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<PAGE>
PIMCO FUNDS
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1995
P I M C O
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds. Founded in 1971, Pacific Investment
Management Company currently manages assets in excess of $68 billion on behalf
of mutual fund and institutional clients located around the world.
Pacific Investment Management Company is one of six investment advisory firms
which form PIMCO Advisors L.P., the nation's fourth largest publicly traded
investment management concern with combined assets under management in excess of
$87 billion. Widely recognized for providing consistent performance and
high-quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Blairlogie Capital Management/Edinburgh, Scotland
Units of PIMCO Advisors L.P. trade on the New York Stock Exchange under the
ticker symbol "PA."
CONTENTS
<TABLE>
<S> <C>
Chairman's Message 1
Management Discussion and Analysis 2
Investment Performance 6
Statement of Assets and Liabilities 10
Statement of Operations 12
Statement of Changes in Net Assets 14
Financial Highlights 18
Schedules of Investments
Total Return Fund 22
Total Return Fund III 33
Low Duration Fund 35
Low Duration Fund II 41
Short-Term Fund 43
Long-Term U.S. Government Fund 45
Foreign Fund 47
Global Fund 50
High Yield Fund 53
Growth Stock Fund 56
StocksPLUS Fund 58
Notes to Financial Statements 61
About the PIMCO Funds 68
</TABLE>
<PAGE>
CHAIRMAN'S MESSAGE
Dear PIMCO Funds Client:
We are pleased to present this semi-annual report for the six-
month period ended September 30, 1995. Both stock and bond
markets continued to surge ahead, and the PIMCO Funds were well
positioned to participate in the extension of this rally which
began earlier in the year. Our flagship fixed income portfolio,
the PIMCO Total Return Fund, rose in value by 7.94% during the
reporting period. The PIMCO StocksPLUS Fund, our enhanced
equity index fund, posted a remarkable gain of 19.42%. The
performance of all PIMCO Funds, as well as a discussion of the
financial markets, appears on the following pages.
We are gratified by the continued inflow of client assets to
the PIMCO Funds which, when combined with market appreciation,
have pushed total assets over the $15 billion mark. Assets
invested in the PIMCO Total Return Fund alone exceed $9
billion, making it the second largest taxable fixed income fund
in the nation.
During the past six months, we made the following changes to
the PIMCO Funds for the benefit of shareholders:
[ ] Two new investment portfolios were added to the PIMCO Funds
series: the PIMCO Total Return Fund II and the PIMCO Money
Market Fund. The PIMCO Total Return Fund II is similar to
the PIMCO Total Return Fund except that it does not allow
investments in foreign currency-denominated securities or
securities rated less than investment grade. The PIMCO
Money Market Fund offers investors current income and seeks
to maintain a stable net asset value.
[ ] Shareholders may now freely exchange shares among the 26
institutional funds offered by both the PIMCO Funds and our
affiliated equity fund family, the PIMCO Advisors
Institutional Funds (You should already have received
prospectuses for both fund groups. Please let us know if
you would like to receive additional copies.).
[ ] This new exchange privilege was made possible through a
recent consolidation of the shareholder services and
operations groups of our two institutional fund families.
The groups were combined to more effectively meet the
accounting, reporting and servicing needs of both fund
families and their shareholders.
Thank you for your continued investment in the PIMCO Funds.
Please call us at (800) 927-4648 should you have any questions
or if we can be of any other assistance.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
November 2, 1995
1
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS
Fund Performance
In the PIMCO Funds' March 31, 1995 Annual Report, we commented
that fixed income markets had staged a remarkable comeback
since 1994, which turned out to be the worst twelve month
period for bonds in more than 50 years. We are pleased to be
able to report that both fixed income and equity markets have
continued to rally this year, extending performance gains in
the Funds. And, as the following table shows, all of the PIMCO
Funds have outperformed their respective mutual fund peer
averages for the twelve-month period ended September 30, 1995
(competitive fund data shown as compiled by Lipper Analytical
Services, Inc., a leading source of mutual fund performance
rankings):
<TABLE>
<CAPTION>
Total Return Investment Performance
(Periods ended 09/30/95)
six months twelve months
---------------------------------------------------------
PIMCO PIMCO Competitive
Category & Fund* Funds Funds Fund Average Difference
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Intermediate Investment Grade Debt Funds (144 Funds)
PIMCO Total Return Fund 7.94% 13.38% 12.15% 1.23%
------------------------------------------------------------------------------------------------------------
PIMCO Total Return Fund III 7.43 13.33 12.15 1.18
------------------------------------------------------------------------------------------------------------
Short Investment Grade Debt Funds (136 Funds)
PIMCO Low Duration Fund 5.75 8.49 7.95 0.54
------------------------------------------------------------------------------------------------------------
PIMCO Low Duration Fund II 4.47 9.21 7.95 1.26
------------------------------------------------------------------------------------------------------------
Ultra Short Obligations Funds (18 Funds)
PIMCO Short-Term Fund 4.64 7.35 6.18 1.17
------------------------------------------------------------------------------------------------------------
General U.S. Government Funds (164 Funds)
PIMCO Long-Term U.S. Government Fund 13.71 23.74 12.74 11.00
------------------------------------------------------------------------------------------------------------
General World Income Funds (127 Funds)
PIMCO Foreign Fund 11.47 14.41 11.74 2.67
------------------------------------------------------------------------------------------------------------
PIMCO Global Fund 6.23 15.73 11.74 3.99
------------------------------------------------------------------------------------------------------------
High Current Yield Funds (108 Funds)
PIMCO High Yield Fund 9.77 16.55 11.76 4.79
------------------------------------------------------------------------------------------------------------
Capital Appreciation Funds (175 Funds)
PIMCO Growth Stock Fund 17.44 25.50 25.22 0.28
------------------------------------------------------------------------------------------------------------
Growth and Income Funds (473 Funds)
PIMCO StocksPLUS Fund 19.42 31.43 23.08 8.35
------------------------------------------------------------------------------------------------------------
</TABLE>
* as categorized by Lipper Analytical Services, Inc.
Several PIMCO Funds also received top marks from Morningstar
Inc.**, the widely recognized mutual fund rating service. Each
of the PIMCO TOTAL RETURN, TOTAL RETURN III, LOW DURATION, LOW
DURATION II and LONG-TERM U.S. GOVERNMENT FUNDS have been
awarded the coveted 5-STAR RATING by Morningstar (the highest
rating), while the SHORT-TERM and GROWTH STOCK FUNDS earned a
4- and 3-STAR RATING, respectively (the other PIMCO Funds have
not been rated by Morningstar, which requires a fund to be in
operation for at least three years prior to receiving a
rating).
** Source: Morningstar, Inc. 9/30/95. Morningstar proprietary
ratings reflect historical risk-adjusted performance and are
subject to change monthly. The ratings are calculated from a
fund's 3- and 5-year average annual returns in excess of 90-
day treasury bill returns with appropriate fee adjustments
and a risk factor that reflects fund performance below 90-
day T-bill returns. 10% of the funds in an investment
category receive 5 stars, 22.5% receive 4 stars, and 35%
receive 3 stars. For the 3- and 5-year periods ended
September 30, 1995, the Funds' ratings were: Total Return,
5-star/5-star; Total Return III 5-star/N/A; Low Duration, 5-
star/5-star; Low Duration II, 5-star/N/A; Long-Term U.S.
Government, 5-star/N/A; Short-Term 4-star/4-star; and Growth
Stock 3-star/3-star. There were 541 and 371 bond funds rated
for these periods, respectively, and 821 and 654 equity
funds rated for these same periods, respectively.
2
<PAGE>
Investment Strategy
While a combination of many factors contributed to recent Fund
performance, the chief catalyst was our decision to extend the
Funds' average durations. Early in the second quarter, we
correctly forecast that slowing economic growth and low
inflation would begin to send bond yields lower and bond prices
higher. By mid-May, we had lengthened durations in most Funds
to levels from one-half to a full year above their comparative
market indices. This strategy was employed in all but the
Short-Term and StocksPLUS Funds, where a flat short-term yield
curve appeared unlikely to reward longer durations. The
following graph depicts the downward shift and flattening of
the Treasury yield curve that occurred over the past six- and
twelve-month periods:
[GRAPH OF TREASURY YIELD CURVE APPEARS HERE]
LINE GRAPH DEPICTS THE DECLINE IN YIELDS ON TREASURY
SECURITIES FROM SEPTEMBER 1994 TO SEPTEMBER 1995.
---------------------------------------------------------------
For those Funds whose investment guidelines permit foreign
investments, performance also benefited from investment
strategies implemented in response to our positive outlook for
European bonds, particularly German, Finnish and other German-
bloc issues. We began increasing allocations to these countries
during the second quarter. Initially, these positions
underperformed U.S. bonds, as concerns about inflation and
money supply growth kept German and other closely tied interest
rates stable, while the U.S. market rallied aggressively. In
the third quarter, however, low inflation, slowing economic
growth, central bank easing and a favorable environment for
currency hedging all combined for a positive impact on
performance.
3
<PAGE>
MANAGEMENT DISCUSSION AND ANALYSIS (Cont.)
Investment Process and Outlook
This past May, PIMCO convened its annual Secular Forum to
consider the overarching trends that will significantly impact
economic growth and inflation over the next 3-5 years.
Following three intensive days of presentation, analysis, and
discussion, PIMCO's investment professionals identified the
following four major secular themes which are expected to
dominate the world's fixed income markets for the next several
years:
[ ] The globalization of trade, which dramatically increases
access to cheap labor and low cost goods around the world;
[ ] The power of international capital markets to force more
responsible fiscal and monetary policies upon governments;
[ ] A demographic shift in the developed world from young,
high-consumption age groups toward older high-savers; and
[ ] Rapid investment in productivity enhancing technologies.
After considering the expected impact of these and other
factors on inflation and economic growth, PIMCO SHIFTED ITS
LONG-TERM OUTLOOK ON INTEREST RATES FROM NEUTRAL TO POSITIVE.
This shift reflects the adjustment of our long-term interest
rate forecast downward from a range of 6-8% to the more bullish
range of 5-7%.
===============================================================
30 Year Treasury Yields
===============================================================
[GRAPH APPEARS HERE]
LINE GRAPH DEPICTS THE YIELD ON THE 30 YEAR TREASURY BOND
FROM 1979 TO 1995 AND A PROJECTED YIELD BETWEEN 7% AND 5%
FOR THE PERIOD 1996 TO 1999.
---------------------------------------------------------------
---------------------------------------------------------------
The globalization of trade and the punishing effects of
international capital markets on high interest/high inflation
economies have spawned a trend toward disinflation. While
Japan's recessionary woes are the starkest example, most of the
major and many of the minor economies of the world have begun
to experience economic slowing and an accompanying abatement of
inflationary pressures. While 1994 was generally marked by
central bank tightening, most central bank authorities in 1995
have reduced short-term lending rates in recognition of muted
inflationary pressures. Furthermore, in countries like the
United States, where Fed easing has been minimal, market forces
have nevertheless flattened the yield curve substantially in
anticipation that further rate reductions will be necessary to
avoid a recession.
4
<PAGE>
In addition to fueling the present global bond rally, low
inflation and declining interest rates have also benefited
domestic equities by keeping the cost of capital investment
manageable and wage pressures at bay. Profitability gains from
corporate downsizing and continuing capital investment have
helped equities to reach new heights (although at levels we do
not believe are sustainable).
At our latest quarterly Economics Forum, PIMCO's investment
professionals met to evaluate the near-term cyclical forces
impacting fixed income markets. At this meeting, we agreed that
such forces (including high consumer debt levels, weak long-
term wage gains, and softening auto sales) support our long-
term secular outlook for lower interest rates.
Overall, we are optimistic regarding fixed income returns.
Looking forward, we intend to remain true to our cyclical and
secular outlooks for declining interest rates by maintaining
above-index durations in the fixed income Funds. In the U.S.
market, long-term corporate exposure will be reduced in favor
of less risky Treasury holdings, reflecting our belief that
historically narrow corporate spreads will widen to more normal
late-cycle levels in the coming months. Portfolio allocations
to mortgage securities will remain an important sector strategy
as the typical fourth quarter decline in refinancing activity
and the Fed's reluctance to significantly reduce short-term
rates should serve to support both durations and spreads. On
the foreign front, we remain bullish on intermediate and long-
term German, Finnish and other German-bloc bonds, reflecting
our outlook for central bank easing and flattening yield
curves. In addition, we see opportunities for increased
allocations to the Canadian market, which we expect to perform
well as separation anxieties subside.
5
<PAGE>
INVESTMENT PERFORMANCE
Performance Graphs and Tables
Another look at investment performance may be found in the
following graphs and tables, which show the investment
performance of the PIMCO Funds' Institutional Class as
compared to the performance of a representative market index:
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/87)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund
Inst'l Class (%) 13.38 7.53 11.32 10.21
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 9.65 9.42
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (9/94)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund
Admin Class (%) 13.11 n/a n/a 13.11
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 n/a n/a 14.06
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN LBAG
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,030,745.18 1,043,430.28
12/31/88 1,127,426.29 1,125,714.10
12/31/89 1,288,016.57 1,289,275.51
12/31/90 1,391,670.78 1,404,797.46
12/31/91 1,663,829.39 1,629,609.19
12/31/92 1,825,855.68 1,750,227.21
12/31/93 2,054,300.21 1,920,864.71
12/31/94 1,980,883.43 1,864,840.30
09/30/95 2,248,870.96 2,119,059.98
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1987 and
held through September 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The
performance of the Administrative Class (shown at left)
reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/91)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Total Return
Fund III (%) 13.33 7.82 n/a 10.13
- -----------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 n/a 8.79
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOTAL RET III LBAG
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
04/30/91 1,000,000.00 1,000,000.00
12/31/91 1,137,502.41 1,116,311.65
12/31/92 1,240,189.38 1,198,937.16
12/31/93 1,396,936.94 1,315,826.92
12/31/94 1,349,037.54 1,277,449.19
09/30/95 1,532,332.73 1,451,594.25
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1991 and
held through September 1995, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index.
6
<PAGE>
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (5/87)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration Fund
Inst'l Class (%) 8.49 5.98 8.18 8.52
- -----------------------------------------------------
Merrill Lynch
Index (%) 8.28 4.77 7.08 7.63
- -----------------------------------------------------
<CAPTION>
Cumulative Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (1/95)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration Fund
Admin Class (%) n/a n/a n/a 8.26
- ----------------------------------------------------
Merrill Lynch
Index (%) n/a n/a n/a 9.19
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LOW DURATION MERRILL 1-3
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/87 1,000,000.00 1,000,000.00
12/31/87 1,044,478.09 1,047,984.76
12/31/88 1,130,408.56 1,113,174.49
12/31/89 1,261,510.71 1,234,771.63
12/31/90 1,375,736.40 1,354,820.12
12/31/91 1,560,925.88 1,513,055.27
12/31/92 1,680,926.86 1,608,398.67
12/31/93 1,811,269.22 1,695,419.33
12/31/94 1,822,760.28 1,705,049.92
09/30/95 1,978,069.01 1,846,139.37
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1987 and
held through September 1995, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance
of the Administrative Class (shown at left) reflects the
payment of a service fee in an amount not to exceed 0.25% on an
annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (11/91)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
Low Duration
Fund II (%) 9.21 5.36 n/a 6.27
- -----------------------------------------------------
Merrill Lynch
Index (%) 8.28 4.77 n/a 5.90
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LOW DUR II MERRILL 1-3
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
10/31/91 1,000,000.00 1,000,000.00
12/31/91 1,030,157.63 1,025,788.25
12/31/92 1,094,356.61 1,090,427.09
12/31/93 1,166,344.05 1,149,423.47
12/31/94 1,170,070.79 1,155,952.61
09/30/95 1,269,204.09 1,251,605.36
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in November 1991
and held through September 1995, compared to the Merrill Lynch
1-3 Year Treasury Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ---------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (10/87)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Short-Term
Fund (%) 7.35 4.85 5.34 6.42
- ----------------------------------------------------
Lipper MM
Index (%) 5.37 3.78 4.36 5.58
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM LIPPER
MONTH UNIT MONEY MARKET
VALUE
=====================================================
<S> <C> <C>
10/31/87 1,000,000.00 1,000,000.00
12/31/87 1,012,023.74 1,011,406.84
12/31/88 1,088,755.81 1,084,179.20
12/31/89 1,191,539.60 1,181,286.16
12/31/90 1,292,428.29 1,275,252.11
12/31/91 1,378,445.50 1,349,545.38
12/31/92 1,428,417.71 1,396,131.59
12/31/93 1,494,453.55 1,434,088.28
12/31/94 1,537,715.13 1,487,650.85
09/30/95 1,636,775.05 1,549,313.94
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in October 1987 and
held through September 1995, compared to the Lipper Money
Market Index, an index consisting of the 30 largest equal
weighted Money Market Funds. Whereas money market funds attempt
to maintain a stable share price, the Short-Term Fund's share
price will fluctuate in response to market conditions.
7
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ------------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (7/91)
- ------------------------------------------------------
<S> <C> <C> <C> <C>
Long-Term U.S.
Gov't Fund (%) 23.74 10.68 n/a 14.43
- ------------------------------------------------------
Lehman Blended
Treasury Index (%) 22.54 9.45 n/a 11.89
- ------------------------------------------------------
Lehman Aggregate
Bond Index (%) 14.06 6.68 n/a 9.02
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
LONG-TERM GOV LEHMAN INT LBAG
MONTH UNIT &
VALUE 20+ YR TREAS
==========================================================
<S> <C> <C> <C>
06/30/91 1,000,000.00 1,000,000.00 1,000,000.00
12/31/91 1,181,839.72 1,154,987.78 1,110,386.16
12/31/92 1,322,838.26 1,244,270.52 1,192,573.10
12/31/93 1,568,556.86 1,450,540.54 1,308,842.39
12/31/94 1,452,653.13 1,341,134.05 1,270,668.38
09/30/95 1,774,232.62 1,612,750.71 1,443,889.06
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in July 1991 and
held through September 1995, compared to a 10 year duration
blend of the Lehman Brothers Intermediate and 20+ Yr. Treasury
Indices and the Lehman Brothers Aggregate Bond Index, each
unmanaged market indices.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (12/92)
- ------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Fund (%) 14.41 4.55 n/a 7.50
- ------------------------------------------------------
J.P. Morgan
Non-U.S. Index (%) 15.15 5.87 n/a 7.69
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOREIGN JP MORGAN
MONTH UNIT NON-U.S.
VALUE
=======================================================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,164,013.44 1,139,019.60
12/31/94 1,079,026.38 1,081,273.43
09/30/95 1,219,821.99 1,225,802.35
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in December 1992
and held through September 1995, compared to the J.P. Morgan
Non-U.S. Government Bond Index (Hedged), an unmanaged market
index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (11/93)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Global Fund (%) 15.73 n/a n/a 8.84
J.P. Morgan
- ----------------------------------------------------
Global Index (%) 15.93 n/a n/a 9.48
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL JP MORGAN
MONTH UNIT GLOBAL
VALUE
=======================================================
<S> <C> <C>
11/30/93 1,000,000.00 1,000,000.00
12/31/93 1,031,870.81 1,010,200.20
12/31/94 1,014,310.85 1,022,933.14
09/30/95 1,167,935.64 1,180,587.20
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in November 1993
and held through September 1995, compared to the J.P. Morgan
Global Index, an unmanaged market index.
8
<PAGE>
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- -----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (12/92)
- -----------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Fund
Inst'l Class (%) 16.55 11.13 n/a 13.16
- -----------------------------------------------------
Lehman BB Corp.
Index (%) 15.03 8.95 10.87
- -----------------------------------------------------
<CAPTION>
Cumulative Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (1/95)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Fund
Admin Class (%) n/a n/a n/a 14.35
- ----------------------------------------------------
Lehman BB Corp.
Index (%) n/a n/a n/a 9.69
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD LEHMAN BB
MONTH UNIT INT CORP
VALUE
=====================================================
<S> <C> <C>
12/31/92 1,000,000.00 1,000,000.00
12/31/93 1,187,025.82 1,146,545.45
12/31/94 1,215,478.79 1,156,314.50
09/30/95 1,404,508.56 1,327,950.86
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in December 1992
and held through September 1995, compared to the Lehman
Brothers BB Intermediate Corporate Index, an unmanaged market
index. The performance of the Administrative Class (shown at
left) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 3 Yr. 5 Yr. (6/87)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
Growth Stock
Fund (%) 25.50 13.36 15.93 10.21
- ----------------------------------------------------
S&P/BARRA
Index (%) 31.69 13.38 17.03 11.70
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH STOCK S&P/BARRA
MONTH UNIT GROWTH
VALUE
=====================================================
<S> <C> <C>
06/30/87 1,000,000.00 1,000,000.00
12/31/87 821,597.69 818,050.56
12/31/88 930,476.25 915,768.36
12/31/89 1,169,864.77 1,248,847.34
12/31/90 1,166,776.31 1,251,186.20
12/31/91 1,597,738.06 1,731,134.19
12/31/92 1,660,262.82 1,820,142.55
12/31/93 1,759,283.20 1,848,843.59
12/31/94 1,786,067.30 1,906,839.94
09/30/95 2,231,904.79 2,493,963.88
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in June 1987 and
held through September 1995, compared to the Standard &
Poor's/BARRA Growth Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 9/30/95
- ----------------------------------------------------
Since
Inception
1 Yr. 2 Yr. 5 Yr. (5/93)
- ----------------------------------------------------
<S> <C> <C> <C> <C>
StocksPLUS
Fund (%) 31.43 18.10 n/a 16.86
- ----------------------------------------------------
S&P 500
Index (%) 29.74 15.99 n/a 14.94
- ----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
STOCKSPLUS S&P 500
MONTH UNIT
VALUE
=====================================================
<S> <C> <C>
05/31/93 1,000,000.00 1,000,000.00
12/31/93 1,061,284.22 1,052,698.39
12/31/94 1,092,245.04 1,066,604.35
09/30/95 1,438,769.63 1,384,080.51
</TABLE>
---------------------------------------------------------------
The line graph depicts the value of $1,000,000 invested at the
inception of the Fund's Institutional Class in May 1993 and
held through September 1995, compared to the Standard & Poor's
500 Index, an unmanaged market index.
9
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Total Return Total Return III Low Duration Low Duration II
Amounts in thousands, except per share amounts
Assets:
<S> <C> <C> <C> <C>
Investments, at value $10,140,684 $ 128,497 $ 3,013,491 $ 223,712
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Cash and foreign currency 14,479 80 0 2
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable from brokers for securities sold short 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable for investments and foreign currency sold 785,380 14,432 7,605 298
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable for Fund shares sold 8,090 13 3,148 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Receivable from advisor 0 12 0 7
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Variation margin receivable 26,106 335 365 246
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Interest and dividends receivable 135,879 1,790 33,895 1,580
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Other assets 54 3 17 3
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
11,110,672 145,162 3,058,521 225,848
======================================================= ================= ================= ================= =================
Liabilities:
Payable for investments and foreign currency purchased 1,853,121 29,074 610,036 31,160
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Written options outstanding 3,296 104 356 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Payable for Fund shares redeemed 12,856 116 8,107 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Dividends payable 10,877 31 2,207 56
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued investment advisor's fee 2,115 32 621 36
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued administrator's fee 863 11 352 17
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Payable to advisor 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accrued distribution fee 11 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Variation margin payable 0 0 0 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Other accrued expenses and liabilities 42,705 77 701 46
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
1,925,844 29,445 622,380 31,315
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net Assets $ 9,184,828 $ 115,717 $ 2,436,141 $ 194,533
======================================================= ================= ================= ================= =================
Net Assets Consist of:
Paid in capital $ 9,106,819 $ 115,386 $ 2,459,472 $ 197,432
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Undistributed (overdistributed) net investment income (85,214) (1,214) 40 (1,082)
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Accumulated undistributed net realized gain (loss) 109,903 1,705 (22,536) (1,782)
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net unrealized appreciation (depreciation) 53,320 (160) (835) (35)
======================================================= ================= ================= ================= =================
$ 9,184,828 $ 115,717 $ 2,436,141 $ 194,533
======================================================= ================= ================= ================= =================
Shares Issued and Outstanding
Institutional Class 873,639 12,407 244,319 19,711
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Administrative Class 5,632 0 109 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.45 $ 9.33 $ 9.97 $ 9.87
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Administrative Class 10.44 0 9.97 0
- ------------------------------------------------------- ----------------- ----------------- ----------------- -----------------
Cost of Investments Owned 10,093,638 128,602 3,015,300 223,804
======================================================= ================= ================= ================= =================
Cost of Foreign Currency Held 14,243 78 0 0
======================================================= ================= ================= ================= =================
</TABLE>
See Notes to Financial Statements
10
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995 (unaudited) (Continued)
<TABLE>
<CAPTION>
Short-Term Long-Term Foreign Global
Amounts in thousands, except per share amounts U.S. Gov't
Assets:
<S> <C> <C> <C> <C>
Investments, at value $ 103,994 $ 45,502 $ 391,262 $ 136,569
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Cash and foreign currency 9 1 1,178 169
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable from brokers for securities sold short 0 0 73,594 16,666
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for investments and foreign currency sold 2,511 529 211,184 95,431
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for Fund shares sold 1,252 1 179 1,009
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable from advisor 0 1 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin receivable 0 419 77 6
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Interest and dividends receivable 1,312 218 8,842 2,313
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Other assets 8 2 18 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
109,086 46,673 686,334 252,163
======================================================= ============= ============= ============= =============
Liabilities:
Payable for investments and foreign currency purchased 14,439 2,003 378,345 137,216
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 72,537 16,568
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Written options outstanding 38 94 441 74
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for Fund shares redeemed 273 19 71 76
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Dividends payable 141 122 139 38
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued investment advisor's fee 25 12 103 27
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued administrator's fee 10 3 0 8
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Payable to advisor 15 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued distribution fee 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin payable 0 0 468 42
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Other accrued expenses and liabilities 71 23 934 41
- ------------------------------------------------------- ------------- ------------- ------------- -------------
15,012 2,276 453,038 154,090
======================================================= ============= ============= ============= =============
Net Assets $ 94,074 $ 44,397 $ 233,296 $ 98,073
======================================================= ============= ============= ============= =============
Net Assets Consist of:
Paid in capital $ 95,228 $ 42,247 $ 242,648 $ 95,554
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Undistributed (overdistributed) net investment income (262) (123) (5,997) 1,197
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Accumulated undistributed net realized gain (loss) (417) 1,238 (7,003) (520)
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Net unrealized appreciation (depreciation) (475) 1,035 3,648 1,842
- ------------------------------------------------------- ------------- ------------- ------------- -------------
$ 94,074 $ 44,397 $ 233,296 $ 98,073
======================================================= ============= ============= ============= =============
Shares Issued and Outstanding
Institutional Class 9,522 4,099 23,096 9,652
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Administrative Class 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.88 $ 10.83 $ 10.10 $ 10.16
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Administrative Class 0 0 0 0
- ------------------------------------------------------- ------------- ------------- ------------- -------------
Cost of Investments Owned 104,343 44,746 384,735 134,165
======================================================= ============= ============= ============= =============
Cost of Foreign Currency Held 9 0 1,174 167
======================================================= ============= ============= ============= =============
<CAPTION>
High Yield Growth Stock StocksPLUS
Amounts in thousands, except per share amounts
Assets:
<S> <C> <C> <C>
Investments, at value $ 469,223 $ 11,160 $ 75,953
- ------------------------------------------------------- ------------- ------------ -------------
Cash and foreign currency 0 0 7
- ------------------------------------------------------- ------------- ------------- -------------
Receivable from brokers for securities sold short 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Receivable for investments and foreign currency sold 13,818 397 1,599
- ------------------------------------------------------- ------------- ------------- -------------
Receivable for Fund shares sold 248 0 32
- ------------------------------------------------------- ------------- ------------- -------------
Receivable from advisor 0 2 42
- ------------------------------------------------------- ------------- ------------- -------------
Variation margin receivable 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Interest and dividends receivable 10,431 15 816
- ------------------------------------------------------- ------------- ------------- -------------
Other assets 7 0 1,221
- ------------------------------------------------------- ------------- ------------- -------------
493,727 11,574 79,670
======================================================= ============= ============= =============
Liabilities:
Payable for investments and foreign currency purchased 22,572 369 5,816
- ------------------------------------------------------- ------------- ------------- -------------
Securities sold short (Proceeds: $72,174 and $16,509 for
Foreign and Global Funds, respectively.) 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Written options outstanding 21 0 24
- ------------------------------------------------------- ------------- ------------- -------------
Payable for Fund shares redeemed 175 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Dividends payable 118 0 4
- ------------------------------------------------------- ------------- ------------- -------------
Accrued investment advisor's fee 136 4 29
- ------------------------------------------------------- ------------- ------------- -------------
Accrued administrator's fee 45 1 7
- ------------------------------------------------------- ------------- ------------- -------------
Payable to advisor 5 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Accrued distribution fee 0 0 0
- ------------------------------------------------------- ------------- ------------- -------------
Variation margin payable 0 0 63
- ------------------------------------------------------- ------------- ------------- -------------
Other accrued expenses and liabilities 114 20 40
- ------------------------------------------------------- ------------- ------------- -------------
23,186 394 5,983
- ------------------------------------------------------- ------------- ------------- -------------
Net Assets $ 470,541 $ 11,180 $ 73,687
======================================================= ============= ============= =============
Net Assets Consist of:
Paid in capital $ 458,730 $ 7,118 $ 63,635
- ------------------------------------------------------- ------------- ------------- -------------
Undistributed (overdistributed) net investment income 1,531 0 4,281
- ------------------------------------------------------- ----------- ------------- -------------
Accumulated undistributed net realized gain (loss) 161 1,893 4,911
- ------------------------------------------------------- ----------- ------------- -------------
Net unrealized appreciation (depreciation) 10,119 2,169 860
- ------------------------------------------------------- ----------- ------------- -------------
$ 470,541 $ 11,180 $ 73,687
======================================================= =========== ============= =============
Shares Issued and Outstanding
Institutional Class 43,126 698 6,111
- ------------------------------------------------------- ----------- ------------- -------------
Administrative Class 3 0 0
- ------------------------------------------------------- ----------- ------------- -------------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.91 $ 16.01 $ 12.06
- ------------------------------------------------------- ----------- ------------- -------------
Administrative Class 10.91 0 0
- ------------------------------------------------------- ----------- ------------- -------------
Cost of Investments Owned 459,104 8,991 75,778
======================================================= =========== ============= =============
Cost of Foreign Currency Held 0 0 7
======================================================= =========== ============= =============
</TABLE>
11
<PAGE>
STATEMENT OF OPERATIONS
For the six months ended September 30, 1995 (unaudited)
$ in thousands
<TABLE>
<CAPTION>
Total Return Total Return III Low Duration Low Duration II
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 303,255 $ 4,119 $ 89,391 $ 7,023
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Dividends 350 0 297 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Total income 303,605 4,119 89,688 7,023
==================================================== ================== ================== ================== ==================
Expenses:
Investment advisory fees 10,371 165 3,073 280
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Administration fees 4,154 55 1,220 98
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Custodian and transfer agent fees 1,326 25 343 29
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Registration fees 480 16 44 13
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Distribution fees - Administrative Class 47 0 1 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Audit fees 61 9 38 13
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Legal fees 83 2 32 2
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Trustees' fees 13 0 7 1
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Amortization of organization costs 0 0 0 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Miscellaneous 243 8 94 7
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Reimbursement to (from) advisor and administrator 0 (2) 0 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Total Expenses 16,778 278 4,852 443
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Fees paid indirectly (77) (1) (23) (2)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net expenses 16,701 277 4,829 441
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net Investment Income 286,904 3,842 84,859 6,582
==================================================== ================== ================== ================== ==================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (23,070) (172) (9,453) (232)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net realized gain on futures contracts
and written options 194,249 2,430 9,669 1,101
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net realized gain (loss) on foreign
currency transactions 3,507 99 (1,161) 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
on investments 190,355 2,100 53,310 1,305
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options (25,184) (317) (943) (149)
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (8,804) (234) 254 0
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net gain 331,053 3,906 51,676 2,025
- ---------------------------------------------------- ------------------ ------------------ ------------------ ------------------
Net Increase in Assets
Resulting from Operations $ 617,957 $ 7,748 $ 136,535 $ 8,607
==================================================== ================== ================== ================== ==================
</TABLE>
See Notes to Financial Statements
12
<PAGE>
STATEMENT OF OPERATIONS
For the six months ended September 30, 1995 (unaudited) (Continued)
$ in thousands
<TABLE>
<CAPTION>
Short-Term Long-Term Foreign Global
U.S. Gov't
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 3,530 $ 1,322 $ 8,593 $ 2,968
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Dividends 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Total income 3,530 1,322 8,593 2,968
==================================================== ================ ================ ================ ================
Expenses:
Investment advisory fees 132 54 330 127
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Administration fees 45 18 118 43
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Custodian and transfer agent fees 25 12 109 41
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Registration fees 19 12 25 27
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Distribution fees - Administrative Class 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Audit fees 10 7 30 23
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Legal fees 2 1 1 1
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Trustees' fees 0 0 1 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Amortization of organization costs 0 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Miscellaneous 81 4 16 4
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Reimbursement to (from) advisor and administrator (13) (18) 0 22
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Total Expenses 301 90 630 288
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Fees paid indirectly (2) 0 (2) 0
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net expenses 299 90 628 288
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net Investment Income 3,231 1,232 7,965 2,680
==================================================== ================ ================ ================ ================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 91 573 4,414 1,481
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net realized gain on futures contracts
and written options 49 2,506 4,307 1,927
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net realized gain (loss) on foreign
currency transactions 58 0 4,635 (1,366)
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
on investments 849 491 5,919 1,976
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options 6 (93) (2,088) (643)
- ---------------------------------------------------- --------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 234 0 108 (967)
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net gain 819 3,477 17,295 2,408
- ---------------------------------------------------- ---------------- ---------------- ---------------- ----------------
Net Increase in Assets
Resulting from Operations $ 4,050 $ 4,709 $ 25,260 $ 5,088
==================================================== ================ ================ ================ ================
<CAPTION>
High Yield Growth Stock StocksPLUS
<S> <C> <C> <C>
Investment Income:
Interest $ 20,478 $ 4 $ 5,623
- ---------------------------------------------------- ---------------- ---------------- ----------------
Dividends 203 107 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Total income 20,681 111 5,623
==================================================== ================ ================ ================
Expenses:
Investment advisory fees 553 21 132
- ---------------------------------------------------- ---------------- ---------------- ----------------
Administration fees 208 7 30
- ---------------------------------------------------- ---------------- ---------------- ----------------
Custodian and transfer agent fees 62 9 24
- ---------------------------------------------------- ---------------- ---------------- ----------------
Registration fees 49 3 26
- ---------------------------------------------------- ---------------- ---------------- ----------------
Distribution fees - Administrative Class 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Audit fees 19 8 15
- ---------------------------------------------------- ---------------- ---------------- ----------------
Legal fees 4 0 1
- ---------------------------------------------------- ---------------- ---------------- ----------------
Trustees' fees 1 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Amortization of organization costs 0 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Miscellaneous 15 1 4
- ---------------------------------------------------- ---------------- ---------------- ----------------
Reimbursement to (from) advisor and administrator 0 (14) (34)
- ---------------------------------------------------- ---------------- ---------------- ----------------
Total Expenses 911 35 198
- ---------------------------------------------------- ---------------- ---------------- ----------------
Fees paid indirectly (10) 0 0
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net expenses 901 35 198
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net Investment Income 19,780 76 5,425
==================================================== ================ ================ ================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 4,149 1,569 126
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net realized gain on futures contracts
and written options 143 5 4,724
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net realized gain (loss) on foreign
currency transactions 0 0 39
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
on investments 13,739 610 166
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written
options (22) 0 (229)
- ---------------------------------------------------- ---------------- ---------------- -----------------
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 0 (17)
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net gain 18,009 2,184 4,809
- ---------------------------------------------------- ---------------- ---------------- ----------------
Net Increase in Assets
Resulting from Operations $ 37,789 $ 2,260 $ 10,234
==================================================== ================ ================ ================
</TABLE>
13
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
$ in thousands
Total Return Total Return III
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 286,904 $ 407,312 $ 3,842 $ 5,934
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net realized gain (loss) 174,686 (110,620) 2,357 (1,737)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 190,355 (77,343) 2,100 (850)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (25,184) 82,421 (317) 1,250
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (8,804) 1,525 (234) (73)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net increase (decrease) resulting from operations 617,957 303,295 7,748 4,524
=================================================== ===================================== =====================================
Distributions to Shareholders
From net investment income
Institutional Class (285,617) (347,782) (3,844) (5,003)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class (1,247) (126) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net investment income
Institutional Class 0 (30,707) 0 (147)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 (11) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Tax basis return of capital
Institutional Class 0 (13,786) 0 (784)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 0 (5) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Total Distributions (286,864) (392,417) (3,844) (5,934)
=================================================== ===================================== =====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 1,865,191 3,081,221 16,801 38,113
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 55,226 9,138 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Issued as reinvestment of distributions
Institutional Class 223,962 308,654 3,667 5,316
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class 1,241 142 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Cost of shares redeemed
Institutional Class (533,186) (1,069,020) (8,152) (40,044)
- --------------------------------------------------- ------------------------------------- -------------------------------------
Administrative Class (7,471) (401) 0 0
- --------------------------------------------------- ------------------------------------- -------------------------------------
Net increase (decrease) resulting
from Fund share transactions 1,604,963 2,329,734 12,316 3,385
- --------------------------------------------------- ------------------------------------- -------------------------------------
Total Increase (Decrease) in Net Assets 1,936,056 2,240,612 16,220 1,975
=================================================== ===================================== =====================================
Net Assets
Beginning of period 7,248,772 5,008,160 99,497 97,522
- --------------------------------------------------- ------------------------------------- -------------------------------------
End of period * $ 9,184,828 $ 7,248,772 $ 115,717 $ 99,497
- --------------------------------------------------- ------------------------------------- -------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (85,214) $ (85,253) $ (1,214) $ (1,212)
- --------------------------------------------------- ------------------------------------- -------------------------------------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
<TABLE>
<CAPTION>
$ in thousands
Low Duration Low Duration II
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 84,859 $ 146,094 $ 6,582 $ 9,951
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net realized gain (loss) (945) (36,670) 869 (2,550)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 53,310 (30,178) 1,305 (157)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (943) 2,234 (149) 320
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 254 (386) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting from operations 136,535 81,094 8,607 7,564
=================================================== ====================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (84,866) (125,715) (6,583) (9,191)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class (23) (10) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
In excess of net investment income
Institutional Class 0 0 0 (491)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
From net realized capital gains
Institutional Class 0 0 0 (4)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Tax basis return of capital
Institutional Class 0 (20,045) 0 (276)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 0 (2) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Total Distributions (84,889) (145,772) (6,583) (9,962)
=================================================== ====================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 635,842 1,378,441 56,282 77,909
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 707 768 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional Class 70,413 115,466 6,195 8,742
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class 28 12 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional Class (654,859) (1,395,445) (40,834) (54,798)
- --------------------------------------------------- -------------------------------------- --------------------------------------
Administrative Class (439) (16) 0 0
- --------------------------------------------------- -------------------------------------- --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 51,692 99,226 21,643 31,853
- --------------------------------------------------- -------------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 103,338 34,548 23,667 29,455
=================================================== ====================================== ======================================
Net Assets
Beginning of period 2,332,803 2,298,255 170,866 141,411
- --------------------------------------------------- -------------------------------------- --------------------------------------
End of period * $ 2,436,141 $ 2,332,803 $ 194,533 $ 170,866
- --------------------------------------------------- -------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 40 $ 71 $ (1,082) $ (1,081)
- --------------------------------------------------- -------------------------------------- --------------------------------------
<CAPTION>
$ in thousands
Short-Term
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended
September 30, 1995 March 31, 1995
(unaudited)
<S> <C> <C>
Operations
Net investment income $ 3,231 $ 7,250
- --------------------------------------------------- --------------------------------------
Net realized gain (loss) 198 (743)
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 849 (800)
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 6 93
- --------------------------------------------------- --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (234) 0
- --------------------------------------------------- --------------------------------------
Net increase (decrease) resulting from operations 4,050 5,800
=================================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (3,232) (7,075)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
In excess of net investment income
Institutional Class 0 (165)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
From net realized capital gains
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Tax basis return of capital
Institutional Class 0 0
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Total Distributions (3,232) (7,240)
=================================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 52,424 265,206
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,658 5,671
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Cost of shares redeemed
Institutional Class (51,940) (252,499)
- --------------------------------------------------- --------------------------------------
Administrative Class 0 0
- --------------------------------------------------- --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 3,142 18,378
- --------------------------------------------------- --------------------------------------
Total Increase (Decrease) in Net Assets 3,960 16,938
=================================================== ======================================
Net Assets
Beginning of period 90,114 73,176
- --------------------------------------------------- --------------------------------------
End of period * $ 94,074 $ 90,114
- --------------------------------------------------- --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (262) $ (261)
- --------------------------------------------------- --------------------------------------
</TABLE>
See Notes to Financial Statements
15
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
$ in thousands
Long-Term U.S. Government Foreign
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 1,232 $ 1,998 $ 7,965 $ 21,377
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net realized gain (loss) 3,079 (1,604) 13,356 (40,238)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 491 244 5,919 (184)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (93) 1,086 (2,088) 3,854
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 108 1,398
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net increase (decrease) resulting from operations 4,709 1,724 25,260 (13,793)
=================================================== ==================================== ======================================
Distributions to Shareholders
From net investment income
Institutional Class (1,232) (1,941) (7,965) 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
In excess of net investment income
Institutional Class 0 (57) 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 (20,915)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Total Distributions (1,232) (1,998) (7,965) (20,915)
=================================================== ==================================== ======================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 16,275 21,532 34,910 60,501
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Issued as reinvestment of distributions
Institutional Class 895 1,200 6,859 17,186
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Cost of shares redeemed
Institutional Class (8,599) (16,087) (58,468) (308,800)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ --------------------------------------
Net increase (decrease) resulting
from Fund share transactions 8,571 6,645 (16,699) (231,113)
- --------------------------------------------------- ------------------------------------ --------------------------------------
Total Increase (Decrease) in Net Assets 12,048 6,371 596 (265,821)
=================================================== ==================================== ======================================
Net Assets
Beginning of period 32,349 25,978 232,700 498,521
- --------------------------------------------------- ------------------------------------ --------------------------------------
End of period * $ 44,397 $ 32,349 $ 233,296 $ 232,700
- --------------------------------------------------- ------------------------------------ --------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ (123) $ (122) $ (5,997) $ (5,995)
- --------------------------------------------------- ------------------------------------ --------------------------------------
</TABLE>
16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
Global High Yield
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(unaudited) (unaudited)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 2,680 $ 3,239 $ 19,780 $ 28,015
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net realized gain (loss) 2,042 1,494 4,292 (4,049)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 1,976 525 13,739 2,745
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options (643) 692 (22) 22
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies (967) 603 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting from operations 5,088 6,553 37,789 26,733
=================================================== ==================================== ====================================
Distributions to Shareholders
From net investment income
Institutional Class (2,682) (3,206) (19,783) (28,199)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 (1)
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net investment income
Institutional Class 0 (2,548) 0 (530)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
From net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (49)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Distributions (2,682) (5,754) (19,783) (28,779)
=================================================== ==================================== ====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 19,417 43,231 132,181 220,498
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 39
- --------------------------------------------------- ------------------------------------ ------------------------------------
Issued as reinvestment of distributions
Institutional Class 2,429 5,606 18,484 27,208
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 2 1
- --------------------------------------------------- ------------------------------------ ------------------------------------
Cost of shares redeemed
Institutional Class (2,655) (13,645) (34,469) (129,324)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 (14) 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting
from Fund share transactions 19,191 35,192 116,184 118,421
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Increase (Decrease) in Net Assets 21,597 35,991 134,190 116,375
=================================================== ==================================== ====================================
Net Assets
Beginning of period 76,476 40,485 336,351 219,976
- --------------------------------------------------- ------------------------------------ ------------------------------------
End of period * $ 98,073 $ 76,476 $ 470,541 $ 336,351
- --------------------------------------------------- ------------------------------------ ------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 1,197 $ 1,199 $ 1,531 $ 1,534
- --------------------------------------------------- ------------------------------------ ------------------------------------
<CAPTION>
Growth Stock StocksPLUS
Increase (Decrease) in Net Assets from: Six Months Ended Year Ended Six Months Ended Year Ended
September 30, 1995 March 31, 1995 September 30, 1995 March 31, 1995
(Unaudited) (Unaudited)
Operations
Net investment income $ 76 $ 270 $ 5,425 $ 2,841
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net realized gain (loss) 1,574 938 4,889 858
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on investments 610 600 166 66
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts
and written options 0 27 (229) 1,397
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net change in unrealized appreciation
(depreciation) on translation of
assets and liabilities denominated
in foreign currencies 0 0 (17) 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting from operations 2,260 1,835 10,234 5,162
=================================================== ==================================== ====================================
Distributions to Shareholders
From net investment income
Institutional Class (76) (270) (2,320) (2,257)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net investment income
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
From net realized capital gains
Institutional Class 0 (1,056) 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Distributions (76) (1,326) (2,320) (2,257)
=================================================== ==================================== ====================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 143 954 28,945 28,147
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Issued as reinvestment of distributions
Institutional Class 75 1,314 2,311 2,257
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Cost of shares redeemed
Institutional Class (6,651) (9,861) (11,981) (1,136)
- --------------------------------------------------- ------------------------------------ ------------------------------------
Administrative Class 0 0 0 0
- --------------------------------------------------- ------------------------------------ ------------------------------------
Net increase (decrease) resulting
from Fund share transactions (6,433) (7,593) 19,275 29,268
- --------------------------------------------------- ------------------------------------ ------------------------------------
Total Increase (Decrease) in Net Assets (4,249) (7,084) 27,189 32,173
=================================================== ==================================== ====================================
Net Assets
Beginning of period 15,429 22,513 46,498 14,325
- --------------------------------------------------- ------------------------------------ ------------------------------------
End of period * $ 11,180 $ 15,429 $ 73,687 $ 46,498
- --------------------------------------------------- ------------------------------------ ------------------------------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 4,281 $ 1,176
- --------------------------------------------------- ------------------------------------ ------------------------------------
</TABLE>
17
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distribution
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
<S> <C> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 10.02 $ 0.38 $ 0.41 $ 0.79 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15) (0.30)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00 (0.31)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.15 0.86 0.60 1.46 (0.86) 0.00 (0.29)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.77 0.90 0.39 1.29 (0.90) 0.00 (0.01)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Administrative Class
09/30/95 (a) 10.01 0.38 0.39 0.77 (0.34) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Total Return Fund III
09/30/95 (a) $ 8.99 $ 0.33 $ 0.33 $ 0.66 $ (0.32) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.18 0.59 (0.16) 0.43 (0.52) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 9.81 0.59 (0.03) 0.56 (0.66) (0.12) (0.20)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.31 0.64 0.75 1.39 (0.64) 0.00 (1.25)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
05/01/91 - 03/31/92 10.00 0.63 0.58 1.21 (0.63) 0.00 (0.27)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 9.76 $ 0.34 $ 0.21 $ 0.55 $ (0.34) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03) (0.05)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00 (0.13)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.83 0.25 1.08 (0.82) 0.00 (0.08)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.89 0.89 0.12 1.01 (0.88) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Administrative Class
09/30/95 (a) 9.76 0.38 0.16 0.54 (0.33) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Low Duration Fund II
09/30/95 (a) $ 9.77 $ 0.34 $ 0.09 $ 0.43 $ (0.33) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.94 0.62 (0.16) 0.46 (0.58) (0.03) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.25 0.60 (0.28) 0.32 (0.58) 0.00 (0.05)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.04 0.63 0.25 0.88 (0.64) 0.00 (0.03)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
11/01/91 - 03/31/92 10.00 0.28 0.03 0.31 (0.27) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
Short-Term Fund
09/30/95 (a) $ 9.79 $ 0.36 $ 0.09 $ 0.45 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/95 9.92 0.56 (0.13) 0.43 (0.55) (0.01) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/92 10.02 0.55 0.00 0.55 (0.55) 0.00 (0.01)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
03/31/91 9.99 0.77 0.04 0.81 (0.78) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- -------------
</TABLE>
+ Annualized
(a) unaudited
(b) Ratio includes interest expense incurred due to temporary borrowing under
reverse repurchase agreements.
See Notes to Financial Statements
18
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Distributions Tax Basis Net Asset
in Excess of Return of Total Value End Total Return
Net Realized Capital Distributions of Period
Capital Gains
<S> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 10.45 7.94%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.02) (0.63) 10.02 4.22
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 (0.02) 0.00 (1.18) 10.25 4.55
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (1.07) 10.91 15.29
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (1.15) 10.46 14.90
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.91) 10.15 13.74
- --------------------------- ------------- ----------- ------------- ----------- ------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.34) 10.44 7.81
- --------------------------- ------------- ----------- ------------- ----------- ------------
09/07/94 - 03/31/95 0.00 (0.01) (0.36) 10.01 3.76
- --------------------------- ------------- ----------- ------------- ----------- ------------
Total Return Fund III
09/30/95 (a) $ 0.00 $ 0.00 $ (0.32) $ 9.33 7.43%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.08) (0.62) 8.99 4.92
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 (0.21) 0.00 (1.19) 9.18 5.64
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (1.89) 9.81 14.47
- --------------------------- ------------- ----------- ------------- ----------- ------------
05/01/91 - 03/31/92 0.00 0.00 (0.90) 10.31 13.61+
- --------------------------- ------------- ----------- ------------- ----------- ------------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.34) $ 9.97 5.75%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.09) (0.63) 9.76 3.60
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.72) 10.04 4.56
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.87) 10.30 9.91
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (0.90) 10.20 11.30
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.88) 10.02 10.60
- --------------------------- ------------- ----------- ------------- ----------- ------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.33) 9.97 5.59
- --------------------------- ------------- ----------- ------------- ----------- ------------
12/31/94 - 03/31/95 0.00 (0.02) (0.16) 9.76 2.53
- --------------------------- ------------- ----------- ------------- ----------- ------------
Low Duration Fund II
09/30/95 (a) $ 0.00 $ 0.00 $ (0.33) $ 9.87 4.47%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 (0.02) (0.63) 9.77 4.80
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.63) 9.94 3.15
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.67) 10.25 8.95
- --------------------------- ------------- ----------- ------------- ----------- ------------
11/01/91 - 03/31/92 0.00 0.00 (0.27) 10.04 7.72+
- --------------------------- ------------- ----------- ------------- ----------- ------------
Short-Term Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 9.88 4.64%
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/95 0.00 0.00 (0.56) 9.79 4.46
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/94 0.00 0.00 (0.47) 9.92 3.66
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/93 0.00 0.00 (0.37) 10.03 3.94
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/92 0.00 0.00 (0.56) 10.01 5.66
- --------------------------- ------------- ----------- ------------- ----------- ------------
03/31/91 0.00 0.00 (0.78) 10.02 8.44
- --------------------------- ------------- ----------- ------------- ----------- ------------
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Ratio of Net
Net Assets Ratio of Investment Portfolio
End of Period Expenses to Income to Turnover
(000's) Average Net Average Net Rate
Assets Assets
<S> <C> <C> <C> <C>
Total Return Fund
Institutional Class
09/30/95 (a) $ 9,126,049 0.40%+ 6.96%+ 104.35%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 7,239,735 0.41 6.72 98.48
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 5,008,160 0.41 6.27 176.74
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 3,155,441 0.43 7.07 89.95
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 1,813,935 0.46 8.18 110.46
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 975,619 0.49 9.10 98.68
- --------------------------- ------------- ----------- ------------ -----------
Administrative Class
09/30/95 (a) 58,779 0.68+ 6.86+ 104.35
- --------------------------- ------------- ----------- ------------ -----------
09/07/94 - 03/31/95 9,037 0.66+ 6.54+ 98.48
- --------------------------- ------------- ----------- ------------ -----------
Total Return Fund III
09/30/95 (a) $ 115,717 0.50%+ 7.04%+ 90.00%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 99,497 0.50 6.95 145.98
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 97,522 0.50 6.00 95.21
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 65,349 0.51 6.06 161.38
- --------------------------- ------------- ----------- ------------ -----------
05/01/91 - 03/31/92 47,908 0.60+ 6.75+ 521.14
- --------------------------- ------------- ----------- ------------ -----------
Low Duration Fund
Institutional Class
09/30/95 (a) $ 2,435,058 0.40%+ 7.02%+ 68.67%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 2,332,032 0.41 6.46 77.14
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 2,298,255 0.43 6.05 42.69
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 1,403,594 0.45 7.21 67.51
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 906,650 0.50 8.08 37.21
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 516,325 0.57 8.97 44.31
- --------------------------- ------------- ----------- ------------ -----------
Administrative Class
09/30/95 (a) 1,083 0.64+ 6.68+ 68.67
- --------------------------- ------------- ----------- ------------ -----------
12/31/94 - 03/31/95 771 0.66+ 6.93+ 77.14
- --------------------------- ------------- ----------- ------------ -----------
Low Duration Fund II
09/30/95 (a) $ 194,533 0.46%+ 6.86%+ 65.24%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 170,866 0.47 6.35 102.43
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 141,411 0.50 5.73 53.78
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 101,025 0.50 6.16 95.33
- --------------------------- ------------- ----------- ------------ -----------
11/01/91 - 03/31/92 31,027 0.51+ 6.80+ 12.57
- --------------------------- ------------- ----------- ------------ -----------
Short-Term Fund
09/30/95 (a) $ 94,074 0.68%+(b) 7.32%+ 93.46%
- --------------------------- ------------- ----------- ------------ -----------
03/31/95 90,114 0.50 5.67 79.30
- --------------------------- ------------- ----------- ------------ -----------
03/31/94 73,176 0.50 4.87 45.81
- --------------------------- ------------- ----------- ------------ -----------
03/31/93 46,905 0.50 3.67 54.50
- --------------------------- ------------- ----------- ------------ -----------
03/31/92 44,172 0.50 5.52 94.62
- --------------------------- ------------- ----------- ------------ -----------
03/31/91 44,820 0.50 7.83 115.26
- --------------------------- ------------- ----------- ------------ -----------
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for Net Asset Net Realized Total Income Dividends Dividends in Distributions
the Year or Period Ended: Value Net and Unrealized from from Net Excess of Net from Net
Beginning of Investment Gain (Loss) on Investment Investment Investment Realized
Period Income Investments Operations Income Income Capital Gains
<S> <C> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 9.85 $ 0.37 $ 0.97 $ 1.34 $ (0.36) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.96 0.60 (0.09) 0.51 (0.60) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04) (0.70)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00 (1.12)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
07/01/91 - 03/31/92 10.00 0.64 0.85 1.49 (0.64) 0.00 (0.03)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Foreign Fund
09/30/95 (a) $ 9.38 $ 0.31 $ 0.74 $ 1.05 $ (0.33) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 10.18 0.38 (0.57) (0.19) 0.00 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00 (0.06)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Global Fund
09/30/95 (a) $ 9.87 $ 0.29 $ 0.32 $ 0.61 $ (0.32) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.85 0.69 (0.14) 0.55 (0.29) (0.24) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
11/23/93 - 03/31/94 10.00 0.16 (0.15) 0.01 (0.16) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
High Yield Fund
Institutional Class
09/30/95 (a) $ 10.42 $ 0.51 $ 0.49 $ 1.00 $ (0.51) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 10.52 0.99 (0.12) 0.87 (0.93) (0.02) 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00 (0.07)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Administrative Class
09/30/95 (a) 10.41 0.53 0.47 1.00 (0.50) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
Growth Stock Fund
09/30/95 (a) $ 13.71 $ 0.09 $ 2.30 $ 2.39 $ (0.09) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 13.51 0.20 1.15 1.35 (0.20) 0.00 (0.95)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/94 14.35 0.19 (0.11) 0.08 (0.19) 0.00 (0.73)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/93 13.21 0.20 1.31 1.51 (0.20) 0.00 (0.17)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/92 11.93 0.23 1.28 1.51 (0.23) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/91 10.47 0.31 1.45 1.76 (0.30) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
StocksPLUS Fund
09/30/95 (a) $ 10.48 $ 0.87 $ 1.15 $ 2.02 $ (0.44) $ 0.00 $ 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
03/31/95 9.52 1.03 0.69 1.72 (0.76) 0.00 0.00
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
05/14/93 - 03/31/94 10.00 0.34 0.10 0.44 (0.34) (0.01) (0.10)
- --------------------------- ------------ ------------ -------------- ------------ ---------- ------------- ------------
</TABLE>
+ Annualized
(a) unaudited
See Notes to Financial Statements
20
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended: Distributions Tax Basis Total Net Asset
in Excess of Return of Distributions Value End of Total Return
Net Realized Capital Period
Capital Gains
<S> <C> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.36) $ 10.83 13.71 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.62) 9.85 5.50
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 (0.17) 0.00 (1.96) 9.96 4.13
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/93 0.00 0.00 (1.82) 11.36 23.42
- --------------------------- ------------- ----------- ------------- ------------ --------------
07/01/91 - 03/31/92 0.00 0.00 (0.67) 10.82 20.57 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Foreign Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.33) $ 10.10 11.47 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 (0.61) (0.61) 9.38 (1.85)
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 (0.37) 0.00 (0.98) 10.18 7.79
- --------------------------- ------------- ----------- ------------- ------------ --------------
12/03/92 - 03/31/93 0.00 0.00 (0.16) 10.34 16.23 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Global Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.32) $ 10.16 6.23 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.53) 9.87 10.35
- --------------------------- ------------- ----------- ------------- ------------ --------------
11/23/93 - 03/31/94 0.00 0.00 (0.16) 9.85 0.08
- --------------------------- ------------- ----------- ------------- ------------ --------------
High Yield Fund
Institutional Class
09/30/95 (a) $ 0.00 $ 0.00 $ (0.51) $ 10.91 9.77 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 (0.02) 0.00 (0.97) 10.42 8.81
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 0.00 0.00 (0.97) 10.52 10.65
- --------------------------- ------------- ----------- ------------- ------------ --------------
12/16/92 - 03/31/93 0.00 0.00 (0.24) 10.41 24.43 +
- --------------------------- ------------- ----------- ------------- ------------ --------------
Administrative Class
09/30/95 (a) 0.00 0.00 (0.50) 10.91 9.75
- --------------------------- ------------- ----------- ------------- ------------ --------------
01/16/95 - 03/31/95 0.00 0.00 (0.21) 10.41 4.66
- --------------------------- ------------- ----------- ------------- ------------ --------------
Growth Stock Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.09) $ 16.01 17.44 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (1.15) 13.71 10.65
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/94 0.00 0.00 (0.92) 13.51 (0.48)
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/93 0.00 0.00 (0.37) 14.35 11.51
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/92 0.00 0.00 (0.23) 13.21 12.87
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/91 0.00 0.00 (0.30) 11.93 17.14
- --------------------------- ------------- ----------- ------------- ------------ --------------
StocksPLUS Fund
09/30/95 (a) $ 0.00 $ 0.00 $ (0.44) $ 12.06 19.42 %
- --------------------------- ------------- ----------- ------------- ------------ --------------
03/31/95 0.00 0.00 (0.76) 10.48 18.64
- --------------------------- ------------- ----------- ------------- ------------ --------------
05/14/93 - 03/31/94 (0.47) 0.00 (0.92) 9.52 1.55
- --------------------------- ------------- ----------- ------------- ------------ --------------
<CAPTION>
Ratio of Net
Net Assets Ratio of Investment Portfolio
End of Period Expenses to Income to Turnover
(000's) Average Net Average Net Rate
Assets Assets
<S> <C> <C> <C> <C>
Long-Term U.S. Gov't Fund
09/30/95 (a) $ 44,397 0.50%+ 6.76%+ 67.41%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 32,349 0.50 6.62 88.92
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 25,978 0.50 5.37 97.67
- --------------------------- ------------- ----------- ------------ ---------
03/31/93 22,946 0.50 6.16 320.08
- --------------------------- ------------- ----------- ------------ ---------
07/01/91 - 03/31/92 15,900 0.50+ 7.91+ 427.81
- --------------------------- ------------- ----------- ------------ ---------
Foreign Fund
09/30/95 (a) $ 233,296 0.54%+ 6.87%+ 477.49%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 232,700 0.47 6.44 299.45
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 498,521 0.54 5.12 260.34
- --------------------------- ------------- ----------- ------------ ---------
12/03/92 - 03/31/93 178,895 0.65+ 4.97+ 122.55
- --------------------------- ------------- ----------- ------------ ---------
Global Fund
09/30/95 (a) $ 98,073 0.65%+ 6.27%+ 462.39%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 76,476 0.64 5.59 461.48
- --------------------------- ------------- ----------- ------------ ---------
11/23/93 - 03/31/94 40,485 0.50+ 4.55+ 132.41
- --------------------------- ------------- ----------- ------------ ---------
High Yield Fund
Institutional Class
09/30/95 (a) $ 470,510 0.44%+ 9.58%+ 35.92%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 336,310 0.48 9.37 77.60
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 219,976 0.50 8.40 112.40
- --------------------------- ------------- ----------- ------------ ---------
12/16/92 - 03/31/93 24,069 0.50+ 8.24+ 29.74
- --------------------------- ------------- ----------- ------------ ---------
Administrative Class
09/30/95 (a) 31 0.42+ 9.70+ 35.92
- --------------------------- ------------- ----------- ------------ ---------
01/16/95 - 03/31/95 41 0.73+ 10.12+ 77.60
- --------------------------- ------------- ----------- ------------ ---------
Growth Stock Fund
09/30/95 (a) $ 11,180 0.50%+ 1.08%+ 28.78%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 15,429 0.50 1.43 89.98
- --------------------------- ------------- ----------- ------------ ---------
03/31/94 22,513 0.50 1.39 81.36
- --------------------------- ------------- ----------- ------------ ---------
03/31/93 22,907 0.53 1.53 63.91
- --------------------------- ------------- ----------- ------------ ---------
03/31/92 15,590 0.60 2.02 64.63
- --------------------------- ------------- ----------- ------------ ---------
03/31/91 4,550 0.60 2.93 93.22
- --------------------------- ------------- ----------- ------------ ---------
StocksPLUS Fund
09/30/95 (a) $ 73,687 0.65%+ 18.76%+ 70.65%
- --------------------------- ------------- ----------- ------------ ---------
03/31/95 46,498 0.50 11.89 176.98
- --------------------------- ------------- ----------- ------------ ---------
05/14/93 - 03/31/94 14,330 0.50+ 4.00+ 33.29
- --------------------------- ------------- ----------- ------------ ---------
</TABLE>
21
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 28.9%
Other 3.9%
Foreign 8.6%
Short-Term Instruments 13.7%
Mortgage-Backed Securities 55.3%
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 28.9%
Banking and Finance - 13.1%
ABN - AMRO Bank
7.750% due 05/15/23 $ 200 $ 205
Associates Corp. of North America
4.500% due 02/15/96 250 249
6.875% due 01/15/97 1,000 1,008
6.125% due 02/01/98 300 300
8.800% due 08/01/98 400 426
AT&T Capital Corp.
6.300% due 07/30/96 17,500 17,545
6.990% due 10/04/96 5,000 5,047
Bancomer
8.000% due 07/07/98 3,000 2,741
8.000% due 07/07/98 4,000 3,655
Banesto
6.787% due 12/28/95 (d) 63,000 63,394
8.250% due 07/28/02 28,900 30,715
Bankers Trust
7.250% due 11/01/96 300 303
8.000% due 03/15/97 250 256
8.625% due 04/01/18 280 289
Banponce Corp.
8.170% due 12/09/96 25,000 25,522
6.438% due 03/19/97 (d) 25,000 25,044
8.040% due 11/24/97 9,000 9,260
9.600% due 10/16/98 250 271
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,345
Capital One Bank
6.206% due 12/05/95 (d) 20,000 19,999
6.250% due 07/11/96 (d) 12,000 11,997
Chemical Banking Corp.
6.125% due 11/01/08 400 369
Chrysler Financial Corp.
8.300% due 10/04/95 20,625 20,625
8.125% due 12/15/96 13,000 13,274
5.080% due 01/24/97 5,000 4,927
8.070% due 01/30/97 4,000 4,092
8.100% due 02/03/97 31,900 32,648
7.110% due 03/21/97 2,500 2,529
10.340% due 05/15/08 1,000 1,024
Citicorp
5.700% due 02/12/96 5,100 5,095
8.750% due 11/01/96 5,000 5,103
5.938% due 07/10/97 (d) 6,000 5,980
8.750% due 02/15/98 9,000 9,473
6.000% due 05/29/98 (d) 21,600 21,490
6.750% due 05/01/04 (d) 2,964 2,979
Continental Bank Corp.
9.875% due 06/15/96 6,000 6,139
Discover Credit Corp.
8.940% due 06/27/96 4,500 4,578
8.730% due 08/15/96 22,110 22,677
Dow Capital
8.250% due 02/15/96 12,250 12,345
European Investment Bank
13.000% due 08/31/96 82 87
Farmers Group, Inc.
8.250% due 07/15/96 500 507
First Chicago Corp.
8.200% due 11/15/96 5,000 5,115
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,367
6.188% due 06/25/97 (d) 5,000 5,008
8.875% due 01/01/09 420 438
9.125% due 01/01/09 29 30
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
First Security Bank
7.450% due 11/15/96 $ 34,000 $ 34,404
Ford Capital
9.125% due 04/08/96 3,250 3,297
Ford Motor Credit Corp.
7.050% due 06/17/96 (d) 200 200
8.875% due 08/01/96 21,600 22,079
4.850% due 08/30/96 85 84
7.875% due 01/15/97 1,000 1,019
9.350% due 05/14/97 1,000 1,049
5.940% due 11/09/98 17,080 16,928
General Electric Capital Corp.
5.250% due 11/15/95 525 525
8.670% due 12/15/95 1,000 1,005
8.300% due 09/20/09 150 172
General Motors Acceptance Corp.
7.500% due 10/15/95 47,135 47,153
4.600% due 10/18/95 1,000 1,000
6.000% due 11/27/95 19,000 19,015
4.750% due 12/01/95 23,000 22,950
7.300% due 12/18/95 1,500 1,506
4.875% due 01/11/96 40,000 39,889
8.750% due 02/01/96 12,000 12,102
8.650% due 04/12/96 3,000 3,042
6.050% due 04/19/96 60,000 60,044
6.750% due 05/20/96 30,000 30,146
6.700% due 05/20/96 5,000 5,023
7.750% due 07/18/96 5,000 5,065
5.930% due 07/19/96 (d) 5,000 5,004
8.250% due 08/01/96 2,000 2,034
6.250% due 08/30/96 (d) 19,500 19,506
6.363% due 10/15/96 (d) 36,000 36,090
7.875% due 11/05/96 250 255
8.000% due 12/05/96 15,000 15,309
7.750% due 12/10/96 1,000 1,018
7.875% due 02/27/97 2,000 2,044
7.625% due 02/28/97 5,000 5,095
7.875% due 03/04/97 250 256
7.250% due 03/14/97 15,000 15,213
6.700% due 04/15/97 4,100 4,129
7.250% due 05/19/97 7,500 7,618
7.125% due 05/23/97 1,000 1,014
7.100% due 07/01/97 1,700 1,723
7.850% due 11/17/97 1,000 1,031
9.625% due 12/15/01 300 341
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,158
Goldman Sachs
5.000% due 08/23/96 2,000 1,979
6.000% due 12/31/07 12,596 11,344
Great Western Bank
8.625% due 12/01/98 3,000 3,162
10.500% due 05/30/00 500 555
10.250% due 06/15/00 5,500 6,085
Heller Financial
6.450% due 02/15/97 1,625 1,628
Home Savings of America
10.500% due 06/12/97 14,550 14,817
Huntington Bank
7.750% due 07/19/96 50,000 50,675
Inter-American Development Bank
8.875% due 06/01/09 200 243
ITT Hartford
7.250% due 12/01/96 500 504
Japanese Finance Corp.
9.875% due 02/23/96 1,000 1,015
Manufacturer's Hanover Corp.
8.125% due 01/15/97 417 426
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
Maritrans Capital Corp.
9.250% due 04/01/07 $ 1,000 $ 922
Mellon Financial
6.125% due 11/15/95 20,000 20,003
Merrill Lynch & Co.
7.391% due 12/15/95 (d) 26,000 26,114
7.391% due 12/18/95 (d) 30,000 30,225
7.053% due 02/26/96 (d) 500 497
Morgan Guarantee
6.938% due 02/22/96 (d) 500 463
Morgan Stanley Group
7.790% due 02/03/97 21,000 21,395
Nationsbank Corp.
5.375% due 12/01/95 350 350
NCNB Corp.
8.500% due 11/01/96 1,000 1,022
10.500% due 03/15/99 5,000 5,093
Northern Trust
9.000% due 05/15/98 100 107
Norwest Financial, Inc.
7.250% due 11/01/95 600 601
4.970% due 10/29/96 300 296
6.500% due 11/15/97 1,500 1,509
Saferco
9.420% due 05/31/96 600 613
9.460% due 05/31/99 1,000 1,097
9.590% due 05/31/01 3,000 3,423
Salomon, Inc.
6.540% due 12/01/95 4,000 4,001
6.263% due 01/19/96 (d) 10,400 10,394
6.133% due 02/23/96 (d) 9,930 9,911
7.400% due 03/28/96 50,000 50,154
7.108% due 08/06/96 (d) 9,000 9,049
6.542% due 10/23/96 (d) 5,560 5,476
6.558% due 11/21/96 (d) 19,000 18,954
Security Pacific Corp.
5.746% due 08/15/96 (d) 4,500 4,478
6.267% due 03/25/18 (d) 215 210
Shearson Lehman
4.601% due 07/22/96 (d) 8,000 7,874
9.875% due 10/25/17 1,256 1,274
Signet Banking Corp.
6.000% due 05/15/97 (d) 1,000 1,005
6.063% due 04/15/98 (d) 1,000 1,008
9.625% due 06/01/99 6,500 7,071
Tenneco Credit Corp.
9.250% due 11/01/96 4,500 4,626
9.625% due 08/15/01 300 341
Transamerica Financial
5.511% due 04/20/99 (d) 500 487
USLife Corp.
6.750% due 01/15/98 100 101
Xerox Credit Corp.
6.250% due 01/15/96 150 150
10.125% due 04/15/99 1,500 1,530
-----------
1,202,262
Industrials - 12.1%
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,696
9.730% due 09/29/14 275 311
American Home Products
6.875% due 04/15/97 900 909
AMR Corp.
6.875% due 11/15/95 (d) 52,950 52,959
9.760% due 01/11/96 4,000 4,031
7.470% due 01/28/97 6,500 6,561
7.750% due 12/01/97 8,000 8,168
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
9.500% due 07/15/98 $ 5,500 $ 5,852
8.050% due 03/05/99 4,000 4,114
9.750% due 03/15/00 7,760 8,557
10.610% due 01/11/01 4,000 4,625
10.570% due 01/15/01 3,000 3,410
10.590% due 01/31/01 3,000 3,415
10.000% due 02/01/01 2,000 2,248
10.000% due 03/07/01 1,500 1,671
9.400% due 05/08/01 3,000 3,322
9.500% due 05/15/01 3,250 3,611
9.130% due 10/25/01 2,000 2,159
8.470% due 02/20/02 2,000 2,134
8.500% due 02/26/02 1,000 1,068
10.400% due 03/10/11 3,000 3,608
10.450% due 03/10/11 1,000 1,190
10.420% due 03/15/11 12,500 15,055
10.150% due 05/15/20 1,400 1,658
10.500% due 03/01/21 3,500 4,275
10.375% due 03/15/21 8,000 9,753
10.125% due 06/01/21 9,200 10,881
Apollo Computer, Inc.
7.250% due 02/01/11 200 199
Arkla, Inc.
9.450% due 10/15/95 2,000 2,001
8.780% due 07/19/96 5,000 5,073
8.740% due 07/19/96 15,100 15,315
8.000% due 01/15/97 1,000 1,001
9.875% due 04/15/97 52,050 54,567
9.320% due 12/15/97 1,000 1,043
8.740% due 05/14/98 3,000 3,106
9.875% due 02/15/18 5,000 5,341
Ashland Oil, Inc.
9.200% due 10/11/95 3,000 3,002
Baxter International
9.500% due 06/15/08 200 247
Beverly California Corp.
14.250% due 12/15/97 6,750 6,981
Coastal Corp.
8.750% due 05/15/99 4,300 4,565
9.750% due 08/01/03 1,000 1,147
11.750% due 06/15/06 42,050 45,256
Coca-Cola Co.
7.750% due 02/15/96 350 352
Columbia Healthcare
5.996% due 07/28/97 (d) 2,000 2,001
Deere & Co.
8.470% due 03/18/96 400 404
Delta Air Lines
8.250% due 05/15/96 6,000 6,049
7.730% due 05/14/97 8,800 8,888
9.875% due 05/15/00 3,250 3,607
8.250% due 12/27/07 500 544
9.750% due 05/15/21 500 563
Delta Air Lines Equipment Trust
9.230% due 07/02/02 8,622 8,932
9.230% due 07/02/02 8,505 8,810
10.570% due 01/02/07 15,881 18,885
10.500% due 01/02/07 8,848 10,249
9.550% due 01/02/08 7,773 8,713
10.000% due 06/05/13 10,828 12,285
Ford Motor Co.
8.180% due 06/30/96 2,829 3,000
General Motors Corp.
8.170% due 01/02/00 3,825 3,998
8.950% due 07/02/09 21,500 23,578
Maxus Energy Corp,
10.100% due 10/27/95 1,100 1,100
</TABLE>
23
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
Mazda Manufacturing Corp.
10.500% due 07/01/08 $ 1,432 $ 1,815
10.500% due 07/01/08 365 462
10.500% due 07/01/08 152 192
10.500% due 07/01/08 31 40
McDermott, Inc.
9.375% due 03/15/02 1,000 1,104
Merck & Co.
7.750% due 05/01/96 1,000 1,011
Nabisco Inc.
8.000% due 01/15/00 6,500 6,808
Nafin Finance Trust
9.125% due 01/26/96 29,000 28,942
News America Holdings Corp.
12.000% due 12/15/01 2,000 2,243
8.625% due 02/01/03 750 814
Occidental Petroleum
11.750% due 03/15/11 62,877 67,362
Oryx Energy Co.
10.375% due 09/15/18 7,370 7,847
Pepsico, Inc.
7.875% due 08/15/96 250 254
5.463% due 07/01/98 (d) 400 391
7.750% due 10/01/98 500 522
Philip Morris Co.
8.750% due 12/01/96 5,000 5,136
9.800% due 12/15/98 1,747 1,758
Portland General Corp.
8.880% due 11/28/95 6,500 6,527
RJR Nabisco
7.625% due 09/01/00 6,000 6,013
8.000% due 07/15/01 30,000 30,259
Sears Roebuck & Co.
8.800% due 01/15/96 20,000 20,150
6.580% due 07/23/97 150 151
0.000% due 07/12/98 610 475
System Energy Resources
7.430% due 01/15/11 5,419 5,194
Texas Instruments
9.000% due 07/15/99 14,500 14,857
Time Warner, Inc.
7.450% due 02/01/98 1,000 1,018
6.835% due 08/15/00 51,007 51,129
7.975% due 08/15/04 30,604 31,304
8.110% due 08/15/06 76,480 78,354
8.180% due 08/15/07 115,880 118,660
9.150% due 02/01/23 7,500 8,138
8.375% due 07/15/33 62,300 63,047
Union Oil of California
9.750% due 12/01/00 400 454
United Air Lines
6.750% due 12/01/97 11,400 11,307
10.670% due 05/01/04 6,050 7,053
UAL Equipment Trust
10.360% due 11/13/12 7,000 8,006
10.020% due 03/22/14 4,500 5,040
10.125% due 03/22/15 14,300 16,311
9.060% due 06/17/15 5,000 5,178
9.210% due 01/21/17 2,000 2,103
USX Corp.
6.813% due 09/18/96 (d) 8,000 8,019
6.375% due 07/15/98 (d) 16,200 16,104
9.800% due 07/01/01 300 338
Varity Corp.
11.375% due 11/15/98 10,500 11,010
Vons
6.625% due 05/15/98 12,500 12,000
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
Wal-Mart Stores
8.000% due 05/01/96 $ 100 $ 101
-----------
1,109,044
Utilities - 3.7%
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,197
Bell Atlantic Financial
6.625% due 11/30/97 400 402
Carolina Power & Light
7.900% due 12/27/96 11,000 11,229
5.375% due 07/01/98 100 98
Centel Capital Corp.
9.875% due 10/01/98 200 200
Central Maine Power Co.
4.920% due 07/22/96 8,000 7,892
5.750% due 07/22/96 9,000 8,936
6.250% due 11/01/98 1,000 962
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,245
Cincinnati Bell, Inc.
6.700% due 12/15/97 1,000 1,007
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 2,840
CMS Energy
9.500% due 10/01/97 31,100 32,140
Commonwealth Edison
7.000% due 02/15/97 5,175 5,191
Consumers Power Co.
8.750% due 02/15/98 5,550 5,773
CTC Mansfield Funding
10.250% due 03/30/03 16,000 16,249
11.125% due 09/30/16 90,315 91,670
First PV Funding
8.950% due 01/15/97 286 290
10.150% due 01/15/16 14,360 14,360
GTE California
7.750% due 12/01/98 1,800 1,801
GTE Corp.
10.750% due 09/15/17 300 336
GTE Northwest
9.750% due 10/15/30 1,000 1,062
Hydro-Quebec
5.813% due 04/15/99 (d) 10,000 9,911
9.400% due 02/01/21 500 597
9.500% due 11/15/30 2,370 2,872
New England Power
6.140% due 02/02/98 500 499
Pacific Gas & Electric
6.750% due 12/01/00 9 9
Public Service of New Hampshire
15.230% due 07/01/00 3 ,550 4,144
Questar Pipeline
9.375% due 06/01/21 200 226
Southern California Edison
6.125% due 07/15/97 500 499
5.450% due 06/15/98 400 391
Southwestern Bell
5.550% due 03/10/98 1,000 986
System Energy Resources
10.500% due 09/01/96 44,700 46,088
Texas-New Mexico Power
11.250% due 01/15/97 5,500 5,754
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,671
Toledo Edison Co.
6.125% due 08/01/97 200 196
8.180% due 07/30/02 1,400 1,339
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
8.700% due 09/01/02 $ 10,000 $ 9,157
7.850% due 03/31/03 7,000 6,680
7.875% due 08/01/04 500 460
Transco Energy
9.500% due 12/01/95 8,030 8,072
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 999
Tucson Electric Power
8.500% due 10/01/09 1,000 892
United Telecommunications
10.450% due 01/01/96 25,000 25,820
Virginia Electric & Power Co.
9.375% due 06/01/98 500 535
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 953
----------
339,630
----------
Total Corporate Bonds and Notes - 2,650,936
==========
(Cost $2,616,836)
U.S. Treasury Obligations - 0.9%
U.S. Treasury Notes
3.875% due 10/31/95 3,250 3,247
9.250% due 01/15/96 380 384
7.875% due 02/15/96 1,250 1,261
7.500% due 02/29/96 500 504
7.375% due 05/15/96 3,550 3,590
6.125% due 07/31/96 1,875 1,881
7.250% due 08/31/96 500 507
5.875% due 08/15/98 75,000 74,977
----------
Total U.S. Treasury Obligations 86,351
==========
(Cost $86,135)
U.S. Government Agencies - 0.1%
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,430 1,531
Federal Home Loan Bank
5.375% due 11/27/95 500 500
4.410% due 07/08/96 400 394
8.250% due 11/25/96 800 820
6.320% due 12/04/97 1,500 1,512
7.600% due 03/15/99 200 201
Federal Home Loan Mortgage Corp.
7.900% due 04/27/05 225 231
Federal National Mortgage Assn.
8.000% due 07/10/96 50 51
7.550% due 06/10/04 130 133
8.500% due 02/01/05 200 214
----------
Total U.S. Government Agencies 5,587
==========
(Cost $5,591)
Mortgage-Backed Securities - 55.3%
Federal Home Loan Mortgage Corporation - 3.0%
5.250% due 12/01/98 71 70
5.500% due 03/01/10 - 07/01/00 (g) 216 212
5.689% due 01/01/24 (d) 2,647 2,697
6.000% due 12/01/98 - 01/01/01 (g) 1,005 993
6.500% due 04/01/08 - 01/01/09 (g) 316 312
6.568% due 11/01/23 (d) 3,542 3,604
6.603% due 08/01/24 (d) 6,759 6,917
6.630% due 11/01/23 (d) 2,264 2,306
6.751% due 10/01/23 (d) 12,289 12,408
6.783% due 11/01/23 (d) 3,319 3,407
6.848% due 10/01/23 (d) 3,688 3,788
6.889% due 10/01/23 (d) 7,193 7,260
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
7.000% due 12/01/03 - 06/01/10 (g) $ 735 $ 736
7.023% due 10/01/23 (d) 4,251 4,365
7.345% due 08/01/24 (d) 27,228 27,943
7.375% due 04/01/17 (d) 90 92
7.434% due 09/01/23 (d) 6,631 6,728
7.482% due 06/01/24 (d) 9,913 10,179
7.500% due 05/01/99 - 10/16/25 (g) 58,289 58,743
7.577% due 06/01/28 (d) 15,646 16,078
7.614% due 07/01/23 (d) 6,800 6,891
7.625% due 01/01/19 (d) 29 30
7.691% due 10/01/23 (d) 11,551 11,925
7.703% due 11/01/23 (d) 9,049 9,352
7.742% due 09/01/23 (d) 15,509 15,877
7.750% due 04/01/07 - 06/01/17 (g) 164 167
7.766% due 08/01/23 (d) 7,066 7,222
7.789% due 09/01/23 (d) 10,700 10,925
7.855% due 08/01/23 (d) 3,890 3,988
7.940% due 07/01/23 (d) 3,043 3,115
8.000% due 10/01/07 - 05/01/17 (g) 5,680 5,801
8.211% due 07/01/22 (d) 6,851 7,130
8.250% due 08/01/07 - 02/01/08 (g) 210 215
8.500% due 09/01/01 - 06/01/17 (g) 2,149 2,219
8.750% due 01/01/07 - 09/01/10 (g) 1,198 1,233
9.000% due 01/01/02 - 05/01/17 (g) 2,353 2,447
9.250% due 06/01/09 - 08/01/09 (g) 295 310
9.500% due 06/01/02 - 06/01/21 (g) 6,561 6,890
10.000% due 06/01/04 - 12/01/05 (g) 2,046 2,148
10.250% due 04/01/09 - 05/01/09 (g) 3,763 4,077
11.000% due 12/01/99 - 07/01/19 (g) 2,558 2,815
11.250% due 10/01/09 - 09/01/15 (g) 233 255
11.500% due 03/01/00 22 23
12.500% due 07/01/99 20 22
13.250% due 10/01/13 87 99
14.000% due 04/01/16 60 69
15.500% due 08/01/11 - 11/01/11 (g) 36 42
16.250% due 05/01/11 - 11/01/11 (g) 37 43
----------
274,168
Federal Housing Administration - 0.8%
5.250% due 02/01/03 379 354
7.211% due 12/01/21 4,039 4,060
7.375% due 03/01/19 - 07/01/21 (g) 5,525 5,657
7.399% due 02/01/21 2,886 2,927
7.430% due 03/01/17 - 05/01/23 (g) 56,539 57,622
7.650% due 11/01/18 378 388
----------
71,008
Federal National Mortgage Association - 5.2%
5.537% due 12/01/23 (d) 7,183 7,332
5.630% due 01/01/24 (d) 4,040 4,090
5.789% due 11/01/23 (d) 7,317 7,470
5.882% due 11/01/23 (d) 3,226 3,274
5.912% due 01/01/24 (d) 14,959 15,158
5.913% due 12/01/23 (d) 11,618 11,778
6.000% due 03/01/24 2,700 2,541
6.025% due 06/01/24 (d) 26,336 26,726
6.153% due 01/01/24 (d) 3,140 3,211
6.235% due 04/01/25 (d) 18,750 19,175
6.330% due 09/01/24 (d) 7,240 7,316
6.375% due 03/01/18 84 84
6.424% due 07/01/28 (d) 6,867 6,920
6.426% due 02/01/28 (d) 34,725 34,998
6.428% due 10/01/28 (d) 45,722 46,081
6.429% due 09/01/27 - 05/01/28 (d)(g) 63,492 64,002
6.500% due 10/01/05 - 04/01/08 (g) 588 582
6.516% due 09/01/24 (d) 7,619 7,805
6.526% due 12/01/23 (d) 14,497 14,930
6.559% due 07/01/24 (d) 49,790 50,710
</TABLE>
25
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
6.627% due 05/01/24 (d) $ 12,901 $ 13,243
6.648% due 10/01/19 (d) 3,632 3,706
6.680% due 04/01/25 (d) 8,519 8,740
6.745% due 12/01/24 (d) 9,679 9,988
6.750% due 08/01/03 1,125 1,116
6.910% due 06/01/24 (d) 4,926 5,099
6.951% due 01/01/25 (d) 11,028 11,388
7.000% due 04/01/01 - 01/01/24 (g) 1,533 1,532
7.250% due 05/01/02 - 01/01/23 (g) 12,434 12,294
7.313% due 07/01/25 (d) 17,204 17,688
7.429% due 05/25/22 (d) 2,363 2,445
7.716% due 09/01/23 (d) 12,981 13,319
7.750% due 06/01/09 287 292
7.833% due 10/01/23 (d) 7,773 7,989
7.919% due 08/01/23 (d) 4,733 4,881
8.000% due 09/01/04 - 04/01/18 (g) 3,044 3,122
8.250% due 11/01/04 - 02/01/17 (g) 1,787 1,839
8.500% due 07/01/01 - 01/01/12 (g) 10,926 11,310
9.000% due 01/01/99 - 04/01/17 (g) 4,447 4,663
9.500% due 03/01/16 77 82
9.750% due 11/01/08 207 224
10.500% due 12/01/16 - 04/01/22 (g) 1,848 2,034
13.000% due 09/01/13 101 116
13.250% due 09/01/11 33 38
14.500% due 09/01/11 - 12/01/12 (g) 119 138
14.750% due 08/01/12 - 11/01/14 (g) 656 765
15.500% due 10/01/12 - 12/01/12 (g) 58 68
15.750% due 12/01/11 - 08/01/12 (g) 327 383
16.000% due 09/01/12 388 452
---------
473,137
Government National Mortgage Association - 20.0%
5.650% due 05/15/17 87 90
6.000% due 04/15/17 - 09/15/18 (g) 4,758 4,916
6.500% due 09/15/02 - 12/19/25 (g) 826,533 799,010
6.500% due 10/20/23 (d) 27,398 27,436
7.000% due 02/15/05 - 10/19/25 (g) 211,616 211,002
7.000% due 01/20/23 - 10/20/14 (d)(g) 83,148 84,613
7.375% due 10/15/06 - 01/15/12 (g) 191 202
7.500% due 07/15/03 - 05/20/25 (g) 22,966 23,363
7.500% due 09/20/22 (d) 5,377 5,439
8.000% due 09/15/98 - 03/20/25 (g) 156,348 158,949
8.000% due 09/20/24 - 06/20/25 (d)(g) 234,397 239,031
8.250% due 10/15/01 - 08/20/24 (g) 43,538 44,139
8.250% due 06/20/24 (d) 76,152 77,985
8.500% due 07/15/03 - 11/15/22 (g) 2,043 2,136
8.500% due 04/20/24 (d) 12,633 12,880
8.750% due 08/15/06 - 07/15/17 (g) 223 230
9.000% due 09/15/01 - 06/20/25 (g) 75,484 76,758
9.250% due 11/15/05 - 06/15/17 (g) 504 521
9.500% due 12/15/01 - 11/15/23 (g) 5,609 5,766
9.500% due 04/20/25 (d) 4,787 4,884
9.750% due 04/15/05 - 07/15/17 (g) 6,229 6,437
9.750% due 07/20/22 (d) 7,886 7,978
10.000% due 03/15/01 - 10/15/23 (g) 2,204 2,301
10.000% due 06/20/25 (d) 18,692 19,072
10.250% due 10/15/12 11 13
10.500% due 05/15/17 294 303
10.750% due 03/15/17 - 05/15/17 (g) 95 98
11.000% due 11/15/12 10 11
11.250% due 08/15/05 5 5
11.500% due 05/15/13 - 03/15/24 (g) 57 60
12.000% due 12/15/01 - 02/15/21 (g) 986 1,025
12.000% due 11/20/23 - 07/20/24 (d)(g) 15,878 16,196
12.500% due 11/15/01 159 166
13.000% due 06/15/06 - 06/15/17 (g) 296 307
13.250% due 05/15/04 161 175
13.500% due 04/15/07 - 05/15/21 (g) 764 782
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================================
<S> <C> <C>
14.500% due 04/15/17 $ 335 $ 346
15.000% due 05/15/17 - 06/15/17 (g) 486 502
16.000% due 11/15/11 - 12/15/23 (g) 600 597
17.000% due 06/15/21 - 04/15/05 (g) 2,153 2,287
------------
1,838,011
Collateralized Mortgage Obligations - 22.6%
AFC Home Equity Loan Trust
6.614% due 10/25/26 33,336 33,482
American Housing
9.000% due 01/25/21 3,635 3,740
American Southwest Financial
12.250% due 11/01/14 117 132
9.450% due 03/01/15 1,563 1,575
12.500% due 04/01/15 1,292 1,435
12.000% due 05/01/15 2,418 2,720
11.400% due 09/01/15 1,722 1,798
10.500% due 11/20/15 2,317 2,328
Bear Stearns
9.200% due 11/01/18 81 84
9.500% due 06/25/23 2,296 2,416
6.719% due 10/25/23 (d) 12,731 12,743
10.000% due 08/25/24 15,018 16,281
Capstead
8.400% due 01/25/21 15,488 15,585
8.750% due 07/25/21 10,000 10,306
Centex Acceptance Corp.
11.000% due 11/01/15 466 468
Chase Mortgage Financial Corp.
9.500% due 04/25/24 2,707 2,760
8.000% due 06/25/24 1,218 1,229
7.000% due 07/25/24 137 136
7.500% due 10/25/24 115 115
7.750% due 01/25/25 142 141
Citicorp Mortgage
9.500% due 07/25/04 221 226
9.500% due 08/25/05 5,966 5,410
8.500% due 04/25/06 77 77
9.500% due 04/01/14 60 60
9.500% due 07/01/16 1,006 1,045
9.000% due 12/01/16 839 847
8.500% due 02/01/17 483 484
8.500% due 04/01/17 490 495
9.000% due 04/25/17 2,375 2,445
9.000% due 05/01/17 5,317 5,472
10.000% due 05/25/17 309 309
8.000% due 07/25/18 155 157
9.500% due 01/01/19 3,788 3,926
9.500% due 09/25/19 250 255
9.500% due 10/25/19 292 292
8.750% due 03/25/20 5 5
9.500% due 09/25/20 2,094 2,143
7.750% due 04/25/21 1,285 1,283
6.000% due 08/25/21 957 946
7.700% due 10/25/22 (d) 26,236 26,744
CMC Securities Corp.
7.254% due 09/25/23 25,109 25,344
CMO Trust
10.200% due 02/01/16 1,129 1,198
8.800% due 05/25/16 10,521 10,947
8.000% due 01/01/17 392 399
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 3,256 3,547
11.450% due 09/01/15 96 106
11.450% due 11/01/15 589 647
10.200% due 04/20/17 604 646
8.000% due 08/20/18 17 17
8.750% due 04/20/19 1,756 1,819
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Countrywide
6.571% due 07/25/24 (d) $ 26,880 $ 27,292
Drexel Mortgage Funding
9.500% due 11/20/17 2,274 2,397
8.600% due 03/01/18 1,453 1,485
9.500% due 08/01/19 50 52
Federal Home Loan Mortgage Corp.
8.550% due 03/15/96 8 8
8.125% due 09/30/96 1,000 1,021
8.500% due 03/15/97 89 89
7.000% due 06/15/97 595 596
4.500% due 11/15/04 495 495
8.750% due 10/15/05 115 116
10.750% due 11/30/05 2,305 2,375
6.500% due 08/15/06 710 708
9.000% due 09/15/08 67 67
10.250% due 03/15/09 44 47
4.750% due 09/15/09 500 495
4.750% due 07/15/10 382 379
4.750% due 03/15/12 500 491
8.500% due 08/15/13 2,000 2,126
8.500% due 09/15/13 5,941 6,316
11.000% due 11/30/15 8,850 9,882
6.210% due 08/15/17 345 339
6.250% due 10/25/17 20,167 20,734
9.500% due 01/15/19 2,078 2,130
8.250% due 05/15/19 7,217 7,260
6.500% due 05/15/19 615 602
8.500% due 10/15/19 2,732 2,783
9.000% due 11/15/19 457 460
9.000% due 11/15/19 9,894 10,101
10.000% due 11/15/19 250 270
8.500% due 01/15/20 6,105 6,203
8.500% due 03/15/20 3,000 3,064
9.300% due 03/15/20 200 204
9.000% due 05/15/20 461 467
9.125% due 06/15/20 6,465 6,658
5.750% due 08/15/20 300 285
7.800% due 09/15/20 12,658 12,939
9.000% due 09/15/20 232 241
5.500% due 10/15/20 200 181
8.750% due 10/15/20 500 513
9.500% due 11/15/20 18,723 19,564
6.000% due 12/15/20 400 377
8.750% due 12/15/20 1,265 1,337
9.000% due 12/15/20 7,272 7,634
9.000% due 12/15/20 1,378 1,492
8.000% due 03/15/21 16,398 17,027
8.500% due 05/15/21 73 74
8.500% due 06/15/21 28,666 30,046
6.950% due 07/15/21 700 685
9.000% due 07/15/21 4,214 4,406
9.500% due 07/15/21 5,798 6,745
6.950% due 08/15/21 185 180
8.000% due 08/15/21 23,472 23,978
7.500% due 11/15/21 3,500 3,564
9.000% due 11/15/21 4,076 4,157
6.850% due 01/15/22 700 681
7.000% due 07/15/22 374 346
7.500% due 07/15/23 5,706 5,284
7.250% due 10/25/23 (d) 45,871 46,559
4.677% due 11/25/23 (d) 12,574 7,036
4.875% due 11/25/23 (d) 13,117 7,387
6.500% due 02/15/24 71 67
Federal National Mortgage Assn.
9.100% due 02/25/02 10,598 10,844
6.500% due 08/25/03 270 259
5.750% due 12/25/03 175 172
6.000% due 07/25/07 300 290
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
6.702% due 08/25/07 (d) $ 126 $ 95
7.000% due 02/25/08 1,189 1,157
10.500% due 08/25/08 7,146 7,902
6.400% due 09/25/14 1,156 1,150
8.500% due 10/25/14 297 301
10.000% due 12/25/14 2,837 2,946
7.000% due 04/25/15 4,787 4,803
7.500% due 08/25/16 11,556 11,599
8.350% due 09/25/16 18 18
9.670% due 01/25/17 1,149 1,192
9.200% due 12/25/17 2,952 3,039
9.300% due 05/25/18 3,347 3,523
9.500% due 06/25/18 1,588 1,680
5.500% due 07/25/18 220 211
8.500% due 07/25/18 700 708
7.750% due 10/25/18 300 305
9.500% due 11/25/18 11,139 12,449
7.500% due 01/25/19 4,300 4,308
6.625% due 06/25/19 129 129
9.500% due 06/25/19 6,813 7,231
8.000% due 10/25/19 16,182 16,522
8.800% due 12/25/19 5,168 5,175
9.000% due 12/25/19 18,421 19,506
7.500% due 12/25/19 200 203
8.500% due 01/25/20 87 87
7.500% due 05/25/20 8,000 8,131
10.000% due 06/25/20 3,374 3,745
8.000% due 07/25/20 350 356
9.000% due 09/25/20 6,263 6,719
8.000% due 12/25/20 400 410
8.750% due 01/25/21 9,538 9,812
7.500% due 02/25/21 24,864 25,003
7.500% due 03/25/21 20,919 21,286
7.250% due 04/25/21 8,960 8,967
7.500% due 06/25/21 320 326
8.000% due 10/25/21 22,430 23,041
6.000% due 12/25/21 200 186
8.000% due 01/25/22 21,700 22,479
8.000% due 03/25/22 837 837
7.000% due 07/25/22 8,301 8,001
8.000% due 07/25/22 2,574 2,631
6.750% due 10/25/23 427 376
6.500% due 11/25/23 170 158
8.400% due 04/25/25 19,567 19,726
First Boston Corp.
9.450% due 08/20/17 70 71
7.500% due 04/25/21 2,625 2,622
General Electric Capital Mortgage
9.500% due 04/25/21 120 120
6.500% due 01/25/24 6,979 6,953
Georgia Federal Mortgage
10.500% due 11/01/14 3,344 3,476
Greenwich
7.451% due 04/25/22 (d) 5,190 5,207
7.456% due 10/25/22 (d) 665 668
7.513% due 04/25/23 (d) 8,316 8,379
7.670% due 01/25/24 (d) 5,760 5,805
7.489% due 04/25/24 (d) 23,039 23,407
6.843% due 06/25/24 (d) 34,833 35,616
7.506% due 08/25/24 (d) 43,088 44,367
7.073% due 11/25/24 (d) 29,162 29,955
7.422% due 04/25/25 (d) 12,991 13,381
7.688% due 07/25/25 (d) 16,930 16,993
Home Savings of America
10.000% due 07/01/09 54 57
</TABLE>
27
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Independent National Mortgage Corp.
9.000% due 12/25/19 $ 39,772 $ 40,620
6.650% due 10/25/24 2,723 2,563
7.805% due 11/25/24 (d) 25,197 25,748
7.569% due 07/25/25 (d) 65,719 67,116
7.673% due 07/25/25 (d) 80,741 81,952
International Mortgage Acceptance Corp.
12.250% due 03/01/14 1,133 1,231
J.P. Morgan & Co.
9.000% due 10/20/20 11,344 12,197
Kidder Peabody
8.390% due 05/20/18 (d) 687 694
7.006% due 03/25/24 (d) 59,120 59,674
6.970% due 03/25/24 (d) 20,000 19,925
Lomas Mortgage Funding Corp.
9.700% due 11/20/18 3,111 3,152
Marine Midland
8.000% due 04/25/23 185 183
8.000% due 10/25/23 350 335
Merrill Lynch Mortgage
9.250% due 12/15/09 107 113
9.470% due 04/27/18 (d) 91 93
8.170% due 04/25/23 (d) 25,370 26,131
Manufacturers Housing Mortgage P.C.
13.250% due 01/01/99 381 405
Manufacturers Housing Mortgage P.C.
13.250% due 01/15/99 179 191
Morgan Stanley Mortgage
8.971% due 10/22/15 6,370 6,446
7.850% due 08/20/18 124 124
8.150% due 07/20/21 22 22
Mortgage Bankers
9.900% due 03/01/18 4,165 4,418
Nomura Asset Securities Corp.
6.579% due 05/25/24 (d) 25,027 25,262
Norwest Mortgage
12.500% due 02/01/14 1,680 1,803
12.250% due 04/01/14 180 198
PaineWebber Mortgage
6.000% due 04/25/09 11,951 10,682
Prudential Bache
6.394% due 09/01/18 (d) 902 907
9.000% due 01/01/19 540 561
8.400% due 03/20/21 4,372 4,400
Prudential Home
9.500% due 11/25/97 580 579
7.000% due 04/25/99 542 542
7.500% due 05/25/08 3,854 3,857
6.900% due 03/25/23 2,000 1,996
7.000% due 04/25/23 10,442 10,420
Prudential Securities
7.500% due 03/25/19 1,947 1,946
PSB Financial Corp.
11.050% due 12/01/15 1,921 2,042
Residential Asset Securities Corp.
8.000% due 10/01/24 28,391 28,533
Residential Funding
8.086% due 02/25/07 (d) 209 211
7.000% due 08/25/08 26,366 26,203
6.500% due 09/25/08 7,000 6,508
8.500% due 05/01/17 274 283
9.000% due 01/01/20 3,297 3,365
8.500% due 02/25/21 6,348 6,360
8.000% due 01/25/23 10,000 10,063
10.000% due 09/25/23 2,510 2,605
Resolution Trust Corp.
6.888% due 12/15/04 (d) 831 834
7.500% due 12/15/04 3,000 3,009
7.743% due 02/25/20 (d) 765 535
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
7.512% due 09/25/20 (d) $ 20,000 $ 3,300
5.922% due 01/25/21 (d) 1,755 1,689
6.425% due 04/25/21 (d) 3,033 3,052
8.590% due 06/25/21 (d) 12,420 12,424
8.720% due 08/25/21 (d) 260 268
8.722% due 08/25/21 (d) 2,084 2,083
8.722% due 08/25/21 (d) 13,329 13,820
8.722% due 08/25/21 (d) 8,000 8,190
8.230% due 09/25/21 (d) 10,066 10,101
5.970% due 10/25/21 (d) 1,108 1,099
7.000% due 10/25/21 (d) 1,823 1,929
8.144% due 10/25/21 (d) 460 465
8.625% due 10/25/21 300 305
7.648% due 01/25/22 (d) 4,968 5,038
7.778% due 03/25/22 (d) 6,690 6,776
8.475% due 05/25/22 (d) 5,214 5,408
7.075% due 06/25/23 (d) 14,870 14,954
7.900% due 06/25/23 191 193
7.500% due 08/25/23 727 717
8.835% due 12/25/23 (d) 12,208 12,430
9.450% due 05/25/24 (d) 19,693 20,303
10.611% due 05/25/24 (d) 9,558 9,982
8.150% due 06/25/24 (d) 179 183
6.875% due 07/25/24 (d) 9,947 10,019
8.000% due 07/25/24 5,217 5,209
7.000% due 10/25/24 657 654
7.100% due 12/25/24 (d) 1,500 1,464
7.050% due 03/25/25 (d) 1,240 1,238
7.750% due 03/25/25 5,000 5,086
8.750% due 05/25/26 4,470 4,470
7.445% due 10/25/28 (d) 43,990 44,637
7.458% due 10/25/28 (d) 23,032 23,443
7.500% due 10/25/28 16,644 16,685
6.941% due 05/25/29 (d) 8,191 8,264
7.584% due 05/25/29 9,781 9,752
7.657% due 05/25/29 (d) 10,185 10,252
Ryland Acceptance Corp.
8.650% due 05/15/00 (d) 8,094 8,071
9.450% due 10/01/16 (d) 327 345
9.000% due 12/01/16 1,198 1,246
11.500% due 12/25/16 419 420
8.174% due 07/25/22 (d) 42,000 42,630
8.454% due 08/25/22 (d) 5,803 5,894
8.000% due 09/25/22 10,183 10,240
8.200% due 09/25/22 100 103
7.711% due 08/25/29 (d) 15,145 15,358
14.000% due 11/25/31 3,280 3,643
Salomon Mortgage
11.500% due 09/01/15 3,004 3,296
7.816% due 11/25/22 (d) 3,594 3,609
7.238% due 07/01/24 (d) 45,792 46,494
Santa Barbara Savings
9.500% due 11/20/18 8,542 8,724
Saxon
8.150% due 09/25/22 (d) 7,753 7,898
7.959% due 08/25/23 (d) 81,103 82,320
Sears Mortgage
9.250% due 12/01/16 4,374 4,584
7.355% due 06/25/22 (d) 1,698 1,699
Sears Mortgage
12.000% due 02/25/14 2,343 2,580
8.548% due 05/25/32 (d) 26,140 27,136
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
UBS Mortgage
9.000% due 11/27/19 13,292 13,429
----------
2,077,972
</TABLE>
28
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Other Mortgage-Backed Securities - 3.2%
Bank of America
8.375% due 05/01/07 $ 5 $ 5
9.000% due 03/01/08 151 157
9.000% due 04/05/08 43 45
9.000% due 05/01/08 12 13
9.500% due 07/01/08 72 72
11.875% due 04/01/10 16 17
Daiwa Mortgage
7.750% due 09/25/06 (d) 4,771 4,876
Donaldson, Lufkin & Jenrette
7.532% due 08/01/21 (d) 11,747 11,821
7.932% due 12/25/22 (d) 4,548 4,631
7.532% due 03/25/24 (d) 4,732 4,803
First Boston Corp.
8.000% due 12/01/00 162 163
First Commonwealth Savings & Loan
10.375% due 04/01/05 25 26
General American Capital Corp.
6.594% due 07/28/18 (d) 10,312 9,899
General Electric Credit Corp.
8.000% due 03/01/02 300 305
Glendale Federal Savings & Loan
7.485% due 03/01/28 (d) 15,792 15,697
Great Western
6.270% due 09/25/17 (d) 309 302
Guardian
6.772% due 12/25/18 (d) 962 827
7.456% due 02/01/19 (d) 1,091 939
7.647% due 05/01/19 (d) 126 108
Home Savings of America
6.040% due 05/25/27 (d) 282 276
Imperial Savings & Loan
10.000% due 09/01/16 409 431
8.800% due 01/25/17 229 231
9.800% due 07/25/17 786 795
LTC Commercial Corp.
7.100% due 11/28/12 6,203 6,149
MDC Mortgage Funding
6.915% due 01/25/25 (d) 24,710 25,265
Mid-State Trust
8.330% due 04/01/30 39,316 40,519
OSCC Home Equity
6.950% due 05/15/07 234 233
PaineWebber Mortgage
7.412% due 11/25/23 (d) 4,059 4,168
Rural Housing
3.330% due 04/01/26 937 836
Ryland Acceptance Corp.
7.665% due 11/20/22 (d) 7,000 7,120
7.874% due 09/25/23 29,726 30,172
Saxon
7.845% due 12/25/22 (d) 33,553 33,987
7.530% due 12/25/24 (d) 25,370 25,811
Sears Mortgage
8.000% due 03/25/22 5,535 5,570
7.592% due 10/25/22 (d) 10,238 10,311
Securitized Asset Sales, Inc.
7.725% due 10/25/23 (d) 17,061 17,322
8.329% due 12/26/23 (d) 15,714 16,111
Structured Asset Securities Corp.
9.250% due 07/01/19 200 199
USGI Capital
8.500% due 11/25/07 12,822 13,343
Western Federal Savings & Loan
6.814% due 11/25/18 (d) 581 576
6.979% due 03/25/19 (d) 3,533 3,512
----------
297,643
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================================
<S> <C> <C>
Stripped Mortgage-Backed Securities - 0.5%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 $ 217 $ 13
10.038% due 09/15/05 (d) 136 19
6.500% due 03/15/07 17,954 1,728
5.750% due 09/15/07 (d) 24,482 1,561
5.428% due 02/15/08 (d) 1,553 153
6.500% due 10/15/08 22,052 3,011
11.651% due 01/15/16 (d) 139 23
6.500% due 08/15/16 14,269 1,434
7.000% due 04/15/18 12,647 1,264
9.993% due 11/15/18 300 75
8.845% due 01/15/21 880 231
9.000% due 05/01/22 409 118
7.000% due 06/15/23 25,126 4,902
Federal National Mortgage Assn. (IO)
6.500% due 04/25/99 3,001 25
33.862% due 04/25/02 145 16
6.750% due 09/25/04 613 45
7.000% due 06/25/05 241 15
10.458% due 07/25/05 7,956 909
6.500% due 07/25/06 21,975 2,188
6.500% due 07/25/07 4,414 464
6.500% due 09/25/07 25,044 2,599
6.500% due 10/25/07 6,089 762
0.100% due 03/25/09 (d) 86,165 1,988
7.000% due 08/25/15 13,153 1,362
6.500% due 08/25/20 2,666 725
10.070% due 01/25/21 (d) 259 64
9.032% due 08/25/21 (d) 4,676 873
0.950% due 11/25/21 (d) 90,023 1,844
6.500% due 01/25/23 14,698 1,995
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,954 1,450
0.000% due 02/25/21 10,670 8,726
0.000% due 07/25/23 5,057 4,910
0.000% due 08/25/23 525 282
PaineWebber (IO)
13.595% due 08/01/19 536 200
----------
45,974
----------
Total Mortgage-Backed Securities - 5,077,913
(Cost $5,057,502) ==========
Asset-Backed Securities - 0.0%
Discover Card Trust
7.300% due 05/21/99 200 202
National Credit Card Trust
9.450% due 12/31/97 400 408
Standard Credit Card Master Trust
7.250% due 04/07/08 300 311
----------
Total Asset-Backed Securities 921
(Cost $940) ==========
Sovereign Issues - 2.8%
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,515
6.875% due 10/01/98 19,500 17,550
Cemex
8.875% due 06/10/98 5,000 4,719
Kingdom of Sweden
10.250% due 11/01/15 500 642
Municipal Finance Authority of
British Columbia
13.750% due 12/01/05 1,305 1,387
Petroleos Mexicanos
8.750% due 03/05/97 3,500 3,491
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Province of Newfoundland
9.000% due 06/01/19 $ 500 $ 587
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,143
Province of Ontario
7.750% due 06/04/02 200 213
Province of Quebec
7.500% due 07/15/02 6,000 6,226
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,570
Republic of Argentina
5.875% due 09/01/97 (d) 4,700 2,077
7.394% due 03/31/05 (d) 104,000 64,480
7.313% due 03/31/05 (d) 5,000 3,100
5.000% due 03/31/23 40,000 19,200
United Mexican States
6.250% due 12/31/19 89,000 53,734
7.219% due 12/31/19 (d) 30,000 21,038
6.875% due 12/31/19 (d) 59,000 41,374
7.188% due 12/31/19 (d) 20,000 14,025
6.969% due 12/31/19 (d) 2,000 1,403
----------
Total Sovereign Issues 261,474
==========
(Cost $281,815)
Foreign Currency-Denominated Issues (c)(f) - 8.6%
Canadian National Railroad
13.000% due 11/15/04 C$ 15,112 11,995
12.250% due 05/01/05 35,693 28,211
City of Montreal
11.500% due 09/20/00 7,000 5,974
Commonwealth of Canada
9.000% due 12/01/04 117,500 94,666
8.750% due 12/01/05 451,000 359,321
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 940
Republic of Germany
6.250% due 01/04/24 DM 465,900 280,732
RJR Nabisco
6.875% due 11/22/00 9,500 6,608
----------
Total Foreign Currency-Denominated Issues 788,447
==========
(Cost $775,777)
OTC Interest Rate Caps - 0.0%
3 Month LIBOR
Strike @ 87.00 Exp. 12/20/95 $ 1,000,000 19
Strike @ 88.00 Exp. 03/20/96 5,000,000 25
Strike @ 88.00 Exp. 03/20/96 4,891,000 259
----------
Total OTC Interest Rate Caps 303
==========
(Cost $303)
Purchased CME Put Options - 0.0%
Eurodollar December Futures
Strike @ 90.00 Exp. 12/18/95 650,000 16
----------
Total Purchased CME Put Options 16
==========
(Cost $20)
Preferred Stock - 0.1%
Shares
Banco Bilbao Vizcaya International 266,000 7,121
Cleveland Electric Illuminating Co. 6,000 581
----------
Total Preferred Stock 7,702
==========
(Cost $7,623)
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Short-Term Instruments - 13.7%
Discount Notes - 12.1%
Abbott Laboratories
5.690% due 10/11/95 $ 8,000 $ 7,988
5.690% due 10/12/95 19,000 18,969
6.030% due 10/17/95 8,000 7,980
5.730% due 10/19/95 44,400 44,280
Associates Corp. of North America
5.650% due 10/04/95 60,000 59,981
5.690% due 11/16/95 6,700 6,651
5.690% due 11/17/95 37,000 36,731
5.680% due 11/22/95 11,500 11,407
5.680% due 11/27/95 12,250 12,142
5.700% due 11/28/95 600 594
5.700% due 11/29/95 1,500 1,485
5.680% due 12/04/95 12,000 11,869
AT&T Corp.
6.040% due 10/03/95 14,500 14,497
5.690% due 10/20/95 900 897
5.630% due 10/27/95 4,400 4,383
5.700% due 10/31/95 2,400 2,389
5.650% due 11/03/95 6,000 5,970
5.640% due 11/21/95 45,000 44,647
5.640% due 11/21/95 1,000 992
5.640% due 11/22/95 27,900 27,677
5.670% due 12/08/95 6,000 5,932
Coca-Cola Co.
5.870% due 10/11/95 100 100
Commonwealth Bank
5.630% due 10/13/95 26,500 26,453
E.I. Du Pont de Nemours
5.640% due 10/03/95 1,600 1,600
5.840% due 10/03/95 5,200 5,198
6.030% due 10/03/95 11,100 11,098
6.050% due 10/10/95 24,900 24,866
6.050% due 10/10/95 5,900 5,892
6.060% due 01/03/96 22,300 21,952
6.090% due 01/09/96 15,000 14,752
6.070% due 01/11/96 16,000 15,731
Electricite de France
5.630% due 10/10/95 25,000 24,969
Eli Lilly & Co.
5.660% due 12/06/95 4,000 3,955
6.050% due 01/09/96 2,000 1,967
6.080% due 01/09/96 9,500 9,343
5.610% due 01/09/96 9,300 9,151
Federal Home Loan Bank
5.630% due 12/08/95 1,000 988
Federal Home Loan Mortgage Corp.
5.610% due 11/07/95 1,050 1,044
Federal National Mortgage Assn.
5.570% due 10/16/95 4,465 4,455
5.600% due 10/17/95 11,000 10,974
5.570% due 10/18/95 5,505 5,491
5.580% due 10/23/95 100 99
5.580% due 10/23/95 2,100 2,093
5.610% due 10/26/95 3,700 3,686
5.600% due 10/27/95 940 936
5.600% due 11/02/95 2,900 2,885
General Electric Capital Corp.
6.500% due 10/02/95 25,400 25,400
5.800% due 10/05/95 8,000 7,996
5.690% due 10/24/95 6,000 5,978
5.840% due 10/25/95 2,300 2,291
Commonwealth of Canada
5.950% due 10/17/95 10,000 9,975
Government of Western Australia
5.700% due 11/17/95 2,500 2,482
Hewlett Packard Co.
5.700% due 10/17/95 700 698
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
5.670% due 10/30/95 $ 11,731 $ 11,679
5.670% due 11/07/95 1,000 994
5.640% due 11/14/95 115,100 114,324
5.680% due 01/05/96 1,000 984
5.670% due 01/09/96 16,500 16,228
KFW International Financial
5.750% due 10/05/95 4,500 4,498
5.710% due 10/27/95 27,500 27,391
Merrill Lynch & Co.
4.750% due 06/24/96 450 445
Motorola, Inc.
5.700% due 10/26/95 14,800 14,744
National Rural Utilities Cooperative
5.810% due 10/03/95 1,300 1,299
5.720% due 10/13/95 18,200 18,168
New South Wales Treasury
5.830% due 10/04/95 8,700 8,697
6.015% due 10/04/95 8,300 8,297
5.660% due 11/10/95 1,000 994
Norfolk Southern Corp.
6.110% due 10/05/95 10,500 10,494
Ontario Hydro
5.660% due 11/27/95 13,900 13,777
5.670% due 11/27/95 9,000 8,920
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 1,700 1,700
5.640% due 10/19/95 16,000 15,957
5.710% due 10/23/95 700 698
5.640% due 10/24/95 11,300 11,261
5.670% due 11/10/95 400 398
Proctor & Gamble Co.
5.640% due 10/27/95 23,000 22,910
Province of Alberta
5.710% due 11/02/95 2,100 2,089
Province of British Columbia
6.140% due 10/02/95 16,700 16,700
5.625% due 10/05/95 2,000 1,999
5.630% due 11/02/95 3,000 2,985
6.300% due 11/14/95 200 198
Queensland Treasury Corp.
5.630% due 10/12/95 24,000 23,962
5.630% due 12/12/95 8,000 7,901
Rockwell International
5.730% due 10/10/95 800 799
U.S. West Communications
5.720% due 10/05/95 9,200 9,195
5.720% due 10/06/95 17,000 16,989
5.600% due 10/13/95 4,105 4,097
5.690% due 10/20/95 22,800 22,735
5.650% due 11/13/95 2,300 2,284
USX Corp.
6.190% due 10/16/95 27,500 27,434
6.182% due 10/25/95 27,500 27,391
Wal-Mart Stores
5.710% due 10/06/95 2,000 1,999
Warner Lambert
5.600% due 10/13/95 10,500 10,481
5.830% due 10/13/95 18,800 18,767
5.670% due 10/23/95 2,200 2,193
World Bank
6.070% due 11/06/95 1,600 1,590
------------
1,108,604
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================================================================
<S> <C> <C>
Repurchase Agreements - 0.6%
State Street Bank
5.250% due 10/02/95 $ 55,999 $ 55,999
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $57,123,085. Repurchase
proceeds are $56,023,500.)
Merrill Lynch
5.700% due 10/02/95 500 500
(Dated 09/25/95. Collateralized by
U.S. Treasury Note 8.50% 05/15/97
valued at $511,250. Repurchase
proceeds are $500,238.)
------------
56,499
U.S. Treasury Bills - 1.0%
5.57% due 01/11/96 500 493
5.70% due 10/26/95 - 02/08/96 (b) (g) 96,010 95,438
------------
95,931
------------
Total Short-Term Investments 1,261,034
============
(Cost $1,261,096)
TOTAL INVESTMENTS (A) - 110.4% $10,140,684
(Cost $10,093,638)
WRITTEN OPTIONS (E) - 0.0% (3,296)
(Premiums $11,409)
OTHER ASSETS AND LIABILITIES (NET) - (10.4%) (952,560)
------------
NET ASSETS - 100.0% $ 9,184,828
============
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there
was an excess of value over tax cost. $ 117,059
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (70,013)
------------
Unrealized appreciation-net $ 47,046
============
(b) Securities with an aggregate market value of $95,438
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Republic of France 10 Year Bond 1,100 $ (1,329)
Republic of Germany 10 Year Bond 3,726 2,438
UK Gilt 2,617 (4,788)
U.S. Treasury 2 Year Note (12/95) 100 11
U.S. Treasury 5 Year Note (12/95) 5,352 1,179
U.S. Treasury 10 Year Note (12/95) 10,882 3,198
U.S. Treasury 30 Year Bond (12/95) 9,973 7,083
------------
$ 7,792
============
</TABLE>
31
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
September 30, 1995 (unaudited)
===============================================================================
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BP 3,300 10/95 $ 61
Sell C$ 305,773 10/95 (1,366)
Buy DM 180,596 10/95 331
Sell DM 494,446 10/95 (7,935)
Sell DM 59,140 11/95 188
Buy ECU 4,416 11/95 34
Sell FF 4,535 6/96 (5)
--------------
$ (8,692)
==============
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. Treasury Bond December Futures
Strike @110.00 Exp. 11/18/95 $ 160,000 $ 1,012 $ 550
CME Eurodollar December Futures
Strike @ 91.50 Exp. 12/18/95 2,551,000 2,613 64
Strike @ 92.00 Exp. 12/18/97 950,000 928 24
Strike @ 92.50 Exp. 12/18/98 1,000,000 269 25
Strike @ 93.75 Exp. 12/18/95 6,427,000 1,734 482
CME Eurodollar March Futures
Strike @ 91.75 Exp. 03/18/96 1,851,000 637 46
Strike @ 92.25 Exp. 03/18/96 1,000,000 1,569 25
Strike @ 94.00 Exp. 03/18/96 4,608,000 2,227 1,612
CME Eurodollar June Futures
Strike @ 94.00 Exp. 06/17/96 668,000 420 468
--------------------------
$11,409 $ 3,296
==========================
</TABLE>
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
ECU - European Currency Unit
FF - French Franc
(g) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
32
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Short-Term Instruments 22.3%
Foreign-Currency Denominated 14.6%
Other 2.8%
Corporate Bonds and Notes 12.0%
Mortgage-Backed Securities 59.3%
Total Return Fund III
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 12.0%
Banking and Finance - 0.4%
Associates Corp. of North America
9.000% due 12/15/95 $ 500 $ 503
------------
Industrials - 6.0%
Arkla, Inc.
9.875% due 02/15/18 500 534
Coastal Corp.
10.375% due 10/01/00 3,000 3,431
Time Warner, Inc.
8.375% due 07/15/33 3,000 3,036
------------
7,001
============
Utilities - 5.6%
Cleveland Electric Illuminating Co.
8.750% due 11/15/05 3,500 3,405
North Atlantic Energy
9.050% due 06/01/02 662 680
Public Service of New Hampshire
15.230% due 07/01/00 1,500 1,751
System Energy Resources
10.500% due 09/01/96 70 72
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 525
------------
6,433
------------
Total Corporate Bonds and Notes 13,937
============
(Cost $14,054)
U.S. Treasury Notes - 0.2%
5.500% due 04/30/96 40 40
4.750% due 08/31/98 50 48
7.125% due 10/15/98 50 52
7.125% due 09/30/99 50 52
------------
Total U.S. Treasury Notes 192
============
(Cost $190)
U.S. Government Agencies - 0.6%
Federal National Mortgage Association
9.150% due 04/10/98 300 322
5.870% due 10/15/03 50 47
Government Trust Certificate - Greece
8.000% due 05/15/98 276 282
------------
Total U.S. Government Agencies 651
============
(Cost $632)
Mortgage Backed Securities - 59.3%
Federal Home Loan Mortgage Corporation - 0.5%
8.000% due 02/01/06 551 565
Federal National Mortgage Association - 3.3%
6.390% due 07/01/17 (d) 120 121
6.391% due 2/1/27 - 08/01/29 (d)(g) 189 191
7.866% due 07/01/23 (d) 1,905 1,960
8.250% due 07/01/17 219 227
8.500% due 02/01/07 1,264 1,307
9.000% due 07/01/05 75 79
------------
3,885
============
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Government National Mortgage Association - 25.0%
6.500% due 10/20/24 - 11/20/24(d)(g) $ 9,266 $ 9,419
6.500% due 10/19/25 15,000 14,470
7.000% due 06/20/22 (d) 4,986 5,063
-----------
28,952
===========
Collateralized Mortgage Obligations - 20.4%
Chase Mortgage Financial Corp.
7.500% due 03/25/24 262 261
9.500% due 04/25/24 275 281
CMO Trust
8.000% due 01/01/17 5,882 5,991
Federal Home Loan Mortgage Corp.
8.000% due 05/15/00 - 02/15/15 (g) 2,607 2,662
7.500% due 04/15/19 3,144 3,165
Federal National Mortgage Assn.
7.750% due 07/25/19 502 510
Greenwich
7.073% due 11/25/24 (d) 4,040 4,150
PNC Mortgage Securities Corp.
7.500% due 06/25/10 1,575 1,579
Residential Funding
9.000% due 07/01/21 685 692
Resolution Trust Corp.
8.835% due 12/25/23 2,500 2,625
Sears Mortgage
8.713% due 05/25/32 (d) 1,621 1,683
-----------
23,599
===========
Other Mortgage-Backed Securities - 7.3%
Guardian
7.218% due 07/25/20 1,767 1,343
Resolution Trust Corp.
8.625% due 10/25/21 759 761
7.657% due 05/25/29 3,500 3,523
Ryland Acceptance Corp.
7.873% due 09/25/23 2,759 2,800
-----------
8,427
===========
Stripped Mortgage-Backed Securities - 2.8%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 10,000 1,533
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,856 1,712
-----------
3,245
-----------
Total Mortgage-Backed Securities 68,673
===========
(Cost $68,748)
Sovereign Issues - 2.0%
Republic of Argentina
7.313% due 03/31/05 2,000 1,240
Province of Quebec
8.800% due 04/15/03 1,000 1,112
-----------
Total Sovereign Issues 2,352
===========
(Cost $2,300)
Foreign Currency-Denominated Issues (c)(f) - 14.6%
Commonwealth of Canada
8.500% due 04/01/02 C$ 2,000 1,562
8.750% due 12/01/05 2,520 2,009
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,701
Republic of Germany
6.250% due 01/04/24 DM 5,000 3,013
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund III
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
United Kingdom Gilt
9.500% due 04/15/05 BP 5,000 $ 8,592
-----------
Total Foreign Currency-Denominated Issues 16,877
===========
(Cost $16,858)
Purchased CME Put Option - 0.0%
Eurodollar June Futures
Strike @ 90.75 Exp. 6/17/96 $ 110,000 0
-----------
Total Purchased CME Put Option 0
===========
(Cost $2)
Short-Term Instruments - 22.3%
Discount Notes - 20.2%
AT&T Corp.
5.670% due 12/08/95 2,500 2,472
Federal National Mortgage Assn.
5.600% due 10/10/95 4,100 4,095
Government of Western Australia
5.700% due 10/24/95 5,100 5,082
Hewlett Packard Co.
5.730% due 10/17/95 750 748
KFW International Financial
5.750% due 10/05/95 200 200
Minnesota Mining & Mfg. Co.
5.820% due 11/15/95 600 596
Motorola, Inc.
5.700% due 10/26/95 3,100 3,088
National Rural Utilities Cooperative
5.720% due 10/13/95 300 298
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 750 750
Province of British Columbia
5.625% due 10/05/95 4,200 4,198
Wal-Mart Stores
5.710% due 10/06/95 1,800 1,799
-----------
23,326
===========
Repurchase Agreement - 1.1%
State Street Bank
5.250% due 10/02/95 1,297 1,297
-----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,325,499. Repurchase
proceeds are $1,297,567)
U.S. Treasury Bills - 1.0%
5.565% due 10/26/95 - 02/08/96(b)(g) 1,200 1,192
-----------
Total Short-Term Instruments 25,815
===========
(Cost $25,818)
TOTAL INVESTMENTS (a) - 111.0% $ 128,497
(Cost $128,602)
WRITTEN OPTIONS (e) - (0.1%) (104)
(Premiums $155)
OTHER ASSETS AND LIABILITIES (NET) - (10.9%) (12,676)
-----------
NET ASSETS - 100.0% $ 115,717
===========
===============================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS)
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 1,068
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,173)
-----------
Unrealized depreciation-net $ (105)
===========
(b) Securities with an aggregate market value of $1,192 have
been segregated with the custodian to cover margin
requirements for the following open future contracts at
September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------------
<S> <C> <C>
Republic of Germany 10 Year Bond (12/95) 30 $ 38
U.S. Treasury 5 Year Note (12/95) 100 (3)
U.S. Treasury 10 Year Note (12/95) 98 24
U.S. Treasury 30 Year Bond (12/95) 150 108
-----------
$ 167
===========
</TABLE>
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type by Contract Month Depreciation
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BP 5,353 10/95 $ (99)
Sell C$ 4,325 10/95 (4)
Sell DM 4,495 10/95 (79)
Sell 3,550 10/95 (92)
-----------
$ (274)
===========
</TABLE>
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. T-Bond Futures
Strike @110.00 Exp. 11/18/95 $ 10,000 $ 81 $ 34
CME Eurodollar December Futures
Strike @ 94.00 Exp. 12/18/95 200,000 74 70
---------------------------
$155 $ 104
===========================
</TABLE>
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
(g) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
34
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Sovereign Issues 4.0%
Other 6.2%
Mortgage-Backed Securities 81.4%
Corporate Bonds and Notes 32.1%
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 32.1%
Banking and Finance - 12.7%
American Express Co.
8.750% due 06/15/96 $ 1,000 $ 1,019
American General Financial Corp.
6.000% due 02/23/98 1,000 992
Associates Corp. of North America
7.250% due 05/15/98 500 512
7.500% due 05/15/99 1,000 1,036
Banc One Corp.
7.250% due 08/01/02 500 516
Bancomer
8.000% due 07/07/98 4,000 3,655
BankAmerica Corp.
7.200% due 09/15/02 100 102
Bankers Trust
8.250% due 07/02/96 3,000 3,042
7.250% due 11/01/96 5,500 5,558
Banponce Corp.
6.188% due 01/27/97 (d) 5,000 5,015
Capital One Bank
6.363% due 12/05/95 (d) 20,000 19,999
7.300% due 07/26/96 (d) 15,000 15,024
Chrysler Financial Corp.
8.125% due 12/15/96 15,000 15,316
Citicorp
6.000% due 05/29/98 8,000 7,959
Commercial Credit
5.500% due 05/15/98 1,000 977
Den Danske Bank
7.038% due 06/23/00 (d) 1,000 1,011
Discover Credit Corp.
8.970% due 07/08/96 2,000 2,037
9.000% due 07/24/96 7,500 7,648
8.875% due 08/07/96 5,000 5,097
7.760% due 05/13/97 5,000 5,096
Ford Capital
9.000% due 06/01/96 4,800 4,889
Ford Motor Credit Corp.
7.875% due 01/15/97 700 714
6.800% due 08/15/97 500 505
6.520% due 02/03/98 1,000 1,005
General Motors Acceptance Corp.
9.000% due 12/27/95 1,000 1,006
9.000% due 01/16/96 1,000 1,009
8.950% due 02/05/96 750 758
8.600% due 05/10/96 1,050 1,065
8.800% due 07/03/96 1,500 1,530
8.800% due 07/08/96 1,850 1,887
5.840% due 07/19/96 (d) 7,500 7,506
6.040% due 07/26/96 (d) 7,750 7,749
6.625% due 08/01/96 5,000 5,021
8.100% due 09/19/96 250 255
8.000% due 10/01/96 500 509
6.363% due 10/15/96 (d) 16,000 16,040
8.250% due 01/13/97 9,000 9,225
8.000% due 01/23/97 17,000 17,383
7.750% due 01/24/97 2,500 2,549
7.625% due 02/28/97 10,000 10,191
Goldman Sachs
5.000% due 08/23/96 17,455 17,270
Home Savings of America
10.500% due 06/12/97 4,000 4,073
Kansallis-Osake
8.438% due 09/30/43 (d) 13,500 13,838
Lehman Brothers, Inc.
7.000% due 05/15/97 500 504
7.375% due 08/15/97 500 507
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================================
<S> <C> <C>
Manufacturers Hanover Corp.
6.375% due 04/30/97 (d) $ 6,000 $ 5,966
Marine Midland Bank
6.125% due 09/27/96 (d) 2,000 2,000
NCNB Corp.
10.500% due 03/15/99 9,000 9,167
Norwest Financial, Inc.
6.400% due 11/15/96 15,000 15,070
Salomon, Inc.
6.630% due 01/19/96 500 500
5.720% due 06/11/96 3,000 2,978
5.200% due 01/20/97 750 736
8.850% due 02/10/97 2,000 2,054
8.670% due 02/13/97 1,500 1,529
5.930% due 03/17/97 12,590 12,451
7.125% due 08/01/99 1,000 996
Security Pacific Corp.
5.746% due 08/15/96 (d) 2,500 2,488
Signet Banking Corp.
6.000% due 05/15/97 (d) 2,095 2,106
6.063% due 04/15/98 (d) 2,865 2,865
Society National Bank
6.875% due 10/15/96 19,375 19,522
-----------
309,027
===========
Industrials - 13.4%
AMR Corp.
8.730% due 08/19/96 1,000 1,020
7.600% due 01/27/97 2,000 2,028
6.500% due 03/15/97 4,305 4,297
9.500% due 07/15/98 1,000 1,064
8.100% due 11/01/98 2,000 2,059
8.730% due 11/02/98 3,000 3,166
9.910% due 03/01/01 2,500 2,775
10.000% due 03/07/01 4,000 4,456
9.440% due 05/15/01 5,000 5,454
9.125% due 10/24/01 1,000 1,079
Arkla, Inc.
8.780% due 07/19/96 9,500 9,638
9.875% due 04/15/97 11,500 12,056
Coastal Corp.
10.375% due 10/01/00 5,000 5,718
11.750% due 06/15/06 15,000 16,144
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 431
Delta Airlines
7.790% due 12/01/98 4,449 4,514
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 105
Ford Motor Co.
8.180% due 06/30/96 4,763 5,050
9.000% due 09/15/01 500 556
9.250% due 07/15/97 14,900 15,650
General Motors Corp.
9.750% due 05/15/99 2,300 2,351
McGaw, Inc.
10.375% due 04/01/99 1,000 1,035
Minnesota Mining & Mfg. Co.
6.250% due 03/29/99 200 199
Nabisco, Inc.
8.300% due 04/15/99 2,900 3,032
8.000% due 01/15/00 16,675 17,465
News America Holdings Corp.
12.000% due 12/15/01 4,805 5,390
Pfizer, Inc.
6.500% due 02/01/97 500 503
Philip Morris Co.
7.500% due 03/15/97 250 255
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
8.750% due 12/01/96 $ 8,250 $ 8,475
9.800% due 12/15/98 14,375 14,470
Sears Roebuck & Co.
9.000% due 09/15/96 1,500 1,538
9.250% due 04/15/98 5,750 6,127
9.360% due 06/12/96 500 530
Tenneco, Inc.
10.850% due 10/30/98 3,629 3,921
Time Warner, Inc.
7.450% due 02/01/98 810 825
6.835% due 08/15/00 35,413 35,497
7.975% due 08/15/04 21,248 21,733
8.110% due 08/15/06 42,495 43,535
8.180% due 08/15/07 42,495 43,514
United Airlines
6.750% due 12/01/97 11,875 11,778
USX Corp.
7.750% due 01/21/98 2,000 2,042
Varity Corp.
11.375% due 11/15/98 4,650 4,876
-----------
326,351
===========
Utilities - 6.0%
Alabama Power
7.250% due 08/01/07 100 100
Carolina Power & Light
7.900% due 12/27/96 16,300 16,639
Centel Capital Corp.
9.875% due 10/01/98 3,650 3,651
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.100% due 07/22/96 1,500 1,517
9.450% due 12/01/97 11,400 11,719
8.330% due 10/30/98 1,500 1,506
9.375% due 03/01/17 3,000 2,840
CMS Energy
9.500% due 10/01/97 9,500 9,818
Commonwealth Edison Co.
5.750% due 12/01/96 2,000 1,980
8.130% due 08/15/96 5,000 5,068
8.875% due 05/15/97 7,000 7,238
Consumers Power Co.
8.750% due 02/15/98 5,000 5,201
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,105
Detroit Edison
6.000% due 12/01/96 4,040 4,023
Gulf States Utilities
6.670% due 11/01/96 2,500 2,505
Long Island Lighting Co.
7.300% due 07/15/99 3,000 2,979
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,694
10.300% due 01/02/05 2,999 3,137
New Orleans Public Service
10.950% due 05/01/97 4,200 4,389
North Atlantic Energy
9.050% due 06/01/02 5,000 5,134
Northern States Power Co.
5.875% due 10/01/97 100 99
Northern Telecom
8.250% due 06/13/96 1,000 1,014
Ohio Edison
8.500% due 05/01/96 3,200 3,240
Pennsylvania Power Co.
9.000% due 12/01/96 5,500 5,634
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Public Service Electric & Gas
6.000% due 01/01/98 $ 1,000 $ 992
Public Service of New Hamphire
15.230% due 07/01/00 844 985
Texas Gas Transmission Corp.
9.625% due 07/15/97 3,000 3,151
Texas-New Mexico Power
11.250% due 01/15/97 2,500 2,615
Transcontinental Gas Pipeline
9.000% due 11/15/96 4,850 4,993
8.125% due 01/15/97 5,500 5,623
6.210% due 05/15/00 6,309 6,302
United Illuminating
9.760% due 01/02/06 3,368 3,540
Utilicorp United
9.300% due 12/01/95 1,000 1,003
-----------
147,534
-----------
Total Corporate Bonds and Notes 782,912
===========
(Cost $775,745)
U.S. Government Agencies - 0.3%
Federal Home Loan Mortgage Corp.
8.250% due 05/27/96 100 102
6.050% due 10/27/97 50 50
7.300% due 10/28/02 100 102
8.440% due 10/27/04 500 521
9.500% due 11/10/20 1,300 1,392
Federal National Mortgage Assn.
7.090% due 11/01/96 100 100
5.740% due 02/12/98 200 200
5.200% due 07/10/98 1,500 1,466
Small Business Administration
8.250% due 01/25/13 (d) (d) 1,838 1,941
7.500% due 02/25/14 (d) (d) 1,524 1,587
Student Loan Marketing Assn.
7.560% due 12/09/96 100 102
-----------
Total U.S. Government Agencies 7,563
===========
(Cost $7,354)
Mortgage-Backed Securities - 81.4%
Federal Home Loan Mortgage Corporation - 2.3%
5.000% due 05/01/98 - 08/01/98 (g) 65 64
5.500% due 05/01/98 - 04/01/07 (g) 667 651
5.631% due 01/01/24 (d) (d) 5,285 5,384
5.887% due 01/01/24 (d) (d) 9,258 9,385
5.897% due 11/01/23 (d) (d) 5,943 5,999
6.500% due 01/01/02 - 02/01/05 (g) 239 236
6.603% due 08/01/24 (d) (d) 4,225 4,323
6.751% due 10/01/23 (d) (d) 8,011 8,088
7.000% due 01/01/17 (d) (d) 124 127
7.250% due 07/01/07 116 116
7.311% due 02/01/20 (d) (d) 6,280 6,366
7.500% due 09/01/06 - 10/16/25 (g) 1,281 1,291
7.544% due 11/01/22 (d) (d) 6,202 6,280
8.000% due 07/01/06 - 04/01/07 (g) 524 536
8.250% due 10/01/07 - 11/01/07 (g) 94 96
8.500% due 07/01/01 - 01/01/12 (g) 1,129 1,161
8.750% due 02/01/01 - 04/01/02 (g) 303 311
9.000% due 09/01/98 - 07/01/04 (g) 386 397
9.250% due 07/01/01 26 26
9.500% due 03/01/01 - 12/01/04 (g) 360 375
9.750% due 03/01/01 2,141 2,259
10.000% due 04/01/01 - 09/15/09 (g) 49 51
10.500% due 07/01/00 - 12/01/16 (g) 279 298
10.750% due 10/01/00 - 08/01/11 (g) 1,122 1,221
11.250% due 10/01/14 14 16
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
11.500% due 10/01/15 $ 2 $ 3
11.750% due 11/01/10 - 08/01/15 (g) 33 37
14.000% due 09/01/12 - 12/01/12 (g) 9 10
-----------
55,107
===========
Federal Housing Administration - 0.9%
6.950% due 04/01/14 1,883 1,883
7.260% due 11/01/19 1,156 1,163
7.430% due 10/01/19 - 12/01/21 (g) 15,234 15,437
9.750% due 02/01/24 3,786 4,066
-----------
22,549
===========
Federal National Mortgage Association - 3.2%
5.385% due 01/01/24 (d) 12,932 13,029
6.325% due 04/01/18 (d) 10,187 10,225
6.394% due 03/01/18 - 02/01/19 (d) 1,041 1,051
6.422% due 10/01/24 (d) 24,160 24,922
6.429% due 04/01/19 (d) 131 132
6.500% due 06/01/08 57 55
7.000% due 12/01/06 - 09/01/07 (g) 133 131
7.728% due 07/01/23 (d) 6,738 6,915
7.833% due 10/01/23 (d) 10,326 10,613
8.000% due 03/01/04 346 356
8.319% due 05/01/97 (d) 572 584
8.500% due 03/01/08 - 02/01/17 (g) 820 857
9.000% due 05/01/97 - 08/01/98 (g) 1,468 1,509
10.000% due 02/01/04 - 06/01/19 (g) 5,095 5,504
10.500% due 06/01/05 - 11/01/05 (g) 645 702
11.000% due 10/01/98 - 09/01/00 (g) 70 74
11.250% due 12/01/10 - 10/01/15 (g) 419 467
12.000% due 01/01/15 - 10/01/15 (g) 19 21
12.750% due 02/01/14 - 11/01/14 (g) 175 200
13.000% due 07/01/15 10 11
13.250% due 09/01/11 36 41
13.500% due 04/01/14 10 11
14.000% due 11/01/14 16 19
15.500% due 10/01/12 - 12/01/12 (g) 101 118
15.750% due 12/01/11 81 96
16.000% due 09/01/12 - 12/01/12 (g) 42 49
-----------
77,692
===========
Government National Mortgage Association. - 42.1%
5.500% due 08/20/25 (d) 4,994 4,939
6.500% due 08/20/22 - 10/20/23 (d) 28,489 28,853
6.500% due 07/20/22 - 06/20/25 (g) 114,533 115,754
7.000% due 05/20/22 - 05/20/25 (d) 135,586 138,402
7.000% due 09/20/24 - 11/20/24 (g) 315,359 312,896
7.375% due 05/20/22 - 04/20/23 (d) 46,377 47,249
7.500% due 02/20/25 - 06/20/25 (d) 36,450 37,404
7.500% due 03/20/25 - 10/19/25 (g) 104,422 105,587
8.000% due 07/15/04 - 11/20/25 (g) 225,013 231,513
9.750% due 07/15/13 - 02/15/20 (g) 1,933 2,092
10.750% due 10/15/98 54 56
11.750% due 07/15/13 - 09/15/15 (g) 599 675
12.000% due 06/20/15 40 46
13.500% due 05/15/11 - 11/15/12 (g) 74 86
13.750% due 06/15/96 - 10/15/96 (g) 51 52
14.750% due 11/15/96 3 3
16.500% due 12/15/11 1 1
16.750% due 12/15/96 - 12/15/11 (g) 35 37
-----------
1,025,645
===========
Collateralized Mortgage Obligations - 24.3%
American Southwest Financial
5.100% due 06/02/99 16,565 15,912
9.200% due 07/01/16 553 570
9.400% due 08/01/16 6,250 6,225
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
Bear Stearns
8.200% due 09/25/22 $ 2,299 $ 2,313
8.000% due 05/25/23 832 849
Capstead
7.400% due 04/25/18 15,779 15,823
7.800% due 02/25/22 1,990 2,016
8.300% due 03/25/22 12,927 12,911
7.500% due 02/25/23 3,105 3,087
Chase Mortgage Financial Corp.
10.000% due 11/25/09 2,095 2,197
7.500% due 10/25/24 115 115
Citicorp Mortgage Securities, Inc.
9.000% due 10/01/01 139 145
9.000% due 11/01/01 2,707 2,724
8.500% due 06/25/06 3,245 3,242
9.000% due 07/25/06 1,407 1,411
9.350% due 06/01/10 95 96
7.250% due 11/01/11 2,242 2,226
10.000% due 01/25/13 187 194
9.500% due 10/25/15 2,693 2,762
9.500% due 11/01/16 1,846 1,928
8.500% due 03/01/17 4,460 4,566
CMO Trust
6.625% due 01/20/03 (d) 51 51
9.500% due 06/25/20 904 964
Collateralized Mortgage Securities Corp.
7.985% due 05/01/17 15,528 15,842
Conseco Commercial Mortgage
9.700% due 07/15/04 4,873 4,967
Countrywide
7.177% due 11/25/24 (d) 16,841 17,204
7.340% due 01/25/35 (d) 29,081 28,645
8.000% due 12/25/24 9,155 9,185
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 3,162 3,451
4.571% due 03/25/24 (d) 27,309 26,302
6.756% due 05/25/24 (d) 8,515 8,662
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 500 517
9.000% due 04/15/04 500 511
9.000% due 12/15/05 1,000 1,027
12.500% due 09/30/13 2,338 2,612
8.875% due 01/15/15 5 5
11.000% due 11/30/15 5,531 6,176
8.500% due 07/15/16 476 475
8.000% due 04/15/19 3,600 3,637
8.500% due 06/15/19 9,234 9,285
10.000% due 07/15/19 525 566
8.500% due 09/15/19 7,847 7,974
9.000% due 11/15/19 4,714 4,873
7.950% due 02/15/20 6,409 6,501
9.000% due 02/15/20 2,296 2,340
8.250% due 03/15/20 706 718
7.500% due 04/15/20 2,900 2,956
8.000% due 04/15/20 2,500 2,577
10.000% due 05/15/20 350 394
8.950% due 11/15/20 5,570 5,647
7.500% due 12/15/20 2,000 2,035
9.500% due 01/15/21 4,655 4,931
8.000% due 04/15/21 2,844 2,910
9.000% due 05/15/21 650 688
7.000% due 08/15/21 24,300 24,320
3.440% due 05/15/23 (d) 10,000 4,669
3.725% due 03/15/24 (d) 4,863 2,618
Federal National Mortgage Assn.
8.950% due 05/25/03 218 225
9.000% due 07/25/03 1,550 1,607
9.400% due 07/25/03 339 353
8.500% due 09/25/06 697 711
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
6.875% due 06/25/09 $ 6,697 $ 6,699
7.000% due 04/25/15 5,039 5,056
7.500% due 01/25/16 1,000 1,005
5.750% due 04/25/16 6,835 6,649
9.000% due 06/25/17 144 145
7.500% due 10/25/17 3 3
8.000% due 01/25/19 441 444
7.500% due 02/25/19 588 589
8.000% due 05/25/19 4,291 4,342
8.750% due 05/25/19 250 259
9.000% due 05/25/19 4,575 4,668
9.300% due 05/25/19 168 172
9.000% due 07/25/19 1,391 1,436
9.000% due 08/25/19 6,834 6,937
9.500% due 03/25/20 7,214 7,623
9.500% due 05/25/20 1,450 1,569
8.000% due 07/25/20 15,178 15,448
8.500% due 01/25/21 456 466
9.000% due 03/25/21 9,132 9,432
9.000% due 04/25/21 300 323
8.000% due 03/25/22 335 335
2.289% due 01/25/24 (d) 8,387 3,782
First Boston Mortgage Securities Corp.
7.500% due 07/25/19 398 397
7.050% due 07/25/23 1,093 1,097
Glendale Federal Savings & Loan
7.480% due 03/25/30 (d) 4,232 4,274
Government National Mortgage Assn.
7.250% due 07/25/15 5,000 5,036
Greenwich
7.073% due 11/25/24 (d) 22,627 23,242
7.422% due 04/25/25 (d) 12,991 13,381
Guaranteed Mortgage Corp.
11.000% due 12/01/15 231 238
Holco Mortgage
8.430% due 12/01/03 50 50
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 84 84
Homestead Mortage Acceptance Corp.
11.450% due 09/01/15 2,611 2,808
Independent National Mortgage Corp.
8.250% due 03/25/25 22,925 23,270
Merrill Lynch Mortgage
10.000% due 11/15/08 406 417
9.400% due 12/27/18 5,000 5,045
9.650% due 05/20/19 13,685 13,940
Norwest Mortgage
12.375% due 01/01/14 415 451
12.500% due 02/01/14 927 995
12.250% due 04/01/14 719 793
Prudential Bache
6.394% due 09/01/18 (d) 90 91
Prudential Home
6.500% due 04/25/00 132 130
7.500% due 09/25/07 878 888
7.000% due 11/25/07 3,991 4,008
7.000% due 06/25/23 3,014 2,925
8.500% due 06/25/25 31,104 31,490
Prudential Securities
8.000% due 12/25/20 2,000 2,047
Residential Funding
9.250% due 11/01/02 912 930
5.751% due 07/01/19 (d) 1,407 1,338
7.149% due 09/25/19 (d) 525 516
8.250% due 07/25/21 2,113 2,109
9.000% due 12/25/21 494 502
7.650% due 11/25/22 115 114
Resolution Trust Corp.
6.000% due 01/15/04 581 581
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
6.743% due 09/25/19 (d) $ 4,702 $ 4,661
5.922% due 01/25/21 (d) 351 338
7.358% due 07/25/21 (d) 102 104
10.387% due 08/25/21 (d) 1,757 1,841
6.850% due 10/25/21 2,089 2,081
7.850% due 05/25/22 318 319
10.000% due 05/25/22 467 480
7.250% due 10/25/23 1,472 1,469
9.500% due 05/25/24 827 806
8.000% due 07/25/24 3,376 3,370
7.000% due 10/25/24 131 131
8.750% due 05/25/26 126 126
5.583% due 09/25/27 (d) 3,808 3,647
9.000% due 09/25/28 503 509
Ryland Acceptance Corp.
8.000% due 03/01/18 3,029 2,943
9.500% due 07/01/18 1,904 1,943
Salomon Mortgage
12.000% due 05/01/15 1,076 1,081
11.500% due 09/01/15 1,502 1,648
7.180% due 12/25/17 (d) 3,752 3,732
6.700% due 01/25/18 (d) 183 182
0.000% due 03/25/24 (d) 10,806 10,821
Sears Mortgage
12.000% due 02/25/14 243 268
8.713% due 05/25/32 (d) 1,326 1,376
Shearson Lehman
9.600% due 03/25/21 2,254 2,309
SKW Realty L.P.
9.050% due 04/15/04 3,500 3,502
UBS Mortgage
9.000% due 10/18/20 12,547 12,618
Westam Mortgage Financial Corp.
6.500% due 10/02/17 10,044 9,795
-----------
593,112
===========
Other Mortgage Backed Securities - 5.1%
Chase Mortgage Financial Corp.
8.000% due 06/25/24 150 152
Columbia Federal
8.354% due 12/01/17 (d) 38 38
Dime Savings
7.113% due 11/25/18 (d) 4,442 4,138
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 659 671
Fleet Finance, Inc.
5.450% due 03/20/23 98 98
Glendale Federal Savings & Loan
11.000% due 03/01/10 53 56
Great Western Savings & Loan
6.460% due 12/01/17 (d) 721 711
Guardian
6.515% due 07/25/18 (d) 114 101
7.647% due 05/01/19 (d) 1,216 1,046
7.361% due 12/25/19 (d) 2,644 1,903
7.466% due 12/25/19 (d) 540 399
7.210% due 02/25/20 (d) 2,553 1,761
7.218% due 07/25/20 (d) 2,410 1,832
Home Savings of America
6.040% due 05/25/27 (d) 3,143 3,075
6.201% due 09/25/28 (d) 2,057 1,990
Imperial Savings & Loan
9.800% due 07/25/17 110 111
9.040% due 02/25/18 (d) 815 864
Kearny St. Real Estate Co.
6.600% due 10/15/02 4,000 3,998
7.300% due 10/15/03 2,000 1,998
</TABLE>
38
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================
<S> <C> <C>
MDC Mortgage Funding
6.915% due 01/25/25 (d) $ 25,895 $ 26,477
Residential Funding
8.500% due 04/01/02 61 62
Resolution Trust Corp.
6.608% due 05/25/19 (d) 13,309 12,877
7.400% due 08/25/19 (d) 9,355 9,329
8.625% due 10/25/21 1,898 1,903
6.900% due 02/25/27 11,180 9,734
6.420% due 10/25/28 (d) 4,743 4,816
7.396% due 05/25/29 (d) 4,754 4,732
Ryland Acceptance Corp.
8.900% due 12/01/08 76 76
7.665% due 11/28/22 (d) 10,068 10,241
Salomon Mortgage
8.218% due 12/25/17 (d) 837 846
9.558% due 10/25/18 (d) 8,077 8,398
Sears Mortgage
7.592% due 10/25/22 (d) 8,190 8,249
Security Pacific
7.850% due 05/15/98 26 27
Western Federal Savings & Loan
6.470% due 06/25/18 (d) 123 120
6.814% due 11/25/18 (d) 465 460
10.061% due 02/01/20 (d) 127 135
-----------
123,424
===========
Stripped Mortgage-Backed Securities - 3.5%
Federal Home Loan Mortgage Corp. (IO) 22,768 1,676
6.250% due 09/15/04 26,935 2,178
6.000% due 02/15/06 18,339 3,111
9.982% due 07/15/06 6,013 973
10.195% due 08/15/06 8,459 1,837
11.944% due 12/15/06 7,896 820
6.000% due 10/15/07 10,552 721
7.000% due 07/15/12 23,606 2,078
6.500% due 08/25/13 7,095 665
7.000% due 12/15/15 7,321 2,007
7.000% due 08/15/18 17,254 2,010
7.500% due 12/15/18 32,074 4,173
6.500% due 05/15/19 31,607 3,977
6.500% due 06/15/19 11,580 2,064
10.496% due 04/15/21 16,569 2,540
6.500% due 04/15/22 1,681 264
7.000% due 05/15/23 20,919 5,890
4.000% due 01/15/24 22,425 6,566
4.000% due 03/15/24
Federal National Mortgage Assn. (IO) 7,116 850
6.000% due 07/25/05 6,500 1,655
7.272% due 09/25/06 57,731 1,373
0.100% due 03/25/09 7,314 1,136
6.500% due 03/25/09 7,705 1,944
6.500% due 03/25/09 21,500 3,124
8.815% due 06/25/16 4,895 593
7.000% due 07/25/17 9,467 1,117
9.987% due 12/25/18 16,383 2,390
7.500% due 03/25/19 58,737 8,026
6.500% due 04/25/20 12,409 1,444
7.500% due 05/25/20 31,397 4,422
7.000% due 05/25/21 5,000 1,457
8.598% due 02/25/22 19,585 1,115
4.875% due 03/25/24
Federal National Mortgage Assn. (PO) 8,500 8,282
0.000% due 01/25/20
Prudential Home (IO) 121,389 1,175
0.300% due 04/25/09
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================================
<S> <C> <C>
Resolution Trust Corp. (PO) $ 1,856 $ 1,712
0.000% due 09/25/00 145 118
0.000% due 09/25/22 -----------
85,483
-----------
Total Mortgage-Backed Securities 1,983,012
===========
(Cost $1,977,546)
Asset-Backed Securities - 0.8%
Premier Auto Trust
7.350% due 05/04/97 18,000 18,117
SCFC Boat Loan Trust
7.050% due 04/15/07 124 123
-----------
Total Asset-Backed Securities 18,240
===========
(Cost $19,207)
Sovereign Issues - 4.0%
Banco National de Obra y Servicios
10.750% due 08/16/96 1,500 1,515
6.875% due 10/01/98 10,000 9,000
Cemex
10.000% due 11/15/96 4,400 4,399
8.875% due 06/10/98 2,000 1,888
Nacional Financiera
6.000% due 12/19/96 13,500 12,926
8.406% due 12/15/97 (d) 1,057 988
5.875% due 02/17/98 2,000 1,673
6.250% due 12/03/98 (d) 1,500 1,313
Petroleos Mexicanos
8.250% due 02/04/98 5,000 4,856
8.750% due 03/05/97 1,000 998
Province of Quebec
6.250% due 10/26/01 (d) 250 245
Republic of Argentina
6.063% due 05/31/96 (d) 1,600 1,577
United Mexican States
5.820% due 06/28/01 10,000 7,600
6.875% due 12/31/19 (d) 30,000 21,038
6.969% due 12/31/19 (d) 10,000 7,013
7.219% due 12/31/19 (d) 30,000 21,038
-----------
Total Sovereign Issues 98,067
===========
(Cost $111,470)
Foreign Currency-Denominated Issues (c)(f) - 1.0%
Banco National de Comercio Exterior DM
8.000% due 05/06/98 3,500 2,433
General Motors Acceptance Corp. C$
11.750% due 12/13/95 23,700 17,814
11.450% due 01/24/96 5,000 3,773
-----------
Total Foreign Currency-Denominated Securities 24,020
===========
(Cost $23,981)
Purchased CME Put Option - 0.0%
Eurodollar December Futures $ 4,000 40
Strike @ 92.00 Exp. 12/18/95
-----------
Total Purchased CME Put Option 40
===========
(Cost $29)
Interest Rate Cap - 0.0%
3 Month LIBOR 250,000 3
Strike @ 88.00 Exp. 12/20/95
-----------
Total Interest Rate Cap 3
===========
(Cost $3)
</TABLE>
39
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
September 30, 1995 (unaudited)
Value
Shares (000's)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Preferred Stock - 0.3%
Santander Overseas 25,000 $ 669
Texas Utilities Electric 27,000 6,618
----------
Total Preferred Stock 7,287
----------
(Cost $7,593)
Short-Term Instruments - 3.8%
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 3.0%
AT&T Corp.
5.640% due 11/21/95 $ 200 198
5.670% due 12/08/95 12,000 11,865
Associates Corp. of North America
5.680% due 11/27/95 3,700 3,667
5.680% due 12/04/95 3,000 2,967
Commonwealth Bank
5.600% due 12/18/95 3,100 3,059
E.I. Du Pont de Nemours
5.660% due 11/09/95 9,600 9,543
Federal National Mortgage Assn.
5.580% due 10/23/95 2,000 1,993
General Electric Capital Corp.
5.740% due 10/06/95 1,200 1,199
Hewlett Packard Co.
5.680% due 01/05/96 11,000 10,826
5.670% due 01/09/96 3,000 2,951
Minnesota Mining & Mfg. Co.
5.640% due 11/14/95 8,565 8,507
National Rural Utilities Cooperative
5.720% due 10/13/95 2,000 1,997
New South Wales Treasury
5.680% due 10/12/95 8,400 8,387
Province of Alberta
5.650% due 11/02/95 2,200 2,189
U.S. West Capital Funding, Inc.
5.710% due 10/24/95 700 698
Wal-Mart Stores
5.710% due 10/04/95 3,500 3,499
------------
73,545
============
Repurchase Agreement - 0.6%
State Street Bank
5.25% due 10/02/95 13,635 13,635
------------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $13,835,619. Repurchase
proceeds are $13,640,965.)
U.S. Treasury Bills - 0.2%
5.377% due 10/26/95 - 02/08/96 (b) (g) 5,265 5,167
------------
Total Short-Term Instruments 92,347
============
(Cost $92,372)
TOTAL INVESTMENTS (A) - 123.7% $ 3,013,491
(Cost $3,015,300)
WRITTEN OPTIONS (E) - 0.0% (356)
(Premiums $1,219)
OTHER ASSETS AND LIABILITIES (NET) - (23.7%) (576,994)
-------------
NET ASSETS - 100.0% $ 2,436,141
=============
=======================================================================================
</TABLE>
<TABLE>
<S> <C>
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 29,715
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (31,524)
--------------
$ (1,809)
==============
(b) Securities with an aggregate market value of $5,167
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
</TABLE>
<TABLE>
<CAPTION>
Unrealized
Type Contracts Appreciation
_______________________________________________________________________________________________
<S> <C> <C>
U.S. Treasury 2 Year Note (12/95) 290 $ 32
U.S. Treasury 10 Year Note (12/95) 358 90
U.S. Treasury 30 Year Bond (12/95) 47 27
--------------
$ 149
==============
(c) Foreign forward currency contracts outstanding at
September 30, 1995:
<CAPTION>
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Depreciation
________________________________________________________________________________________________
<S> <C> <C> <C> <C>
Sell C$ 29,561 10/95 $ (30)
Sell DM 3,544 10/95 (16)
-------------
$ (46)
=============
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
________________________________________________________________________________________________
<S> <C> <C> <C> <C>
Eurodollar Futures
Strike @ 93.75 Exp. 12/18/95 4,706,000 $ 116 $ 3
Strike @ 91.00 Exp. 12/18/95 133,000 1,103 353
---------------------------------------
$ 1,219 $ 356
=======================================
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar DM - German Mark
(g) Securities are grouped by coupon and represent a range
of maturities.
See Notes to Financial Statements
</TABLE>
40
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 14.3%
U.S. Government Agency 0.5%
Short-Term Instruments 12.4%
Mortgage-Backed Securities 87.8%
Low Duration Fund II
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Corporate Bonds and Notes - 14.3%
Banking and Finance - 11.3%
AT&T Capital Corp.
6.990% due 10/04/96 $ 5,000 $ 5,047
CIT Group Holdings
5.875% due 12/01/95 500 500
Chrysler Financial Corp.
8.220% due 12/27/96 2,000 2,045
Ford Motor Credit Corp.
8.000% due 12/01/96 5,000 5,098
Golden West Financial Corp.
8.625% due 08/30/98 3,000 3,164
Household Financial Corp.
7.800% due 11/01/96 3,200 3,250
Salomon, Inc.
8.550% due 02/17/97 1,900 1,945
Transamerica Financial
5.650% due 10/16/95 1,000 1,000
--------
22,049
========
Industrials - 3.0%
Ford Motor Co.
8.180% due 06/30/96 2,598 2,755
General Motors Corp.
9.750% due 05/15/99 3,000 3,066
--------
5,821
--------
Total Corporate Bonds and Notes 27,870
========
(Cost $27,461)
U.S. Government Agency - 0.5%
Government Trust Certificate - Israel
9.250% due 11/15/96 872 887
--------
Total U.S. Government Agency 887
========
(Cost $897)
Mortgage-Backed Securities - 87.8%
Federal Home Loan Mortgage Corporation - 2.7%
8.003% due 07/01/23 (c) 4,695 4,816
10.500% due 09/01/15 - 12/01/18 (d) 469 511
--------
5,327
========
Federal National Mortgage Association - 5.8%
5.360% due 01/01/24 (c) 5,215 5,261
7.113% due 02/01/25 (c) 3,209 3,281
8.500% due 02/01/98 - 06/01/98 (d) 137 140
9.000% due 06/01/98 201 206
10.500% due 05/01/12 2,208 2,427
--------
11,315
========
Government National Mortgage Association - 36.1%
7.000% due 04/20/22 (c) 7,798 7,919
7.000% due 07/20/23 - 10/19/25 (d) 25,259 25,584
7.375% due 06/20/22 (c) 7,612 7,762
7.500% due 03/15/24 - 10/19/25 (d) 11,473 11,590
8.000% due 11/20/25 15,000 15,416
9.000% due 07/20/16 - 12/20/17 (d) 1,897 1,986
--------
70,257
========
Collateralized Mortgage Obligations - 33.7%
American Housing
9.125% due 05/25/14 1,954 1,960
American Southwest Financial
7.500% due 10/01/18 1,000 1,013
Capstead
7.500% due 02/25/23 3,000 2,982
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Citicorp Mortgage
9.500% due 09/25/02 $ 2,288 $ 2,346
9.500% due 10/25/15 2,020 2,072
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 4,846 4,971
11.875% due 04/01/15 452 493
10.000% due 07/20/20 6,419 6,849
Donaldson, Lufkin & Jenrette
7.689% due 03/25/23 (c) 1,841 1,855
6.756% due 05/25/24 (c) 4,299 4,373
Federal Home Loan Mortgage Corp.
8.500% due 05/15/04 2,000 2,038
12.900% due 05/01/14 603 630
8.600% due 06/15/19 3,692 3,743
Federal National Mortgage Assn.
9.250% due 10/25/18 279 289
7.000% due 08/25/22 1,000 1,002
General Electric Capital Corp.
7.500% due 11/25/18 125 125
Kidder Peabody
7.150% due 04/25/25 2,750 2,651
Lomas & Nettleton
12.000% due 03/17/14 291 307
Merrill Lynch Trust
9.100% due 04/20/00 5,972 6,009
Prudential Home
7.000% due 07/25/23 2,544 2,535
Residential Funding
7.500% due 10/25/22 2,083 2,049
Resolution Trust Corp.
6.850% due 10/25/21 (c) 522 520
Ryland
14.000% due 11/25/31 289 321
Salomon Mortgage
7.816% due 11/25/22 (c) 5,751 5,774
Saxon Mortgage
8.150% due 09/25/22 (c) 5,067 5,162
Sears Mortgage
8.548% due 05/25/32 (c) 1,856 1,927
UBS Mortgage
8.000% due 07/25/20 1,450 1,463
--------
65,459
========
Other Mortgage-Backed Securities - 9.5%
Guardian
8.075% due 07/25/19 (c) 286 235
7.748% due 10/25/19 (c) 826 628
7.218% due 07/25/20 (c) 1,607 1,221
Resolution Trust Corp.
6.608% due 05/25/19 (c) 2,893 2,799
8.625% due 10/25/21 1,139 1,142
7.872% due 10/25/28 (c) 7,513 7,624
Salomon Mortgage
12.125% due 04/01/16 172 195
Sears Mortgage
6.500% due 03/25/17 518 459
7.592% due 10/25/22 (c) 4,095 4,125
--------
18,428
--------
Total Mortgage-Backed Securities 170,786
========
(Cost $171,277)
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund II
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=================================================================================
<S> <C> <C>
Short-Term Instruments - 12.4%
Discount Notes - 11.0%
Associates Corp. of North America
5.680% due 11/27/95 $ 6,000 $ 5,947
AT&T Corp.
6.070% due 10/02/95 100 100
5.700% due 10/31/95 2,500 2,489
5.640% due 11/21/95 500 496
Eli Lilly & Co.
5.660% due 12/06/95 1,000 989
Federal National Mortgage Assn.
5.605% due 10/26/95 2,700 2,690
General Electric Capital Corp.
6.500% due 10/02/95 2,800 2,800
5.740% due 10/13/95 1,300 1,298
Hewlett Packard Co.
5.590% due 10/17/95 2,500 2,494
5.640% due 11/14/95 400 397
Proctor & Gamble Co.
5.650% due 11/10/95 700 696
Wal-Mart Stores
5.710% due 10/04/95 1,000 1,000
---------
21,396
=========
Repurchase Agreement - 1.1%
State Street Bank
5.250% due 10/02/95 2,197 2,197
---------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $2,244,009. Repurchase
proceeds are $2,197,961)
U.S. Treasury Bills - 0.3%
5.600% due 11/16/95 - 02/08/96 (b)(d) 585 576
---------
Total Short-Term Instruments 24,169
=========
(Cost $24,169)
TOTAL INVESTMENTS (A) - 115.0% $ 223,712
(Cost $223,804)
OTHER ASSETS AND LIABILITIES (NET) - (15.0%) (29,179)
---------
NET ASSETS - 100.0% $ 194,533
=========
================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,023
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,115)
----------
Unrealized depreciation-net $ (92)
==========
(b) Securities with an aggregate market value of $576
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------
U.S. Treasury 2 Year Note (12/95) 40 $ 4
U.S. Treasury 5 Year Note (12/95) 200 (6)
U.S. Treasury 10 Year Note (12/95) 152 24
U.S. Treasury 10 Year Note (12/95) 76 35
---------
$ 57
=========
</TABLE>
(c) Variable rate security. The rate listed is as of September 30, 1995.
(d) Securities are grouped by coupon and represent a range
of maturities.
See Notes to Financial Statements
42
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Foreign 14.4%
Corporate Bonds and Notes 27.9%
Mortgage-Backed Securities 52.5%
Short-Term Instruments 12.5%
Other 3.3%
Short-Term Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
======================================================================
<S> <C> <C>
Corporate Bonds and Notes - 27.9%
Banking and Finance - 20.9%
Advanta Corp.
6.050% due 08/07/96 $ 2,000 $ 1,999
Banesto
6.787% due 12/28/95 (b) 1,000 1,006
Capital One Bank
6.250% due 07/11/95 2,200 2,199
6.436% due 07/30/96 (b) 1,000 999
Ford Motor Credit Corp.
5.940% due 11/09/98 (b) 2,600 2,577
5.570% due 03/23/99 (b) 1,000 989
5.495% due 04/05/99 (b) 1,500 1,503
General Motors Acceptance Corp.
8.800% due 04/04/96 1,500 1,520
8.800% due 07/08/96 1,300 1,326
5.250% due 12/09/96 2,000 1,980
Kansallis-Osake
8.438% due 09/30/43 (b) 1,000 1,025
Salomon, Inc.
6.138% due 03/14/96 (b) 500 496
6.263% due 03/15/96 (b) 500 499
6.870% due 10/21/96 (b) 500 497
6.558% due 11/21/96 (b) 1,000 998
--------
19,613
========
Industrials - 3.5%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,024
Delta Air Lines
9.875% due 01/01/98 1,000 1,063
Nafin Finance Trust
8.388% due 03/31/99 (b) 651 505
Time Warner, Inc.
6.835% due 08/15/00 (b),(c) 697 699
--------
3,291
========
Utilities - 3.5%
CMS Energy
9.500% due 10/01/97 (c) 1,000 1,033
Transco Energy
9.500% due 12/01/95 1,000 1,005
Triton Energy
0.000% due 11/01/97 (c) 1,500 1,284
--------
3,322
--------
Total Corporate Bonds and Notes 26,226
========
(Cost $25,992)
Mortgage-Backed Securities - 52.5%
Federal National Mortgage Association - 2.3%
6.648% due 10/01/19 (b) 259 265
7.346% due 09/01/23 (b) 1,937 1,936
--------
2,201
========
Government National Mortgage Association - 13.2%
6.000% due 09/20/25 (b) 3,038 3,045
6.500% due 07/20/24 5,395 5,464
6.500% due 09/20/24 (b) 3,904 3,954
--------
12,463
========
Collateralized Mortgage Obligations - 23.6%
Donaldson, Lufkin & Jenrette
7.440% due 10/17/20 (b) 2,341 2,365
7.810% due 09/01/21 (b) 153 152
7.519% due 06/25/22 (b) 876 884
8.071% due 02/25/23 (b) 867 875
<CAPTION>
Principal
Amount Value
(000's) (000's)
=======================================================================
<S> <C> <C>
7.554% due 05/25/23 (b) $ 1,236 $ 1,245
7.857% due 12/25/23 (b) 496 498
General Electric Capital Mortgage
6.500% due 01/25/24 1,109 1,105
Greenwich
7.456% due 10/25/22 380 382
7.679% due 04/25/24 (b) 415 415
Housing Securities, Inc.
6.750% due 05/25/20 702 696
JP Morgan Acceptance Corp.
9.000% due 10/20/07 631 637
Prudential Bache
6.394% due 09/01/18 90 91
Prudential Home
7.000% due 05/25/99 4,385 4,396
7.625% due 08/25/22 416 414
6.750% due 01/25/24 3,145 3,114
Resolution Trust Corp.
6.000% due 01/15/04 194 194
6.899% due 07/25/19 (b) 482 483
8.819% due 12/25/20 1,208 1,225
7.358% due 01/15/04 51 52
7.178% due 06/25/24 (b) 958 956
Ryland Acceptance Corp.
7.404% due 08/25/21 (b) 990 996
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
--------
22,176
========
Other Mortgage-Backed Securities - 6.4%
Dime Savings
7.113% due 11/25/18 693 645
Guardian
7.361% due 12/25/19 (b) 494 356
7.008% due 02/25/20 (b) 779 529
7.210% due 02/25/20 706 487
Neutron - Uniprop, Inc.
8.430% due 12/15/25 1,000 904
Resolution Trust Corp.
6.425% due 04/25/21 76 76
8.625% due 10/25/21 1,000 1,018
7.068% due 05/25/29 1,500 1,516
Ryland Acceptance Corp.
6.673% due 10/25/18 98 98
7.159% due 12/25/21 (b) 418 420
--------
6,049
========
Stripped Mortgage-Backed Securities - 7.0%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08 5,263 123
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 7,000 599
7.000% due 07/25/06 9,439 1,053
6.500% due 12/25/06 10,391 1,347
7.000% due 05/25/13 6,000 493
6.500% due 06/25/17 8,984 1,242
6.500% due 10/25/23 4,614 825
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 959 899
--------
6,581
--------
Total Mortgage-Backed Securities 49,470
========
(Cost $50,164)
</TABLE>
43
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS (Cont.)
Short-Term Fund
September 30, 1995 (unaudited)
Principal
Amount Value
(000's) (000's)
===============================================================================================
<S> <C> <C>
Sovereign Issues - 3.3%
Cemex
10.000% due 11/15/96 $ 1,000 $ 1,000
Government of Malaysia
6.000% due 10/19/05 (b) 1,250 1,250
United Mexican States
11.188% due 07/21/97 (b) 800 814
--------
Total Sovereign Issues 3,064
========
(Cost $3,083)
Foreign Currency-Denominated Issues (f) -14.4%
Commonwealth of Canda
8.000% due 03/15/97 (f) C$ 5000 3,784
Irish Gilt
8.750% due 07/27/97 (f) IP 3250 5,413
Kingdom of Spain
7.300% due 07/30/97 SP 560,000 4,310
--------
Total Foreign Currency-Denominated Issues 13,507
========
(Cost $13,377)
Short-Term Instruments - 12.5%
Discount Notes - 11.8%
AT&T Corp.
5.640% due 11/22/95 $ 2,000 1,984
Associates Corp. of North America
5.700% due 11/28/95 2,000 1,982
Federal National Mortgage Association
5.580% due 10/23/95 400 399
Government of Western Australia
5.700% due 11/15/95 1,500 1,490
Hewlett Packard Co.
5.670% due 11/07/95 600 597
Minnesota Mining & Mfg Co.
5.730% due 11/14/95 500 497
New South Wales Treasury
5.680% due 10/12/95 200 200
Queensland Treasury Corp.
5.630% due 11/08/95 1,000 994
USX Corp.
6.192% due 10/30/95 3,000 2,986
--------
11,129
========
Repurchase Agreement - 0.6%
State Street Bank
5.25% due 10/02/95. 519 519
--------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $532,300. Repurchase
proceeds are $519,227.)
U.S. Treasury Bill - 0.1%
6.125% due 11/16/95 80 79
--------
Total Short-Term Instruments 11,727
========
(Cost $11,727)
TOTAL INVESTMENTS (A) - 110.6% $ 103,994
(Cost $104,343)
WRITTEN OPTIONS (D) - 0.0% (38)
(Premium $119)
OTHER ASSETS AND LIABILITIES (NET) - (10.6%) (9,882)
--------
NET ASSETS - 100.0% $ 94,074
========
===============================================================================================
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 10, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 586
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (935)
---------
Unrealized depreciation-net $ (349)
=========
</TABLE>
(b) Variable rate security. The rate listed is as of September 30, 1995.
(c) Security becomes interest bearing at a future date.
(d) Premium received on Written Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put CME Eurodollar December Futures
Strike @ 92.00 Exp. 12/18/95 $ 73,000 $ 89 $ 2
Put CME Eurodollar March Futures
Strike @ 94.00 Exp. 3/18/96 41,000 30 14
Put MATIF PIBOR
Strike @ 93.00 Exp. 12/18/95 FF 120,000 20 22
--------------------------
$ 139 $ 38
==========================
(e) Securities are grouped by coupon and represent a range
of maturities.
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
FF - French Franc
IP - Irish Punt
SP - Spanish Peseta
See Notes to Financial Statements.
</TABLE>
44
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
SHORT-TERM INSTRUMENTS 41.7%
MORTAGE-BACKED SECURITIES 60.8%
Long-term U.S Government Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 60.8%
Federal Home Loan Mortgage Corporation - 1.9%
7.772% due 05/01/22 (b) $ 436 $ 445
8.240% due 06/01/22 (b) 371 379
------
824
======
Federal Housing Administration - 0.6%
7.640% due 11/01/19 263 265
------
Federal National Mortgage Association - 4.9%
6.587% due 05/01/25 (b) 1,319 1,353
6.662% due 10/01/24 (b) 814 838
------
2,191
======
Government National Mortgage Association - 7.2%
6.500% due 03/20/25 (b) 488 495
7.000% due 06/20/23 - 11/20/24 (b)(e) 2,642 2,698
------
3,193
======
Collateralized Mortgage Obligations - 38.6%
Bear Stearns
7.100% due 06/25/24 385 371
California Federal Bank
6.842% due 08/25/30 (b) 2,008 2,002
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 216 228
8.000% due 03/15/05 309 311
8.600% due 03/15/16 28 28
6.500% due 07/15/21 156 144
Federal National Mortgage Assn.
6.900% due 06/25/13 1,326 1,323
8.000% due 01/25/19 441 443
8.750% due 08/25/20 500 517
7.000% due 09/25/21 1,643 1,575
8.000% due 11/25/21 1,340 1,326
8.000% due 03/25/22 84 84
7.000% due 06/25/22 299 265
7.500% due 07/25/22 1,267 1,266
7.800% due 10/25/22 627 640
7.000% due 05/25/23 189 160
General Electric Capital Mortgage
7.500% due 03/25/19 248 250
Government National Mortgage Assn.
7.988% due 07/16/24 549 558
Independent National Mortgage Corp.
8.158% due 01/25/25 (b) 875 903
Prudential Home
6.500% due 01/25/24 1,000 864
Residential Funding
6.831% due 03/25/25 (b) 903 917
Resolution Trust Corp.
7.075% due 06/25/23 (b) 661 665
Ryland Acceptance Corp.
7.665% due 11/28/22 (b) 1,000 1,017
Vendee Mortgage
6.500% due 06/15/24 1,627 1,300
------
17,157
======
Other Mortgage-Backed Securities - 4.7%
Residential Funding
8.500% due 04/01/02 46 47
Resolution Trust Corp.
7.068% due 05/25/29 (b) 2,000 2,022
------
2,069
======
<CAPTION>
Principal
Amount Value
(000's) (000's)
=============================================================================
<S> <C> <C>
Stripped Mortgage-Backed Securities - 2.9%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/06 $ 715 $ 82
6.500% due 10/15/06 1,301 137
6.500% due 11/15/06 1,407 159
6.000% due 10/15/07 1,496 153
2.675% due 12/15/08 4,006 195
6.500% due 08/25/20 1,000 193
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 869 95
6.500% due 09/25/21 1,718 274
------
1,288
------
Total Mortgage-Backed Securities 26,987
======
(Cost $26,225)
PURCHASED CME OPTIONS - 0.0%
Call - Eurodollar December Futures
Strike @ 95.50 Exp. 12/18/95 38,000 1
Put - Eurodollar December Futures
Strike @ 90.00 Exp. 12/18/95 25,000 1
Put - Eurodollar March Futures
Strike @ 91.00 Exp. 3/18/96 14,000 0
------
Total Purchased CME Options 2
======
(Cost $7)
OTC INTEREST RATE CAP - 0.0%
3 Month LIBOR
Strike @ 87.25 Exp. 12/20/95 3,000 0
------
Total OTC Interest Rate Cap 0
======
(Cost $0)
SHORT-TERM INSTRUMENTS - 41.7%
Discount Notes - 38.0%
Abbott Laboratories
5.690% due 10/11/95 300 300
5.760% due 10/11/95 800 799
6.030% due 10/17/95 1,100 1,097
AT&T Corp.
6.070% due 10/02/95 500 500
5.700% due 10/31/95 400 398
5.650% due 11/03/95 1,200 1,194
Associates Corp. of North America
5.690% due 11/16/95 100 99
Campbell Soup Co.
5.720% due 10/26/95 1,100 1,095
Coca-Cola Co.
5.870% due 10/11/95 1,500 1,498
E.I. Du Pont de Nemours
5.640% due 10/03/95 1,100 1,100
Federal National Mortgage Assn.
5.605% due 10/26/95 600 598
Hewlett Packard
5.730% due 10/17/95 750 748
5.640% due 11/14/95 1,000 993
Minnesota Mining & Mfg. Co.
5.640% due 11/14/95 1,500 1,490
5.820% due 11/15/95 800 794
National Rural Utilities Cooperative
5.720% due 10/04/95 100 100
5.720% due 10/13/95 700 699
Pitney Bowes Credit, Inc.
5.740% due 10/03/95 750 750
5.710% due 10/23/95 700 698
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Long-Term U.S. Government Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------
<S> <C> <C>
Rockwell International
5.730% due 10/10/95 $ 200 $ 200
U.S. West Communications
5.685% due 10/06/95 600 600
Warner Lambert
5.690% due 10/23/95 1,100 1,096
----------
16,846
==========
Repurchase Agreement-1.9%
State Street Bank
5.250% due 10/02/95 850 850
----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $871,510. Repurchase
proceeds are $850,372)
U.S. Treasury Bills-1.8%
5.555% due 10/26/95 - 02/08/96 (c)(e) 825 817
----------
Total Short-Term Instruments 18,513
==========
(Cost $18,514)
Total Investments (a) - 102.5% $ 45,502
(Cost $44,746)
Written Options (d) - (0.2%) (94)
(Premiums $102)
Other Assets and Liabilities (Net) - (2.3%) (1,011)
-----------
Net Assets - 100.0% $ 44,397
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 854
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (98)
----------
Unrealized appreciation-net $ 756
==========
(b) Variable rate security. The rate
listed is as of September 30, 1995.
(c) Securities with an aggregate market value of
$817 have been segregated with the custodian
to cover margin requirements for the following
open future contracts at September 30, 1995:
<CAPTION>
Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (12/95) 305 $ 270
=======================================================================
</TABLE>
(d) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- -----------------------------------------------------------------------
<S> <C> <C> <C>
CBOT Put - U.S. T-Bond Futures
Strike @108.00 Exp. 11/18/95 $ 600 $ 9 $ 1
CME Call - Eurodollar December Futures
Strike @ 93.25 Exp. 12/18/95 15,000 18 36
Strike @ 93.50 Exp. 12/18/95 23,000 20 41
CME Put - Eurodollar December Futures
Strike @ 91.00 Exp. 12/18/95 1,000 1 0
CME Put - Eurodollar March Futures
Strike @ 92.00 Exp. 3/18/96 10,000 12 0
Strike @ 92.25 Exp. 3/18/96 20,000 15 1
Strike @ 94.00 Exp. 3/18/96 31,000 23 11
CME Put - Eurodollar June Futures
Strike @ 94.00 Exp. 6/17/96 6,000 4 4
-------------------------
$102 $ 94
=========================
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of
maturities.
See Notes to Financial Statements
46
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Finland 20.3%
Japan 18.6%
United States 48.5%
Canada 7.9%
Other 26.0%
Germany 11.0%
Mexico 10.7%
United Kingdom 13.0%
Short-Term Instruments 5.5%
Netherlands 6.2%
Foreign Fund
September 30 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C> <C>
Argentina (f) - 0.2%
Republic of Argentina
19.100% due 05/01/01 AP 900 $ 525
--------
Total Argentina 525
========
(Cost $522)
Belgium (b)(f) - 3.0%
Country of Belgium
9.000% due 03/28/03 BF 180,000 6,876
--------
Total Belgium 6,876
========
(Cost $5,890)
Canada (b)(f) - 7.9%
Commonwealth of Canada
8.750% due 12/01/05 C$ 17,800 14,182
Hydro-Quebec
6.563% due 09/30/49 (d) $ 4,000 3,478
Sears Canada
11.700% due 07/10/00 C$ 1,000 846
--------
Total Canada 18,506
========
(Cost $18,309)
Denmark (b)(f) - 4.1%
Kingdom of Denmark
6.125% due 04/15/98 DM 5,000 3,597
7.000% due 12/15/04 DK 35,000 5,929
--------
Total Denmark 9,526
========
(Cost $8,281)
Finland (b)(f) - 20.3%
Republic of Finland
10.000% due 09/15/01 FM 142,000 36,611
9.500% due 03/15/04 42,000 10,789
--------
Total Finland 47,400
========
(Cost $46,352)
France (b)(f) - 2.6%
Republic of France
7.000% due 10/12/00 FF 18,700 3,837
8.500% due 11/25/02 10,000 2,170
--------
Total France 6,007
========
(Cost $5,869)
Germany (b)(f) - 11.0%
Republic of Germany
6.250% due 01/04/24 DM 42,600 25,667
--------
Total Germany 25,667
========
(Cost $25,134)
Ireland (b)(f) - 3.8%
Irish Gilt
9.750% due 06/01/98 IP 5,200 8,913
--------
Total Ireland 8,913
========
(Cost $8,829)
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C> <C>
Italy (b)(f) - 4.3%
Republic of Italy
10.500% due 09/01/05 IL17,310,000 $ 9,924
---------
Total Italy 9,924
=========
(Cost $10,078)
Japan (b)(f) - 18.6%
Government of Japan
6.400% due 03/20/00 JY 3,590,000 43,333
---------
Total Japan 43,333
=========
(Cost $43,169)
Mexico (b)(f) - 10.7%
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 9,038
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 850 859
Bancomer
8.000% due 07/07/98 2,000 1,828
Nacional Financiera
6.000% due 12/19/96 1,000 958
8.406% due 12/15/97 (d) 740 692
Petroleos Mexicanos
7.750% due 09/30/98 FF 44,000 8,271
United Mexican States
5.820% due 06/28/01 $ 4,500 3,420
--------
Total Mexico 25,066
========
(Cost $23,724)
Netherlands (b)(f) - 6.2%
Kingdom of Netherlands
5.750% due 01/15/04 DG 14,100 8,395
8.250% due 02/15/07 8,800 6,100
--------
Total Netherlands 14,495
========
(Cost $14,238)
Panama - 1.7%
Bladex
6.875% due 05/23/96 (d) $ 4,000 3,997
--------
Total Panama 3,997
========
(Cost $3,998)
Spain (f) - 2.3%
Kingdom of Spain
10.000% due 02/28/05 SP 690,000 5,301
--------
Total Spain 5,301
========
(Cost $5,236)
United Kingdom (b)(f) - 13.0%
United Kingdom Gilt
10.250% due 11/22/99 BP 12,400 21,437
9.750% due 08/27/02 5,100 8,812
13.500% due 03/26/08 50 105
--------
Total United Kingdom 30,354
========
(Cost $29,984)
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Foreign Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================
<S> <C> <C>
United States - 48.5%
Corporate Bonds and Notes - 17.8%
Chrysler Financial Corp.
4.710% due 11/17/95 $ 3,000 $ 2,996
Ford Motor Credit Corp.
6.540% due 03/30/99 (d) 4,000 3,958
5.470% due 04/13/99 (d) 5,000 4,934
General Motors Acceptance Corp.
7.125% due 05/23/97 3,000 3,041
7.850% due 11/17/97 9,000 9,277
Merrill Lynch & Co.
7.053% due 02/26/96 (d) 5,000 4,968
Salomon, Inc.
7.400% due 03/28/96 7,800 7,824
Time Warner, Inc.
6.835% due 08/15/00 (d) 875 877
7.975% due 08/15/04 525 537
8.110% due 08/15/06 1,050 1,076
8.180% due 08/15/07 1,050 1,075
Transcontinental Gas Pipeline
6.210% due 05/15/00 (d) 1,000 999
------------
41,562
============
Mortgage-Backed Securities - 30.7%
Chase Mortgage
7.500% due 11/25/23 658 658
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 122 124
Countrywide
7.177% due 11/25/24 (d) 842 860
Federal Home Loan Mortgage Corporation
4.750% due 02/15/04 1,499 1,496
9.050% due 06/15/19 251 260
9.000% due 11/15/19 101 102
7.573% due 01/01/24 (d) 759 785
7.345% due 08/01/24 (d) 4,254 4,366
Federal Home Loan Mortgage Corp. (IO)
6.500% due 01/15/19 30,591 3,334
Federal National Mortgage Association
9.050% due 12/25/18 2,707 2,814
5.706% due 04/01/24 (d) 485 492
6.429% due 12/01/27 (d) 1,088 1,097
Government National Mortgage Association
7.375% due 05/20/23 (d) 1,742 1,783
6.500% due 07/20/23 (d) 5,941 6,014
7.000% due 09/20/23 (d) 1,198 1,221
6.500% due 10/20/23 (d) 973 993
7.000% due 10/20/23 (d) 4,988 5,082
7.375% due 06/20/24 (d) 1,365 1,398
7.000% due 09/20/24 (d) 1,088 1,116
6.500% due 10/20/24 (d) 775 785
7.000% due 04/20/25 (d) 72 74
7.000% due 05/20/25 (d) 907 925
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (d) 3,637 3,640
Merrill Lynch & Co.
11.450% due 10/01/15 1,023 1,023
Morgan Stanley Mortgage Trust
8.150% due 07/20/21 7 6
PaineWebber Mortgage
7.000% due 10/25/23 2,721 2,716
Resolution Trust Corp.
6.888% due 12/15/04 (d) 1,412 1,418
7.500% due 12/15/04 2,000 2,006
10.611% due 05/25/24 (d) 453 473
7.750% due 04/25/28 5,543 5,537
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================================================
<S> <C> <C>
Ryland Acceptance Corp.
7.873% due 09/25/23 (d) $ 17,401 $ 17,662
Sears Mortgage
7.355% due 06/25/22 (d) 340 340
8.250% due 09/25/31 932 933
------------
71,533
------------
Total United States 113,095
============
(Cost $113,099)
Purchased OTC Options (f) - 4.0%
Call - Government of Germany (h)
6.25% due 01/04/24
Strike @ 74.00 Exp. 10/10/95 DM 47,000 4,094
Call - Government of Japan (h)
4.60% due 06/22/98
Strike @ 103.00 Exp. 10/19/95 JY 7,180,000 4,879
Put - Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 600,000 382
------------
Total Purchased OTC Options 9,355
============
(Cost $9,102)
Short-Term Instruments - 5.5%
Discount Notes - 3.7%
AT&T Corp.
5.710% due 10/20/95 $ 500 499
5.710% due 11/03/95 1,000 995
General Electric Capital Corp.
6.500% due 10/02/95 3,000 3,000
5.740% due 10/13/95 1,900 1,897
KFW International Finance
5.750% due 10/05/95 200 200
USX Corp.
6.191% due 10/31/95 2,000 1,990
------------
8,581
============
Repurchase Agreement -0.5%
State Street Bank
5.250% due 10/02/95 1,191 1,191
============
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,215,940. Repurchase
proceeds are $1,191,521)
U.S. Treasury Bills - 1.3%
5.657% due 11/16/95 - 02/08/96 (c)(g) 3,185 3,150
------------
Total Short-Term Instruments 12,922
============
(Cost $12,921)
TOTAL INVESTMENTS (A) - 167.7% $ 391,262
(Cost $384,735)
WRITTEN OPTIONS (E) - (0.2%) (441)
(Premiums $240)
OTHER ASSETS AND LIABILITIES (NET) - (67.5%) (157,525)
------------
NET ASSETS - 100.0% $ 233,296
============
</TABLE>
48
<PAGE>
===============================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 8,183
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,656)
------------
Unrealized appreciation-net $ 6,527
==========
(b) Foreign forward currency contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell A$ 214 10/95 $ 0
Sell BF 209,089 10/95 (79)
Sell BP 19,706 10/95 (365)
Buy C$ 12,388 10/95 138
Sell C$ 1,362 10/95 (2)
Buy DG 21,535 10/95 449
Sell DG 36,870 10/95 (657)
Buy DK 40,157 9/96 221
Buy DK 34,522 10/95 (157)
Buy DM 10,541 10/95 (15)
Sell DM 67,179 10/95 (865)
Buy FM 332 10/95 1
Buy FM 24,050 9/96 88
Sell FM 84,828 10/95 (712)
Buy FF 23,591 9/96 137
Sell FF 79,047 10/95 (89)
Buy IP 5,673 10/95 6
Sell IP 5,673 11/95 (7)
Buy IL 18,892,829 9/96 47
Buy JY 8,631,701 10/95 188
Sell JY 2,232,262 10/95 (32)
Sell JY 7,180,000 10/96 (459)
Sell SF 2 10/95 0
Buy SK 50,632 9/96 147
-------------
$ (2,017)
=============
</TABLE>
(c) Securities with an aggregate market value of $3,150
have been segregated with the custodian to cover
margin requirements for the following open future
contracts at September 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ------------------------------------------------------------------------------
<S> <C> <C>
Government of Australia 10 Year Bond 42 $ 61
Republic of France 10 Year Bond 124 (150)
Government of Japan 10 Year Bond 20 766
U.S. Treasury 10 Year Note (12/95) 298 (123)
U.S. Treasury 30 Year Bond (12/95) 191 (248)
-------------
$ 306
=============
(d) Variable rate security. The rate listed is as of September 30, 1995.
==============================================================================
(e) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
- ------------------------------------------------------------------------------
<S> <C> <C>
Call - Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 600,000 $ 189 $ 241
Put - Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 600,000 51 200
-------------------------
$ 240 $ 441
=========================
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar FM - Finnish Markka
AP - Argentine Peso FF - French Franc
BF - Belgian Franc IP - Irish Punt
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Kroner SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(g) Securities are grouped by coupon rate and represent a range of
maturities.
(h) Security is subject to outstanding short sale committment.
</TABLE>
See Notes to Financial Statements
49
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
United States 41.1%
Other 23.9%
Japan 18.0%
Short-Term Instruments 12.6%
Netherlands 5.2%
United Kingdom 8.1%
Finland 23.9%
Germany 6.5%
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================
<S> <C> <C> <C>
Argentina (g) - 0.4%
Republic of Argentina
19.100% due 05/01/01 AP 600 $ 350
-----------
Total Argentina 350
===========
(Cost $348)
Canada (b)(g) - 4.8%
Commonwealth of Canada
9.000% due 12/01/04 C$ 3,000 2,417
8.750% due 12/01/05 2,900 2,310
-----------
Total Canada 4,727
===========
(Cost $4,371)
Denmark (b)(g) - 1.2%
Kingdom of Denmark
7.000% due 12/15/04 DK 7,000 1,186
-----------
Total Denmark 1,186
===========
(Cost $1,039)
Finland (b)(g) - 23.9%
Republic of Finland
10.000% due 09/15/01 FM 76,000 19,594
9.500% due 03/15/04 15,000 3,853
-----------
Total Finland 23,447
===========
(Cost $22,859)
France (b)(g) - 0.7%
Republic of France
7.750% due 10/25/05 FF 3,450 712
-----------
Total France 712
===========
(Cost $710)
Germany (b)(g) - 6.5%
German Unity Fund
8.000% due 01/21/02 DM 2,600 1,976
Republic of Germany
7.125% due 01/29/03 2,900 2,100
7.500% due 11/11/04 3,150 2,322
-----------
Total Germany 6,398
==========
(Cost $6,012)
Ireland (b)(g) - 3.9%
Irish Gilt
9.750% due 06/01/98 IP 2,200 3,771
-----------
Total Ireland 3,771
===========
(Cost $3,735)
Italy (b)(g) - 1.9%
Republic of Italy
10.500% due 09/01/05 IL 3,240,000 1,886
-----------
Total Italy 1,886
===========
(Cost $1,886)
Japan (b)(g) - 18.0%
Government of Japan
6.400% due 03/20/00 JY 1,465,000 17,683
-----------
Total Japan 17,683
===========
(Cost $17,616)
====================================================================
Mexico (b)(g) - 3.2%
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 500 $ 348
11.250% due 05/31/96 1,300 1,302
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 500 505
Cemex
10.000% due 11/15/96 1,000 1,000
-----------
Total Mexico 3,155
===========
(Cost $3,123)
Netherlands (b)(g) - 5.2%
Kingdom of Netherlands
9.000% due 05/15/00 DG 1,200 848
7.000% due 06/15/05 1,800 1,152
8.250% due 02/15/07 4,400 3,050
-----------
Total Netherlands 5,050
===========
(Cost $5,066)
Panama - 2.0%
Bladex
6.875% due 05/23/96 (d) $ 2,000 1,999
-----------
Total Panama 1,999
===========
(Cost $1,999)
Spain (b)(g) - 3.0%
Kingdom of Spain
10.000% due 02/28/05 SP 115,000 884
Santander Finance Ltd.
7.750% due 05/15/05 $ 2,000 2,073
-----------
Total Spain 2,957
===========
(Cost $2,904)
United Kingdom (b)(g) - 8.1%
United Kingdom Gilt
6.000% due 08/10/99 BP 2,700 4,058
10.250% due 11/22/99 2,250 3,890
-----------
Total United Kingdom 7,948
===========
(Cost $7,874)
United States - 41.1%
Corporate Bonds and Notes - 15.6%
CMS Energy
0.000% due 10/01/97 (e) $ 750 775
CTC Mansfield Funding
11.125% due 09/30/16 700 711
General Motors Acceptance Corp.
6.250% due 11/20/95 2,000 2,002
6.750% due 05/20/96 1,000 1,005
6.500% due 05/15/97 1,000 1,004
Kansallis-Osake
8.438% due 09/30/43 (d) 5,000 5,125
Occidental Petroleum
11.750% due 03/15/11 1,000 1,071
Salomon, Inc.
7.400% due 03/28/96 3,000 3,009
United Air Lines
10.670% due 05/01/04 500 583
-----------
15,285
===========
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================
<S> <C> <C>
Mortgage-Backed Securities - 25.5%
Countrywide
7.177% due 11/25/24 (d) $ 421 $ 430
Federal Home Loan Mortgage Assn.
5.828% due 03/01/24 (d) 813 824
5.874% due 11/01/23 (d) 1,552 1,603
6.429% due 12/01/27 (d) 487 491
7.573% due 01/01/24 (d) 169 174
7.850% due 05/01/23 (d) 1,921 1,992
Federal Housing Administration
7.399% due 02/01/21 1,721 1,746
Federal National Mortgage Assn.
6.500% due 04/01/09 920 907
7.500% due 11/01/01 - 01/01/02 (h) 1,394 1,420
Government National Mortgage Assn.
6.500% due 07/20/22 - 10/20/24 (d)(h) 5,290 5,353
7.000% due 04/20/25 - 05/20/25 (d)(h) 391 400
7.375% due 05/20/23 - 06/20/24 (d)(h) 2,419 2,471
MDC Mortgage Funding
7.984% due 01/25/25 (d) 1,558 1,603
Residential Funding
6.831% due 03/25/25 (d) 4,516 4,583
Resolution Trust Corp.
8.000% due 04/25/25 1,000 1,033
---------
25,030
---------
Total United States 40,315
=========
(Cost $39,778)
Purchased OTC Options (g) - 2.8%
Call - Government of Germany (i)
6.25% due 1/04/24
Strike @ 74.00 Exp. 10/10/95 DM 8,000 697
Call - Government of Japan (i)
4.6% due 6/22/98
Strike @ 103.00 Exp. 10/19/95 JY 2,930,000 1,991
Put - Japanese Yen v. U.S. Dollar
Strike @ 100.00 Exp. 10/03/95 100,000 64
----------
Total Purchased OTC Options 2,752
==========
(Cost $2,611)
Short-Term Instruments - 12.6%
Discount Notes - 11.3%
AT&T Corp.
5.720% due 10/20/95 $ 1,300 1,296
Exxon
5.780% due 10/06/95 300 300
General Electric Capital Corp.
6.500% due 10/02/95 1,000 1,000
Hewlett Packard
5.625% due 10/24/95 400 399
5.680% due 01/05/96 3,000 2,953
KFW International Finance
5.750% due 10/05/95 700 700
Province of Alberta
5.710% due 11/02/95 600 597
Rockwell International
5.730% due 10/10/95 400 399
U.S. West Communications
5.650% due 11/13/95 900 894
USX Corp.
6.191% due 10/31/95 1,000 995
Wal-Mart Stores
5.710% due 10/06/95 1,500 1,499
-----------
11,032
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================
<S> <C> <C>
Repurchase Agreement - 0.4%
State Street Bank
5.250% due 10/02/95 $ 390 $ 390
-----------
(Dated 9/29/95. Collateralized by
U.S. Treasury Note 6.625%
valued at $401,834. Repurchase
proceeds are $390,170)
U.S. Treasury Bills - 0.9%
5.625% due 10/26/95 - 02/08/96 (c)(h) 815 811
-----------
Total Short-Term Instruments 12,233
===========
(Cost $12,234)
Total Investments (a) - 139.3% $ 136,569
(Cost $134,165)
Written Options (f)- (0.1)% (74)
(Premiums $40)
Other Assets and Liabilities (Net) - (39.2)%(38,422)
-----------
Net Assets - 100.0% $ 98,073
===========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized appreciation
(depreciation) of investments based on cost for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,500
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (96)
----------
Unrealized appreciation-net $ 2,404
==========
</TABLE>
51
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Global Fund
September 30, 1995 (unaudited)
===================================================================
(b) Foreign currency forward contracts outstanding at
September 30, 1995:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type By Contract Month (Depreciation)
- --------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 1,419 10/95 $ (2)
Buy BF 93,253 10/95 35
Sell BP 1,709 10/95 (32)
Buy C$ $ 4,843 10/95 57
Sell 2,689 10/95 (7)
Buy DG 4,070 10/95 (7)
Sell 11,571 10/95 (126)
Buy DK 3,313 10/95 15
Buy 15,685 09/96 88
Buy DM 6,927 10/95 54
Sell 17,432 10/95 (223)
Buy FM 496 10/95 2
Buy 9,100 09/96 33
Sell 42,414 10/95 (356)
Buy FF 33,936 10/95 56
Buy 9,355 09/96 54
Sell 9,220 10/95 2
Buy IP 2,400 10/95 2
Sell 2,400 10/95 (3)
Buy IL 5,072,357 10/95 (2)
Buy 7,434,644 09/96 18
Buy JY 4,408,648 10/95 162
Sell 364,259 10/95 12
Sell 2,930,000 10/96 (187)
Buy SK 11,824 10/95 27
Buy 20,066 09/96 58
Buy SP 194,376 10/95 17
----------
$ (253)
==========
(c) Securities with an aggregate market value of $811 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at September 30, 1995:
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------
<S> <C> <C>
Government of Australia 10 Year Bond 10 $ 15
Republic of France 10 Year Bond 46 (56)
U.S. Treasury 10 Year Note (12/95) 9 (4)
U.S. Treasury 30 Year Bond (12/95) 26 (40)
---------
$ (85)
=========
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Security becomes interest bearing at a future date.
(f) Premiums received on OTC Written Options:
<CAPTION>
Premium Market
Type Par Received Value
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Call - Japanese Yen v. U.S. Dollar
Strike @ 92.00 Exp. 10/03/95 JY 100,000 $ 31 $ 40
Put - Japanese Yen v. U.S. Dollar
Strike @ 108.00 Exp. 10/03/95 100,000 9 34
------------------------
$ 40 $ 74
========================
===========================================================================
(g) Principal amount denoted in indicated currency:
A$ - Australian Dollar FM - Finnish Markka
AP - Argentine Peso FF - French Franc
BF - Belgian Franc IP - Irish Punt
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
DG - Dutch Guilder SF - Swiss Franc
DK - Danish Kroner SK - Swedish Krona
DM - German Mark SP - Spanish Peseta
(h)Securities are grouped by coupon rate and represent a range of
maturities.
(i)Security is subject to outstanding short sale committment.
See Notes to Financial Statements
</TABLE>
52
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Morgage-Backed Securities 10.8%
Short-Term Instruments 7.1%
Other 4.3%
Corporate Bonds and Notes 77.5%
High Yield Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000"s)
==============================================================
<S> <C> <C>
Corporate Bonds and Notes - 77.5%
Banking and Finance - 5.1%
Coleman Holdings
0.000% due 05/27/98 (b) $ 5,500 $ 4,359
Navistar Financial
8.875% due 11/15/98 5,750 5,779
Phoenix RE Corp.
9.750% due 08/15/03 6,550 6,812
Reliance Group Holdings
9.000% due 11/15/00 7,000 6,965
--------
23,915
========
Industrials - 63.6%
Abbey Healthcare Group
9.500% due 11/01/02 8,220 8,568
Acetex Corp.
9.750% due 10/01/03 3,750 3,736
Act III Broadcasting
9.625% due 12/15/03 7,740 7,855
Alliant Techsystems, Inc.
11.750% due 03/01/03 3,500 3,815
American Airlines
10.610% due 03/04/10 650 772
American Standard
11.375% due 05/15/04 6,500 7,149
Amerigas Partners L.P.
10.125% due 04/15/07 4,750 5,058
Ametek, Inc.
9.750% due 03/15/04 7,000 7,454
Bally Park Place Funding
9.250% due 03/15/04 2,000 1,945
Bally's Grand
10.375% due 12/15/03 4,800 4,727
Benedek Broadcasting Corp.
11.875% due 03/01/05 5,500 5,961
CF Cable TV, Inc.
9.125% due 07/15/07 5,500 5,555
Cablevision Systems
10.750% due 04/01/04 3,640 3,831
9.875% due 04/01/23 3,000 3,120
Century Communication
11.875% due 10/15/03 5,000 5,313
Continental Cablevision
11.000% due 06/01/07 5,810 6,420
9.500% due 08/01/13 3,375 3,518
Delta Air Lines
10.790% due 03/26/14 2,264 2,729
Doskocil Companies, Inc.
9.750% due 07/15/00 4,250 4,176
Ferrell Gas
10.000% due 08/01/01 5,350 5,563
Figgie International, Inc.
9.875% due 10/01/99 5,990 6,040
G-I Holdings, Inc.
0.000% due 10/01/98 (b) 8,500 6,162
Genesis Health Ventures
9.750% due 06/15/05 5,000 5,213
Granite Broadcasting
10.375% due 05/15/05 2,500 2,613
Gulf Canada Resources
9.250% due 01/15/04 7,750 7,673
HMH Properties
9.500% due 05/15/05 5,000 5,041
HS Resources
9.875% due 12/01/03 6,000 5,903
J.Q. Hammons Hotels
8.875% due 02/15/04 7,000 6,545
<CAPTION>
Principal
Amount Value
(000's) (000's)
==============================================================
<S> <C> <C>
Harrahs Operating, Inc.
10.875% due 04/15/02 $ 2,500 $ 2,694
Infinity Broadcasting
10.375% due 03/15/02 4,500 4,838
Jones Intercable, Inc.
9.625% due 03/15/02 5,000 5,225
K-III Communications
10.625% due 05/01/02 500 533
10.250% due 06/01/04 8,100 8,626
Metrocall, Inc.
10.375% due 10/01/07 4,000 4,060
Nuevo Energy Co.
12.500% due 06/15/02 5,204 5,685
Owens Illinois
10.500% due 06/15/02 2,000 2,090
11.000% due 12/01/03 7,500 8,269
Paging Network
10.125% due 08/01/07 7,500 7,613
Pathmark Stores, Inc.
9.625% due 05/01/03 4,500 4,466
0.000% due 11/01/03 (b) 3,000 1,965
RJR Nabisco
8.000% due 07/15/01 2,000 2,017
8.625% due 12/01/02 5,500 5,638
Repap Wisconsin, Inc.
9.250% due 02/01/02 6,750 6,497
Revlon Consumer Products Corp.
9.500% due 06/01/99 6,500 6,500
9.375% due 04/01/01 2,000 1,995
Rogers Cablesystems, Inc.
10.000% due 03/15/05 5,500 5,686
Rogers Cantel Mobile
10.750% due 11/01/01 6,180 6,489
11.125% due 07/15/02 2,000 2,120
SCI Television
11.000% due 06/30/05 9,175 9,703
Schuller International Group
10.875% due 12/15/04 4,000 4,430
Sequa Corp.
10.000% due 05/14/01 1,500 1,531
10.150% due 05/15/01 3,500 3,404
8.750% due 12/15/01 750 694
Showboat, Inc.
9.250% due 05/01/08 5,900 5,576
Sinclair Broadcast Group
10.000% due 09/30/05 1,750 1,789
Stone Consolidated
10.250% due 12/15/00 2,250 2,374
Sweetheart Cup Co.
9.625% due 09/01/00 4,500 4,478
Telewest Communications
9.625% due 10/01/06 6,500 6,598
Tenet Healthcare Corp.
9.625% due 09/01/02 2,500 2,650
Triton Energy
0.000% due 11/01/97 (b) 8,450 7,235
West Point Stevens
8.750% due 12/15/01 7,000 6,948
World Color Press, Inc.
9.125% due 03/15/03 6,185 6,170
--------
299,041
========
</TABLE>
53
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
High Yield Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=============================================================
<S> <C> <C>
Utilities - 8.8%
AES Corp.
9.750% due 06/15/00 $ 5,535 $ 5,653
CMS Energy
9.875% due 10/01/99 4,950 5,049
CTC Mansfield Funding
11.125% due 09/30/16 7,000 7,105
California Energy
9.875% due 06/30/03 3,000 3,120
0.000% due 01/15/04 (b) 7,490 6,610
Long Island Lighting Co.
7.050% due 03/15/03 2,500 2,385
8.200% due 03/15/23 4,500 4,230
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 481
10.732% due 01/01/13 6,993 6,754
--------
41,387
--------
Total Corporate Bonds and Notes 364,343
========
(Cost $361,135)
Morgage-Backed Securities - 10.8%
Collateralized Morgage Obligations - 4.6%
Federal National Mortgage Assn.
8.196% due 05/25/28 (d) 2,835 1,954
Resolution Trust Corp.
10.500% due 01/15/04 5,000 5,012
9.250% due 06/25/23 3,625 3,720
8.835% due 12/25/23 3,439 3,155
9.500% due 05/25/24 207 201
8.500% due 03/25/25 371 366
SKW Realty L.P.
10.750% due 04/15/04 7,000 7,013
--------
21,421
========
Other Mortgage-Backed Securities- 5.0%
Kearny St. Real Estate Co.
9.400% due 10/15/05 5,000 5,034
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (d) 2,704 2,705
Neutron - Uniprop, Inc.
8.430% due 12/15/25 4,000 3,617
Resolution Trust Corp.
8.000% due 06/25/26 6,739 5,719
6.900% due 02/25/27 3,817 3,323
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,150
--------
23,548
========
Stripped Mortgage-Backed Securities- 1.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 10/15/08 1,397 191
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,500 657
7.000% due 07/25/08 9,531 1,391
6.500% due 06/25/17 5,000 691
6.500% due 04/15/22 6,300 969
Fund America (IO)
9.590% due 10/20/21 2,948 783
Prudential Home (IO)
0.251% due 05/25/24 120,128 1,080
--------
5,762
--------
Total Mortgage-Backed Securities 50,731
(Cost $47,956) ========
<CAPTION>
Principal
Amount Value
(000's) (000's)
=============================================================
<S> <C> <C>
Soverign Issues - 2.8%
First Mexican Acceptance Corp.
8.750% due 09/15/96 $ 1,000 $ 965
Republic of Argentina
7.394% due 03/31/05 7,500 4,650
5.000% due 03/31/23 8,000 3,840
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 880
United Mexican States
6.250% due 12/31/19 5,000 3,019
--------
Total Sovereign Issues 13,354
(Cost $13,785) ========
Preferred Stock - 1.5%
Shares
First Nationwide Bank 65,500 7,271
Short-term Instruments - 7.1%
Principal
Amount
(000's)
Discount Notes - 7.0%
AT&T Corp.
5.710% due 11/03/95 $ 900 895
5.670% due 12/08/95 2,500 2,472
Associates Corp. of North America
5.690% due 11/16/95 1,600 1,589
5.690% due 11/17/95 3,900 3,872
Campbell Soup Co.
6.520% due 10/26/95 1,200 1,195
E.I. Du Pont de Nemours
6.070% due 01/11/96 4,200 4,129
General Electric Capital Corp.
6.500% due 10/02/95 1,500 1,500
6.730% due 10/11/95 3,000 2,995
5.740% due 10/24/95 2,400 2,392
Government of Western Australia
5.710% due 10/25/95 3,000 2,989
Hewlett Packard Co.
5.625% due 10/24/95 1,600 1,595
5.670% due 01/09/96 1,000 984
KFW International Financial
5.750% due 10/05/95 2,050 2,049
5.700% due 10/23/95 4,000 3,987
Rockwell International
5.730% due 10/10/95 400 399
--------
33,042
========
Repurchase Agrement - 0.1%
State Street Bank
5.25% due 10/02/95 482 482
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $480,121. Repurchase
proceeds are $482,211.)
--------
Total Short-Term Instruments 33,524
========
(Cost $33,524)
</TABLE>
54
<PAGE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS (A) - 99.7% $ 469,223
(Cost $459,104)
WRITTEN OPTION (C) - 0.0% (21)
(Premium $21)
OTHER ASSETS AND LIABILITIES (NET) - 0.3% 1,339
---------
NET ASSETS - 100.0% $ 470,541
=========
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 13,126
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,007)
-----------
Unrealized appreciation-net $ 10,119
===========
(b) Security becomes interest bearing at a future date.
(c) Premium received on OTC Written Call Option:
<CAPTION>
Premium Market
Type Par Received Value
- ------------------------------------------------------------------
<S> <C> <C> <C>
Republic of Argentina
Strike @ 65.125 Exp. 11/22/95 $ 1,500 $ 21 $ 21
(d) Variable rate security. The rate listed is as of September 30, 1995.
(e) Securities are grouped by coupon rate and represent a range of
maturities.
See Notes to Financial Statements
</TABLE>
55
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Consumer Discretionary 16.3%
Consumer Staples 34.6%
Capital Goods 9.0%
Utilities/Telecommunications 8.3%
Other 9.7%
Technology 16.8%
Basic Materials 5.1%
Growth Stock Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Value
Shares (000's)
================================================================
<S> <C> <C>
Common Stocks - 99.1%
Energy - 3.2%
Coastal Corp. 1,400 $ 47
Imperial Oil Ltd. 2,800 104
Nabors Industries, Inc. (b) 9,300 88
Smith International, Inc. (b) 3,500 61
Union Texas Petroleum Holdings, Inc. 3,400 62
--------
362
========
Technology - 16.8%
Adaptec, Inc. (b) 1,400 58
Avnet, Inc. 3,400 176
BMC Software, Inc. (b) 2,200 101
Cabletron Systems, Inc. (b) 1,200 79
Cisco Systems, Inc. (b) 1,800 124
Dell Computer Corp. (b) 700 59
DSC Communications Corp. (b) 2,500 148
Intel Corp. 3,400 204
Linear Technology Corp. 2,400 100
Microsoft Corp. (b) 600 54
Motorola, Inc. 4,800 367
Oracle Systems Corp. (b) 5,500 211
Sensormatic Electronics Corp. 4,400 101
Silicon Graphics, Inc. (b) 2,900 100
--------
1,882
========
Consumer Discretionary - 16.3%
Autozone, Inc. (b) 1,600 41
Belo (A.H.) Corp. "A" 4,000 138
Danaher Corp. 800 26
Department 56, Inc. (b) 1,400 65
Disney (Walt) Co. 5,500 316
Eastman Kodak Corp. 1,100 65
Eaton Corp. 500 27
Echlin, Inc. 1,000 36
Home Depot, Inc. 3,400 136
Magna International, Inc. "A" 1,800 81
Newell, Co. 8,000 198
Nike, Inc. "B" 1,100 122
Office Depot, Inc. (b) 7,400 223
Tribune Co. 700 46
Volvo Aktiebolaget ADR 4,100 100
Wal-Mart Stores, Inc. 5,900 147
Wellman, Inc. 2,500 61
--------
1,828
========
Consumer Staples - 34.6%
Abbott Laboratories 7,900 337
Albertsons, Inc. 4,800 164
Amgen, Inc. (b) 2,800 140
Coca-Cola Co. 6,500 448
Columbia HCA Healthcare Corp. 1,400 68
ConAgra, Inc. 4,400 174
Dentsply International, Inc. 2,900 100
Diagnostic Products Corp. 1,000 38
Foundation Health Corp. (b) 800 31
Health Management Associates, Inc. "A" (b) 1,000 32
IBP, Inc. 5,300 283
Johnson & Johnson 4,600 341
Kroger Co. (b) 2,900 99
Merck & Co. 4,400 246
Pepsico, Inc. 3,500 178
Pfizer, Inc. 7,700 411
Procter & Gamble Co. 3,700 285
Sara Lee Corp. 5,200 155
Schering Plough Corp. 2,700 139
<CAPTION>
Value
Shares (000's)
================================================================
<S> <C> <C>
Sysco Corp. 4,000 $ 109
Tecnol Medical Products, Inc. (b) 2,200 42
U.S. Healthcare, Inc. 1,200 43
--------
3,863
========
Financial Services - 3.8%
Advanta Corp. "A" 3,000 135
AFLAC Inc. 3,600 149
American International Groups, Inc. 800 68
First USA, Inc. 400 22
Mercury Finance Co. 200 5
SunAmerica, Inc. 700 44
--------
423
========
Utilities/Telecommunications - 8.3%
Ameritech Corp. 4,600 240
California Energy Co., Inc. (b) 8,500 174
Century Telephone Enterprise 3,400 103
Enron Corp. 7,300 245
Nova Corp. 3,100 24
Panhandle Eastern Corp. 400 11
Telephone & Data Systems, Inc. 1,000 42
Vodafone Group PLC 1,600 66
Williams Companies, Inc. 600 23
--------
928
========
Basic Materials - 5.1%
Bowater, Inc. 2,300 107
Cabot Corp. 1,400 74
Monsanto Co. 200 20
Morton International, Inc. 1,600 50
Norsk Hydro A/S ADR 2,700 116
Owens Illinois, Inc. (b) 3,600 46
Willamette Industries, Inc. 2,400 160
--------
573
========
Capital Goods - 9.0%
Browning-Ferris Industries, Inc. 5,400 164
Federal Signal Corp. 6,300 140
General Electric Corp. 5,100 325
Georgia-Pacific Corp. 900 79
Thermo Electron Corp. (b) 4,000 186
Trimas Corp. 5,200 108
--------
1,002
========
Services - 2.0%
Federal Express Corp. (b) 300 25
Olsten Corp. 1,500 58
Pittston Services Group 2,200 60
Tyco International, Ltd. 1,300 82
--------
225
--------
Total Common Stocks 11,086
========
(Cost $8,917)
Short-term Investments - 0.7%
Principal
Amounts
Repurchase Agreement - 0.7% (000's)
State Street Bank
5.250% due 10/02/95 $ 74 74
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $78,279. Repurchase
proceeds are $74,032)
--------
Total Short-Term Instruments 74
========
(Cost $74)
</TABLE>
56
<PAGE>
<TABLE>
================================================================
<S> <C>
Total Investments (a) - 99.8% $ 11,160
(Cost $8,991)
Other Assets and Liabilities (Net) - 0.2% 20
--------
Net Assets - 100.0% $ 11,180
========
Notes to Schedule of Investments ($ in thousands):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes was
as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,265
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (96)
---------
Unrealized appreciation-net $ 2,169
=========
(b) Non-income producing security.
See Notes to Financial Statements
</TABLE>
57
<PAGE>
SCHEDULE OF INVESTMENTS
[PIE CHART APPEARS HERE]
Short-Term Instruments 22.0%
Foreign 5.0%
Corporate Bonds and Notes 19.9%
Mortgage-Backed Securities 52.3%
Sovereign Issues 3.9%
StocksPLUS Fund
September 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
Corporate Bonds and Notes - 19.9%
Banking and Finance -14.5%
Advanta Corp.
7.260% due 10/15/96 $ 1,500 $ 1,515
Capital One Bank
6.250% due 07/11/96 (b) 600 600
6.436% due 07/30/96 (b) 500 499
Den Danske Bank
6.000% due 06/30/00 (b) 450 455
Ford Motor Credit Corp.
5.940% due 11/09/98 (b) 500 496
6.540% due 03/30/99 (b) 250 247
6.595% due 04/05/99 (b) 340 341
Home Savings of America
10.500% due 06/12/97 1,750 1,779
Kansallis-Osake
8.438% due 09/30/43 (b) 1,500 1,538
Lehman Brothers, Inc.
7.680% due 02/12/96 1,750 1,758
Salomon, Inc.
6.375% due 02/05/96 500 499
6.870% due 10/21/96 500 497
6.794% due 04/05/99 (b) 500 483
----------
10,707
----------
Industrials - 3.4%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,024
Occidental Petroleum
11.750% due 03/15/11 750 804
Time Warner, Inc.
6.835% due 08/15/00 688 689
Time Warner, Inc.
7.975% due 08/15/04 1 1
----------
2,518
----------
Utilities - 2.0%
CMS Energy
9.500% due 10/01/97 250 258
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 997
Transcontinental Gas Pipeline
9.000% due 11/15/96 200 206
----------
1,461
----------
Total Corporate Bonds and Notes 14,686
==========
(Cost $14,637)
Mortgage-Backed Securities - 52.3%
Federal Home Loan Mortgage Corp. - 7.2%
8.500% due 11/13/25 1,000 1,035
8.215% due 06/01/22 (b) 1,900 1,953
7.634% due 12/01/22 (b) 2,254 2,328
----------
5,316
----------
Federal National Mortgage Assn. - 4.8%
9.000% due 01/01/99 104 106
7.388% due 05/01/22 (b) 1,133 1,150
6.962% due 02/01/25 (b) 2,266 2,317
----------
3,573
----------
<CAPTION>
Principal
Amount Value
(000's) (000's)
========================================================================
<S> <C> <C>
Government National Mortgage Assn. - 9.2%
6.500% due 08/20/24 (b) $ 1,644 $ 1,665
7.000% due 08/20/24 (b) 92 94
6.500% due 07/20/24 (b) 4,961 5,024
----------
6,783
----------
Collateralized Mortgage Securities Corp. - 17.2%
Bank Mart
7.476% due 03/01/19 (b) 2,966 2,968
Countrywide
6.500% due 02/25/24 2,826 2,814
Citicorp Mortgage
9.500% due 11/25/17 1,405 1,457
Collateralized Mortgage Securities Corp.
7.363% due 09/25/18 (b) 137 137
8.000% due 09/25/21 81 81
9.250% due 12/20/04 79 81
Donaldson, Lufkin & Jenrette
7.440% due 10/17/20 (b) 664 670
Federal Home Loan Mortgage Corp.
5.750% due 03/15/00 1,284 1,280
Federal National Mortgage Assn.
8.500% due 11/25/05 194 194
8.400% due 04/25/25 759 765
Greenwich
7.456% due 10/25/22 (b) 95 95
Resolution Trust Corp.
7.054% due 05/25/21 (b) 102 102
7.000% due 10/25/24 (b) 850 847
SKW Realty L.P.
9.050% due 04/15/04 1,000 1,001
Salomon Mortgage
7.000% due 07/25/24 110 110
Sears Mortgage
8.548% due 05/25/32 63 66
----------
12,668
----------
Other Mortgage-Backed Securities - 12.0%
California Federal Savings & Loan
6.679% due 01/01/19 (b) 119 118
Fund America
7.583% due 06/25/23 (b) 312 319
Great Western Savings & Loan
6.660% due 01/25/18 (b) 139 138
J.P. Morgan & Co.
6.576% due 01/25/18 (b) 1,417 1,418
MBLAC - NY REO Associates L.P.
9.375% due 02/08/98 (b) 1,770 1,771
Neutron - Uniprop Inc.
8.430% due 12/15/25 850 769
Resolution Trust Corp.
7.259% due 12/25/23 (b) 139 140
Structured Asset Securities Corp.
7.107% due 09/25/36 (b) 1,995 2,013
Western Federal Savings & Loan
6.475% due 10/25/18 (b) 977 974
7.090% due 03/25/19 (b) 128 128
6.830% due 06/25/19 (b) 1,071 1,069
----------
8,857
==========
Stripped Mortgage-Backed Securities - 1.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 656 46
7.000% due 01/15/08 2,604 61
Federal National Mortgage Assn. (IO)
7.000% due 07/25/06 1,888 211
7.500% due 08/25/10 2,095 73
7.000% due 07/25/21 2,650 426
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Principal Value
Amount (000's)
(000's)
================================================================================
<S> <C> <C>
7.000% due 03/25/07 $ 3,854 $ 53
6.000% due 11/25/00 1,792 219
Residential Funding (IO)
6.750% due 01/25/24 3,321 56
Prudential Home (IO)
4.299% due 02/25/22 68 184
----------
1,329
----------
Total Mortgage-Backed Securities 38,526
==========
(Cost $38,434)
Soverign Issues - 3.9%
Banco Latino
6.875% due 05/23/96 (b) 1,000 999
United Mexican States
11.188% due 07/21/97 1,840 1,872
----------
Total Sovereign Issues 2,871
==========
(Cost $2,874)
Foreign Currency-Denominated Issues (h) - 5.0%
Kingdom of Spain
11.450% due 08/30/98 SP 62,500 518
Commonwealth of Canada
8.000% due 03/15/97 C$ 4,000 3,027
Republic of Italy
9.188% due 09/01/05 IL 240,000 140
----------
Total Foreign Currency-Denominated Issues 3,685
==========
(Cost $3,649)
Short-Term Instruments - 22.0%
Discount Notes - 18.6%
AT&T Corp.
5.700% due 10/31/95 $ 1,500 1,493
5.710% due 11/03/95 500 497
5.640% due 11/22/95 1,200 1,190
General Electric Capital Corp.
5.740% due 10/06/95 50 50
KFW International Financial
5.700% due 10/23/95 2,000 1,993
Province of British Columbia
5.625% due 10/05/95 300 300
Motorola, Inc.
5.700% due 10/26/95 1,600 1,594
Pitney Bowes Credit, Inc.
5.710% due 10/23/95 500 498
5.670% due 11/29/95 165 163
Province of Alberta
5.640% due 11/10/95 900 895
USX Corp.
6.192% due 10/30/95 2,000 1,990
U.S. West Communications
5.720% due 10/05/95 2,000 1,999
5.685% due 10/06/95 1,000 999
----------
13,661
----------
<CAPTION>
Principal Value
Amount (000's)
(000's)
================================================================================
<S> <C> <C>
Repurchase Agreement - 1.4%
State Street Bank
5.250% due 10/02/95 $ 1,047 $ 1,047
----------
(Dated 09/29/95. Collateralized by
U.S. Treasury Note 6.625% 03/31/97
valued at $1,069,818. Repurchase
proceeds are $1,047,458)
U.S. Treasury Bills - 2.0%
5.743% due 10/26/95 - 02/08/96 (d) (e) 1,490 1,477
----------
Total Short-Term Instruments 16,185
==========
(Cost $16,184)
TOTAL INVESTMENTS (A) - 103.1% $ 75,953
(Cost $75,778)
WRITTEN OPTION (F) - 0.0% (24)
(Premium $50)
OTHER ASSETS AND LIABILITIES (NET) (G) - (3.1%) (2,242)
----------
NET ASSETS - 100.0% $ 73,687
==========
NOTES TO SCHEDULE OF INVESTMENTS ($ IN THOUSANDS):
(a) At September 30, 1995, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 329
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (154)
----------
Unrealized appreciation-net $ 175
==========
(b) Variable rate security. The rate listed is as of September 30, 1995.
(c) Foreign currency forward contracts outstanding at
September 30, 1995:
<CAPTION>
Principal
Amount
Covered by Expiration Unrealized
Type Contract Month Apppreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy JY 2,561 10/95 $ 4
Sell SP 62,108 10/95 5
----------
$ 9
==========
(d) Securities with an aggregate market value of $1,477 have been
segregated with the custodian to cover margin requirements for the
following open future contracts at September 30, 1995:
<CAPTION>
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
S & P 500 Index (12/95) 113 $ 0
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of
maturities.
59
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
StocksPLUS Fund
September 30, 1995 (unaudited)
=============================================================================
(f) Premium received on Written Option:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Put MATIF PIBOR
Strike @ 93.00 Exp. 12/18/95 FF 90,000 $ 50 $ 24
(g) Swap agreements outstanding at September 30, 1995:
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- ---------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S & P 500
Index and pay floating rate based
on 1 month LIBOR
Broker: Lehman Brothers
Finance, S.A. Exp. 12/30/95 $ 10,000 $ 388
Broker: Morgan Stanley Capital Services
Exp. 3/29/96 17,500 446
Broker: Deutsche Bank AG London
Exp. 12/29/95 10,000 391
----------
$ 1,225
==========
</TABLE>
(h) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
FF - French Franc
JY - Japanese Yen
SP - Spanish Peseta
IL - Italian Lira
See Notes to Financial Statements
60
<PAGE>
NOTES TO FINANCIAL STATEMENTS
September 30, 1995 (unaudited)
1. Significant Accounting Policies
PIMCO Funds (the "Trust") was established as a Massachusetts
business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as
amended, as a no-load, open-end investment management company.
The Trust currently consists of 19 separate investment funds
(the "Funds"): the Total Return Fund; the Total Return Fund II;
the Total Return Fund III; the Low Duration Fund; the Low
Duration Fund II; the Low Duration Fund III; the Short-Term
Fund; the Long-Term U.S. Government Fund; the Foreign Fund; the
Global Fund: the High Yield Fund; the Growth Stock Fund; the
StocksPLUS Fund; the VersaSTYLE Equity Fund; the Moderate
Duration Fund; the Commercial Mortgage Securities Fund; the
Income and Capital Preservation Fund; the Income and Capital
Preservation Fund II; and the International Fund (available
only to private account clients of PIMCO). The annual reports
for the International, VersaSTYLE Equity and Total Return II
Funds are provided separately. The Moderate Duration,
Commercial Mortgage Securities, Low Duration III, and Income
and Capital Preservation Funds had not commenced operations as
of September 30, 1995. The following is a summary of
significant accounting policies consistently followed by the
Trust in preparation of its financial statements. These
policies are in conformity with generally accepted accounting
principles.
Security Valuation. Portfolio securities and other assets for
which market quotations are readily available are stated at
market value. Market value is determined on the basis of last
reported sales prices, or if no sales are reported, as is the
case for most securities traded over-the-counter, the mean
between representative bid and asked quotations obtained from a
quotation reporting system or from established market makers.
Fixed income securities, including those to be purchased under
firm commitment agreements, are normally valued on the basis of
quotes obtained from brokers and dealers or pricing services.
Foreign currency amounts are converted to U.S. dollars using
foreign exchange quotations received from independent dealers.
Short-term investments which mature in 60 days or less are
valued at amortized cost, which approximates market value.
Certain fixed income securities for which daily market
quotations are not readily available may be valued, pursuant to
guidelines established by the Board of Trustees, with reference
to fixed income securities whose prices are more readily
obtainable.
Securities Transactions and Investment Income. Securities
transactions are recorded as of the trade date. Securities
purchased or sold on a when-issued or delayed-delivery basis
may be settled a month or more after the trade date. Realized
gains and losses from securities sold are recorded on the
identified cost basis. Dividend income is recorded on the ex-
dividend date. Interest income is recorded on the accrual basis
and includes the accretion of discounts and amortization of
premiums.
Dividends and Distributions to Shareholders. Dividends from net
investment income of each Fund except the Growth Stock and
StocksPLUS Funds are declared on each day the Trust is open for
business and are distributed to shareholders monthly. Dividends
from net investment income of the Growth Stock and StocksPLUS
Funds are declared and distributed to shareholders quarterly.
Net long-term capital gains earned by a Fund, if any, will be
distributed no less frequently than once each year. Foreign
exchange gains or losses on investments and the income
generated from such investments, arising from fluctuations of
exchange rates of the non-dollar denominated investments
relative to the U.S. dollar, are reported to shareholders as
income in accordance with the provisions of the Internal
Revenue Code.
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
Income distributions and capital gain distributions are
determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These
differences are primarily due to differing treatments for such
items as wash sales, foreign currency transactions, net
operating losses and capital loss carryforwards.
Distributions reflected as tax basis return of capital in the
accompanying Statement of Changes in Net Assets have been
reclassified to paid in capital. In addition, other amounts
have been reclassified between undistributed net investment
income and accumulated undistributed net realized gains in
order to more appropriately conform financial accounting and
tax characterizations of dividend distributions.
Commencement of Multiclass Operations. On August 23, 1994, each
Fund within the PIMCO Funds was authorized to offer investors a
choice of two classes of shares, the Institutional Class and
the Administrative Class. Each class has equal rights as to
assets and voting privileges, while each has exclusive rights
with respect to its distribution plan. The Total Return, Low
Duration and High Yield Funds commenced multiclass operations
on September 7, 1994, December 31, 1994 and January 16, 1995,
respectively. None of the other PIMCO Funds had commenced
multiclass operations as of September 30, 1995.
Income and non-class specific expenses are allocated daily to
each class of shares based on the relative value of settled
shares as of the beginning of each day. Realized and unrealized
capital gains and losses are allocated to each class of shares
based on relative net assets as of the beginning of each day
adjusted for the prior days capital share activity.
Federal Income Taxes. Each Fund intends to qualify as a
regulated investment company and distribute all of its taxable
income and net realized gains, if applicable, to shareholders.
Accordingly, no provision for Federal income taxes has been
made.
Futures and Options. Each Fund is authorized to enter into
futures contracts and options. The primary risks associated
with the use of futures contracts and options are imperfect
correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts
and options, and the possibility of an illiquid market. Futures
contracts and purchased options are valued based upon their
quoted daily settlement prices. The premium received for a
written option is recorded as an asset with an equal liability
which is marked-to-market based on the option's quoted daily
settlement price. Fluctuations in value of such instruments are
recorded as unrealized appreciation (depreciation) until
terminated at which time realized gains and losses are
recognized.
Forward Currency Contracts. Each Fund (except the Long-Term
U.S. Government, Low Duration II and High Yield Funds) is
authorized to enter into forward foreign exchange contracts for
the purpose of hedging against foreign exchange risk arising
from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. The aggregate
principal amounts of the contracts for which delivery is
anticipated are recorded in the Fund's account, while such
amounts are not recorded if the Fund intends to settle the
contracts prior to delivery. All commitments are marked-to-
market daily at the applicable translation rates and any
resulting unrealized gains or losses are recorded in the
Trust's financial statements. The Fund records realized gains
or losses at the time the forward contract is extinguished by
entry into a closing transaction or by delivery of the
currency. Risks may arise upon entering these contracts from
the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value
of a foreign currency relative to the U.S. dollar.
62
<PAGE>
Swaps. Each Fund is authorized to enter into interest rate,
index and currency exchange swap agreements. PIMCO uses these
agreements in order to obtain a desired return at a lower cost
to the Fund than if the Fund had invested directly in an
instrument that yielded the desired return. The agreements
involve elements of credit risk identified as the cost of
replacing those agreements for which PIMCO is in a net
receivable position in the event of counterparty default.
At September 30, 1995, the StocksPLUS Fund was a party to S & P
500 Index swap agreements. The agreements involve the
contractual exchange of payments whereby the Fund will receive
proceeds based on the total return of the S & P 500 Index and
pay an amount based on LIBOR. The differential to be paid or
received is recognized daily over the life of the agreement.
For the six months ended September 30, 1995, net income of
$3,271,236 was derived from the agreements and is included in
interest income of the Fund.
Short Sales. Short sales are transactions in which a Fund sells
a security it does not own, in anticipation of a decline in the
market value of that security. The Fund will realize a gain
(incur a loss) if the market price of the security decreases
(increases) between the date of the short sale and the date on
which the Fund replaces the borrowed security.
A Fund may also sell short "against the box" (i.e. the Fund
enters into a short sale as described above, while holding an
offsetting long position in the security which is sold short).
At September 30, 1995, the Foreign and Global Funds were
parties to short sales. Included in net unrealized appreciation
is unrealized appreciation on short sales of $1,057,277 and
$97,883 for the Foreign and Global Funds, respectively.
2. Fees, Expenses, And Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company
("PIMCO") serves as investment adviser (the "Adviser") to the
Trust, pursuant to an investment advisory contract. Prior to
October 1, 1995, the Adviser received a monthly fee from each
Fund at an annual rate based on average daily net assets of the
Fund as follows: 0.30% of the first $150 million, and 0.25%
thereafter (0.45% and 0.40%, respectively, for the StocksPLUS
Fund). Effective October 1, 1995, the advisory fee will be
0.25% (0.15% for the Money Market Fund, and 0.40% for the
StocksPLUS, Commercial Mortgage Securities and VersaSTYLE
Equity Funds).
Administration Fee. Pacific Investment Administrative Services
Company (the "Administrator"), an affiliate of PIMCO, provides
administrative services to the Trust for which it receives from
each Fund a monthly administrative fee at the annual rate of
0.10% of the Fund's average daily net assets.
Effective October 1, 1995, the Trust adopted a "unified fee
structure" whereby PIMCO provides services necessary for the
operation of the Funds for a single administrative fee. The new
administrative fee is 0.20% for the Money Market and Short-Term
Funds, 0.18% for the Total Return and Low Duration Funds, 0.30%
for the Global Fund and 0.25% for all other Funds.
Expenses. The Trust is responsible for the following expenses:
(i) salaries and other compensation of any of the Trust's
executive officers and employees who are not officers,
directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees;
(iii) brokerage fees and commissions and other portfolio
transaction expenses; (iv) the costs of borrowing money,
including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the
Trust, and any counsel
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
retained exclusively for their benefit; (vi) extraordinary
expenses, including costs of litigation and indemnification
expenses; (vii) expenses, such as organizational expenses,
which are capitalized in accordance with generally accepted
accounting principles; and (viii) any expenses allocated or
allocable to a specific class of shares, which include service
fees payable with respect to the Administrative Class shares
and may include certain other expenses as permitted by the
Trust's Dual Class Plan adopted pursuant to Rule 18f-3 under
the 1940 Act and subject to review and approval by the
Trustees. Each unaffiliated Trustee received an annual retainer
of $7,000, plus $2,000 for each Board of Trustees meeting
attended, plus reimbursement of related expenses. These
expenses are allocated to the Funds according to their
respective net assets.
Expense Offset Arrangement. Fees paid indirectly represent
reductions in custody and transfer agent expenses from interest
income earned on incidental uninvested cash balances. Such
fees have been added to custody and transfer agent fees to
reflect total Fund expenses.
Expense Limitation. Prior to adoption of the unified fee
structure, the Advisor and the Administrator, in the interest
of limiting expenses of the Trust, limited the expenses of each
Fund, including the advisory and administrative fees, to 0.50%
of its average net assets on an annual basis (except the
Foreign, Global and StocksPLUS Funds which have an expense
limit of 0.65%), excluding distribution fees of 0.25% relating
to the Administrative class.
Reimbursement of the Adviser or Administrator for fees foregone
or other expenses paid by them pursuant to the expense
limitation may be made at a later date when a Fund has reached
a sufficient asset size; however, no such later payment will be
made if that payment would cause the annual expense ratio of a
Fund to exceed the amount of the relevant expense limitation.
Additionally, no reimbursement of any amount will be made more
than four years after a recognition of the reimbursable amount
as a contingent liability of a Fund. As of September 30, 1995,
all amounts previously foregone by the Adviser and
Administrator have been repaid by the Total Return, Low
Duration, Low Duration II, Foreign and High Yield Funds.
Cumulative unreimbursed amounts for Total Return III, Short-
Term, Long-Term U.S. Government, Global, Growth Stock, and the
StocksPLUS Funds were $60,284, $8,191, $129,529, $121,544,
$29,546, $71,256, and $90,816 respectively, at September 30,
1995. These amounts have been waived as a result of the
adoption of the unified fee.
Related Party Transactions. PIMCO Advisors Distribution Company
("PADCO"), an indirect wholly-owned subsidiary of PIMCO
Advisors L.P., serves as the distributor of the Trust's shares.
Under the contract, all expenses relating to the distribution
of Trust shares will be paid by the Adviser, the Administrator
or PADCO out of past profits and resources which may include
fees received by the Adviser or the Administrator.
64
<PAGE>
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term
investments and securities sold short) for the six months ended
September 30, 1995 were as follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------- -------------------------
Purchases Sales Purchases Sales
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $6,798,475 $5,551,267 $3,291,300 $2,360,776
Total Return Fund III 86,627 64,791 39,980 22,054
Low Duration Fund 2,170,744 1,472,925 428,041 470,374
Low Duration Fund II 114,792 85,244 81,204 38,622
Short-Term Fund 6,129 6,597 90,517 75,022
Long-Term U.S. Gov't Fund 15,795 10,085 5,659 6,414
Foreign Fund 25,313 0 1,361,327 1,235,443
Global Fund 13,323 9,711 398,091 342,986
High Yield Fund 20,508 19,471 219,071 114,467
Growth Stock Fund 0 0 4,040 10,544
StocksPLUS Fund 18,911 4,142 47,435 35,177
</TABLE>
4. Transactions in Written Call and Put Options
Transaction in written call and put options were as follows
($ in thousands):
<TABLE>
<CAPTION>
Total Total Low Low Short- Long-Term
Return Return III Duration Duration II Term U.S. Gov't
------------------------------------ Premium -----------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/95 $ 41,662 $ 402 $ 2,767 $ 129 $ 139 $ 130
Sales 15,379 238 1,320 0 49 103
Closing Buys (7,953) 0 0 0 (50) (132)
Expirations (25,975) (355) (2,774) (129) 0 0
Exercised (11,704) (131) (94) 0 0 0
--------------------------------------------------------------------------------
Balance at 9/30/95 $ 11,409 $ 154 $ 1,219 $ 0 $ 138 $ 101
================================================================================
<CAPTION>
Growth
Foreign Global High Yield Stock StocksPLUS
-------------------------------------------------------------------------------------------
----------------------------- Premium ---------------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/95 $ 373 $ 102 $ 50 $ 4 $ 45
Sales 41 35 167 12 28
Closing Buys 0 0 0 (3) (23)
Expirations (174) (85) (196) (6) 0
Exercised 0 (12) 0 (7) 0
-----------------------------------------------------------------
Balance at 9/30/95 $ 240 $ 40 $ 21 $ 0 $ 50
=================================================================
</TABLE>
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont.)
September 30, 1995 (unaudited)
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial
interest with a $.0001 par value. Changes in shares of
beneficial interest were as follows (shares in thousands):
<TABLE>
<CAPTION>
Total Total Low Low
Period Ended Return Return Total Duration Duration Low
September 30, 1995 Inst'l Admin Return III Inst'l Admin Duration II
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 181,014 5,334 1,825 64,205 71 5,726
Issued as reinvestment
of dividends 21,669 120 397 7,097 3 629
Shares redeemed (51,652) (725) (878) (65,931) (44) (4,141)
-------------------------------------------------------------------------------
Net increase 151,033 4,729 1,344 5,371 30 2,214
===============================================================================
<CAPTION>
High High
Period Ended Long-Term Yield Yield
September 30, 1995 Short-Term U.S. Gov't Foreign Global Inst'l Admin
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 5,319 1,541 3,549 1,925 12,314 0
Issued as reinvestment
of dividends 269 85 696 239 1,711 0
Shares redeemed (5,268) (812) (5,954) (263) (3,188) (1)
----------------------------------------------------------------------------------
Net increase (decrease) 320 814 (1,709) 1,901 10,837 (1)
==================================================================================
<CAPTION>
Period Ended Growth
September 30, 1995 Stock StocksPLUS
----------------------------------------------------
<S> <C> <C>
Shares sold 9 2,510
Issued as reinvestment
of dividends 5 197
Shares redeemed (441) (1,031)
-----------------------
Net increase (decrease) 427 1,676
=======================
</TABLE>
66
<PAGE>
<TABLE>
<CAPTION>
Total Total Low Low
Year or Period Return Return Total Duration Duration Low
Ended March 31, 1995 Inst'l Admin (a) Return III Inst'l Admin (b) Duration II
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 311,014 929 4,327 140,563 79 8,010
Issued as reinvestment
of dividends 31,143 15 599 11,769 1 900
Shares redeemed (108,135) (41) (4,489) (142,193) (1) (5,641)
-----------------------------------------------------------------------------------
Net increase 234,022 903 437 10,139 79 3,269
===================================================================================
<CAPTION>
High High
Year or Period Long-Term Yield Yield
Ended March 31, 1995 Short-Term U.S. Gov't Foreign Global Inst'l Admin (c)
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 26,893 2,260 6,263 4,460 21,402 4
Issued as reinvestment
of dividends 576 125 1,796 590 2,648 -
Shares redeemed (25,641) (1,708) (32,201) (1,408) (12,668) -
----------------------------------------------------------------------------------
Net increase (decrease) 1,828 677 (24,142) 3,642 11,382 4
==================================================================================
<CAPTION>
Year or Period Growth
Ended March 31, 1995 Stock StocksPLUS
------------------------------------------------------
<S> <C> <C>
Shares sold 69 2,821
Issued as reinvestment
of dividends 102 222
Shares redeemed (713) (113)
-------------------------
Net increase (decrease) (542) 2,930
=========================
</TABLE>
(a) From commencement of operations, September 7, 1994.
(b) From commencement of operations, December 31, 1994.
(c) From commencement of operations, January 16, 1995.
6. Reorganization
The Trust entered into an Agreement and Plan of Reorganization
with PIMCO Advisors Institutional Funds, another registered
open-end investment company, pursuant to which two of its
series, the Money Market Fund and PIMCO Managed Bond and Income
Fund, transferred all of their respective assets, subject to
any liabilities, to the Trust on November 1, 1995. These funds
were renamed PIMCO Money Market Fund and PIMCO Total Return
Fund II. A non-operational series of the Trust formerly known
as the PIMCO Total Return Fund II was liquidated prior to
November 1, 1995.
67
<PAGE>
ABOUT THE PIMCO FUNDS
Launched in 1987, the PIMCO Funds are no-load, open-end
institutional mutual funds designed to provide access to the
investment advisory services offered by Pacific Investment
Management Company. With a minimum initial investment
requirement of $1,000,000, the PIMCO Funds are offered
primarily to institutions and high net-worth individuals,
although shares of the Funds may also be purchased at lesser
minimum initial investments through certain discount brokers.
The investment objective of the PIMCO Short-Term and PIMCO
Money Market Funds is to seek to obtain maximum current income,
consistent with preservation of capital and daily liquidity.
The investment objective of the remaining PIMCO Fixed Income
Funds is to seek to realize maximum total return, consistent
with preservation of capital and prudent investment management.
The investment objective of the PIMCO Growth Stock Fund is to
seek long-term growth of capital, while that of the PIMCO
StocksPLUS Fund is to seek to achieve a total return which
exceeds the total return performance of the S&P 500 Index.
The following table summarizes the primary characteristics of
each of the PIMCO Funds. To receive additional information
about the Funds, including a prospectus, please call
1-800-927-4648.
<TABLE>
<CAPTION>
==================================================================================================================
Fund Duration Credit Quality Primary Investments
==================================================================================================================
<S> <C> <C> <C>
Total Return 3-6 years B to Aaa; max 10% Intermediate maturity fixed income
below Baa securities
------------------------------------------------------------------------------------------------------------------
Same as Total Return Fund, with quality
Total Return II 3-6 years Baa to Aaa and foreign issuer restrictions
------------------------------------------------------------------------------------------------------------------
Same as Total Return Fund, with
Total Return III 3-6 years B to Aaa; max 10% prohibitions on firms engaged in socially
below Baa sensitive practices
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Short and intermediate maturity fixed
Low Duration 1-3 years below Baa income securities
------------------------------------------------------------------------------------------------------------------
Same as Low Duration Fund, with quality
Low Duration II 1-3 years A to Aaa and foreign issuer restrictions
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Money market instruments and short
Short-Term 0-1 year below Baa maturity fixed income securities
------------------------------------------------------------------------------------------------------------------
(is less than Min 95% Aaa or
Money Market or equal to) Prime 1; (is less Money market instruments
90 days than or equal to)
dollar-weighted 5% Aa or Prime 2
avg. maturity
------------------------------------------------------------------------------------------------------------------
Long-Term min 8 years A to Aaa Long-term maturity fixed income
U.S. Government securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Intermediate maturity foreign fixed
Foreign 3-6 years below Baa income securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% Intermediate maturity U.S. and foreign
Global 3-8 years below Baa fixed income securities
------------------------------------------------------------------------------------------------------------------
B to Aaa; min 65% High yield fixed income securities
High Yield 2-6 years below Baa ("junk bonds")
------------------------------------------------------------------------------------------------------------------
Common stocks believed to have above-
Growth Stock n/a n/a market appreciation potential over full
market cycle
------------------------------------------------------------------------------------------------------------------
B to Aaa; max 10% S&P 500 stock index derivatives backed by
StocksPLUS 0-1 year below Baa portfolio of a short-term fixed income
securities
------------------------------------------------------------------------------------------------------------------
</TABLE>
68
<PAGE>
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
R. Wesley Burns President
Garlin Flynn Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, MO 64105
<PAGE>
P I M C O
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
(800) 927-4648
This report is submitted for the general information of the shareholders of the
PIMCO Funds. It is not authorized for distribution to prospective investors
unless accompanied or preceded by an effective Prospectus for the PIMCO Funds,
which contains information covering its investment policies as well as other
pertinent information.
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