of California, 7.24%, 4/1/99 1,798,688
600,000 Union Pacific Corp., 6.25%, 3/15/99 597,532
---------------
TOTAL CORPORATE BONDS & NOTES (COST $9,365,092)
9,290,510
---------------
MORTGAGE BACKED SECURITIES (2.1%)
814,556 GNMA, Pool 345066, 6.50%, 10/15/23 778,691
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
97
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
MORTGAGE BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,164,993 GNMA, Pool 352001, 6.50%, 12/15/23 $ 1,113,698
1,115,247 GNMA, Pool 354665, 6.50%, 10/15/23 1,066,142
560,759 GNMA, Pool 354692, 6.50%, 11/15/23 536,069
1,629,423 GNMA, Pool 354711, 6.50%, 12/15/23 1,557,679
639,951 GNMA, Pool 361398, 6.50%, 1/15/24 610,770
905,630 GNMA, Pool 366641, 6.50%, 11/15/23 865,755
1,075,720 GNMA, Pool 376400, 6.50%, 2/15/24 1,026,667
1,146,577 GNMA, Pool 780144, 7.00%, 7/15/24 1,122,487
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $8,505,210)
8,677,958
---------------
REPURCHASE AGREEMENTS (0.3%)
1,424,620 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $1,425,281 (cost
$1,424,620)(e) 1,424,620
---------------
U.S. TREASURY OBLIGATIONS (9.4%)
U.S. TREASURY BONDS (2.3%)
3,025,000 9.38%, 2/15/06(d) 3,561,940
2,075,000 6.88%, 5/15/06(d) 2,101,588
1,075,000 7.50%, 11/15/16 1,133,118
1,975,000 8.13%, 8/15/19 2,220,643
425,000 8.75%, 8/15/20 508,938
---------------
U.S. TREASURY BONDS (COST $9,830,513) 9,526,227
---------------
U.S. TREASURY NOTES (7.1%)
550,000 8.88%, 11/15/98 571,313
150,000 5.75%, 12/31/98 149,344
675,000 6.88%, 7/31/99(d) 683,649
1,375,000 7.75%, 12/31/99 1,421,837
1,700,000 8.50%, 2/15/00 1,790,314
2,550,000 7.13%, 2/29/00 2,599,409
3,475,000 6.88%, 3/31/00(d) 3,522,785
1,000,000 8.88%, 5/15/00(d) 1,067,813
2,525,000 6.25%, 5/31/00(d) 2,517,900
4,900,000 6.13%, 7/31/00(d) 4,866,318
2,000,000 8.00%, 5/15/01 2,105,002
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY NOTES (continued)
<TABLE>
<C> <S> <C>
850,000 7.25%, 8/15/04 $ 880,282
500,000 6.50%, 5/15/05 495,313
3,300,000 6.50%, 8/15/05 3,265,970
3,500,000 7.00%, 7/15/06(d) 3,573,283
---------------
U.S. TREASURY NOTES (COST $30,157,337) 29,510,532
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $39,987,850)
39,036,759
---------------
TOTAL RETURN BOND INVESTMENT STYLE (COST $60,857,772)
60,001,337
---------------
INCOME EQUITY INVESTMENT STYLE (10.3%)
COMMON STOCK (10.1%)
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.1%)
7,638 Autoliv, Inc.(a) 284,513
---------------
BUSINESS SERVICES (0.2%)
20,500 Cognizant Corp. 758,500
---------------
CHEMICALS & ALLIED PRODUCTS(0.5%)
13,000 E.I. du Pont de Nemours & Co. 1,415,375
22,400 Morton International, Inc. 722,400
---------------
2,137,775
---------------
COMMUNICATIONS (0.5%)
28,000 AT&T Corp. 1,032,501
24,600 GTE Corp. 1,085,475
---------------
2,117,976
---------------
DEPOSITORY INSTITUTIONS (0.5%)
11,700 First Bank System, Inc.(d) 959,400
9,200 J.P. Morgan & Co., Inc. 989,000
---------------
1,948,400
---------------
EATING & DRINKING PLACES (0.2%)
15,600 McDonald's Corp. 783,900
---------------
ELECTRIC, GAS & SANITARY SERVICES (0.7%)
16,800 Consolidated Natural Gas Co. 892,500
8,400 FPL Group, Inc. 390,600
15,300 Pacific Gas & Electric Co. 353,813
18,900 Public Service Enterprise Group, Inc. 467,775
9,200 Texas Utilities Co. 316,250
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
98
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
25,900 Waste Management Inc. $ 822,325
---------------
3,243,263
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (1.0%)
24,700 AMP, Inc. 1,015,788
20,600 Emerson Electric Co. 1,112,400
16,000 General Electric Co. 966,000
13,200 Honeywell, Inc. 960,300
7,366 Lucent Technologies, Inc. 468,663
---------------
4,523,151
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.3%)
40,600 Dun & Bradstreet Corp. 1,060,676
---------------
FOOD & KINDRED PRODUCTS (0.5%)
27,000 PepsiCo, Inc. 992,250
1,700 Procter & Gamble Co. 234,388
24,400 Sara Lee Corp. 997,350
---------------
2,223,988
---------------
GENERAL MERCHANDISE STORES (0.8%)
13,400 Dayton Hudson Corp. 644,875
15,400 J.C. Penney Co., Inc. 793,100
23,100 May Department Stores Co. 1,088,588
12,280 Sears Roebuck and Co. 603,255
---------------
3,129,818
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.3%)
27,000 Hewlett-Packard Co. 1,390,500
---------------
INSURANCE CARRIERS (0.2%)
16,200 American General Corp.(d) 716,850
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.3%)
13,600 Eastman Kodak Co. 1,127,100
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.5%)
15,300 American Express Co. 1,063,350
11,700 Transamerica Corp. 1,063,238
---------------
2,126,588
---------------
OIL & GAS EXTRACTION (0.2%)
6,900 Schlumberger, Ltd. 821,963
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
PAPER & ALLIED PRODUCTS (0.4%)
16,200 Minnesota Mining & Manufacturing Co. $ 1,486,350
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.0%)
4,400 Atlantic Richfield Co. 640,200
13,400 Chevron Corp.(d) 938,000
18,000 Exxon Corp. 1,066,500
5,400 Mobil Corp. 755,325
4,500 Royal Dutch Petroleum Co. ADR(d) 878,625
---------------
4,278,650
---------------
PHARMACEUTICAL PREPARATIONS (1.0%)
14,400 American Home Products Corp. 1,098,000
16,200 Johnson & Johnson 969,975
10,800 Merck & Co., Inc. 970,650
9,000 Pfizer, Inc. 925,875
---------------
3,964,500
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (0.2%)
24,600 Deluxe Corp. 799,500
---------------
TOBACCO PRODUCTS (0.5%)
22,800 American Brands, Inc. 1,117,200
25,200 Philip Morris Cos., Inc. 1,108,800
---------------
2,226,000
---------------
TRANSPORTATION EQUIPMENT (0.2%)
11,400 United Technologies Corp. 916,275
---------------
TOTAL COMMON STOCK (COST $27,005,123) 42,066,236
---------------
REPURCHASE AGREEMENTS (0.2%)
696,188 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $696,511 (cost
$696,188)(e) 696,188
---------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST $27,701,311)
42,762,424
---------------
INDEX INVESTMENT STYLE (10.4%)
N/A Index Portfolio of Core Trust
(Delaware)(i) 43,308,735
---------------
TOTAL INDEX INVESTMENT STYLE (COST $21,814,239) 43,308,735
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
99
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (10.6%)
COMMON STOCK (10.5%)
AMUSEMENT & RECREATION SERVICES (0.2%)
11,000 Walt Disney Co. $ 900,625
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.2%)
11,600 Cintas Corp. 719,200
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.4%)
20,700 Home Depot, Inc. 1,304,100
13,500 Lowe's Cos., Inc. 531,562
---------------
1,835,662
---------------
BUSINESS SERVICES (2.0%)
12,200 DST Systems, Inc.(a) 375,150
7,200 Electronic Data Systems Corp. 269,100
47,000 First Data Corp.(d) 1,880,000
15,600 Fiserv, Inc.(a) 641,550
6,500 HBO & Company 416,812
33,200 Microsoft Corp.(a) 4,116,800
9,800 Sungard Data Systems, Inc.(a) 416,500
---------------
8,115,912
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (1.9%)
22,700 Intel Corp. 3,439,050
22,353 Molex Inc., Class A 810,296
12,700 Motorola, Inc. 842,965
11,800 Solectron Corp.(a) 737,500
53,500 Telfonaktiebolaget LM Ericsson, Series B
ADR 1,905,934
---------------
7,735,745
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.2%)
10,400 Gartner Group, Inc.(a) 302,900
19,162 Paychex, Inc. 704,221
---------------
1,007,121
---------------
FOOD & KINDRED PRODUCTS (0.5%)
30,500 Coca-Cola Co. 2,081,625
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.7%)
28,200 Franklin Resources, Inc. 1,825,950
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
HOLDING & OTHER INVESTMENT OFFICES (continued)
<TABLE>
<C> <S> <C>
23,700 T. Rowe Price $ 1,167,225
---------------
2,993,175
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.8%)
30,200 Cisco Systems, Inc.(a) 2,046,050
27,600 Hewlett-Packard Co. 1,421,400
---------------
3,467,450
---------------
INSURANCE CARRIERS (0.6%)
17,600 American International Group, Inc. 2,382,600
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.5%)
26,700 Medtronic, Inc. 1,975,800
---------------
MISCELLANEOUS RETAIL (0.3%)
32,900 PETsMART, Inc.(a)(d) 403,025
31,300 Staples, Inc.(a)(d) 688,600
13,800 Viking Office Products, Inc.(a) 260,475
---------------
1,352,100
---------------
PHARMACEUTICAL PREPARATIONS (0.8%)
19,000 Merck & Co., Inc. 1,707,625
17,300 Pfizer, Inc. 1,779,737
---------------
3,487,362
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICE (0.8%)
64,500 Charles Schwab Corp. 2,620,312
11,400 Donaldson, Lufkin & Jenrette, Inc. 599,926
---------------
3,220,238
---------------
TOBACCO PRODUCTS (0.4%)
35,000 Philip Morris Cos., Inc. 1,540,000
---------------
WHOLESALE TRADE-NONDURABLE GOODS (0.2%)
9,700 Cardinal Health, Inc.(d) 565,025
12,800 Corporate Express, Inc.(a) 176,002
9,700 Office Depot, Inc.(a) 167,325
---------------
908,352
---------------
TOTAL COMMON STOCK (COST $25,802,449) 43,722,967
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
100
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
MODERATE BALANCED FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.1%)
198,463 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $198,555 (cost
$198,463)(e) $ 198,463
---------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$26,000,912) 43,921,430
---------------
SMALL COMPANY GROWTH INVESTMENT STYLE (4.2%)
N/A Small Company Portfolio of Core Trust
(Delaware)(i) 17,627,935
---------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$14,949,633) 17,627,935
---------------
INTERNATIONAL INVESTMENT STYLE (6.2%)
N/A International Portfolio II of Core Trust
(Delaware)(i) 25,463,553
---------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST $20,421,484)
25,463,553
---------------
TOTAL INVESTMENTS (100.0%) (COST $354,771,590)
$ 415,300,710
---------------
---------------
- ----------------------------------------------------
GROWTH BALANCED FUND
- ----------------------------------------------------
MANAGED FIXED INCOME INVESTMENT STYLE (9.9%)
ASSET BACKED SECURITIES (0.5%)
1,000,000 EQCC Home Equity Loan Trust, Series
1996-2 A4, 7.50%, 6/15/21 $ 1,012,170
1,200,000 Green Tree Financial Corp., Series
1994-1 A4, 7.20%, 4/15/19 1,217,172
---------------
TOTAL ASSET BACKED SECURITIES (COST $2,234,500)
2,229,342
---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.1%)
600,000 American Housing Trust, Series VI, Class
I-I, 9.15%, 5/25/20 644,906
750,000 Asset Securitization Corp., Series
1997-D4, Class A1C, 7.42%, 4/14/27 763,825
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
<TABLE>
<C> <S> <C>
1,167,420 CMC Securities Corp. II, Series 1993-2I
A2, 7.05%, 9/25/23 $ 1,190,040
1,000,000 FNMA, Series 1994-M1 B, 6.50% V/R,
10/25/03 975,625
499,851 First Plus Home Loan Trust, Series
1996-2 A6, 7.85%, 8/20/13 510,630
604,443 L.F. Rothschild Mortgage Trust, Series
2Z, 9.95%, 8/1/17 656,827
1,250,000 RFMSI, Series 1994-S13 A2, 7.00%,
5/25/24 1,234,976
692,741 RTC, Series 1991-M5 A, 9.00%, 3/25/17 719,079
734,460 RTC, Series 1992-4 A2, 7.63% V/R,
7/25/28 750,756
600,000 RTC, Series 1995-1 A2C, 7.50%, 10/25/28 602,086
1,000,000 Vendee Mortgage Trust, Series 1995-1 3E,
8.00%, 7/15/18 1,029,827
750,000 Vendee Mortgage Trust, Series 1997-1 2C,
7.50%, 9/15/17 755,820
750,000 Vendee Mortgage Trust, Series 1997-1 2D,
7.50%, 1/15/19 745,215
---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$10,631,674) 10,579,612
---------------
CORPORATE BONDS & NOTES (5.6%)
250,000 Allied Signal, Inc., 9.88%, 6/1/02 281,090
755,000 Allied Signal, Inc., 9.20%, 2/15/03 831,556
850,000 Applied Materials, 7.00%, 9/6/05 835,677
1,000,000 Cargill, Inc., 8.35%, 2/12/11(b)(o) 1,052,130
300,000 Charles Schwab Corp., 7.19%, 5/31/01 302,009
600,000 Charles Schwab Corp., 6.25%, 1/23/03 576,728
1,000,000 Chase Manhattan Corp., 8.63%, 5/1/02 1,068,741
1,100,000 Chrysler Financial Corp., 5.38%,
10/15/98 1,091,310
1,000,000 Citicorp, 9.50%, 2/1/02 1,097,758
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
101
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
800,000 CIT Group Holdings, 6.15%, 12/15/02 $ 775,775
400,000 Coca Cola Bottling Co., 6.85%, 11/01/07 385,998
600,000 Colonial Pipeline, 7.13%, 8/15/02(b) 604,500
800,000 Continental Bank, N.A., 11.25%, 7/1/01 840,112
600,000 Corestates Capital Corp., 5.88%,
10/15/03 564,338
500,000 El Paso Natural Gas, 7.75%, 1/15/02 512,963
350,000 Fina Oil & Chemical, 6.88%, 7/16/01 349,932
500,000 First Bank Systems, Inc., 7.63%, 5/1/05 511,965
600,000 Fletcher Challenge Cap Canada, 7.75%,
6/20/06 612,844
800,000 Florida Residential Property & Casualty,
7.25%, 7/1/02(b) 798,930
500,000 Hyundai Semiconductor, 8.25%, 5/15/04(b) 501,004
500,000 International Lease Finance Corp.,
6.43%, 3/1/00 496,760
750,000 Lehman Brothers Holdings, Inc., 8.80%,
3/1/15 831,272
750,000 Levi Strauss & Co., 6.80%, 11/1/03(b)(o) 740,576
850,000 Lucent Technologies, Inc., 6.90%,
7/15/01 853,672
600,000 May Department Stores, 9.88%, 6/15/00 650,804
1,000,000 Paine Webber Group, Inc., 7.00%, 3/1/00 1,003,540
500,000 Paine Webber Group, Inc., 6.90%, 8/15/03 491,414
400,000 Petroleum Geo-Services, 7.50%, 3/31/07 400,212
900,000 Philip Morris Cos., Inc., 7.63%, 5/15/02 917,634
759,000 Philips Electronics, 6.75%, 8/15/03 739,477
500,000 Potomac Capital Investment Corp., 7.32%,
4/14/00(b) 506,540
1,000,000 Reinsurance Group of America, 7.25%,
4/1/06(b)(o) 990,890
<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 Reynolds & Reynolds, 7.00%, 12/15/06 $ 732,287
500,000 Royal Caribbean Cruises, 7.13%, 9/18/02 500,744
1,000,000 Scholastic Corp., 7.00%, 12/15/03 986,816
625,000 Terra Nova Holdings, 10.75%, 7/1/05 693,842
500,000 Texas Instrument, 9.25%, 6/16/03 556,035
600,000 Transamerica Financial, 6.41%, 6/20/00 594,671
750,000 Tyco International Ltd., 6.50%, 11/1/01 737,817
500,000 US West Capital Funding, Inc., 6.95%,
1/15/37 492,945
600,000 Weatherford Enterra, 7.25%, 5/15/06 598,004
100,000 Whitman Corp., 7.50%, 2/1/03 101,824
---------------
TOTAL CORPORATE BONDS & NOTES (COST $28,158,805)
28,213,136
---------------
MORTGAGE BACKED SECURITIES (1.1%)
1,297,887 FHLMC, ARM Pool 410425, 6.09%, 9/1/26 1,328,087
1,006,837 FHLMC, Pool 846367, 6.77%, 4/1/29 1,034,729
500,000 FHLMC, Series 1832 D, 6.50%, 6/15/08 493,980
821,600 FNMA, 5.78% V/R, 6/1/26 840,912
521,637 FNMA, Pool 344689, 7.55%, 11/3/25 539,431
537,841 FNMA, Series 1989-27 Y, 6.90%, 6/25/19 522,346
1,000,000 GNMA, Series 1994-7 PG, 6.50%, 8/16/17 982,390
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $5,674,299)
5,741,875
---------------
RECEIVABLES BACKED SECURITIES (0.4%)
900,000 First Merchants Auto Receivables Corp.,
Series 1996-A A2, Private Placement,
6.70%, 7/17/00(b) 900,984
500,000 Keystone/Lehman Title I Loan Trust
1996-2, 7.45%, 11/25/10 504,470
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
102
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<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%, 9/7/99 $ 777,305
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $2,185,970)
2,182,759
---------------
REPURCHASE AGREEMENTS (0.2%)
927,422 BancAmerica, 5.57%, 6/2/97 to be
repurchased at $927,851 (cost
$927,422)(e) 927,422
---------------
TOTAL MANAGED FIXED INCOME INVESTMENT STYLE (COST
$49,812,670) 49,874,146
---------------
POSITIVE RETURN INVESTMENT STYLE (10.0%)
ASSET BACKED SECURITIES (0.3%)
1,500,000 Discover Master Card Trust I, Series
1993-1, 5.96%, 10/16/01 (cost
$1,505,156) 1,505,655
---------------
CORPORATE BONDS & NOTES (0.6%)
1,640,000 Toyota Motor Credit Corp., 7.00%,
4/27/98 1,651,275
1,600,000 Morgan Guaranty Trust Co., 5.72% V/R,
8/21/98 1,600,333
---------------
TOTAL CORPORATE BONDS & NOTES (COST $3,261,581)
3,251,608
---------------
GOVERNMENT AGENCY BONDS & NOTES (0.8%)
1,500,000 FFCB, 5.58% V/R, 7/1/97 1,500,305
2,500,000 FNMA, 5.58% V/R, 6/11/97, 2,500,078
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $3,998,706)
4,000,383
---------------
RECEIVABLES BACKED SECURITIES (1.0%)
1,750,000 Carco Auto Loan Master Trust, Series
1993-1 A, 6.03% V/R, 1/18/00 1,751,347
1,285,714 Peoples Bank Credit Card Master Trust,
Series 1994-2 A, 5.84% V/R, 3/15/01 1,287,797
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
RECEIVABLES BACKED SECURITIES (continued)
<TABLE>
<C> <S> <C>
1,750,000 Signet Credit Card Master Trust, Series
1994-2 A, 5.88% V/R, 9/15/00 $ 1,752,048
---------------
TOTAL RECEIVABLES BACKED SECURITIES (COST $4,794,648)
4,791,192
---------------
REPURCHASE AGREEMENTS (1.6%)
7,813,998 BancAmerica, 5.57%, 6/2/97 to be
repurchased at $7,817,626 (cost
$7,813,999)(e) 7,813,998
---------------
U.S. TREASURY OBLIGATIONS (5.7%)
U.S. TREASURY BONDS (5.3%)
9,000,000 6.25%, 8/15/23(d) 8,204,067
11,500,000 6.88%, 8/15/25(d) 11,363,449
8,150,000 6.00%, 2/15/26(d) 7,174,550
---------------
TOTAL U.S. TREASURY BONDS
(COST $27,344,859) 26,742,066
---------------
U.S. TREASURY NOTES (0.4%)
2,000,000 5.63%, 10/31/97
(cost $1,998,125) 2,002,502
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $29,342,984)
28,744,568
---------------
TOTAL POSITIVE RETURN INVESTMENT STYLE (COST
$50,717,074) 50,107,404
---------------
TOTAL RETURN BOND INVESTMENT STYLE (10.0%)
CORPORATE BONDS & NOTES (1.4%)
725,000 AT&T Capital Corp., 6.26%, 2/18/99 722,545
350,000 Chrysler Financial Corp., 9.50%,
12/15/99 373,617
1,100,000 GMAC, 5.63%, 10/19/98 1,090,896
750,000 Limited, Inc., 8.88%, 8/15/99 776,315
475,000 McDermott International, Inc., 7.94%,
6/25/97 475,605
500,000 McDermott International, Inc., 6.50%,
4/23/98 499,369
700,000 Puget Sound Power & Light, 6.41%,
9/16/99 696,715
250,000 Texas Utilities Electric Co., 9.50%,
8/1/99 263,030
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
103
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
CORPORATE BONDS & NOTES (continued)
<TABLE>
<C> <S> <C>
450,000 Union Oil of California, 7.24%, 4/1/99 $ 456,005
500,000 Union Pacific Corp., 6.25%, 3/15/99 497,944
475,000 USX Corp., 8.88%, 9/15/97 478,962
400,000 USX Corp., 6.38%, 7/15/98 399,715
---------------
TOTAL CORPORATE BONDS & NOTES (COST $6,784,066)
6,730,718
---------------
GOVERNMENT AGENCY BONDS & NOTES (0.3%)
525,000 FHLMC, 6.45%, 6/4/99 526,194
1,000,000 FNMA, 5.89%, 11/13/98 996,140
---------------
TOTAL GOVERNMENT AGENCY BONDS & NOTES (COST $1,525,000)
1,522,334
---------------
MORTGAGE BACKED SECURITIES (1.4%)
364,406 GNMA, Pool 345066, 6.50%, 10/16/23 348,362
998,565 GNMA, Pool 352001, 6.50%, 12/15/23 954,598
1,029,458 GNMA, Pool 354665, 6.50%, 10/15/23 984,131
560,759 GNMA, Pool 354692, 6.50%, 11/15/23 536,069
1,329,265 GNMA, Pool 354711, 6.50%, 12/15/23 1,270,739
507,547 GNMA, Pool 361398, 6.50%, 1/15/24 484,403
535,144 GNMA, Pool 366641, 6.50%, 11/15/23 511,582
992,972 GNMA, Pool 376400, 6.50%, 2/15/24 947,693
1,040,412 GNMA, Pool 780144, 7.00%, 7/15/24 1,018,554
---------------
TOTAL MORTGAGE BACKED SECURITIES (COST $6,912,265)
7,056,131
---------------
REPURCHASE AGREEMENTS (0.2%)
941,027 BancAmerica, 5.57%, 6/2/97 to be
repurchased at $941,464 (cost
$941,027)(e) 941,027
---------------
U.S. TREASURY OBLIGATIONS (6.7%)
U.S. TREASURY BONDS (1.9%)
3,150,000 9.38%, 2/15/06(d) 3,709,128
2,500,000 6.88%, 5/15/06(d) 2,532,032
475,000 7.50%, 11/15/16 500,679
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
U.S. TREASURY OBLIGATIONS (continued)
U.S. TREASURY BONDS (continued)
<TABLE>
<C> <S> <C>
200,000 8.75%, 5/15/17 $ 237,500
2,075,000 8.13%, 8/15/19 2,333,080
225,000 8.75%, 8/15/20 269,437
---------------
TOTAL U.S. TREASURY BONDS
(COST $9,964,333) 9,581,856
---------------
U.S. TREASURY NOTES (4.8%)
350,000 8.88%, 11/15/98 363,563
1,750,000 5.75%, 12/31/98 1,742,346
1,075,000 7.75%, 12/31/99 1,111,617
1,200,000 8.50%, 2/15/00 1,263,752
1,800,000 7.13%, 2/29/00 1,834,878
1,000,000 6.88%, 3/31/00 1,013,751
725,000 8.88%, 5/15/00(d) 774,164
725,000 6.25%, 5/31/00(d) 722,961
5,075,000 6.13%, 7/31/00(d) 5,040,114
2,200,000 8.75%, 8/15/00(d) 2,347,814
2,500,000 8.00%, 5/15/01 2,631,253
500,000 6.63%, 6/30/01 502,501
500,000 6.50%, 5/15/05(d) 495,313
1,325,000 6.50%, 8/15/05 1,311,338
2,850,000 7.00%, 7/15/06 2,909,674
---------------
TOTAL U.S. TREASURY NOTES
(COST $24,693,340) 24,065,039
---------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $34,657,673)
33,646,895
---------------
TOTAL TOTAL RETURN BOND INVESTMENT STYLE (COST
$50,820,031) 49,897,105
---------------
INCOME EQUITY INVESTMENT STYLE (17.4%)
COMMON STOCK (16.8%)
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.1%)
13,094 Autoliv, Inc.(a) 487,751
---------------
BUSINESS SERVICES (0.3%)
39,900 Cognizant Corp. 1,476,300
---------------
CHEMICALS & ALLIED PRODUCTS (0.8%)
25,500 E.I. du Pont de Nemours & Co. 2,776,312
38,400 Morton International, Inc. 1,238,400
---------------
4,014,712
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
104
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
COMMUNICATIONS (0.8%)
59,900 AT&T Corp. $ 2,208,812
41,100 GTE Corp. 1,813,537
---------------
4,022,349
---------------
DEPOSITORY INSTITUTIONS (0.9%)
26,200 First Bank System, Inc.(d) 2,148,400
21,600 J.P. Morgan & Co., Inc. 2,322,000
---------------
4,470,400
---------------
EATING & DRINKING PLACES (0.2%)
23,500 McDonald's Corp. 1,180,875
---------------
ELECTRIC, GAS, & SANITARY SERVICES (1.3%)
35,500 Consolidated Natural Gas Co. 1,885,937
11,700 FPL Group, Inc. 544,050
35,700 Pacific Gas & Electric Co. 825,562
49,200 Public Service Enterprise Group, Inc. 1,217,700
16,800 Texas Utilities Co. 577,500
43,900 Waste Management, Inc. 1,393,825
---------------
6,444,574
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (1.9%)
45,000 AMP, Inc. 1,850,625
32,800 Emerson Electric Co. 1,771,200
33,400 General Electric Co. 2,016,525
28,900 Honeywell, Inc. 2,102,475
24,310 Lucent Technologies, Inc. 1,546,723
---------------
9,287,548
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.5%)
1 ACNielson Corp.(a) 17
93,800 Dun & Bradstreet Corp. 2,450,527
---------------
2,450,544
---------------
FOOD & KINDRED PRODUCTS (1.3%)
46,600 PepsiCo, Inc. 1,712,550
18,000 Procter & Gamble Co. 2,481,750
50,000 Sara Lee Corp. 2,043,750
---------------
6,238,050
---------------
GENERAL MERCHANDISE STORES (1.0%)
35,400 Dayton Hudson Corp. 1,703,625
21,800 J.C. Penney Co., Inc. 1,122,700
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
GENERAL MERCHANDISE STORES (continued)
<TABLE>
<C> <S> <C>
27,600 May Department Stores Co. $ 1,300,650
19,500 Sears Roebuck and Co. 957,938
---------------
5,084,913
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.5%)
52,800 Hewlett-Packard Co. 2,719,200
---------------
INSURANCE CARRIERS (0.3%)
34,900 American General Corp.(d) 1,544,325
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.3%)
19,500 Eastman Kodak Co. 1,616,063
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (0.8%)
30,300 American Express Co. 2,105,850
20,450 Transamerica Corp. 1,858,394
---------------
3,964,244
---------------
OIL & GAS EXTRACTION (0.4%)
18,850 Schlumberger, Ltd. 2,245,506
---------------
PAPER & ALLIED PRODUCTS (0.5%)
28,400 Minnesota Mining & Manufacturing Co. 2,605,700
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.8%)
13,100 Atlantic Richfield Co. 1,906,050
27,700 Chevron Corp.(d) 1,939,000
36,900 Exxon Corp. 2,186,325
10,250 Mobil Corp. 1,433,719
7,500 Royal Dutch Petroleum Co. ADR(d) 1,464,375
---------------
8,929,469
---------------
PHARMACEUTICAL PREPARATIONS (1.4%)
28,000 American Home Products Corp. 2,135,000
27,300 Johnson & Johnson 1,634,588
17,700 Merck & Co., Inc. 1,590,787
15,000 Pfizer, Inc. 1,543,125
---------------
6,903,500
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (0.3%)
48,500 Deluxe Corp. 1,576,250
---------------
TOBACCO PRODUCTS (1.0%)
52,400 American Brands, Inc. 2,567,600
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
105
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
TOBACCO PRODUCTS (continued)
<TABLE>
<C> <S> <C>
53,100 Philip Morris Cos., Inc. $ 2,336,400
---------------
4,904,000
---------------
TRANSPORTATION EQUIPMENT (0.4%)
24,000 United Technologies Corp. 1,929,000
---------------
TOTAL COMMON STOCK (COST $53,375,860) 84,095,273
---------------
REPURCHASE AGREEMENTS (0.6%)
2,836,352 BancAmerica, 5.57%, 6/2/97 to be
repurchased at $2,837,669 (cost
$2,836,352)(e) 2,836,352
---------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST $56,212,212)
86,931,625
---------------
INDEX INVESTMENT STYLE (17.5%)
N/A Index Portfolio of Core Trust
(Delaware)(j) 87,656,485
---------------
TOTAL INDEX INVESTMENT STYLE (COST $51,118,016) 87,656,485
---------------
LARGE COMPANY GROWTH INVESTMENT STYLE (17.7%)
COMMON STOCK (17.5%)
AMUSEMENT & RECREATION SERVICES (0.4%)
23,300 Walt Disney Co. 1,907,687
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.3%)
22,500 Cintas Corp. 1,395,000
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.7%)
40,400 Home Depot, Inc. 2,545,200
26,600 Lowe's Cos., Inc. 1,047,375
---------------
3,592,575
---------------
BUSINESS SERVICES (3.1%)
23,000 DST Systems, Inc.(a) 707,250
14,300 Electronic Data Systems Corp. 534,462
93,200 First Data Corp.(d) 3,728,000
27,100 Fiserv, Inc.(a) 1,114,487
15,900 HBO & Co.(d) 1,019,587
62,400 Microsoft Corp.(a) 7,737,600
18,000 Sungard Data Systems, Inc.(a) 765,000
---------------
15,606,386
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (3.2%)
45,700 Intel Corp. $ 6,923,550
50,038 Molex, Inc., Class A 1,813,877
26,300 Motorola, Inc. 1,745,662
22,900 Solectron Corp.(a) 1,431,250
116,300 Telefonaktiebolaget LM Ericsson, Series
B, Sponsored ADR 4,143,187
---------------
16,057,526
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.4%)
20,600 Gartner Group, Inc.(a) 599,975
38,700 Paychex, Inc. 1,422,225
---------------
2,022,200
---------------
FOOD & KINDRED PRODUCTS (0.8%)
59,200 Coca-Cola Co. 4,040,400
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.2%)
56,350 Franklin Resources, Inc. 3,648,662
51,500 T. Rowe Price 2,536,375
---------------
6,185,037
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.5%)
63,200 Cisco Systems, Inc.(a) 4,281,800
58,700 Hewlett-Packard Co. 3,023,050
---------------
7,304,850
---------------
INSURANCE CARRIERS (0.9%)
33,500 American International Group, Inc. 4,535,062
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.8%)
55,000 Medtronic, Inc. 4,070,000
---------------
MISCELLANEOUS RETAIL (0.6%)
71,000 PETsMART, Inc.(a)(d) 869,750
62,100 Staples, Inc.(a)(d) 1,366,200
31,100 Viking Office Products, Inc.(a) 587,012
---------------
2,822,962
---------------
PHARMACEUTICAL PREPARATIONS (1.4%)
33,600 Pfizer, Inc. 3,456,600
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
106
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
GROWTH BALANCED FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
PHARMACEUTICAL PREPARATIONS (continued)
39,000 Merck & Co., Inc. $ 3,505,125
---------------
6,961,725
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.2%)
120,700 Charles Schwab Corp. 4,903,438
21,700 Donaldson, Lufkin & Jenrette, Inc. 1,141,965
---------------
6,045,403
---------------
TOBACCO PRODUCTS (0.6%)
69,700 Philip Morris Cos., Inc. 3,066,800
---------------
WHOLESALE TRADE-NONDURABLE GOODS (0.4%)
18,900 Cardinal Health, Inc.(d) 1,100,925
24,650 Corporate Express, Inc.(a) 338,940
22,900 Office Depot, Inc.(a) 395,025
---------------
1,834,890
---------------
TOTAL COMMON STOCK (COST $53,902,257) 87,448,503
---------------
REPURCHASE AGREEMENTS (0.2%)
1,174,837 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $1,175,382 (cost
$1,174,837)(e) 1,174,837
---------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$55,077,094) 88,623,340
---------------
SMALL COMPANY GROWTH INVESTMENT STYLE (7.1%)
N/A Small Co. Portfolio of Core Trust
(Delaware)(j) 35,776,846
---------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$30,838,818) 35,776,846
---------------
INTERNATIONAL INVESTMENT STYLE (10.4%)
N/A International Portfolio II of Core Trust
(Delaware)(j) 52,067,823
---------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST $42,747,084)
52,067,823
---------------
TOTAL INVESTMENTS (100.0%) (COST $387,342,999)
$ 500,934,774
---------------
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND
- ----------------------------------------------------
COMMON STOCK (96.0%)
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.5%)
71,678 Autoliv, Inc.(a) $ 2,670,010
---------------
BUSINESS SERVICES (1.5%)
199,100 Cognizant Corp. 7,366,700
---------------
CHEMICALS & ALLIED PRODUCTS (4.6%)
149,800 E.I. du Pont de Nemours & Co. 16,309,475
210,200 Morton International, Inc. 6,778,950
---------------
23,088,425
---------------
COMMUNICATIONS (4.4%)
340,600 AT&T Corp. 12,559,625
215,700 GTE Corp. 9,517,762
---------------
22,077,387
---------------
DEPOSITORY INSTITUTIONS (4.1%)
110,900 First Bank System, Inc.(d) 9,093,800
108,100 J.P. Morgan & Co., Inc.(d) 11,620,750
---------------
20,714,550
---------------
EATING & DRINKING PLACES (1.5%)
146,300 McDonald's Corp.(d) 7,351,575
---------------
ELECTRIC, GAS, & SANITARY SERVICES (7.5%)
184,500 Consolidated Natural Gas Co. 9,801,562
52,900 FPL Group, Inc. 2,459,850
253,100 Pacific Gas & Electric Co. 5,852,937
199,700 Public Service Enterprise Group, Inc. 4,942,575
128,300 Texas Utilities Co.(d) 4,410,312
320,300 Waste Management, Inc.(d) 10,169,525
---------------
37,636,761
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (10.9%)
353,600 AMP, Inc. 14,541,800
162,200 Emerson Electric Co. 8,758,800
183,600 General Electric Co. 11,084,850
156,300 Honeywell, Inc. 11,370,825
134,006 Lucent Technologies, Inc.(d) 8,526,131
---------------
54,282,406
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT, & RELATED SERVICES (2.9%)
556,400 Dun & Bradstreet Corp. 14,535,950
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
107
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
FOOD & KINDRED PRODUCTS (7.3%)
250,800 PepsiCo, Inc. $ 9,216,900
104,000 Procter & Gamble Co.(d) 14,339,000
317,800 Sara Lee Corp. 12,990,075
---------------
36,545,975
---------------
GENERAL MERCHANDISE STORES (6.8%)
139,800 Dayton Hudson Corp. 6,727,875
200,100 J.C. Penney Co., Inc. 10,305,150
249,600 May Department Stores Co.(d) 11,762,400
104,900 Sears Roebuck and Co. 5,153,212
---------------
33,948,637
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (3.1%)
302,600 Hewlett-Packard Co.(d) 15,583,900
---------------
INSURANCE CARRIERS (2.2%)
248,600 American General Corp.(d) 11,000,550
---------------
MEASURING, ANALYZING, & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (2.3%)
141,600 Eastman Kodak Co. 11,735,100
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.8%)
132,100 American Express Co. 9,180,950
164,600 Transamerica Corp. 14,958,025
---------------
24,138,975
---------------
OIL & GAS EXTRACTION (2.4%)
99,200 Schlumberger Ltd.(d) 11,817,200
---------------
PAPER & ALLIED PRODUCTS (3.0%)
163,900 Minnesota Mining & Manufacturing Co. 15,037,825
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (9.4%)
93,600 Atlantic Richfield Co. 13,618,800
138,800 Chevron Corp.(d) 9,716,000
181,200 Exxon Corp. 10,736,100
45,800 Mobil Corp. 6,406,275
32,800 Royal Dutch Petroleum Co. ADR(d) 6,404,200
---------------
46,881,375
---------------
PHARMACEUTICAL PREPARATIONS (7.4%)
126,300 American Home Products Corp. 9,630,375
178,500 Johnson & Johnson 10,687,687
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INCOME EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PHARMACEUTICAL PREPARATIONS (continued)
<TABLE>
<C> <S> <C>
92,000 Merck & Co., Inc.(d) $ 8,268,500
80,400 Pfizer, Inc. 8,271,150
---------------
36,857,712
---------------
PRINTING, PUBLISHING, & ALLIED INDUSTRIES (1.7%)
266,900 Deluxe Corp. 8,674,250
---------------
TOBACCO PRODUCTS (5.6%)
317,800 American Brands, Inc. 15,572,200
279,900 Philip Morris Cos., Inc. 12,315,600
---------------
27,887,800
---------------
TRANSPORTATION EQUIPMENT (2.1%)
127,900 United Technologies Corp. 10,279,962
---------------
TOTAL COMMON STOCK (COST $357,635,924) 480,113,025
---------------
REPURCHASE AGREEMENTS (2.7%)
13,654,422 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $13,660,760 (cost
$13,654,422)(e) 13,654,422
---------------
SHORT-TERM HOLDING (1.3%)
3,169,692 Dreyfus Cash Management Fund 3,169,692
3,271,496 Institutional Funds Group, TempFund Fund 3,271,496
---------------
TOTAL SHORT-TERM HOLDINGS (COST $6,441,188) 6,441,188
---------------
TOTAL INVESTMENTS (100.0%) (COST $377,731,534)
$ 500,208,635
---------------
---------------
- ----------------------------------------------------
VALUGROWTH-SM- STOCK FUND
- ----------------------------------------------------
COMMON STOCK (99.6%)
AMUSEMENT & RECREATION SERVICES (1.6%)
40,300 Walt Disney Co. $ 3,299,562
---------------
BUSINESS SERVICES (4.4%)
82,600 Cabletron Systems, Inc.(a)(d) 3,634,400
81,400 First Data Corp.(d) 3,256,000
16,960 Microsoft Corp.(a)(d) 2,103,040
---------------
8,993,440
---------------
CHEMICALS & ALLIED PRODUCTS (4.0%)
35,060 E.I. du Pont de Nemours & Co. 3,817,157
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
108
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
102,100 Monsanto Co. $ 4,492,400
---------------
8,309,557
---------------
COMMUNICATIONS (3.2%)
77,470 GTE Corp. 3,418,363
55,300 SBC Communications, Inc. 3,235,050
---------------
6,653,413
---------------
DEPOSITORY INSTITUTIONS (8.6%)
41,300 BankAmerica Corp. 4,826,937
39,100 Citicorp 4,472,062
45,140 First Union Corp.(d) 3,876,397
100,800 State Street Corp.(d) 4,498,200
---------------
17,673,596
---------------
ELECTRIC, GAS, & SANITARY SERVICES (6.1%)
70,300 Consolidated Natural Gas Co.(d) 3,734,688
120,200 Texas Utilities Co. 4,131,875
131,200 USA Waste Services, Inc.(a)(d) 4,756,000
---------------
12,622,563
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (10.2%)
102,300 American Power Conversion Corp.(a) 2,378,475
71,800 Emerson Electric Co. 3,877,200
68,400 General Electric Co. 4,129,650
50,160 Honeywell, Inc.(d) 3,649,140
23,600 Intel Corp.(d) 3,575,400
91,800 Telefonaktiebolaget LM Ericsson, Series
B, Sponsored ADR(d) 3,270,375
---------------
20,880,240
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.5%)
35,830 Gillette Co.(d) 3,184,391
---------------
FEDERAL AGENCIES & INSTRUMENTALITIES (2.1%)
100,100 FNMA 4,366,863
---------------
FOOD & KINDRED PRODUCTS (5.4%)
49,700 Coca-Cola Co. 3,392,025
110,700 PepsiCo, Inc. 4,068,225
25,830 Procter & Gamble Co.(d) 3,561,311
---------------
11,021,561
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
GENERAL MERCHANDISE STORES (1.5%)
66,900 May Department Stores Co.(d) $ 3,152,663
---------------
HEALTH SERVICES (2.1%)
107,400 Vencor, Inc.(a)(d) 4,376,550
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.7%)
54,650 Franklin Resources, Inc. 3,538,588
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.5%)
108,900 Black & Decker Corp.(d) 3,784,275
49,800 Cisco Systems, Inc.(a) 3,373,950
85,900 EMC Corp.(a)(d) 3,425,263
53,700 Hewlett-Packard Co.(d) 2,765,550
---------------
13,349,038
---------------
INSURANCE CARRIERS (5.0%)
25,850 American International Group, Inc. 3,499,444
61,900 Chubb Corp. 3,775,900
64,000 SunAmerica, Inc.(d) 3,024,000
---------------
10,299,344
---------------
MACHINERY (1.8%)
68,600 Fluor Corp.(d) 3,627,226
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (11.2%)
89,790 Baxter International, Inc. 4,736,423
49,600 Medtronic, Inc.(d) 3,670,400
101,500 Millipore Corp.(d) 4,377,187
148,400 Thermo Electron Corp.(a)(d) 5,119,800
72,900 Xerox Corp.(d) 4,938,975
---------------
22,842,785
---------------
OIL & GAS EXTRACTION (1.8%)
31,000 Schlumberger, Ltd.(d) 3,692,875
---------------
PAPER & ALLIED PRODUCTS (4.4%)
162,030 Ikon Office Solutions, Inc. 4,698,870
87,100 Kimberly-Clark Corp. 4,365,888
---------------
9,064,758
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (5.1%)
48,800 Chevron Corp.(d) 3,416,000
26,500 Mobil Corp. 3,706,688
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
109
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
VALUGROWTH-SM- STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
17,585 Royal Dutch Petroleum Co. ADR(d) $ 3,433,471
---------------
10,556,159
---------------
PHARMACEUTICAL PREPARATIONS (5.9%)
57,700 American Home Products Corp. 4,399,625
64,000 Johnson & Johnson 3,832,000
42,900 Merck & Co., Inc.(d) 3,855,637
---------------
12,087,262
---------------
REAL ESTATE INVESTMENT TRUST (1.9%)
128,000 Beacon Properties Corp. 3,968,000
---------------
STONE, CLAY, GLASS, & CONCRETE PRODUCTS (3.6%)
137,600 Gentex Corp.(a) 2,769,200
123,100 Newell Co.(d) 4,708,575
---------------
7,477,775
---------------
TOTAL COMMON STOCK (COST $147,600,862) 205,038,209
---------------
SHORT-TERM HOLDINGS (0.4%)
422,928 Dreyfus Cash Management Fund 422,928
422,924 Institutional Funds Group, TempFund Fund 422,924
---------------
TOTAL SHORT-TERM HOLDINGS (COST $845,852) 845,852
---------------
TOTAL INVESTMENTS (100.0%) (COST $148,446,714)
$ 205,884,061
---------------
---------------
- ----------------------------------------------------
INDEX FUND
- ----------------------------------------------------
COMMON STOCK (93.5%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
6,100 Pioneer Hi-Bred International, Inc. $ 425,475
---------------
AMUSEMENT & RECREATION SERVICES (0.8%)
7,600 Harrah's Entertainment, Inc.(a) 141,550
49,700 Walt Disney Co. 4,069,187
---------------
4,210,737
---------------
APPAREL & ACCESSORY STORES (0.4%)
12,400 CVS Corp. 593,650
7,700 Charming Shoppes, Inc.(a) 40,425
20,800 Gap, Inc. 712,400
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
APPAREL & ACCESSORY STORES (continued)
<TABLE>
<C> <S> <C>
19,900 Limited, Inc. $ 402,975
6,000 Nordstrom, Inc.(d) 288,000
5,700 TJX Cos., Inc. 273,600
---------------
2,311,050
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.1%)
5,300 Liz Claiborne, Inc. 241,812
4,700 V.F. Corp. 367,187
---------------
608,999
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.1%)
11,000 Autozone, Inc.(a) 257,125
4,600 Pep Boys - Manny, Moe & Jack 143,750
---------------
400,875
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.0%)
6,000 Ryder System, Inc. 198,752
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (0.0%)
2,100 Centex Corp. 83,737
2,900 Kaufman & Broad Home Corp. 43,500
1,700 Pulte Corp. 53,762
---------------
180,999
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.5%)
35,200 Home Depot, Inc. 2,217,600
12,700 Lowe's Cos., Inc. 500,062
---------------
2,717,662
---------------
BUSINESS SERVICES (4.4%)
12,800 3Com Corp.(a)(d) 620,800
5,300 Adobe Systems, Inc. 236,512
3,400 Autodesk, Inc. 132,175
21,300 Automatic Data Processing, Inc.(d) 1,046,362
28,800 C.U.C. International, Inc.(a)(d) 662,400
11,500 Cabletron Systems, Inc.(a) 506,000
5,900 Ceridian Corp.(a) 216,825
12,600 Cognizant Corp. 466,200
26,700 Computer Associates International, Inc. 1,461,825
5,600 Computer Sciences Corp.(a) 433,300
32,800 First Data Corp.(d) 1,312,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
110
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
BUSINESS SERVICES (continued)
6,000 Interpublic Group of Cos., Inc. $ 359,250
87,600 Microsoft Corp.(a) 10,862,400
25,200 Novell, Inc.(a) 198,450
48,200 Oracle Systems Corp.(a)(d) 2,247,325
9,400 Parametric Technology Co.(a) 421,825
4,300 Safety Kleen Corp. 67,187
1,700 Shared Medical Systems Corp. 90,100
26,900 Sun Microsystems, Inc.(a) 867,525
13,700 UST, Inc. 390,450
---------------
22,598,911
---------------
CHEMICALS & ALLIED PRODUCTS (7.1%)
57,000 Abbott Laboratories 3,591,000
8,200 Air Products & Chemicals, Inc. 637,550
4,100 Alberto Culver Co.(d) 116,850
4,800 Allergan, Inc. 142,200
6,200 Alza Corp.(a) 182,900
9,800 Avon Products, Inc. 624,750
20,100 Baxter International, Inc. 1,060,275
73,400 Bristol-Myers Squibb Co. 5,385,725
3,800 Clorox Co. 479,750
21,600 Colgate-Palmolive Co. 1,339,200
17,900 Dow Chemical Co. 1,492,412
41,300 E.I. du Pont de Nemours & Co. 4,496,537
5,700 Eastman Chemical Co. 339,150
4,700 Ecolab, Inc.(d) 195,637
40,400 Eli Lilly & Co. 3,757,200
2,700 FMC Corp.(a) 194,400
3,900 Goodrich (B.F.) Co. 167,700
4,700 Great Lakes Chemical Corp. 229,712
7,500 Hercules, Inc. 351,562
8,100 International Flavors & Fragrances, Inc. 359,437
5,400 Mallinckrodt, Inc. 201,825
43,100 Monsanto Co. 1,896,400
10,500 Morton International, Inc. 338,625
4,900 Nalco Chemical Co. 181,912
13,500 PPG Industries, Inc. 784,687
37,200 Pharmacia & Upjohn, Inc. 1,288,050
11,500 Praxair, Inc. 605,187
4,700 Rohm & Haas Co. 405,375
27,000 Schering-Plough Corp. 2,450,250
12,600 Sherwin-Williams Co. 378,000
9,400 Union Carbide Corp.(d) 439,450
6,000 W.R. Grace & Co. 313,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
19,900 Warner-Lambert Co. $ 2,004,925
---------------
36,432,133
---------------
COMMUNICATIONS (6.4%)
118,800 AT&T Corp. 4,380,750
36,700 Airtouch Communications, Inc.(a) 1,023,012
13,900 Alltel Corp. 456,962
40,300 Ameritech Corp. 2,639,650
32,100 Bell Atlantic Corp.(d) 2,247,000
72,800 BellSouth Corp. 3,303,300
23,900 Comcast Corp., Class A 415,262
12,000 Frontier Corp. 220,500
70,500 GTE Corp. 3,110,812
2,700 King World Productions, Inc. 101,587
50,200 MCI Communications Corp. 1,926,425
32,200 NYNEX Corp. 1,730,750
67,267 SBC Communications, Inc.(d) 3,935,119
31,500 Sprint Corp. 1,539,562
48,700 Tele-Communications, Inc.(a) 736,587
35,000 US West Communications Group(a) 1,281,875
45,800 US West Media Group(d) 910,275
25,900 Viacom, Inc., Class B(a)(d) 768,906
63,900 WorldCom, Inc.(a)(d) 1,893,037
---------------
32,621,371
---------------
DEPOSITORY INSTITUTIONS (7.3%)
31,300 Banc One Corp.(d) 1,353,725
28,700 Bank of New York Co., Inc. 1,223,337
26,300 BankAmerica Corp. 3,073,812
11,200 BankBoston Corp. 817,600
6,000 Bankers Trust New York Corp. 507,750
14,300 Barnett Banks, Inc. 752,537
32,100 Chase Manhattan Corp. 3,033,450
34,500 Citicorp 3,945,937
7,900 Comerica, Inc. 493,750
16,400 Corestates Financial Corp. 867,150
7,800 Fifth Third Bancorp(d) 602,550
9,900 First Bank System, Inc.(d) 811,800
23,300 First Chicago NBD Corp. 1,380,525
20,800 First Union Corp. 1,786,200
19,300 Fleet Financial Group, Inc. 1,179,712
4,200 Golden West Financial Corp. 284,550
10,100 Great Western Financial Corp. 489,850
7,800 H. F. Ahmanson & Co.(d) 317,850
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
111
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
13,700 J.P. Morgan & Co., Inc.(d) $ 1,472,750
16,600 KeyCorp 902,625
9,500 Mellon Bank Corp. 831,250
16,300 National City Corp. 839,450
57,044 NationsBank Corp. 3,358,465
27,100 Norwest Corp.(g) 1,449,850
24,900 PNC Bank Corp.(d) 1,042,687
4,100 Republic New York Corp. 408,975
16,400 Suntrust Banks, Inc. 875,350
11,100 U.S. Bancorp 681,262
12,100 Wachovia Corp.(d) 736,587
6,800 Wells Fargo & Co. 1,791,800
---------------
37,313,136
---------------
EATING & DRINKING PLACES (0.7%)
11,600 Darden Restaurants, Inc. 97,150
9,400 Marriott International, Inc. 542,850
51,200 McDonald's Corp. 2,572,800
9,500 Wendy's International, Inc. 222,062
---------------
3,434,862
---------------
ELECTRIC, GAS & SANITARY SERVICES (3.3%)
13,800 American Electric Power Co. 562,350
10,800 Baltimore Gas & Electric Co. 283,500
15,600 Browning-Ferris Industries 510,900
11,600 CINergy Corp.(d) 406,000
11,100 Carolina Power & Light Co. 385,725
15,500 Central & Southwest Corp. 329,375
7,700 Coastal Corp. 385,962
4,100 Columbia Gas System, Inc. 263,937
17,300 Consolidated Edison Co. of New York,
Inc. 503,862
7,000 Consolidated Natural Gas Co. 371,875
10,700 DTE Energy Co. 284,887
13,200 Dominion Resources, Inc. 457,050
14,800 Duke Power Co.(d) 666,000
5,100 ENSERCH Corp. 109,012
1,500 Eastern Enterprises 51,750
31,700 Edison International 740,987
18,700 Enron Corp.(d) 762,025
17,000 Entergy Corp.(d) 448,375
13,400 FPL Group, Inc. 623,100
8,900 General Public Utilities Corp. 311,500
17,200 Houston Industries, Inc.(d) 356,900
23,000 Laidlaw, Inc., Class B 310,500
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
10,600 Niagara Mohawk Power Corp.(a) $ 92,750
3,700 Nicor, Inc. 127,187
10,100 NorAm Energy Corp. 154,025
5,100 Northern States Power Co. 249,900
11,200 Ohio Edison Co. 238,000
2,000 Oneok, Inc. 60,500
11,900 PP&L Resources, Inc. 239,487
21,700 PacifiCorp(d) 431,287
6,200 Pacific Enterprises 203,050
30,200 Pacific Gas & Electric Co. 698,375
11,100 Panenergy Corp. 518,925
16,400 Peco Energy Co. 311,600
2,600 People's Energy Corp. 92,300
17,500 Public Service Enterprise Group, Inc. 433,125
6,300 Sonat, Inc. 362,250
49,400 Southern Co. 1,049,750
16,500 Texas Utilities Co. 567,187
7,500 Union Electric Co.(d) 274,687
35,500 Waste Management, Inc. 1,127,125
11,450 Williams Cos., Inc. 505,231
---------------
16,862,313
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (8.0%)
16,100 AMP, Inc. 662,112
10,000 Advanced Micro Devices, Inc.(a) 400,000
2,100 Aeroquip-Vickers, Inc. 91,087
9,200 Andrew Corp.(a) 250,700
7,900 Cooper Industries, Inc. 402,900
8,600 DSC Communications Corp.(a) 219,837
32,800 Emerson Electric Co. 1,771,200
241,400 General Electric Co. 14,574,525
10,100 General Instrument Corp.(a) 244,925
2,900 Harris Corp. 257,012
9,300 Honeywell, Inc. 676,575
8,500 ITT Corp.(a) 506,812
60,200 Intel Corp. 9,120,300
9,500 LSI Logic Corp.(a) 396,625
46,700 Lucent Technologies, Inc. 2,971,287
7,400 Maytag Corp. 197,950
15,300 Micron Technology, Inc.(a)(d) 650,250
43,500 Motorola, Inc. 2,887,312
10,200 National Semiconductor Corp.(a) 286,875
3,500 National Service Industries(d) 153,562
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
112
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
19,000 Northern Telecom Ltd.(d) $ 1,596,000
3,300 Raychem Corp. 244,612
5,700 Scientific-Atlanta, Inc. 103,312
13,200 Tellabs, Inc.(a) 663,300
14,000 Texas Instruments, Inc.(d) 1,258,250
3,900 Thomas & Betts Corp. 198,412
5,500 Whirlpool Corp. 274,312
---------------
41,060,044
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.1%)
12,500 Dun & Bradstreet Corp. 326,562
3,500 EG&G, Inc. 68,250
---------------
394,812
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(0.9%)
2,200 Ball Corp. 64,075
3,350 Crane Co. 137,350
9,400 Crown Cork & Seal Co., Inc. 547,550
40,700 Gillette Co. 3,617,212
5,500 Parker-Hannifin Corp. 289,437
4,500 Snap-On, Inc. 179,437
6,500 Stanley Works(d) 266,500
---------------
5,101,561
---------------
FOOD STORES (0.4%)
18,500 Albertson's, Inc. 619,750
10,700 American Stores Co. 486,850
4,400 Giant Food, Inc., Class A 144,925
2,800 Great Atlantic & Pacific Tea Co. 77,350
18,600 Kroger Co.(a) 476,625
11,100 Winn-Dixie Stores, Inc.(d) 424,575
---------------
2,230,075
---------------
FOOD & KINDRED PRODUCTS (7.8%)
2,800 Adolph Coors Co. 68,250
36,600 Anheuser-Busch Cos., Inc.(d) 1,569,225
39,900 Archer Daniels Midland Co. 798,000
5,100 Brown-Forman Corp. 260,737
10,600 CPC International, Inc. 911,600
34,400 Campbell Soup Co. 1,582,400
182,400 Coca-Cola Co. 12,448,800
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
FOOD & KINDRED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
17,700 Conagra, Inc. $ 1,064,212
11,500 General Mills, Inc. 727,375
26,900 Heinz (H.J.) Co. 1,156,700
11,300 Hershey Foods Corp. 634,212
15,500 Kellogg Co. 1,143,125
113,900 PepsiCo, Inc. 4,185,825
50,000 Procter & Gamble Co.(d) 6,893,750
10,000 Quaker Oats Co. 412,500
7,800 Ralston-Ralston Purina Group 664,950
35,500 Sara Lee Corp. 1,451,062
27,300 Seagram Co. Ltd.(d) 1,098,825
11,800 Unilever N.V. 2,286,250
7,600 Whitman Corp. 183,350
8,500 Wrigley (Wm) Jr. Co. 503,625
---------------
40,044,773
---------------
FURNITURE & FIXTURES (0.1%)
11,800 Masco Corp. 458,725
---------------
GENERAL MERCHANDISE STORES (2.2%)
16,200 Costco Cos., Inc.(a) 546,750
15,900 Dayton Hudson Corp. 765,187
8,300 Dillards, Inc. 280,125
15,300 Federated Department Stores, Inc.(a)(d) 566,100
5,200 Harcourt General, Inc. 246,350
18,600 J.C. Penney Co., Inc. 957,900
35,500 Kmart Corp.(a)(d) 497,000
18,500 May Department Stores Co. 871,812
2,700 Mercantile Stores Co., Inc. 145,125
28,700 Sears Roebuck and Co. 1,409,887
168,100 Wal-Mart Stores, Inc.(d) 5,000,975
9,800 Woolworth Corp.(a)(d) 236,425
---------------
11,523,636
---------------
HEALTH SERVICES (0.6%)
7,300 Beverly Enterprises, Inc.(a)(d) 103,112
49,200 Columbia/HCA Healthcare Corp.(d) 1,801,950
23,200 HEALTHSOUTH Corp.(a) 530,700
4,600 Manor Care, Inc. 131,675
21,700 Tenet Healthcare Corp.(a) 596,750
---------------
3,164,187
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
113
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
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- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
6,100 Fluor Corp. $ 322,537
3,000 Foster Wheeler Corp. 116,250
9,200 Halliburton Co. 711,850
---------------
1,150,637
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.1%)
12,300 Conseco, Inc.(d) 492,000
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.1%)
7,200 Circuit City Stores 284,400
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.2%)
9,500 HFS, Inc.(a)(d) 511,812
18,200 Hilton Hotels Corp.(d) 514,150
---------------
1,025,962
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.0%)
8,900 Amdahl Corp.(a) 89,000
9,100 Apple Computer, Inc.(a) 151,287
13,200 Applied Materials, Inc.(a)(d) 861,300
10,600 Baker Hughes, Inc. 397,500
14,200 Bay Networks, Inc.(a) 347,900
6,500 Black & Decker Corp. 225,875
2,100 Briggs & Stratton Corp. 108,412
7,200 Brunswick Corp. 219,600
5,400 Case Corp. 318,600
14,100 Caterpillar, Inc. 1,376,512
2,900 Cincinnati Milacron, Inc. 67,062
47,600 Cisco Systems, Inc.(a) 3,224,900
19,900 Compaq Computer Corp.(a) 2,154,175
2,900 Cummins Engine Co., Inc. 184,875
2,900 Data General Corp.(a) 61,987
19,000 Deer & Co. 971,375
13,200 Dell Computer Corp.(a) 1,485,000
11,400 Digital Equipment Corp.(a) 408,975
8,300 Dover Corp. 475,175
12,900 Dresser Industries, Inc. 441,825
17,100 EMC Corp.(a) 681,862
3,700 General Signal Corp. 155,862
2,400 Giddings & Lewis, Inc. 45,487
3,600 Harnischfeger Industries, Inc. 154,350
74,500 Hewlett-Packard Co.(d) 3,836,750
75,800 IBM Corp. 6,556,700
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
8,000 Ingersoll-Rand Co. $ 436,000
3,500 Intergraph Corp.(a) 24,718
4,000 McDermott International, Inc. 111,000
9,200 Pall Corp. 217,350
10,900 Pitney Bowes, Inc. 765,725
18,400 Seagate Technology, Inc.(a) 747,500
12,900 Silicon Graphics, Inc.(a)(d) 243,487
8,700 Tandem Computers, Inc.(a) 123,975
4,300 Tandy Corp. 232,200
12,500 Tenneco, Inc. 559,375
2,300 Timken Co. 157,837
12,200 Tyco International Ltd.(d) 774,700
12,800 Unisys Corp.(a)(d) 88,000
46,000 Westinghouse Electric Corp.(d) 931,500
---------------
30,415,713
---------------
INSURANCE AGENTS, BROKERS & SERVICE (0.4%)
12,000 Aon Corp. 585,000
12,000 Humana, Inc.(a) 271,500
4,300 MGIC Investment Corp.(d) 382,700
5,300 Marsh & McLennan Cos., Inc. 698,275
---------------
1,937,475
---------------
INSURANCE CARRIERS (3.9%)
11,100 Aetna Life & Casualty, Inc. 1,121,100
32,600 Allstate Corp. 2,400,175
14,900 American General Corp. 659,325
34,400 American International Group, Inc. 4,656,900
5,500 CIGNA Corp. 955,625
12,800 Chubb Corp. 780,800
6,100 General Re Corp. 1,069,025
8,600 Hartford Financial Services Group, Inc. 670,800
5,200 Jefferson-Pilot Corp.(d) 330,850
7,700 Lincoln National Corp. 468,737
8,500 Loews Corp. 826,625
3,200 MBIA, Inc. 343,600
6,900 Providian Corp. 413,137
9,300 Safeco Corp. 404,550
6,100 St. Paul Cos., Inc. 436,912
5,200 Torchmark Corp. 341,250
47,000 Travelers Group, Inc.(d) 2,579,125
2,500 US Life Corp. 121,875
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
114
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
8,500 USF&G Corp. $ 182,750
13,500 United Healthcare Corp. 762,750
5,400 Unum Corp. 427,275
---------------
19,953,186
---------------
LEATHER & LEATHER PRODUCTS (0.0%)
3,600 Stride Rite Corp. 54,900
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
8,000 Louisiana-Pacific Corp. 156,000
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (1.9%)
4,200 Bard (C.R.), Inc. 134,400
4,100 Bausch & Lomb, Inc. 165,025
9,200 Becton, Dickinson & Co. 453,100
8,500 Biomet, Inc. 158,843
13,100 Boston Scientific Corp.(a) 699,212
24,400 Eastman Kodak Co. 2,022,150
5,400 Guidant Corp. 419,175
6,000 Johnson Controls, Inc. 254,250
17,600 Medtronic, Inc. 1,302,400
3,200 Millipore Corp. 138,000
3,200 Perkin-Elmer Corp. 243,200
3,300 Polaroid Corp. 168,300
17,300 Raytheon Co. 826,075
6,000 St. Jude Medical, Inc.(a)(d) 203,250
2,400 Tektronix, Inc. 137,700
11,000 Thermo Electron Corp.(a) 379,500
4,600 U.S. Surgical Corp. 155,250
23,700 Xerox Corp. 1,605,675
---------------
9,465,505
---------------
METAL MINING (0.5%)
26,100 Barrick Gold Corp.(d) 659,025
16,500 Battle Mountain Gold Co. 99,000
6,900 Cyprus Amax Minerals Co. 168,187
10,200 Echo Bay Mines Ltd. 62,475
14,200 Freeport McMoran, Inc., Class B 413,575
10,800 Homestake Mining Co. 149,850
11,471 Newmont Mining Corp. 448,802
17,600 Placer Dome, Inc. 321,200
---------------
2,322,114
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.2%)
9,450 Hasbro, Inc. 274,050
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
MISCELLANEOUS MANUFACTURING INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
8,700 ITT Industries, Inc. $ 215,325
2,800 Jostens, Inc. 68,950
20,000 Mattel, Inc. 597,514
600 NACCO Industries, Inc. 30,525
---------------
1,186,364
---------------
MISCELLANEOUS RETAIL (0.4%)
2,900 Longs Drug Stores, Inc. 68,875
9,000 Rite Aid Corp.(d) 418,500
21,300 Toys "R" Us, Inc.(a)(d) 662,962
18,100 Walgreen Co. 846,175
---------------
1,996,512
---------------
MOTION PICTURES (0.1%)
15,800 Unicom Corp. 359,450
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.0%)
2,900 Caliber System, Inc. 92,800
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.2%)
34,700 American Express Co. 2,411,650
3,900 Beneficial Corp. 250,575
23,500 Dean Witter Discover & Co. 969,375
52,500 FHLMC 1,732,500
80,000 FNMA 3,490,000
10,100 Green Tree Financial Corp. 353,500
7,100 Household International, Inc. 697,575
24,500 MBNA Corp. 829,937
4,900 Transamerica Corp. 445,287
---------------
11,180,399
---------------
OIL & GAS EXTRACTION (1.2%)
9,200 Burlington Resources, Inc. 427,800
1,800 Helmerich & Payne, Inc. 101,025
24,100 Occidental Petroleum Corp. 560,325
7,700 Oryx Energy Co.(a) 178,062
19,300 Phillips Petroleum Co. 820,250
6,300 Rowan Cos., Inc.(a) 145,687
6,700 Santa Fe Energy Resources, Inc.(a) 101,337
18,100 Schlumberger Ltd. 2,156,162
21,100 USX-Marathon Group, Inc. 627,725
18,400 Union Pacific Resources Group, Inc. 531,300
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
115
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
OIL & GAS EXTRACTION (continued)
<TABLE>
<C> <S> <C>
3,900 Western Atlas, Inc.(a) $ 264,712
---------------
5,914,385
---------------
PAPER & ALLIED PRODUCTS (2.0%)
7,700 Avery Dennison Corp. 289,712
3,800 Bemis Co., Inc. 152,000
3,600 Boise Cascade Corp.(d) 136,800
7,000 Champion International Corp. 345,625
6,700 Georgia Pacific Corp. 591,275
9,600 Ikon Office Solutions, Inc. 278,400
22,000 International Paper Co. 1,056,000
6,300 James River Corp. of Virginia(d) 221,287
41,600 Kimberly-Clark Corp. 2,085,200
3,800 Mead Corp. 242,250
30,600 Minnesota Mining & Manufacturing Co. 2,807,550
7,300 Stone Container Corp. 100,375
4,100 Temple-Inland, Inc. 248,050
5,100 Union Camp Corp. 267,750
7,500 Westvaco Corp. 234,375
14,600 Weyerhaeuser Co. 728,175
4,100 Willamette Industries 305,450
---------------
10,090,274
---------------
PERSONAL SERVICES (0.2%)
7,600 H & R Block, Inc. 250,800
17,300 Service Corp. International(d) 609,825
---------------
860,625
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (6.9%)
6,800 Amerada Hess Corp. 363,800
36,400 Amoco Corp. 3,253,250
4,700 Ashland, Inc. 225,012
11,800 Atlantic Richfield Co. 1,716,900
47,800 Chevron Corp.(d) 3,346,000
182,000 Exxon Corp. 10,783,500
3,600 Kerr-McGee Corp. 233,100
2,500 Louisiana Land & Exploration Co. 128,750
28,800 Mobil Corp. 4,028,400
3,400 Pennzoil Co. 188,275
39,300 Royal Dutch Petroleum Co. ADR 7,673,325
5,400 Sun Co., Inc.(d) 161,325
19,400 Texaco, Inc. 2,117,025
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
18,400 Unocal Corp.(d) $ 784,300
---------------
35,002,962
---------------
PHARMACEUTICAL PREPARATIONS (4.6%)
46,800 American Home Products Corp. 3,568,500
19,400 Amgen, Inc.(a) 1,297,375
97,700 Johnson & Johnson 5,849,787
88,400 Merck & Co., Inc. 7,944,950
47,300 Pfizer, Inc. 4,865,987
---------------
23,526,599
---------------
PRIMARY METAL INDUSTRIES (0.8%)
16,600 Alcan Aluminum Ltd. 595,525
12,800 Allegheny Teledyne, Inc. 329,600
12,700 Aluminum Co. of America 935,037
7,800 Armco, Inc.(a) 29,250
3,100 Asarco, Inc. 96,487
8,200 Bethlehem Steel Corp.(a) 82,000
10,600 Engelhard Corp. 229,225
12,400 Inco Ltd.(d) 409,200
3,600 Inland Steel Industries, Inc. 88,650
6,400 Nucor Corp. 377,600
4,800 Phelps Dodge Corp. 401,400
4,700 Reynolds Metals Co. 319,012
6,200 USX-US Steel Group, Inc. 199,950
7,100 Worthington Industries, Inc. 131,350
---------------
4,224,286
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.2%)
5,500 American Greetings Corp. 188,375
6,100 Deluxe Corp. 198,250
7,100 Dow Jones & Co., Inc. 276,012
10,400 Gannett Co., Inc. 962,000
2,300 John H. Harland Co. 52,612
6,900 Knight-Ridder, Inc. 297,563
7,300 McGraw-Hill Cos., Inc. 398,765
4,000 Meredith Corp. 103,500
7,300 Moore Corp. Ltd. 162,425
7,100 New York Times Co. 327,047
11,100 R.R. Donnelley & Sons Co.(d) 412,088
41,700 Time Warner, Inc. 1,939,050
7,300 Times Mirror Co.(d) 409,715
9,100 Tribune Co. 393,575
---------------
6,120,977
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
116
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
RAILROAD TRANSPORTATION (0.8%)
11,200 Burlington Northern Santa Fe Corp. $ 929,600
15,900 CSX Corp. 842,700
9,200 Norfolk Southern Corp. 893,552
18,000 Union Pacific Corp. 1,219,500
---------------
3,885,352
---------------
RUBBER & MISCELLANEOUS PLASTIC PRODUCTS (0.7%)
3,000 Armstrong World Industries 204,000
5,800 Cooper Tire and Rubber Co. 129,778
11,400 Goodyear Tire and Rubber Co. 666,900
18,200 Illinois Tool Works, Inc. 903,175
21,200 Nike, Inc., Class B 1,208,400
4,100 Reebok International Ltd. 168,100
11,000 Rubbermaid, Inc. 306,629
4,600 Tupperware Corp. 166,750
---------------
3,753,732
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (0.6%)
11,600 Charles Schwab Corp. 471,250
12,100 Merrill Lynch & Co., Inc 1,282,600
11,200 Morgan Stanley Group, Inc. 756,000
8,000 Salomon, Inc. 429,003
---------------
2,938,853
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.3%)
16,900 Corning, Inc. 851,340
11,700 Newell Co. 447,525
3,800 Owens-Corning Corp. 158,650
---------------
1,457,515
---------------
TEXTILE MILL PRODUCTS (0.1%)
5,600 Fruit of the Loom, Inc.(a) 195,303
2,800 Russell Corp. 85,752
1,500 Springs Industries, Inc., Class A 75,940
---------------
356,995
---------------
TOBACCO PRODUCTS (1.7%)
12,500 American Brands, Inc. 612,500
179,100 Philip Morris Cos., Inc. 7,880,400
---------------
8,492,900
---------------
TRANSPORTATION BY AIR (0.4%)
6,700 AMR Corp.(a) 665,815
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
TRANSPORTATION BY AIR (continued)
<TABLE>
<C> <S> <C>
5,500 Delta Airlines, Inc. $ 515,625
8,400 Federal Express Corp.(a)(d) 439,951
10,700 Southwest Airlines Co. 275,525
4,700 U.S. Air Group, Inc. 163,325
---------------
2,060,241
---------------
TRANSPORTATION EQUIPMENT (4.0%)
20,800 Allied Signal, Inc. 1,596,400
26,200 Boeing Co.(d) 2,757,551
53,400 Chrysler Corp. 1,695,450
7,500 Dana Corp. 270,939
5,700 Eaton Corp. 454,575
4,600 Echlin, Inc. 153,527
2,600 Fleetwood Enterprises, Inc.(d) 70,200
86,900 Ford Motor Co.(d) 3,258,750
4,600 General Dynamics Corp. 344,426
55,400 General Motors Corp. 3,171,650
14,200 Lockheed Martin Corp. 1,329,477
15,600 McDonnell Douglas Corp. 1,004,252
5,400 Navistar International Corp.(a) 89,778
4,200 Northrop Grumman Corp. 355,950
5,800 Paccar, Inc. 262,450
16,100 Rockwell International Corp. 1,038,450
9,300 TRW, Inc. 497,550
6,100 Textron, Inc. 722,850
17,700 United Technologies Corp. 1,422,639
---------------
20,496,864
---------------
WHOLESALE TRADE--DURABLE GOODS (0.2%)
13,200 Genuine Parts Co.(d) 442,200
3,900 Grainger (W.W.), Inc. 312,975
2,100 Potlatch Corp. 90,039
---------------
845,214
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
7,700 Cardinal Health, Inc. 448,525
2,800 Fleming Cos., Inc. 53,200
7,300 Sigma Aldrich 223,564
4,900 Supervalu, Inc. 163,539
13,100 Sysco Corp. 456,865
---------------
1,345,693
---------------
TOTAL COMMON STOCKS (COST $364,755,076) 477,741,972
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
117
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX FUND (continued)
- ----------------------------------------------------
TIME DEPOSITS (6.3%)
32,235,143 Banca Commerciale Italiana Spa Canada,
Toronto, 5.66% 6/2/97, (cost
$32,235,143) $ 32,235,143
---------------
U.S. TREASURY BILLS (0.2%)
1,220,000 4.59% yield, 7/24/97 (cost
$1,211,476)(f) 1,211,476
---------------
TOTAL INVESTMENTS (100.0%) (COST $398,201,695)
$ 511,188,591
---------------
---------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
FINANCIAL INSTRUMENTS
FINANCIAL FUTURES CONTRACTS(F)
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX APPRECIATION
- --------- ----------- ------------------------ ---------
<S> <C> <C> <C>
Long 12 S&P 500 Futures,
Expiring June 20, 1997 $ 633,625
Long 66 S&P 500 Futures,
Expiring September 19,
1997 1,899,750
---------
$2,533,375
---------
---------
</TABLE>
<TABLE>
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND
- ----------------------------------------------------
INCOME EQUITY INVESTMENT STYLE (24.7%)
COMMON STOCK (23.7%)
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.1%)
48,967 Autoliv, Inc.(a) $ 1,824,020
---------------
BUSINESS SERVICES (0.4%)
130,800 Cognizant Corp. 4,839,600
---------------
CHEMICALS & ALLIED PRODUCTS (1.2%)
96,600 E.I. du Pont de Nemours & Co. 10,517,325
143,600 Morton International, Inc. 4,631,100
---------------
15,148,425
---------------
COMMUNICATIONS (1.1%)
220,000 AT&T Corp. 8,112,500
126,600 GTE Corp. 5,586,225
---------------
13,698,725
---------------
DEPOSITORY INSTITUTIONS (1.2%)
92,400 First Bank System, Inc.(d) 7,576,800
74,400 J.P. Morgan & Co., Inc. 7,998,000
---------------
15,574,800
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
EATING & DRINKING PLACES (0.3%)
73,500 McDonald's Corp. $ 3,693,375
---------------
ELECTRIC, GAS & SANITARY SERVICES (1.8%)
122,600 Consolidated Natural Gas Co. 6,513,125
39,600 FPL Group, Inc. 1,841,400
133,400 Pacific Gas & Electric Co. 3,084,875
132,000 Public Service Enterprise Group, Inc. 3,267,000
55,300 Texas Utilities Co.(d) 1,900,937
202,000 Waste Management, Inc. 6,413,500
---------------
23,020,837
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (2.8%)
200,000 AMP, Inc.(d) 8,225,000
109,800 Emerson Electric Co. 5,929,200
120,200 General Electric Co. 7,257,075
101,600 Honeywell, Inc. 7,391,400
83,103 Lucent Technologies, Inc.(d) 5,287,430
---------------
34,090,105
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.7%)
330,800 Dun & Bradstreet Corp. 8,642,150
---------------
FOOD & KINDRED PRODUCTS (1.8%)
163,200 PepsiCo, Inc. 5,997,600
66,000 Procter & Gamble Co.(d) 9,099,750
200,600 Sara Lee Corp. 8,199,525
---------------
23,296,875
---------------
GENERAL MERCHANDISE STORES (1.4%)
120,100 Dayton Hudson Corp. 5,779,812
97,400 J.C. Penney Co., Inc. 5,016,100
97,600 May Department Stores Co. 4,599,400
60,100 Sears Roebuck & Co. 2,952,412
---------------
18,347,724
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.8%)
204,000 Hewlett-Packard Co.(d) 10,506,000
---------------
INSURANCE CARRIERS (0.5%)
149,000 American General Corp.(d) 6,593,250
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
118
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.5%)
81,900 Eastman Kodak Co. $ 6,787,462
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.2%)
93,200 American Express Co. 6,477,400
101,200 Transamerica Corp. 9,196,550
---------------
15,673,950
---------------
OIL & GAS EXTRACTION (0.5%)
56,000 Schlumberger, Ltd.(d) 6,671,001
---------------
PAPER & ALLIED PRODUCTS (0.7%)
94,900 Minnesota Mining & Manufacturing Co. 8,707,075
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (2.5%)
47,000 Atlantic Richfield Co. 6,838,500
83,600 Chevron Corp.(d) 5,852,000
119,600 Exxon Corp. 7,086,300
37,600 Mobil Corp. 5,259,300
27,600 Royal Dutch Petroleum Co., ADR(d) 5,388,900
---------------
30,425,000
---------------
PHARMACEUTICAL PREPARATIONS (2.0%)
79,800 American Home Products Corp. 6,084,750
115,400 Johnson & Johnson 6,909,575
60,100 Merck & Co., Inc. 5,401,487
67,200 Pfizer, Inc. 6,913,202
---------------
25,309,014
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (0.4%)
167,300 Deluxe Corp. 5,437,250
---------------
TOBACCO PRODUCTS (1.3%)
175,100 American Brands, Inc. 8,579,900
181,500 Philip Morris Cos., Inc. 7,986,000
---------------
16,565,900
---------------
TRANSPORTATION EQUIPMENT (0.5%)
81,600 United Technologies Corp. 6,558,600
---------------
TOTAL COMMON STOCK (COST $196,380,610) 301,411,138
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (1.0%)
12,485,756 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $12,491,551 (cost
$12,485,756)(e) $ 12,485,756
---------------
TOTAL INCOME EQUITY INVESTMENT STYLE (COST $208,866,366)
313,896,894
---------------
INDEX INVESTMENT STYLE (24.9%)
N/A Index Portfolio of Core Trust
(Delaware)(k) 316,430,163
---------------
TOTAL INDEX INVESTMENT STYLE (COST $203,411,030)
316,430,163
---------------
LARGE COMPANY GROWTH INVESTMENT STYLE (25.4%)
COMMON STOCK (24.9%)
AMUSEMENT & RECREATION SERVICES (0.6%)
90,580 Walt Disney Co. 7,416,237
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.3%)
70,600 Cintas Corp.(d) 4,377,200
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (1.1%)
151,093 Home Depot, Inc. 9,518,859
112,800 Lowe's Cos., Inc. 4,441,500
---------------
13,960,359
---------------
BUSINESS SERVICES (4.7%)
83,700 DST Systems, Inc.(a) 2,573,775
51,750 Electronic Data Systems Corp. 1,934,156
334,200 First Data Corp.(d) 13,368,000
108,550 Fiserv, Inc.(a)(d) 4,464,118
66,100 HBO & Co.(d) 4,238,660
240,940 Microsoft Corp.(a) 29,876,560
65,500 Sungard Data Systems, Inc.(a)(d) 2,783,750
---------------
59,239,019
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (4.6%)
167,100 Intel Corp. 25,315,650
168,133 Molex Inc., Class A 6,094,785
94,860 Motorola, Inc. 6,296,332
87,200 Solectron Corp.(a)(d) 5,450,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
119
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (continued)
417,800 Telfonaktiebolaget LM Ericsson, Series
B, sponsored ADR(d) $ 14,884,125
---------------
58,040,892
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.5%)
73,900 Gartner Group, Inc.(a) 2,152,337
115,350 Paychex, Inc.(d) 4,239,112
---------------
6,391,449
---------------
FOOD & KINDRED PRODUCTS (1.1%)
209,500 Coca-Cola Co. 14,298,375
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.7%)
203,900 Franklin Resources, Inc. 13,202,525
176,400 T. Rowe Price(d) 8,687,700
---------------
21,890,225
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.1%)
226,100 Cisco Systems, Inc.(a)(d) 15,318,275
209,200 Hewlett-Packard Co. 10,773,800
---------------
26,092,075
---------------
INSURANCE CARRIERS (1.3%)
125,125 American International Group, Inc. 16,938,803
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (1.1%)
193,800 Medtronic, Inc.(d) 14,341,200
---------------
MISCELLANEOUS RETAIL (0.7%)
229,700 PETsMART, Inc.(a)(d) 2,813,825
213,500 Staples, Inc.(a)(d) 4,697,000
90,700 Viking Office Products, Inc.(a)(d) 1,711,961
---------------
9,222,786
---------------
PHARMACEUTICAL PREPARATIONS (2.0%)
117,400 Pfizer, Inc. 12,077,525
136,200 Merck & Co., Inc. 12,240,975
---------------
24,318,500
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
DIVERSIFIED EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.7%)
436,400 Charles Schwab Corp.(d) $ 17,728,750
78,400 Donaldson, Lufkin & Jenrette, Inc. 4,125,800
---------------
21,854,550
---------------
TOBACCO PRODUCTS (0.9%)
255,600 Philip Morris Cos., Inc. 11,246,400
---------------
WHOLESALE TRADE-NONDURABLE GOODS (0.5%)
67,700 Cardinal Health, Inc.(d) 3,943,525
87,500 Corporate Express, Inc.(a)(d) 1,203,125
81,560 Office Depot, Inc.(a)(d) 1,406,910
---------------
6,553,560
---------------
TOTAL COMMON STOCK (COST $191,780,801) 316,181,630
---------------
REPURCHASE AGREEMENTS (0.5%)
6,841,940 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $6,845,116 (cost
$6,841,940)(e) 6,841,940
---------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$198,622,741) 323,023,570
---------------
SMALL COMPANY GROWTH INVESTMENT STYLE (10.3%)
N/A Small Company Portfolio of Core Trust
(Delaware)(k) 130,224,762
---------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$113,098,294) 130,224,762
---------------
INTERNATIONAL INVESTMENT STYLE (14.7%)
N/A International Portfolio II of Core Trust
(Delaware)(k) 187,234,308
---------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST $156,834,666)
187,234,308
---------------
TOTAL INVESTMENTS (100.0%) (COST $880,833,097)
$1,270,809,697
---------------
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
120
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND
- ----------------------------------------------------
LARGE COMPANY GROWTH INVESTMENT STYLE (35.3%)
COMMON STOCK (35.2%)
AMUSEMENT & RECREATION SERVICES (0.8%)
89,300 Walt Disney Co. $ 7,311,437
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.5%)
81,300 Cintas Corp.(d) 5,040,600
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY, & MOBILE HOME DEALERS (1.5%)
150,300 Home Depot, Inc. 9,468,900
105,200 Lowe's Cos., Inc. 4,142,256
---------------
13,611,156
---------------
BUSINESS SERVICES (6.7%)
84,700 DST Systems, Inc.(a) 2,604,525
53,000 Electronic Data Systems Corp. 1,980,875
353,400 First Data Corp.(d) 14,136,000
105,700 Fiserv, Inc.(a)(d) 4,346,912
62,400 HBO & Co.(d) 4,001,400
245,900 Microsoft Corp.(a) 30,491,600
66,200 Sungard Data Systems Inc.(a)(d) 2,813,500
---------------
60,374,812
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (6.4%)
168,900 Intel Corp.(d) 25,588,350
163,553 Molex Inc., Class A(d) 5,928,796
96,700 Motorola, Inc. 6,418,462
83,000 Solectron Corp.(a)(d) 5,187,500
424,600 Telefonaktiebolaget LM Ericsson, Series
B ADR(d) 15,126,375
---------------
58,249,483
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.7%)
75,700 Gartner Group, Inc.(a)(d) 2,204,762
125,289 Paychex, Inc. 4,604,315
---------------
6,809,077
---------------
FOOD & KINDRED PRODUCTS (1.7%)
224,700 Coca-Cola Co.(d) 15,335,775
---------------
HOLDING & OTHER INVESTMENT OFFICES (2.4%)
207,850 Franklin Resources, Inc.(d) 13,458,287
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
HOLDING & OTHER INVESTMENT OFFICES (continued)
<TABLE>
<C> <S> <C>
173,100 T. Rowe Price $ 8,525,175
---------------
21,983,462
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.9%)
231,100 Cisco Systems Inc.(a) 15,657,025
212,800 Hewlett-Packard Co. 10,959,200
---------------
26,616,225
---------------
INSURANCE CARRIERS (1.9%)
131,650 American International Group, Inc. 17,822,118
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (1.6%)
197,800 Medtronic, Inc.(d) 14,637,200
---------------
MISCELLANEOUS RETAIL (1.0%)
225,300 PETsMART, Inc.(a)(d) 2,759,925
226,400 Staples, Inc.(a)(d) 4,980,800
86,200 Viking Office Products, Inc.(a) 1,627,025
---------------
9,367,750
---------------
PHARMACEUTICAL PREPARATIONS (2.7%)
119,400 Pfizer, Inc. 12,283,275
138,900 Merck & Co., Inc. 12,483,637
---------------
24,766,912
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICE (2.5%)
462,100 Charles Schwab Corp.(d) 18,772,812
79,300 Donaldson, Lufkin & Jenrette, Inc. 4,173,162
---------------
22,945,974
---------------
TOBACCO PRODUCTS (1.2%)
260,700 Philip Morris Cos., Inc. 11,470,800
---------------
WHOLESALE TRADE-NONDURABLE GOODS (0.7%)
68,900 Cardinal Health, Inc.(d) 4,013,425
94,450 Corporate Express, Inc.(a)(d) 1,298,687
71,000 Office Depot, Inc.(a) 1,224,750
---------------
6,536,862
---------------
TOTAL COMMON STOCK (COST $194,488,054) 322,879,643
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
121
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
GROWTH EQUITY FUND (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (0.1%)
1,292,913 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $1,293,513 (cost
$1,292,913)(e) $ 1,292,913
---------------
TOTAL LARGE COMPANY GROWTH INVESTMENT STYLE (COST
$195,780,967) 324,172,556
---------------
SMALL COMPANY GROWTH INVESTMENT STYLE (35.3%)
N/A Small Company Portfolio of Core Trust
(Delaware)(l) 324,214,023
---------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$280,569,413) 324,214,023
---------------
INTERNATIONAL INVESTMENT STYLE (29.4%)
N/A International Portfolio II of Core Trust
(Delaware)(l) 269,464,245
---------------
TOTAL INTERNATIONAL INVESTMENT STYLE (COST $223,414,758)
269,464,245
---------------
TOTAL INVESTMENTS (100.0%) (COST $699,765,138)
$ 917,850,824
---------------
---------------
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCK (98.5%)
AMUSEMENT & RECREATION SERVICES (2.1%)
33,400 Walt Disney Co. $ 2,734,625
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.5%)
30,900 Cintas Corp. 1,915,800
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (4.1%)
59,600 Home Depot, Inc. 3,754,800
42,400 Lowe's Cos., Inc. 1,669,500
---------------
5,424,300
---------------
BUSINESS SERVICES (18.5%)
37,300 DST Systems, Inc.(a) 1,146,975
21,800 Electronic Data Systems Corp. 814,775
151,200 First Data Corp.(d) 6,048,000
48,400 Fiserv, Inc.(a) 1,990,450
29,100 HBO & Company(d) 1,866,037
90,600 Microsoft Corp.(a) 11,234,400
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
29,600 Sungard Data Systems, Inc.(a) $ 1,258,000
---------------
24,358,637
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (17.2%)
62,800 Intel Corp. 9,514,200
69,303 Molex Inc., Class A 2,512,233
39,700 Motorola, Inc. 2,635,087
33,800 Solectron Corp.(a) 2,112,505
165,300 Telefonaktiebolaget LM Ericsson, Series
B ADR 5,888,812
---------------
22,662,837
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (2.1%)
31,000 Gartner Group, Inc.(a) 902,875
49,988 Paychex, Inc. 1,837,040
---------------
2,739,915
---------------
FOOD & KINDRED PRODUCTS (4.7%)
91,200 Coca-Cola Co. 6,224,400
---------------
HOLDING & OTHER INVESTMENT OFFICES (6.9%)
85,850 Franklin Resources, Inc. 5,558,787
73,000 T. Rowe Price 3,595,250
---------------
9,154,037
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (7.9%)
90,800 Cisco Systems, Inc.(a) 6,151,700
83,700 Hewlett-Packard Co. 4,310,550
---------------
10,462,250
---------------
INSURANCE CARRIERS (5.2%)
50,750 American International Group, Inc. 6,870,281
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (4.7%)
83,300 Medtronic, Inc. 6,164,200
---------------
MISCELLANEOUS RETAIL (3.4%)
32,900 Office Depot, Inc.(a) 567,525
100,500 PETS MART, Inc.(a) 1,231,125
89,700 Staples, Inc.(a)(d) 1,973,400
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
122
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
LARGE COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
MISCELLANEOUS RETAIL (continued)
41,200 Viking Office Products, Inc.(a) $ 777,650
---------------
4,549,700
---------------
PHARMACEUTICAL PREPARATIONS (8.5%)
60,600 Merck & Co., Inc. 5,446,425
55,900 Pfizer, Inc. 5,750,712
---------------
11,197,137
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (6.4%)
159,000 Charles Schwab Corp. 6,459,375
37,500 Donaldson, Lufkin & Jenrette, Inc. 1,973,437
---------------
8,432,812
---------------
TOBACCO PRODUCTS (3.6%)
106,700 Philip Morris Cos., Inc. 4,694,800
---------------
WHOLESALE TRADE--NONDURABLE GOODS (1.7%)
30,100 Cardinal Health, Inc.(d) 1,753,325
34,750 Corporate Express, Inc.(a) (d) 477,812
---------------
2,231,137
---------------
TOTAL COMMON STOCK (COST $86,148,610) 129,816,868
---------------
REPURCHASE AGREEMENTS (1.5%)
1,975,784 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $1,976,702 (cost
$1,975,784)(e) 1,975,784
---------------
TOTAL INVESTMENTS (100.0%) (COST $88,124,394)
$ 131,792,652
---------------
---------------
- ----------------------------------------------------
SMALL COMPANY STOCK FUND
- ----------------------------------------------------
COMMON STOCK (94.0%)
BUILDING & CONSTRUCTION (1.2%)
72,125 Service Experts, Inc.(a) $ 2,037,531
---------------
BUSINESS SERVICES (18.6%)
231,950 Accelr8 Technology Corp.(a)(d) 4,117,112
56,450 BDM International, Inc.(a) 1,467,700
101,850 Cellular Technical Services Co.(a)(d) 1,387,706
81,625 Ciber, Inc.(a)(d) 3,377,234
46,075 Citrix Systems, Inc.(a) 1,733,571
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
33,000 Computer Horizons Corp.(a) $ 1,839,750
53,900 Computer Task Group, Inc. 3,294,637
216,600 HCIA, Inc.(a) 5,360,850
66,925 IKOS Systems, Inc.(a) 1,656,393
31,500 Keane, Inc.(a) 1,775,812
29,000 Metro Information Services, Inc. 532,875
90,375 SEEC Inc.(a) 1,705,828
183,700 USCS International, Inc.(a) 4,202,137
---------------
32,451,605
---------------
CHEMICALS & ALLIED PRODUCTS (3.0%)
57,000 OM Group, Inc. 1,795,500
139,700 Tetra Technologies, Inc.(a) 3,405,187
---------------
5,200,687
---------------
DEPOSITORY INSTITUTIONS (9.1%)
78,625 ALBANK Financial Corp. 3,017,234
102,450 Bank Plus Corp.(a) 1,114,143
39,875 Coast Savings Financial(a) 1,699,671
112,500 Commonwealth Bancorp Inc. 1,687,500
91,500 Haven Bancorp, Inc. 3,133,875
142,651 Peoples Bank 3,370,106
98,300 Trenton Savings Bank FSB 1,867,700
---------------
15,890,229
---------------
ELECTRIC, GAS & SANITARY SERVICES (0.9%)
37,325 KCS Energy, Inc. 1,553,653
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (7.1%)
108,275 Etec Systems, Inc.(a) 4,818,237
12,350 P-COM, Inc.(a) 398,287
120,200 Speedfam International Inc.(a) 4,379,787
76,425 Vitesse Semiconductor Corp.(a) 2,741,746
---------------
12,338,057
---------------
FINANCIAL SERVICES (1.6%)
197,001 Southern Pacific Funding Corp.(a)(d) 2,758,014
---------------
FOOD & KINDRED PRODUCTS (2.4%)
136,525 Canandaigua Wine Co. Inc.(a) 4,215,209
---------------
HEALTH SERVICES (1.8%)
105,200 VISX Inc.(a) 3,103,400
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
123
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
HOLDING & OTHER INVESTMENT OFFICES (1.1%)
33,010 Redwood Trust Inc.(d) $ 1,885,696
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (2.2%)
117,900 Inacom Corp.(a)(d) 3,817,012
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.4%)
60,600 Bell & Howell Co.(a) 1,621,050
45,750 Ciprico, Inc.(a) 766,312
---------------
2,387,362
---------------
INSURANCE CARRIERS (2.0%)
172,350 FPA Medical Management, Inc.(a)(d) 3,447,000
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (7.5%)
108,000 Arrow International, Inc. 3,483,000
64,175 OEA, Inc. 2,422,606
44,000 Veeco Instruments, Inc.(a) 1,826,000
186,625 Zygo Corp.(a)(d) 5,412,125
---------------
13,143,731
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.9%)
108,300 Covenant Transportation, Inc.(a) 1,638,037
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (4.7%)
28,300 Delta Financial Corp.(a) 452,800
74,100 HealthCare Financial Partners, Inc.(a) 1,231,912
259,600 Imperial Credit Industries, Inc.(a) 4,899,950
93,800 Medallion Financial Corp. 1,641,500
---------------
8,226,162
---------------
OIL & GAS EXTRACTION (19.1%)
474,500 Abacan Resource Corp.(a) 3,440,125
51,010 Atwood Oceanics, Inc.(a) 3,417,670
91,550 Cabot Oil and Gas Corp. 1,693,675
106,100 Devon Energy Corp. 3,952,225
74,825 Flores & Rucks, Inc.(a)(d) 3,666,425
176,700 FX Energy, Inc.(a) 1,501,950
209,950 Marine Drilling Co., Inc.(a)(d) 4,225,243
25,950 Nuevo Energy Co.(a) 1,132,068
168,675 Pride Petroleum Services, Inc.(a)(d) 3,753,018
81,700 Tuboscope Vetco International Corp.(a) 1,327,625
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
OIL & GAS EXTRACTION (continued)
<TABLE>
<C> <S> <C>
152,400 Vintage Petroleum, Inc. $ 5,181,600
---------------
33,291,624
---------------
PRIMARY METAL INDUSTRIES (3.2%)
106,650 RMI Titanium Co.(a)(d) 2,479,612
114,900 Titanium Metals Corp.(a)(d) 3,490,087
---------------
5,969,699
---------------
WHOLESALE TRADE-DURABLE GOODS (3.3%)
89,800 CellStar Corp.(a)(d) 3,221,575
73,800 Spine-Tech, Inc.(a)(d) 2,550,712
---------------
5,772,287
---------------
WHOLESALE TRADE-NONDURABLE GOODS (2.9%)
102,300 Barrett Resources Corp.(a)(d) 3,427,067
100,050 United Natural Foods, Inc.(a) 1,575,787
---------------
5,002,854
---------------
TOTAL COMMON STOCK (COST $139,293,443) 164,129,849
---------------
SHORT-TERM HOLDINGS (6.0%)
2,789,447 Dreyfus Treasury Cash Management Fund 2,789,447
2,256,817 Federated U.S. Short-Term Fund 2,256,817
3,346,683 Fidelity Money Market 3,346,683
2,037,350 Provident Federal Trust 2,037,350
---------------
TOTAL SHORT-TERM HOLDINGS (COST $10,430,297)
10,430,297
---------------
TOTAL INVESTMENTS (100%) (COST $149,723,740)
$ 174,560,146
---------------
---------------
- ----------------------------------------------------
SMALL COMPANY GROWTH FUND
- ----------------------------------------------------
COMMON STOCK (95.9%)
APPAREL & ACCESSORY STORES (2.4%)
262,100 Claire's Stores, Inc. $ 5,045,425
280,500 Stage Stores, Inc.(a) 5,662,593
---------------
10,708,018
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.7%)
232,300 Warnaco Group, Inc. Class A 7,607,825
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
124
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
COMMON STOCK (continued)
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (0.9%)
197,375 American Homestar Corp.(a) $ 3,947,500
---------------
BUSINESS SERVICES (4.5%)
203,200 Autodesk, Inc. 7,899,400
227,500 GTECH Holdings Corp.(a) 7,479,062
80,800 Visio Corp.(a) 4,646,000
---------------
20,024,462
---------------
CHEMICALS & ALLIED PRODUCTS (6.3%)
210,400 Biovail Corp. International(a) 6,233,100
140,366 Elan Corp. plc ADR(a) 5,719,914
320,900 Genzyme Corp.(a) 7,661,487
133,700 North American Vaccine, Inc.(a) 2,607,150
233,200 Sepracor, Inc.(a) 5,713,400
---------------
27,935,051
---------------
COMMUNICATIONS (0.6%)
55,900 Commnet Cellular, Inc.(a) 1,914,575
52,550 Vanguard Cellular Systems, Inc.(a) 689,718
---------------
2,604,293
---------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (1.4%)
344,700 Apogee Enterprises, Inc. 6,376,950
---------------
DEPOSITORY INSTITUTIONS (2.0%)
19,340 California Federal Bank Inc.-- Secondary
Contingent Litigation Recovery
Participation Interests(a) 282,847
500,800 Dime Bancorp, Inc. 8,513,600
---------------
8,796,447
---------------
EATING & DRINKING PLACES (1.4%)
448,900 Foodmaker, Inc.(a) 6,284,600
---------------
ELECTRIC, GAS & SANITARY SERVICES (2.7%)
279,700 Philip Environmental, Inc.(a) 4,090,612
216,300 USA Waste Services, Inc.(a) 7,840,875
---------------
11,931,487
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (7.2%)
255,900 American Power Conversion Corp.(a) 5,949,675
240,500 BMC Industries Inc. 7,906,437
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
511,700 Cypress Semiconductor Corp.(a) $ 7,291,725
235,900 Harmonic Lightwaves, Inc.(a) 3,892,350
101,400 Hutchinson Technology, Inc.(a) 2,788,500
197,000 Read-Rite Corp.(a) 4,112,375
---------------
31,941,062
---------------
FABRICATED METAL PRODUCTS (1.3%)
153,000 Tower Automotive, Inc.(a) 6,062,625
---------------
FOOD STORES (3.0%)
273,100 Dominick's Supermarkets, Inc.(a) 6,622,675
218,700 Whole Foods Market, Inc.(a) 6,861,712
---------------
13,484,387
---------------
GENERAL MERCHANDISE STORES (0.2%)
25,975 Consolidated Stores Corp.(a) 993,544
---------------
HEALTH SERVICES (3.8%)
54,800 Genesis Health Ventures, Inc.(a) 1,801,550
290,400 Quorum Health Group, Inc.(a) 10,272,900
115,300 Vencor, Inc.(a) 4,698,475
---------------
16,772,925
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.7%)
179,100 RFS Hotel Investors, Inc. 3,335,737
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (1.3%)
177,500 Inacom Corp.(a) 5,746,563
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (1.1%)
195,200 Interstate Hotels Co.(a) 5,124,000
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (8.4%)
172,400 American Standard Cos., Inc.(a) 8,641,550
127,000 Applied Power, Inc. 5,588,000
70,300 Case Corp. 4,147,700
120,600 Cooper Cameron Corp.(a) 9,874,125
212,500 Data General Corp.(a) 4,542,187
167,700 Varco International, Inc.(a) 4,611,750
---------------
37,405,312
---------------
INSURANCE CARRIERS (4.8%)
240,000 Amerin Corp.(a) 5,640,000
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
125
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
223,400 Everest Reinsurance Holdings, Inc. $ 7,595,600
148,700 The PMI Group, Inc. 8,159,912
---------------
21,395,512
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (2.7%)
174,700 Mentor Corp. 4,607,712
154,000 Perceptron, Inc.(a) 4,350,500
196,800 Possis Medical, Inc.(a) 3,025,800
---------------
11,984,012
---------------
MISCELLANEOUS MANUFACTURING (0.5%)
174,600 RockShox, Inc.(a) 2,531,700
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (1.4%)
167,400 Lear Corp.(a) 6,403,050
---------------
MISCELLANEOUS RETAIL (2.3%)
366,600 Borders Group, Inc.(a) 7,973,550
214,100 Rent-Way, Inc.(a) 2,595,965
---------------
10,569,515
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.0%)
158,600 Swift Transportation, Inc.(a) 5,114,850
173,900 USFreightways Corp. 4,217,075
---------------
9,331,925
---------------
OIL & GAS EXTRACTION (10.1%)
160,000 Apache Corp. 5,480,000
320,000 Dawson Production Services, Inc.(a) 3,600,000
320,600 Nabors Industries, Inc.(a) 7,193,462
428,100 Noble Drilling Corp.(a) 9,311,175
350,200 Parker Drilling Co.(a) 3,370,675
305,800 Pool Energy Services Co.(a) 5,083,925
280,100 Rowan Cos., Inc.(a) 6,477,312
67,200 Transocean Offshore Inc. 4,636,800
---------------
45,153,349
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (1.0%)
145,600 Sun Co., Inc. 4,349,800
---------------
PHARMECEUTICAL PREPARATIONS (3.0%)
129,200 Axogen Ltd.(a) 3,795,250
145,500 Forest Laboratories, Inc.(a) 6,147,375
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY GROWTH FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PHARMECEUTICAL PREPARATIONS (continued)
<TABLE>
<C> <S> <C>
242,400 Twinlab Corp.(a) $ 3,484,500
---------------
13,427,125
---------------
PRIMARY METAL INDUSTRIES (3.7%)
319,800 General Cable Corp.(a) 6,835,725
195,200 Steel Dynamics, Inc.(a) 4,392,000
169,000 Titanium Metals Corp.(a) 5,133,375
---------------
16,361,100
---------------
REAL ESTATE (1.2%)
268,500 Newhall Land & Farming Co. 5,370,000
---------------
RUBBER & MISCELLANEOUS PLASTIC PRODUCTS (2.6%)
141,200 EVI Inc.(a) 5,312,650
251,200 Standard Products Co. 6,248,600
---------------
11,561,250
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (1.1%)
285,500 Amresco, Inc.(a) 5,031,940
---------------
TRANSPORTATION EQUIPMENT (3.6%)
360,700 Gulfstream Aerospace Corp.(a) 10,595,562
165,640 LucasVarity plc ADR 5,321,185
---------------
15,916,747
---------------
WATER TRANSPORTATION (1.2%)
539,700 OMI Corp.(a) 5,194,615
---------------
WHOLESALE TRADE--DURABLE GOODS (3.6%)
171,500 Hughes Supply, Inc. 6,559,875
318,400 Physician Sales & Service, Inc.(a) 4,616,800
164,200 Tech Data Corp.(a) 4,864,425
---------------
16,041,100
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.2%)
18,600 AmeriSource Health Corp.(a) 792,825
---------------
TOTAL COMMON STOCK (COST $348,574,397) 428,498,353
---------------
REPURCHASE AGREEMENTS (4.1%)
18,365,437 BancAmerica, 5.57%, to be repurchased at
$18,373,962 (cost $18,365,437)(e) 18,365,437
---------------
TOTAL INVESTMENTS (100.0%) (COST $366,939,834)
$ 446,863,790
---------------
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
126
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL CAP OPPORTUNITIES FUND
- ----------------------------------------------------
N/A Schroder U.S. Smaller Companies
Portfolio of Schroder Capital Funds(m) $ 77,284,480
---------------
TOTAL INVESTMENTS (100.0%)
(COST $70,103,050) $ 77,284,480
---------------
---------------
- ----------------------------------------------------
CONTRARIAN STOCK FUND
- ----------------------------------------------------
COMMON STOCK (100.0%)
APPAREL & ACCESSORY STORES (2.8%)
10,800 Limited, Inc. $ 218,700
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(1.6%)
13,100 Hartmarx Corp.(a) 129,362
---------------
CHEMICALS & ALLIED PRODUCTS (3.2%)
1,100 Dow Chemical Co. 91,712
9,100 Wellman, Inc. 162,662
---------------
254,374
---------------
COAL MINING (1.0%)
5,400 Pittston Minerals Group 74,250
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (2.9%)
5,300 Aeroquip-Vickers, Inc. 229,887
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(3.2%)
4,600 Keystone International, Inc.(d) 150,075
7,200 Material Sciences Corp.(a) 100,800
---------------
250,875
---------------
FOOD & KINDRED PRODUCTS (4.1%)
21,000 Chiquita Brands International, Inc.(d) 322,875
---------------
GENERAL MERCHANDISE STORES (2.6%)
2,200 Dillards, Inc. 74,250
4,400 Wal-Mart Stores, Inc.(d) 130,900
---------------
205,150
---------------
HOLDING & OTHER INVESTMENT OFFICES (1.8%)
32,100 Mesabi Trust 144,450
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.4%)
7,000 Bombay Co., Inc.(a) 31,500
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (13.4%)
9,000 Ampco Pittsburgh Corp. $ 118,125
8,000 BW/IP Holding, Inc. 153,000
7,200 Data General Corp.(a)(d) 153,900
8,300 Gerber Scientific, Inc. 156,662
17,100 McDermott International, Inc.(d) 474,525
---------------
1,056,212
---------------
INSURANCE CARRIERS (3.6%)
4,700 Chubb Corp. 286,700
---------------
METAL MINING (3.1%)
10,100 Cyprus Amax Minerals Co. 246,187
---------------
MINING & QUARRYING OF NONMETALLIC MINERALS, EXCEPT FUELS (1.3%)
9,200 Dravo Corp.(a) 101,200
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (2.6%)
3,900 Swift Transportation, Inc.(a) 125,775
4,000 Werner Enterprises, Inc. 78,000
---------------
203,775
---------------
OIL & GAS EXTRACTION (4.2%)
2,100 Phillips Petroleum Co. 89,250
8,100 USX-Marathon Group, Inc. 240,975
---------------
330,225
---------------
PAPER & ALLIED PRODUCTS (5.1%)
4,500 Bowater, Inc.(d) 222,188
3,100 Champion International Corp. 153,062
500 Consolidated Papers, Inc. 27,250
---------------
402,500
---------------
PAPER & FOREST PRODUCTS (1.3%)
5,600 Abitibi-Consolidated, Inc.(d) 100,800
---------------
PRIMARY METAL INDUSTRIES (31.4%)
10,000 Alcan Aluminum Ltd. 358,750
11,300 Alumax, Inc.(a) 436,463
41,000 Armco, Inc.(a) 153,750
2,500 Asarco, Inc. 77,814
25,700 Bethlehem Steel Corp.(a) 257,000
16,606 Inland Steel Industries, Inc. 408,923
27,700 LTV Corp. 387,800
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
127
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
12,200 USX-US Steel Group, Inc.(d) $ 393,450
---------------
2,473,950
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.8%)
2,600 Lafarge Corp. 64,350
---------------
TEXTILE MILL PRODUCTS (3.8%)
6,600 Albany International Corp. 150,150
4,400 Burlington Industries, Inc.(a) 48,400
12,000 Cone Mills Corp.(a) 103,500
---------------
302,050
---------------
TRANSPORTATION SERVICES (3.2%)
7,600 Ryder System, Inc. 251,751
---------------
TRUCKING (0.4%)
1,000 Teekay Shipping Corp. 31,375
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
CONTRARIAN STOCK FUND (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
WATER TRANSPORTATION (2.2%)
3,200 Knightsbridge Tankers Ltd. $ 78,800
9,500 OMI Corp.(a) 91,438
---------------
170,238
---------------
TOTAL COMMON STOCK (COST $6,617,320) $ 7,882,736
---------------
---------------
- ----------------------------------------------------
INTERNATIONAL FUND
- ----------------------------------------------------
N/A International Portfolio of Core Trust
(Delaware)(n) $ 232,334,610
---------------
TOTAL INVESTMENTS (100.0%)
(COST $198,931,794) $ 232,334,610
---------------
---------------
</TABLE>
[LOGO]
See Notes to Schedules of Investments.
128
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) 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.
(c) Certain variable rate securities are deemed to have a maturity remaining
until the next readjustment of the interest rate or the longer of the demand
period or readjustment. The interest rates shown reflect the rate in effect
on May 31, 1997.
(d) Part or all of this investment on loan, see Note 5 of Notes to Financial
Statements.
(e) The Funds have invested in a joint repurchase agreement. The following
represents the collateral on the Banc America joint repurchase agreement:
collateralized by multiple Farm Credit Discount Notes 5.43% - 5.50%, 6/27/97
- 3/18/97, Par $37,000,000; FHLB Discount Notes 5.59%, 5/15/98, Par
$11,000,000; multiple FHLMC Discount Notes 5.48%, 8/29/97, Par $113,000,000;
multiple FNMA Discount Notes 5.43% - 5.49%, 8/15/97 - 9/29/97, Par
$33,755,000; TVA Discount Notes 5.45%, 8/4/97, Par $150,000,000.
(f) At May 31, 1997, $1,220,000 of U.S. Treasury Bills, 7/24/97, with a market
value of $1,211,476 were pledged to cover margin requirements for open
futures contracts.
(g) During the period June 1, 1996 through May 31, 1997, Index Fund purchased
15,800 shares of Norwest Corp.
(h) As of May 31, 1997, Conservative Balanced Fund's investment in Index
Portfolio, Small Company Portfolio and International Portfolio II of Core
Trust (Delaware) represents 1.89%, 0.69% and 0.94%, respectively, of those
portfolios' outstanding interest. Accordingly, the Fund may be deemed to own
1.89%, 0.69% and 0.94% of each security and other assets net of other
liabilities of the respective portfolios. The Schedules of Investment of
Index Portfolio, Small Company Portfolio and International Portfolio II are
presented beginning on page 142.
(i) As of May 31, 1997, Moderate Balanced Fund's investment in Index Portfolio,
Small Company Portfolio and International Portfolio II of Core Trust
(Delaware) represents 9.50%, 3.44% and 4.72%, respectively, of those
portfolios' outstanding interest. Accordingly, the Fund may be deemed to own
9.50%, 3.44% and 4.72% of each security and other assets net of other
liabilities of the respective portfolios. The Schedules of Investments of
Index Portfolio, Small Company Portfolio and International Portfolio II are
presented beginning on page 142.
(j) As of May 31, 1997, Growth Balanced Fund's investment in Index Portfolio,
Small Company Portfolio and International Portfolio II of Core Trust
(Delaware) represents 19.22%, 7.00% and 9.65%, respectively, of those
portfolios' outstanding interest. Accordingly, the Fund may be deemed to own
19.22%, 7.00% and 9.65% of each security and other assets net of other
liabilities of the respective portfolios. The Schedules of Investments of
Index Portfolio, Small Company Portfolio and International Portfolio II are
presented beginning on page 142.
(k) As of May 31, 1997, Diversified Equity Fund's investment in Index Portfolio,
Small Company Portfolio and International Portfolio II of Core Trust
(Delaware) represents 69.39%, 25.47% and 34.72%, respectively, of those
portfolios' outstanding interest. Accordingly, the Fund may be deemed to own
69.39%, 25.47% and 34.72% of each security and other assets net of other
liabilities of the respective portfolios. The Schedules of Investments of
Index Portfolio, Small Company Portfolio and International Portfolio II are
presented beginning on page 142.
(l) As of May 31, 1997, Growth Equity Fund's investment in Small Company
Portfolio and International Portfolio II of Core Trust (Delaware) represents
63.40% and 49.97%, respectively, of those portfolios' outstanding interest.
Accordingly, the Fund may be deemed to own 63.40% and 49.97% of each
security and other assets net of other liabilities of the respective
portfolios. The Schedules of Investments of Small Company Portfolio and
International Portfolio II are presented beginning on page 149.
(m) As of May 31, 1997, Small Cap Opportunities Fund's investment in Schroder U.
S. Smaller Companies Portfolio represents 74.75% of the Portfolio's
outstanding interest. Accordingly, the Fund may be deemed to own 74.75% of
each security and other assets net of other liabilities of the Portfolio.
The Schedule of Investments of Schroder U.S. Smaller Companies Portfolio is
presented beginning on page 171.
(n) As of May 31, 1997, International Fund's investment in International
Portfolio of Core Trust (Delaware) represented substantially all of the
Portfolio's outstanding interest. Accordingly, the Fund may be deemed to own
substantially all of the securities and other assets net of other
liabilities of the Portfolio. The Schedule of Investments of International
Portfolio is presented beginning on page 158.
[LOGO]
129
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
(o) These securities have been determined to be illiquid. In the absence of
market value, the securities are valued based upon their fair value
determined under procedures approved by the Board of Trustees. A Fund may
make investments in an amount up to 15% of the value of the Fund's net
assets in such securities. The security description, acquisition date,
acquisition cost and carry value per unit are as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION CARRY VALUE
SECURITY DESCRIPTION DATE COST PER UNIT
- ---------------------------------------- ------------ ------------ -------------
<S> <C> <C> <C>
DIVERSIFIED BOND FUND:
Cargill Inc., 8.35%, 2/12/11............ 4/11/96 $1,062,000 $ 105.213
Colonial Pipeline, 7.45%, 8/15/07....... 5/10/96 627,250 100.907
Corestates Capital Corp., 6.47% V/R,
1/15/27............................... 1/9/97 734,910 98.709
Levi Strauss & Co., 6.80%, 11/1/03...... 10/31/96 622,731 98.744
LG-Caltex Oil, 7.88%, 7/1/06............ 6/28/96 996,850 101.444
Paine Webber Mortgage Acceptance Corp.,
1996-M1, 6.80%, 1/2/12................ 12/17/96 757,500 100.000
Reinsurance Group of America, 7.25%,
4/1/06................................ 3/26/96 1,012,400 99.089
LIMITED TERM TAX-FREE FUND:
County of Westchester, NY, IDA RV,
5.75%, 1/1/02......................... 3/31/97 1,020,000 100.955
Philadelphia, PA, IDA RV, 6.13%,
2/15/03............................... 12/5/96 556,281 100.640
San Antonio, TX, HEFA, 6.50%, 11/1/01... 10/14/96 355,000 100.984
San Antonio, TX, HEFA, 6.50%, 11/1/01... 2/7/97 502,500 100.984
TAX-FREE INCOME FUND:
Denver, CO, Urban Renewal Authority, Tax
Increment RV, 9.13%, 9/1/17........... 6/3/94 3,245,310 117.280
Denver, CO, Urban Renewal Authority, Tax
Increment RV, 9.13%, 9/1/17........... 11/21/95 2,408,186 117.280
Fairfax County, VA, Redevelopment &
Housing Authority, 7.60%, 10/1/36..... 10/16/96 3,000,000 100.815
Illinois Development Financial Authority
RV, Series A, 7.88%, 7/1/20........... 1/26/96 3,000,000 104.175
Illinois Health Facilities Authority RV,
Series A, 9.25%, 7/1/24............... 10/22/96 1,351,044 110.155
New Bedford, MA, IDA RV, Series 1982,
7.42%, 7/1/02......................... 6/19/92 685,000 102.114
San Antonio, TX, HEFA, 7.13%, 11/1/15... 2/22/96 4,180,000 103.219
South Dakota State, HEFA RV, 7.30%,
4/1/16................................ 4/15/94 1,750,000 111.009
South Dakota State, HEFA RV, 7.30%,
4/1/16................................ 11/8/95 1,848,875 111.009
MINNESOTA TAX-FREE FUND:
Duluth, MN, Gross RV, Series 1992,
6.40%, 2/1/03......................... 7/23/92 250,000 102.279
Glencoe, MN, Hospital RV, 6.63%,
4/1/11................................ 7/25/96 685,142 102.149
Glencoe, MN, Health Care RV, 6.40%,
12/1/15............................... 3/4/97 489,285 99.070
Minneapolis, MN, Health Care Facilities
RV, Series A, 7.20%, 7/1/23........... 7/6/96 495,525 101.574
Minnesota Iron Range Resources &
Rehabilitation Gross RV, 7.25%,
10/1/11............................... 6/27/96 1,000,000 101.265
Moorhead, MN, EDA, Series A, 8.00%,
9/1/11................................ 7/30/96 801,188 108.139
CONSERVATIVE BALANCED FUND:
Asset Backed Trust 1995 A3, 5.71% V/R,
4/15/98............................... 6/10/96 500,000 100.000
Cargill Inc., 8.35%, 2/12/11............ 4/11/96 531,000 105.213
Levi Strauss & Co., 6.80%, 11/1/03...... 3/17/97 244,785 98.744
Reinsurance Group of America, 7.25%,
4/1/06................................ 4/18/96 495,895 99.089
WFP Tower B Finance Corp., Short-Term
STEERS Trust, Series 1996 A, 5.72%
V/R, 12/8/97.......................... 2/6/97 500,000 99.999
MODERATE BALANCED FUND:
Cargill Inc., 8.35%, 2/12/11............ 4/11/96 1,168,200 105.213
Levi Strauss & Co., 6.80%, 11/1/03...... 3/7/97 630,848 98.744
LG-Caltex Oil, 7.88%, 7/1/06............ 10/8/96 510,035 101.444
Reinsurance Group of America, 7.25%,
4/1/06................................ 4/18/96 991,790 99.089
GROWTH BALANCED FUND:
Cargill Inc., 8.35%, 2/12/11............ 4/11/96 1,062,000 105.213
Levi Strauss & Co., 6.80%, 11/1/03...... 3/17/97 734,355 98.744
Reinsurance Group of America, 7.25%,
4/1/06................................ 4/18/96 991,790 99.089
</TABLE>
The following represent the fair market value of these securities and percentage
of the Fund's net assets as of May 31, 1997:
<TABLE>
<CAPTION>
FAIR MARKET PERCENTAGE OF
VALUE NET ASSETS
------------- -----------------
<S> <C> <C>
Diversified Bond Fund................... $ 5,792,589 3.57%
Limited Term Tax-Free Fund.............. 2,426,483 5.92%
Tax-Free Income Fund.................... 22,485,994 7.59%
Minnesota Tax-Free Fund................. 3,787,439 7.89%
Conservative Balanced Fund.............. 2,266,069 1.76%
Moderate Balanced Fund.................. 3,287,409 0.79%
Growth Balanced Fund.................... 2,783,596 0.55%
</TABLE>
[LOGO]
130
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
ABBREVIATIONS
<TABLE>
<S> <C>
ADR American Depositary Receipts
AMBAC American Municipal Bond Assurance Corporation
AMBS Agriculture Mortgage Backed Securities
ARM Adjustable Rate Mortgage
COLL Collateralized
COP Certificate of Participation
DOT Department of Transportation
EDA Economic Development Authority
EFA Education Finance Authority
ETM Escrowed to Maturity
FFCB Federal Farm Credit Bank
FGIC Financial Guaranty Insurance Company
FHA Federal Housing Authority
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FSA Financial Security Assurance, Inc.
GNMA Government National Mortgage Association
GO General Obligation
GTD Guaranteed
HCLT Household Consumer Loan Trust
HEFA Higher Education Facilities Authority
HEHFA Higher Education & Health Facilities Authority
HFA Housing Finance Authority
HSG AUTH State Housing Authority
HUD Department of Housing and Urban Development
IDA Industrial Development Authority
IDR Industrial Development Revenue
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
MFHR Multi Family Housing Revenue
MLMI Merrill Lynch Mortgage Investors
MNB Maryland National Bank
P/R Prerefunded
PCR Pollution Control Revenue
PFA Public Finance Authority
PRAT Premier Auto Trust
RFMSI Residential Funding Mortgage Security I
RTC Resolution Trust Corporation
RV Revenue Bonds
SASC Structured Asset Securities Corporation
SBA Small Business Administration
SD School District
SFM Single Family Mortgage
SLMA Student Loan Mortgage Association
TVA Tennessee Valley Authority
USG U.S. Governments
V/R Variable Rate
</TABLE>
See Notes to Financial Statements.
[LOGO]
131
<PAGE>
CORE TRUST (DELAWARE)
ANNUAL REPORT
MAY 31, 1997
INDEX PORTFOLIO
SMALL COMPANY PORTFOLIO
INTERNATIONAL PORTFOLIO II
INTERNATIONAL PORTFOLIO
<PAGE>
INDEPENDENT AUDITORS' REPORT MAY 31, 1997
- --------------------------------------------------------------------------------
To Trustees and Partners of
Core Trust (Delaware)
We have audited the accompanying statements of assets and
liabilities of four portfolios of Core Trust (Delaware),
Index Portfolio, Small Company Portfolio, International
Portfolio II and International Portfolio (collectively the
"Portfolios") including the schedules of investments as of
May 31, 1997, and the related statements of operations for
the year then ended, the statements of changes in net
assets and the financial highlights for the year ended May
31, 1997, the seven months ended May 31, 1996 and for the
period from November 11, 1994 (commencement of operations)
to October 31, 1995. These financial statements and
financial highlights are the responsibility of the
Portfolios' management. Our responsibility is to express
an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements. Our procedures include confirmation of
securities owned as of May 31, 1997, by correspondence
with the custodians and brokers. An audit also includes
assessing the accounting principles used and significant
estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all
material respects, the financial position of the
Portfolios as of May 31, 1997, the results of their
operations for the year then ended, changes in their net
assets and the financial highlights for the year ended May
31, 1997, the seven months ended May 31, 1996 and for the
period from November 11, 1994 (commencement of operations)
to October 31, 1995, in conformity with generally accepted
accounting principles.
Coopers & Lybrand L.L.P.
Boston, Massachusetts
July 14, 1997
CORE TRUST (DELAWARE)
134
<PAGE>
STATEMENTS OF ASSETS & LIABILITIES MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost........................... $280,955,779 $442,093,546 $445,740,593 $186,790,789
Net unrealized appreciation (depreciation).... 174,660,482 68,948,960 92,143,951 33,799,907
------------ ------------ ------------ ------------
TOTAL INVESTMENTS AT VALUE........................ 455,616,261 511,042,506 537,884,544 220,590,696
Collateral for securities loaned (Notes 2 &
7)............................................ 109,357,818 49,445,745 50,747,702 20,818,828
Cash............................................ - - - 11,341,602
Interest, dividends and other receivables....... 961,970 248,694 1,770,799 714,531
Receivable for investments sold................. - 2,111,621 - -
Receivable for daily variation margin on
financial futures contracts (Note 2).......... 87,501 - - -
Organization costs, net of amortization (Note
2)............................................ 14,893 14,893 14,893 -
------------ ------------ ------------ ------------
TOTAL ASSETS...................................... 566,038,443 562,863,459 590,417,938 253,465,657
------------ ------------ ------------ ------------
LIABILITIES:
Payable for investments purchased............... 636,359 1,628,013 40,674 16,269
Payable for securities loaned (Notes 2 & 7)..... 109,357,818 49,445,745 50,747,702 20,818,828
Payable to custodian............................ - 386,737 54,702 14,659
Payable for forward foreign currency exchange
contracts (Note 2)............................ - - 221,988 85,681
Payable to Investment Adviser (Note 3).......... - - - 87,954
Payable to administrator (Note 3)............... 15,731 24,645 9,191 36,296
Accrued expenses and other liabilities.......... 35,917 31,699 46,802 71,360
------------ ------------ ------------ ------------
TOTAL LIABILITIES................................. 110,045,825 51,516,839 51,121,059 21,131,047
------------ ------------ ------------ ------------
NET ASSETS........................................ $455,992,618 $511,346,620 $539,296,879 $232,334,610
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
COMPONENTS OF NET ASSETS:
Investors' capital.............................. $280,327,161 $442,397,660 $447,374,916 $198,620,384
Net unrealized appreciation (depreciation)
on investments................................ 175,665,457 68,948,960 91,921,963 33,714,226
------------ ------------ ------------ ------------
NET ASSETS........................................ $455,992,618 $511,346,620 $539,296,879 $232,334,610
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
135
<PAGE>
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend income (a)............................. $ 7,895,111 $ 4,222,840 $ 7,201,789 $ 2,711,980
Interest income................................. 494,380 1,110,841 963,580 466,686
Securities lending income (Note 2).............. 60,788 68,757 - -
------------ ------------ ------------ ------------
TOTAL INVESTMENT INCOME........................... 8,450,279 5,402,438 8,165,369 3,178,666
------------ ------------ ------------ ------------
EXPENSES
Investment advisory (Note 3).................... 592,067 3,920,805 2,143,939 812,485
Administration (Note 3)......................... 394,711 435,645 476,431 270,828
Transfer agency (Note 3)........................ 12,000 12,000 12,000 12,000
Custody (Note 3)................................ - - 326,669 124,121
Accounting (Note 3)............................. 106,000 66,000 85,000 90,000
Legal........................................... 25,878 23,378 38,002 14,507
Audit........................................... 26,329 24,641 37,896 31,835
Trustees........................................ 4,143 4,476 4,737 2,479
Amortization of organization costs (Note 2)..... 6,072 6,072 6,072 20,965
Miscellaneous................................... 40,298 29,218 41,735 25,721
------------ ------------ ------------ ------------
TOTAL EXPENSES.................................... 1,207,498 4,522,235 3,172,481 1,404,941
------------ ------------ ------------ ------------
Fees waived and expenses reimbursed (Note 4).... (755,904) (4,071,783) (2,285,233) -
------------ ------------ ------------ ------------
NET EXPENSES...................................... 451,594 450,452 887,248 1,404,941
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS)...................... 7,998,685 4,951,986 7,278,121 1,773,725
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on:
Securities...................................... 9,986,040 34,225,164 4,305,876 214,268
Foreign currency transactions................... - - 6,725,891 2,259,655
Financial futures transactions.................. 1,409,943 - - -
------------ ------------ ------------ ------------
Net realized gain (loss) on investments........... 11,395,983 34,225,164 11,031,767 2,473,923
------------ ------------ ------------ ------------
Net Change in Unrealized Appreciation
(Depreciation) on:
Securities...................................... 85,206,379 8,293,465 43,849,710 18,836,531
Foreign currency transactions................... - - (1,900,173) (653,864)
Financial futures transactions.................. 220,700 - - -
------------ ------------ ------------ ------------
Net change in unrealized appreciation
(depreciation) on
investments...................................... 85,427,079 8,293,465 41,949,537 18,182,667
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS............................ 96,823,062 42,518,629 52,981,304 20,656,590
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........................ $104,821,747 $47,470,615 $60,259,425 $22,430,315
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
(a) Net of foreign witholding taxes of............ $ - $ - $ 896,443 $ 338,080
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
136
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL
INDEX COMPANY INTERNATIONAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO II PORTFOLIO
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS, NOVEMBER 11, 1994 (A)................. $ - $ - $ - $ -
------------ ------------ ------------- -------------
OPERATIONS
Net investment income (loss).................... 5,797,310 1,839,395 5,298,852 1,016,917
Net realized gain (loss) on investments......... 1,948,912 33,935,810 2,242,027 (722,933)
Net change in unrealized appreciation
(depreciation) on investments................. 53,892,378 35,738,202 13,723,971 3,679,006
------------ ------------ ------------- -------------
61,638,600 71,513,407 21,264,850 3,972,990
------------ ------------ ------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions................................... 254,124,900 262,830,339 342,127,908 102,787,458
Withdrawals..................................... (26,557,028) (23,684,010) (20,745,928) (14,450,220)
------------ ------------ ------------- -------------
227,567,872 239,146,329 321,381,980 88,337,238
------------ ------------ ------------- -------------
NET ASSETS--OCTOBER 31, 1995...................... 289,206,472 310,659,736 342,646,830 92,310,228
------------ ------------ ------------- -------------
OPERATIONS
Net investment income (loss).................... 4,452,504 2,722,327 3,944,815 923,241
Net realized gain (loss) on investments......... 8,163,250 39,718,461 6,433,695 1,389,462
Net change in unrealized appreciation
(depreciation) on 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 (loss).................... 7,998,685 4,951,986 7,278,121 1,773,725
Net realized gain (loss) on investments......... 11,395,983 34,225,164 11,031,767 2,473,923
Net change in unrealized appreciation
(depreciation) on investments................. 85,427,079 8,293,465 41,949,537 18,182,667
------------ ------------ ------------- -------------
104,821,747 47,470,615 60,259,425 22,430,315
------------ ------------ ------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions................................... 41,212,190 111,140,558 108,485,326 78,198,907
Withdrawals..................................... (50,510,474) (49,391,665) (69,263,029) (14,049,861)
------------ ------------ ------------- -------------
(9,298,284) 61,748,893 39,222,297 64,149,046
------------ ------------ ------------- -------------
NET ASSETS--MAY 31, 1997.......................... $455,992,618 $511,346,620 $539,296,879 $232,334,610
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
(a) Commencement of operations.
</TABLE>
See Notes to Financial Statements. CORE TRUST (DELAWARE)
137
<PAGE>
FINANCIAL HIGHLIGHTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIOS TO
AVERAGE
NET ASSETS
-------------------------------------------
NET PORTFOLIO AVERAGE
INVESTMENT TURNOVER COMMISSION
INCOME EXPENSES GROSS EXPENSES RATE RATE(B)
---------- ----------- -------------- -------- ----------
<S> <C> <C> <C> <C> <C>
INDEX PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
June 1, 1996 to May 31, 1997.......... 2.03% 0.11% 0.31% 7.29% $0.0444
November 1, 1995 to May 31, 1996...... 2.35%(a) 0.17%(a) 0.32%(a) 7.21% $0.0501
November 11, 1994 to October 31,
1995................................ 2.42%(a) 0.17%(a) 0.33%(a) 7.73% N/A
SMALL COMPANY PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
June 1, 1996 to May 31, 1997.......... 1.14% 0.10% 1.04% 141.63% $0.0597
November 1, 1995 to May 31, 1996...... 1.32%(a) 0.15%(a) 1.04%(a) 84.00% $0.0562
November 11, 1994 to October 31,
1995................................ 0.73%(a) 0.15%(a) 1.05%(a) 126.01% N/A
INTERNATIONAL PORTFOLIO II
- --------------------------------------------------------------------------------------------------------------
June 1, 1996 to May 31, 1997.......... 1.53% 0.19% 0.67% 53.32% $0.0244
November 1, 1995 to May 31, 1996...... 1.75%(a) 0.23%(a) 0.68%(a) 17.58% $0.0247
November 11, 1994 to October 31,
1995................................ 1.94%(a) 0.25%(a) 0.70%(a) 28.19% N/A
INTERNATIONAL PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
June 1, 1996 to May 31, 1997.......... 0.98% 0.78% 0.78% 48.23% $0.0202
November 1, 1995 to May 31, 1996...... 1.30%(a) 0.81%(a) 0.82%(a) 14.12% $0.0325
November 11, 1994 to October 31,
1995................................ 1.24%(a) 0.80%(a) 0.90%(a) 29.41% N/A
</TABLE>
(a) Annualized.
(b) For fiscal years beginning on or after September 1, 1995, the Portfolios are
required to disclose average commissions per share paid to brokers on the
purchase and sale of equity securities.
See Notes to Financial Statements. CORE TRUST (DELAWARE)
138
<PAGE>
NOTES TO FINANCIAL STATEMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Core Trust (Delaware) ("Core Trust"), organized as a Delaware business trust,
was formed on September 1, 1994. Core Trust, which is registered as an open-end
management investment company under the Investment Company Act of 1940 (the
"Act"), currently has eight 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.
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles, which require management to make estimates and
assumptions that affect the reported amounts of assets and liabilities,
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.
The following represent significant accounting policies of the Portfolios:
SECURITIES VALUATION--Short-term securities that mature in 60 days or less are
valued at amortized cost. Equity securities for which market quotations are
readily available are valued using the last reported sales price provided by
independent pricing services. If no sales are reported, the mean of the last bid
and ask price is used. If no mean price is available, the last bid price is
used. Fixed income and other securities, for which market quotations are readily
available, are valued using the mean of the bid and ask prices provided by
independent pricing services. If no mean price is available the last bid price
is used. In the absence of readily available market quotations, securities are
valued at fair value determined in accordance with procedures adopted by the
Board of Trustees.
SECURITY TRANSACTIONS AND INVESTMENT INCOME--Investment transactions are
accounted for on the trade date basis. Dividend income is recorded on the
ex-dividend date. Interest income, including amortization of discount or
premium, is recorded as earned. Identified cost of investments sold is used to
determine gain and loss for both financial statement and federal income tax
purposes. Foreign dividend and interest income amounts and realized capital gain
and loss are converted to U.S. dollar equivalents using foreign exchange rates
in effect at the date of the transactions.
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: (i) assets
and liabilities at the rate of exchange at the end of the respective period; and
(ii) purchases and sales of securities and income and expenses at the rate of
exchange prevailing on the dates of such transactions. The portion of the
results of operations arising from changes in the exchange rates and the portion
due to fluctuations arising from changes in the market prices of securities are
not isolated. Such fluctuations are included with the net realized and
unrealized gain or loss on investments.
International Portfolio and International Portfolio II 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. Risks 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 gain or loss; realized gain or loss
include net gain or loss on contracts that have terminated by settlement or by
the Portfolio entering into offsetting commitments.
EXPENSE ALLOCATION--Core Trust accounts separately for the assets and
liabilities and operations of each Portfolio. Expenses that are directly
attributable to more than one Portfolio are allocated among the respective
Portfolios.
FUTURES CONTRACTS--The Index Portfolio may invest in futures contracts. A
futures contract is an agreement between two parties to buy and sell a security
at a set price on a future date. Upon entering into such a contract the
Portfolio is required to pledge to the broker an amount of cash or securities
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Pursuant to the contract, the Portfolio agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as "variation margin"
and are recorded by the Portfolio as unrealized gain or loss. When the contract
is closed, the Portfolio records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. The potential risk to the Portfolio is that the change in
value of the underlying securities may not correlate to the change in value of
the contracts.
REPURCHASE AGREEMENTS--Each Portfolio may invest in repurchase agreements. The
Portfolios, through their custodian, receive delivery of the underlying
collateral, whose market value must always equal or exceed the repurchase price.
The investment adviser is responsible for determining the value of the
underlying collateral at all times. In the event of default, the Portfolios may
have difficulties with the disposition of any securities held as collateral.
CORE TRUST (DELAWARE)
139
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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.
NOTE 3. ADVISORY, SERVICING FEES AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISER--The investment adviser of Index Portfolio and Small Company
Portfolio is Norwest Investment Management, Inc., a part of Norwest Bank
Minnesota, N.A. ("Norwest"). Norwest Bank Minnesota, N.A. is a subsidiary of
Norwest Corporation. The investment adviser of International Portfolio II and
International Portfolio is Schroder Capital Management International Inc.
("Schroder"). Schroder is a wholly-owned U.S. subsidiary of Schroders
Incorporated, the wholly-owned U.S. holding company subsidiary of Schroders plc.
The investment advisers receive advisory fees from Core Trust with respect to
Index Portfolio, Small Company Portfolio, International Portfolio II, and
International Portfolio at annual rates of 0.15%, 0.90%, 0.45% and 0.45%
respectively, of the Portfolios average daily net assets. 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 each portfolio. Forum receives an administration fee at an annual rate
of 0.15% of the average daily net assets of International Portfolio. In
addition, for the year ended May 31, 1997, certain legal expenses were charged
to the Portfolios by Forum. The respective amounts for Index Portfolio, Small
Company Portfolio, International Portfolio II and International Portfolio were:
$4,572, $5,059, $5,515 and $2,108.
Forum Financial Corp. ("FFC"), an affiliate of Forum, provides portfolio
accounting and interestholder recordkeeping services to each Portfolio pursuant
to separate agreements.
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.
NOTE 4. WAIVERS AND REIMBURSEMENTS
For the year ended May 31, 1997, fees waived and expenses reimbursed by the
Portfolio's service providers were as follows:
<TABLE>
<CAPTION>
EXPENSES
FEES WAIVED FEES WAIVED REIMBURSED
BY FORUM BY NORWEST BY NORWEST
------------- ------------- -------------
<S> <C> <C> <C>
Index Portfolio..................... $ 163,837 $ 592,067 $ -
Small Company Portfolio............. 150,977 3,920,806 -
International Portfolio II.......... 141,294 - 2,143,939
</TABLE>
NOTE 5. FEDERAL INCOME TAX
The Portfolios are not required to pay federal income taxes on their net
investment income and net capital gain as they are treated as partnership's for
federal income tax purposes. All interest, dividends, gain and loss of the
Portfolios are deemed to have been "passed through" to the partners in
proportion to their holdings of the Portfolios regardless of whether such
interest, dividends or gain have been distributed by the Portfolios.
CORE TRUST (DELAWARE)
140
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 6. SECURITIES TRANSACTIONS
The cost of purchases and the proceeds from sales (including maturities) of
securities (excluding short-term investments) for the year ended May 31, 1997
were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
------------- -------------
<S> <C> <C>
Index Portfolio..................... $ 53,489,845 $ 28,366,409
Small Company Portfolio............. 651,592,991 601,965,309
International Portfolio II.......... 304,622,686 242,278,141
International Portfolio............. 129,775,282 81,207,324
</TABLE>
For federal income tax purposes, the tax basis of investment securities owned as
of May 31, 1997 and the aggregate gross unrealized appreciation and the
aggregate unrealized depreciation based on identified tax cost as of May 31,
1997 were as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
TAX UNREALIZED UNREALIZED APPRECIATION
COST BASIS APPRECIATION DEPRECIATION (DEPRECIATION)
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Index Portfolio..................... $ 281,061,193 $179,047,388 $ 4,492,320 $174,555,068
Small Company Portfolio............. 442,104,223 80,042,343 11,104,060 68,938,283
International Portfolio II.......... 445,740,593 111,893,858 19,749,907 92,143,951
International Portfolio............. 186,791,915 41,253,360 7,454,579 33,798,781
</TABLE>
NOTE 7. PORTFOLIO SECURITIES LOANED
As of May 31, 1997, Index Portfolio had loaned securities with a market value of
$105,897,793 which were collateralized by various securities, including time
deposits, commercial paper, corporate bonds and repurchase agreements with a
market value of $109,357,818. Small Company Portfolio, International Portfolio
II and International Portfolio had loaned securities with a market value of
$47,395,535, $45,530,787 and $18,839,650, respectively, which were
collateralized by various securities, including time deposits, commercial paper,
corporate bonds and repurchase agreements with a market value of $49,445,745,
$50,747,702 and $20,818,828, respectively.
NOTE 8. CONCENTRATION OF RISK
The International Portfolio II and International Portfolio have relatively large
concentrations 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 9. SUBSEQUENT EVENT
Effective June 1, 1997, the following portfolio reorganizations occurred. The
Small Company Portfolio was separated by investment style into three new
portfolios named Small Company Growth Portfolio, Small Company Stock Portfolio
and Small Company Value Portfolio. International Portfolio merged into
International Portfolio II. International Portfolio II was renamed International
Portfolio.
CORE TRUST (DELAWARE)
141
<PAGE>
SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INDEX PORTFOLIO
- ----------------------------------------------------
COMMON STOCK (96.8%)
AGRICULTURAL PRODUCTION--CROPS (0.1%)
5,600 Pioneer Hi-Bred International, Inc. $ 390,600
---------------
AMUSEMENT & RECREATION SERVICES (0.9%)
7,000 Harrah's Entertainment, Inc.(a)(b) 130,376
45,800 Walt Disney Co. 3,749,875
---------------
3,880,251
---------------
APPAREL & ACCESSORY STORES (0.5%)
7,100 Charming Shoppes, Inc.(a) 37,275
11,400 CVS Corp.(b) 545,776
19,200 Gap, Inc. 657,600
18,400 Limited, Inc. 372,600
5,500 Nordstrom, Inc.(b) 264,000
5,300 TJX Cos., Inc. 254,400
---------------
2,131,651
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.1%)
4,900 Liz Claiborne, Inc.(b) 223,562
4,300 V.F. Corp. 335,938
---------------
559,500
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.1%)
10,200 Autozone, Inc.(a)(b) 238,425
4,300 Pep Boys - Manny, Moe & Jack 134,375
---------------
372,800
---------------
AUTOMOTIVE REPAIR, SERVICES & PARKING (0.0%)
5,500 Ryder System, Inc. 182,187
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (0.0%)
1,900 Centex Corp. 75,762
2,700 Kaufman & Broad Home Corp. 40,500
1,600 Pulte Corp. 50,600
---------------
166,862
---------------
BUILDING MATERIALS, HARDWARE, GARDEN SUPPLY & MOBILE HOME DEALERS (0.5%)
32,400 Home Depot, Inc.(b) 2,041,200
11,700 Lowe's Cos., Inc. 460,688
---------------
2,501,888
---------------
BUSINESS SERVICES (4.6%)
11,800 3Com Corp.(a)(b) 572,300
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
4,900 Adobe Systems, Inc. $ 218,662
3,100 Autodesk, Inc. 120,512
19,700 Automatic Data Processing, Inc.(b) 967,763
26,500 C.U.C. International, Inc.(a)(b) 609,500
10,600 Cabletron Systems, Inc.(a)(b) 466,400
5,500 Ceridian Corp.(a) 202,125
11,600 Cognizant Corp. 429,200
24,600 Computer Associates International, Inc. 1,346,850
5,200 Computer Sciences Corp.(a) 402,351
30,200 First Data Corp.(b) 1,208,000
5,500 Interpublic Group of Cos., Inc.(b) 329,312
80,800 Microsoft Corp.(a)(b) 10,019,200
23,300 Novell, Inc.(a) 183,489
44,400 Oracle Systems Corp.(a)(b) 2,070,150
8,600 Parametric Technology Co.(a) 385,925
4,000 Safety Kleen Corp. 62,500
1,600 Shared Medical Systems Corp.(b) 84,800
24,800 Sun Microsystems, Inc.(a) 799,800
12,700 UST, Inc. 361,950
---------------
20,840,789
---------------
CHEMICALS & ALLIED PRODUCTS (12.5%)
52,600 Abbott Laboratories 3,313,800
7,600 Air Products & Chemicals, Inc. 590,900
3,800 Alberto Culver Co.(b) 108,300
4,400 Allergan, Inc. 130,350
5,700 Alza Corp.(a) 168,150
9,100 Avon Products, Inc. 580,125
18,600 Baxter International, Inc. 981,150
67,700 Bristol-Myers Squibb Co. 4,967,487
3,500 Clorox Co. 441,875
20,000 Colgate-Palmolive Co. 1,240,000
16,500 Dow Chemical Co. 1,375,688
38,100 E.I. du Pont de Nemours & Co. 4,148,138
5,300 Eastman Chemical Co. 315,350
4,300 Ecolab, Inc.(b) 178,987
37,200 Eli Lilly & Co. 3,459,600
2,500 FMC Corp.(a) 180,000
3,600 Goodrich (B.F.) Co. 154,800
4,300 Great Lakes Chemical Corp. 210,162
6,900 Hercules, Inc. 323,438
7,500 International Flavors & Fragrances,
Inc.(b) 332,813
90,100 Johnson & Johnson 5,394,738
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
142
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
CHEMICALS & ALLIED PRODUCTS (continued)
<TABLE>
<C> <S> <C>
5,000 Mallinckrodt, Inc. $ 186,875
81,500 Merck & Co., Inc.(b) 7,324,812
39,700 Monsanto Co. 1,746,800
9,700 Morton International, Inc. 312,825
4,500 Nalco Chemical Co.(b) 167,063
12,500 PPG Industries, Inc. 726,563
43,600 Pfizer, Inc. 4,485,350
34,300 Pharmacia & Upjohn, Inc.(b) 1,187,638
10,600 Praxair, Inc. 557,826
46,100 Procter & Gamble Co. 6,356,038
4,300 Rohm & Haas Co. 370,875
24,900 Schering-Plough Corp. 2,259,675
11,600 Sherwin-Williams Co. 348,000
8,700 Union Carbide Corp.(b) 406,725
18,400 Warner-Lambert Co. 1,853,800
4,500 W.R. Grace & Co. 235,125
---------------
57,121,841
---------------
COMMUNICATIONS (6.4%)
109,600 AT&T Corp. 4,041,501
33,800 Airtouch Communications, Inc.(a) 942,175
12,800 Alltel Corp. 420,800
37,100 Ameritech Corp. 2,430,050
29,600 Bell Atlantic Corp.(b) 2,072,000
67,200 BellSouth Corp. 3,049,200
22,100 Comcast Corp., Class A 383,989
11,100 Frontier Corp. 203,962
65,100 GTE Corp. 2,872,539
2,500 King World Productions, Inc. 94,062
46,300 MCI Communications Corp. 1,776,762
29,700 NYNEX Corp. 1,596,375
61,938 SBC Communications, Inc.(b) 3,623,374
29,000 Sprint Corp. 1,417,376
44,900 Tele-Communications, Inc.(a) 679,114
32,200 US West Communications Group(b) 1,179,326
42,200 US West Media Group(a) 838,726
59,000 WorldCom, Inc.(a)(b) 1,747,875
---------------
29,369,206
---------------
DEPOSITORY INSTITUTIONS (7.5%)
28,800 Banc One Corp.(b) 1,245,601
26,400 Bank of New York Co., Inc.(b) 1,125,300
24,200 BankAmerica Corp. 2,828,376
10,400 BankBoston Corp. 759,200
5,500 Bankers Trust New York Corp. 465,438
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
DEPOSITORY INSTITUTIONS (continued)
<TABLE>
<C> <S> <C>
13,200 Barnett Banks, Inc. $ 694,650
29,600 Chase Manhattan Corp. 2,797,200
31,800 Citicorp 3,637,125
7,300 Comerica, Inc. 456,250
15,200 Corestates Financial Corp. 803,700
7,200 Fifth Third Bancorp(b) 556,200
9,200 First Bank System, Inc.(b) 754,400
21,500 First Chicago NBD Corp.(b) 1,273,875
19,200 First Union Corp. 1,648,800
17,800 Fleet Financial Group, Inc. 1,088,027
3,900 Golden West Financial Corp. 264,225
9,300 Great Western Financial Corp. 451,050
7,200 H. F. Ahmanson & Co.(b) 293,400
12,700 J.P. Morgan & Co., Inc.(b) 1,365,250
15,300 KeyCorp 831,939
8,800 Mellon Bank Corp. 770,000
15,100 National City Corp.(b) 777,650
52,594 NationsBank Corp.(b) 3,096,471
24,900 Norwest Corp.(d) 1,332,150
23,000 PNC Bank Corp.(b) 963,125
3,800 Republic New York Corp. 379,050
15,200 Suntrust Banks, Inc.(b) 811,300
10,300 U.S. Bancorp 632,163
11,200 Wachovia Corp.(b) 681,800
6,300 Wells Fargo & Co. 1,660,050
---------------
34,443,765
---------------
EATING & DRINKING PLACES (0.7%)
10,700 Darden Restaurants, Inc. 89,613
8,700 Marriott International, Inc. 502,425
47,200 McDonald's Corp.(b) 2,371,800
8,800 Wendy's International, Inc. 205,701
---------------
3,169,539
---------------
ELECTRIC, GAS & SANITARY SERVICES (3.4%)
12,800 American Electric Power Co. 521,600
10,000 Baltimore Gas & Electric Co.(b) 262,500
14,400 Browning-Ferris Industries(b) 471,600
10,700 CINergy Corp.(b) 374,500
10,300 Carolina Power & Light Co.(b) 357,925
14,300 Central & Southwest Corp. 303,875
7,100 Coastal Corp. 355,888
3,800 Columbia Gas System, Inc. 244,625
16,000 Consolidated Edison Co. of New York,
Inc. 466,002
6,500 Consolidated Natural Gas Co.(b) 345,313
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
143
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
9,900 DTE Energy Co. $ 263,588
12,200 Dominion Resources, Inc. 422,425
13,700 Duke Power Co.(b) 616,500
4,700 ENSERCH Corp. 100,462
1,400 Eastern Enterprises 48,300
29,200 Edison International 682,551
17,300 Enron Corp.(b) 704,975
15,700 Entergy Corp.(b) 414,089
12,400 FPL Group, Inc. 576,600
8,200 General Public Utilities Corp. 287,000
15,900 Houston Industries, Inc.(b) 329,925
21,300 Laidlaw, Inc., Class B 287,550
9,800 Niagara Mohawk Power Corp.(a) 85,750
3,400 Nicor, Inc. 116,875
9,300 NorAm Energy Corp. 141,825
4,700 Northern States Power Co. 230,300
10,400 Ohio Edison Co. 221,000
1,800 Oneok, Inc. 54,450
11,000 PP&L Resources, Inc. 221,375
20,100 PacifiCorp(b) 399,487
5,700 Pacific Enterprises 186,675
27,800 Pacific Gas & Electric Co. 642,875
10,300 Panenergy Corp. 481,525
15,200 Peco Energy Co. 288,800
2,400 People's Energy Corp. 85,200
16,200 Public Service Enterprise Group, Inc. 400,950
5,800 Sonat, Inc. 333,500
45,600 Southern Co. 969,000
15,200 Texas Utilities Co. 522,500
6,900 Union Electric Co.(b) 252,713
32,700 Waste Management, Inc.(b) 1,038,225
10,650 Williams Cos., Inc.(b) 469,931
---------------
15,580,749
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (8.1%)
14,900 AMP, Inc.(b) 612,763
9,200 Advanced Micro Devices, Inc.(a) 368,000
1,900 Aeroquip-Vickers, Inc. 82,412
8,250 Andrew Corp.(a) 224,812
7,300 Cooper Industries, Inc.(b) 372,300
7,900 DSC Communications Corp.(a) 201,943
30,200 Emerson Electric Co. 1,630,800
222,800 General Electric Co. 13,451,550
9,300 General Instrument Corp.(a) 225,525
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER EQUIPMENT
(continued)
<TABLE>
<C> <S> <C>
2,700 Harris Corp. $ 239,288
55,500 Intel Corp.(b) 8,408,250
8,800 LSI Logic Corp.(a) 367,400
43,100 Lucent Technologies, Inc.(b) 2,742,238
6,800 Maytag Corp. 181,900
14,100 Micron Technology, Inc.(a)(b) 599,250
40,100 Motorola, Inc. 2,661,638
9,400 National Semiconductor Corp.(a) 264,375
3,200 National Service Industries 140,400
17,600 Northern Telecom Ltd. 1,478,400
3,100 Raychem Corp. 229,787
5,300 Scientific-Atlanta, Inc. 96,063
12,200 Tellabs, Inc.(a)(b) 613,050
12,900 Texas Instruments, Inc.(b) 1,159,387
3,600 Thomas & Betts Corp. 183,150
5,100 Whirlpool Corp.(b) 254,362
---------------
36,789,043
---------------
ENGINEERING, ACCOUNTING, RESEARCH, MANAGEMENT & RELATED SERVICES (0.1%)
11,600 Dun & Bradstreet Corp. 303,052
3,200 EG&G, Inc. 62,400
---------------
365,452
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(1.0%)
2,000 Ball Corp.(b) 58,250
3,150 Crane Co. 129,150
8,700 Crown Cork & Seal Co., Inc.(b) 506,775
37,500 Gillette Co.(b) 3,332,814
5,100 Parker-Hannifin Corp.(b) 268,387
4,200 Snap-On, Inc. 167,475
6,000 Stanley Works(b) 246,000
---------------
4,708,851
---------------
FOOD STORES (0.5%)
17,100 Albertson's, Inc. 572,850
9,900 American Stores Co. 450,450
4,100 Giant Food, Inc., Class A 135,043
2,600 Great Atlantic & Pacific Tea Co. 71,826
17,200 Kroger Co.(a) 440,750
10,300 Winn-Dixie Stores, Inc.(b) 393,975
---------------
2,064,894
---------------
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
144
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
FOOD & KINDRED PRODUCTS (6.7%)
2,600 Adolph Coors Co. $ 63,375
33,700 Anheuser-Busch Cos., Inc.(b) 1,444,887
36,800 Archer Daniels Midland Co. 736,000
4,700 Brown-Forman Corp. 240,287
9,800 CPC International, Inc.(b) 842,800
31,800 Campbell Soup Co. 1,462,800
168,200 Coca-Cola Co. 11,479,650
16,400 Conagra, Inc.(b) 986,050
10,600 General Mills, Inc. 670,450
24,800 Heinz (H.J.) Co. 1,066,400
10,400 Hershey Foods Corp. 583,700
14,300 Kellogg Co.(b) 1,054,625
105,100 PepsiCo, Inc. 3,862,425
9,200 Quaker Oats Co. 379,500
7,200 Ralston-Ralston Purina Group 613,800
32,700 Sara Lee Corp. 1,336,613
25,100 Seagram Co. Ltd.(b) 1,010,275
10,900 Unilever N.V.(b) 2,111,875
7,000 Whitman Corp. 168,875
7,900 Wrigley (Wm) Jr. Co. 468,075
---------------
30,582,462
---------------
FURNITURE & FIXTURES (0.1%)
10,900 Masco Corp.(b) 423,738
---------------
GENERAL MERCHANDISE STORES (2.2%)
14,700 Dayton Hudson Corp.(b) 707,439
7,700 Dillards, Inc. 259,875
14,100 Federated Department Stores, Inc.(a)(b) 521,700
4,800 Harcourt General, Inc. 227,400
17,200 J.C. Penney Co., Inc.(b) 885,800
32,700 Kmart Corp.(a)(b) 457,800
17,100 May Department Stores Co. 805,837
2,500 Mercantile Stores Co., Inc. 134,375
26,400 Sears Roebuck and Co. 1,296,900
155,100 Wal-Mart Stores, Inc.(b) 4,614,225
9,100 Woolworth Corp.(a)(b) 219,537
---------------
10,130,888
---------------
HEALTH SERVICES (0.6%)
6,700 Beverly Enterprises, Inc.(a)(b) 94,637
45,400 Columbia/HCA Healthcare Corp.(b) 1,662,775
21,400 HEALTHSOUTH Corp.(a) 489,525
4,300 Manor Care, Inc. 123,087
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
HEALTH SERVICES (continued)
<TABLE>
<C> <S> <C>
20,100 Tenet Healthcare Corp.(a) $ 552,750
---------------
2,922,774
---------------
HEAVY CONSTRUCTION OTHER THAN BUILDING CONSTRUCTION-- CONTRACTORS (0.2%)
5,600 Fluor Corp.(b) 296,100
2,800 Foster Wheeler Corp. 108,500
8,500 Halliburton Co.(b) 657,687
---------------
1,062,287
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.1%)
11,400 Conseco, Inc.(b) 456,000
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.1%)
6,700 Circuit City Stores(b) 264,650
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.3%)
8,800 HFS, Inc.(a)(b) 474,100
16,800 Hilton Hotels Corp.(b) 474,600
7,900 ITT Corp.(a) 471,037
---------------
1,419,737
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (6.2%)
8,200 Amdahl Corp.(a) 82,000
8,400 Apple Computer, Inc.(a)(b) 139,650
12,200 Applied Materials, Inc.(a)(b) 796,050
9,800 Baker Hughes, Inc.(b) 367,500
13,100 Bay Networks, Inc.(a) 320,950
6,000 Black & Decker Corp. 208,500
1,900 Briggs & Stratton Corp. 98,087
6,700 Brunswick Corp. 204,350
5,000 Case Corp.(b) 295,000
13,000 Caterpillar, Inc.(b) 1,269,125
2,700 Cincinnati Milacron, Inc. 62,437
43,900 Cisco Systems, Inc.(a) 2,974,225
18,400 Compaq Computer Corp.(a)(b) 1,991,800
2,700 Cummins Engine Co., Inc. 172,125
2,700 Data General Corp.(a)(b) 57,712
17,600 Deer & Co. 899,800
12,200 Dell Computer Corp.(a)(b) 1,372,500
10,500 Digital Equipment Corp.(a)(b) 376,687
7,700 Dover Corp. 440,825
11,900 Dresser Industries, Inc. 407,575
15,800 EMC Corp.(a) 630,025
3,400 General Signal Corp. 143,225
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
145
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (continued)
<TABLE>
<C> <S> <C>
2,200 Giddings & Lewis, Inc. $ 41,696
3,300 Harnischfeger Industries, Inc. 141,487
68,800 Hewlett-Packard Co.(b) 3,543,200
69,800 IBM Corp. 6,037,700
7,400 Ingersoll-Rand Co.(b) 403,300
3,200 Intergraph Corp.(a) 22,600
3,700 McDermott International, Inc.(b) 102,675
8,500 Pall Corp. 200,812
10,100 Pitney Bowes, Inc. 709,525
17,000 Seagate Technology, Inc.(a)(b) 690,625
11,900 Silicon Graphics, Inc.(a)(b) 224,612
8,000 Tandem Computers, Inc.(a) 114,000
4,000 Tandy Corp. 216,000
11,600 Tenneco, Inc. 519,100
2,100 Timken Co. 144,112
11,300 Tyco International Ltd.(b) 717,550
11,800 Unisys Corp.(a) 81,125
42,400 Westinghouse Electric Corp.(b) 858,600
---------------
28,078,867
---------------
INSURANCE AGENTS, BROKERS & SERVICE (0.3%)
11,100 Aon Corp.(b) 541,125
11,100 Humana, Inc.(a) 251,137
4,900 Marsh & McLennan Cos., Inc.(b) 645,575
---------------
1,437,837
---------------
INSURANCE CARRIERS (4.1%)
10,300 Aetna Life & Casualty, Inc. 1,040,300
30,000 Allstate Corp. 2,208,750
13,800 American General Corp.(b) 610,650
31,700 American International Group, Inc. 4,291,387
5,100 CIGNA Corp.(b) 886,125
11,800 Chubb Corp. 719,800
5,600 General Re Corp. 981,400
7,900 Hartford Financial Services Group 616,200
4,800 Jefferson-Pilot Corp.(b) 305,400
7,100 Lincoln National Corp. 432,212
7,900 Loews Corp. 768,275
3,000 MBIA, Inc.(b) 322,125
4,000 MGIC Investment Corp.(b) 356,000
6,400 Providian Corp. 383,200
8,600 Safeco Corp. 374,100
5,600 St. Paul Cos., Inc. 401,100
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
4,800 Torchmark Corp. $ 315,000
43,300 Travelers Group, Inc. 2,376,087
2,300 US Life Corp.(b) 112,125
7,900 USF&G Corp. 169,850
12,500 United Healthcare Corp.(b) 706,250
5,000 Unum Corp.(b) 395,625
---------------
18,771,961
---------------
LEATHER & LEATHER PRODUCTS (0.0%)
3,300 Stride Rite Corp. 50,325
---------------
LUMBER & WOOD PRODUCTS, EXCEPT FURNITURE (0.0%)
7,400 Louisiana-Pacific Corp. 144,300
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (2.1%)
3,900 Bard (C.R.), Inc. 124,800
3,800 Bausch & Lomb, Inc.(b) 152,950
8,500 Becton, Dickinson & Co. 418,625
7,900 Biomet, Inc.(b) 147,631
12,100 Boston Scientific Corp.(a)(b) 645,837
22,600 Eastman Kodak Co. 1,872,975
5,000 Guidant Corp.(b) 388,125
8,600 Honeywell, Inc. 625,650
5,600 Johnson Controls, Inc. 237,300
16,300 Medtronic, Inc.(b) 1,206,200
3,000 Millipore Corp. 129,375
3,000 Perkin-Elmer Corp. 228,000
3,100 Polaroid Corp. 158,100
16,000 Raytheon Co. 764,000
5,500 St. Jude Medical, Inc.(a)(b) 186,312
2,200 Tektronix, Inc. 126,225
10,200 Thermo Electron Corp.(a)(b) 351,900
4,300 U.S. Surgical Corp. 145,125
21,900 Xerox Corp. 1,483,725
---------------
9,392,855
---------------
METAL MINING (0.5%)
24,000 Barrick Gold Corp.(b) 606,000
15,200 Battle Mountain Gold Co. 91,200
6,400 Cyprus Amax Minerals Co.(b) 156,000
9,400 Echo Bay Mines Ltd. 57,575
13,100 Freeport McMoran, Inc., Class B(b) 381,537
10,000 Homestake Mining Co. 138,750
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
146
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
METAL MINING (continued)
<TABLE>
<C> <S> <C>
10,570 Newmont Mining Corp. $ 413,551
16,300 Placer Dome, Inc. 297,475
---------------
2,142,088
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.2%)
8,700 Hasbro, Inc. 252,300
8,000 ITT Industries, Inc. 198,000
2,600 Jostens, Inc. 64,025
18,500 Mattel, Inc.(b) 552,687
600 NACCO Industries, Inc. 30,525
---------------
1,097,537
---------------
MISCELLANEOUS RETAIL (0.5%)
14,600 Costco Cos., Inc.(a)(b) 492,750
2,700 Longs Drug Stores, Inc. 64,125
8,300 Rite Aid Corp.(b) 385,950
19,700 Toys 'R' Us, Inc.(a)(b) 613,162
16,700 Walgreen Co. 780,725
---------------
2,336,712
---------------
MOTION PICTURES (0.1%)
14,600 Unicom Corp. 332,150
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.0%)
2,700 Caliber System, Inc. 86,400
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.3%)
32,000 American Express Co. 2,224,000
3,600 Beneficial Corp. 231,300
21,700 Dean Witter Discover & Co. 895,125
48,400 FHLMC 1,597,200
73,700 FNMA 3,215,162
9,300 Green Tree Financial Corp.(b) 325,500
6,600 Household International, Inc. 648,450
22,650 MBNA Corp. 767,268
4,500 Transamerica Corp. 408,937
---------------
10,312,942
---------------
OIL & GAS EXTRACTION (0.9%)
8,500 Burlington Resources, Inc. 395,250
1,700 Helmerich & Payne, Inc. 95,412
22,300 Occidental Petroleum Corp.(b) 518,475
7,100 Oryx Energy Co.(a) 164,187
5,800 Rowan Cos., Inc.(a) 134,125
6,200 Santa Fe Energy Resources, Inc.(a) 93,775
16,700 Schlumberger Ltd. 1,989,387
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
OIL & GAS EXTRACTION (continued)
<TABLE>
<C> <S> <C>
17,000 Union Pacific Resources Group, Inc. $ 490,875
3,600 Western Atlas, Inc.(a) 244,350
---------------
4,125,836
---------------
PAPER & ALLIED PRODUCTS (2.0%)
7,100 Avery Dennison Corp. 267,137
3,500 Bemis Co., Inc. 140,000
3,300 Boise Cascade Corp.(b) 125,400
6,500 Champion International Corp. 320,937
6,200 Georgia Pacific Corp.(b) 547,150
8,900 Ikon Office Solutions, Inc. 258,100
20,300 International Paper Co.(b) 974,400
5,800 James River Corp. of Virginia(b) 203,725
38,400 Kimberly-Clark Corp.(b) 1,924,800
3,500 Mead Corp. 223,125
28,200 Minnesota Mining & Manufacturing Co. 2,587,350
6,700 Stone Container Corp. 92,125
3,800 Temple-Inland, Inc.(b) 229,900
4,700 Union Camp Corp. 246,750
6,900 Westvaco Corp. 215,625
13,500 Weyerhaeuser Co. 673,312
3,800 Willamette Industries 283,100
---------------
9,312,936
---------------
PERSONAL SERVICES (0.2%)
7,000 H & R Block, Inc.(b) 231,000
16,000 Service Corp. International(b) 564,000
---------------
795,000
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (7.4%)
6,300 Amerada Hess Corp. 337,050
33,500 Amoco Corp. 2,994,062
4,300 Ashland, Inc. 205,862
10,900 Atlantic Richfield Co. 1,585,950
44,100 Chevron Corp.(b) 3,087,000
167,800 Exxon Corp. 9,942,150
3,300 Kerr-McGee Corp. 213,675
2,300 Louisiana Land & Exploration Co. 118,450
26,500 Mobil Corp. 3,706,687
3,100 Pennzoil Co. 171,662
17,800 Phillips Petroleum Co. 756,500
36,200 Royal Dutch Petroleum Co.(b) 7,068,050
5,000 Sun Co., Inc.(b) 149,375
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
147
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PETROLEUM REFINING & RELATED INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
17,900 Texaco, Inc. $ 1,953,337
19,500 USX-Marathon Group, Inc. 580,125
17,000 Unocal Corp.(b) 724,625
---------------
33,594,560
---------------
PHARMACEUTICAL PREPARATIONS (1.0%)
43,200 American Home Products Corp. 3,294,000
17,900 Amgen, Inc.(a)(b) 1,197,062
---------------
4,491,062
---------------
PRIMARY METAL INDUSTRIES (0.9%)
15,300 Alcan Aluminum Ltd. 548,887
11,800 Allegheny Teledyne, Inc. 303,850
11,700 Aluminum Co. of America 861,412
7,200 Armco, Inc.(a) 27,000
2,900 Asarco, Inc. 90,262
7,600 Bethlehem Steel Corp.(a) 76,000
9,800 Engelhard Corp. 211,925
11,500 Inco Ltd.(b) 379,500
3,300 Inland Steel Industries, Inc. 81,262
5,900 Nucor Corp. 348,100
4,400 Phelps Dodge Corp. 367,950
4,300 Reynolds Metals Co.(b) 291,862
5,700 USX-US Steel Group, Inc.(b) 183,825
6,600 Worthington Industries, Inc. 122,100
---------------
3,893,935
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (1.4%)
5,100 American Greetings Corp. 174,675
5,600 Deluxe Corp. 182,000
6,600 Dow Jones & Co., Inc. 256,575
9,600 Gannett Co., Inc. 888,000
2,100 John H. Harland Co. 48,037
6,400 Knight-Ridder, Inc. 276,000
6,700 McGraw-Hill Cos., Inc. 365,987
3,600 Meredith Corp. 93,150
6,700 Moore Corp. Ltd. 149,075
6,600 New York Times Co. 304,012
10,300 R.R. Donnelley & Sons Co.(b) 382,387
38,400 Time Warner, Inc. 1,785,600
6,700 Times Mirror Co.(b) 376,037
8,400 Tribune Co. 363,300
23,800 Viacom, Inc., Class B(a)(b) 706,562
---------------
6,351,397
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
RAILROAD TRANSPORTATION (0.8%)
10,400 Burlington Northern Santa Fe Corp. $ 863,200
14,700 CSX Corp. 779,100
8,500 Norfolk Southern Corp. 825,562
16,600 Union Pacific Corp.(b) 1,124,650
---------------
3,592,512
---------------
RUBBER & MISCELLANEOUS PLASTICS PRODUCTS (0.8%)
2,800 Armstrong World Industries 190,400
5,400 Cooper Tire and Rubber Co. 120,825
10,500 Goodyear Tire & Rubber Co. 614,250
16,800 Illinois Tool Works, Inc. 833,700
19,600 Nike, Inc., Class B(b) 1,117,200
3,800 Reebok International Ltd. 155,800
10,200 Rubbermaid, Inc.(b) 284,325
4,300 Tupperware Corp. 155,875
---------------
3,472,375
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICE (0.6%)
10,700 Charles Schwab Corp. 434,687
11,200 Merrill Lynch & Co., Inc.(b) 1,187,200
10,400 Morgan Stanley Group, Inc. 702,000
7,400 Salomon, Inc. 396,825
---------------
2,720,712
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.3%)
15,600 Corning, Inc. 785,850
10,800 Newell Co. 413,100
3,500 Owens-Corning Corp. 146,125
---------------
1,345,075
---------------
TEXTILE MILL PRODUCTS (0.1%)
5,200 Fruit of the Loom, Inc.(a)(b) 181,350
2,600 Russell Corp. 79,625
1,400 Springs Industries, Inc., Class A 70,875
---------------
331,850
---------------
TOBACCO PRODUCTS (1.7%)
11,600 American Brands, Inc. 568,400
165,300 Philip Morris Cos., Inc. 7,273,200
---------------
7,841,600
---------------
TRANSPORTATION BY AIR (0.4%)
6,200 AMR Corp.(a) 616,125
5,100 Delta Airlines, Inc.(b) 478,125
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
148
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
TRANSPORTATION BY AIR (continued)
<TABLE>
<C> <S> <C>
7,800 Federal Express Corp.(a)(b) $ 408,525
9,900 Southwest Airlines Co. 254,925
4,300 U.S. Air Group, Inc.(a) 149,425
---------------
1,907,125
---------------
TRANSPORTATION EQUIPMENT (4.2%)
19,200 Allied Signal, Inc. 1,473,600
24,100 Boeing Co.(b) 2,536,567
49,300 Chrysler Corp. 1,565,275
6,900 Dana Corp. 249,262
5,300 Eaton Corp. 422,675
4,300 Echlin, Inc. 143,512
2,400 Fleetwood Enterprises, Inc.(b) 64,800
80,100 Ford Motor Co. 3,003,750
4,300 General Dynamics Corp. 321,962
51,100 General Motors Corp. 2,925,475
13,100 Lockheed Martin Corp. 1,226,487
14,400 McDonnell Douglas Corp. 927,000
5,000 Navistar International Corp.(a) 83,125
3,900 Northrop Grumman Corp. 330,525
5,400 Paccar, Inc. 244,350
14,900 Rockwell International Corp.(b) 961,050
8,600 TRW, Inc. 460,100
5,600 Textron, Inc. 663,600
16,400 United Technologies Corp. 1,318,150
---------------
18,921,265
---------------
WHOLESALE TRADE--DURABLE GOODS (0.2%)
12,150 Genuine Parts Co.(b) 407,025
3,600 Grainger (W.W.), Inc.(b) 288,900
1,900 Potlatch Corp. 81,462
---------------
777,387
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.3%)
7,200 Cardinal Health, Inc.(b) 419,400
2,600 Fleming Cos., Inc.(b) 49,400
6,700 Sigma Aldrich 205,187
4,500 Supervalu, Inc. 150,187
12,100 Sysco Corp. 421,987
---------------
1,246,161
---------------
TOTAL COMMON STOCK (COST $266,146,684) 440,807,166
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
INDEX PORTFOLIO (continued)
- ----------------------------------------------------
TIME DEPOSITS (3.1%)
14,272,865 Banca Commerciale Italiana Spa Canada,
Toronto, 5.66%, 6/2/97 (cost
$14,272,865) $ 14,272,865
---------------
U.S. TREASURY OBLIGATIONS (0.1%)
540,000 U.S. Treasury Bills, 4.75% yield,
7/24/97 (cost $536,230) 536,230
---------------
TOTAL INVESTMENTS (100.0%) (COST $280,955,779)
$ 455,616,261
---------------
---------------
FINANCIAL INSTRUMENTS
FINANCIAL FUTURES CONTRACTS(E)
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
POSITION CONTRACTS INDEX APPRECIATION
- --------- --------------- ----------------------------------- ------------
<S> <C> <C> <C>
Long 2 S&P 500 Futures,
Expiring June 20, 1997 $ 31,300
Long 32 S&P 500 Futures,
Expiring September 9, 1997 973,675
------------
$ 1,004,975
------------
------------
</TABLE>
<TABLE>
<C> <S> <C>
- ----------------------------------------------------
SMALL COMPANY PORTFOLIO
- ----------------------------------------------------
SMALL COMPANY CORE INVESTMENT STYLE (34.9%)
COMMON STOCKS (32.6%)
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (0.4%)
69,150 Service Experts, Inc.(a) $ 1,953,487
---------------
BUSINESS SERVICES (6.4%)
242,200 Accelr8 Technology Corp.(a)(b) 4,299,051
57,825 BDM International, Inc.(a) 1,503,450
102,100 Cellular Technical Services Co.(a)(b) 1,391,112
82,925 Ciber, Inc.(a)(b) 3,431,021
47,050 Citrix Systems, Inc.(a) 1,770,256
34,400 Computer Horizons Corp.(a) 1,917,800
51,700 Computer Task Group, Inc. 3,160,162
219,900 HCIA, Inc.(a)(b) 5,442,525
71,300 IKOS Systems, Inc.(a)(b) 1,764,675
32,200 Keane, Inc.(a)(b) 1,815,275
29,000 Metro Information Services, Inc.(a) 532,875
88,575 SEEC, Inc.(a) 1,671,853
182,350 USCS International, Inc.(a) 4,171,256
---------------
32,871,311
---------------
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
149
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
COMMON STOCKS (continued)
CHEMICALS & ALLIED PRODUCTS (0.4%)
58,000 OM Group, Inc. $ 1,827,000
---------------
DEPOSITORY INSTITUTIONS (3.1%)
74,625 ALBANK Financial Corp. 2,863,734
101,050 Bank Plus Corp.(a) 1,098,918
40,600 Coast Savings Financial(a) 1,730,577
114,200 Commonwealth Bancorp, Inc. 1,713,000
95,400 Haven Bancorp, Inc. 3,267,451
149,250 Peoples Savings Bank 3,526,031
99,900 Trenton Savings Bank FSB (b) 1,898,100
---------------
16,097,811
---------------
ELECTRIC, GAS & SANITARY SERVICES (0.3%)
37,275 KCS Energy, Inc. 1,551,572
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (2.5%)
110,200 Etec Systems, Inc.(a) 4,903,900
12,525 P-COM, Inc.(a) 403,931
122,100 Speedfam International, Inc.(a) 4,449,018
77,625 Vitesse Semiconductor Corp.(a) 2,784,796
---------------
12,541,645
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(0.7%)
116,900 Titanium Metals Corp.(a) 3,550,837
---------------
FOOD & KINDRED PRODUCTS (0.8%)
138,850 Canandaigua Wine Co., Inc.(a) 4,286,996
---------------
HEALTH SERVICES (0.6%)
107,050 VISX, Inc.(a) 3,157,975
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.4%)
34,200 Redwood Trust, Inc.(b) 1,953,676
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.8%)
120,000 Inacom Corp.(a) 3,885,000
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (0.5%)
61,600 Bell & Howell Co.(a) 1,647,800
46,875 Ciprico, Inc.(a) 785,156
---------------
2,432,956
---------------
INSURANCE CARRIERS (0.7%)
175,950 FPA Medical Management, Inc.(a)(b) 3,519,000
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (2.6%)
109,000 Arrow International, Inc. $ 3,515,250
65,225 OEA, Inc. 2,462,243
44,700 Veeco Instruments, Inc.(a) 1,855,050
189,900 Zygo Corp.(a)(b) 5,507,100
---------------
13,339,643
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.3%)
112,275 Covenant Transportation, Inc.(a) 1,698,161
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (2.2%)
29,350 Delta Financial Corp.(a) 469,600
74,100 HealthCare Financial Partners, Inc.(a) 1,231,912
263,600 Imperial Credit Industries, Inc.(a)(b) 4,975,452
97,400 Medallion Financial Corp.(b) 1,704,500
205,600 Southern Pacific Funding Corp.(a)(b) 2,878,400
---------------
11,259,864
---------------
OIL & GAS EXTRACTION (7.3%)
489,000 Abacan Resource Corp.(a) 3,545,250
53,325 Atwood Oceanics, Inc.(a) 3,572,775
95,525 Cabot Oil & Gas Corp. 1,767,212
103,850 Devon Energy Corp. 3,868,412
74,750 Flores & Rucks, Inc.(a)(b) 3,662,750
182,350 FX Energy, Inc.(a) 1,549,975
213,825 Marine Drilling Co., Inc.(a) 4,303,228
27,075 Nuevo Energy Co.(a) 1,181,146
171,325 Pride Petroleum Services, Inc.(a)(b) 3,811,981
142,600 Tetra Technologies, Inc.(a) 3,475,875
81,675 Tuboscope Vetco International Corp.(a) 1,327,218
156,625 Vintage Petroleum, Inc. 5,325,250
---------------
37,391,072
---------------
PRIMARY METAL INDUSTRIES (0.5%)
108,550 RMI Titanium Co.(a)(b) 2,523,787
---------------
WHOLESALE TRADE--DURABLE GOODS (1.1%)
91,400 CellStar Corp.(a)(b) 3,278,975
75,100 Spine-Tech, Inc.(a)(b) 2,595,643
---------------
5,874,618
---------------
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
150
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCKS (continued)
<TABLE>
<C> <S> <C>
WHOLESALE TRADE--NONDURABLE GOODS (1.0%)
103,800 Barrett Resources Corp.(a) $ 3,477,300
97,425 United Natural Foods, Inc.(a) 1,534,444
---------------
5,011,744
---------------
TOTAL COMMON STOCK (COST $141,282,264) 166,728,155
---------------
REPURCHASE AGREEMENTS (2.3%)
11,887,800 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $11,889,639 (cost
$11,887,800)(c) 11,887,800
---------------
TOTAL SMALL COMPANY CORE INVESTMENT STYLE (COST
$153,170,064) $ 178,615,955
---------------
---------------
SMALL COMPANY VALUE INVESTMENT STYLE (32.4%)
COMMON STOCK (31.2%)
AMUSEMENT & RECREATION SERVICES (0.6%)
38,100 Cedar Fair L.P. 1,590,675
144,600 Jackpot Enterprises, Inc. 1,536,375
---------------
3,127,050
---------------
APPAREL & ACCESSORY STORES (0.2%)
225,000 Cato Corp. 1,125,000
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.3%)
74,200 Pillowtex Corp. 1,586,025
---------------
AUTOMOTIVE DEALERS & GASOLINE SERVICE STATIONS (0.3%)
103,100 Getty Realty Corp. 1,726,925
---------------
BUILDING CONSTRUCTION--GENERAL CONTRACTORS & OPERATIVE BUILDERS (1.0%)
64,000 Continental Homes Holding Corp. 1,048,000
180,400 Hovnanian Enterprises, Inc.(a) 1,071,126
153,400 MDC Holdings, Inc. 1,303,900
103,900 NVR, Inc.(a) 1,603,956
---------------
5,026,982
---------------
BUSINESS SERVICES (0.8%)
2,900 Grey Advertising, Inc. 846,800
58,500 Network Equipment Technologies, Inc.(a) 1,009,125
84,800 Ogden Corp. 1,653,600
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
BUSINESS SERVICES (continued)
<TABLE>
<C> <S> <C>
53,600 Sequent Computer Systems, Inc.(a) $ 904,500
---------------
4,414,025
---------------
CHEMICALS & ALLIED PRODUCTS (0.9%)
35,850 Bio-Rad Laboratories, Inc.(a) 914,175
86,200 Mississippi Chemical Corp.(b) 1,961,050
44,600 Terra Nitrogen Co., L.P. 1,795,150
---------------
4,670,375
---------------
COAL MINING (0.4%)
87,000 Zeigler Coal Holding Co. 2,022,750
---------------
DEPOSITORY INSTITUTIONS (4.3%)
36,300 BankAtlantic Bancorp, Inc. 505,932
39,000 CENFED Financial Corp. 1,131,000
10,000 Coastal Bancorp, Inc. 272,500
67,650 Commercial Federal Corp. 2,359,294
28,000 First Citizens BancShares 2,324,000
61,400 First Hawaiian, Inc. 2,175,863
56,600 Peoples Heritage Financial Group, Inc. 1,874,875
57,330 Provident Bankshares Corp. 2,164,208
197,886 Sovereign Bancorp, Inc.(b) 2,597,253
74,700 Trans Financial, Inc. 1,858,163
111,400 UST Corp. 2,339,400
59,000 Webster Financial Corp. 2,374,750
---------------
21,977,238
---------------
EATING & DRINKING PLACES (0.6%)
112,700 Perkins Family Restaurants, L.P. 1,465,100
209,000 Ryan's Family Steak Houses, Inc.(a) 1,907,125
---------------
3,372,225
---------------
ELECTRIC, GAS & SANITARY SERVICES (2.5%)
124,700 Central Vermont Public Service 1,371,700
41,700 CILCORP, Inc. 1,615,875
79,500 Public Service Co. of New Mexico 1,401,188
77,100 Rochester Gas & Electric Corp. 1,542,000
87,700 Safety Kleen Corp. 1,370,314
56,000 TNP Enterprises, Inc. 1,232,000
91,700 Tuscon Electric Power Co.(a) 1,352,575
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
151
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
ELECTRIC, GAS & SANITARY SERVICES (continued)
<TABLE>
<C> <S> <C>
46,100 United Illuminating Co. $ 1,319,612
62,300 WPS Resources Corp. 1,650,950
---------------
12,856,214
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (0.4%)
68,000 Cypress Semiconductor Corp.(a) 969,000
62,500 Exar Corp.(a) 1,148,437
---------------
2,117,437
---------------
FOOD STORES (0.9%)
152,600 Ingles Markets, Inc. 2,203,165
151,000 Ruddick Corp. 2,283,875
---------------
4,487,040
---------------
GENERAL MERCHANDISE STORES (0.3%)
42,700 Waban, Inc.(a) 1,297,012
---------------
HEALTH SERVICES (0.9%)
159,900 GranCare, Inc.(a) 1,479,075
45,100 Integrated Health Services, Inc.(b) 1,623,600
107,300 Regency Health Services, Inc.(a) 1,314,425
---------------
4,417,100
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.3%)
134,700 Winston Hotels, Inc. 1,767,937
---------------
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.3%)
145,300 Station Casinos, Inc.(a)(b) 1,289,537
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (1.2%)
34,000 Applied Magnetics Corp.(a)(b) 845,750
66,000 Data General Corp.(a) 1,410,750
120,000 Franklin Electric Publishers, Inc.(a) 1,215,000
40,700 Gleason Corp. 1,510,987
37,500 Lam Research Corp.(a) 1,364,062
---------------
6,346,549
---------------
INSURANCE CARRIERS (2.4%)
66,400 Allied Group, Inc. 2,639,400
74,100 Harleysville Group, Inc. 2,704,650
65,200 NAC Re Corp.(b) 2,599,850
121,300 Presidential Life Corp. 1,743,687
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
INSURANCE CARRIERS (continued)
<TABLE>
<C> <S> <C>
88,899 PXRE Corp. $ 2,400,286
---------------
12,087,873
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.6%)
41,000 Esterline Technologies Corp.(a) 1,235,125
64,800 Haemonetics Corp.(a) 1,109,700
80,300 Protocol Systems, Inc.(a) 612,287
---------------
2,957,112
---------------
METAL MINING (0.4%)
44,000 Cleveland-Cliffs, Inc. 1,859,000
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.3%)
26,200 NACCO Industries, Inc. 1,332,925
---------------
MISCELLANEOUS RETAIL (0.1%)
204,000 Service Merchandise(a) 663,000
---------------
MOTION PICTURES (0.4%)
54,900 Carmike Cinemas, Inc.(a)(b) 1,907,775
---------------
NONDEPOSITORY CREDIT INSTITUTIONS (1.6%)
191,600 Consumer Portfolio Services, Inc.(a) 2,179,450
59,000 North American Mortgage Co. 1,187,375
112,200 Southern Pacific Funding Corp.(a) 1,570,800
136,000 Union Acceptance Corp.(a) 1,198,500
84,000 United Cos. Financial Corp.(b) 1,921,500
---------------
8,057,625
---------------
PERSONAL SERVICES (0.6%)
82,800 Angelica Corp. 1,490,400
84,000 CPI Corp. 1,575,000
---------------
3,065,400
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.7%)
72,000 Holly Corp. 1,800,000
151,000 Tesoro Petroleum Corp.(a) 1,981,875
---------------
3,781,875
---------------
PRIMARY METAL INDUSTRIES (2.2%)
57,700 AK Steel Holding Corp. 2,243,087
59,800 Carpenter Technology Corp. 2,586,350
75,400 Quanex Corp. 2,054,650
100,000 RMI Titanium Co.(a)(b) 2,325,000
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
152
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
PRIMARY METAL INDUSTRIES (continued)
<TABLE>
<C> <S> <C>
78,800 Texas Industries, Inc. $ 1,891,200
---------------
11,100,287
---------------
PRINTING, PUBLISHING & ALLIED INDUSTRIES (0.6%)
51,000 Bowne & Co., Inc. 1,523,625
51,400 Media General, Inc. 1,570,912
---------------
3,094,537
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (0.9%)
30,000 Jefferies Group, Inc. 1,616,250
108,000 Raymond James Financial, Inc. 2,970,000
---------------
4,586,250
---------------
STONE, CLAY, GLASS & CONCRETE PRODUCTS (0.3%)
90,000 Excel Industries, Inc. 1,631,250
---------------
TRANSPORTATION BY AIR (0.6%)
78,800 Alaska Air Group, Inc.(a) (b) 1,960,150
35,250 Midwest Express Holdings, Inc.(a) 1,119,187
---------------
3,079,337
---------------
TRANSPORTATION EQUIPMENT (0.9%)
105,000 Artic Cat, Inc. 1,102,500
160,000 Simpson Industries, Inc. 1,630,000
65,200 Varlen Corp. 1,646,300
---------------
4,378,800
---------------
WHOLESALE TRADE--DURABLE GOODS (1.5%)
102,000 APS Holding Corp.(a) 1,020,000
42,500 Bell Industries(a) 791,563
40,000 Borg-Warner Automotive, Inc. 1,950,000
68,800 Commercial Metals Co. 2,038,200
42,000 Hughes Supply, Inc. 1,606,500
---------------
7,406,263
---------------
WHOLESALE TRADE--NONDURABLE GOODS (0.9%)
101,200 Nash-Finch Co. 2,024,000
124,100 Performance Food Group Co.(a) 2,575,075
---------------
4,599,075
---------------
TOTAL COMMON STOCK (COST $146,157,498) 159,215,805
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
REPURCHASE AGREEMENTS (1.2%)
5,917,209 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $5,918,125 (cost
$5,917,209)(c) $ 5,917,209
---------------
TOTAL SMALL COMPANY VALUE INVESTMENT STYLE (COST
$152,074,707) $ 165,133,014
---------------
---------------
SMALL COMPANY GROWTH INVESTMENT STYLE (32.7%)
COMMON STOCK (30.7%)
APPAREL & ACCESSORY STORES (0.8%)
93,400 Claire's Stores, Inc. 1,797,950
108,200 Stage Stores, Inc.(a) 2,184,287
---------------
3,982,237
---------------
APPAREL & OTHER FINISHED PRODUCTS MADE FROM FABRICS & SIMILAR MATERIALS
(0.5%)
84,400 Warnaco Group, Inc. Class A 2,764,100
---------------
AEROSPACE / DEFENSE (0.7%)
131,600 Gulfstream Aerospace Corp.(a) 3,865,750
---------------
BUSINESS SERVICES (1.7%)
71,600 Autodesk, Inc. 2,783,450
87,900 GTECH Holdings Corp.(a) 2,889,713
102,600 SmallWorldWide plc ADR(a) 1,641,600
28,800 Visio Corp.(a) 1,656,000
---------------
8,970,763
---------------
CHEMICALS & ALLIED PRODUCTS (2.7%)
65,400 Biovail Corp. International(a) 1,937,475
80,700 Elan Corp., plc ADR(a) 3,288,525
61,100 Forest Laboratories, Inc.(a) 2,581,475
111,100 Genzyme Corp.(a) 2,652,513
56,300 North American Vaccine, Inc.(a) 1,097,850
95,000 Sepracor, Inc.(a) 2,327,500
---------------
13,885,338
---------------
COMMUNICATIONS (0.2%)
19,800 Commnet Cellular, Inc(a) 678,150
24,700 Vanguard Cellular Systems, Inc.(a) 324,187
---------------
1,002,337
---------------
CONSTRUCTION--SPECIAL TRADE CONTRACTORS (0.5%)
128,200 Apogee Enterprises, Inc. 2,371,700
---------------
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
153
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
DEPOSITORY INSTITUTIONS (0.6%)
193,700 Dime Bancorp, Inc. $ 3,292,900
---------------
EATING & DRINKING PLACES (0.5%)
178,300 Foodmaker, Inc.(a) 2,496,200
---------------
ELECTRIC, GAS & SANITARY SERVICES (0.8%)
79,900 Philip Environmental, Inc.(a) 1,168,538
74,400 U.S.A. Waste Services, Inc.(a) 2,697,000
---------------
3,865,538
---------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT & COMPONENTS, EXCEPT COMPUTER
EQUIPMENT (2.6%)
94,200 American Power Conversion (a) 2,190,150
98,600 BMC Industries, Inc. 3,241,475
179,900 Cypress Semiconductor Corp.(a) 2,563,575
120,000 General Cable Corp.(a) 2,565,000
37,000 Hutchinson Technology, Inc.(a) 1,017,500
75,100 Read-Rite Corp.(a) 1,567,712
---------------
13,145,412
---------------
FABRICATED METAL PRODUCTS, EXCEPT MACHINERY & TRANSPORTATION EQUIPMENT
(0.8%)
64,200 Titanium Metals Corp.(a) (b) 1,950,075
55,600 Tower Automotive, Inc.(a) 2,203,150
---------------
4,153,225
---------------
FOOD STORES (1.0%)
109,200 Dominick's Supermarkets, Inc.(a) 2,648,100
77,500 Whole Foods Market, Inc.(a) 2,431,563
---------------
5,079,663
---------------
GENERAL MERCHANDISE STORES (0.1%)
8,950 Consolidated Stores Corp.(a) 342,337
---------------
HEALTH SERVICES (1.1%)
19,400 Genesis Health Ventures, Inc.(a) 637,775
95,600 Quorum Health Group, Inc.(a) 3,381,850
42,100 Vencor, Inc.(a) 1,715,575
---------------
5,735,200
---------------
HOLDING & OTHER INVESTMENT OFFICES (0.2%)
54,400 RFS Hotel Investors, Inc. 1,013,200
---------------
HOME FURNITURE, FURNISHINGS & EQUIPMENT STORES (0.4%)
64,000 Inacom Corp.(a) (b) 2,072,000
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
HOTELS, ROOMING HOUSES, CAMPS & OTHER LODGING PLACES (0.4%)
71,200 Interstate Hotels Co.(a) $ 1,869,000
---------------
INDUSTRIAL & COMMERCIAL MACHINERY & COMPUTER EQUIPMENT (2.1%)
73,800 American Standard Cos., Inc.(a) 3,699,226
46,300 Applied Power, Inc. 2,037,200
27,100 Case Corp. 1,598,900
79,500 Data General Corp.(a) 1,699,312
63,200 Varco International, Inc.(a) 1,738,000
---------------
10,772,638
---------------
INSURANCE CARRIERS (1.4%)
84,500 Amerin Corp.(a) 1,985,750
74,000 Everest Reinsurance Holdings, Inc. 2,516,000
50,200 PMI Group, Inc. 2,754,725
---------------
7,256,475
---------------
MEASURING, ANALYZING & CONTROLLING INSTRUMENTS; PHOTOGRAPHIC, MEDICAL &
OPTICAL GOODS (0.9%)
72,200 Mentor Corp. 1,904,275
56,900 Perceptron, Inc.(a) 1,607,425
80,000 Possis Medical, Inc.(a) 1,230,000
---------------
4,741,700
---------------
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.6%)
55,700 Lear Corp.(a) 2,130,525
65,400 RockShox, Inc.(a) 948,300
---------------
3,078,825
---------------
MISCELLANEOUS RETAIL (0.9%)
127,200 Borders Group, Inc.(a) 2,766,600
67,900 Tech Data Corp.(a) 2,011,537
---------------
4,778,137
---------------
MOTOR FREIGHT TRANSPORTATION & WAREHOUSING (0.6%)
54,200 Swift Transportation, Inc.(a) 1,747,950
54,000 USFreightways Corp. 1,309,500
---------------
3,057,450
---------------
OIL & GAS EXTRACTION (3.1%)
57,100 Apache Corp. 1,955,675
119,000 Nabors Industries, Inc.(a) 2,670,063
158,900 Noble Drilling Corp.(a) 3,456,075
213,400 Parker Drilling Co.(a) 2,053,975
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
154
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
OIL & GAS EXTRACTION (continued)
<TABLE>
<C> <S> <C>
115,500 Pool Energy Services Co.(a) $ 1,920,189
101,700 Rowan Cos., Inc.(a) 2,351,812
27,400 Transocean Offshore, Inc. 1,890,600
---------------
16,298,389
---------------
PHARMACEUTICAL PREPARATIONS (0.3%)
94,200 Twinlab Corp.(a) 1,354,125
---------------
PETROLEUM REFINING & RELATED INDUSTRIES (0.3%)
54,600 Sun Co., Inc. 1,631,175
---------------
PRIMARY METAL INDUSTRIES (0.5%)
110,600 Steel Dynamics, Inc.(a) 2,488,500
---------------
REAL ESTATE (0.4%)
93,100 Newhall Land & Farming Co. 1,862,000
---------------
RUBBER & MISCELLANEOUS PLASTIC PRODUCTS (1.0%)
69,400 EVI, Inc.(a) 2,611,175
91,300 Standard Products Co. 2,271,087
---------------
4,882,262
---------------
SECURITY & COMMODITY BROKERS, DEALERS, EXCHANGES & SERVICES (0.3%)
82,600 Amresco, Inc.(a) 1,455,825
---------------
TRANSPORTATION EQUIPMENT (0.4%)
68,876 LucasVarity plc ADR(a) 2,212,641
---------------
WATER TRANSPORTATION (0.4%)
194,200 OMI Corp.(a) 1,869,175
---------------
WHOLESALE TRADE--DURABLE GOODS (1.9%)
8,800 AmeriSource Health Corp.(a) 375,100
43,600 Cooper Cameron Corp.(a) 3,569,750
89,100 Harmonic Lightwaves, Inc.(a) 1,470,150
62,100 Hughes Supply, Inc. 2,375,325
115,400 Physician Sales & Service, Inc.(a) 1,673,300
---------------
9,463,625
---------------
TOTAL COMMON STOCK (COST $126,805,480) 157,109,842
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SMALL COMPANY PORTFOLIO (continued)
- ----------------------------------------------------
PARTICIPATION INTEREST (0.0%)
DOMESTIC DEPOSITORY INSTITUTIONS (0.0%)
9,600 California Federal Bank, Inc.--
Secondary Contingent Litigation
Recovery Participation Interests (cost
$0)(a) $ 140,400
---------------
REPURCHASE AGREEMENTS (2.0%)
10,043,295 BancAmerica, 5.57%, 6/2/97, to be
repurchased at $10,044,849 (cost
$10,043,295)(c) 10,043,295
---------------
TOTAL SMALL COMPANY GROWTH INVESTMENT STYLE (COST
$136,848,775) 167,293,537
---------------
TOTAL INVESTMENTS (100.0%) (COST $442,093,546)
$ 511,042,506
---------------
---------------
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO II
- ----------------------------------------------------
STOCKS AND WARRANTS (98.6%)
ARGENTINA (0.3%)
COMMON STOCK
238,638 Compania Naviera Perez Companc SA $ 1,824,109
---------------
AUSTRALIA (2.3%)
COMMON STOCK
486,000 Australia & New Zealand Banking Group
Ltd.(b) 3,326,080
156,000 Brambles Industries Ltd. 2,808,617
313,000 Broken Hill Proprietary Co. Ltd. 4,493,418
210,000 Woodside Petroleum Ltd. 1,772,114
---------------
12,400,229
---------------
BRAZIL (1.2%)
COMMON STOCK
45,260 Telecomunicacoes Brasileiras
SA--Telebras ADR 6,217,592
---------------
CANADA (1.4%)
COMMON STOCK
160,000 Abitibi-Price 2,875,661
40,300 Alcan Aluminum Ltd.(b) 1,446,277
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
155
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
CANADA (continued)
COMMON STOCK (continued)
59,000 Canadian Pacific Ltd. $ 1,569,854
66,000 Noranda, Inc.(b) 1,473,791
---------------
7,365,583
---------------
CHILE (0.4%)
COMMON STOCK
60,350 Compania Telecomunicacion Chile 2,066,987
---------------
DENMARK (0.5%)
COMMON STOCK
83,000 ISS International Service System A/S(b) 2,761,893
---------------
FINLAND (0.6%)
COMMON STOCK
129,800 The Rauma Group 3,030,527
---------------
FRANCE (7.9%)
COMMON STOCK
39,870 Accor SA(b) 5,536,058
23,800 Canal Plus 4,039,989
40,925 Compagnie Generale des Eaux 5,043,261
84,000 Elf Aquitaine 8,412,392
113,000 METALEUROP, SA(a) 1,278,764
90,541 Michelin 4,954,886
16,830 Primagaz Cie 1,565,717
76,000 SGS-Thomson Microelectronics NV(a) 6,189,221
46,429 Societe Generale 5,165,552
WARRANTS
40,925 Cie Generale Des Eaux(a) 28,057
1,530 Primagaz Cie 26,821
---------------
42,240,718
---------------
GERMANY (5.3%)
COMMON STOCK
35,880 Adidas AG 3,786,585
150,000 Bayer AG 5,864,212
7,900 Mannesmann AG 3,235,313
126,000 Veba AG(b) 7,176,887
200 Wella AG 120,544
PREFERRED STOCK
34,000 SAP AG 6,199,577
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
GERMANY (continued)
PREFERRED STOCK (continued)
<TABLE>
<C> <S> <C>
3,400 Wella AG(b) $ 2,073,170
---------------
28,456,288
---------------
HONG KONG (4.7%)
COMMON STOCK
327,200 Cheung Kong Holdings Ltd. 3,346,531
1,036,000 Citic Pacific Ltd. 5,923,055
707,200 Hutchison Whampoa Ltd. 5,886,868
374,000 New World Development Co. Ltd. 2,374,756
375,900 Sun Hung Kai Properties Ltd. 4,620,826
656,000 Wharf (Holdings) Ltd. 2,937,755
---------------
25,089,791
---------------
INDONESIA (0.9%)
COMMON STOCK
901,680 PT Indofoods Sukses Makmur 2,029,474
1,207,000 PT Telekomunikasi Indonesia 2,034,409
54,700 PT Unilever Indonesia 1,011,922
---------------
5,075,805
---------------
ITALY (0.5%)
COMMON STOCK
1,027,100 Telecom Italia SpA(b) 2,832,144
---------------
JAPAN (25.8%)
COMMON STOCK
227,000 Amada Metrecs Co. Ltd. 2,279,155
187,000 Arcland Sakamoto 1,925,684
323,000 Bridgestone Corp.(b) 7,289,882
189,750 Credit Saison Co. Ltd.(b) 4,152,257
172,000 Dai-Dan Co. Ltd. 1,697,417
820,000 Dai-Tokyo Fire & Marine Insurance Co. 4,573,929
229,000 Daiwa House Industry Co. Ltd. 2,692,268
960 East Japan Railway Co. 4,736,979
262,000 Fuji Photo Film Co. 10,140,048
58,000 Glory Ltd. 1,408,564
448,000 Hanshin Electric Railway(b) 1,668,515
647,000 Hitachi Ltd. 6,884,751
117,000 Ito-Yokado Co. Ltd. 6,666,780
130,000 Japan Airport Terminal Co. 1,673,389
1,932,000 Kobe Steel Ltd.(a) 3,713,790
48,000 Kyocera Corp. 3,455,936
84,000 Mabuchi Motor Co. 4,771,991
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
156
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
JAPAN (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
46,200 Meiko Shokai $ 1,704,797
366,000 Mitsubishi Corp. 4,302,926
1,088,000 Mitsubishi Electric Corp. 6,162,190
234,000 Murata Manufacturing Co. Ltd. 9,257,186
48,000 Nagaileben Co. Ltd. 1,845,360
15,000 Oji Paper Co. Ltd. 86,630
178,000 Omron Corp. 3,574,357
85,800 SMC Corp.(b) 6,994,765
46,000 Secom 3,307,989
620,000 Takeda Chemical Ind. 15,695,529
26,000 Toho Co. 4,060,756
562,000 Tokio Marine & Fire Insurance Co. 6,607,225
184,000 Toyota Motor Corp. 5,273,834
---------------
138,604,879
---------------
KOREA, REPUBLIC OF (0.8%)
COMMON STOCK
42,000 Korea Electric Power Corp. 1,295,569
12,000 Pohang Iron & Steel Co. Ltd. 997,810
11,602 Samsung Electronics Co. 1,063,765
54,054 Shinhan Bank 699,942
RIGHTS
192 Samsung Electronics(a) 7,596
---------------
4,064,682
---------------
MALAYSIA (2.4%)
COMMON STOCK
1,670,000 DCB Holdings Berhad(b) 5,383,452
651,000 Sime Darby Berhad 2,124,488
659,000 Tenaga Nasional Berhad(b) 3,016,078
278,000 United Engineers (Malaysia) Ltd. 2,245,951
---------------
12,769,969
---------------
MEXICO (0.2%)
COMMON STOCK
350,936 Cemex SA de CV(b) 1,290,076
---------------
NETHERLANDS (11.1%)
COMMON STOCK
290,000 Elsevier NV 4,911,924
204,216 Getronics NV 6,971,101
78,000 Gucci Group NV 5,440,500
41,000 Heineken NV 6,946,580
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
NETHERLANDS (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
485,102 ING Group NV $ 21,464,038
37,980 Oce-Van Der Grinten NV(b) 4,958,301
174,530 Philips Electronics NV 9,559,674
PREFERRED STOCK
6,100 ING Group NV 30,678
---------------
60,282,796
---------------
PHILIPPINES (0.8%)
COMMON STOCK
1,851,875 Ayala Land, Inc. 1,474,479
238,290 Manila Electric Co., Class B 1,337,134
18,707 Manila Electric Co. GDR 472,352
30,000 Philippine Long Distance Telephone Co. 887,204
6,800 Philippine Long Distance Telephone Co.
ADR 393,551
---------------
4,564,720
---------------
PORTUGAL (1.9%)
COMMON STOCK
190,200 Portugal Telecom 7,308,431
129,450 Semapa--Sociedade de Investimento e
Gestao SGPS SA 3,024,527
---------------
10,332,958
---------------
SINGAPORE (3.3%)
COMMON STOCK
555,000 City Developments Ltd. 5,163,694
360,000 Development Bank of Singapore Ltd. 4,507,871
240,400 Singapore Press Holdings Ltd. 4,792,865
305,000 United Overseas Bank Ltd. 3,136,412
---------------
17,600,842
---------------
SPAIN (0.8%)
COMMON STOCK
12,000 Banco Popular Espanol SA 2,552,272
90,000 Centros Comerciales Pryca SA 1,808,794
---------------
4,361,066
---------------
SWEDEN (2.0%)
COMMON STOCK
215,000 Atlas Copco AB(b) 5,689,229
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
157
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
SWEDEN (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
138,000 Telefonaktiebolaget LM Ericsson "B"
Shares $ 4,857,018
---------------
10,546,247
---------------
SWITZERLAND (8.4%)
COMMON STOCK
5,500 ABB Asea Brown Boveri Ltd. 7,550,012
13,200 Adecco SA 4,963,880
17,466 Ciba Specialty Chemicals(a) 1,654,375
17,466 Novartis 23,704,475
630 Roche Holding AG 5,602,177
14,410 The Selectra Group(a) 2,286,736
---------------
45,761,655
---------------
THAILAND (0.3%)
COMMON STOCK
210,000 Land & House Public Co. Ltd.(b) 265,450
237,700 Thai Farmers Bank Public Co. Ltd.(b) 1,163,700
WARRANTS
33,837 Thai Farmers Bank Public Co. Ltd. 23,083
---------------
1,452,233
---------------
UNITED KINGDOM (14.8%)
COMMON STOCK
272,900 Airtours plc 4,882,462
438,000 Allied Domecq plc 3,188,973
827,000 Asda Group plc 1,623,691
115,900 Barclays plc 2,254,665
200,000 Blue Circle Industries plc 1,379,254
273,300 British Airways plc 3,179,259
350,420 British Land Co. plc 3,431,386
900,800 British Steel plc 2,247,579
249,700 Cable & Wireless plc 2,038,618
218,609 Cadbury Schweppes plc 1,960,042
1,191,200 David S. Smith (Holdings) plc 4,326,676
199,000 De La Rue plc 1,595,385
295,600 Enterprise Oil plc 3,257,306
110,000 HSBC Holdings plc 3,412,304
135,000 Johnson Matthey plc 1,033,704
228,600 Kingfisher plc 2,668,621
696,300 LASMO plc 2,791,123
389,000 Lloyds TSB Group plc 3,912,594
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO II (continued)
- ----------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
800,000 LucasVarity plc $ 2,526,178
831,900 MFI Furniture plc 1,817,060
1,165,000 Pilkington Brothers plc 2,382,608
235,370 Prudential Corp. plc 2,364,483
140,000 RTZ Corp. plc 2,405,105
407,000 Rank Group plc 2,856,724
372,850 Tesco plc 2,287,610
270,405 Tibbett & Britten Group plc 2,566,015
330,584 United News & Media plc 4,186,388
705,800 Vodafone Group plc 3,140,994
299,500 Williams Holdings plc 1,526,412
72,000 Zeneca Group plc 2,183,446
---------------
79,426,665
---------------
TOTAL STOCKS AND WARRANTS (COST $438,276,503)
530,420,454
---------------
SHORT-TERM HOLDINGS (1.4%)
7,464,090 Norwest Cash Investment Fund (cost
$7,464,090) 7,464,090
---------------
TOTAL INVESTMENTS (100.0%) (COST $445,740,593)
$ 537,884,544
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACT TO SELL
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT DATE CURRENCY UNITS US DOLLARS DEPRECIATION
- ------------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
6/17/97 Swiss Francs 11,400,000 $ 8,081,346 $(221,988)
</TABLE>
<TABLE>
<C> <S> <C>
- ----------------------------------------------------
INTERNATIONAL PORTFOLIO
- ----------------------------------------------------
STOCKS, WARRANTS AND RIGHTS (94.6%)
ARGENTINA (0.3%)
COMMON STOCK
89,209 Compania Naviera Perez Companc SA $ 681,899
--------------
AUSTRALIA (2.5%)
COMMON STOCK
214,000 Australia & New Zealand Banking Group
Ltd.(b) 1,464,571
69,000 Brambles Industries Ltd. 1,242,273
131,000 Broken Hill Proprietary Co. Ltd. 1,880,632
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
158
<PAGE>
SCHEDULES OF INVESTMENTS (continued) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
AUSTRALIA (continued)
COMMON STOCK (continued)
117,000 Woodside Petroleum Ltd. $ 987,321
---------------
5,574,797
---------------
BRAZIL (1.5%)
COMMON STOCK
16,790 Telecomunicacoes Brasileiras SA-Telebras
ADR 2,306,527
7,606,203 Telecomunicacoes do Rio de Janeiro
SA-Telerj 1,171,277
---------------
3,477,804
---------------
CANADA (1.2%)
COMMON STOCK
14,800 Alcan Aluminum Ltd.(b) 531,140
22,000 Canadian Pacific Ltd. 585,369
25,000 Noranda, Inc.(b) 558,254
24,000 Royal Bank of Canada 1,040,528
---------------
2,715,291
---------------
CHILE (0.3%)
COMMON STOCK
22,100 Compania Telecomunicacion Chile 756,925
---------------
DENMARK (0.4%)
COMMON STOCK
28,300 ISS International Service System A/S(b) 941,706
---------------
FRANCE (7.7%)
COMMON STOCK
14,710 Accor SA(b) 2,042,524
10,700 Canal Plus 1,816,298
14,466 Compagnie Generale des Eaux 1,782,671
36,825 Elf Aquitaine 3,687,933
42,000 METALEUROP SA 475,293
34,181 Michelin 1,870,567
6,765 Primagaz Cie 629,357
26,000 SGS-Thomson Microelectronics NV(a) 2,117,365
21,618 Societe Generale 2,405,186
WARRANTS
14,466 Cie Generale Des Eaux(a) 9,918
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
FRANCE (continued)
WARRANTS (continued)
<TABLE>
<C> <S> <C>
615 Primagaz Cie $ 10,781
---------------
16,847,893
---------------
GERMANY (4.8%)
COMMON STOCK
13,360 Adidas AG 1,409,944
50,000 Bayer AG 1,954,738
3,100 Mannesmann AG(b) 1,269,553
47,000 Veba AG 2,677,093
100 Wella AG 60,272
PREFERRED STOCK
13,300 SAP AG 2,425,130
1,300 Wella AG(b) 792,683
---------------
10,589,413
---------------
HONG KONG (4.7%)
COMMON STOCK
146,700 Cheung Kong Holdings Ltd. 1,500,416
377,000 Citic Pacific Ltd.(b) 2,155,398
255,400 Hutchison Whampoa Ltd. 2,125,998
160,000 New World Development Co. Ltd. 1,015,939
137,700 Sun Hung Kai Properties Ltd. 1,692,705
400,000 Wharf (Holdings) Ltd. 1,791,315
---------------
10,281,771
---------------
INDONESIA (0.8%)
COMMON STOCK
273,240 PT Indofoods Sukses Makmur 615,001
500,000 PT Telekomunikasi Indonesia 842,754
20,700 PT Unilever Indonesia 382,939
---------------
1,840,694
---------------
ITALY (0.4%)
COMMON STOCK
346,700 Telecom Italia SpA(b) 955,997
---------------
JAPAN (25.2%)
COMMON STOCK
109,000 Amada Metrecs Co. Ltd. 1,094,396
71,000 Arcland Sakamoto 731,142
118,000 Bridgestone Corp.(b) 2,663,177
75,900 Credit Saison Co. Ltd.(b) 1,660,903
67,000 Dai-Dan Co. Ltd. 661,203
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
159
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
JAPAN (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
302,000 Dai-Tokyo Fire & Marine Insurance Co. $ 1,684,544
90,000 Daiwa House Industry Co. Ltd. 1,058,097
310 East Japan Railway Co. 1,529,650
108,000 Fuji Photo Film Co. 4,179,869
32,000 Glory Ltd. 777,140
219,000 Hanshin Electric Railway(b) 815,636
263,000 Hitachi Ltd. 2,798,593
50,000 Ito-Yokado Co. Ltd. 2,849,052
61,000 Japan Airport Terminal Co. 785,206
724,000 Kobe Steel Ltd.(a) 1,391,710
18,000 Kyocera Corp. 1,295,976
29,000 Mabuchi Motor Co. 1,647,472
22,900 Meiko Shokai 845,018
140,000 Mitsubishi Corp. 1,645,928
398,000 Mitsubishi Electric Corp. 2,254,183
96,000 Murata Manufacturing Co. Ltd. 3,797,820
21,600 Nagaileben Co. Ltd. 830,412
7,000 Oji Paper Co. Ltd. 40,427
85,000 Omron Corp. 1,706,857
36,800 SMC Corp.(b) 3,000,086
18,000 Secom 1,294,431
251,000 Takeda Chemical Ind. 6,354,158
9,000 Toho Co. 1,405,646
226,000 Tokio Marine & Fire Insurance Co. 2,656,998
67,000 Toyota Motor Corp. 1,920,364
---------------
55,376,094
---------------
KOREA, REPUBLIC OF (0.7%)
COMMON STOCK
14,000 Korea Electric Power Corp. 431,856
3,000 Pohang Iron & Steel Co. Ltd. 249,453
515 SK Telecom Co. Ltd. 315,951
3,822 Samsung Electronics Co. 350,431
12,000 Shinhan Bank 155,388
RIGHTS
63 Samsung Electronics Co.(a) 2,502
---------------
1,505,581
---------------
MALAYSIA (2.3%)
COMMON STOCK
538,000 DCB Holdings Berhad(b) 1,734,309
280,000 Sime Darby Berhad 913,758
360,000 Tenaga Nasional Berhad(b) 1,647,631
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
MALAYSIA (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
105,000 United Engineers (Malaysia) Ltd. $ 848,291
---------------
5,143,989
---------------
MEXICO (0.2%)
COMMON STOCK
130,000 Cemex SA de CV(b) 477,893
---------------
NETHERLANDS (10.3%)
COMMON STOCK
111,000 Elsevier NV 1,880,081
61,817 Getronics NV 2,110,180
28,800 Gucci Group 2,008,800
15,500 Heineken NV 2,626,147
182,849 ING Group NV 8,090,414
15,000 KLM Royal Dutch Air Lines NV 433,865
15,071 Oce-Van Der Grinten NV(b) 1,967,524
67,460 Philips Electronics NV 3,695,042
PREFERRED STOCK
2,300 ING Group NV 11,567
---------------
22,823,620
---------------
PHILIPPINES (0.8%)
COMMON STOCK
805,077 Ayala Land, Inc. 641,009
11,719 Manila Electric Co. GDR 144A 295,917
59,150 Manila Electric Co., Class B 331,913
14,000 Philippine Long Distance Telephone Co. 414,029
2,600 Philippine Long Distance Telephone Co.
ADR 150,475
---------------
1,833,343
---------------
PORTUGAL (1.7%)
COMMON STOCK
70,160 Portugal Telecom 2,695,897
48,300 Semapa - Sociedade de Investimento e
Gestao SGPS SA 1,128,502
---------------
3,824,399
---------------
SINGAPORE (3.0%)
COMMON STOCK
185,000 City Developments Ltd. 1,721,231
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
160
<PAGE>
SCHEDULES OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
SINGAPORE (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
133,000 Development Bank of Singapore Ltd. $ 1,665,407
95,000 Singapore Press Holdings Ltd. 1,894,019
115,000 United Overseas Bank Ltd. 1,182,581
---------------
6,463,238
---------------
SPAIN (0.8%)
COMMON STOCK
4,500 Banco Popular Espanol SA 957,102
42,000 Centros Comerciales Pryca SA 844,104
---------------
1,801,206
---------------
SWEDEN (1.7%)
COMMON STOCK
80,000 Atlas Copco AB 2,116,922
46,000 Telefonaktiebolaget LM Ericsson "B"
Shares, ADR 1,619,006
---------------
3,735,928
---------------
SWITZERLAND (8.6%)
COMMON STOCK
2,410 ABB Asea Brown Boveri Ltd. 3,308,278
6,400 Adecco SA 2,406,729
7,102 Ciba Specialty Chemicals(a) 672,700
7,102 Novartis AG 9,638,680
230 Roche Holding AG 2,045,239
5,360 Selectra Group(a) 850,584
---------------
18,922,210
---------------
THAILAND (0.2%)
COMMON STOCK
84,000 Land & House Public Co. Ltd.(b) 106,181
64,900 Thai Farmers Bank Public Co. Ltd.(b) 317,728
WARRANTS
7,862 Thai Farmers Bank Public Co. Ltd. 5,363
---------------
429,272
---------------
UNITED KINGDOM (14.0%)
COMMON STOCK
104,400 Airtours plc 1,867,824
635,000 Asda Group plc 1,246,727
64,000 Barclays plc 1,245,026
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
INTERNATIONAL PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
UNITED KINGDOM (continued)
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
100,000 Blue Circle Industries plc $ 689,627
98,900 British Airways plc 1,150,490
131,880 British Land Co. plc 1,291,398
394,000 British Steel plc 983,066
73,000 Cable & Wireless plc 595,991
124,000 Cadbury Schweppes plc 1,111,780
454,600 David S. Smith Holdings plc 1,651,199
68,000 De La Rue plc 545,157
134,000 Enterprise Oil plc 1,476,587
50,300 Johnson Matthey plc 385,150
106,000 Kingfisher plc 1,237,418
316,000 LASMO plc 1,266,688
141,000 Lloyds TSB Group plc 1,418,189
339,000 LucasVarity plc 1,070,467
432,000 MFI Furniture plc 943,586
318,000 Pilkington Brothers plc 650,359
154,050 Prudential Corp. plc 1,547,557
59,000 RTZ Corp. plc 1,013,579
157,000 Rank Group plc 1,101,979
136,350 Tesco plc 836,571
101,000 Tibbett and Britten Group 958,442
113,260 United News & Media plc 1,434,280
351,800 Vodafone Group plc 1,565,602
115,600 Williams Holdings plc 589,159
27,000 Zeneca Group plc 818,790
---------------
30,692,688
---------------
UNITED STATES OF AMERICA (0.5%)
COMMON STOCK
37,500 Chilgener SA 1,031,250
---------------
TOTAL STOCKS, WARRANTS AND RIGHTS (COST $174,924,994)
208,724,901
---------------
SHORT-TERM HOLDINGS (5.4%)
11,865,795 Norwest Cash Investment Fund (cost
$11,865,795) 11,865,795
---------------
TOTAL INVESTMENTS (100.0%) (COST $186,790,789)
$ 220,590,696
---------------
---------------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
CONTRACT TO SELL
</TABLE>
<TABLE>
<CAPTION>
CONTRACT UNREALIZED
DATE CURRENCY UNITS US DOLLARS DEPRECIATION
- --------- -------------- ---------- ------------ ------------
<C> <S> <C> <C> <C>
6/17/97 Swiss Francs 4,400,000 $ 3,119,116 $ (85,681)
</TABLE>
See Notes to Schedules of Investments. CORE TRUST (DELAWARE)
161
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Part or all of this investment on loan, see Note 7 of Notes to Financial
Statements.
(c) Repurchase Agreements: BancAmerica, collateralized by multiple FCSB 5.43% -
5.50%, 6/27/97 - 3/18/97, Par $37,000,000; FHLB 5.59, 5/15/98, Par
$11,000,000; multiple FHLMC, 5.48%, 8/29/97, Par $113,000,000; multiple FNMA
5.43% - 5.49%, 8/15/97 - 9/29/97, Par $33,755,000; TVA 5.45%, 8/4/97, Par
$150,000,000.
(d) During the year June 1, 1996 to May 31, 1997, Index Portfolio purchased
3,800 shares of Norwest Corp.
(e) At May 31, 1997, $540,000 of U.S. Treasury Bills due 7/24/97, with a market
value of $536,230 were pledged to cover margin requirements for open futures
contracts.
<TABLE>
<S> <C>
ADR American Depositary Receipts
GDR Global Depositary Receipts
</TABLE>
CORE TRUST (DELAWARE)
162
<PAGE>
SCHRODER CAPITAL FUNDS
FINANCIAL STATEMENTS
FOR THE PERIOD ENDED
MAY 31, 1997
U.S. SMALLER COMPANIES PORTFOLIO
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
To the Investors and Trustees of
Schroder U.S. Smaller Companies Portfolio:
We have audited the accompanying statement of assets and
liabilities of the Schroder U.S. Smaller Companies
Portfolio (a separate portfolio of Schroder Capital
Funds), including the schedule of investments, as of May
31, 1997, and the related statements of operations, the
statements of changes in net assets and the financial
highlights for the period then ended and for the period
August 15, 1996 (commencement of operations) to October
31, 1996. These financial statements and financial
highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on
these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally
accepted auditing standards. Those standards require that
we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and
financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of
securities owned as of May 31, 1997 by correspondence with
the custodian and brokers. An audit also includes
assessing the accounting principles used and significant
estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all
material respects, the financial position of the Schroder
U.S. Smaller Companies Portfolio as of May 31, 1997, the
results of its operations, the changes in its net assets
and the financial highlights for the period then ended and
for the period August 15, 1996 (commencement of
operations) to October 31, 1996, in conformity with
generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Boston, Massachusetts
July 14, 1997
SCHRODER CAPITAL FUNDS
164
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments (Note 2):
Investments at cost.......................................................................... $ 84,209,629
Net unrealized appreciation (depreciation)................................................... 11,031,928
------------
TOTAL INVESTMENTS AT VALUE....................................................................... 95,241,557
Cash and Cash Equivalents (Note 2)............................................................. 6,922,881
Receivable for investments sold................................................................ 2,252,183
Receivable for dividends and interest.......................................................... 79,383
Organization costs, net of amortization (Note 2)............................................... 21,095
------------
TOTAL ASSETS..................................................................................... 104,517,099
------------
LIABILITIES:
Payable for investments purchased.............................................................. 1,049,223
Payable to Investment Adviser (Note 3)......................................................... 20,211
Payable to other related parties (Note 3)...................................................... 6,031
Accrued expenses and other liabilities......................................................... 56,376
------------
TOTAL LIABILITIES................................................................................ 1,131,841
------------
NET ASSETS....................................................................................... $103,385,258
------------
------------
COMPONENTS OF NET ASSETS:
Investors' capital............................................................................. $ 92,353,330
Net unrealized appreciation (depreciation)
on investments............................................................................... 11,031,928
------------
NET ASSETS....................................................................................... $103,385,258
------------
------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
165
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
AUGUST 15,
FOR THE 1996
PERIOD THROUGH
ENDED OCTOBER 31,
MAY 31, 1997 1996
------------ ------------
<S> <C> <C>
INVESTMENT INCOME:
Dividend income...................... $ 260,037 $ 36,852
Interest income...................... 116,204 22,652
------------ ------------
TOTAL INVESTMENT INCOME................ 376,241 59,504
------------ ------------
EXPENSES:
Investment advisory (Note 3)......... 211,277 26,334
Administration (Note 3).............. 26,410 3,292
Transfer agency (Note 3)............. 7,029 2,558
Custody.............................. 33,146 1,930
Accounting (Note 3).................. 21,000 7,645
Legal................................ 936 2,957
Audit................................ 21,629 11,000
Trustees............................. 1,680 103
Amortization of organization costs
(Note 2)........................... 2,927 1,066
Miscellaneous........................ 8,254 742
------------ ------------
TOTAL EXPENSES......................... 334,288 57,627
Fees waived (Note 6)................. (35,396) (20,260)
------------ ------------
NET EXPENSES........................... 298,892 37,367
------------ ------------
NET INVESTMENT INCOME (LOSS)........... 77,349 22,137
------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on
investments sold................... 2,311,789 735,049
Net change in unrealized appreciation
(depreciation) on investments...... 8,079,833 2,952,095
------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS........................ 10,391,622 3,687,144
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM
OPERATIONS............................ $10,468,971 $ 3,709,281
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
166
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
AUGUST 15,
FOR THE 1996
PERIOD THROUGH
ENDED OCTOBER 31,
MAY 31, 1997 1996
------------ ------------
<S> <C> <C>
NET ASSETS, BEGINNING OF PERIOD................... $28,929,477 $ --
------------ ------------
OPERATIONS
Net investment income (loss).................... 77,349 22,137
Net realized gain (loss) on investments sold.... 2,311,789 735,049
Net change in unrealized appreciation
(depreciation) on investments................. 8,079,833 2,952,095
------------ ------------
Net increase (decrease) in net assets resulting
from operations............................... 10,468,971 3,709,281
------------ ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions................................... 69,106,539 26,247,304
Withdrawals..................................... (5,119,729) (1,027,108)
------------ ------------
Net transactions from investors' beneficial
interest...................................... 63,986,810 25,220,196
------------ ------------
Net increase (decrease) in net assets........... 74,455,781 28,929,477
------------ ------------
NET ASSETS, END OF PERIOD......................... $103,385,258 $28,929,477
------------ ------------
------------ ------------
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
167
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
FOR THE PERIOD
PERIOD ENDED
Portfolio performance for the following ENDED OCTOBER 31,
periods: MAY 31, 1997 1996(a)
------------- -------------
<S> <C> <C>
SCHRODER U.S. SMALLER COMPANIES
PORTFOLIO
- ------------------------------------------------------------------------
RATIO TO AVERAGE NET ASSETS:
Expenses including
reimbursement/waiver................ 0.85%(b) 0.85%(b)
Expenses excluding
reimbursement/waiver................ 0.95%(b) 1.31%(b)
Net investment income including
reimbursement/waiver................ 0.22%(b) 0.50%(b)
Average commission rate(c).............. $0.0584 $0.0562
Portfolio turnover rate................. 34.45% 17.30%
</TABLE>
(a) For the period from August 15, 1996, commencement of operations, to October
31, 1996.
(b) Annualized.
(c) Amount represents the average commission per share paid to brokers on the
purchase and sale of portfolio securities.
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
168
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
Schroder Capital Funds ("Schroder Core") was organized as a Delaware business
trust on September 7, 1995. Schroder Core, which is registered as an open-end,
managment investment company under the Investment Company Act of 1940 (the
"Act"), currently has five investment portfolios. Included in this report is
Schroder U.S. Smaller Companies Portfolio (the "Portfolio"), a diversified
portfolio that commenced operations on August 15, 1996. Under its Trust
Instrument, Schroder Core is authorized to issue an unlimited number of
interests without par value. Interests in the Portfolio are sold in private
placement transactions without any sales charges to institutional clients,
including open-end, management investment companies.
Effective May 31, 1997, the Portfolio changed its fiscal year end to May 31 from
October 31.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
These financial statements are prepared in accordance with generally accepted
accounting principles, which require management to make estimates and
assumptions that affect the reported amounts of assets and liabilities,
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.
The following represent significant accounting policies of the Portfolio:
SECURITY VALUATION--Portfolio securities listed on recognized stock exchanges
are valued at the last reported sale price on the exchange on which the
securities are principally traded. Listed securities traded on recognized stock
exchanges where last sale prices are not available are valued at the last sale
price on the proceeding trading day or at closing mid-market prices. Securities
traded in over-the-counter markets, or listed securities for which no trade is
reported on the valuation date, are valued at the most recent reported
mid-market price. Other securities and assets for which market quotations are
not readily available are valued at fair value as determined in good faith using
methods approved by the Schroder Core Board of Trustees.
CASH EQUIVALENTS--The Portfolio considers all deposits and the related interest
income in the Chase Money Market Account to be cash equivalents.
INVESTMENT INCOME--Dividend income is recorded on the ex-dividend date. Interest
income is recorded on an accrual basis.
SECURITY TRANSACTIONS--Investment transactions are accounted on the trade date
basis. Realized gain and loss from investment transactions are determined on the
basis of identified cost.
ORGANIZATIONAL COSTS--Costs incurred by the Portfolio in connection with this
organization and initial registration are being amortized on a straight line
basis over a five-year period.
NOTE 3. INVESTMENT ADVISORY AND OTHER SERVICES
INVESTMENT ADVISER--The investment adviser to the Portfolio is Schroder Capital
Management International Inc. ("SCMI"). Pursuant to an Investment Advisory
Agreement, SCMI is entitled to receive an annual fee, payable monthly, of 0.60%
of the average daily net assets.
ADMINISTRATION--On behalf of the Portfolio, the Trust has entered into an
Administration Agreement with Schroder Fund Advisors Inc. In addition, the Trust
has entered into a Subadministration Agreement with Forum Administrative
Services, Limited Liability Company ("Forum") under which Forum is entitled to
receive an annual fee, payable monthly, at the rate of 0.075% of the Portfolio's
average daily net assets. Previous subadministration agreements in effect with
Forum Financial Services, Inc. during the period were identical in all material
terms including fees.
TRANSFER AGENT AND SHAREHOLDER SERVICE AGENTS--Forum Financial
Corp.-Registered Trademark- ("FFC") serves as the Portfolio's transfer agent and
dividend disbursing agent and is entitled to receive compensation for those
services from the Schroder Core with respect to the Portfolio in the amount of
$12,000 per year plus certain other fees and expenses.
OTHER SERVICE PROVIDERS--FFC also performs portfolio accounting for the
Portfolio and is entitled to receive compensation for those services by the
Portfolio in the amount of $36,000 per year, plus certain amounts based upon the
number and types of portfolio transactions.
SCHRODER CAPITAL FUNDS
169
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) MAY 31, 1997
- --------------------------------------------------------------------------------
NOTE 4. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and the proceeds from sales of securities
(excluding short - term investments) for the seven months ended May 31, 1997
aggregated $77,464,947 and $19,124,031, respectively.
For federal income tax purposes, the tax basis of investment securities owned as
of May 31, 1997 was $84,237,580. The aggregate gross unrealized appreciation for
all securities in which there was an excess of market value over tax cost was
$13,288,495, and aggregate gross unrealized depreciation for all securities in
which there was an excess of tax cost over market value was $2,284,518.
NOTE 5. FEDERAL 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, gain and loss 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 gain have been
distributed by the Portfolio.
NOTE 6. WAIVER OF FEES
SCMI voluntarily has waived a portion of its fees and has assumed certain
expenses of the Portfolio so that its total expenses would not exceed certain
limitations. The expense limitations cannot be modified or withdrawn except by a
majority vote of the Trustees of Schroder Core. Forum and FFC may waive
voluntarily all or a portion of their fees, from time to time. Fees waived by
SCMI were $35,396 and $20,260 for the period ended May 31, 1997 and October 31,
1996, respectively.
SCHRODER CAPITAL FUNDS
170
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
SCHEDULE OF INVESTMENTS MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- -----------------------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
- ----------------------------------------------------
COMMON STOCK (92.1%)
BASIC MATERIALS (4.3%)
46,600 AMCOL International Corp. $ 856,279
35,400 Ball Corp. 1,031,030
83,100 Calgon Carbon Corp. 1,163,400
36,100 Ferro Corp. 1,349,052
---------------
4,399,761
---------------
CAPITAL GOODS/CONSTRUCTION (10.0%)
22,100 Aeroquip-Vickers Inc. 958,593
53,600 Aftermarket Technology Corp.(a) 978,200
37,800 BMC Industries Inc. 1,242,678
38,400 Donaldson Co. Inc. 1,406,403
26,200 Falcon Building Products Inc. Class A(a) 458,500
24,500 Harsco Corp. 955,500
59,850 Miller Industries Inc. 980,048
37,400 Tracor Inc.(a) 949,029
28,100 Triangle Pacific Corp.(a) 839,490
42,900 USA Waste Services Inc.(a) 1,555,125
---------------
10,323,566
---------------
CONSUMER CYCLICALS (19.2%)
46,692 Accustaff Inc.(a) 1,121,454
22,900 Barnett Inc.(a) 509,525
12,750 CDW Computer Centers Inc.(a) 624,750
12,300 Consolidated Cigar
Holdings Inc.(a) 372,018
23,950 Consolidated Stores Corp.(a) 916,089
23,000 Goody's Family Clothing Inc.(a) 530,438
16,500 Gucci Group 1,150,875
27,800 Nautica Enterprises(a) 653,300
8,300 Performance Food Group Co.(a) 172,225
78,600 Petco Animal Supplies Inc.(a) 2,102,550
65,100 Pier 1 Imports Inc. 1,456,614
72,500 Pillowtex Corp. 1,549,690
31,400 Promus Hotel Corp.(a) 1,134,328
45,250 Regal Cinemas Inc.(a) 1,488,449
19,800 Robert Half International Inc.(a) 848,929
53,900 ShoLodge Inc.(a) 714,175
34,850 Sonic Corp.(a) 609,875
24,400 Tiffany & Co. 1,131,553
26,200 Warnaco Group Inc. Class A 858,050
26,200 WestPoint Stevens Inc.(a) 992,329
31,400 Wet Seal Inc. Class A(a) 922,380
---------------
19,859,596
---------------
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
<TABLE>
<C> <S> <C>
CONSUMER STAPLES (5.4%)
29,100 Compdent Corp.(a) $ 527,443
52,300 Fine Host Corp.(a) 1,595,150
98,600 Foodmaker Inc.(a) 1,380,400
21,100 Henry Schein Inc.(a) 704,215
23,400 Physician Sales & Service Inc.(a) 339,300
36,100 Suiza Foods Corp.(a) 1,078,489
---------------
5,624,997
---------------
ENERGY (6.8%)
26,500 B.J. Service Company(a) 1,464,125
19,600 Cooper Cameron Corp.(a) 1,604,755
10,700 Flores & Rucks Inc.(a) 524,300
36,900 Tosco Corp. 1,203,864
46,000 Union Tex Pete Holdings Inc. 925,757
48,400 Varco International Inc.(a) 1,331,000
---------------
7,053,801
---------------
FINANCIAL (17.2%)
33,700 AmerUs Life Holdings Inc. 871,992
104,500 BA Merchant Services Inc. Class A(a) 1,711,193
34,300 Bank United Corp. 1,191,925
20,600 Bay View Capital Corp. 1,035,150
40,100 CMAC Investment Corp. 1,669,164
61,500 CWM Mortgage Holdings Inc. 1,283,816
7,650 Charter One Financial Inc. 358,596
39,050 Commercial Federal Corp. 1,361,870
10,300 ContiFinancial Corp.(a) 346,409
30,700 Cullen/Frost Bankers Inc. 1,208,817
35,200 FBL Financial Group Inc. Class A 1,034,004
9,900 Fremont General Corp. 347,738
44,600 Inkeepers USA Trust 624,400
27,700 MLP Bancorp Inc. 481,290
54,000 North Fork BanCorp Inc. 1,134,000
4,100 Penncorp Financial Group Inc. 139,914
33,000 Starwood Lodging Trust 1,229,254
1,600 Sun Communities Inc. 52,200
80,810 UST Corp. 1,697,010
---------------
17,778,742
---------------
HEALTH CARE (12.2%)
8,900 AmeriSource Health Corp. Class A(a) 379,365
21,100 Arbor Health Care Co.(a) 601,350
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
171
<PAGE>
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED) MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
HEALTH CARE (continued)
<TABLE>
<C> <S> <C>
17,300 Bergen Brunswig Corp. Class A $ 657,400
65,700 Coventry Corp.(a) 956,759
14,800 Express Scripts Inc. Class A(a) 675,251
33,100 Genzyme Corp.(a) 790,265
72,500 Haemonetics Corp.(a) 1,241,566
31,200 Health Care and
Retirement Corp.(a) 1,060,800
27,662 Healthdyne Technologies Inc.(a) 408,015
39,100 Healthsource Inc.(a) 840,650
22,900 Invacare Corp. 492,350
51,000 Isis Pharmaceuticals Inc.(a) 803,250
54,000 Matria Healthcare Inc.(a) 236,252
68,650 Multicare Companies Inc.(a) 1,707,674
87,300 Transitional Hospitals Corp.(a) 1,385,891
18,500 Value Health Inc.(a) 374,625
---------------
12,611,463
---------------
TECHNOLOGY (11.6%)
19,300 Antec Corp.(a) 238,841
137,600 Computervision Corp.(a) 670,804
26,800 Credence Systems Corp.(a) 790,600
2,600 Cymer Inc.(a) 137,800
43,200 EG&G Inc. 842,400
25,500 Evans & Sutherland Computer
Corp.(a) 669,375
36,000 Exabyte Corp.(a) 508,504
65,800 INTERSOLV(a) 649,781
55,700 InterVoice, Inc.(a) 612,700
15,400 Intergraph Corp.(a) 108,764
18,900 Lam Research Corp.(a) 687,492
<CAPTION>
FACE/SHARE SECURITY
AMOUNT DESCRIPTION VALUE
<C> <S> <C>
- ----------------------------------------------------
SCHRODER U.S. SMALLER COMPANIES PORTFOLIO (continued)
- ----------------------------------------------------
</TABLE>
COMMON STOCK (continued)
TECHNOLOGY (continued)
<TABLE>
<C> <S> <C>
46,300 Marcam Corp.(a) $ 572,967
39,100 MicroTouch Systems Inc.(a) 987,275
37,900 Molecular Dynamics Inc.(a) 549,550
36,500 Symbol Technologies Inc. 1,145,191
37,700 System Software Associates
Inc.(a) 348,725
24,600 Thomas & Betts Corp. 1,251,529
57,500 Wang Laboratories Inc.(a) 1,178,750
---------------
11,951,048
---------------
TRANSPORTATION/SERVICES/MISCELLANEOUS (5.4%)
31,800 ASA Holdings Inc. 830,778
22,200 Aviall Inc.(a) 327,450
25,600 CNF Transportation Inc. 825,600
51,400 Comair Holdings Inc. 1,336,400
41,100 Jacor Communications Inc.(a) 1,417,950
2,100 Mid-America Apartment Communities Inc. 55,913
28,100 RemedyTemp Inc. Class A(a) 488,241
15,000 U.S. Rentals Inc.(a) 356,251
---------------
5,638,583
---------------
TOTAL INVESTMENTS (92.1%)
(COST $84,209,629) 95,241,557
---------------
OTHER ASSETS LESS LIABILITIES (7.9%) 8,143,701
---------------
TOTAL NET ASSETS (100.0%) $ 103,385,258
---------------
---------------
<FN>
(a) Non-income producing security.
</TABLE>
See Notes to Financial Statements. SCHRODER CAPITAL FUNDS
172
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
---------------
Bulk Rate
Norwest Advantage Funds US Postage
733 Marquette Avenue PAID
Minneapolis, MN 55479-0040 Permit No. 3489
Mpls, MN
---------------
[LOGO] NORWEST
-------------------------------------
ADVANTAGE FUNDS-Registered Trademark-
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-1997 NORWEST ADVANTAGE FUNDS
MFBOA 033 7/97
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THIS REPORT IS FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND MAY
BE DISTRIBUTED TO OTHERS ONLY IF PRECEDED OR ACCOMPANIED
BY CURRENT PROSPECTUSES OF THE NORWEST ADVANTAGE FUNDS.
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