<PAGE>
P I M C O
[ARTWORKS APPEARS HERE]
PIMCO FUNDS ANNUAL REPORT MARCH 31, 1996
<PAGE>
CONTENTS
Chairman's Message 1
About the PIMCO Funds 2
Portfolio Managers Interviews 3
Investment Performance 10
Statement of Assets and Liabilities 16
Statement of Operations 18
Statement of Changes in Net Assets 20
Financial Highlights 24
Schedules of Investments
Total Return Fund 28
Total Return Fund II 39
Total Return Fund III 41
Low Duration Fund 43
Low Duration Fund II 50
Short-Term Fund 52
Long-Term U.S.
Government Fund 54
Foreign Fund 56
Global Fund 60
High Yield Fund 63
Money Market Fund 66
Growth Stock Fund 67
StocksPLUS Fund 69
Notes to Financial Statements 72
Report of Independent Accountants 80
International Hedged Portfolio
Combinations
(December 1985 - August 1993)
[GRAPH APPEARS HERE]
U.S. INT'L
Portfolio Risk Total Return Bonds Bonds
(%) (%) (%) (%)
3.95 8.16 0 100
3.83 8.26 5 95
3.72 8.37 10 90
3.63 8.47 15 85
3.56 8.58 20 80
3.51 8.69 25 75
3.47 8.79 30 70
3.46 8.90 35 65
3.48 9.00 40 60
3.51 9.11 45 55
3.56 9.21 50 50
3.63 9.32 55 45
3.72 9.42 60 40
3.83 9.53 65 35
3.96 9.63 70 30
4.10 9.74 75 25
4.25 9.85 80 20
4.41 9.95 85 15
4.58 10.06 90 10
4.77 10.16 95 5
5.01 10.27 100 0
SOURCE: Morgan International Research
ON THE COVER:
Depicted on the front cover and in greater
detail above, is an efficient frontier
graph showing different combinations of
foreign and domestic bonds. The historical
relationships shown support PIMCO's belief
that the use of foreign bonds tends to
reduce portfolio volatility without
sacrificing return. This risk reduction is
achieved because the U.S. and foreign bond
markets do not always move together. A
portfolio manager's ability to recognize
and take advantage of these differences is
an important tool for adding value and
reducing risk in both domestic (where
permitted) and international bond funds.
<PAGE>
CHAIRMAN'S MESSAGE
Dear PIMCO Funds Shareholder:
The bond rally of 1995 rewarded investors with some of the highest returns in
recent memory, but a sharp correction which began during the first quarter of
1996 offset a portion of those gains. After rallying strongly through December,
the bond market changed course on the announcement of an unusually strong
employment indicator. While this number was later shown to be exaggerated, many
bond investors interpreted it as a signal that renewed inflation was imminent,
and this sent bond prices lower through the Trust's fiscal year end.
Despite this unexpected level of market volatility, nine of the thirteen
operational PIMCO Funds, representing 94% of shareholder assets, outperformed
their respective benchmark indexes during the fiscal year ended March 31, 1996.
Please refer to the section on Investment Performance for graphs and tables
displaying the performance of each Fund and its comparative index. Accompanying
each Fund's performance graph is a summary of the primary factors contributing
to investment results.
We hope that you will take time to read the two portfolio manager interviews
appearing on the next few pages. The first interview features David H. Edington,
who manages the Short-Term and StocksPLUS Funds. Mr. Edington's comments on the
domestic markets are followed by a discussion of foreign fixed income investing
with Lee R. Thomas, III, portfolio manager of the Foreign and Global Funds. We
think you will find their observations on the past year as well as their
investment strategies and market outlooks to be useful and interesting.
The recent introduction of exchange privileges among the 26 institutional funds
offered by the PIMCO Funds and our affiliated equity fund family, the PIMCO
Funds: Equity Advisors Series, has been well received by shareholders. Should
you desire further information about these Funds or have any questions, please
call us at (800) 927-4648.
Thank you for your continued investment in the PIMCO Funds. We very much value
the confidence you and other investors have placed in us. That confidence has
helped us achieve a twelve-month growth rate of more than 45% and net assets of
$15.1 billion at the end of the fiscal year.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
May 15, 1996
1
<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 (800) 927-4648.
<TABLE>
<CAPTION>
% Foreign
Fund Duration Credit Quality Exposure Primary Investments
====================================================================================================================================
<S> <C> <C> <C> <C>
Total Return 3-6 years B to AAA; max 10% 0-20% Intermediate maturity
below BBB fixed income securities
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return II 3-6 years BBB to AAA 0% Same as Total Return Fund, except
quality and foreign issuer restrictions
- ------------------------------------------------------------------------------------------------------------------------------------
Total Return III 3-6 years B to AAA; max 10% 0-20% Same as Total Return Fund, except
below BBB prohibitions on firms engaged in
socially sensitive practices
- ------------------------------------------------------------------------------------------------------------------------------------
Low Duration 1-3 years B to AAA; max 10% 0-20% Short and intermediate
below BBB maturity fixed income securities
- ------------------------------------------------------------------------------------------------------------------------------------
Low Duration II 1-3 years A to AAA 0% Same as Low Duration Fund, except
quality and foreign issuer restrictions
- ------------------------------------------------------------------------------------------------------------------------------------
Short-Term 0-1 year B to AAA; max 10% 0-5% Money market instruments and short
below BBB maturity fixed income securities
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market (less than)90 days Min 95% AAA or 0% Money market instruments
dollar-weighted Prime 1; (less than) 5% AA
avg. maturity or Prime 2
- ------------------------------------------------------------------------------------------------------------------------------------
Long-Term U.S. Min 8 years A to AAA 0% Long-term maturity fixed income
Government securities
- ------------------------------------------------------------------------------------------------------------------------------------
Foreign 3-6 years B to AAA; max 10% (greater Intermediate maturity foreign
below BBB than) fixed income securities
85%
- ------------------------------------------------------------------------------------------------------------------------------------
Global 3-8 years B to AAA; max 10% 25-75% Intermediate maturity U.S. and
below BBB foreign fixed income securities
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield 2-6 years B to AAA; min 65% 0% High yield fixed income securities
below BBB ("junk bonds")
- ------------------------------------------------------------------------------------------------------------------------------------
Growth Stock n/a n/a 0-25% Common stocks believed to have
above-market appreciation
potential over full market cycle
- ------------------------------------------------------------------------------------------------------------------------------------
StocksPLUS 0-1 year B to AAA; max 10% 0-20% S&P 500 stock index derivatives
below BBB backed by a portfolio of short-term
fixed income securities
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
2
<PAGE>
INTERVIEW WITH DAVID H. EDINGTON
[PHOTO APPEARS HERE]
Managing the PIMCO Funds' investment portfolios requires a diverse group of
talented investment professionals. PIMCO 's fixed income management team is
comprised of 8 portfolio managers and 9 analysts. Its equity team is comprised
of 2 portfolio managers and 1 analyst.
David H. Edington is a Managing Director of PIMCO and a senior member of our
fixed income portfolio management group. Dave is responsible for the management
of the PIMCO Short-Term and StocksPLUS Funds.
Q. The past year certainly tested fixed income managers, with interest rates
falling through 1995, followed by a quick rebound in early 1996. What
forces caused these changes, and why were market movements so volatile?
A. Market direction and volatility were driven by a reversal of economic
growth and inflation expectations, and especially how the Fed was likely to
behave. Throughout 1995, the consensus was that the economy was quite weak
and vulnerable to recession and that inflation was dead. But in the last
few months we have seen signs of modest economic growth, a slight up-tick
in inflation, and a couple of speculative price jumps in key commodities.
In response, the bond market has overreacted by making a big u-turn, from
an expectation of economic decline and muted inflation to the current fear
of accelerating growth and inflation. Markets tend to do that, to take the
last month or two of data and believe it represents a trend that will be
sustained for a long time. In reality, there has been very little change:
the economy continues to move along at a very manageable, non-recessionary
pace, and inflation is stable at historically low levels.
[The following table was represented as a line chart in the printed matter]
Yield Curve Data Points
3/31/95 12/31/95 3/31/96
3 Mos. 5.849 5.072 5.135
6 Mos. 6.114 5.147 5.177
1 Yr. 6.482 5.132 5.376
2 Yr. 6.778 5.15 5.752
3 Yr. 6.886 5.208 5.884
5 Yr. 7.067 5.374 6.078
10 Yr. 7.192 5.57 6.323
30 Yr. 7.43 5.949 6.669
Q. You have been calling for generally lower interest rates moving within a
narrow range over the next few years. What long-term forces influence this
outlook?
A. Our outlook is driven by four important fundamental forces, which are
long-term and more social and political, rather than financial, in nature.
The most important of these forces is the globalization of production and
labor costs and the effect that this trend has on dampening inflation. In
the last five years, just about every developing country, including the
former
3
<PAGE>
INTERVIEW WITH DAVID EDINGTON (Cont.)
communist bloc, has shifted from a closed, centrally-planned economy, to
free-market, export-oriented policies. This has resulted in a massive,
simultaneous program of building productive capacity in these areas, and it
has also introduced a huge pool of low-priced labor to the global
marketplace. Now companies can locate nearly anywhere in the developed or
developing world, taking advantage of the most favorable labor and
production costs.
The next important trend is demographics. In developed countries,
representing the lion's share of the world economy, populations are aging,
which means that more people will be forced to save for retirement and
consume less. The population group that really fuels the U.S. economy, 20-
to 40-year olds who are buying and furnishing houses, buying cars and
having children, is growing very slowly or even shrinking. The same is true
in Europe and Japan. This pattern of higher savings and lower consumption
should result in slow growth and low inflation.
Third is technology. The current investment boom in high tech equipment is
unprecedented. This should mean that the average worker can become much
more productive, so wages can go up without driving up the final cost of
goods or services. Or alternatively, if wages are stable, greater
productivity could drive down the final cost of goods and services,
resulting in lower inflation or even disinflation.
The final key force is the trend toward freer flows of capital.
Increasingly, portfolio managers, investment bankers and others are able to
influence monetary policy by moving capital into and out of the world's
markets. These "vigilantes", as they have come to be known, can bring swift
punishment upon countries which pursue inflationary policies by quickly
withdrawing capital (witness Mexico in late 1994/early 1995). When capital
is withdrawn, interest rates soar, currency values plummet and economic
growth is stifled. Because of this threat, most central banks now pursue
more or less sound monetary and inflation policies or risk losing the
capital essential for economic growth. Central banking authorities have
also recently become more independent from political interference. Couple
this with greater fiscal conservatism in Europe and the U.S., and you have
a global environment that should support lower inflation.
Q. Which investment strategies were most successful in your fixed income
portfolios this year? Which did not work as well as expected?
A. In hindsight, our duration decision, or our interest rate exposure relative
to comparative market indexes, worked against us in the second quarter of
1995 and the first quarter of 1996. In the second quarter, we defensively
held durations shorter than the market and rates declined. In the first
quarter, we thought rates would continue to fall, so we were longer than
our comparative indexes.
4
<PAGE>
Fortunately, we employed several other strategies this past year which
proved to be successful in adding value. For example, our holdings of
adjustable-rate mortgages (ARMs) performed extremely well. When interest
rates decline rapidly like they did in 1995, ARMs offer above-market yields
because their periodic coupon rate adjustments generally lag the market. In
addition, since they are 100% full faith and credit guaranteed by the U.S.
government, they carry no principal risk. Our hedged foreign bond holdings
have also appreciated significantly. In our longer-term, full-discretion
funds (such as the PIMCO Total Return Fund) we concentrated positions in
Germany to take advantage of its low inflation policies and attractive
interest rate spreads to similar maturity U.S. Treasury bonds. In certain
of our shorter-term funds we have favored higher yielding European
countries and Canada. Here we were looking for yields that exceed those in
the U.S. after hedging costs. Finally, holdings of corporate bonds have
also done very well. We have had success targeting companies; for example,
airlines like American, United and Delta, whose balance sheets have
improved substantially due to strong earnings. This means that in spite of
the recent weakening in the bond market, we have made some nice capital
gains as spreads have narrowed on some of these key holdings. Here at
PIMCO, I have the good fortune of working with portfolio managers and
analysts who possess expertise in the various sectors of the fixed income
markets.
Tools Used by PIMCO in Seeking Superior Portfolio Returns
INTEREST RATE
COST-EFFECTIVE FORECASTS
TRADING (Portfolio Duration)
PROPRIETARY SECTOR
QUANTITATIVE VALUE ROTATION
ANALYSIS ADDED (Govts, Mfg, Corps, Intl)
CREDIT YIELD CURVE
ANALYSIS POSITIONING
(Maturity Structure)
ISSUE
SELECTION
Q. You have spoken generally of how PIMCO manages fixed income assets.
Specifically, how were these strategies applied in your management of the
Short-Term Fund? What were the results?
A. The same basic philosophy is applied, but with a few adjustments. First,
the dynamics of the short end of the yield curve are unique, and we are
sensitive to that. Second, most all of the return will come from income, as
opposed to capital gains from price changes, so the key is to create a
portfolio with substantial yield while carefully controlling risk. The
yield part is easy. You can always buy corporate, mortgage or foreign bonds
with a lot of yield; the trick is the risk control.
5
<PAGE>
INTERVIEW WITH DAVID EDINGTON (Cont.)
All in all, the strategy has been successful. For the one and two year
periods ended March 31, 1996, the Short-Term Fund was ranked #1 (of 26 and
16 funds respectively) among Ultra Short Obligations funds in the Lipper
universe, and it also carries a four-star rating from Morningstar.* We
think of the Fund as an option for clients looking for long-term returns
that consistently outpace money market funds in exchange for some risk that
the Fund will underperform money market funds over shorter periods. For the
recent five-year period, the Fund outperformed the Lipper Money Market
Index comprised of the 30 largest money market mutual funds by 1.1% on an
annual basis.
Q. StocksPLUS is an enhanced index strategy which you have managed since its
inception (May 14, 1993). How does an investment manager like PIMCO, which
is well-known for its active fixed income performance, adapt its strategies
in managing a fund based on the S&P 500 Stock Index?
A. We invest primarily in S&P 500 derivatives such as futures or swaps, which
will give us 100% of the price movement of the stock market. This means we
will normally be fully exposed to the market. What makes the strategy work
is that by using derivatives, we only have to dedicate about 4% of our
portfolio as margin deposit. We can then invest the rest in high-quality,
liquid, short-term debt instruments in an attempt to add significant
additional yield over and above the return of the stock market. So we get
the stock market returns through derivative exposure, plus incremental
gains from an actively managed bond portfolio (hence the Fund's name,
"StocksPLUS").
Q. What have been the results of the StocksPLUS Fund so far?
A. The Fund had a great twelve months, outpacing the S&P 500 Index by nearly
2%. In fact, it has outpaced the S&P 500 by nearly 3% annually since its
inception. As a portfolio manager, I am pleased that so far the Fund has
achieved its objective of outperforming the Index, and it has done so
consistently, beating the Index in eight of its first eleven quarters of
operation.
* The top 10% of all funds in a broad investment catagory
(e.g. taxable bond) receive 5-star ratings. The next 22.5%
receive 4-star ratings. The Morningstar rating combines both
performance and risk into one evaluation.
6
<PAGE>
INTERVIEW WITH LEE R. THOMAS, III
[PHOTO APPEARS HERE]
Lee R. Thomas, III recently joined PIMCO as an Executive Vice President and
Senior International Portfolio Manager. Lee manages the Foreign and Global Funds
for the Trust.
Q. Mr. Edington has described some of PIMCO's fixed income management
techniques, including the selective use of foreign securities. How do your
strategies for investing in foreign markets compare with those utilized in
the PIMCO Fund's domestic portfolios?
A. We use the same basic approach as we use for domestic funds, with two key
differences. First, we employ many of the strategies Dave described, but in
more than 25 different countries simultaneously. On the surface, that makes
the job seem Herculean, but in practice the task is made easier because
many of the sector rotation strategies (e.g., to hold corporates or
mortgages) that we employ domestically are not available in foreign
markets. On the other hand, we make the same yield curve decisions, and of
course we have to make the same duration decision regarding our overall
exposure to interest rate risk. The second primary difference is that we
must also make country allocation and currency risk management decisions.
Additional Tools Used by PIMCO in Managing International Portfolios
CURRENCY
MANAGEMENT
RELATIVE CASH
VALUE STRATEGIES VALUE MANAGEMENT
ADDED
COUNTRY DURATION
ALLOCATION MANAGEMENT
Q. What unique risks and rewards should investors be aware of in evaluating
international investing compared with domestic investing?
A. Currency risk management is absolutely critical to international bond
investing. Inevitably you have foreign currency risk as a consequence of
owning foreign bonds, and the risk-reduction benefits of global
diversification cannot be secured unless you manage this risk adequately.
In addition, sovereign risks may affect repayment of bonds, and political
risks, such as exchange controls, may impact your ability to get your money
out of a country. While these latter two risks are rare, the potential loss
is enormous. Consequently, we include them in our analysis, particularly
for developing markets where we may take small positions.
As for the rewards of international investing, they may be realized through
both strategic and tactical means. The most important strategic reward
comes from diversifying interest rate risk and reducing volatility in a
7
<PAGE>
INTERVIEW WITH LEE THOMAS (Cont.)
portfolio. This concept is illustrated by the efficient frontier graph
described on the inside front cover of this report. Studies show that you
can potentially diversify away roughly half of your total portfolio risk
with no reduction in long-term return. Tactically, because markets are not
perfectly correlated, when you diversify beyond domestic borders, you can
find opportunities elsewhere, even when the U.S. market is going down.
Sometimes we find entire countries that offer unusual value, or it may be a
segment of a yield curve, or perhaps even specific sectors or securities.
Global investors simply have more choices available to them, and thus, more
opportunities to invest profitably.
Q. How are the Foreign and Global Funds similar? What are their primary
differences?
A. As noted, our fundamental investment strategies and techniques are similar
for both Funds. As for differences, the Foreign Fund invests almost
exclusively outside the U.S. It appeals to investors who want to determine
the foreign and domestic allocations of their investment portfolio
themselves. The Global Fund invests as its name implies: globally. This
means that the U.S. is included among the 25 to 30 countries where we can
invest. Investors in the Global Fund essentially turn the foreign/domestic
allocation decision over to us, and we allocate funds away from or toward
the U.S. as opportunities arise. Because the allocation decision is ours to
make, we can use it as another potential source of return. Another
important difference in the way the two Funds are managed is our approach
to foreign currency exposure. On average, the Foreign Fund will carry
considerably less exchange rate risk than the Global Fund. Primarily this
is because the Foreign Fund is managed against a hedged market index, while
the Global Fund is managed against an unhedged market index.
Q. What are some of the key strategies you have used during the past year to
capitalize on opportunities in international fixed income investing?
A. While correlations are increasing, economic and business cycles do not
change at exactly the same rate and time in all countries, creating pockets
of opportunities for investors. For example, when Japan began an aggressive
program of fiscal and monetary stimulation last summer to jump start their
economy, we shifted from long- to short-maturity Japanese bonds to take
advantage of likely reductions in short-term rates. We took profits on
these positions several months ago following interest rate cuts which
pushed bond prices higher. Another component of this strategy involved
overweighting the U.S. dollar relative to the Japanese yen. This also
benefited returns as the dollar strengthened significantly.
A second important strategic theme was a shift out of the U.S. and later
Japan into the core European economies, chiefly Germany. This shift began
about one year ago and later accelerated as we sold profitable Japanese
positions. In comparing different markets, we were surprised that German
10-year bond yields were as much as 0.7% higher than comparable U.S. yields
at a time when German inflation was very subdued
8
<PAGE>
and their economy was weaker than the U.S. Based on our economic analysis,
we believed that German rates would decline relative to U.S. rates, and in
fact they did early this year. The differential fell from 0.7% above to
0.5% below U.S. rates, giving the Funds a very nice capital gain.
[The following table was represented as a line graph in the printed matter.]
================================================================================
GERMAN 10-YEAR GOVERNMENT SPREAD TO U.S.
================================================================================
German 10-Year Gov't.
Spread to U.S.-Rates (BPS)
Jan-95 -17
Feb-95 -9
Mar-95 6
Apr-95 -3
May-95 26
Jun-95 44
Jul-95 68
Aug-95 18
Sep-95 45
Oct-95 51
Nov-95 50
Dec-95 40
Jan-96 31
Feb-96 29
Mar-96 36
Apr-96 -16
Q. What does the record show on performance and volatility of returns for the
Foreign and Global Funds?
A. The Foreign Fund, which opened in 1992, has now qualified for a 5-star
rating from Morningstar* based on its three-year performance. The Global
Fund, which began in 1993, will qualify for a three-year rating later this
year. Both Funds have outperformed their unmanaged comparative market
indexes, and importantly, have done so without adding significant
volatility relative to these market measures. Certainly as an institutional
manager we find this encouraging. The one-year and historical performance
of both Funds relative to their peers in the Lipper General World Income
universe has also been strong, particularly since many of the higher ranked
funds are more volatile emerging markets offerings. (The Foreign Fund
ranked 17, 25 and 14 of 146, 107 and 71 funds, respectively, for the one,
two and three year periods ended March 31, 1996. The Global Fund ranked 54
and 11 for the same one- and two-year periods.)
Q. What is your outlook for the major global economies, and what changes in
the Funds are you considering as a result?
A. The biggest change we foresee is the re-emergence of the Japanese economy,
which has been very weak the past few years. Japanese bond yields should
rise sharply as modest inflation appears, so we have significantly
underweighted Japan in the Funds. We have targeted core Europe for roughly
half of this reallocation to take advantage of low inflation and continued
economic weakness, which should lead to lower interest rates. The remainder
has been directed to the dollar markets of Canada, New Zealand and
Australia. As exporters of commodities, these countries stand to benefit
from the recent surge in commodity prices. By emphasizing these markets, we
are defensively positioned in the event that price increases ignite
inflation among commodity consuming nations, without reducing portfolio
duration. This duration strategy is consistent with our outlook for lower
interest rates in Europe and the U.S.
* The top 10% of all funds in a broad investment catagory (e.g. world bond)
receive 5-star ratings. The Morningstar rating combines both performance
and risk into one evaluation.
9
<PAGE>
INVESTMENT PERFORMANCE
[The following table was represented as a line graph in the printed matter.]
================================================================================
Total Return Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH TOTAL RETURN LBAG
========== ============== =============
<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
12/31/95 2,372,627.60 2,209,361.20
03/31/96 2,315,678.28 2,170,163.07
</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 March 1996, compared to
the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The
performance of the Administrative Class from inception in September 1994 (shown
at right), reflects the payment of a service fee in an amount not to exceed
0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Total Return Fund
Int'l Class (%) 11.14 6.59 9.92 9.96
Lehman Aggregate
Index (%) 10.79 5.99 8.49 9.16
- -----------------------------------------------------
Admin. Class (%) 10.99 n/a n/a 10.67
Lehman Aggregate
Index (%) 10.79 n/a n/a 10.91
- -----------------------------------------------------
</TABLE>
. An above-index duration for most of the year led to strong relative and
absolute performance through the final three quarters of 1995, but detracted
from returns in the first quarter of 1996.
. Foreign bond holdings averaging 15% to 20% were strong contributors to
performance as hedged German and Finnish bonds posted strong returns amid low
inflation and stagnant growth in core Europe.
. Small dollar-denominated Mexican and Argentine bond positions boosted returns
when prices rallied in response to credible growth and inflation policies.
. Corporate holdings, particularly below investment grade, outperformed other
sectors and benefited returns with higher yields and stable spreads. These
benefits were limited in the latter half of the year as longer maturity
corporates were pared in anticipation of widening spreads.
. Fixed-rate mortgage positions lagged as rising prepayments offset their
higher yields through the first nine months, followed by duration extension
and lower prices in early 1996.
[The following table was represented as a line graph in the printed matter.]
================================================================================
Total Return Fund II Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH TOTAL RET II LBAG
========= ============== ============
<S> <C> <C>
12/31/91 1,000,000.00 1,000,000.00
12/31/92 1,094,320.03 1,074,016.53
12/31/93 1,213,560.32 1,178,727.22
12/31/94 1,186,684.24 1,144,348.17
12/31/95 1,411,856.80 1,355,761.38
03/31/96 1,376,575.39 1,331,719.95
</TABLE>
The line graph depicts the value of $1,000,000 invested at the inception of the
Fund's Institutional Class in December 1991 and held through March 1996,
compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index.
The performance of the Administrative Class from inception in November 1994
(shown at right), reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Total Return
Fund II
Int'l Class (%) 10.59 6.36 n/a 7.81
Lehman Aggregate
Index (%) 10.79 5.99 n/a 6.97
- -----------------------------------------------------
Admin. Class (%) 10.31 n/a n/a 12.12
Lehman Aggregate
Index (%) 10.79 n/a n/a 12.62
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Cumulative Returns Ended 3/31/96
- -----------------------------------------------------
5 Mo(a)
<S> <C>
Total Return
Fund II
Int'l Class (%) 0.78
Lehman Aggregate
Index (%) 1.10
- -----------------------------------------------------
Admin. Class (%) 0.57
Lehman Aggregate
Index (%) 1.10
- -----------------------------------------------------
</TABLE>
(a) Cumulative returns presented to reflect reorganization of the Fund,
effective November 1, 1995.
. An above-index duration aided strong performance in the final three quarters
of 1995, but detracted from returns in the first quarter of 1996.
. Corporate bonds were the strongest performing asset class, particularly
BBB-rated issues where spreads tightened as prospects for sustained economic
growth improved. The benefits of this strategy were limited in the latter
half of the year as longer maturity positions were trimmed.
. Adjustable-rate mortgages were used throughout the year to enhance portfolio
yield with limited price risk, boosting returns modestly.
. Fixed-rate mortgage positions lagged as rising prepayments offset their
higher yields through the first nine months, followed by duration extension
and lower prices in early 1996.
10
<PAGE>
[The following table was represented as a line graph in the printed matter.]
================================================================================
Total Return Fund III Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH TOTAL RET III LBAG
========= ============= ============
<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
12/31/95 1,608,546.95 1,513,452.22
03/31/96 1,569,798.25 1,486,614.49
</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 March 1996, compared to
the Lehman Brothers Aggregate Bond Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Total Return
Fund III (%) 10.06 6.85 n/a 9.59
- -----------------------------------------------------
Lehman Aggregate
Index (%) 10.79 5.99 n/a 8.39
- -----------------------------------------------------
</TABLE>
. An above-index duration for most of the year led to strong relative and
absolute performance through the final three quarters of 1995, but detracted
in the first quarter of 1996.
. Foreign bond holdings averaging 15% to 20% benefited performance as hedged
German and Finnish bonds posted strong returns amid low inflation and
stagnant growth in core Europe.
. Small dollar-denominated Mexican and Argentine bond positions boosted returns
when prices rallied in response to credible growth and inflation policies.
. A sector strategy which underweighted corporates in favor of mortgages
limited returns, as corporates were the strongest performing domestic sector
due to higher yields and spread tightening.
[The following table was represented as a line graph in the printed matter.]
================================================================================
Low Duration Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH LOW DURATION MERRILL 1-3
========= ============ ============
<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 1,811,369.22 1,695,419.33
12/31/94 1,822,760.28 1,705,049.92
12/31/95 2,040,217.87 1,892,602.79
03/31/96 2,041,263.49 1,898,924.61
</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 March 1996, compared to
the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The
performance of the Administrative Class from inception in January 1995 (shown at
right), reflects the payment of a service fee in an amount not to exceed 0.25%
on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Low Duration Fund
Inst'l Class (%) 9.13 5.76 7.66 8.41
Merrill Lynch 1-3
Yr Tsy Index (%) 7.75 4.92 6.52 7.52
- -----------------------------------------------------
Admin. Class (%) 8.83 n/a n/a 9.16
Merrill Lynch 1-3
Yr Tsy Index (%) 7.75 n/a n/a 9.00
- -----------------------------------------------------
</TABLE>
. An above-index duration led to strong relative performance through the final
three quarters of 1995, but detracted slightly in the first quarter of 1996.
. A broad maturity mix had a small positive impact on returns as
intermediate-term rates fell dramatically.
. Corporate holdings particularly below investment grade, outperformed other
sectors and benefited returns with higher yields and stable spreads.
. Small dollar-denominated Mexican bond positions boosted performance when
prices rallied in response to credible growth and inflation policies.
. Fixed-rate mortgage positions lagged as rising prepayments offset their
higher yields.
[The following table was represented as a line graph in the printed matter.]
================================================================================
Low Duration Fund II Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH LOW DURATION MERRILL 1-3
========= ============ ============
<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
12/31/95 1,307,960.85 1,283,105.62
03/31/96 1,303,600.04 1,287,391.54
</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 March 1996,
compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -------------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Low Duration
Fund II (%) 7.30 5.07 n/a 6.18
- -------------------------------------------------------
Merrill Lynch
1-3 Yr Tsy Index (%) 7.75 4.92 n/a 5.88
- -------------------------------------------------------
</TABLE>
. An above-index duration aided performance in the final three quarters of
1995, but detracted from returns in the first quarter of 1996.
. A broad maturity mix had a small positive impact on returns as
intermediate-term rates fell dramatically.
. Lack of exposure to lower rated corporate bonds (in keeping with the Fund's
investment guidelines) impeded performance when compared to the Low Duration
Fund, as these securities comprised the strongest domestic sector for the
year.
. Fixed-rate mortgages also limited returns when prepayments increased rapidly
in 1995, followed by dramatic slowing that caused durations to lengthen and
prices to fall through the bear market of early 1996.
11
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
High Yield Fund Through March 31, 1996
================================================================================
<TABLE>
LEHMAN BB
MONTH HIGH YIELD INT CORP
========= ============ ============
<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
12/31/95 1,466,840.41 1,376,719.76
03/31/96 1,480,400.02 1,386,737.39
</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 March 1996,
compared to the Lehman Brothers BB Intermediate Corporate Index, an unmanaged
market index. The performance of the Administrative Class from inception in
January 1995 (shown at right), reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
High Yield Fund
Inst'l Class (%) 15.70 11.68 n/a 12.89
Lehman BB Int.
Corp. Index (%) 13.48 9.79 n/a 10.59
- -----------------------------------------------------
Admin. Class (%) 15.54 n/a n/a 17.27
Lehman BB Int.
Corp. Index (%) 13.48 n/a n/a 15.30
- -----------------------------------------------------
</TABLE>
. A focus on BBB- and BB-rated non-cyclical credits benefited performance in
mid-1995 when investors became concerned about an economic slowdown.
. Maintaining this defensive strategy into 1996 detracted from returns as
lower-quality cyclical bonds outperformed on renewed optimism of economic
strength.
. Duration and maturity mix were held neutral to the index and had little
impact on relative return.
. Small holdings of dollar-denominated Mexican bonds aided performance as they
outperformed most high yield sectors during the period.
. Emphasizing the media/telecommunications and healthcare industries boosted
overall return due to improved cash flow ratios.
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Long Term U.S. Government Fund Through March 31, 1996
================================================================================
<TABLE>
LEHMAN INT
&
MONTH LONG-TERM GOV 20+ YR TREAS LBAG
========== ============ ============ ============
<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
12/31/95 1,911,315.03 1,736,411.78 1,505,418.68
03/31/96 1,791,701.29 1,627,082.08 1,478,723.40
</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 March 1996, 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 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Long-Term U.S.
Gov't. Fund (%) 14.83 8.05 n/a 13.04
- -----------------------------------------------------
LB Int. & 20+ Yr
Tresury Index (%) 14.03 7.17 n/a 10.78
- -----------------------------------------------------
Lehman Aggregate
Index (%) 10.79 5.99 n/a 8.57
- -----------------------------------------------------
</TABLE>
. Diversified sector, duration and maturity mix strategies led to strong
absolute and relative performance despite the backup in rates in early 1996.
. Duration strategy was mixed with a below-index duration limiting returns in
the second quarter, followed by two favorable above-index quarters which were
partially offset by surging rates in early 1996.
. A broad maturity mix had a small positive impact on returns as
intermediate-term rates fell dramatically.
. Mortgage exposure, which focused on a mix of short-term adjustable-rate and
long-term fixed rate issues, was positive overall, adding yield to the
portfolio that more than offset price and duration volatility on the
longer-term bonds.
12
<PAGE>
[THE FOLLOWING TALBE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Foreign Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
JP MORGAN
MONTH FOREIGN NON-US
========= ============ ============
<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
12/31/95 1,308,003.45 1,278,457.48
03/31/96 1,332,867.26 1,289,271.47
</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 March 1996,
compared to the J.P. Morgan Non-U.S. Government Bond Index (Hedged), an
unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Foreign Fund (%) 21.80 8.82 n/a 9.25
- -----------------------------------------------------
J.P. Morgan
Non-U.S. Index (%) 14.12 7.84 n/a 8.13
- -----------------------------------------------------
</TABLE>
. Country selection benefited relative performance as the Fund moved to an
overweighted position in Europe relative to Japan.
. Currency strategy added value when the Japanese yen and German mark were
underweighted in an environment where they both fell against most major
currencies.
. An above-index duration added to absolute and relative returns.
. Small exposures to developing market bonds aided performance as both
Argentina and Mexico posted over 40% returns during the period.
. The core European countries of Germany, France, Belgium, Denmark and Finland
were favored, and they outperformed the index but lagged the higher-yielding
peripheral European markets during the past nine months.
[THE FOLLOWING TALBE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Global Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
JP MORGAN
MONTH GLOBAL GLOBAL
========= ============ ============
<S> <C> <C>
11/30/93 1,000,000.00 1,000,000.00
12/31/93 1,031,870.81 1,010,200.00
12/31/94 1,014,310.85 1,022,933.14
12/31/95 1,247,201.85 1,220,457.41
03/31/96 1,231,820.01 1,199,079.87
</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 March 1996,
compared to the J.P. Morgan Global Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 2 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Global Fund (%) 12.04 11.19 n/a 9.34
- -----------------------------------------------------
J.P. Morgan
Global Index (%) 6.58 9.29 n/a 8.09
- -----------------------------------------------------
</TABLE>
. Country selection benefited relative performance as the Fund moved to an
overweighted position in Canada and Europe relative to the U.S. and Japan.
. Currency strategy added value when the Japanese yen and German mark were
underweighted in an environment where they both fell against most major
currencies.
. An above-index duration added to absolute and relative returns.
. Small exposures to developing market bonds aided performance as both
Argentina and Mexico posted over 40% returns during the period.
. The core European countries of Germany, France, Belgium, Denmark and Finland
were favored, and they outperformed the index but lagged the higher-yielding
peripheral European markets during the past nine months.
13
<PAGE>
INVESTMENT PERFORMANCE (Cont.)
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Short-Term Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
LIPPER
MONTH MONEY MARKET MONEY MARKET
========= ============ ============
<S> <C> <C>
10/31/87 1,000,000.00 1,000,000.00
12/31/87 1,012,023.74 1,011,433.29
12/31/88 1,088,755.81 1,084,223.92
12/31/89 1,191,539.60 1,181,464.97
12/31/90 1,292,428.29 1,275,590.70
12/31/91 1,378,445.50 1,350,092.71
12/31/92 1,428,417.71 1,396,855.75
12/31/93 1,494,453.55 1,434,611.69
12/31/94 1,537,715.13 1,488,152.66
12/31/95 1,679,255.85 1,568,208.56
03/31/96 1,696,995.09 1,587,396.35
</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 March 1996, 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. The performance of the Administrative class from inception
in February 1996 (shown at right), reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. Effective September 1, 1995,
the Fund changed its index from the Wiesenberger Money Market Index to the
Lipper Money Market Index. Management of the Fund believes the Lipper Money
Market Index is a more widely recognized and distributed money market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Short-Term Fund
Inst'l Class (%) 8.49 5.52 5.23 6.48
- -----------------------------------------------------
Lipper Money
Market Index (%) 5.25 4.12 4.13 5.64
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Cumulative Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Admin. Class (%) n/a n/a n/a 0.41
- -----------------------------------------------------
Lipper Money
Market Index (%) n/a n/a n/a 0.79
- -----------------------------------------------------
</TABLE>
. An above-index duration for most of the period led to strong relative
performance through the final three quarters of 1995, and detracted only
slightly in the first quarter of 1996.
. Short-term corporate and mortgage securities outperformed similar maturity
Treasuries due to higher yields and stable spreads.
. Opportunistic use of hedged Canadian and European bonds was a plus due to
their higher short-term interest rates and favorable hedging terms.
. Small dollar-denominated Mexican and Argentine bond positions boosted
performance when prices rallied in response to credible growth and inflation
policies.
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Money Market Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
LIPPER
MONTH MONEY MARKET MONEY MARKET
========= ============ ============
<S> <C> <C>
02/28/91 1,000,000.00 1,000,000.00
12/31/91 1,047,059.10 1,046,651.18
12/31/92 1,083,083.32 1,082,903.94
12/31/93 1,113,416.25 1,112,174.01
12/31/94 1,157,083.08 1,153,681.32
12/31/95 1,227,235.03 1,215,744.16
03/31/96 1,243,447.46 1,230,619.38
</TABLE>
The line graph depicts the value of $1,000,000 invested at the inception of the
Fund's Institutional Class in March 1991 and held through March 1996, compared
to the Lipper Money Market Index, an index consisting of the 30 largest equal
weighted Money Market Funds. The performance of the Administrative Class, from
inception in January 1995 (shown at right), reflects the payment of a service
fee in an amount not to exceed 0.25% on an annualized basis. Effective November
1, 1995, the Fund changed its index from the Salomon Three Month T-Bill to the
Lipper Money Market Index. Management of the Fund believes the Lipper Money
Market Index is more consistent with the Fund's investment objectives.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Money Market
Fund
Inst'l Class (%) 5.97 4.47 4.35 4.37
Lipper Money
Market Index (%) 5.25 4.12 4.13 4.16
- -----------------------------------------------------
Admin Class (%) 5.71 n/a n/a 5.66
Lipper Money
Market Index (%) 5.25 n/a n/a 5.28
- -----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Cumulative Returns Ended 3/31/96
- -----------------------------------------------------
5 Mo. (a)
<S> <C>
Money Market
Fund
Inst'l Class (%) 2.58
Lipper Money
Market Index (%) 1.96
- -----------------------------------------------------
Admin Class (%) 2.47
Lipper Money
Market Index (%) 1.96
- -----------------------------------------------------
</TABLE>
(a) Cumulative returns presented to reflect reorganization of the Fund,
effective November 1, 1995.
. High-grade, short-term corporate bonds offered higher yields than three-month
treasury bills, benefiting relative performance.
. Commercial paper offered by finance and utility companies boosted returns as
yields were consistently higher throughout the year.
. Maturity was held between two and three months for most of the year. This was
neutral for performance early in the period but added value when the yield
curve steepened in late 1995 and early 1996.
. Three Fed Funds reductions totaling 0.75% pushed money market yields lower
during the period.
14
<PAGE>
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
Growth Stock Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
S&P/BARRA
MONTH GROWTH STOCK GROWTH
========= ================ =============
<S> <C> <C>
06/30/87 1,000,000.00 1,000,000.00
12/31/87 821,597.69 825,887.15
12/31/88 930,476.25 963,063.44
12/31/89 1,169,864.77 1,268,204.52
12/31/90 1,166,776.31 1,228,676.59
12/31/91 1,597,738.06 1,603,221.84
12/31/92 1,660,262.82 1,725,482.83
12/31/93 1,759,283.20 1,899,379.61
12/31/94 1,786,067.30 1,924,470.07
12/31/95 2,277,312.96 2,647,645.46
03/31/96 2,417,164.48 2,789,759.56
</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 March 1996, compared to
the Standard & Poor's/BARRA Growth Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 3 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
Growth Stock
Fund (%) 27.19 12.24 12.22 10.60
- -----------------------------------------------------
S&P/BARRA
Growth Index (%) 31.22 14.94 13.52 12.43
- -----------------------------------------------------
</TABLE>
. In a very strong market, growth stocks narrowly underperformed the broad S&P
500 Index during the period and mid cap stocks were the poorest performers.
. Returns lagged the Index for the first nine months of the period but pared
the relative performance deficit considerably in the recent quarter.
. A smaller-than-market capitalization bias was a drag on relative performance
in 1995 as smaller-cap growth stocks significantly underperformed.
[THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATTER]
================================================================================
StockPLUS Fund Through March 31, 1996
================================================================================
<TABLE>
<CAPTION>
MONTH STOCKPLUS S&P 500
========= ================ =============
<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
12/31/95 1,534,744.62 1,467,411.83
03/31/96 1,615,223.41 1,546,176.12
</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 March 1996, compared to
the Standard & Poor's 500 Index, an unmanaged market index.
<TABLE>
<CAPTION>
Annualized Returns Ended 3/31/96
- -----------------------------------------------------
Since
1 Yr 2 Yr 5 Yr Inception
<S> <C> <C> <C> <C>
StockPLUS
Fund (%) 34.07 26.12 n/a 18.42
- -----------------------------------------------------
S&P 500
Index (%) 32.10 23.56 n/a 16.61
- -----------------------------------------------------
</TABLE>
. A fully invested equity position led to strong absolute returns as the S&P
500 Index rallied throughout the period.
. An extended duration for most of the period led to strong relative
performance on the cash portfolio through the final three quarters of 1995,
and detracted only slightly in the first quarter of 1996.
. Short-term corporate and mortgage securities outperformed similar maturity
Treasuries due to higher yields and stable spreads.
. Opportunistic use of hedged Canadian and European bonds in the third and
fourth quarters was a plus due to their higher short-term interest rates and
favorable hedging terms.
. Small dollar-denominated Mexican bond positions boosted performance when
prices rallied in response to credible growth and inflation policies.
15
<PAGE>
STATEMENT OF ASSETS & LIABILITIES
March 31, 1996
<TABLE>
<CAPTION>
=========== =========== =========== =========== ===========
Total Total Total Low Low
Amounts in thousands, except per share amounts Return Return II Return III Duration Duration II
=========== =========== =========== =========== ===========
Assets:
<S> <C> <C> <C> <C> <C>
Investments, at value $13,039,888 $ 586,412 $ 163,563 $ 3,478,981 $ 350,232
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Cash and foreign currency 22,824 1 178 1 1
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Receivable for investments and foreign currency sold 2,168,927 27,043 19,575 208,930 31,380
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Receivable for Fund shares sold 20,414 16 21 1,719 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Variation margin receivable 12,137 876 250 214 153
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Interest and dividends receivable 130,564 4,706 1,959 32,601 1,548
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Other assets 0 0 0 0 1
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
15,394,754 619,054 185,546 3,722,446 383,315
======================================================== =========== =========== =========== =========== ===========
Liabilities:
Payable for investments and foreign currency purchased $ 4,982,267 $ 158,959 $ 42,981 $ 999,452 $ 129,842
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Written options outstanding 28,856 397 198 0 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Payable for Fund shares redeemed 13,745 503 12 39,459 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Dividends payable 11,729 87 44 2,384 57
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Accrued investment advisor's fee 2,247 102 31 587 55
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Accrued administrator's fee 1,618 102 31 423 55
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Accrued distribution fee 20 1 0 1 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Variation margin payable 2,026 0 16 0 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Other accrued expenses and liabilities 23 0 10 30 7
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
5,042,531 160,151 43,323 1,042,336 130,016
======================================================== =========== =========== =========== =========== ===========
Net Assets $10,352,223 $ 458,903 $ 142,223 $ 2,680,110 $ 253,299
======================================================== =========== =========== =========== =========== ===========
Net Assets Consist of:
Paid in capital $10,447,698 $ 462,937 $ 145,453 $ 2,711,410 $ 257,534
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Undistributed (overdistributed) net investment income (18,792) (329) (380) (5,120) (1,362)
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Accumulated undistributed net realized gain (loss) 15,021 (1,980) (217) (7,496) (899)
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Net unrealized appreciation (depreciation) (91,704) (1,725) (2,633) (18,684) (1,974)
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
$10,352,223 $ 458,903 $ 142,223 $ 2,680,110 $ 253,299
======================================================== =========== =========== =========== =========== ===========
Shares Issued and Outstanding
Institutional Class 996,162 46,054 15,583 269,130 25,805
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Administrative Class 10,170 336 0 255 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.29 $ 9.89 $ 9.13 $ 9.95 $ 9.82
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Administrative Class 10.29 9.89 0 9.95 0
- -------------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Cost of Investments Owned 13,069,858 586,100 164,891 3,497,696 351,999
======================================================== =========== =========== =========== =========== ===========
Cost of Foreign Currency Held 22,231 0 177 0 0
======================================================== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements
16
<PAGE>
<TABLE>
<CAPTION>
========== ========== ========= ========= ==========
Long-Term
Amounts in thousands, except per share amounts Short-Term U.S. Gov't Foreign Global High Yield
========== ========== ========= ========= ==========
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 117,239 $ 42,402 $ 562,016 $ 221,093 $ 522,453
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Cash and foreign currency 42 0 405 469 0
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Receivable for investments and foreign currency sold 7,648 96 39,058 16,546 7,897
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Receivable for Fund shares sold 748 4 242 1 197
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Variation margin receivable 0 40 0 47 0
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Interest and dividends receivable 1,179 423 12,847 3,753 11,549
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Other assets 0 1 0 0 3
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
126,856 42,966 614,568 241,909 542,099
=========================================================== ========= ========= ========= ========= =========
Liabilities:
Payable for investments and foreign currency purchased $ 20,785 $ 10,376 $ 355,383 $ 107,810 $ 3,402
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Written options outstanding 0 0 22 11 0
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Payable for Fund shares redeemed 120 7 135 79 237
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Dividends payable 98 53 174 110 118
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Accrued investment advisor's fee 22 7 56 27 116
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Accrued administrator's fee 18 7 56 33 116
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Accrued distribution fee 1 0 0 0 0
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Variation margin payable 0 0 242 0 0
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Other accrued expenses and liabilities 16 5 7 6 120
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
21,060 10,455 356,075 108,076 4,109
=========================================================== ========= ========= ========= ========= =========
Net Assets $ 105,796 $ 32,511 $ 258,493 $ 133,833 $ 537,990
=========================================================== ========= ========= ========= ========= =========
Net Assets Consist of:
Paid in capital $ 106,593 $ 32,957 $ 251,507 $ 133,022 $ 525,389
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Undistributed (overdistributed) net investment income (161) 236 3,281 (16) 3,604
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Accumulated undistributed net realized gain (loss) (123) (876) (2,810) (445) 682
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Net unrealized appreciation (depreciation) (513) 194 6,515 1,272 8,315
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
$ 105,796 $ 32,511 $ 258,493 $ 133,833 $ 537,990
=========================================================== ========= ========= ========= ========= =========
Shares Issued and Outstanding
Institutional Class 10,257 3,264 24,612 13,313 49,062
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Administrative Class 403 0 0 0 92
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.92 $ 9.96 $ 10.50 $ 10.05 $ 10.94
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Administrative Class 9.92 0 0 0 10.94
- ----------------------------------------------------------- --------- --------- --------- --------- ---------
Cost of Investments Owned 117,935 42,042 561,706 221,192 514,138
=========================================================== ========= ========= ========= ========= =========
Cost of Foreign Currency Held 42 0 405 468 0
=========================================================== ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
======== ======== ==========
Money Growth
Amounts in thousands, except per share amounts Market Stock StocksPLUS
======== ======== ==========
<S> <C> <C> <C>
Assets:
Investments, at value $ 25,295 $ 7,893 $160,646
- -------------------------------------------------------------- -------- -------- --------
Cash and foreign currency 1 2 0
- -------------------------------------------------------------- -------- -------- --------
Receivable for investments and foreign currency sold 0 95 463
- -------------------------------------------------------------- -------- -------- --------
Receivable for Fund shares sold 620 0 32
- -------------------------------------------------------------- -------- -------- --------
Variation margin receivable 0 0 0
- -------------------------------------------------------------- -------- -------- --------
Interest and dividends receivable 35 9 1,406
- -------------------------------------------------------------- -------- -------- --------
Other assets 0 0 5
- -------------------------------------------------------------- -------- -------- --------
25,951 7,999 162,552
============================================================== ======== ======== ========
Liabilities:
Payable for investments and foreign currency purchased $ 0 $ 101 $ 9,562
- -------------------------------------------------------------- -------- -------- --------
Written options outstanding 0 0 0
- -------------------------------------------------------------- -------- -------- --------
Payable for Fund shares redeemed 0 0 5
- -------------------------------------------------------------- -------- -------- --------
Dividends payable 0 0 435
- -------------------------------------------------------------- -------- -------- --------
Accrued investment advisor's fee 3 2 50
- -------------------------------------------------------------- -------- -------- --------
Accrued administrator's fee 3 2 32
- -------------------------------------------------------------- -------- -------- --------
Accrued distribution fee 0 0 0
- -------------------------------------------------------------- -------- -------- --------
Variation margin payable 0 0 593
- -------------------------------------------------------------- -------- -------- --------
Other accrued expenses and liabilities 0 5 6
- -------------------------------------------------------------- -------- -------- --------
6 110 10,683
============================================================== ======== ======== ========
Net Assets $ 25,945 $ 7,889 $151,869
============================================================== ======== ======== ========
Net Assets Consist of:
Paid in capital $ 25,945 $ 6,058 $147,791
- -------------------------------------------------------------- -------- -------- --------
Undistributed (overdistributed) net investment income 0 255 1,762
- -------------------------------------------------------------- -------- -------- --------
Accumulated undistributed net realized gain (loss) 0 475 2,114
- -------------------------------------------------------------- -------- -------- --------
Net unrealized appreciation (depreciation) 0 1,101 202
- -------------------------------------------------------------- -------- -------- --------
$ 25,945 $ 7,889 $151,869
============================================================== ======== ======== ========
Shares Issued and Outstanding
Institutional Class 25,935 668 13,607
- -------------------------------------------------------------- -------- -------- --------
Administrative Class 10 0 0
- -------------------------------------------------------------- -------- -------- --------
Net Asset Value, Offering and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 1.00 $ 11.81 $ 11.16
- -------------------------------------------------------------- -------- -------- --------
Administrative Class 1.00 0 0
- -------------------------------------------------------------- -------- -------- --------
Cost of Investments Owned 25,295 6,792 160,654
============================================================== ======== ======== ========
Cost of Foreign Currency Held 0 0 0
============================================================== ======== ======== ========
</TABLE>
17
<PAGE>
STATEMENT OF OPERATIONS
For the year or period ended March 31, 1996
<TABLE>
<CAPTION>
========= ========= ========== ========= ===========
Total Total Total Low Low
$ in thousands Return Return II Return III Duration Duration II
========= ========= ========== ========= ===========
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 658,723 $ 13,210 $ 8,760 $ 180,952 $ 15,155
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Dividends 1,025 0 0 500 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Total income 659,748 13,210 8,760 181,452 15,155
============================================================ ========= ========= ========= ========= =========
Expenses:
Investment advisory fees 22,775 487 326 6,268 576
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Administration fees 13,085 487 217 3,520 391
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Custodian and transfer agent fees 1,326 0 25 343 29
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Registration fees 480 0 16 44 13
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Distribution fees - Administrative Class 142 3 0 3 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Audit fees 61 0 9 38 13
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Legal fees 83 0 2 32 3
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Trustees' fees 48 2 1 16 1
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Amortization of organization costs 0 0 1 0 2
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Miscellaneous 243 0 8 94 6
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Reimbursement to (from) advisor and administrator 0 0 (2) 0 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Total expenses 38,243 979 603 10,358 1,034
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Fees paid indirectly (77) 0 (1) (23) (2)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net expenses 38,166 979 602 10,335 1,032
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net Investment Income 621,582 12,231 8,158 171,117 14,123
============================================================ ========= ========= ========= ========= =========
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (28,272) (1,100) (337) 4 (487)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net realized gain on futures contracts and
written options 292,569 3,475 3,130 10,789 1,479
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net realized gain (loss) on foreign currency transactions (9,604) 0 192 (1,478) 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized appreciation
(depreciation) on investments 113,338 (4,612) 875 36,405 (369)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized depreciation on
futures contracts and written options (107,079) (6,715) (1,851) (1,934) (414)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies 5,084 0 52 302 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net gain (loss) 266,036 (8,952) 2,061 44,088 209
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net Increase in Assets Resulting from Operations $ 887,618 $ 3,279 $ 10,219 $ 215,205 $ 14,332
============================================================ ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements
18
<PAGE>
<TABLE>
<CAPTION>
========== ========== ========= ========= ==========
Long-Term
$ in thousands Short-Term U.S. Gov't Foreign Global High Yield
========== ========== ========= ========= ==========
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 6,738 $ 2,680 $ 15,276 $ 6,368 $ 44,302
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Dividends 0 0 0 0 643
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Total income 6,738 2,680 15,276 6,368 44,945
============================================================ ========= ========= ========= ========= =========
Expenses:
Investment advisory fees 249 101 640 265 1,187
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Administration fees 137 65 428 208 842
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Custodian and transfer agent fees 25 12 109 41 62
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Registration fees 19 12 25 27 48
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Distribution fees - Administrative Class 1 0 0 0 1
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Audit fees 10 7 30 23 19
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Legal fees 2 1 1 1 4
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Trustees' fees 1 0 2 1 3
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Amortization of organization costs 0 2 0 0 2
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Miscellaneous 81 3 17 4 14
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Reimbursement to (from) advisor and administrator (13) (17) 0 22 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Total expenses 512 186 1,252 592 2,182
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Fees paid indirectly (2) 0 (2) 0 (10)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net expenses 510 186 1,250 592 2,172
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net Investment Income 6,228 2,494 14,026 5,776 42,773
============================================================ ========= ========= ========= ========= =========
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 305 (371) 15,628 925 9,152
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net realized gain on futures contracts and
written options 306 3,910 4,874 1,964 164
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net realized gain (loss) on foreign currency transactions (19) 0 5,686 1,811 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized appreciation
(depreciation) on investments 701 143 1,524 (531) 11,935
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized depreciation on
futures contracts and written options (93) (585) (1,652) (620) (22)
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies (24) 0 6,933 946 0
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net gain (loss) 1,176 3,097 32,993 4,495 21,229
- ------------------------------------------------------------ --------- --------- --------- --------- ---------
Net Increase in Assets Resulting from Operations $ 7,404 $ 5,591 $ 47,019 $ 10,271 $ 64,002
============================================================ ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
========= ========= ==========
Money Growth
$ in thousands Market Stock StocksPLUS
========= ========= ==========
<S> <C> <C> <C>
Investment Income:
Interest $ 415 $ 13 $ 12,432
- ------------------------------------------------------------ --------- --------- ---------
Dividends 0 151 13
- ------------------------------------------------------------ --------- --------- ---------
Total income 415 164 12,445
============================================================ ========= ========= =========
Expenses:
Investment advisory fees 10 30 325
- ------------------------------------------------------------ --------- --------- ---------
Administration fees 14 17 150
- ------------------------------------------------------------ --------- --------- ---------
Custodian and transfer agent fees 0 9 24
- ------------------------------------------------------------ --------- --------- ---------
Registration fees 0 3 26
- ------------------------------------------------------------ --------- --------- ---------
Distribution fees - Administrative Class 0 0 0
- ------------------------------------------------------------ --------- --------- ---------
Audit fees 0 8 15
- ------------------------------------------------------------ --------- --------- ---------
Legal fees 0 0 1
- ------------------------------------------------------------ --------- --------- ---------
Trustees' fees 0 0 0
- ------------------------------------------------------------ --------- --------- ---------
Amortization of organization costs 0 0 2
- ------------------------------------------------------------ --------- --------- ---------
Miscellaneous 0 1 3
- ------------------------------------------------------------ --------- --------- ---------
Reimbursement to (from) advisor and administrator 0 (14) (34)
- ------------------------------------------------------------ --------- --------- ---------
Total expenses 24 54 512
- ------------------------------------------------------------ --------- --------- ---------
Fees paid indirectly 0 0 0
- ------------------------------------------------------------ --------- --------- ---------
Net expenses 24 54 512
- ------------------------------------------------------------ --------- --------- ---------
Net Investment Income 391 110 11,933
============================================================ ========= ========= =========
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 0 3,158 243
- ------------------------------------------------------------ --------- --------- ---------
Net realized gain on futures contracts and
written options 0 2 8,928
- ------------------------------------------------------------ --------- --------- ---------
Net realized gain (loss) on foreign currency transactions 0 0 31
- ------------------------------------------------------------ --------- --------- ---------
Net change in unrealized appreciation
(depreciation) on investments 0 (458) 28
- ------------------------------------------------------------ --------- --------- ---------
Net change in unrealized depreciation on
futures contracts and written options 0 0 (766)
- ------------------------------------------------------------ --------- --------- ---------
Net change in unrealized appreciation (depreciation)
on translation of assets and liabilities denominated
in foreign currencies 0 0 0
- ------------------------------------------------------------ --------- --------- ---------
Net gain (loss) 0 2,702 8,464
- ------------------------------------------------------------ --------- --------- ---------
Net Increase in Assets Resulting from Operations $ 391 $ 2,812 $ 20,397
============================================================ ========= ========= =========
</TABLE>
19
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
================================ ====================================
$ in thousands Total Return Total Return II(a)
================================ ====================================
Five
Increase (Decrease) in Net Assets from: Year Ended Year Ended Months Ended Year Ended
March 31, 1996 March 31, 1995 March 31, 1996 October 31, 1995(b)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 621,582 $ 407,312 $ 12,231 $ 26,111
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net realized gain (loss) 254,693 (110,620) 2,375 14,545
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on investments 113,338 (77,343) (4,612) 11,126
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (107,079) 82,421 (6,715) 8,255
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 5,084 1,525 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from operations 887,618 303,295 3,279 60,037
============================================================ ============================== ==============================
Distributions to Shareholders
From net investment income
Institutional Class (533,126) (347,782) (12,145) (25,586)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class (3,203) (126) (82) (106)
- ------------------------------------------------------------ ------------------------------ ------------------------------
In excess of net investment income
Institutional Class (84,779) (30,707) (11) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class (510) (11) 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
From net realized capital gains
Institutional Class (110,361) 0 (4,011) (422)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class (772) 0 (28) (2)
- ------------------------------------------------------------ ------------------------------ ------------------------------
In excess of net realized capital gains
Institutional Class 0 0 (2,282) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (15) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Tax basis return of capital
Institutional Class 0 (13,786) 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 (5) 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Distributions (732,751) (392,417) (18,574) (26,116)
============================================================ ============================== ==============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 3,567,811 3,081,221 36,981 100,602
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 117,173 9,138 218 2,972
- ------------------------------------------------------------ ------------------------------ ------------------------------
Issued as reinvestment of distributions
Institutional Class 592,359 308,654 17,509 24,511
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 3,923 142 126 108
- ------------------------------------------------------------ ------------------------------ ------------------------------
Cost of shares redeemed
Institutional Class (1,308,591) (1,069,020) (25,812) (74,687)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class (24,091) (401) (78) (73)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from Fund
share transactions 2,948,584 2,329,734 28,944 53,433
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Increase in Net Assets 3,103,451 2,240,612 13,649 87,354
============================================================ ============================== ==============================
Net Assets
Beginning of period 7,248,772 5,008,160 445,254 357,900
- ------------------------------------------------------------ ------------------------------ ------------------------------
End of period * $ 10,352,223 $ 7,248,772 $ 458,903 $ 445,254
- ------------------------------------------------------------ ------------------------------ ------------------------------
* Including net undistributed (overdistributed)
investment income of: $ (18,792) $ (85,253) $ (329) $ (5)
- ------------------------------------------------------------ ------------------------------ ------------------------------
</TABLE>
(a) Formerly the PIMCO Managed Bond and Income Fund of the PIMCO Funds: Equity
Advisors Series.
(b) Audited by other independent accountants.
See Notes to Financial Statements
20
<PAGE>
<TABLE>
<CAPTION>
================================ ================================
$ in thousands Total Return III Low Duration
================================ ================================
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C>
Operations
Net investment income $ 8,158 $ 5,934 $ 171,117 $ 146,094
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net realized gain (loss) 2,985 (1,737) 9,315 (36,670)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on investments 875 (850) 36,405 (30,178)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (1,851) 1,250 (1,934) 2,234
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 52 (73) 302 (386)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from operations 10,219 4,524 215,205 81,094
============================================================ ============================== ==============================
Distributions to Shareholders
From net investment income
Institutional Class (6,946) (5,003) (171,057) (125,715)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (91) (10)
- ------------------------------------------------------------ ------------------------------ ------------------------------
In excess of net investment income
Institutional Class (1,214) (147) 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
From net realized capital gains
Institutional Class (1,687) 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 (784) 0 (20,045)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 0 (2)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Distributions (9,847) (5,934) (171,148) (145,772)
============================================================ ============================== ==============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 42,689 38,113 1,416,204 1,378,441
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 2,678 768
- ------------------------------------------------------------ ------------------------------ ------------------------------
Issued as reinvestment of distributions
Institutional Class 9,384 5,316 143,328 115,466
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 83 12
- ------------------------------------------------------------ ------------------------------ ------------------------------
Cost of shares redeemed
Institutional Class (9,719) (40,044) (1,258,060) (1,395,445)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (983) (16)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from Fund
share transactions 42,354 3,385 303,250 99,226
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Increase in Net Assets 42,726 1,975 347,307 34,548
============================================================ ============================== ==============================
Net Assets
Beginning of period 99,497 97,522 2,332,803 2,298,255
- ------------------------------------------------------------ ------------------------------ ------------------------------
End of period * $ 142,223 $ 99,497 $ 2,680,110 $ 2,332,803
- ------------------------------------------------------------ ------------------------------ ------------------------------
* Including net undistributed (overdistributed)
investment income of: $ (380) $ (1,212) $ (5,120) $ 71
- ------------------------------------------------------------ ------------------------------ ------------------------------
</TABLE>
<TABLE>
<CAPTION>
================================ ================================
$ in thousands Low Duration II Short-Term
================================ ================================
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C>
Operations
Net investment income $ 14,123 $ 9,951 $ 6,228 $ 7,250
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net realized gain (loss) 992 (2,550) 592 (743)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on investments (369) (157) 701 (800)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (414) 320 (93) 93
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 0 0 (24) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from operations 14,332 7,564 7,404 5,800
============================================================ ============================== ==============================
Distributions to Shareholders
From net investment income
Institutional Class (13,042) (9,191) (5,943) (7,075)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (24) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
In excess of net investment income
Institutional Class (603) (491) (261) (165)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (1) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
From net realized capital gains
Institutional Class 0 (4) 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 (479) (276) 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Distributions (14,124) (9,962) (6,229) (7,240)
============================================================ ============================== ==============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 166,259 77,909 133,513 265,206
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 4,324 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Issued as reinvestment of distributions
Institutional Class 13,248 8,742 4,930 5,671
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 0 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Cost of shares redeemed
Institutional Class (97,282) (54,798) (127,940) (252,499)
- ------------------------------------------------------------ ------------------------------ ------------------------------
Administrative Class 0 0 (320) 0
- ------------------------------------------------------------ ------------------------------ ------------------------------
Net increase resulting from Fund
share transactions 82,225 31,853 14,507 18,378
- ------------------------------------------------------------ ------------------------------ ------------------------------
Total Increase in Net Assets 82,433 29,455 15,682 16,938
============================================================ ============================== ==============================
Net Assets
Beginning of period 170,866 141,411 90,114 73,176
- ------------------------------------------------------------ ------------------------------ ------------------------------
End of period * $ 253,299 $ 170,866 $ 105,796 $ 90,114
- ------------------------------------------------------------ ------------------------------ ------------------------------
* Including net undistributed (overdistributed)
investment income of: $ (1,362) $ (1,081) $ (161) $ (261)
- ------------------------------------------------------------ ------------------------------ ------------------------------
</TABLE>
21
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (Cont.)
<TABLE>
<CAPTION>
=============================== ===============================
$ in thousands Long-Term
U.S. Government Foreign
=============================== ===============================
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C>
Operations
Net investment income $ 2,494 $ 1,998 $ 14,026 $ 21,377
- ----------------------------------------------------------- -------------------------- --------------------------
Net realized gain (loss) 3,539 (1,604) 26,188 (40,238)
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on investments 143 244 1,524 (184)
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (585) 1,086 (1,652) 3,854
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 0 0 6,933 1,398
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from operations 5,591 1,724 47,019 (13,793)
=========================================================== ========================== ==========================
Distributions to Shareholders
From net investment income
Institutional Class (2,372) (1,941) (8,030) 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
In excess of net investment income
Institutional Class (122) (57) (5,997) 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
From net realized capital gains
Institutional Class (1,698) 0 (5,828) 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
In excess of net realized capital gains
Institutional Class (518) 0 (685) 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 (4,710) (1,998) (20,540) (20,915)
=========================================================== ========================== ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 21,443 21,532 79,674 60,501
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Issued as reinvestment of distributions
Institutional Class 3,954 1,200 17,861 17,186
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Cost of shares redeemed
Institutional Class (26,116) (16,087) (98,221) (308,800)
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from Fund
share transactions (719) 6,645 (686) (231,113)
- ----------------------------------------------------------- -------------------------- --------------------------
Total Increase (Decrease) in Net Assets 162 6,371 25,793 (265,821)
=========================================================== ========================== ==========================
Net Assets
Beginning of period 32,349 25,978 232,700 498,521
- ----------------------------------------------------------- -------------------------- --------------------------
End of period * $ 32,511 $ 32,349 $ 258,493 $ 232,700
- ----------------------------------------------------------- -------------------------- --------------------------
* Including net undistributed (overdistributed)
investment income of: $ 236 $ (122) $ 3,281 $ (5,995)
- ----------------------------------------------------------- -------------------------- --------------------------
</TABLE>
<TABLE>
<CAPTION>
===============================
$ in thousands Global
===============================
Increase (Decrease) in Net Assets from: Year Ended Year Ended
March 31, 1996 March 31, 1995
<S> <C> <C>
Operations
Net investment income $ 5,776 $ 3,239
- ----------------------------------------------------------- --------------------------
Net realized gain (loss) 4,700 1,494
- ----------------------------------------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on investments (531) 525
- ----------------------------------------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (620) 692
- ----------------------------------------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 946 603
- ----------------------------------------------------------- --------------------------
Net increase (decrease) resulting from operations 10,271 6,553
=========================================================== ==========================
Distributions to Shareholders
From net investment income
Institutional Class (5,778) (3,206)
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
In excess of net investment income
Institutional Class 0 (2,548)
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
From net realized capital gains
Institutional Class (2,136) 0
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
In excess of net realized capital gains
Institutional Class (1,658) 0
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
Tax basis return of capital
Institutional Class 0 0
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
Total Distributions (9,572) (5,754)
=========================================================== ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 54,351 43,231
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
Issued as reinvestment of distributions
Institutional Class 8,928 5,606
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
Cost of shares redeemed
Institutional Class (6,621) (13,645)
- ----------------------------------------------------------- --------------------------
Administrative Class 0 0
- ----------------------------------------------------------- --------------------------
Net increase (decrease) resulting from Fund
share transactions 56,658 35,192
- ----------------------------------------------------------- --------------------------
Total Increase (Decrease) in Net Assets 57,357 35,991
=========================================================== ==========================
Net Assets
Beginning of period 76,476 40,485
- ----------------------------------------------------------- --------------------------
End of period * $ 133,833 $ 76,476
- ----------------------------------------------------------- --------------------------
* Including net undistributed (overdistributed)
investment income of: $ (16) $ 1,199
- ----------------------------------------------------------- --------------------------
</TABLE>
(a) Formerly the Money Market Fund of the PIMCO Funds: Equity Advisors Series.
(b) Audited by other independent accountants.
See Notes to Financial Statements
22
<PAGE>
<TABLE>
<CAPTION>
=============================== ===============================
$ in thousands High Yield Money Market (a)
=============================== ===============================
Five Months Year Ended
Increase (Decrease) in Net Assets from: Year Ended Year Ended Ended October 31,
March 31, 1996 March 31, 1995 March 31, 1996 1995(b)
<S> <C> <C> <C> <C>
Operations
Net investment income $ 42,773 $ 28,015 $ 391 $ 536
- ----------------------------------------------------------- -------------------------- --------------------------
Net realized gain (loss) 9,316 (4,049) 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on investments 11,935 2,745 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (22) 22 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from operations 64,002 26,733 391 536
=========================================================== ========================== ==========================
Distributions to Shareholders
From net investment income
Institutional Class (42,753) (28,199) (365) (517)
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class (25) (1) (26) (19)
- ----------------------------------------------------------- -------------------------- --------------------------
In excess of net investment income
Institutional Class 0 (530) 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
From net realized capital gains
Institutional Class (2,427) 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
In excess of net realized capital gains
Institutional Class 0 (49) 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 (45,205) (28,779) (391) (536)
=========================================================== ========================== ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 294,885 220,497 23,183 22,820
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 998 39 4 1,799
- ----------------------------------------------------------- -------------------------- --------------------------
Issued as reinvestment of distributions
Institutional Class 43,030 27,208 388 493
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 25 1 0 19
- ----------------------------------------------------------- -------------------------- --------------------------
Cost of shares redeemed
Institutional Class (156,050) (129,324) (5,377) (23,025)
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class (46) 0 (4) (1,809)
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from Fund
share transactions 182,842 118,421 18,194 297
- ----------------------------------------------------------- -------------------------- --------------------------
Total Increase (Decrease) in Net Assets 201,639 116,375 18,194 297
=========================================================== ========================== ==========================
Net Assets
Beginning of period 336,351 219,976 7,751 7,454
- ----------------------------------------------------------- -------------------------- --------------------------
End of period * $ 537,990 $ 336,351 $ 25,945 $ 7,751
- ----------------------------------------------------------- -------------------------- --------------------------
* Including net undistributed (overdistributed)
investment income of: $ 3,604 $ 1,534 $ 0 $ 0
- ----------------------------------------------------------- -------------------------- --------------------------
</TABLE>
<TABLE>
<CAPTION>
=============================== ================================
$ in thousands Growth Stock StocksPLUS
=============================== ================================
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C>
Operations
Net investment income $ 110 $ 270 $ 11,933 $ 2,841
- ----------------------------------------------------------- -------------------------- --------------------------
Net realized gain (loss) 3,160 938 9,202 858
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on investments (458) 600 28 66
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 0 27 (766) 1,397
- ----------------------------------------------------------- -------------------------- --------------------------
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from operations 2,812 1,835 20,397 5,162
=========================================================== ========================== ==========================
Distributions to Shareholders
From net investment income
Institutional Class (109) (270) (8,982) (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 (2,750) (1,056) (9,224) 0
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
In excess of net realized capital gains
Institutional Class 0 0 (251) 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 (2,859) (1,326) (18,457) (2,257)
=========================================================== ========================== ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 1,627 954 114,561 28,147
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Issued as reinvestment of distributions
Institutional Class 2,408 1,314 17,428 2,257
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Cost of shares redeemed
Institutional Class (11,528) (9,861) (28,558) (1,136)
- ----------------------------------------------------------- -------------------------- --------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------------- -------------------------- --------------------------
Net increase (decrease) resulting from Fund
share transactions (7,493) (7,593) 103,431 29,268
- ----------------------------------------------------------- -------------------------- --------------------------
Total Increase (Decrease) in Net Assets (7,540) (7,084) 105,371 32,173
=========================================================== ========================== ==========================
Net Assets
Beginning of period 15,429 22,513 46,498 14,325
- ----------------------------------------------------------- -------------------------- --------------------------
End of period * $ 7,889 $ 15,429 $ 151,869 $ 46,498
- ----------------------------------------------------------- -------------------------- --------------------------
* Including net undistributed (overdistributed)
investment income of: $ 255 $ 0 $ 1,762 $ 1,176
- ----------------------------------------------------------- -------------------------- --------------------------
</TABLE>
23
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected Per Share Data for ------------- ---------- --------------- ------------ ---------- ------------- --------------
the Year or Period Ended: Net Asset Net Net Realized Total Income Dividends Dividends in Distributions
Value Investment and Unrealized from from Net Excess of Net from Net
Beginning of Income Gain (Loss) on Investment Investment Investment Realized
Period Investments Operations Income Income Capital Gains
------------- ---------- --------------- ------------ ---------- ------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/96 $ 10.02 $ 0.81 $ 0.29 $ 1.10 $ (0.61) $ (0.10) $ (0.12)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
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)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
Administrative Class
03/31/96 10.01 0.80 0.29 1.09 (0.60) (0.09) (0.12)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03) 0.00
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
Total Return Fund II (a)
Institutional Class
11/01/95 - 03/31/96 $ 10.21 $ 0.25 $ (0.17) $ 0.08 $ (0.26) $ 0.00 $ (0.09)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
10/31/95 (b) 9.39 0.69 0.76 1.45 (0.62) 0.00 (0.01)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
10/31/94 (b) 10.38 0.51 (0.88) (0.37) (0.51) 0.00 (0.05)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
10/31/93 (b) 9.99 0.61 0.74 1.35 (0.61) 0.00 (0.35)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
12/30/91 - 10/31/92 (b) 10.00 0.49 0.23 0.72 (0.49) 0.00 (0.24)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
Administrative Class
11/01/95 - 03/31/96 10.22 0.24 (0.17) 0.07 (0.26) 0.00 (0.09)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
11/30/94 - 10/31/95 (b) 9.34 0.56 0.88 1.44 (0.55) 0.00 (0.01)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
Total Return Fund III
03/31/96 $ 8.99 $ 0.72 $ 0.17 $ 0.89 $ (0.54) $ (0.09) $ (0.12)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
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
03/31/96 $ 9.76 $ 0.66 $ 0.21 $ 0.87 $ (0.68) $ 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)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
Administrative Class
03/31/96 9.76 0.63 0.21 0.84 (0.65) 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
03/31/96 $ 9.77 $ 0.66 $ 0.04 $ 0.70 $ (0.60) $ (0.03) $ 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
Institutional Class
03/31/96 $ 9.79 $ 0.69 $ 0.12 $ 0.81 $ (0.65) $ (0.03) $ 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)
- ---------------------------- ------- ------ ------- ------- -------- -------- --------
</TABLE>
+ Annualized
(a) Formerly the PIMCO Managed Bond and Income Fund of the PIMCO Funds:
Equity Advisors Series.
(b) Audited by other independent accountants.
See Notes to Financial Statements
24
<PAGE>
<TABLE>
<CAPTION>
------------- --------- -------------- ------------ ------------
Distributions
in Excess of Tax Basis Total Net Asset
Net Realized Return of Distributions Value End of Total Return
Capital Gains Capital Period
------------- --------- -------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/96 $ 0.00 $ 0.00 $ (0.83) $ 10.29 11.14%
- ---------------------------- -------- -------- -------- --------- -----
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
- ---------------------------- -------- -------- -------- --------- -----
Administrative Class
03/31/96 0.00 0.00 (0.81) 10.29 10.99
- ---------------------------- -------- -------- -------- --------- -----
09/07/94 - 03/31/95 0.00 (0.01) (0.36) 10.01 3.76
- ---------------------------- -------- -------- -------- --------- -----
Total Return Fund II (a)
Institutional Class
11/01/95 - 03/31/96 $ (0.05) $ 0.00 $ (0.40) $ 9.89 0.78%
- ---------------------------- -------- -------- -------- --------- -----
10/31/95 (b) 0.00 0.00 (0.63) 10.21 15.96
- ---------------------------- -------- -------- -------- --------- -----
10/31/94 (b) 0.00 (0.06) (0.62) 9.39 (3.58)
- ---------------------------- -------- -------- -------- --------- -----
10/31/93 (b) 0.00 0.00 (0.96) 10.38 13.79
- ---------------------------- -------- -------- -------- --------- -----
12/30/91 - 10/31/92 (b) 0.00 0.00 (0.73) 9.99 7.52
- ---------------------------- -------- -------- -------- --------- -----
Administrative Class
11/01/95 - 03/31/96 (0.05) 0.00 (0.40) 9.89 0.57
- ---------------------------- -------- -------- -------- --------- -----
11/30/94 - 10/31/95 (b) 0.00 0.00 (0.56) 10.22 15.92
- ---------------------------- -------- -------- -------- --------- -----
Total Return Fund III
03/31/96 $ 0.00 $ 0.00 $ (0.75) $ 9.13 10.06%
- ---------------------------- -------- -------- -------- --------- -----
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
03/31/96 $ 0.00 $ 0.00 $ (0.68) $ 9.95 9.13%
- ---------------------------- -------- -------- -------- --------- -----
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
- ---------------------------- -------- -------- -------- --------- -----
Administrative Class
03/31/96 0.00 0.00 (0.65) 9.95 8.83
- ---------------------------- -------- -------- -------- --------- -----
12/31/94 - 03/31/95 0.00 (0.02) (0.16) 9.76 2.53
- ---------------------------- -------- -------- -------- --------- -----
Low Duration Fund II
03/31/96 $ 0.00 $ (0.02) $ (0.65) $ 9.82 7.30%
- ---------------------------- -------- -------- -------- --------- -----
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
Institutional Class
03/31/96 $ 0.00 $ 0.00 $ (0.68) $ 9.92 8.49%
- ---------------------------- -------- -------- -------- --------- -----
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
- ---------------------------- -------- -------- -------- --------- -----
</TABLE>
<TABLE>
<CAPTION>
------------- ----------- ------------ ----------
Net Assets Ratio of Ratio of Net
End of Period Expenses to Investment Portfolio
(000's) Average Net Income to Turnover
Assets Average Net Rate
Assets
------------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/96 $10,247,605 0.42% 6.85% 221.13%
- ---------------------------- ----------- ---- ---- ------
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
- ---------------------------- ----------- ---- ---- ------
Administrative Class
03/31/96 104,618 0.68 6.64 221.13
- ---------------------------- ----------- ---- ---- ------
09/07/94 - 03/31/95 9,037 0.66+ 6.54+ 98.48
- ---------------------------- ----------- ---- ---- ------
Total Return Fund II (a)
Institutional Class
11/01/95 - 03/31/96 $ 455,583 0.51%+ 6.36%+ 73.18%
- ---------------------------- ----------- ---- ---- ------
10/31/95 (b) 442,091 0.50 6.47 41.05
- ---------------------------- ----------- ---- ---- ------
10/31/94 (b) 357,900 0.50 5.22 99.46
- ---------------------------- ----------- ---- ---- ------
10/31/93 (b) 371,260 0.50 5.38 49.71
- ---------------------------- ----------- ---- ---- ------
12/30/91 - 10/31/92 (b) 287,113 0.50+ 5.83+ 133.61
- ---------------------------- ----------- ---- ---- ------
Administrative Class
11/01/95 - 03/31/96 3,320 0.76+ 6.06+ 73.18
- ---------------------------- ----------- ---- ---- ------
11/30/94 - 10/31/95 (b) 3,163 0.76+ 6.22+ 40.91
- ---------------------------- ----------- ---- ---- ------
Total Return Fund III
03/31/96 $ 142,223 0.50% 6.82% 176.97%
- ---------------------------- ----------- ---- ---- ------
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
03/31/96 $ 2,677,574 0.42% 6.88% 208.79%
- ---------------------------- ----------- ---- ---- ------
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
- ---------------------------- ----------- ---- ---- ------
Administrative Class
03/31/96 2,536 0.69 6.73 208.79
- ---------------------------- ----------- ---- ---- ------
12/31/94 - 03/31/95 771 0.66+ 6.93+ 77.14
- ---------------------------- ----------- ---- ---- ------
Low Duration Fund II
03/31/96 $ 253,299 0.48% 6.61% 225.02%
- ---------------------------- ----------- ---- ---- ------
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
Institutional Class
03/31/96 $ 101,797 0.58% 6.86% 214.78%
- ---------------------------- ----------- ---- ---- ------
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
- ---------------------------- ----------- ---- ---- ------
</TABLE>
25
<PAGE>
FINANCIAL HIGHLIGHTS (Cont.)
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended:
============ ========== ============== ============
Net Asset Net Net Realized Total Income
Value Investment and Unrealized from
Beginning of Income Gain (Loss) on Investment
Period Investments Operations
============ ========== ============== ============
<S> <C> <C> <C> <C>
Short-Term Fund
Administrative Class
02/01/96 - 03/31/96 $ 9.98 $ 0.11 $ (0.07) $ 0.04
- --------------------------------- -------- -------- -------- --------
Long-Term U.S. Gov't Fund
03/31/96 $ 9.85 $ 0.83 $ 0.66 $ 1.49
- --------------------------------- -------- -------- -------- --------
03/31/95 9.96 0.60 (0.09) 0.51
- --------------------------------- -------- -------- -------- --------
03/31/94 11.36 0.62 (0.06) 0.56
- --------------------------------- -------- -------- -------- --------
03/31/93 10.82 0.70 1.66 2.36
- --------------------------------- -------- -------- -------- --------
07/01/91 - 03/31/92 10.00 0.64 0.85 1.49
- --------------------------------- -------- -------- -------- --------
Foreign Fund
03/31/96 $ 9.38 $ 0.96 $ 1.03 $ 1.99
- --------------------------------- -------- -------- -------- --------
03/31/95 10.18 0.38 (0.57) (0.19)
- --------------------------------- -------- -------- -------- --------
03/31/94 10.34 0.55 0.27 0.82
- --------------------------------- -------- -------- -------- --------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50
- --------------------------------- -------- -------- -------- --------
Global Fund
03/31/96 $ 9.87 $ 0.45 $ 0.72 $ 1.17
- --------------------------------- -------- -------- -------- --------
03/31/95 9.85 0.69 (0.14) 0.55
- --------------------------------- -------- -------- -------- --------
11/23/93 - 03/31/94 10.00 0.16 (0.15) 0.01
- --------------------------------- -------- -------- -------- --------
High Yield Fund
Institutional Class
03/31/96 $ 10.42 $ 1.04 $ 0.54 $ 1.58
- --------------------------------- -------- -------- -------- --------
03/31/95 10.52 0.99 (0.12) 0.87
- --------------------------------- -------- -------- -------- --------
03/31/94 10.41 0.90 0.18 1.08
- --------------------------------- -------- -------- -------- --------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65
- --------------------------------- -------- -------- -------- --------
Administrative Class
03/31/96 10.41 1.02(a) 0.54(a) 1.56
- --------------------------------- -------- -------- -------- --------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48
- --------------------------------- -------- -------- -------- --------
Money Market Fund (b)
Institutional Class
11/01/95 - 03/31/96 $ 1.00 $ 0.02 $ 0.00 $ 0.02
- --------------------------------- -------- -------- -------- --------
10/31/95 (c) 1.00 0.06 0.00 0.06
- --------------------------------- -------- -------- -------- --------
10/31/94 (c) 1.00 0.03 0.00 0.03
- --------------------------------- -------- -------- -------- --------
10/31/93 (c) 1.00 0.03 0.00 0.03
- --------------------------------- -------- -------- -------- --------
10/31/92 (c) 1.00 0.04 0.00 0.04
- --------------------------------- -------- -------- -------- --------
03/01/91 - 10/31/91 (c) 1.00 0.04 0.00 0.04
- --------------------------------- -------- -------- -------- --------
Administrative Class
11/01/95 - 03/31/96 1.00 0.02 0.00 0.02
- --------------------------------- -------- -------- -------- --------
01/24/95 - 10/31/95 (c) 1.00 0.05 0.00 0.05
- --------------------------------- -------- -------- -------- --------
Growth Stock Fund
03/31/96 (d) $ 13.71 $ 0.52 $ 2.84 $ 3.36
- --------------------------------- -------- -------- -------- --------
03/31/95 13.51 0.20 1.15 1.35
- --------------------------------- -------- -------- -------- --------
03/31/94 14.35 0.19 (0.11) 0.08
- --------------------------------- -------- -------- -------- --------
03/31/93 13.21 0.20 1.31 1.51
- --------------------------------- -------- -------- -------- --------
03/31/92 11.93 0.23 1.28 1.51
- --------------------------------- -------- -------- -------- --------
StocksPLUS Fund
03/31/96 $ 10.48 $ 0.91 $ 2.48 $ 3.39
- --------------------------------- -------- -------- -------- --------
03/31/95 9.52 1.03 0.69 1.72
- --------------------------------- -------- -------- -------- --------
05/14/93 - 03/31/94 10.00 0.34 0.10 0.44
- --------------------------------- -------- -------- -------- --------
</TABLE>
<TABLE>
<CAPTION>
Selected Per Share Data for
the Year or Period Ended:
========== ============= =============
Dividends Dividends in Distributions
from Net Excess of Net from Net
Investment Investment Realized
Income Income Capital Gains
========== ============ =============
<S> <C> <C> <C>
Short-Term Fund
Administrative Class
02/01/96 - 03/31/96 $ (0.10) $ 0.00 $ 0.00
- --------------------------------- -------- -------- --------
Long-Term U.S. Gov't Fund
03/31/96 $ (0.68) $ (0.04) $ (0.50)
- --------------------------------- -------- -------- --------
03/31/95 (0.60) (0.02) 0.00
- --------------------------------- -------- -------- --------
03/31/94 (1.05) (0.04) (0.70)
- --------------------------------- -------- -------- --------
03/31/93 (0.70) 0.00 (1.12)
- --------------------------------- -------- -------- --------
07/01/91 - 03/31/92 (0.64) 0.00 (0.03)
- --------------------------------- -------- -------- --------
Foreign Fund
03/31/96 $ (0.34) $ (0.25) $ (0.25)
- --------------------------------- -------- -------- --------
03/31/95 0.00 0.00 0.00
- --------------------------------- -------- -------- --------
03/31/94 (0.55) 0.00 (0.06)
- --------------------------------- -------- -------- --------
12/03/92 - 03/31/93 (0.16) 0.00 0.00
- --------------------------------- -------- -------- --------
Global Fund
03/31/96 $ (0.61) $ 0.00 $ (0.21)
- --------------------------------- -------- -------- --------
03/31/95 (0.29) (0.24) 0.00
- --------------------------------- -------- -------- --------
11/23/93 - 03/31/94 (0.16) 0.00 0.00
- --------------------------------- -------- -------- --------
High Yield Fund
Institutional Class
03/31/96 $ (1.01) $ 0.00 $ (0.05)
- --------------------------------- -------- -------- --------
03/31/95 (0.93) (0.02) 0.00
- --------------------------------- -------- -------- --------
03/31/94 (0.90) 0.00 (0.07)
- --------------------------------- -------- -------- --------
12/16/92 - 03/31/93 (0.24) 0.00 0.00
- --------------------------------- -------- -------- --------
Administrative Class
03/31/96 (0.98) 0.00 (0.05)
- --------------------------------- -------- -------- --------
01/16/95 - 03/31/95 (0.21) 0.00 0.00
- --------------------------------- -------- -------- --------
Money Market Fund (b)
Institutional Class
11/01/95 - 03/31/96 $ (0.02) $ 0.00 $ 0.00
- --------------------------------- -------- -------- --------
10/31/95 (c) (0.06) 0.00 0.00
- --------------------------------- -------- -------- --------
10/31/94 (c) (0.03) 0.00 0.00
- --------------------------------- -------- -------- --------
10/31/93 (c) (0.03) 0.00 0.00
- --------------------------------- -------- -------- --------
10/31/92 (c) (0.04) 0.00 0.00
- --------------------------------- -------- -------- --------
03/01/91 - 10/31/91 (c) (0.04) 0.00 0.00
- --------------------------------- -------- -------- --------
Administrative Class
11/01/95 - 03/31/96 (0.02) 0.00 0.00
- --------------------------------- -------- -------- --------
01/24/95 - 10/31/95 (c) (0.05) 0.00 0.00
- --------------------------------- -------- -------- --------
Growth Stock Fund
03/31/96 (d) $ (0.14) $ 0.00 $ (5.12)
- --------------------------------- -------- -------- --------
03/31/95 (0.20) 0.00 (0.95)
- --------------------------------- -------- -------- --------
03/31/94 (0.19) 0.00 (0.73)
- --------------------------------- -------- -------- --------
03/31/93 (0.20) 0.00 (0.17)
- --------------------------------- -------- -------- --------
03/31/92 (0.23) 0.00 0.00
- --------------------------------- -------- -------- --------
StocksPLUS Fund
03/31/96 $ (1.05) $ 0.00 $ (1.62)
- --------------------------------- -------- -------- --------
03/31/95 (0.76) 0.00 0.00
- --------------------------------- -------- -------- --------
05/14/93 - 03/31/94 (0.34) (0.01) (0.10)
- --------------------------------- -------- -------- --------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Formerly the Money Market Fund of the PIMCO Funds: Equity Advisors Series.
(c) Audited by other independent accountants.
(d) For the year ended March 31, 1996, the average commission paid per share
traded was $0.04.
See Notes to Financial Statements
26
<PAGE>
<TABLE>
<CAPTION>
============= ========= ============= ============ ============
Distributions Tax Basis Total Net Asset
in Excess of Return of Distributions Value End of Total Return
Selected Per Share Date for Net Realized Capital Period
the Year or Period Ended: Capital Gains
============= ========= ============= ============ ============
<S> <C> <C> <C> <C> <C>
Short-Term Fund
Administrative Class
02/01/96 - 03/31/96 $ 0.00 $ 0.00 $ (0.10) $ 9.92 0.41%
- --------------------------------- -------- -------- -------- -------- --------
Long-Term U.S. Gov't Fund
03/31/96 $ (0.16) $ 0.00 $ (1.38) $ 9.96 14.83%
- --------------------------------- -------- -------- -------- -------- --------
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
03/31/96 $ (0.03) $ 0.00 $ (0.87) $ 10.50 21.80%
- --------------------------------- -------- -------- -------- -------- --------
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
03/31/96 $ (0.17) $ 0.00 $ (0.99) $ 10.05 12.04%
- --------------------------------- -------- -------- -------- -------- --------
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
03/31/96 $ 0.00 $ 0.00 $ (1.06) $ 10.94 15.70%
- --------------------------------- -------- -------- -------- -------- --------
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
03/31/96 0.00 0.00 (1.03) 10.94 15.54
- --------------------------------- -------- -------- -------- -------- --------
01/16/95 - 03/31/95 0.00 0.00 (0.21) 10.41 4.66
- --------------------------------- -------- -------- -------- -------- --------
Money Market Fund (b)
Institutional Class
11/01/95 - 03/31/96 $ 0.00 $ 0.00 $ (0.02) $ 1.00 2.58%
- --------------------------------- -------- -------- -------- -------- --------
10/31/95 (c) 0.00 0.00 (0.06) 1.00 5.67
- --------------------------------- -------- -------- -------- -------- --------
10/31/94 (c) 0.00 0.00 (0.03) 1.00 3.53
- --------------------------------- -------- -------- -------- -------- --------
10/31/93 (c) 0.00 0.00 (0.03) 1.00 2.83
- --------------------------------- -------- -------- -------- -------- --------
10/31/92 (c) 0.00 0.00 (0.04) 1.00 3.85
- --------------------------------- -------- -------- -------- -------- --------
03/01/91 - 10/31/91 (c) 0.00 0.00 (0.04) 1.00 3.78
- --------------------------------- -------- -------- -------- -------- --------
Administrative Class
11/01/95 - 03/31/96 0.00 0.00 (0.02) 1.00 2.47
- --------------------------------- -------- -------- -------- -------- --------
01/24/95 - 10/31/95 (c) 0.00 0.00 (0.05) 1.00 4.21
- --------------------------------- -------- -------- -------- -------- --------
Growth Stock Fund
03/31/96 (d) $ 0.00 $ 0.00 $ (5.26) $ 11.81 27.19%
- --------------------------------- -------- -------- -------- -------- --------
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
- --------------------------------- -------- -------- -------- -------- --------
StocksPLUS Fund
03/31/96 $ (0.04) $ 0.00 $ (2.71) $ 11.16 34.07%
- --------------------------------- -------- -------- -------- -------- --------
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
- --------------------------------- -------- -------- -------- -------- --------
</TABLE>
<TABLE>
<CAPTION>
============= =========== ============ =========
Net Assets Ratio of Ratio of Net Portfolio
Selected Per Share Date for End of Period Expenses to Investment Turnover
the Year or Period Ended: (000's) Average Net Income to Rate
Assets Average Net
Assets
============= =========== ============ =========
<S> <C> <C> <C> <C>
Short-Term Fund
Administrative Class
02/01/96 - 03/31/96 $ 3,999 0.52%+ 4.44%+ 214.78%
- --------------------------------- -------- ----- ----- --------
Long-Term U.S. Gov't Fund
03/31/96 $ 32,511 0.56% 6.80% 238.32%
- --------------------------------- -------- ----- ----- --------
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
03/31/96 $258,493 0.52% 5.83% 1,233.71%
- --------------------------------- -------- ----- ----- --------
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
03/31/96 $133,833 0.58% 5.88% 1,082.91%
- --------------------------------- -------- ----- ----- --------
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
03/31/96 $536,983 0.47% 9.28% 65.79%
- --------------------------------- -------- ----- ----- --------
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
03/31/96 1,007 0.80 9.16 65.79%
- --------------------------------- -------- ----- ----- --------
01/16/95 - 03/31/95 41 0.73+ 10.12+ 77.60
- --------------------------------- -------- ----- ----- --------
Money Market Fund (b)
Institutional Class
11/01/95 - 03/31/96 $ 25,935 0.33%+ 5.44%+ N/A
- --------------------------------- -------- ----- ----- --------
10/31/95 (c) 7,741 0.40 5.53 N/A
- --------------------------------- -------- ----- ----- --------
10/31/94 (c) 7,454 0.40 3.52 N/A
- --------------------------------- -------- ----- ----- --------
10/31/93 (c) 5,836 0.40 2.78 N/A
- --------------------------------- -------- ----- ----- --------
10/31/92 (c) 7,817 0.40 4.02 N/A
- --------------------------------- -------- ----- ----- --------
03/01/91 - 10/31/91 (c) 45,406 0.53+ 5.20 N/A
- --------------------------------- -------- ----- ----- --------
Administrative Class
11/01/95 - 03/31/96 10 0.61+ 5.95+ N/A
- --------------------------------- -------- ----- ----- --------
01/24/95 - 10/31/95 (c) 10 0.68+ 5.94+ N/A
- --------------------------------- -------- ----- ----- --------
Growth Stock Fund
03/31/96 (d) $ 7,889 0.62% 0.86% 90.62%
- --------------------------------- -------- ----- ----- --------
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
- --------------------------------- -------- ----- ----- --------
StocksPLUS Fund
03/31/96 $151,869 0.70% 15.23% 101.67%
- --------------------------------- -------- ----- ----- --------
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>
27
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund
March 31, 1996
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
Mortgage-Backed Securities .............................................. 69.5%
Corporate Bonds and Notes ............................................... 24.2%
Short-Term Instruments .................................................. 16.2%
Foreign Currency-Denominated ............................................ 9.9%
Sovereign Issues ........................................................ 3.9%
Other ................................................................... 2.3%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
Corporate Bonds and Notes - 24.2%
================================================================================
<S> <C> <C>
Banking and Finance - 10.8%
ABN-AMRO Bank
7.750% due 05/15/23 $ 200 $ 204
Associates Corp. of North America
6.875% due 01/15/97 1,000 1,007
9.700% due 05/01/97 450 468
6.125% due 02/01/98 300 301
8.800% due 08/01/98 400 422
6.750% due 10/15/99 90 91
AT&T Capital Corp.
6.300% due 07/30/96 17,500 17,547
6.990% due 10/04/96 5,000 5,036
5.940% due 04/18/97 50,000 50,090
6.690% due 05/09/97 25,000 25,242
Bancomer
8.000% due 07/07/98 7,000 6,694
Banesto
8.250% due 07/28/02 28,900 30,538
Bankers Trust
7.250% due 11/01/96 300 302
8.000% due 03/15/97 250 254
8.625% due 04/01/18 247 255
Banponce Corp.
8.170% due 12/09/96 25,000 25,359
6.188% due 03/19/97 (d) 25,000 25,013
8.040% due 11/24/97 9,000 9,259
Barclays American Corp.
9.125% due 12/01/97 350 366
Beneficial Corp.
9.600% due 10/16/98 250 269
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,213
Capital One Bank
5.977% due 07/11/96 (d) 22,000 22,000
Chemical Banking Corp.
6.125% due 11/01/08 400 368
Chrysler Financial Corp.
8.125% due 12/15/96 13,000 13,221
5.080% due 01/24/97 5,000 4,976
8.070% due 01/30/97 4,000 4,075
8.100% due 02/03/97 31,900 32,511
7.110% due 03/21/97 2,500 2,531
8.420% due 02/01/99 695 732
10.340% due 05/15/08 1,000 1,005
CIT Group Holdings
5.330% due 05/11/98 (d) 18,000 17,956
Citicorp
8.750% due 11/01/96 5,000 5,087
5.500% due 07/10/97 (d) 6,000 5,990
5.388% due 01/30/98 (d) 7,000 6,979
8.750% due 02/15/98 9,000 9,419
5.438% due 05/29/98 (d) 21,600 21,531
6.500% due 05/01/04 (d) 2,964 2,968
Coleman Holdings
0.000% due 05/27/98 (h) 6,099 5,062
Continental Bank Corp.
9.875% due 06/15/96 6,000 6,045
Den Danske Bank
7.038% due 06/23/00 (d) 4,500 4,541
Discover Credit Corp.
8.940% due 06/27/96 4,500 4,529
8.730% due 08/15/96 22,110 22,318
European Investment Bank
13.000% due 08/31/96 82 84
Farmers Group, Inc.
8.250% due 07/15/96 500 503
First Chicago Corp.
8.200% due 11/15/96 5,000 5,077
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,338
6.000% due 06/25/97 (d) 5,000 5,014
8.875% due 01/01/09 405 420
9.125% due 01/01/09 28 29
First Security Bank
7.450% due 11/15/96 34,000 34,521
Ford Capital
9.125% due 04/08/96 3,250 3,252
Ford Motor Credit Corp.
6.300% due 06/17/96 (d) 200 200
8.875% due 08/01/96 21,600 21,837
4.850% due 08/30/96 85 85
7.875% due 01/15/97 1,000 1,016
9.350% due 05/14/97 1,000 1,038
4.980% due 11/09/98 (d) 17,080 17,171
7.020% due 10/10/00 70,000 71,057
General Electric Capital Corp.
8.300% due 09/20/09 150 167
General Motors Acceptance Corp.
8.650% due 04/12/96 3,000 3,003
6.050% due 04/19/96 60,000 60,020
6.700% due 05/20/96 5,000 5,009
6.750% due 05/20/96 30,000 30,056
7.750% due 07/18/96 5,000 5,035
5.590% due 07/19/96 (d) 5,000 5,007
8.250% due 08/01/96 2,000 2,017
5.645% due 08/30/96 (d) 19,500 19,506
6.147% due 10/15/96 (d) 36,000 36,090
7.875% due 11/05/96 250 253
8.000% due 12/05/96 15,000 15,235
7.750% due 12/10/96 1,000 1,014
7.700% due 01/24/97 14,225 14,451
7.750% due 01/24/97 5,400 5,488
7.750% due 01/28/97 4,250 4,320
7.375% due 02/27/97 2,000 2,028
7.875% due 02/27/97 2,000 2,037
7.625% due 02/28/97 5,000 5,081
7.875% due 03/04/97 250 256
7.250% due 03/14/97 15,000 15,200
6.700% due 04/15/97 26,100 26,333
7.750% due 04/15/97 8,150 8,305
8.375% due 05/01/97 1,350 1,384
7.750% due 05/12/97 2,000 2,042
7.250% due 05/19/97 7,500 7,615
7.125% due 05/23/97 1,000 1,015
6.125% due 06/09/97 8,000 8,024
6.000% due 06/16/97 1,000 1,002
7.100% due 07/01/97 1,700 1,726
6.400% due 07/30/97 1,000 1,007
6.300% due 09/10/97 1,000 1,005
6.000% due 10/10/97 23,000 23,004
7.850% due 11/17/97 13,000 13,362
8.625% due 06/15/99 650 691
9.625% due 12/15/01 300 340
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,122
Goldman Sachs
5.000% due 08/23/96 2,000 1,994
5.645% due 02/23/98 340 341
6.000% due 12/31/07 12,250 10,993
Great Western Bank
8.625% due 12/01/98 3,000 3,145
10.500% due 05/30/00 500 548
10.250% due 06/15/00 5,500 6,007
Heller Financial
6.450% due 02/15/97 975 978
Huntington Bank
7.750% due 07/19/96 50,000 50,350
Inter-American Development Bank
8.875% due 06/01/09 200 236
</TABLE>
28
<PAGE>
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
AAA .................................................................... 53%
A1/P1 .................................................................... 13%
BB .................................................................... 8%
BBB .................................................................... 10%
A .................................................................... 9%
AA .................................................................... 7%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
ITT Hartford
7.250% due 12/01/96 $ 500 $ 504
Lehman Brothers
6.088% due 06/22/98 (d) 25,000 25,206
Manufacturers Hanover Corp.
8.125% due 01/15/97 417 425
Maritrans Capital Corp.
9.250% due 04/01/07 1,000 907
Merrill Lynch & Co.
4.750% due 06/24/96 450 449
5.410% due 06/23/97 (d) 19,000 18,953
Morgan Stanley Group
7.790% due 02/03/97 21,000 21,346
Navistar Financial
9.500% due 06/01/96 3,000 3,015
NCNB Corp.
8.500% due 11/01/96 1,000 1,014
Northern Trust
9.000% due 05/15/98 100 106
Norwest Financial, Inc.
4.970% due 10/29/96 300 298
6.500% due 11/15/97 1,500 1,512
Reliance Group Holdings
9.000% due 11/15/00 6,000 6,090
Saferco
9.420% due 05/31/96 600 604
9.460% due 05/31/99 1,000 1,087
9.590% due 05/31/01 3,000 3,382
Salomon, Inc.
9.200% due 07/18/96 4,000 4,033
9.140% due 07/19/96 6,000 6,049
6.440% due 08/06/96 (d) 9,000 9,023
6.136% due 10/23/96 (d) 5,560 5,562
5.870% due 11/21/96 (d) 19,000 19,004
Security Pacific Corp.
6.552% due 03/01/18 (d) 201 199
Shearson Lehman
4.601% due 07/22/96 (d) 8,000 8,005
9.875% due 10/25/17 971 986
Signet Banking Corp.
5.375% due 05/15/97 (d) 1,000 995
5.813% due 04/15/98 (d) 1,000 991
9.625% due 06/01/99 6,500 7,019
Tenneco Credit Corp.
9.250% due 11/01/96 4,500 4,580
9.625% due 08/15/01 300 336
Transamerica Financial
5.155% due 04/20/99 (d) 500 489
Trizec Finance
10.875% due 10/15/05 3,715 3,789
USLife Corp.
6.750% due 01/15/98 100 101
Xerox Credit Corp.
10.125% due 04/15/99 1,500 1,502
-----------
1,121,819
===========
Industrials - 9.0%
American Home Products
6.875% due 04/15/97 900 909
AMR Corp.
7.600% due 01/27/97 6,000 6,075
7.470% due 01/28/97 6,500 6,555
7.750% due 12/01/97 10,000 10,215
9.500% due 07/15/98 5,500 5,831
8.050% due 03/05/99 4,000 4,105
9.750% due 03/15/00 7,760 8,517
10.610% due 01/11/01 4,000 4,570
10.570% due 01/15/01 3,000 3,387
10.590% due 01/31/01 3,000 3,392
10.000% due 02/01/01 2,000 2,228
10.000% due 03/07/01 1,500 1,663
9.400% due 05/08/01 3,000 3,294
9.500% due 05/15/01 2,250 2,493
9.130% due 10/25/01 2,000 2,155
8.470% due 02/20/02 2,000 2,116
8.500% due 02/26/02 1,000 1,060
10.400% due 03/10/11 3,000 3,597
10.450% due 03/10/11 1,000 1,186
10.420% due 03/15/11 12,500 15,012
10.150% due 05/15/20 1,400 1,629
10.500% due 03/01/21 3,500 4,194
10.375% due 03/15/21 11,000 13,610
10.125% due 06/01/21 9,200 10,687
Apollo Computer, Inc.
7.250% due 02/01/11 200 200
Arkla, Inc.
8.740% due 07/19/96 15,100 15,211
8.780% due 07/19/96 5,000 5,037
9.875% due 04/15/97 55,050 56,915
9.320% due 12/15/97 1,000 1,041
8.740% due 05/14/98 3,000 3,117
9.875% due 02/15/18 5,000 5,051
Baxter International
9.500% due 06/15/08 200 235
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,604
Coastal Corp.
8.750% due 05/15/99 4,300 4,538
9.750% due 08/01/03 1,000 1,149
11.750% due 06/15/06 42,050 44,176
Columbia Healthcare
5.535% due 07/28/97 (d) 2,000 2,002
Continental Cablevision
11.000% due 06/01/07 2,000 2,285
Delta Air Lines
8.250% due 05/15/96 8,361 8,375
7.730% due 05/14/97 8,800 8,921
9.875% due 05/15/00 3,250 3,534
8.250% due 12/27/07 500 531
9.750% due 05/15/21 500 580
Eastman Kodak
8.550% due 05/01/97 400 411
Exide Corp.
0.000% due 12/15/04 (h) 9,775 8,309
General Motors Corp.
8.170% due 01/02/00 3,161 3,267
8.950% due 07/02/09 21,500 23,318
G-I Holdings, Inc.
0.000% due 10/01/98 (h) 10,000 8,000
Gulf Canada Resources
9.250% due 01/15/04 1,250 1,277
9.625% due 07/01/05 2,000 2,060
Healthsouth Rehabilitation
9.500% due 04/01/01 7,300 7,683
Hollinger International Publishing
9.250% due 02/01/06 3,000 2,955
K-III Communications Co.
8.500% due 02/01/06 4,000 3,880
Kaiser Aluminum & Chemical
9.875% due 02/15/02 250 250
Keystone Group
9.750% due 09/01/03 250 246
Lenfest Communications
8.375% due 11/01/05 5,000 4,825
Maxus Energy Corp.
9.875% due 10/15/02 300 302
Mazda Manufacturing Corp.
10.500% due 07/01/08 1,980 2,423
McDermott, Inc.
9.375% due 03/15/02 1,000 1,096
</TABLE>
29
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
McGaw, Inc.
10.375% due 04/01/99 $ 2,330 $ 2,388
Merck & Co.
7.750% due 05/01/96 1,000 1,002
News America Holdings Corp.
12.000% due 12/15/01 2,000 2,195
8.625% due 02/01/03 750 812
Owens-Illinois, Inc.
10.000% due 08/01/02 300 311
11.000% due 12/01/03 8,000 8,780
Pepsico, Inc.
7.875% due 08/15/96 250 252
5.463% due 07/01/98 400 394
7.750% due 10/01/98 500 519
Philip Morris Co.
8.100% due 08/21/96 1,000 1,010
8.750% due 12/01/96 5,000 5,095
8.750% due 06/15/97 100 103
Purity Supreme
11.750% due 08/01/99 9,000 9,855
Ralston Purina
9.000% due 06/15/96 200 201
Repap Wisconsin, Inc.
9.250% due 02/01/02 5,000 4,800
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,281
RJR Nabisco
8.000% due 01/15/00 6,500 6,782
7.625% due 09/01/00 6,000 5,858
8.000% due 07/15/01 30,000 29,475
Rogers Cablesystem Ltd.
10.000% due 12/01/07 5,000 5,225
Rogers Cantel Mobile
10.750% due 11/01/01 7,250 7,594
11.125% due 07/15/02 5,000 5,344
Schering-Plough
0.000% due 12/02/96 600 580
Sears Roebuck & Co.
6.580% due 07/23/97 150 151
0.000% due 07/12/98 610 475
Showboat, Inc.
9.250% due 05/01/08 2,000 2,045
Stone Consolidated
10.250% due 12/15/00 5,000 5,275
Sweetheart Cup Co.
9.625% due 09/01/00 1,200 1,230
System Energy Resources
7.430% due 01/15/11 5,419 5,116
Telewest Communications
9.625% due 10/01/06 5,000 5,000
Tenet Healthcare
9.625% due 09/01/02 5,000 5,400
10.125% due 03/01/05 1,000 1,078
Texas Instruments
9.000% due 07/15/99 14,500 14,635
Time Warner, Inc.
7.450% due 02/01/98 1,000 1,018
6.210% due 08/15/00 (d) 52,669 53,019
7.975% due 08/15/04 31,053 31,615
8.110% due 08/15/06 77,379 79,625
8.180% due 08/15/07 116,779 119,911
9.150% due 02/01/23 7,500 8,095
8.375% due 07/15/33 62,300 62,664
Union Oil of California
9.750% due 12/01/00 400 449
United Air Lines
6.750% due 12/01/97 11,400 11,382
10.670% due 05/01/04 7,050 8,326
USX Corp.
6.563% due 09/18/96 (d) 8,000 8,015
6.375% due 07/15/98 16,200 16,169
9.800% due 07/01/01 300 336
Varity Corp.
11.375% due 11/15/98 10,500 10,812
Vons
6.625% due 05/15/98 12,500 12,188
Wal-Mart Stores
8.000% due 05/01/96 100 100
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,069
-----------
926,338
===========
Utilities - 4.4%
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,174
Bell Atlantic Financial
6.625% due 11/30/97 400 403
Cablevision Industries
10.750% due 01/30/02 44,032 47,775
California Energy
0.000% due 01/15/04 (h) 9,235 8,843
Carolina Power & Light
7.900% due 12/27/96 11,000 11,178
5.375% due 07/01/98 100 98
Central Maine Power Co.
4.920% due 07/22/96 8,000 7,971
5.750% due 07/22/96 9,000 8,990
6.250% due 11/01/98 1,000 987
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,222
Cinncinnati Bell, Inc.
6.700% due 12/15/97 1,000 1,008
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 2,771
CMS Energy
9.500% due 10/01/97 (d) 31,100 32,141
9.875% due 10/01/99 (d) 3,100 3,240
Commonwealth Edison
7.000% due 02/15/97 5,175 5,205
Consumers Power Co.
8.750% due 02/15/98 5,550 5,741
CTC Mansfield Funding
10.250% due 03/30/03 16,300 16,632
11.125% due 09/30/16 90,315 94,301
El Paso Electric Co.
7.250% due 02/01/99 10,956 10,901
First PV Funding
8.950% due 01/15/97 195 197
10.150% due 01/15/16 14,360 15,078
GTE Corp.
10.750% due 09/15/17 300 333
Hydro Quebec
5.598% due 04/15/99 (d) 10,000 9,945
9.400% due 02/01/21 500 588
9.500% due 11/15/30 2,370 2,827
Long Island Lighting Co.
8.750% due 05/01/96 3,000 3,006
8.750% due 02/15/97 2,000 2,033
6.250% due 07/15/01 7,000 6,577
New England Power
6.140% due 02/02/98 500 499
North Atlantic Energy
9.050% due 06/01/02 5,502 5,478
Northern Indiana Public Service
6.375% due 09/01/97 5,950 5,971
Pacific Gas & Electric
6.750% due 12/01/00 9 9
Public Service of New Hampshire
8.875% due 05/15/96 7,770 7,789
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Questar Pipeline
9.375% due 06/01/21 $ 200 $ 229
Southern California Edison
6.125% due 07/15/97 500 501
5.450% due 06/15/98 400 394
Southwestern Bell
5.550% due 03/10/98 1,000 991
System Energy Resources
10.500% due 09/01/96 50,950 51,726
Tennessee Gas Pipeline
9.250% due 05/15/96 9,000 9,038
Texas-New Mexico Power
11.250% due 01/15/97 4,265 4,441
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,677
Texas Utilities
6.383% due 05/01/99 (d) 32,125 32,195
Toledo Edison Co.
6.125% due 08/01/97 200 198
8.180% due 07/30/02 1,400 1,339
8.700% due 09/01/02 10,000 9,086
7.850% due 03/31/03 7,000 6,428
7.875% due 08/01/04 500 466
Transcontinental Gas Pipeline
6.210% due 05/15/00 1,000 1,000
Triton Energy
0.000% due 11/01/97 5,800 5,133
Tucson Electric Power
8.500% due 10/01/09 1,000 1,002
Virginia Electric & Power Co.
9.375% due 06/01/98 500 530
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 948
-----------
454,233
-----------
Total Corporate Bonds and Notes 2,502,390
===========
(Cost $2,485,037)
================================================================================
U.S. Treasury Obligations - 0.0%
================================================================================
U.S. Treasury Notes
8.000% due 10/15/96 2,315 2,348
U.S. Treasury Strips
0.000% due 11/15/11 383 111
0.000% due 11/15/12 2,000 912
-----------
Total U.S. Treasury Obligations 3,371
===========
(Cost $3,422)
================================================================================
U.S. Government Agencies - 0.6%
================================================================================
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 1,375 1,448
Federal Home Loan Bank
4.410% due 07/08/96 400 399
8.250% due 11/25/96 800 814
6.320% due 12/04/97 1,500 1,513
Federal Home Loan Mortgage Corp.
4.150% due 10/04/96 (d) 500 500
Federal National Mortgage Assn.
8.000% due 07/10/96 50 50
8.625% due 04/10/01 1,250 1,251
Government Trust Certificate - Greece
8.000% due 05/15/98 124 125
Government Trust Certificate - Israel
9.250% due 11/15/96 17 17
0.000% due 05/15/10 7,300 2,714
Student Loan Marketing Assn.
5.595% due 04/25/04 (d) 50,759 50,759
-----------
Total U.S. Government Agencies 59,590
===========
(Cost $59,804)
================================================================================
Mortgage-Backed Securities - 69.5%
================================================================================
Federal Home Loan Mortgage Corporation - 9.0%
5.250% due 12/01/98 51 50
5.500% due 07/01/00-03/01/10 (g) 143 141
6.000% due 12/01/98-01/01/01 (g) 941 929
6.500% due 04/01/08-01/01/09 (g) 300 295
6.500% due 06/13/26 250,000 237,033
7.000% due 12/01/03-06/01/10 (g) 662 662
7.000% due 04/11/26-05/13/26 (g) 322,000 314,035
7.375% due 04/01/17 (d) 82 84
7.410% due 09/01/23 (d) 5,692 5,794
7.450% due 10/01/23 (d) 2,528 2,586
7.452% due 11/01/23 (d) 2,999 3,061
7.460% due 10/01/23 (d) 3,243 3,326
7.500% due 01/01/17-05/13/26 (g) 86,849 86,653
7.500% due 05/01/99-05/01/08 (g) 859 870
7.512% due 11/01/23 (d) 1,677 1,694
7.523% due 10/01/23-11/01/23(d)(g) 8,482 8,732
7.532% due 01/01/24-08/01/24(d)(g) 7,943 8,139
7.534% due 06/01/24 (d) 8,708 8,960
7.539% due 10/01/23 (d) 9,757 10,035
7.582% due 07/01/23 (d) 5,361 5,434
7.625% due 01/01/19 (d) 29 30
7.657% due 06/01/28 (d) 13,113 13,490
7.724% due 10/01/23 (d) 9,547 9,832
7.730% due 09/01/23 (d) 12,602 12,980
7.748% due 08/01/23 (d) 5,297 5,420
7.750% due 04/01/07 76 77
7.750% due 06/01/17 (d) 52 54
7.753% due 09/01/23 (d) 13,972 14,289
7.857% due 08/01/23 (d) 2,795 2,865
7.863% due 05/01/23 (d) 4,601 4,747
7.868% due 11/01/23 (d) 7,687 7,915
7.870% due 09/01/23-08/01/24(d)(g) 72,388 74,821
7.927% due 07/01/23 (d) 2,463 2,518
8.000% due 11/01/13-03/01/25 (g) 54,818 55,849
8.000% due 10/01/07-01/01/10 (g) 2,621 2,685
8.172% due 07/01/22 (d) 5,325 5,499
8.250% due 08/01/07-02/01/08 (g) 187 193
8.500% due 09/01/01-06/01/09 (g) 1,513 1,580
8.500% due 12/01/16-06/01/17 (g) 289 302
8.750% due 02/01/01-09/01/10 (g) 1,015 1,054
9.000% due 01/01/02-06/01/12 (g) 1,790 1,890
9.000% due 07/01/14-05/01/17 (g) 391 414
9.250% due 06/01/09-08/01/09 (g) 232 246
9.500% due 06/01/02-08/01/07 (g) 2,831 2,991
9.500% due 03/01/16-06/01/21 (g) 2,780 2,966
10.000% due 06/01/04-12/01/05 (g) 1,779 1,897
10.250% due 04/01/09-05/01/09 (g) 3,418 3,747
11.000% due 12/01/99-08/01/10 (g) 165 185
11.000% due 03/01/11-07/01/19 (g) 1,951 2,184
11.250% due 10/01/09-09/01/15 (g) 227 253
11.500% due 03/01/00 20 21
12.500% due 07/01/99 17 18
13.250% due 10/01/13 87 100
14.000% due 04/01/16 56 65
15.500% due 08/01/11-11/01/11 (g) 33 39
16.250% due 05/01/11-11/01/11 (g) 34 40
-----------
931,769
===========
Federal Housing Administration - 0.7%
5.250% due 02/01/03 354 326
7.211% due 12/01/21 3,995 4,014
7.375% due 03/01/19-07/01/21 (g) 5,487 5,499
7.399% due 02/01/21 2,847 2,853
7.430% due 12/01/16-05/01/23 (g) 55,973 56,310
7.650% due 11/01/18 375 371
-----------
69,373
===========
</TABLE>
31
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Federal National Mortgage Association - 8.0%
5.625% due 02/01/26 (d) $ 4,912 $ 4,986
6.000% due 03/01/24 2,619 2,425
6.030% due 06/01/24 (d) 23,383 24,009
6.250% due 03/01/18 (d) 83 84
6.283% due 04/23/26 10,000 10,078
6.347% due 08/01/29 (d) 119,940 121,043
6.368% due 10/01/27-07/01/28(d)(g) 8,301 8,382
6.369% due 09/01/27-10/01/28(d)(g) 144,895 146,302
6.370% due 10/01/28 (d) 87,157 88,031
6.377% due 09/01/24 (d) 6,231 6,296
6.496% due 09/01/24 (d) 7,266 7,433
6.500% due 10/01/05-04/01/08 (g) 517 514
6.636% due 05/01/24 (d) 11,403 11,817
6.750% due 08/01/03 1,040 1,033
6.933% due 07/01/24 (d) 42,437 43,514
7.000% due 04/01/04-03/01/08 (g) 1,035 1,035
7.000% due 01/01/24-10/01/24 (g) 23,811 23,290
7.157% due 09/01/22 (d) 5,119 5,170
7.250% due 05/01/02 50 50
7.250% due 01/01/08-05/01/09 (g) 234 233
7.250% due 01/01/23 12,041 11,821
7.451% due 12/01/23 (d) 12,516 12,970
7.499% due 12/01/23 (d) 5,282 5,409
7.500% due 04/01/24-06/01/25 (g) 112,536 112,646
7.515% due 01/01/25 (d) 8,688 9,003
7.546% due 06/01/25 (d) 14,335 14,807
7.568% due 01/01/24 (d) 3,067 3,167
7.582% due 12/01/24 (d) 7,689 7,918
7.599% due 01/01/24 (d) 11,925 12,313
7.607% due 12/01/23 (d) 8,679 8,958
7.646% due 11/01/23 (d) 2,797 2,887
7.653% due 03/01/33 (d) 46,563 47,904
7.654% due 11/01/23 (d) 4,550 4,696
7.677% due 01/01/24 (d) 1,864 1,925
7.693% due 04/01/25 (d) 11,676 12,055
7.714% due 09/01/23 (d) 10,336 10,606
7.750% due 06/01/09 268 271
7.805% due 06/01/24 (d) 4,316 4,472
7.939% due 10/01/23 (d) 13,429 13,862
8.000% due 09/01/01-10/01/08 (g) 2,726 2,779
8.000% due 04/01/18 35 36
8.156% due 08/01/23 (d) 4,002 4,127
8.250% due 11/01/04-06/01/13 (g) 1,356 1,386
8.250% due 02/01/17 260 265
8.500% due 07/01/99-02/01/10 (g) 7,464 7,718
8.500% due 06/01/10-09/01/18 (g) 2,182 2,265
9.000% due 01/01/99-11/01/06 (g) 3,421 3,614
9.000% due 05/01/15-04/01/17 (g) 556 585
9.500% due 12/01/06-03/01/16 (g) 142 151
9.750% due 11/01/08 154 166
10.500% due 12/01/16-04/01/22 (g) 1,652 1,835
13.000% due 09/01/13 90 105
13.250% due 09/01/11 30 35
14.500% due 11/01/11-01/01/13 (g) 114 135
14.750% due 08/01/12-11/01/14 (g) 570 665
15.500% due 10/01/12-12/01/12 (g) 53 63
15.750% due 12/01/11-08/01/12 (g) 291 340
16.000% due 09/01/12 342 408
-----------
830,093
===========
Government National Mortgage Association - 27.4%
5.650% due 10/15/12 14 13
6.000% due 10/15/08 337 327
6.000% due 12/15/23-04/18/26 (g) 283,035 261,340
6.500% due 10/15/08 320 316
6.500% due 01/20/23-01/20/25(d)(g) 73,526 74,209
6.500% due 11/15/23-05/20/26 (g) 1,175,976 1,112,647
6.875% due 09/20/22 (d) 3,788 3,840
7.000% due 10/15/08 315 317
7.000% due 06/20/23-03/20/25(d)(g) 286,787 290,595
7.000% due 12/15/22-04/18/26 (g) 299,704 291,951
7.250% due 07/20/22-09/20/24(d)(g) 412,993 418,538
7.375% due 04/20/23-06/20/24(d)(g) 117,016 118,645
7.500% due 08/15/05-12/15/09 (g) 4,524 4,628
7.500% due 04/18/22-05/20/26 (g) 187,518 187,336
8.000% due 08/15/05-04/15/08 (g) 1,629 1,681
8.000% due 06/15/16-04/18/26 (g) 47,740 49,076
8.250% due 08/15/04-07/15/08 (g) 908 938
8.500% due 06/15/01-07/18/08 (g) 404 423
8.500% due 08/15/16-11/15/22 (g) 739 775
8.750% due 03/15/07-07/15/07 (g) 230 239
9.000% due 09/15/01-05/15/09 (g) 1,293 1,368
9.000% due 05/15/16-08/15/21 (g) 3,692 3,945
9.250% due 10/15/01-03/15/06 (g) 731 770
9.500% due 04/15/01-11/15/09 (g) 787 839
9.500% due 12/15/16-08/15/23 (g) 2,628 2,836
9.750% due 08/15/97-07/15/04 (g) 431 458
9.750% due 09/15/17-01/15/21 (g) 475 515
10.000% due 06/20/01-08/20/04 (g) 140 147
10.000% due 01/15/15-03/20/20 (g) 1,959 2,151
10.250% due 05/15/01 24 26
10.500% due 06/15/04 200 216
10.500% due 10/15/15 5 6
10.750% due 08/15/98-09/15/98 (g) 54 57
11.000% due 05/15/04 135 146
11.250% due 03/15/01 13 14
11.500% due 04/15/13-05/15/13 (g) 19 22
12.000% due 03/20/99-02/15/00 (g) 26 27
12.000% due 01/15/13-03/15/15 (g) 119 134
12.500% due 01/15/11 7 8
13.000% due 12/15/12-10/15/14 (g) 81 94
13.250% due 10/20/14 49 56
13.500% due 11/15/12-12/15/12 (g) 16 19
14.500% due 09/15/12 47 55
15.000% due 09/15/12-10/15/12 (g) 21 25
16.000% due 01/15/12-04/15/12 (g) 17 20
17.000% due 11/15/11-12/15/11 (g) 184 217
-----------
2,832,005
===========
Collateralized Mortgage Obligations - 20.8%
AFC Home Equity Loan Trust
7.517% due 10/25/26 (d) 28,629 28,871
American Southwest Financial
12.250% due 11/01/14 106 120
9.450% due 03/01/15 770 772
12.500% due 04/01/15 1,163 1,293
12.000% due 05/01/15 2,056 2,313
11.400% due 09/01/15 1,606 1,677
Bear Stearns
9.200% due 11/01/18 72 73
9.500% due 06/25/23 1,968 2,017
6.094% due 10/25/23 (d) 11,834 11,841
10.000% due 08/25/24 15,018 15,450
7.000% due 03/25/27 7,000 6,338
Capstead
8.400% due 01/25/21 11,035 11,121
8.750% due 07/25/21 10,000 10,312
Centex Acceptance Corp.
11.000% due 11/01/15 423 425
Chase Mortgage Financial Corp.
9.500% due 04/25/24 2,280 2,287
8.000% due 06/25/24 920 930
7.000% due 07/25/24 6 6
7.500% due 10/25/24 100 101
Citicorp Mortgage
9.500% due 07/01/04 188 193
9.500% due 08/25/05 5,573 4,342
8.500% due 05/25/06 50 50
</TABLE>
32
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
9.000% due 12/01/16 $ 751 $ 762
8.500% due 02/01/17 436 439
8.500% due 04/01/17 438 442
9.000% due 04/01/17 2,213 2,285
9.000% due 05/01/17 4,944 5,104
8.000% due 07/25/18 139 139
9.500% due 01/01/19 3,971 4,044
9.500% due 09/25/19 250 256
9.500% due 10/25/19 256 255
9.500% due 09/25/20 2,012 2,059
7.750% due 04/25/21 1,059 1,060
6.000% due 08/25/21 847 839
7.715% due 10/25/22 (d) 35,126 35,818
CMC Securities Corp.
7.172% due 09/25/23 (d) 25,681 25,961
CMO Trust
10.200% due 02/01/16 1,015 1,074
8.800% due 05/25/16 9,469 9,434
8.000% due 01/01/17 397 406
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 2,833 3,058
11.450% due 09/01/15 86 94
11.450% due 11/01/15 526 574
10.200% due 04/20/17 527 563
8.000% due 08/20/18 0 0
8.750% due 04/20/19 1,562 1,616
Countrywide
6.575% due 07/25/24 (d) 25,031 25,406
Donaldson, Lufkin & Jenrette
7.632% due 08/01/21 (d) 10,078 10,156
8.037% due 12/25/22 (d) 3,877 3,953
8.065% due 03/25/24 (d) 3,791 3,871
Drexel Mortgage Funding
9.500% due 11/20/17 2,383 2,497
8.600% due 03/01/18 1,267 1,292
9.500% due 08/01/19 41 42
Federal Home Loan Mortgage Corp.
8.125% due 09/30/96 1,000 1,014
8.500% due 03/15/97 68 68
7.000% due 06/15/97 209 209
8.750% due 10/15/05 73 75
10.750% due 11/30/05 1,875 1,965
6.500% due 08/15/06 710 706
9.000% due 09/15/08 53 55
10.250% due 03/15/09 35 36
4.750% due 09/15/09 368 366
4.750% due 07/15/10 229 228
4.750% due 03/15/12 500 494
8.500% due 08/15/13 2,000 2,089
8.500% due 09/15/13 5,941 6,206
11.000% due 11/30/15 9,337 9,985
6.210% due 08/15/17 345 340
7.250% due 10/25/17 (d) 15,938 16,291
9.500% due 01/15/19 1,545 1,590
6.500% due 05/15/19 615 598
8.250% due 05/15/19 4,163 4,184
8.500% due 10/15/19 2,069 2,108
9.000% due 11/15/19 7,733 7,879
10.000% due 11/15/19 250 270
8.500% due 01/15/20 4,560 4,642
8.500% due 03/15/20 3,000 3,070
9.300% due 03/15/20 127 129
9.000% due 05/15/20 259 261
9.125% due 06/15/20 5,415 5,599
5.750% due 08/15/20 300 284
8.500% due 09/15/20 29,577 30,289
9.000% due 09/15/20 204 213
5.500% due 10/15/20 200 177
8.750% due 10/15/20 500 515
8.900% due 11/15/20 26,415 27,364
9.500% due 11/15/20 16,217 16,904
6.000% due 12/15/20 400 368
8.750% due 12/15/20 1,265 1,335
9.000% due 12/15/20 8,351 8,693
8.000% due 03/15/21 16,398 16,825
8.500% due 05/15/21 6 6
8.500% due 06/15/21 45,553 47,182
6.950% due 07/15/21 700 672
7.000% due 07/15/21 4,000 3,889
8.000% due 07/15/21 8,168 8,280
9.000% due 07/15/21 4,407 4,582
9.500% due 07/15/21 6,078 6,573
6.200% due 08/15/21 1,500 1,467
6.950% due 08/15/21 185 178
8.000% due 08/15/21 23,472 24,092
6.500% due 09/15/21 2,500 2,373
7.500% due 11/15/21 3,500 3,507
9.000% due 11/15/21 2,904 2,960
6.850% due 01/15/22 700 675
8.000% due 05/15/22 7,000 7,207
7.000% due 07/15/22 387 337
8.500% due 10/15/22 16,653 17,251
7.500% due 07/15/23 5,924 5,589
7.190% due 10/25/23 (d) 42,307 43,180
6.500% due 02/15/24 68 65
Federal National Mortgage Assn.
9.100% due 02/25/02 9,537 9,753
5.750% due 12/25/03 175 173
6.000% due 07/25/07 300 289
7.009% due 08/25/07 (d) 126 100
7.000% due 02/25/08 1,189 1,150
10.500% due 08/25/08 7,146 7,873
6.400% due 09/25/14 1,023 1,019
8.500% due 10/25/14 204 207
10.000% due 12/25/14 2,343 2,430
7.000% due 04/25/15 3,921 3,955
6.000% due 11/25/15 34,549 34,378
7.500% due 08/25/16 8,547 8,581
9.670% due 01/25/17 981 1,016
9.200% due 12/25/17 2,485 2,569
9.300% due 05/25/18 2,970 3,141
9.500% due 06/25/18 1,420 1,511
5.500% due 07/25/18 220 213
8.500% due 07/25/18 532 539
7.750% due 10/25/18 300 305
9.500% due 11/25/18 11,679 12,857
7.500% due 01/25/19 2,273 2,275
6.625% due 06/25/19 97 97
9.500% due 06/25/19 5,942 6,296
8.000% due 10/25/19 16,840 17,160
7.500% due 12/25/19 200 202
9.000% due 12/25/19 19,265 20,256
8.500% due 01/25/20 13 13
7.500% due 05/25/20 8,000 7,973
8.000% due 07/25/20 290 296
9.000% due 09/25/20 6,550 6,897
8.000% due 12/25/20 18,692 18,874
7.500% due 01/25/21 22,667 21,909
8.750% due 01/25/21 9,963 10,278
7.500% due 02/25/21 25,811 25,867
7.500% due 03/25/21 20,919 21,018
7.250% due 04/25/21 8,960 8,762
7.500% due 06/25/21 320 323
8.000% due 07/25/21 24,228 24,410
8.500% due 09/25/21 14,640 15,138
8.000% due 10/25/21 22,430 23,058
6.000% due 12/25/21 200 185
8.000% due 01/25/22 21,700 22,224
8.000% due 03/25/22 722 727
7.000% due 04/25/22 17,091 16,065
7.000% due 07/25/22 8,596 8,098
</TABLE>
33
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
8.000% due 07/25/22 $ 2,679 $ 2,691
6.500% due 08/25/23 270 260
6.750% due 10/25/23 441 369
6.500% due 11/25/23 170 157
7.000% due 11/17/24 63,477 55,869
8.400% due 04/25/25 8,644 8,712
First Boston Corp.
8.000% due 12/01/00 150 150
9.450% due 08/20/17 62 62
7.500% due 04/25/21 1,922 1,923
First Commonwealth Savings & Loan
10.375% due 04/01/05 24 25
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 13,002
6.500% due 12/25/23 5,371 5,353
6.500% due 03/25/24 11,275 9,216
8.000% due 06/25/25 14,336 14,571
Glendale Federal Savings & Loan
7.483% due 03/01/28 (d) 14,461 14,537
Greenwich
7.157% due 04/25/22 (d) 4,193 4,216
7.264% due 07/25/22 (d) 16,930 17,087
7.158% due 10/25/22 (d) 563 567
7.250% due 04/25/23 (d) 6,824 6,873
7.646% due 04/25/24 (d) 14,956 15,111
7.648% due 06/25/24 (d) 24,275 24,625
8.238% due 08/25/24 (d) 29,608 30,496
7.834% due 11/25/24 (d) 19,382 19,836
Home Savings of America
10.000% due 07/01/09 49 52
Independent National Mortgage Corp.
9.000% due 12/25/19 26,105 26,464
6.650% due 10/25/24 2,723 2,538
7.920% due 11/25/24 (d) 21,253 21,804
7.069% due 07/25/25 (d) 55,720 56,555
7.803% due 07/25/25 (d) 67,943 69,684
International Mortgage Acceptance Corp.
12.250% due 03/01/14 980 1,065
J.P. Morgan & Co.
9.000% due 10/20/20 11,865 12,622
Kidder Peabody
8.390% due 05/20/18 621 630
7.900% due 03/25/24 (d) 44,089 44,750
7.901% due 03/25/24 (d) 20,000 19,663
Lomas Mortgage Funding Corp.
9.700% due 11/20/18 2,817 2,834
Marine Midland
8.000% due 04/25/23 142 143
8.000% due 10/25/23 350 333
Merrill Lynch Mortgage
9.470% due 04/27/18 67 69
6.965% due 06/15/21 (d) 11,764 11,804
7.225% due 06/15/21 (d) 11,028 11,028
7.585% due 06/15/21 (d) 2,450 2,439
8.051% due 06/25/22 (d) 22,114 22,556
Morgan Stanley Mortgage
8.971% due 10/22/15 3,722 3,751
8.150% due 07/20/21 20 20
Nomura Asset Securitization Corp.
7.247% due 05/25/24 (d) 22,221 22,589
Norwest Mortgage
12.500% due 02/01/14 1,663 1,775
12.250% due 04/01/14 167 182
PaineWebber Mortgage
6.000% due 04/25/09 11,951 10,742
Prudential Bache
6.309% due 09/01/18 (d) 792 796
9.000% due 01/01/19 540 560
8.400% due 03/20/21 4,559 4,680
Prudential Home
9.500% due 11/25/97 186 186
7.000% due 04/25/99 438 438
7.500% due 05/25/08 1,773 1,772
8.000% due 06/25/22 17,921 17,792
6.900% due 03/25/23 1,946 1,941
7.000% due 04/25/23 8,871 8,877
7.500% due 06/25/25 17,062 17,126
PSB Financial Corp.
11.050% due 12/01/15 1,715 1,824
Residential Asset Securities Corp.
8.000% due 10/25/24 25,404 25,597
Residential Funding
8.082% due 02/25/07 180 182
7.000% due 08/25/08 25,264 25,374
6.500% due 09/25/08 7,000 6,328
8.500% due 05/25/17 252 253
9.000% due 01/01/20 2,624 2,678
8.500% due 02/25/21 3,066 3,070
8.000% due 01/25/23 10,000 10,005
10.000% due 09/25/23 2,510 2,628
6.750% due 11/25/23 39,235 31,049
7.500% due 09/25/25 18,183 17,648
Resolution Trust Corp.
7.500% due 12/15/04 3,000 3,013
6.269% due 01/25/21 (d) 1,632 1,564
8.723% due 08/25/21 8,231 8,384
8.723% due 08/25/21 (d) 13,329 13,691
6.009% due 10/25/21 (d) 855 846
8.145% due 10/25/21 (d) 423 422
8.625% due 10/25/21 300 304
7.679% due 01/25/22 (d) 4,471 4,543
7.836% due 03/25/22 (d) 6,690 6,743
8.477% due 05/25/22 (d) 4,656 4,798
6.575% due 06/25/23 (d) 12,086 12,190
7.900% due 06/25/23 76 76
7.500% due 08/25/23 621 626
9.450% due 05/25/24 19,693 20,032
10.646% due 05/25/24 (d) 7,325 7,569
8.150% due 06/25/24 133 135
6.500% due 07/25/24 (d) 8,578 8,621
7.000% due 10/25/24 328 328
7.100% due 12/25/24 1,500 1,465
7.050% due 03/25/25 765 762
7.750% due 03/25/25 5,000 4,991
8.750% due 05/25/26 2,775 2,768
7.611% due 07/25/28 (d) 14,001 14,187
Ryland Acceptance Corp.
8.650% due 05/15/00 8,094 8,005
9.450% due 10/01/16 275 291
8.011% due 07/25/22 (d) 42,000 42,630
8.057% due 08/25/22 (d) 5,396 5,464
8.000% due 09/25/22 8,753 8,790
8.200% due 09/25/22 100 103
7.529% due 08/25/29 (d) 13,676 13,877
14.000% due 11/25/31 2,945 3,267
Ryland Mortgage Securities Corp.
7.211% due 10/25/31 (d) 22,287 22,553
Salomon Mortgage
7.574% due 11/25/22 (d) 2,748 2,767
7.778% due 07/01/24 (d) 36,334 37,322
Santa Barbara Savings
9.500% due 11/20/18 7,696 7,798
Saxon Mortgage
7.874% due 09/25/22 (d) 5,770 5,840
8.011% due 08/25/23 (d) 62,964 63,909
Sears Mortgage
9.250% due 12/01/16 3,899 4,046
6.790% due 06/25/22 (d) 1,530 1,528
7.717% due 09/25/22 (d) 6,498 6,559
8.697% due 05/25/32 (d) 23,331 23,572
</TABLE>
34
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Structured Asset Securities Corp.
5.944% due 02/25/28 $ 24,500 $ 24,420
UBS Mortgage
9.000% due 11/27/19 7,526 7,592
Vendee Mortgage Trust
7.750% due 03/15/16 600 605
-----------
2,149,580
===========
Other Mortgage-Backed Securities - 3.3%
Bank of America
8.375% due 05/01/07 5 5
9.000% due 03/01/08 138 143
9.000% due 04/05/08 39 40
9.000% due 05/01/08 11 12
9.500% due 07/01/08 61 62
11.875% due 04/01/10 15 16
Daiwa Mortgage
7.250% due 09/25/06 (d) 3,795 3,835
General American Capital Corp.
6.805% due 07/01/18 (d) 10,275 10,189
General Electric Credit Corp.
8.000% due 03/01/02 248 252
Georgia Federal Mortgage
10.500% due 11/01/14 2,996 3,111
Great Western Savings & Loan
6.150% due 09/25/17 (d) 285 277
Guardian
7.144% due 12/25/18 (d) 875 752
7.494% due 02/01/19 (d) 1,008 867
7.749% due 05/25/19 (d) 115 96
Home Savings of America
6.026% due 05/25/27 (d) 5,234 5,116
Imperial Savings & Loan
10.000% due 09/01/16 356 375
8.800% due 01/25/17 187 190
9.800% due 07/25/17 714 718
LTC Commercial Corp.
7.100% due 11/28/12 5,896 5,824
MDC Mortgage Funding
7.739% due 01/25/25 (d) 17,576 17,949
Merrill Lynch Mortgage
9.250% due 12/15/09 88 93
Mellon Financial Co.
13.250% due 01/15/99 498 530
Mid-State Trust
8.330% due 04/01/30 38,203 40,638
OSCC Home Equity
6.950% due 05/15/07 198 192
PaineWebber Mortgage
8.297% due 11/25/23 (d) 2,579 2,649
Resolution Trust Corp.
7.844% due 02/25/20 (d) 624 430
7.260% due 09/25/20 (d) 20,000 950
6.050% due 04/25/21 (d) 1,389 1,396
8.017% due 06/25/21 (d) 15,342 15,390
8.230% due 09/25/21 (d) 8,022 8,140
6.500% due 10/25/21 (d) 1,724 1,741
7.433% due 10/25/28 (d) 20,906 21,062
7.499% due 10/25/28 (d) 40,425 41,145
7.500% due 10/25/28 11,539 11,571
7.212% due 05/25/29 (d) 7,682 7,761
7.594% due 05/25/29 (d) 9,327 9,242
7.707% due 05/25/29 (d) 9,175 9,241
Rural Housing
3.330% due 04/01/26 827 754
Ryland Acceptance Corp.
9.000% due 12/01/16 1,249 1,297
11.500% due 12/25/16 382 384
7.691% due 11/28/22 (d) 7,000 7,103
7.909% due 09/25/23 (d) 23,047 23,399
Salomon Mortgage
11.500% due 09/01/15 2,698 2,946
Saxon Mortgage
7.922% due 12/25/22 (d) 25,592 25,848
Sears Mortgage
12.000% due 02/25/14 2,078 2,280
8.000% due 03/25/22 4,756 4,776
7.588% due 10/25/22 (d) 9,181 9,307
Securitized Asset Sales, Inc.
7.720% due 10/25/23 (d) 13,460 13,662
7.935% due 12/26/23 (d) 12,756 13,110
Structured Asset Securities Corp.
9.250% due 07/01/19 200 198
USGI Capital
8.500% due 11/25/07 12,752 12,934
Western Federal Savings & Loan
6.929% due 11/25/18 (d) 523 520
6.979% due 03/25/19 (d) 4,342 4,330
-----------
344,848
===========
Stripped Mortgage-Backed Securities - 0.3%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 153 8
10.038% due 09/15/05 (d) 108 11
6.500% due 11/15/06 6,007 630
6.500% due 03/15/07 14,368 1,333
5.750% due 09/15/07 (d) 21,816 1,570
5.428% due 02/15/08 (d) 1,418 124
11.651% due 01/15/16 (d) 118 16
6.500% due 08/15/16 13,257 1,096
7.000% due 04/15/18 10,576 967
9.993% due 11/15/18 300 64
8.845% due 01/15/21 781 204
9.000% due 05/15/22 367 112
Federal National Mortgage Assn. (IO)
33.862% due 04/25/02 105 8
6.750% due 09/25/04 458 30
7.000% due 06/25/05 173 9
10.458% due 07/25/05 (d) 5,872 555
6.500% due 07/25/06 17,849 1,659
6.500% due 02/25/07 12,514 1,297
6.500% due 07/25/07 3,665 361
6.500% due 09/25/07 20,716 1,989
6.500% due 10/25/07 5,429 614
0.100% due 03/25/09 (d) 79,724 1,762
7.000% due 08/25/15 10,729 1,037
6.500% due 08/25/20 2,666 683
10.070% due 01/25/21 241 56
9.032% due 08/25/21 4,021 794
0.950% due 11/25/21 (d) 82,940 1,596
6.500% due 01/25/23 12,983 1,659
Federal Home Loan Mortgage Corp. (PO)
0.000% due 02/15/24 1,413 1,377
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,801 1,309
0.000% due 02/25/21 10,670 9,053
0.000% due 07/25/23 1,969 1,941
0.000% due 08/25/23 525 312
PaineWebber (IO)
13.595% due 08/01/19 470 165
-----------
34,401
-----------
Total Mortgage-Backed Securities 7,192,069
===========
(Cost $7,223,926)
================================================================================
Asset-Backed Securities - 1.6%
================================================================================
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,709
Delta Air Lines Equipment Trust
9.230% due 07/02/02 17,127 18,155
</TABLE>
35
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
10.500% due 01/02/07 $ 7,980 $ 9,207
10.570% due 01/02/07 15,881 19,504
9.550% due 01/02/08 7,773 8,732
10.000% due 06/05/13 10,828 12,384
Discover Card Trust
7.300% due 05/21/99 200 201
National Credit Card Trust
9.450% due 12/31/97 300 304
Standard Credit Card Master Trust
7.250% due 04/07/08 300 308
UAL Equipment Trust
9.200% due 03/22/08 4,610 4,929
10.360% due 11/13/12 7,000 8,066
10.020% due 03/22/14 4,500 5,160
10.850% due 07/05/14 34,111 41,583
10.125% due 03/22/15 14,300 16,909
9.060% due 06/17/15 5,000 5,327
9.210% due 01/21/17 2,000 2,150
-----------
Total Asset-Backed Securities 160,628
===========
(Cost $154,075)
================================================================================
Sovereign Issues - 3.9%
================================================================================
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,512
6.875% due 10/01/98 19,500 18,159
Cemex
8.875% due 06/10/98 5,000 4,881
Kingdom of Sweden
10.250% due 11/01/15 500 639
Petroleos Mexicanos
8.750% due 03/05/97 3,500 3,509
Province of Newfoundland
9.000% due 06/01/19 500 577
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,115
Province of Ontario
7.750% due 06/04/02 200 212
Province of Quebec
7.500% due 07/15/02 6,000 6,187
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,541
Republic of Argentina
7.458% due 04/26/96 40,500 40,318
5.297% due 09/01/97 (d) 1,700 1,416
6.313% due 03/31/05 (d) 184,090 132,545
6.813% due 03/31/05 5,000 3,600
5.000% due 03/31/23 (d) 90,000 46,575
United Mexican States
6.250% due 12/31/19 89,000 56,404
6.547% due 12/31/19 (d) 59,000 44,471
6.609% due 12/31/19 (d) 2,000 1,508
6.766% due 12/31/19 (d) 50,000 37,688
-----------
Total Sovereign Issues 404,857
===========
(Cost $410,212)
================================================================================
Foreign Currency-Denominated Issues (c)(f) - 9.9%
================================================================================
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,926
Commonwealth of Canada
9.000% due 12/01/04 117,500 93,986
8.750% due 12/01/05 488,600 385,798
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 972
Republic of Germany
8.250% due 09/20/01 DM 6,130 4,657
7.250% due 10/21/02 16,465 11,924
6.250% due 01/04/24 855,900 513,897
RJR Nabisco
6.875% due 11/22/00 DM 9,500 6,549
-----------
Total Foreign Currency-
Denominated Issues 1,023,709
===========
(Cost $1,040,023)
================================================================================
Purchased CME Put Options - 0.0%
================================================================================
Eurodollar June Futures
Strike @ 91 Exp. 6/18/96 $1,800,000 45
Eurodollar June Futures
Strike @ 91.25 Exp. 6/18/96 2,100,000 53
Eurodollar September Futures
Strike @ 90.50 Exp. 9/16/96 1,300,000 0
-----------
Total Purchased CME Put Options 98
===========
(Cost $93)
================================================================================
Preferred Stock - 0.1%
================================================================================
<CAPTION>
Shares
<S> <C> <C>
Banco Bilbao Vizcaya International 266,217 7,388
Cleveland Electric Illuminating Co. 2,808 278
Santander Overseas 275,000 7,322
-----------
Total Preferred Stock 14,988
===========
(Cost $14,834)
================================================================================
Short-Term Instruments - 16.2%
================================================================================
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes - 14.7%
Abbott Laboratories
5.340% due 04/23/96 $ 35,100 34,985
AT&T Corp.
5.370% due 04/01/96 2,100 2,100
5.200% due 04/02/96 27,800 27,796
5.160% due 04/03/96 16,000 15,995
5.200% due 04/03/96 87,000 86,975
Ameritech Co.
5.200% due 04/03/96 600 600
5.250% due 06/24/96 34,700 34,249
Amoco Credit Corp.
5.190% due 04/19/96 4,400 4,389
BellSouth Telecommunications
5.180% due 04/11/96 7,000 6,990
5.190% due 04/12/96 15,000 14,976
5.180% due 04/26/96 100 100
Campbell Soup Co.
5.310% due 05/07/96 25,000 24,867
Canadian Wheat Board
5.180% due 04/01/96 30,000 30,000
Coca-Cola Co.
5.180% due 04/09/96 10,000 9,988
5.300% due 04/11/96 400 399
5.320% due 04/11/96 20,700 20,669
5.200% due 06/14/96 2,500 2,471
Commonwealth Bank of Australia
5.200% due 04/02/96 13,600 13,598
5.150% due 04/22/96 4,000 3,988
5.250% due 04/25/96 5,200 5,182
5.240% due 04/29/96 3,200 3,187
5.190% due 05/20/96 1,900 1,887
Commonwealth of Canada
5.240% due 04/15/96 500 499
5.210% due 05/22/96 15,500 15,386
5.210% due 05/28/96 10,500 10,413
5.250% due 06/26/96 83,200 82,093
Duke Power Co.
5.230% due 04/12/96 2,500 2,496
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
E.I. Du Pont de Nemours
5.300% due 04/18/96 $ 4,000 $ 3,990
5.210% due 04/26/96 23,500 23,415
5.220% due 04/26/96 400 399
Eli Lilly & Co.
5.240% due 06/17/96 1,800 1,778
Emerson Electric Co.
5.220% due 04/02/96 20,000 19,997
Federal Home Loan Bank
5.025% due 04/25/96 800 797
5.190% due 04/25/96 89,120 88,812
Federal Home Loan Mortgage Corp.
5.270% due 04/18/96 1,700 1,696
5.260% due 04/22/96 3,000 2,991
5.270% due 04/22/96 28,300 28,213
Federal National Mortgage Assn.
5.120% due 04/15/96 5,300 5,289
5.170% due 04/16/96 14,000 13,970
5.300% due 04/16/96 29,000 28,936
5.270% due 05/15/96 1,100 1,093
Ford Motor Credit Corp.
5.370% due 04/01/96 51,700 51,700
5.240% due 04/08/96 18,100 18,082
5.250% due 05/10/96 13,600 13,523
5.280% due 05/28/96 1,300 1,289
5.250% due 06/26/96 1,500 1,480
5.260% due 07/05/96 124,800 122,960
General Electric Capital Corp.
5.230% due 04/03/96 34,900 34,890
5.540% due 04/03/96 13,000 12,996
5.210% due 04/12/96 100,000 99,841
5.320% due 04/23/96 11,000 10,964
5.340% due 04/23/96 61,800 61,598
5.260% due 04/25/96 59,000 58,793
5.390% due 04/26/96 900 897
Hewlett Packard Co.
5.220% due 06/14/96 17,000 16,804
KFW International Financial
5.250% due 05/17/96 9,500 9,436
Kimberly Clark Corp.
5.280% due 05/06/96 6,880 6,845
Minnesota Mining and Manufacturing
5.220% due 04/19/96 20,395 20,342
5.250% due 05/23/96 2,900 2,878
Motorola, Inc.
5.170% due 04/19/96 6,000 5,984
National Rural Utilities Cooperative
5.180% due 04/09/96 10,000 9,988
5.300% due 05/20/96 19,400 19,260
5.250% due 06/07/96 8,800 8,707
Ontario Hydro
5.380% due 04/02/96 34,500 34,495
Pitney Bowes Credit, Inc.
5.130% due 04/02/96 12,000 11,998
5.110% due 04/29/96 50,800 50,598
Province of Alberta
5.250% due 04/25/96 10,000 9,965
Shell Oil Co.
5.290% due 04/11/96 9,200 9,186
5.330% due 04/11/96 8,100 8,088
5.180% due 04/12/96 1,000 998
United Parcel Service
5.430% due 04/04/96 21,100 21,090
5.170% due 04/12/96 16,200 16,174
U.S. West Communications
5.150% due 04/04/96 23,500 23,490
Wal-Mart Stores
5.370% due 04/01/96 62,800 62,800
Warner Lambert
5.450% due 04/09/96 2,200 2,198
Wisconsin Electric Power & Light
5.200% due 04/04/96 1,500 1,499
-----------
1,519,490
===========
Repurchase Agreements - 0.4%
Daiwa Securities
5.200% due 04/01/96 33,000 33,000
(Dated 03/29/96. Collateralized
by U.S. Treasury Bill due 09/19/96
valued at $33,784,548. Repurchase
proceeds are $33,014,300.)
State Street Bank
4.750% due 04/01/96 8,742 8,742
(Dated 03/29/96. Collateralized
by U.S. Treasury Bond 8.750%
due 05/15/17 valued at $8,917,531.
Repurchase proceeds are $8,745,460.)
-----------
41,742
===========
U.S. Treasury Bills - 1.1%
4.851% 04/04/96-08/29/96 (b)(g) 118,230 116,956
-----------
Total Short-Term Instruments 1,678,188
===========
(Cost $1,678,432)
Total Investments (a) - 126.0% $13,039,888
(Cost $13,069,858)
Written Options (e) - (0.3%) (28,856)
(Premiums $11,679)
Other Assets and Liabilities (Net) - (25.7%) (2,658,809)
-----------
Net Assets - 100.0% $10,352,223
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 103,632
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (137,109)
-----------
Unrealized depreciation-net $ (33,477)
===========
(b) Securities with an aggregate market value of $116,956 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Republic of Germany 10 Year Bond (6/96) 3,726 $ (3,458)
U.S. Treasury 5 Year Note (6/96) 5,728 (4,963)
U.S. Treasury 10 Year Note (6/96) 7,852 (9,165)
U.S. Treasury 30 Year Bond (6/96) 8,199 (31,227)
-----------
$ (48,813)
===========
</TABLE>
37
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund
March 31, 1996
- --------------------------------------------------------------------------------
(c) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BP 3,300 05/96 $ (2)
Sell C$ 290,322 05/96 (1,586)
Sell C$ 73,500 03/97 (92)
Sell FF 4,535 06/96 10
Buy DM 265,001 04/96 582
Buy DM 121,456 05/96 (1,449)
Sell DM 59,140 05/96 112
Sell DM 407,304 12/96 7,662
Sell DM 361,008 01/97 1,295
Sell DM 65,330 02/97 (522)
--------
$ 6,010
========
</TABLE>
(d) Variable rate security. The rate listed is as of
March 31, 1996.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. Treasury Bond June Futures
Strike @ 112.00 Exp. 05/18/96 $1,118,000 $ 10,056 $22,185
CBOT U.S. Treasury Bond June Futures
Strike @ 114.00 Exp. 05/18/96 200,000 1,067 6,469
CBOT U.S. Treasury Bond September Futures
Strike @ 110.00 Exp. 08/24/96 5,000 66 116
CME Eurodollar June Futures
Strike @ 94.00 Exp. 06/17/96 668,000 420 16
OTC General Motors Acceptance Corp.
Strike @ 99.90 Exp. 06/03/96 70,000 70 70
-------------------
$ 11,679 $28,856
===================
</TABLE>
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
FF - French Franc
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Security becomes interest bearing at a future date.
See Notes to Financial Statements
38
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund II
March 31, 1996
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
Mortgage-Backed Securities .................................. 78.1%
Corporate Bond and Notes .................................... 25.1%
Other ....................................................... 1.6%
Short-Term Instruments ...................................... 22.9%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
Corporate Bonds and Notes - 25.1%
================================================================================
<S> <C> <C>
Banking and Finance-6.5%
Citicorp
5.388% due 01/30/98 (c) $ 5,000 $ 4,985
5.438% due 05/29/98 (c) 5,000 4,984
Discover Credit Corp.
9.000% due 04/15/96 5,250 5,267
First Interstate Bancorp
6.000% due 06/25/97 (c) 250 251
General Motors Acceptance Corp.
6.750% due 04/25/97 10,000 10,095
7.900% due 05/01/97 500 511
Great Western Financial
8.625% due 12/01/98 3,000 3,144
Lehman Brothers Holdings
8.875% due 11/01/98 500 528
-----------
29,765
===========
Industrials-12.2%
AMR Corp.
7.750% due 12/01/97 10,000 10,215
9.430% due 05/10/01 1,000 1,099
8.900% due 02/26/07 6,450 6,987
Columbia Health Care
5.535% due 07/28/97 (c) 15,000 15,012
Time Warner, Inc.
6.210% due 08/15/00 (c) 5,575 5,612
7.975% due 08/15/04 3,345 3,406
8.110% due 08/15/06 6,690 6,884
8.180% due 08/15/07 6,690 6,869
-----------
56,084
===========
Utilities-6.4%
Commonwealth Edison
8.000% due 10/15/03 7,550 7,637
CTC Mansfield Funding
11.125% due 09/30/16 2,500 2,610
Illinois Power Co.
5.850% due 10/01/96 1,000 1,001
Long Island Lighting Co.
8.750% due 05/01/96 8,000 8,016
9.000% due 11/01/22 7,250 6,916
Ohio Edison
8.500% due 05/01/96 3,000 3,006
-----------
29,186
-----------
Total Corporate Bonds and Notes 115,035
===========
(Cost $111,712)
================================================================================
Mortgage Backed Securities - 78.1%
================================================================================
Federal Home Loan Mortgage Corporation-14.1%
7.250% due 03/01/06 500 507
7.488% due 02/01/23 (c) 2,514 2,567
7.500% due 05/13/26 25,000 24,922
7.841% due 04/01/29 (c) 3,775 3,882
8.000% due 04/01/25-12/01/25 (e) 9,816 9,997
8.132% due 12/01/22 (c) 21,255 21,954
8.250% due 03/01/08-05/01/08 (e) 305 317
8.500% due 12/01/01 8 9
9.500% due 02/01/11 184 199
10.000% due 06/01/11 35 39
10.500% due 04/01/01 173 183
15.500% due 06/01/11 3 3
-----------
64,579
===========
Federal Housing Administration-0.2%
7.430% due 10/01/19 389 392
8.829% due 05/01/19 648 671
-----------
1,063
===========
Federal National Mortgage Association-12.1%
4.500% due 07/01/96 1 1
7.000% due 08/01/09 537 537
7.078% due 02/01/23 (c) 6,532 6,553
7.200% due 04/01/24 4,953 5,077
7.482% due 12/01/23 (c) 3,066 3,164
7.500% due 04/01/24 (c) 17,502 17,514
7.599% due 01/01/24 (c) 5,963 6,156
7.675% due 10/01/24 (c) 3,459 3,570
7.750% due 10/01/07 585 593
8.000% due 10/01/05 723 740
8.013% due 07/01/20 (c) 2,051 2,123
8.500% due 12/01/01-08/01/07 (e) 6,653 6,902
9.000% due 12/01/01 1,909 2,019
11.000% due 09/01/10 354 394
13.750% due 10/01/10-12/01/14 (e) 154 180
14.500% due 03/01/13 10 12
14.750% due 10/01/12-11/01/12 (e) 45 53
-----------
55,588
===========
Government National Mortgage Association-26.7%
6.500% due 04/18/26 30,000 28,275
7.000% due 01/20/25 (c) 4,163 4,235
7.000% due 04/18/26 80,000 77,925
7.250% due 09/20/24 (c) 4,156 4,213
7.375% due 06/20/23 (c) 7,417 7,497
7.500% due 03/15/24 440 440
12.000% due 10/15/12-10/15/15 (e) 82 94
-----------
122,679
===========
Collateralized Mortgage Obligations-22.8%
AFC Home Equity Loan Trust
7.517% due 10/25/26 (c) 7,157 7,218
American Southwest Financial
8.450% due 09/01/17 246 245
Capstead
8.900% due 12/25/21 900 927
Chase Mortgage Financial Corp.
8.000% due 06/25/24 733 741
Citicorp Mortgage
9.500% due 07/01/04 44 45
9.500% due 10/25/04 174 182
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 16,872 17,267
Countrywide
7.697% due 11/25/24 (c) 10,249 10,476
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 506 555
Federal Home Loan Mortgage Corp.
8.800% due 12/01/15 316 339
9.000% due 12/15/20 4,364 4,526
7.000% due 07/15/22 12,422 11,176
Federal National Mortgage Assn.
7.000% due 04/25/15 310 312
8.500% due 03/25/17 1,188 1,204
9.000% due 09/25/18 1,949 2,011
9.250% due 07/25/19 8,272 8,613
Guaranteed Mortgage Corp.
9.300% due 07/20/19 1,000 1,067
Independent National Mortgage Corp.
7.920% due 11/25/24 (c) 9,018 9,252
Norwest Mortgage
12.375% due 01/01/14 570 617
Residential Funding
10.000% due 10/01/19 48 48
Ryland Acceptance Corp.
8.000% due 09/25/22 8,447 8,483
Saxon Mortgage
7.874% due 09/25/22 (c) 5,657 5,725
</TABLE>
39
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund II
March 31, 1996
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
..........................................................A .............. 6%
..........................................................BBB ............ 13%
..........................................................BB ............. 2%
..........................................................A1/P1........... 17%
..........................................................AAA ............ 62%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
8.123% due 01/25/23 (c) $ 8,290 $ 8,373
Sears Mortgage
8.250% due 09/25/31 267 266
8.697% due 05/25/32 (c) 4,734 4,783
U.S. Home Equity
8.500% due 04/15/21 53 54
-----------
104,505
===========
Other Mortgage-Backed Securities-2.2%
Bank of America
9.000% due 03/01/08 115 119
Dime Savings
7.135% due 11/25/18 (c) 210 188
Federal Home Loan Mortgage Corp.
11.875% due 06/15/13 365 401
Ryland Acceptance Corp.
7.909% due 09/25/23 (c) 8,381 8,522
Security Pacific National Bank
8.500% due 03/01/17 122 121
Western Federal Savings & Loan
6.979% due 03/25/19 (c) 939 936
-----------
10,287
-----------
Total Mortgage-Backed Securities 358,701
(Cost $361,316) ===========
</TABLE>
<TABLE>
<CAPTION>
=========================================================================
Asset-Backed Securities - 1.6%
=========================================================================
<S> <C> <C>
United Air Lines Equipment Trust
9.190% due 12/24/13 7,213 7,520
-----------
Total Asset-Backed Securities 7,520
(Cost $7,891) ===========
=========================================================================
Short-Term Instruments - 22.9%
=========================================================================
Discount Notes-21.7%
Abbot Laboratories
5.250% due 04/11/96 10,100 10,085
Ameritech Corp.
5.230% due 06/25/96 13,000 12,829
AT&T Corp.
5.180% due 04/09/96 1,200 1,199
Eli Lilly & Co.
5.240% due 06/17/96 10,500 10,374
Federal Home Loan Mortgage Corp.
5.150% due 04/11/96 3,400 3,395
Federal National Mortgage Assn.
5.120% due 04/03/96 7,000 6,998
5.120% due 04/15/96 8,000 7,984
5.140% due 05/03/96 4,000 3,982
Ford Motor Credit Co.
5.370% due 04/01/96 2,500 2,500
5.240% due 04/08/96 900 899
5.250% due 05/10/96 2,700 2,685
5.250% due 06/26/96 10,500 10,360
G.E. Capital Corp.
5.340% due 04/23/96 4,000 3,987
Hewlett Packard Co.
5.140% due 04/26/96 4,000 3,986
5.230% due 06/20/96 600 594
Minnesota Mining & Mfg. Co.
5.250% due 05/23/96 3,300 3,276
Motorola, Inc.
5.170% due 04/02/96 1,000 1,000
United Parcel Service
5.430% due 04/04/96 1,000 1,000
Wal-Mart Stores
5.280% due 04/11/96 12,400 12,381
-----------
99,514
===========
Repurchase Agreement-0.4%
State Street Bank
4.750% due 04/01/96 $ 1,851 $ 1,851
(Dated 3/29/96. Collateralized by -----------
U.S. Treasury Notes 8.75% 05/15/17
valued at $1,888,782 Repurchase
proceeds are $1,851,733.)
U.S. Treasury Bills-0.8%
4.788% due 04/04/96-08/29/96(b)(e) 3,835 3,791
-----------
Total Short-Term Instruments 105,156
(Cost $105,181) ===========
Total Investments (a)-127.7% $ 586,412
(Cost $586,100)
Written Options (d)-0.0% (397)
(Premiums $233)
Other Assets and Liabilities (Net)-(27.7)% (127,112)
-----------
Net Assets - 100.0% $ 458,903
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 5,410
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (5,098)
-----------
Unrealized appreciation-net $ 312
===========
(b) Securities with an aggregate market value of $3,791 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- -------------------------------------------------------------------------
<S> <C> <C>
CBOT U.S. Treasury 5 Year Note (6/96) 267 $ (580)
CBOT U.S. Treasury 10 Year Note (6/96) 832 (1,248)
CBOT U.S. Treasury 30 Year Bond (6/96) 474 (45)
-------------
$ (1,873)
=============
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1996.
(d) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
CBOT U.S. Treasury Bond Futures
Strike @ 112.00 Exp. 5/18/96 $20,000 $ 233 $ 397
</TABLE>
(e) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
40
<PAGE>
SCHEDULE OF INVESTMENTS
Total Return Fund III
March 31, 1996
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
Mortgage-Backed Securities .................................. 63.9%
Short-Term Instruments ...................................... 22.4%
Foreign Currency-Denominated ................................ 10.4%
Corporate Bonds and Notes ................................... 13.8%
Other ....................................................... 4.5%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
=========================================================================
Corporate Bonds and Notes - 13.8%
=========================================================================
Industrials-6.2%
Arkla, Inc.
9.875% due 02/15/18 $ 500 $ 505
Coastal Corp.
10.375% due 10/01/00 3,000 3,412
Spieker Properties
6.950% due 12/15/02 2,000 1,946
Time Warner, Inc.
8.375% due 07/15/33 3,000 3,018
-----------
8,881
===========
Utilities-7.6%
Cablevision Industries
10.750% due 01/30/02 3,000 3,255
Cleveland Electric Illuminating Co.
8.750% due 11/15/05 3,500 3,402
Niagara Mohawk Power
5.875% due 11/01/96 2,640 2,616
North Atlantic Energy
9.050% due 06/01/02 944 939
System Energy Resources
10.500% due 09/01/96 70 71
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 526
-----------
10,809
-----------
Total Corporate Bonds and Notes 19,690
(Cost $19,953) ===========
=========================================================================
U.S. Treasury Notes - 0.1%
=========================================================================
5.500% due 04/30/96 40 40
-----------
Total U.S. Treasury Notes 40
(Cost $40) ===========
=========================================================================
U.S. Government Agencies - 0.4%
=========================================================================
Federal National Mortgage Assn.
9.150% due 04/10/98 300 317
5.870% due 10/15/03 50 47
Government Trust Certificate - Greece
8.000% due 05/15/98 225 227
-----------
Total U.S. Government Agencies 591
===========
(Cost $579)
=========================================================================
Mortgage-Backed Securities-63.9%
=========================================================================
Federal Home Loan Mortgage Corporation-9.2%
7.500% due 05/13/26 5,000 4,984
8.000% due 02/01/06 475 483
8.000% due 04/11/26 4,000 4,071
8.132% due 12/01/22 (d) 3,422 3,535
-----------
13,073
===========
Federal National Mortgage Association-8.3%
6.360% due 07/01/17 (d) 119 120
6.369% due 12/01/27-02/01/27(d)(g) 4,109 4,142
6.396% due 08/01/29 (d) 135 137
7.500% due 04/01/24 4,376 4,379
8.121% due 07/01/23 (d) 1,585 1,637
8.250% due 07/01/17 195 199
8.500% due 02/01/07 1,085 1,122
9.000% due 07/01/05 67 71
-----------
11,807
===========
Government National Mortgage Association-19.1%
6.500% due 05/20/26 15,000 14,184
7.000% due 06/20/22-11/20/24(d)(g) 12,831 12,999
-----------
27,183
===========
Collateralized Mortgage Obligations-20.6%
Chase Mortgage Financial Corp.
9.500% due 04/25/24 232 233
CMC Securities Corp.
7.430% due 04/25/25 (d) 4,543 4,611
CMO Trust
8.000% due 01/01/17 5,959 6,085
Federal Home Loan Mortgage Corp.
8.000% due 05/15/00-02/15/15 (g) 2,408 2,462
7.500% due 04/15/19 2,123 2,139
Federal National Mortgage Assn.
7.750% due 07/25/19 416 423
Greenwich
7.834% due 11/25/24 (d) 2,685 2,748
PNC Mortgage Securities Corp.
7.500% due 06/25/10 1,308 1,310
Residential Accredit Loans, Inc.
7.050% due 01/25/26 2,000 1,877
7.250% due 01/25/26 3,000 2,772
Residential Funding
9.000% due 07/01/21 618 625
Resolution Trust Corp.
8.835% due 12/25/23 2,500 2,547
Sears Mortgage
8.697% due 05/25/32 (d) 1,420 1,435
-----------
29,267
===========
Other Mortgage-Backed Securities-4.8%
Guardian
6.836% due 07/25/20 (d) 1,580 1,011
Resolution Trust Corp.
8.625% due 10/25/21 522 524
7.707% due 05/25/29 (d) 3,153 3,176
Ryland Acceptance Corp.
7.909% due 09/25/23 (d) 2,095 2,131
-----------
6,842
===========
Stripped Mortgage-Backed Securities-1.9%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 9,961 1,290
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,575 1,429
-----------
2,719
-----------
Total Mortgage-Backed Securities 90,891
(Cost $91,968) ===========
=========================================================================
Sovereign Issues - 4.0%
=========================================================================
Republic of Argentina
6.313% due 03/31/05 (d) 3,960 2,851
Province of Quebec
8.800% due 04/15/03 1,000 1,105
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,694
-----------
Total Sovereign Issues 5,650
(Cost $5,291) ===========
=========================================================================
Foreign Currency-Denominated Issues (c)(f) - 10.4%
=========================================================================
Republic of Germany
6.250% due 01/04/24 DM 5,000 3,002
Commonwealth of Canada
8.500% due 04/01/02 C$ 2,000 1,559
8.750% due 12/01/05 2,520 1,990
United Kingdom Gilt
9.500% due 04/18/05 BP 5,000 8,276
-----------
Total Foreign Currency-Denominated Issues 14,827
(Cost $15,184) ===========
</TABLE>
41
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Total Return Fund III
March 31, 1996
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
<TABLE>
<S> <C>
A ...................................................................... 3%
BBB ...................................................................... 8%
BB ...................................................................... 7%
A1 ...................................................................... 21%
AAA ...................................................................... 61%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
=========================================================================
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 - 22.4%
=========================================================================
Discount Notes-21.1%
AT&T Corp.
5.290% due 05/02/96 4,000 3,982
Amoco Credit Corp.
5.190% due 04/19/96 3,000 2,992
Commonwealth Bank of Australia
5.150% due 04/22/96 3,500 3,490
5.190% due 05/20/96 1,000 993
E.I. Du Pont de Nemours
5.280% due 04/01/96 800 800
Federal Home Loan Mortgage Corp.
5.120% due 04/03/96 2,200 2,199
5.170% due 04/16/96 5,500 5,488
5.280% due 04/22/96 700 698
Ford Motor Credit Corp.
5.370% due 04/01/96 2,000 2,000
5.250% due 05/10/96 1,000 994
5.250% due 06/26/96 3,000 2,962
Kimberly Clark
5.120% due 04/19/96 800 798
Minnesota Mining & Mfg. Co.
5.250% due 05/23/96 1,400 1,389
Shell Oil Co.
5.290% due 04/11/96 300 300
United Parcel Service
5.430% due 04/04/96 1,000 1,000
-----------
30,085
===========
Repurchase Agreement-0.4%
State Street Bank
4.750% due 04/01/96 550 550
(Dated 03/29/96. Collateralized by -----------
U.S. Treasury Note 8.750% 05/15/17
valued at $563,538. Repurchase
proceeds are 550,218.)
U.S. Treasury Bills-0.9%
4.870% due 04/04/96-08/29/96(b)(g) 1,250 1,239
-----------
Total Short-Term Instruments 31,874
(Cost $31,874) ===========
Total Investments (a)-115.0% $ 163,563
(Cost $164,891)
Written Options (e)-(0.1%) (198)
(Premiums $79)
Other Assets and Liabilities (Net)-(14.9%) (21,142)
-----------
Net Assets-100.0% $ 142,223
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 971
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,169)
-----------
Unrealized depreciation-net $ (1,198)
-----------
(b) Securities with an aggregate market value of $1,239 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- -------------------------------------------------------------------------
<S> <C> <C>
Republic of Germany 10 Year Bond (6/96) 30 $ (102)
U.S. Treasury 5 Year Note (6/96) 100 (217)
U.S. Treasury 10 Year Note (6/96) 198 (520)
U.S. Treasury 30 Year Bond (6/96) 150 (358)
-----------
$ (1,197)
-----------
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BP 5,353 5/96 $ 3
Sell C$ 4,325 5/96 (24)
Sell DM 4,495 1/97 39
-----------
$ 18
===========
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1996.
(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 @ 112.00 Exp. 05/18/96 $10,000 $ 79 $ 198
</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
42
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
Corporate Bonds and Notes ............................................ 30.5%
Other ................................................................ 5.3%
Short-Term Instruments ............................................... 16.5%
Mortage-Backed Securities............................................. 77.5%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=========================================================================
Corporate Bonds and Notes - 30.5%
=========================================================================
<S> <C> <C>
Banking and Finance - 11.4%
American Express Co.
8.750% due 06/15/96 $ 1,000 $ 1,007
American General Financial Corp.
7.750% due 01/15/97 600 609
6.000% due 02/23/98 1,000 996
Associates Corp. of North America
6.750% due 07/15/97 625 631
7.250% due 05/15/98 500 511
7.500% due 05/15/99 1,000 1,035
AT&T Capital Corp.
7.660% due 01/30/97 600 610
Banc One Corp.
7.250% due 08/01/02 500 513
Bancomer
8.000% due 07/07/98 4,000 3,825
BankAmerica Corp.
7.200% due 09/15/02 100 102
Bankers Trust
8.250% due 07/02/96 3,000 3,017
7.250% due 11/01/96 5,500 5,544
Banponce Corp.
5.813% due 01/27/97(d) 5,000 5,003
Capital One Bank
5.925% due 07/26/96(d) 15,000 15,001
Chrysler Financial Corp.
8.125% due 12/15/96 15,000 15,255
6.100% due 11/03/97 2,000 2,003
8.330% due 02/02/98 5,490 5,699
6.280% due 07/17/98 3,000 3,005
Citicorp
5.438% due 05/29/98(d) 8,000 7,974
Comercia Bank
6.750% due 05/12/98 500 506
Commercial Credit
5.500% due 05/15/98 1,000 984
Den Danske Bank
7.038% due 06/23/00(d) 1,000 1,009
Discover Credit Corp.
8.970% due 07/08/96 2,000 2,015
9.000% due 07/24/96 7,500 7,567
8.875% due 08/07/96 5,000 5,047
7.760% due 05/13/97 5,000 5,085
Ford Capital
9.000% due 06/01/96 4,800 4,827
Ford Motor Credit Corp.
7.875% due 01/15/97 700 711
6.800% due 08/15/97 1,200 1,213
6.520% due 02/03/98 1,000 1,008
General Motors Acceptance Corp.
8.600% due 05/10/96 1,050 1,053
6.700% due 05/20/96 3,000 3,005
8.800% due 07/03/96 1,500 1,513
8.800% due 07/08/96 1,850 1,865
5.590% due 07/19/96 (d) 7,500 7,510
5.907% due 07/26/96 (d) 7,750 7,752
6.625% due 08/01/96 5,000 5,019
8.100% due 09/19/96 250 253
8.000% due 10/01/96 500 506
6.147% due 10/15/96 (d) 16,000 16,040
7.650% due 12/17/96 425 431
8.250% due 01/13/97 9,000 9,176
8.000% due 01/23/97 17,000 17,310
7.750% due 01/24/97 2,500 2,541
7.625% due 02/28/97 10,000 10,162
7.750% due 04/15/97 13,834 14,098
7.000% due 08/19/97 175 178
Goldman Sachs Mortgage Corp.
5.000% due 08/23/96 17,455 17,400
Kansallis-Osake
7.530% due 09/30/43 (d) 13,500 13,905
Lehman Brothers, Inc.
7.000% due 05/15/97 500 505
7.375% due 08/15/97 500 508
Manufacturers Hanover Corp.
5.750% due 04/30/97 (d) 6,000 5,984
Marine Midland Bank
5.813% due 09/27/96 (d) 2,000 1,998
Navistar Financial
9.500% due 06/01/96 2,000 2,010
Norwest Financial, Inc.
6.400% due 11/15/96 15,000 15,084
Salomon, Inc.
5.720% due 06/11/96 3,000 2,999
5.200% due 01/20/97 750 743
8.850% due 02/10/97 2,000 2,040
8.670% due 02/13/97 1,500 1,530
5.930% due 03/17/97 12,590 12,536
7.125% due 08/01/99 1,000 1,002
Signet Banking Corp.
5.375% due 05/15/97 (d) 2,095 2,084
5.813% due 04/15/98 (d) 2,865 2,838
Society Bank
6.875% due 10/15/96 19,375 19,508
Transamerica Financial
6.940% due 04/27/98 700 709
Wachovia Bank
4.625% due 12/13/96 1,000 994
-------
305,101
=======
Industrials - 12.3%
AMR Corp.
8.730% due 08/19/96 1,000 1,011
7.600% due 01/27/97 2,000 2,025
6.500% due 03/15/97 3,690 3,707
9.500% due 07/15/98 1,000 1,060
9.270% due 08/13/98 2,000 2,116
8.100% due 11/01/98 2,000 2,053
8.730% due 11/02/98 3,000 3,147
9.910% due 03/01/01 2,500 2,762
10.000% due 03/07/01 4,000 4,434
9.440% due 05/15/01 5,000 5,437
9.125% due 10/24/01 1,000 1,077
Arkla, Inc.
8.780% due 07/19/96 9,500 9,571
8.740% due 07/19/96 5,000 5,037
9.875% due 04/15/97 11,500 11,890
9.200% due 12/18/97 1,000 1,040
Bausch & Lomb
6.480% due 12/17/97 275 277
Coastal Corp.
10.375% due 10/01/00 5,000 5,687
11.750% due 06/15/06 22,500 23,637
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 428
Delta Air Lines
8.250% due 05/15/96 5,000 5,008
7.790% due 12/01/98 4,449 4,546
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 104
First Brands Corp.
9.125% due 04/01/99 3,000 3,083
Ford Motor Co.
9.250% due 07/15/97 14,900 15,494
9.000% due 09/15/01 500 551
</TABLE>
43
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
March 31, 1996
<TABLE>
<CAPTION>
<S> <C>
AA ...................................................................... 2%
A ....................................................................... 8%
BBB ..................................................................... 12%
BB ...................................................................... 7%
A1 ...................................................................... 13%
AAA ..................................................................... 58%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
General Motors Corp.
9.750% due 05/15/99 $ 2,300 $ 2,310
McGaw Inc.
10.375% due 04/01/99 1,000 1,025
Minnesota Mining & Mfg. Co.
6.250% due 03/29/99 200 200
Nabisco, Inc.
8.300% due 04/15/99 2,900 3,036
8.000% due 01/15/00 16,675 17,398
News America Holdings Corp.
12.000% due 12/15/01 4,805 5,273
Pepsico, Inc.
7.000% due 10/14/99 600 604
Pfizer, Inc.
6.500% due 02/01/97 500 504
Philip Morris Co.
8.750% due 12/01/96 8,250 8,408
7.500% due 03/15/97 250 254
Sears Roebuck & Co.
9.360% due 06/12/96 500 503
9.000% due 09/15/96 1,500 1,521
9.250% due 04/15/98 5,750 6,083
Tenneco, Inc.
10.850% due 10/30/98 3,347 3,564
Time Warner, Inc.
7.450% due 02/01/98 810 824
6.210% due 08/15/00 (d) 35,412 35,647
7.975% due 08/15/04 21,247 21,632
8.110% due 08/15/06 42,495 43,728
8.180% due 08/15/07 42,495 43,635
United Air Lines
6.750% due 12/01/97 11,875 11,856
USX Corp.
7.750% due 01/21/98 2,000 2,035
Varity Corp.
11.375% due 11/15/98 4,650 4,788
Waste Management, Inc.
7.875% due 08/15/96 100 101
-------
330,111
=======
Utilities - 6.8%
Alabama Power
7.250% due 08/01/07 100 99
Bell Atlantic Financial
6.000% due 06/01/98 500 499
Cablevision Industries
10.750% due 01/30/02 2,000 2,170
Carolina Power & Light
7.900% due 12/27/96 16,300 16,564
Central Power & Light
6.625% due 01/01/98 100 101
Cleveland Electric Illuminating Co.
9.110% due 07/22/96 500 503
9.100% due 07/22/96 1,500 1,509
9.450% due 12/01/97 11,400 11,700
8.330% due 10/30/98 1,500 1,491
9.375% due 03/01/17 3,000 2,754
CMS Energy
9.500% due 10/01/97 (d) 23,175 23,951
Commonwealth Edison
8.130% due 08/15/96 5,000 5,038
5.750% due 12/01/96 2,000 1,994
8.875% due 05/15/97 7,000 7,186
Consumers Power Co.
8.750% due 02/15/98 5,000 5,172
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,337
Detroit Edison
6.000% due 12/01/96 4,040 4,040
Gulf States Utilities
6.670% due 11/01/96 2,500 2,512
Long Island Lighting Co.
8.750% due 05/01/96 2,000 2,004
7.625% due 04/15/98 3,000 3,044
7.300% due 07/15/99 3,000 2,984
6.250% due 07/15/01 2,275 2,137
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,642
10.300% due 01/02/05 2,940 3,076
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,023
New Orleans Public Service
10.950% due 05/01/97 4,200 4,364
New York State Electric
6.500% due 09/01/98 2,350 2,346
North Atlantic Energy
9.050% due 06/01/02 4,718 4,698
Northern States Power Co.
5.875% due 10/01/97 100 100
Northern Telecom
8.250% due 06/13/96 1,000 1,006
Ohio Edison
8.500% due 05/01/96 4,200 4,208
Pennsylvania Power Co.
9.000% due 12/01/96 5,500 5,592
Public Service Electric & Gas
6.000% due 01/01/98 1,000 995
Texas Gas Transmission Corp.
9.625% due 07/15/97 9,000 9,462
Texas-New Mexico Power
11.250% due 01/15/97 1,938 2,018
Transcontinental Gas Pipeline
9.000% due 11/15/96 4,850 4,944
8.125% due 01/15/97 5,500 5,585
6.210% due 05/15/00 6,309 6,309
Triton Energy
0.000% due 11/01/97 8,500 7,523
Union Electric
5.500% due 03/01/97 500 498
United Illuminating
9.760% due 01/02/06 3,153 3,308
-------
183,486
-------
Total Corporate Bonds and Notes 818,698
(Cost $810,759) =======
=========================================================================
U.S. Government Agencies - 0.2%
=========================================================================
Federal Home Loan Mortgage Corp.
8.250% due 05/27/96 100 100
8.440% due 10/27/04 500 513
Federal National Mortgage Assn.
5.200% due 07/10/98 1,500 1,467
7.300% due 10/28/02 100 100
Small Business Administration
8.250% due 01/25/13 (d) 1,813 1,901
7.500% due 02/25/14 (d) 1,505 1,552
Student Loan Marketing Assn.
7.560% due 12/09/96 100 101
-----
Total U.S. Government Agencies 5,734
(Cost $5,577) =====
=========================================================================
Mortgage-Backed Securities - 77.5%
=========================================================================
Federal Home Loan Mortgage Corporation - 11.0%
5.000% due 05/01/98-08/01/98 (f) 37 36
5.500% due 05/01/98-04/01/07 (f) 480 470
6.300% due 01/01/17-06/01/17 (d) (f) 941 945
6.309% due 09/01/15-01/01/20 (d) (f) 5,197 5,221
6.309% due 11/01/26-06/01/30 (d) (f) 5,222 5,259
6.321% due 02/01/16(d) 210 211
</TABLE>
44
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
6.366% due 01/01/30-12/01/30 (d)(f) $ 5,230 $ 5,272
6.369% due 11/01/14-08/01/19 (d)(f) 3,411 3,429
6.375% due 01/01/20 (d) 378 381
6.377% due 05/01/17 (d) 378 380
6.377% due 10/01/30 (d) 570 574
6.500% due 01/01/02-02/01/05 (f) 166 166
6.500% due 04/11/26 48,000 45,630
7.000% due 01/01/17 (d) 113 115
7.250% due 07/01/07 95 95
7.353% due 02/01/20 (d) 5,899 6,025
7.500% due 09/01/06 254 257
7.500% due 05/13/26 78,000 77,757
7.532% due 01/01/24-08/01/24(d)(f) 8,030 8,231
7.539% due 10/01/23 (d) 6,360 6,541
7.616% due 11/01/23 (d) 4,288 4,413
7.769% due 01/01/24 (d) 7,565 7,793
7.796% due 11/01/22 (d) 5,421 5,567
8.000% due 07/01/06-04/01/07 (f) 476 489
8.000% due 07/02/24-04/11/26 (f) 88,520 90,150
8.132% due 12/01/22 (d) 3,422 3,535
8.250% due 10/01/07-11/01/07 (f) 85 88
8.500% due 07/01/01-05/01/10 (f) 895 930
8.500% due 01/01/12 99 103
8.750% due 02/01/01-04/01/02 (f) 268 278
9.000% due 09/01/98-07/01/04 (f) 295 307
9.000% due 12/15/20 9,472 9,988
9.250% due 07/01/01 20 21
9.500% due 03/01/01-12/01/04 (f) 320 338
9.750% due 03/01/01-11/01/08 (f) 1,944 2,074
10.000% due 04/01/01 19 21
10.500% due 07/01/00-10/01/00 (f) 110 116
10.500% due 10/01/10-02/01/16 (f) 87 96
10.750% due 10/01/00-09/01/09 (f) 152 166
10.750% due 10/01/10-08/01/11 (f) 841 934
11.250% due 10/01/14 14 16
11.500% due 10/01/15 2 3
11.750% due 11/01/10-08/01/15 (f) 33 37
14.000% due 02/01/12-12/01/12 (f) 8 9
-------
294,467
=======
Federal Housing Administration - 0.8%
6.950% due 04/01/14 1,858 1,799
7.421% due 11/01/19 1,127 1,132
7.430% due 10/01/19-12/01/21 (f) 15,112 15,188
9.680% due 02/01/24 2,039 2,100
------
20,219
======
Federal National Mortgage Association - 4.2
6.309% due 03/01/18-01/01/19(d)(f) 425 430
6.314% due 01/01/26 (d) 12,676 12,778
6.347% due 08/01/29 (d) 3,750 3,784
6.355% due 02/01/31 (d) 5,494 5,544
6.366% due 02/01/19 (d) 607 614
6.367% due 01/01/26 (d) 2,234 2,257
6.369% due 04/01/19-03/01/28(d)(f) 2,122 2,143
6.383% due 01/01/26 (d) 6,265 6,332
6.435% due 04/01/18 (d) 9,981 10,042
6.500% due 06/01/08 54 51
7.000% due 12/01/06-09/01/07 (f) 121 118
7.116% due 10/01/24 (d) 20,299 20,994
7.151% due 04/01/24 (d) 10,074 10,363
7.334% due 01/01/24 (d) 11,552 11,902
7.939% due 10/01/23 (d) 8,919 9,207
8.000% due 03/01/04 322 331
8.142% due 07/01/23 (d) 5,750 5,922
8.466% due 05/01/97 (d) 415 427
8.500% due 03/01/08-02/01/17 (f) 770 806
9.000% due 05/01/97-08/01/98 (f) 1,235 1,271
10.000% due 02/01/04-06/01/13 (f) 3,052 3,282
10.000% due 09/01/14-06/01/19 (f) 1,493 1,633
10.500% due 06/01/05-11/01/05 (f) 618 659
11.000% due 10/01/98-09/01/00 (f) 63 67
11.250% due 12/01/10-10/01/15 (f) 398 446
12.000% due 01/01/15-10/01/15 (f) 18 21
12.750% due 02/01/14-11/01/14 (f) 135 156
13.000% due 07/01/15 10 11
13.250% due 09/01/11 33 38
13.500% due 04/01/14 10 11
15.500% due 10/01/12-12/01/12 (f) 98 117
15.750% due 12/01/11 76 89
16.000% due 09/01/12-12/01/12 (f) 39 47
-------
111,893
=======
Government National Mortgage Association - 35.0%
5.500% due 08/20/25 (d) 4,915 4,844
6.500% due 02/20/23-06/20/25 (f) 20,827 21,028
6.875% due 09/20/22 (d) 5,925 6,006
7.000% due 05/20/22-03/20/25 (f) 82,851 83,988
7.000% due 04/18/26 (d) 498,000 485,082
7.250% due 07/20/22-09/20/24 (f) 164,415 166,515
7.375% due 05/20/22-04/20/23 (f) 40,617 41,070
7.500% due 04/18/22-05/20/26 (f) 127,000 126,818
8.000% due 07/15/04-11/15/06 (f) 12 12
9.750% due 07/15/13-02/15/20 (f) 1,699 1,838
10.750% due 10/15/98 45 47
11.750% due 07/15/13-09/15/15 (f) 563 634
12.000% due 06/20/15 38 42
13.500% due 05/15/11-11/15/12 (f) 73 85
13.750% due 06/15/96-10/15/96 (f) 12 12
14.750% due 11/15/96 2 2
16.500% due 12/15/11 1 1
16.750% due 12/15/96-01/15/97 (f) 5 5
16.750% due 12/15/11 12 13
-------
938,042
=======
Collateralized Mortgage Obligations - 19.3%
American Southwest Financial
5.100% due 06/02/99 15,292 14,685
9.200% due 07/01/16 506 507
Bear Stearns
8.200% due 09/25/22 1,825 1,837
8.000% due 05/25/23 638 650
Capstead
7.400% due 04/25/18 10,989 11,028
7.800% due 02/25/22 1,474 1,478
8.300% due 03/25/22 10,710 10,695
7.500% due 02/25/23 3,105 3,114
Chase Mortgage Financial Corp.
10.000% due 11/25/09 1,864 1,957
8.000% due 06/25/24 113 115
7.500% due 10/25/24 100 101
Citicorp Mortgage
9.000% due 10/01/01 123 124
9.000% due 11/01/01 2,326 2,403
8.500% due 06/25/06 2,719 2,735
9.000% due 07/25/06 1,407 1,423
9.350% due 06/01/10 62 63
7.250% due 11/01/11 1,680 1,670
10.000% due 01/25/13 168 173
9.500% due 10/25/15 2,231 2,288
9.500% due 11/01/16 1,683 1,742
CMO Trust
6.188% due 01/20/03 (d) 44 44
9.500% due 06/25/20 948 1,003
Collateralized Mortgage Securities Corp.
7.985% due 05/01/17 16,159 16,319
</TABLE>
45
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=========================================================================
<S> <C> <C>
Columbia Federal
8.051% due 12/01/17 (d) $ 12 $ 12
Conseco Commercial Mortgage
9.700% due 07/15/04 4,257 4,344
Countrywide
7.697% due 11/25/24 (d) 13,665 13,968
6.375% due 01/25/35 (d) 24,172 23,922
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 2,738 3,002
4.566% due 03/25/24 (d) 23,345 22,481
7.614% due 05/25/24 (d) 7,135 7,282
Federal Home Loan Mortgage Corp.
9.000% due 01/15/04 500 516
9.000% due 04/15/04 440 449
9.000% due 12/15/05 1,000 1,028
10.000% due 09/15/09 27 27
12.500% due 09/30/13 2,157 2,408
11.000% due 11/30/15 5,836 6,240
8.000% due 04/15/19 3,026 3,059
8.500% due 06/15/19 5,226 5,244
10.000% due 07/15/19 525 577
8.500% due 09/15/19 1,691 1,705
8.500% due 09/15/19 4,002 4,084
9.000% due 11/15/19 4,221 4,379
7.950% due 02/15/20 5,025 5,111
9.000% due 02/15/20 1,822 1,858
8.250% due 03/15/20 563 574
7.500% due 04/15/20 2,900 2,909
8.000% due 04/15/20 2,500 2,575
10.000% due 05/15/20 350 386
8.950% due 11/15/20 3,695 3,743
7.500% due 12/15/20 2,000 1,995
9.500% due 01/15/21 4,144 4,411
8.000% due 04/15/21 2,960 2,997
9.000% due 05/15/21 400 421
9.000% due 05/15/21 250 264
7.000% due 08/15/21 16,247 16,264
Federal National Mortgage Assn.
8.950% due 05/25/03 187 193
9.000% due 07/25/03 1,347 1,395
9.400% due 07/25/03 295 307
8.500% due 09/25/06 728 741
6.875% due 06/25/09 5,695 5,688
7.000% due 04/25/15 4,128 4,163
7.250% due 07/25/15 5,000 5,036
7.500% due 01/25/16 767 770
5.750% due 04/25/16 6,107 5,939
9.000% due 06/25/17 73 74
8.000% due 01/25/19 313 316
7.500% due 02/25/19 419 420
8.000% due 05/25/19 3,126 3,171
8.750% due 05/25/19 250 259
9.000% due 05/25/19 3,716 3,781
9.300% due 05/25/19 138 142
9.000% due 07/25/19 1,152 1,190
9.000% due 08/25/19 4,862 4,921
9.500% due 03/25/20 5,345 5,311
9.500% due 05/25/20 1,450 1,626
8.000% due 07/25/20 12,577 12,832
8.500% due 01/25/21 308 314
9.000% due 03/25/21 9,551 9,965
9.000% due 04/25/21 300 317
8.000% due 03/25/22 289 291
First Boston Corp.
7.050% due 07/25/23 843 844
General Electric Capital Mortgage
6.350% due 03/25/17 36,701 36,446
Glendale Federal Savings & Loan
7.420% due 03/25/30 (d) 3,739 3,795
Greenwich
7.834% due 11/25/24 (d) 15,038 15,390
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 56 57
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 2,333 2,509
Housing Securities, Inc.
6.750% due 02/25/21 28,161 28,144
Independent National Mortgage Corp.
8.250% due 03/25/25 17,020 17,267
Merrill Lynch Mortgage
10.000% due 11/15/08 154 155
9.400% due 12/27/18 5,000 4,998
9.650% due 05/20/19 14,359 14,440
Norwest Mortgage
12.375% due 01/01/14 380 411
12.500% due 02/01/14 918 979
12.250% due 04/01/14 667 726
Prudential Bache
6.309% due 09/01/18 (d) 79 80
Prudential Home
6.500% due 04/25/00 117 117
7.500% due 09/25/07 878 883
7.000% due 11/25/07 3,556 3,575
7.000% due 06/25/23 3,014 2,894
Prudential Securities
8.000% due 12/25/20 2,000 2,044
Residential Funding
9.250% due 11/01/02 838 859
6.040% due 07/01/19 (d) 1,821 1,710
7.131% due 09/25/19 (d) 470 461
8.250% due 07/25/21 1,455 1,453
9.000% due 12/25/21 407 418
Resolution Trust Corp.
7.037% due 09/25/19 (d) 4,109 4,142
6.269% due 01/25/21 (d) 326 313
6.916% due 07/25/21 (d) 79 81
7.195% due 10/25/21 (d) 1,993 2,001
7.850% due 05/25/22 164 164
10.000% due 05/25/22 396 404
7.250% due 10/25/23 1,115 1,111
9.500% due 05/25/24 682 669
7.000% due 10/25/24 66 66
8.750% due 05/25/26 78 78
6.269% due 09/25/27 (d) 3,520 3,371
9.000% due 09/25/28 432 439
Ryland Acceptance Corp.
8.000% due 03/01/18 2,842 2,778
9.500% due 07/01/18 1,706 1,725
Salomon Mortgage
7.200% due 12/25/17 (d) 3,575 3,582
6.975% due 01/25/18 (d) 163 163
9.558% due 10/25/18 8,077 8,292
5.939% due 03/25/24 (d) 9,498 9,504
Sears Mortgage
7.885% due 08/25/23 (d) 1,809 1,836
8.697% due 05/25/32 (d) 1,183 1,196
Shearson Lehman
9.600% due 03/25/21 1,984 2,033
Structured Asset Sales, Inc.
7.500% due 10/25/25 23,000 23,198
UBS Mortgage
9.000% due 10/18/20 8,457 8,552
Westam Mortgage Financial Corp.
6.500% due 10/02/17 8,986 8,730
-------
518,634
=======
</TABLE>
46
<PAGE>
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=========================================================================
<S> <C> <C>
Other Mortgage-Backed Securities - 4.5%
Dime Savings
7.135% due 11/25/18 (d) $ 4,159 $ 3,726
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 578 589
Fleet Finance, Inc.
5.450% due 03/20/23 74 73
Glendale Federal Savings & Loan
11.000% due 03/01/10 49 52
Great Western Savings & Loan
6.380% due 02/25/18 (d) 669 657
Guardian
6.824% due 07/25/18 (d) 100 89
7.749% due 05/25/19 (d) 1,109 932
6.869% due 12/25/19 (d) 2,350 1,551
6.957% due 12/25/19 (d) 473 336
6.857% due 02/25/20 (d) 2,354 1,412
6.836% due 07/25/20 (d) 2,155 1,379
Home Savings of America
6.026% due 05/25/27 (d) 2,945 2,878
6.079% due 09/25/28 (d) 1,972 1,923
Imperial Savings & Loan
9.800% due 07/25/17 100 100
9.900% due 02/25/18 795 839
Kearny St. Real Estate Co.
6.600% due 10/15/02 3,752 3,749
7.300% due 10/15/03 2,000 2,000
9.400% due 10/15/05 1,000 999
MDC Mortgage Funding
7.739% due 01/25/25 (d) 18,419 18,810
Residential Asset Securitization Trust
7.050% due 05/01/26 16,365 16,355
Residential Funding
8.500% due 04/01/02 53 54
Resolution Trust Corp.
7.574% due 05/25/19 (d) 12,768 12,429
7.400% due 08/25/19 (d) 7,951 7,889
8.625% due 10/25/21 1,306 1,310
6.900% due 02/25/27 9,810 8,608
6.307% due 10/25/28 (d) 4,368 4,447
7.482% due 05/25/29 (d) 4,436 4,419
10.374% due 08/25/21 (d) 1,635 1,714
Ryland Acceptance Corp.
8.900% due 12/01/08 20 20
7.691% due 11/28/22 (d) 10,068 10,216
Salomon Mortgage
12.000% due 05/01/15 987 975
11.500% due 09/01/15 1,349 1,473
8.230% due 12/25/17 (d) 763 749
Sears Mortgage
12.000% due 02/25/14 219 240
7.588% due 10/25/22 (d) 7,345 7,446
Security Pacific
7.850% due 05/15/98 17 17
Western Federal Savings & Loan
6.749% due 06/25/18 (d) 99 98
6.929% due 11/25/18 (d) 419 417
10.069% due 02/01/20 (d) 114 119
-------
121,089
=======
Stripped Mortgage-Backed Securities - 2.7%
Federal Home Loan Mortgage Corp.(IO)
7.000% due 07/15/04 7,494 449
6.250% due 09/15/04 17,598 1,150
6.000% due 02/15/06 21,116 1,565
9.982% due 07/15/06 15,302 2,443
10.195% due 08/15/06 4,903 747
11.944% due 12/15/06 6,933 1,453
6.000% due 10/15/07 6,684 641
6.000% due 02/15/08 16,461 1,748
7.000% due 07/15/12 8,284 454
6.500% due 08/25/13 19,918 1,519
7.000% due 08/15/18 7,321 2,083
7.500% due 12/15/18 13,836 1,592
6.500% due 05/15/19 27,910 3,420
6.500% due 06/15/19 30,100 3,181
10.496% due 04/15/21 9,818 1,666
6.500% due 04/15/22 16,505 2,137
7.000% due 05/15/23 1,484 224
4.000% due 01/15/24 20,919 6,164
Federal National Mortgage Assn.(IO)
6.000% due 07/25/05 7,116 679
7.272% due 09/25/06 6,500 1,495
6.000% due 02/25/08 19,131 2,114
6.500% due 03/25/09 6,630 971
0.100% due 03/25/09 (d) 53,415 1,180
6.500% due 03/25/09 7,705 1,797
6.500% due 02/25/13 13,609 897
8.815% due 06/25/16 19,798 2,473
7.000% due 07/25/17 4,293 469
9.987% due 12/25/18 6,914 693
7.500% due 03/25/19 14,060 1,986
6.500% due 04/25/20 57,594 6,544
7.000% due 05/25/21 27,983 3,632
8.598% due 02/25/22 5,000 1,402
6.500% due 03/25/23 12,991 2,017
4.875% due 03/25/24 (d) 18,673 1,306
Federal National Mortgage Assn. (PO)
0.000% due 01/25/20 5,771 5,617
0.000% due 07/25/22 4,510 3,497
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,575 1,429
0.000% due 09/25/22 129 104
---------
72,938
---------
Total Mortgage-Backed Securities 2,077,282
(Cost $2,096,190) =========
=========================================================================
Asset-Backed Securities - 0.2%
=========================================================================
Premier Auto Trust
7.350% due 05/04/97 4,615 4,627
Prudential Home (IO)
0.300% due 04/25/09 (d) 116,052 1,040
SCFC Boat Loan Trust
7.050% due 04/15/07 106 106
-----
Total Asset-Backed Securities 5,773
(Cost $5,761) =====
=========================================================================
Sovereign Issues - 3.8%
=========================================================================
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 1,500 1,512
6.875% due 10/01/98 10,000 9,313
Cemex
10.000% due 11/15/96 4,400 4,448
8.875% due 06/10/98 2,000 1,953
Nacional Financiera
6.000% due 12/19/96 13,500 13,230
7.969% due 12/15/97 (d) 535 519
5.875% due 02/17/98 2,000 1,899
6.250% due 12/03/98 (d) 1,500 1,380
Petroleos Mexicanos
8.750% due 03/05/97 1,000 1,003
8.250% due 02/04/98 5,000 4,975
Province of Quebec
5.875% due 10/26/01 (d) 250 245
Republic of Argentina
5.273% due 05/31/96 (d) 400 401
</TABLE>
47
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Low Duration Fund
March 31, 1996
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
United Mexican States
5.820% due 06/28/01 $ 10,000 $ 7,960
6.547% due 12/31/19 (d) 30,000 22,613
6.609% due 12/31/19 (d) 10,000 7,538
6.766% due 12/31/19 (d) 30,000 22,613
-------
Total Sovereign Issues 101,602
(Cost $110,354) =======
=========================================================================
Foreign Currency-Denominated Issues (c)(e) - 0.1%
=========================================================================
Banco National de Comercio Exterior
8.000% due 05/06/98 DM 3,500 2,402
-----
Total Foreign Currency-Denominated Issues 2,402
(Cost $2,072) =====
=========================================================================
Preferred Stock - 1.0%
=========================================================================
Shares
Gulf States Utility 1,000 24,938
Santander Overseas 75,000 1,997
------
Total Preferred Stock 26,935
(Cost $26,398) ======
=========================================================================
Short-Term Instruments - 16.5%
=========================================================================
Principal
Amount
(000's)
Discount Notes - 16.2%
AT&T Corp.
5.370% due 04/01/96 $ 9,500 9,500
5.200% due 04/02/96 14,300 14,298
5.180% due 04/09/96 10,400 10,388
Ameritech
5.200% due 04/03/96 3,405 3,404
BellSouth Telecommunications
5.250% due 05/10/96 6,500 6,463
Coca-Cola Co.
5.160% due 04/03/96 4,500 4,499
Commonwealth Bank
5.200% due 04/02/96 14,500 14,498
5.240% due 04/29/96 51,200 50,991
Commonwealth of Canada
5.210% due 05/22/96 1,800 1,787
E.I. Du Pont de Nemours
5.300% due 04/18/96 25,600 25,536
Emerson Electric Co.
5.220% due 04/02/96 3,000 3,000
Federal Home Loan Bank
5.200% due 06/19/96 1,500 1,482
Federal Home Loan Mortgage Corp.
5.150% due 04/11/96 25,000 24,964
5.270% due 04/22/96 6,500 6,480
Federal National Mortgage Assn.
5.120% due 04/15/96 32,700 32,635
5.280% due 04/19/96 49,000 48,871
Ford Motor Credit Co.
5.250% due 05/10/96 6,100 6,065
5.370% due 04/01/96 12,000 12,000
5.280% due 05/28/96 12,900 12,783
5.250% due 06/26/96 4,000 3,947
General Electric Capital Corp.
5.320% due 04/23/96 3,000 2,990
5.260% due 04/25/96 1,000 996
Hewlett-Packard Co.
5.220% due 06/14/96 19,000 18,781
5.220% due 06/14/96 1,100 1,087
Eli Lilly & Co.
5.240% due 06/17/96 1,000 988
Minnesota Mining & Mfg. Co.
5.220% due 04/19/96 29,800 29,722
5.220% due 04/24/96 6,200 6,179
5.250% due 05/23/96 2,000 1,985
Motorola
5.280% due 05/06/96 23,000 22,882
National Rural Utilities Cooperative
5.300% due 05/20/96 1,100 1,092
Shell Oil Co.
5.330% due 04/11/96 28,000 27,959
Toys `R' Us, Inc.
5.200% due 04/02/96 700 700
5.320% due 05/01/96 6,000 5,973
United Parcel Service
5.430% due 04/04/96 18,000 17,992
----------
432,917
==========
Repurchase Agreements - 0.3%
Daiwa Securities
5.200% due 04/01/96 4,000 4,000
(Dated 03/29/96. Collateralized by
U.S. Treasury Bill 09/19/96
valued at $4,098,645. Repurchase
proceeds are $4,001,733.)
State Street Bank
4.750% due 04/01/96 2,979 2,979
(Dated 03/29/96. Collateralized by
U.S. Treasury Bond 8.750% 05/15/17
valued at $3,040,630. Repurchase ----------
proceeds are $2,980,179.) 6,979
==========
U.S. Treasury Bills (b)-0.0%
4.813% due 05/09/96-08/29/96 665 659
----------
Total Short-Term Instruments 440,555
(Cost $440,585) ==========
Total Investments (a) - 129.8% $3,478,981
(Cost $3,497,696)
Other Assets and Liabilities (Net) - (29.8%) (798,871)
----------
Net Assets - 100.0% $2,680,110
==========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 21,096
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (38,136)
----------
Unrealized depreciation-net $ (17,040)
==========
48
<PAGE>
=========================================================================
(b) Securities with an aggregate market value of $659 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (06/96) 358 $ (17)
U.S. Treasury 30 Year Bond (06/96) 47 38
-----
$ 21
=====
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Expiration Appreciation/
Type Contract Month (Depreciation)
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Sell C$ 5,061 05/96 $(28)
Sell DM 3,544 05/96 43
-----
$ 15
=====
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1996.
(e) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DM - German Mark
(f) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
49
<PAGE>
SCHEDULE OF INVESTMENTS
Low Duration Fund II
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
Corporate Bonds and Notes ........................................... 9.3%
U.S. Government Agency .............................................. 0.2%
Short-Term Instruments .............................................. 29.8%
Mortage-Backed Securities ........................................... 99.0%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amounts Value
(000's) (000's)
=========================================================================
Corporate Bonds and Notes - 9.3%
=========================================================================
<S> <C> <C>
Banking and Finance - 8.1%
AT&T Capital Corp.
6.990% due 10/04/96 $ 5,000 $ 5,036
Chrysler Financial Corp.
8.220% due 12/27/96 2,000 2,036
Ford Motor Credit Corp.
8.000% due 12/01/96 5,000 5,069
Golden West Financial Corp.
8.625% due 08/30/98 3,000 3,153
Household Financial Corp.
7.800% due 11/01/96 3,200 3,235
Salomon, Inc.
8.550% due 02/17/97 1,900 1,934
------------
20,463
============
Industrials - 1.2%
General Motors Corp.
9.750% due 05/15/99 3,000 3,013
------------
Total Corporate Bonds and Notes 23,476
(Cost $23,240) ============
================================================================================
U.S. Government Agency - 0.2%
================================================================================
Government Trust Certificate - Israel
9.250% due 11/15/96 513 518
------------
Total U.S. Government Agency 518
(Cost $521) ============
================================================================================
Mortgage-Backed Securities - 99.0%
================================================================================
Federal Home Loan Mortgage Corporation - 23.7%
7.500% due 05/13/26 20,000 19,938
8.000% due 07/01/24-04/11/26 (d) 35,000 35,638
8.013% due 07/01/23 (c) 3,830 3,953
10.500% due 09/01/15-12/01/18 (d) 362 395
------------
59,924
============
Federal National Mortgage Association - 9.7%
6.283% due 04/23/26 (c) 15,000 15,117
7.339% due 01/01/24 (c) 4,111 4,236
7.605% due 02/01/25 (c) 2,815 2,899
8.500% due 02/01/98-06/01/98 (d) 83 85
9.000% due 06/01/98 171 175
10.500% due 05/01/12 (d) 1,881 2,073
------------
24,585
============
Government National Mortgage Association - 29.6%
7.000% due 04/20/2022-04/18/26(c)(d) 37,117 36,431
7.250% due 07/20/23 (c) 17,961 18,195
7.375% due 06/20/22 (c) 6,822 6,927
7.500% due 04/18/22-03/15/24 (d) 11,471 11,462
9.000% due 07/20/16-12/20/17 (d) 1,720 1,825
------------
74,840
============
Collateralized Mortgage Obligations - 29.4%
American Housing
9.125% due 05/25/14 231 232
American Southwest Financial
7.500% due 10/01/18 1,000 995
Capstead
7.500% due 02/25/23 3,000 3,009
Citicorp Mortgage
9.500% due 09/25/02 1,992 2,047
9.500% due 10/25/15 1,674 1,716
CMC Securities Corp.
7.430% due 04/25/25 (c) 9,086 9,223
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 5,068 5,187
11.875% due 04/01/15 393 425
Donaldson, Lufkin & Jenrette
7.620% due 03/25/23 (c) 1,653 1,663
7.614% due 05/25/24 (c) 3,602 3,676
Federal Home Loan Mortgage Corp.
8.500% due 05/15/04 2,000 2,036
12.900% due 05/01/14 542 567
8.600% due 06/15/19 2,720 2,764
Federal National Mortgage Assn.
9.250% due 10/25/18 243 253
7.000% due 08/25/22 1,000 1,001
General Electric Capital Corp.
7.500% due 11/25/18 101 101
Kidder Peabody
7.150% due 04/25/25 2,694 2,625
Lomas & Nettleton
12.000% due 03/17/14 230 240
Merrill Lynch Mortgage
9.100% due 04/20/00 687 686
Prudential Home
7.000% due 07/25/23 1,829 1,823
7.500% due 06/25/25 10,000 10,038
Residential Asset Securitization Trust
9.000% due 05/01/26 10,169 10,369
Residential Funding
7.500% due 10/25/22 2,097 2,021
Resolution Trust Corp.
7.195% due 10/25/21 (c) 498 500
Ryland Acceptance Corp.
14.000% due 11/25/31 259 287
Salomon Mortgage
7.574% due 11/25/22 (c) 4,397 4,428
Saxon Mortgage
7.874% due 09/25/22 (c) 3,771 3,817
Sears Mortgage
8.697% due 05/25/32 (c) 1,657 1,674
UBS Mortgage
8.000% due 07/25/20 1,156 1,166
------------
74,569
============
Other Mortgage-Backed Securities - 6.6%
Guardian
8.052% due 07/25/19 (c) 236 194
7.229% due 10/25/19 (c) 782 555
6.836% due 07/25/20 (c) 1,437 920
Resolution Trust Corp.
7.574% due 05/25/19 (c) 2,776 2,702
8.625% due 10/25/21 784 786
7.902% due 10/25/28 (c) 7,162 7,283
Salomon Mortgage
12.125% due 04/01/16 149 153
Sears Mortgage
6.500% due 03/25/17 508 470
7.588% due 10/25/22 (c) 3,672 3,723
------------
16,786
------------
Total Mortgage-Backed Securities 250,704
(Cost $252,679) ============
=========================================================================
Short-Term Instruments - 29.8%
=========================================================================
Banker's Acceptance - 1.6%
Republic National Bank of New York
5.100% due 04/29/96 4,000 3,984
------------
Discount Notes - 27.3%
Ameritech Corp.
5.230% due 06/25/96 4,000 3,947
</TABLE>
50
<PAGE>
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
AA ...................................................................... 2%
A ....................................................................... 7%
BBB ..................................................................... 1%
A1 ...................................................................... 21%
AAA ..................................................................... 69%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
<S> <C> <C>
Amoco Credit Corp.
5.180% due 04/08/96 $ 1,900 $ 1,898
5.190% due 04/19/96 2,100 2,095
AT&T Corp.
5.180% due 04/09/96 1,200 1,199
5.450% due 04/19/96 100 100
5.290% due 05/02/96 1,000 995
Emerson Electric Co.
5.250% due 04/12/96 10,500 10,483
Federal Home Loan Bank
5.190% due 04/25/96 1,000 997
5.310% due 04/29/96 1,000 996
5.200% due 06/19/96 5,600 5,531
Ford Motor Credit Corp.
5.250% due 05/10/96 1,700 1,690
5.260% due 07/05/96 12,000 11,823
General Electric Capital Corp.
5.260% due 04/25/96 1,700 1,694
Hewlett-Packard Co.
5.230% due 06/20/96 5,500 5,432
Motorola, Inc.
5.170% due 04/02/96 4,300 4,299
National Rural Utilities Cooperative
5.330% due 05/24/96 1,000 992
5.300% due 06/07/96 1,000 989
Shell Oil Co.
5.330% due 04/11/96 2,500 2,496
U.S. West Communications
5.150% due 04/10/96 5,200 5,193
United Parcel Service
5.430% due 04/04/96 5,200 5,198
Warner Lambert
5.540% due 04/09/96 1,200 1,199
------------
69,246
============
Repurchase Agreement - 0.7%
State Street Bank
4.750% due 04/01/96 1,883 1,883
(Dated 03/29/96. Collateralized by ------------
U.S. Treasury Bond 8.750% 05/15/17
valued at $1,925,939. Repurchase
proceeds are $1,883,745.)
U.S. Treasury Bills - 0.2%
4.81% due 05/09/96-08/29/96(b)(d) 425 421
------------
Total Short-Term Instruments 75,534
(Cost $75,559) ============
Total Investments (a) - 138.3% $ 350,232
(Cost $351,999)
Other Assets and Liabilities (Net) - (38.3%) (96,933)
------------
Net Assets - 100% $ 253,299
============
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 1,124
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (3,167)
------------
Unrealized depreciation-net $ (2,043)
============
</TABLE>
(b) Securities with an aggregate market value of $421 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (6/96) 100 $(218)
U.S. Treasury 10 Year Note (6/96) 228 10
-----
$(208)
=====
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1996.
(d) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
51
<PAGE>
SCHEDULE OF INVESTMENTS
Short-Term Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
Short-Term Instruments............................................... 17.3%
Mortgage-Backed Securities .......................................... 52.5%
Corporate Bonds and Notes ........................................... 31.1%
Soveriegn Issues .................................................... 4.3%
Foreign Currency-Denominated ........................................ 5.6%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Corporate Bonds and Notes - 31.1%
<S> <C> <C>
Banking and Finance - 19.5%
Capital One Bank
5.977% due 07/11/96 (c) $ $2,200 $ 2,200
5.905% due 07/30/96 (c) 1,000 1,001
Caterpillar Financial
5.200% due 04/01/99 (c) 2000 1,983
Ford Motor Credit Corp.
4.980% due 11/09/98 (c) 2,600 2,614
5.580% due 03/23/99 (c) 1,000 992
4.830% due 04/05/99 (c) 1,500 1,522
General Motors Acceptance Corp.
8.800% due 04/04/96 1,500 1,501
8.800% due 07/08/96 1,300 1,311
5.250% due 12/09/96 2,000 1,994
Kansallis-Osake
7.530% due 09/30/43 (c) 1,000 1,030
Lehman Brothers
4.800% due 09/01/99 (c) 3,000 2,972
Salomon, Inc.
6.175% due 10/21/96 (c) 500 500
5.870% due 11/21/96 (c) 1,000 1,000
------------
20,620
============
Industrials - 9.4%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,026
COFIRI International, Inc.
5.800% due 10/27/00 (c) 2,000 1,983
Delta Air Lines
9.875% due 01/01/98 1,000 1,048
First Brands Corp.
9.125% due 04/01/99 1,000 1,027
G-I Holdings, Inc.
0.000% due 10/01/98 1,000 800
Nafin Finance Trust
7.919% due 03/31/99 (c) 401 385
Sears Roebuck & Co.
4.947% due 03/10/99 (c) 3,000 2,968
Time Warner, Inc.
6.210% due 08/15/00 (c) 697 702
------------
9,939
============
Utilities - 2.2%
CMS Energy
9.500% due 10/01/97 1,000 1,033
Triton Energy
0.000% due 11/01/97 (d) 1,500 1,328
------------
2,361
------------
Total Corporate Bonds and Notes 32,920
(Cost $32,656) ============
=========================================================================
Mortgage-Backed Securities - 52.5%
=========================================================================
Federal Home Loan Mortgage Corporation - 3.9%
8.000% due 04/11/26 4,000 4,071
------------
Federal National Mortgage Association - 5.5%
1.000% due 06/25/23 1,277 1,189
6.750% due 06/25/21 3,100 2,962
7.030% due 09/01/23 (c) 1,662 1,663
------------
5,814
============
Government National Mortgage Association - 18.9%
5.000% due 02/20/26 (c) 3,060 2,970
5.000% due 05/22/26 6,000 5,812
6.000% due 08/20/25 (c) 2,935 2,927
7.250% due 07/20/24 (c) 4,827 4,893
7.250% due 09/20/24 (c) 3,394 3,440
------------
20,042
============
Collateralized Mortgage Obligations - 14.9%
Donaldson, Lufkin & Jenrette
7.550% due 10/17/20 (c) 2,051 2,072
7.814% due 09/01/21 (c) 132 133
7.273% due 06/25/22 (c) 792 796
7.675% due 02/25/23 (c) 734 742
7.664% due 05/25/23 (c) 1,064 1,076
7.847% due 12/25/23 (c) 418 420
General Electric Capital Mortgage
6.500% due 12/25/23 854 851
Greenwich
7.720% due 04/25/22 (c) 361 364
7.158% due 10/25/22 (c) 322 324
Housing Securities, Inc.
6.750% due 05/25/20 445 444
JP Morgan Acceptance Corp.
9.000% due 10/20/07 291 292
Manufacturers Hanover Corp.
5.807% due 12/16/25 (c) 2,778 2,777
Prudential Bache
6.309% due 09/01/18 (c) 79 80
Prudential Home
7.625% due 08/25/22 31 31
6.750% due 01/25/24 2,740 2,719
Resolution Trust Corp.
8.832% due 12/25/20 (c) 972 987
6.916% due 07/25/21 (c) 40 40
7.113% due 06/25/24 (c) 889 896
Ryland Acceptance Corp.
7.102% due 08/25/21 (c) 699 701
------------
15,745
============
Other Mortgage-Backed Securities - 4.3%
Dime Savings
7.135% due 11/25/18 (c) 648 581
Guardian
6.869% due 12/25/19 (c) 439 290
6.850% due 02/25/20 (c) 705 374
6.857% due 02/25/20 (c) 651 391
Resolution Trust Corp.
6.050% due 04/25/21 (c) 35 35
8.625% due 10/25/21 1,000 1,009
6.998% due 05/25/29 (c) 1,434 1,450
Ryland Acceptance Corp.
7.034% due 10/25/18 (c) 92 92
7.285% due 12/25/21 (c) 359 361
------------
4,583
============
Stripped Mortgage-Backed Securities - 5.0%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08 2,344 20
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 7,000 417
7.000% due 07/25/06 7,561 860
6.500% due 12/25/06 9,045 1,201
7.000% due 05/25/13 5,033 349
6.500% due 06/25/17 8,984 1,020
6.500% due 10/25/23 4,308 786
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 715 679
------------
5,332
------------
Total Mortgage-Backed Securities 55,587
(Cost $56,575) ============
</TABLE>
52
<PAGE>
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
AAA ..................................................................... 46%
AA ...................................................................... 3%
A ....................................................................... 19%
BBB ..................................................................... 10%
A1 ...................................................................... 14%
BB ...................................................................... 7%
B ....................................................................... 1%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Sovereign Issues - 4.3%
=========================================================================
<S> <C> <C>
Cemex
10.000% due 11/15/96 $ 1,000 $ 1,011
Government of Malaysia
6.000% due 10/19/05 (c) 1,250 1,250
Republic of Argentina
6.313% due 03/31/05 (c) 1,980 1,426
United Mexican States
11.188% due 07/21/97 (c) 800 829
------------
Total Sovereign Issues 4,516
(Cost $4,531) ============
=========================================================================
Foreign Currency-Denominated Issues (b)(e) - 5.6%
=========================================================================
Irish Gilt
8.750% due 07/27/97 IP 750 1,226
Kingdom of Denmark
7.000% due 02/15/98 DK 12,000 2,187
Kingdom of Netherlands
6.250% due 07/15/98 DG 3,900 2,464
------------
Total Foreign Currency-Denominated Issues 5,877
============
(Cost $5,842)
=========================================================================
Short-Term Instruments - 17.3%
=========================================================================
Certificate of Deposit - 1.9%
Advanta National Bank
6.050% due 08/07/96 $ 2,000 2,007
------------
Discount Notes - 14.5%
AT&T Corp.
5.450% due 04/19/96 800 798
Coca-Cola Co.
5.280% due 04/09/96 4,500 4,495
Commonwealth Bank of Australia
5.150% due 04/22/96 2,300 2,293
5.240% due 04/29/96 500 498
General Electric Capital Corp.
5.340% due 04/23/96 700 698
5.260% due 04/25/96 1,500 1,495
Wal-Mart Stores
5.280% due 04/11/96 4,500 4,493
Warner Lambert
5.540% due 04/09/96 600 599
------------
15,369
============
Repurchase Agreement - 0.9%
State Street Bank
4.750% due 04/01/96 953 953
(Dated 3/29/96. Collateralized by ------------
U.S. Treasury Bond 8.750% 05/15/17
valued at $972,259. Repurchase
proceeds are $953,377.)
U. S. Treasury Bills - 0.0%
4.790% due 05/09/96 10 10
------------
Total Short-Term Instruments 18,339
(Cost $18,331) ============
Total Investments (a) - 110.8% $ 117,239
(Cost $117,935)
Other Assets and Liabilities (Net) - (10.8%) (11,443)
------------
Net Assets - 100.0% $ 105,796
============
</TABLE>
=========================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 777
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,222)
------------
Unrealized depreciation-net $ (445)
============
(b) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type By Contract Month Depreciation
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell BP 27 04/96 $ 0
Sell DG 4,238 12/96 (4)
-----
$ (4)
=====
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1996.
(d) Security becomes interest bearing at a future date.
(e) Principal amount denoted in indicated currency
BP - British Pound
DG - Dutch Guilder
DK - Danish Krone
IP - Irish Punt
See Notes to Financial Statements
53
<PAGE>
SCHEDULE OF INVESTMENTS
Long-Term U.S. Government Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
U.S. Treasury Bond ......................................... 43.3%
Short-Term Instruments ..................................... 1.2%
Mortgage-Backed Securities ................................. 85.9%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
U.S. Treasury Bond - 43.3%
=========================================================================
<S> <C> <C>
6.250% due 08/15/23 $ 15,200 $ 14,065
------------
Total U.S. Treasury Bond 14,065
(Cost $14,118) ============
=========================================================================
Mortgage-Backed Securities - 85.9%
=========================================================================
Federal Home Loan Mortgage Corporation - 1.9%
7.771% due 05/01/22 (b) 335 345
8.213% due 06/01/22 (b) 263 270
------------
615
============
Federal Housing Administration - 5.4%
7.421% due 11/01/19 256 257
7.430% due 12/28/17 1,497 1,510
------------
1,767
============
Federal National Mortgage Association - 5.7%
6.749% due 05/01/25 (b) 1,137 1,166
7.242% due 10/01/24 (b) 653 673
------------
1,839
============
Government National Mortgage Association - 8.7%
5.500% due 02/20/24 (b) 449 442
7.000% due 06/20/23 (b) 786 795
7.000% due 11/20/24 (b) 843 857
7.250% due 07/20/23 (b) 718 728
------------
2,822
============
Collateralized Mortgage Obligations - 50.9%
Bear Stearns
7.100% due 06/25/24 385 363
California Federal Bank
6.829% due 08/25/30 (b) 1,855 1,847
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 184 191
8.000% due 03/15/05 148 149
6.500% due 07/15/21 161 148
Federal National Mortgage Assn.
8.000% due 01/25/19 313 316
7.000% due 02/25/20 635 592
8.750% due 08/25/20 498 514
7.000% due 09/25/21 1,702 1,566
8.000% due 11/25/21 1,394 1,402
8.000% due 03/25/22 72 73
7.000% due 06/25/22 309 258
7.500% due 07/25/22 1,315 1,270
7.800% due 10/25/22 652 649
7.000% due 05/25/23 196 164
6.000% due 08/25/23 856 759
General Electric Capital Mortgage
7.500% due 03/25/19 222 223
Independent National Mortgage Corp.
8.515% due 01/25/25 (b) 719 741
Prudential Home
6.500% due 01/25/24 1,000 843
Residential Funding
7.705% due 03/25/25 (b) 707 718
Resolution Trust Corp.
6.575% due 06/25/23 (b) 537 542
Student Loan Marketing Assn.
5.595% due 04/25/04 (b) 1,880 1,880
Vendee Mortgage
6.500% due 06/15/24 1,680 1,339
------------
16,547
============
Other Mortgage-Backed Securities - 9.2%
Residential Funding
8.500% due 04/01/02 $ 40 $ 40
Resolution Trust Corp.
6.998% due 05/25/29 (b) 1,912 1,933
Ryland Acceptance Corp.
7.691% due 11/28/22 (b) 1,000 1,015
------------
2,988
============
Stripped Mortgage-Backed Securities - 4.1%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 2,248 135
6.500% due 08/15/06 604 64
6.500% due 10/15/06 991 107
6.500% due 11/15/06 1,201 126
6.000% due 10/15/07 1,250 118
2.675% due 12/15/08 (b) 3,645 202
7.000% due 02/15/26 1,427 109
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 720 74
6.500% due 08/25/20 1,000 171
6.500% due 09/25/21 1,557 237
------------
1,343
------------
Total Mortgage-Backed Securities 27,921
(Cost $27,509) ============
=========================================================================
Purchased CME Put Options - 0.0%
=========================================================================
Eurodollar June Futures
Strike @ 91.00 Exp. 6/18/96 5,000 0
------------
Total Purchased CME Put Options 0
(Cost $0) ============
=========================================================================
Short-Term Instruments - 1.2%
=========================================================================
Repurchase Agreement - 0.6%
State Street Bank
4.750% due 04/01/96 219 219
(Dated 3/29/96. Collateralized by ------------
U.S. Treasury Note 8.750% 5/15/17
valued at $229,131. Repurchase
proceeds are $219,087.)
U.S. Treasury Bills - 0.6%
4.863% due 05/23/96-08/29/96 (c)(e) 200 197
------------
Total Short-Term Instruments 416
(Cost $415) ============
Total Investments (a) - 130.4% $ 42,402
(Cost $42,042)
Written Options (d) - 0.0% 0
(Premiums $4)
Other Assets and Liabilities (Net) - (30.4%) (9,891)
------------
Net Assets - 100.0% $ 32,511
============
</TABLE>
54
<PAGE>
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<CAPTION>
<S> <C>
AA ...................................................................... 6%
AAA ..................................................................... 94%
</TABLE>
=========================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 565
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,309)
------------
Unrealized depreciation-net $ (744)
============
(b) Variable rate security. The rate listed is as of March 31, 1996.
(c) Securities with an aggregate market value of $197 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
U. S. Treasury 30 Year Bond (6/96) 54 $ (218)
</TABLE>
(d) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 94.00 Exp. 6/18/96 $6,000 $ 4 $ 0
</TABLE>
(e) Securities are grouped by coupon rate and represent a range of maturities
See Notes to Financial Statements
55
<PAGE>
SCHEDULE OF INVESTMENTS
Foreign Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
Canada ..................................................... 15.9%
Denmark .................................................... 6.9%
Finland .................................................... 11.6%
Germany .................................................... 11.8%
Japan ...................................................... 23.6%
Mexico ..................................................... 11.2%
Netherlands ................................................ 14.4%
Spain ...................................................... 9.5%
Sweden ..................................................... 8.7%
United Kingdom ............................................. 16.7%
United States .............................................. 42.8%
Short-Term Instruments ..................................... 7.1%
Other ...................................................... 37.2%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Argentina (c) (f) - 8.1%
=========================================================================
<S> <C> <C> <C>
Republic of Argentina
7.458% due 04/26/96 $ 10,000 $ 9,955
8.000% due 08/09/97 DG 1,300 804
6.313% due 03/31/05(d) AP 14,157 10,193
-----------
Total Argentina 20,952
===========
(Cost $20,140)
=========================================================================
Belgium (c) (f) - 5.3%
=========================================================================
Kingdom of Belgium
9.000% due 03/28/03 BF 244,700 9,285
5.100% due 11/21/04(d) 134,200 4,496
-----------
Total Belgium 13,781
(Cost $13,832) ===========
=========================================================================
Canada (c) (f) - 15.9%
=========================================================================
Commonwealth of Canada
7.500% due 03/01/01 C$ 10,200 7,642
9.000% due 12/01/04 36,610 29,284
Hydro-Quebec
6.000% due 09/30/49(d) $ 4,000 3,468
Sears Canada
11.700% due 07/10/00 C$ 1,000 829
-----------
Total Canada 41,223
(Cost $41,165) ===========
=========================================================================
Denmark (c) (f) - 6.9%
=========================================================================
Kingdom of Denmark
8.000% due 05/15/03 DK 63,110 11,684
8.000% due 03/15/06 34,800 6,302
-----------
Total Denmark 17,986
(Cost $18,001) ===========
=========================================================================
Finland (c) (f) - 11.6%
=========================================================================
Merita
6.175% due 09/11/03(d) $ 5,000 4,972
Republic of Finland
10.000% due 09/15/01 FM 51,000 12,613
9.500% due 03/15/04 52,000 12,405
-----------
Total Finland 29,990
(Cost $30,279) ===========
=========================================================================
France (c) (f) - 3.8%
=========================================================================
Republic of France
7.750% due 10/25/05 FF 46,080 9,894
-----------
Total France 9,894
(Cost $9,786) ===========
=========================================================================
Germany (c) (f) - 11.8%
=========================================================================
German Unity Fund
8.750% due 07/20/00 DM 4,500 3,448
Republic of Germany
6.875% due 06/11/03 15,700 11,058
6.250% due 01/04/24 26,560 15,947
-----------
Total Germany 30,453
(Cost $30,210) ===========
=========================================================================
Ireland (c) (f) - 1.8%
=========================================================================
Irish Gilt
6.250% due 04/01/99 IP 3,000 4,649
-----------
Total Ireland 4,649
(Cost $4,690) ===========
=========================================================================
Italy (c) (f) - 4.6%
=========================================================================
Republic of Italy
9.188% due 09/01/05 IL 18,685,000 11,832
-----------
Total Italy 11,832
(Cost $11,945) ===========
=========================================================================
Japan (c) (f) - 23.6%
=========================================================================
Government of Japan
4.600% due 06/22/98 JY 6,071,000 60,962
-----------
Total Japan 60,962
(Cost $61,400) ===========
=========================================================================
Mexico (f) - 11.2%
=========================================================================
Bancomer
8.000% due 07/07/98 $ 2,000 1,913
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 8,922
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 850 857
Nacional Financiera
6.000% due 12/19/96 1,000 980
7.969% due 12/15/97(d) 374 363
Petroleos Mexicanos
7.750% due 09/30/98 FF 44,000 8,552
Republic of Mexico
0.000% due 05/16/96 MP 23,000 2,895
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 1,000 919
United Mexican States
5.820% due 06/28/01 4,500 3,582
-----------
Total Mexico 28,983
(Cost $27,223) ===========
=========================================================================
Netherlands (c) (f) - 14.4%
=========================================================================
Baden-Wuerttemberg L-Finance N.V.
6.625% due 08/20/03 DM 9,100 6,270
Kingdom of Netherlands
9.000% due 05/15/00 DG 30,700 21,200
8.250% due 02/15/07 8,800 6,010
Landesbank Reinland-Pfalz
7.250% due 04/20/05 DM 5,500 3,855
-----------
Total Netherlands 37,335
(Cost $37,848) ===========
=========================================================================
New Zealand (c) (f) - 6.4%
=========================================================================
Commonwealth of New Zealand
10.000% due 07/15/97 N$ 3,900 2,703
8.000% due 07/15/98 4,100 2,769
6.500% due 02/15/00 9,500 6,079
10.000% due 03/15/02 6,700 4,936
-----------
Total New Zealand 16,487
(Cost $16,655) ===========
</TABLE>
56
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Panama - 1.6%
=========================================================================
<S> <C> <C> <C>
Bladex
6.641% due 05/23/96(d) $ 4,000 $ 3,998
-----------
Total Panama 3,998
(Cost $4,000) ===========
=========================================================================
Spain (c) (f) - 9.5%
=========================================================================
Kingdom of Spain
10.300% due 06/15/02 SP 627,000 5,240
7.250% due 03/04/03 DM 9,100 6,495
10.900% due 08/30/03 SP 594,000 5,107
10.000% due 02/28/05 954,000 7,807
-----------
Total Spain 24,649
(Cost $24,700) ===========
=========================================================================
Sweden (c) (f) - 8.7%
=========================================================================
Kingdom of Sweden
11.000% due 01/21/99 SK 137,800 22,519
-----------
Total Sweden 22,519
(Cost $21,926) ===========
=========================================================================
United Kingdom (c) (f) - 16.7
=========================================================================
United Kingdom Gilt
6.000% due 08/10/99 BP 29,340 43,073
-----------
Total United Kingdom 43,073
(Cost $44,210) ===========
=========================================================================
United States- 42.8%
=========================================================================
Corporate Bonds and Notes- 16.7%
Dean Witter Discover
5.586% due 02/01/99(d) $ 3,000 2,992
5.586% due 02/05/99(d) 1,000 1,001
Ford Motor Credit Corp.
5.490% due 03/30/99(d) 4,000 3,963
5.560% due 04/13/99(d) 5,000 4,952
General Motors Acceptance Corp.
7.125% due 05/23/97 3,000 3,044
7.850% due 11/17/97 9,000 9,251
Hewlett Packard Co.
5.625% due 11/20/00 2,500 1,692
Resolution Trust Corp.
7.750% due 04/25/28 4,797 4,798
Student Loan Marketing Assn.
5.595% due 04/25/04(d) 1,598 1,598
TCI Communications, Inc.
6.144% due 04/01/02(d) 5,200 5,200
Time Warner, Inc.
6.210% due 08/15/00(d) 875 881
7.975% due 08/15/04 525 535
8.110% due 08/15/06 1,050 1,080
8.180% due 08/15/07 1,050 1,078
Transcontinental Gas Pipeline
6.210% due 05/15/00 1,000 1,000
-----------
43,065
===========
Mortgage Backed Securities - 26.1%
Chase Mortgage
7.500% due 11/25/23 261 261
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 103 107
Countrywide
7.697% due 11/25/24(d) 683 698
Federal Home Loan Mortgage Corp.
9.050% due 06/15/19 220 230
9.000% due 11/15/19 80 80
7.870% due 08/01/24(d) $ 3,528 $ 3,642
7.893% due 01/01/24(d) 623 643
Federal National Mortgage Assn.
9.050% due 12/25/18 2,378 2,483
6.719% due 04/01/24(d) 420 431
6.369% due 12/01/27(d) 1,030 1,039
6.347% due 08/01/29(d) 2,495 2,518
Government National Mortgage Assn.
7.000% due 11/20/21(d) 1,372 1,386
7.000% due 05/20/22(d) 140 142
6.875% due 09/20/22(d) 1,004 1,018
7.375% due 05/20/23(d) 1,530 1,551
7.000% due 07/20/23(d) 977 987
7.250% due 07/20/23(d) 5,300 5,369
7.250% due 07/20/23(d) 846 857
7.250% due 09/20/23(d) 1,061 1,075
7.000% due 09/20/23(d) 2,048 2,071
7.000% due 10/20/23(d) 881 893
7.000% due 10/20/23(d) 4,555 4,607
7.000% due 11/20/23(d) 4,214 4,263
7.000% due 12/20/23(d) 2,686 2,716
7.375% due 06/20/24(d) 1,265 1,289
7.250% due 09/20/24(d) 3,327 3,373
7.250% due 09/20/24(d) 954 967
7.000% due 10/20/24(d) 696 705
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98(d) 3,467 3,468
Morgan Stanley Mortgage
8.150% due 07/20/21 6 6
Paine Webber Mortgage
7.000% due 10/25/23 2,437 2,429
Resolution Trust Corp.
7.500% due 12/15/04 2,000 2,009
10.646% due 05/25/24(d) 366 378
7.750% due 04/25/28 44 44
Ryland Acceptance Corp.
7.909% due 09/25/23(d) 12,571 12,783
Sears Mortgage
6.790% due 06/25/22(d) 306 306
8.250% due 09/25/31 728 726
-----------
67,550
-----------
Total United States 110,615
(Cost $110,489) ===========
=========================================================================
Purchased OTC Options (f) - 5.6%
=========================================================================
Call - Commonwealth of Canada
9.000% due 12/01/04(h) C$ 21,000 1,308
Strike @ 100.00 Exp. 04/11/96
Call - Republic of Finland
9.500% due 03/15/04(h) FM 140,000 3,896
Strike @ 98.00 Exp. 05/10/96
Call - Republic of Germany
6.250% due 01/24/24(h) DM 24,700 1,564
Strike @ 79.50 Exp. 04/09/96
Put - Italian Lira v. German Mark
Strike @ 1,200 Exp. 04/11/96 IL 3,700 0
Put - Italian Lira v. Swiss Franc
Strike @ 1,500 Exp. 04/17/96 4,500,000 0
Call - Government of Japan
4.600% due 06/22/98(h) JY 6,071,000 3,328
Strike @ 101.50 Exp. 04/02/96
Call - United Kingdom
6.000% due 08/10/99(h) BP 29,000 4,258
Strike @ 86.50 Exp. 06/24/96
-----------
Total Purchased OTC Options 14,354
(Cost $14,920) ===========
</TABLE>
57
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Foreign Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
AA ...................................................................... 33%
AAA ...................................................................... 46%
A ...................................................................... 6%
BBB ...................................................................... 4%
BB ...................................................................... 8%
A1 ...................................................................... 3%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Short-Term Instruments - 7.1%
=========================================================================
<S> <C> <C> <C>
Discount Notes - 6.0%
Abbott Laboratories
5.340% due 04/23/96 $ 5,200 $ 5,183
Amoco Credit Corp.
5.190% due 04/19/96 200 199
E.I. Du Pont de Nemours
5.220% due 05/31/96 2,800 2,773
Federal Home Loan Bank
5.025% due 04/25/96 500 498
5.310% due 04/29/96 1,400 1,394
5.200% due 06/19/96 2,700 2,667
General Electric Capital Corp.
5.260% due 04/25/96 600 598
Hewlett Packard Co.
5.220% due 04/26/96 900 897
Kimberly-Clark Corp.
5.120% due 05/02/96 1,200 1,195
National Rural Utilities Cooperative
5.160% due 04/26/96 200 199
-----------
15,603
===========
Repurchase Agreement - 0.7%
State Street Bank
4.750% due 04/01/96 1,735 1,735
(Dated 03/29/96. Collateralized by
U.S. Treasury Bond 8.750% 05/15/17
valued at $1,771,121. Repurchase
proceeds are $1,735,687.)
U.S. Treasury Bills(b) - 0.4%
4.848% due 04/04/96-08/29/96(g) 950 943
-----------
Total Short-Term Instruments 18,281
(Cost $18,287) ===========
Total Investments (a)-217.4% $ 562,016
(cost $561,706)
Written Options (e)-0.0% (22)
(Premiums $80)
Other Assets and Liabilities (Net)-(117.4%) (303,501)
-----------
Net Assets-100.0% $ 258,493
===========
</TABLE>
=========================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 5,728
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (5,747)
-------
Unrealized depreciation-net $ 19
=======
(b) Securities with an aggregate market value of $474 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 10 Year Bond (6/96) 54 $ (28)
Republic of Germany 10 Year Bond (6/96) 31 44
U.S. Treasury 10 Year Note (6/96) 295 515
U.S. Treasury 30 Year Bond (6/96) 89 (49)
--------
$ 482
========
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
================================================================================
<S> <C> <C> <C> <C>
Buy A$ 8,954 04/96 $ (92)
Buy AP 1,860 06/96 63
Buy 2,100 12/96 124
Sell BF 200 04/96 0
Sell 3,877 06/96 0
Sell BP 1,239 04/96 (2)
Sell 15,850 05/96 8
Buy C$ 6,060 05/96 33
Sell 7,200 05/96 (34)
Buy CK 267,519 08/96 113
Buy DG 211 04/96 (2)
Sell 1,393 04/96 4
Buy DK 11,258 04/96 (32)
Sell 11,608 04/96 31
Sell 38,473 05/96 1
Buy 40,157 09/96 84
Buy DM 9,695 04/96 11
Sell 12,874 04/96 18
Buy 32,519 05/96 (189)
Sell 3,783 05/96 16
Sell 56,122 12/96 1,101
Sell 6,563 01/97 57
Sell 15,763 03/97 (44)
Sell FF 66,651 04/96 (88)
Buy 23,591 09/96 75
Buy FM 55,957 04/96 (72)
Sell 49,562 04/96 42
Buy 24,050 09/96 (278)
Buy IL 8,117,303 05/96 19
Sell 25,296,420 05/96 (147)
Buy 19,422,829 09/96 649
Buy IP 7,027 04/96 (84)
Sell IP 8,332 04/96 (41)
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
================================================================================
<S> <C> <C> <C> <C>
Sell JY 500,738 04/96 $ 39
Buy 207,270 05/96 (42)
Sell 950,724 05/96 79
Buy 7,180,000 10/96 (6,653)
Sell 7,180,000 10/96 7,452
Sell N$ 917 04/96 3
Sell SK 71,130 04/96 94
Sell 50,632 09/96 (180)
Buy 3,900 05/96 580
Buy SP 961,000 04/96 93
Sell 861,605 04/96 (65)
Sell 188,632 08/96 (17)
----------
$ 2,727
==========
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1996.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
Republic of Argentina
<S> <C> <C> <C> <C>
Strike @ 68.25 Exp. 4/12/1996 AP 2,800 $48 $ 9
Italian Lira v. Swiss Franc
Strike @ 1,345.91 Exp. 04/17/96 IL 4,037,730 15 8
Italian Lira v. German Mark
Strike @ 1,080.00 Exp.4/11/1996 DM 3,700 17 5
---------------
$80 $22
===============
</TABLE>
(f) Principal amount denoted in indicated currency:
<TABLE>
<S> <C>
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
CK - Czech Koruna
DG - Dutch Gilder
DK - Danish Krone
DM - German Mark
FF - French Franc
FM - Finnish Markka
IL - Italian Lira
IP - Irish Punt
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
SK - Swedish Krona
SP - Spanish Peseta
</TABLE>
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Security is subject to outstanding forward sale commitment. See Note 1.
See Notes to Financial Statements
59
<PAGE>
SCHEDULE OF INVESTMENTS
Global Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
Argentina .................................................. 9.3%
Canada ..................................................... 15.0%
Denmark .................................................... 6.0%
Germany .................................................... 6.9%
Netherlands ................................................ 8.0%
Spain ...................................................... 10.6%
Sweden ..................................................... 6.3%
United Kingdom ............................................. 8.7%
United States .............................................. 38.2%
Short-Term Instruments ..................................... 30.9%
Other ...................................................... 25.3%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Argentina (f) - 9.3%
=========================================================================
<S> <C> <C> <C>
Republic of Argentina
7.458% due 04/26/96 $ 7,750 $ 7,715
8.000% due 08/09/97 DG 600 371
6.313% due 03/31/05 (d) $ 6,039 4,348
-----------
Total Argentina 12,434
(Cost $12,229) ===========
=========================================================================
Belgium (f) - 3.0%
=========================================================================
Kingdom of Belgium
9.000% due 03/28/03 BF 52,800 2,003
5.100% due 11/21/04 (d) 59,900 2,007
-----------
Total Belgium 4,010
(Cost $4,008) ===========
=========================================================================
Canada (f) - 15.0%
=========================================================================
Commonwealth of Canada
5.240% due 04/15/96 $ 500 499
7.500% due 03/01/01 C$ 10,200 7,642
9.000% due 12/01/04 14,870 11,894
-----------
Total Canada 20,035
(Cost $20,004) ===========
=========================================================================
Denmark (f) - 6.0%
=========================================================================
Kingdom of Denmark
8.000% due 05/15/03 DK 23,040 4,266
8.000% due 03/15/06 21,000 3,803
-----------
Total Denmark 8,069
(Cost $8,060) ===========
=========================================================================
Finland (f) - 3.1%
=========================================================================
Republic of Finland
10.000% due 09/15/01 FM 17,000 4,204
-----------
Total Finland 4,204
(Cost $4,226) ===========
=========================================================================
France (f) - 0.5%
=========================================================================
Republic of France
7.750% due 10/25/05 FF 3,050 655
-----------
Total France 655
(Cost $648) ===========
=========================================================================
Germany (f) - 6.9%
=========================================================================
German Unity Fund
8.750% due 07/20/00 DM 3,100 2,375
Republic of Germany
6.875% due 06/11/03 3,800 2,677
6.250% due 01/04/24 6,860 4,119
-----------
Total Germany 9,171
(Cost $9,269) ===========
=========================================================================
Ireland (f) - 1.6%
=========================================================================
Irish Gilt
6.250% due 04/01/99 IP 1,400 2,169
-----------
Total Ireland 2,169
(Cost $2,198) ===========
=========================================================================
Italy (f) - 2.3%
=========================================================================
Republic of Italy
9.188% due 09/01/05 IL 4,770,000 3,021
-----------
Total Italy 3,021
(Cost $3,050) ===========
=========================================================================
Mexico (f) - 4.7%
=========================================================================
Banco Nacional de Comercio Exterior
11.250% due 05/31/96 (d) $ 1,300 1,300
8.000% due 05/06/98 DM 500 343
Banco Nacional de Obra y Servicios
10.750% due 08/16/96 $ 500 504
Cemex
10.000% due 11/15/96 1,000 1,011
Republic of Mexico
0.000% due 05/16/96 MP 10,000 1,259
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 2,000 1,837
-----------
Total Mexico 6,254
(Cost $6,276) ===========
=========================================================================
Netherlands (f) - 8.0%
=========================================================================
Baden-Wuerttemberg L-Finance N.V.
6.625% due 08/20/03 DM 2,600 1,791
Kingdom of Netherlands
9.000% due 05/15/00 DG 5,300 3,660
8.250% due 02/15/07 4,400 3,005
Landesbank Reinland-Pfalz
7.250% due 04/20/05 DM 3,200 2,243
-----------
Total Netherlands 10,699
(Cost $10,884) ===========
=========================================================================
New Zealand (f) - 5.2%
=========================================================================
Commonwealth of New Zealand
10.000% due 07/15/97 N$ 1,600 1,108
8.000% due 07/15/98 1,400 945
6.500% due 02/15/00 4,200 2,688
10.000% due 03/15/02 3,100 2,284
-----------
Total New Zealand 7,025
(Cost $7,105) ===========
=========================================================================
Panama - 1.5%
=========================================================================
Bladex
6.641% due 05/23/96 (d) $ 2,000 1,999
-----------
Total Panama 1,999
(Cost $2,000) ===========
==========================================================================
Spain (f) - 10.6%
==========================================================================
Kingdom of Spain
10.300% due 06/15/02 SP 306,000 2,557
7.250% due 03/04/03 DM 9,900 7,066
10.900% due 08/30/03 SP 290,000 2,493
10.000% due 02/28/05 252,000 2,062
-----------
Total Spain 14,178
(Cost $14,188) ===========
=========================================================================
Sweden (f) - 6.3%
=========================================================================
Kingdom of Sweden
11.000% due 01/21/99 SK 51,500 8,416
-----------
Total Sweden 8,416
(Cost $8,257) ===========
</TABLE>
60
<PAGE>
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
.................................................... A................. 4%
.................................................... BBB................. 3%
.................................................... BB................. 8%
.................................................... AA................. 34%
....................................................A1/P1................. 18%
....................................................A2/P2................. 1%
.................................................... AAA................. 32%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
United Kingdom (f) - 8.7%
=========================================================================
<S> <C> <C> <C>
United Kingdom Gilt
6.000% due 08/10/99 BP 7,890 $ 11,583
-----------
Total United Kingdom 11,583
===========
(Cost $11,824)
================================================================================
United States - 38.2%
================================================================================
Corporate Bonds and Notes - 11.1%
CMS Energy
9.500% due 10/01/97 (d) $ 750 775
CTC Mansfield Funding
11.125% due 09/30/16 700 731
Dean Witter Discover
5.586% due 02/01/99 (d) 1,000 997
5.586% due 02/05/99 (d) 1,000 1,001
General Motors Acceptance Corp.
6.750% due 05/20/96 1,000 1,002
6.500% due 05/15/97 1,000 1,007
Hewlett Packard Co.
5.625% due 11/20/00 DM 1,300 880
Kansallis-Osake
7.530% due 09/30/43 (d) $ 5,000 5,150
TCI Communications, Inc.
6.144% due 04/01/02 (d) 2,700 2,700
United Air Lines
10.670% due 05/01/04 500 591
-----------
14,834
===========
Mortgage-Backed Securities - 25.9%
Countrywide
7.697% due 11/25/24 (d) 342 349
Federal Home Loan Mortgage Corp.
7.809% due 05/01/23 (d) 1,532 1,579
7.893% due 01/01/24 (d) 139 143
Federal Housing Administration
7.399% due 02/01/21 1,708 1,712
Federal National Mortgage Assn.
7.500% due 11/01/01-01/01/02 (g) 1,324 1,352
6.500% due 04/01/09 875 859
7.690% due 11/01/23 (d) 1,198 1,233
7.286% due 03/01/24 (d) 692 710
6.369% due 12/01/27 (d) 461 465
6.347% due 08/01/29 (d) 1,343 1,356
Government National Mortgage Assn.
6.875% due 09/20/22 (d) 492 499
7.375% due 05/20/23-06/20/24(d)(g) 2,152 2,182
7.250% due 07/20/22-09/20/24(d)(g) 12,011 12,171
7.000% due 07/20/23-10/20/24(d)(g) 5,446 5,509
Residential Funding
7.705% due 03/25/25 (d) 3,535 3,588
Resolution Trust Corp.
8.000% due 04/25/25 1,000 1,007
-----------
34,714
===========
Asset-Backed Securities - 1.2%
Student Loan Marketing Assn.
5.595% due 04/25/04 (d) 1,598 1,598
-----------
Total United States 51,146
===========
(Cost $50,731)
- --------------------------------------------------------------------------------
Purchased OTC Options (f) - 3.4%
- --------------------------------------------------------------------------------
Call - Commonwealth of Canada
9.000% due 12/01/04 (h) C$ 11,000 685
Strike @ 100.00 Exp. 04/11/96
Call - Kingdom of Denmark
8.000% due 03/15/06 (h) DK 21,000 486
Strike @ 90.00 Exp. 06/10/96
8.500% due 05/15/03 (h) DK 23,040 567
Strike @ 91 Exp. 06/10/96
Call - Republic of Finland
10.000% due 09/15/01 (h) FM 40,000 947
Strike @ 104.10 Exp. 04/09/96
Call - Kingdom of Spain
10.300% due 06/15/02 (h) SP 306,000 476
Strike @ 85 Exp. 06/10/96
10.900% due 08/30/03 (h) 290,000 445
Strike @ 87.85 Exp. 06/10/96
Call - United Kingdom
6.000% due 08/10/99 (h) BP 7,000 1,027
Strike @ 86.50 Exp. 06/24/96
Put - Italian Lira v. Swiss Franc
Strike @ 1,500 Exp. 04/17/96 IL 2,250,000 0
Put - Italian Lira v. German Mark
Strike @ 1,200 Exp. 04/11/96 DM 1,800 0
-----------
Total Purchased OTC Options 4,633
===========
(Cost $4,833)
================================================================================
Short-Term Instruments (f) - 30.9%
================================================================================
Discount Notes - 28.0%
Ameritech Corp.
5.230% due 06/25/96 $ 6,000 5,921
Amoco Credit Corp.
5.180% due 04/08/96 1,300 1,299
5.190% due 04/19/96 3,000 2,992
AT&T Corp.
5.370% due 04/01/96 2,500 2,500
E.I. Du Pont de Nemours
5.220% due 05/31/96 1,500 1,486
General Electric Capital Corp.
5.260% due 04/25/96 5,500 5,481
Hewlett Packard Co.
5.230% due 06/20/96 2,000 1,975
Kimberly Clark Corp.
5.120% due 05/02/96 4,700 4,679
Minnesota Mining & Mfg. Co.
5.220% due 04/24/96 2,000 1,993
National Rural Utilities Cooperative
5.250% due 06/07/96 3,500 3,463
Shell Oil Co.
5.290% due 04/11/96 5,000 4,993
Warner Lambert
5.540% due 04/09/96 800 799
-----------
37,581
===========
Repurchase Agreement - 2.5%
Daiwa Securities
5.300% due 04/01/96 2,500 2,500
(Dated 03/29/96. Collateralized by
U.S. Treasury Note 8.000% 08/15/99
valued at $2,550,426. Repurchase
proceeds are $2,501,104.)
State Street Bank
4.750% due 04/01/96 837 837
(Dated 03/29/96. Collateralized by
U.S. Treasury Bond 8.750% 05/15/17
valued at $854,597. Repurchase
proceeds are $837,331.)
-----------
3,337
===========
U.S. Treasury Bills - 0.4%
4.736% due 05/23/96-10/17/96(b)(g) 480 474
Total Short-Term Instruments 41,392
(Cost $41,402) ===========
</TABLE>
61
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Global Fund
March 31, 1996
<TABLE>
=========================================================================
<S> <C>
Total Investments (a) - 165.2% $ 221,093
(Cost $221,192)
Written Options (e) - 0.0% (11)
(Premiums $40)
Other Assets and Liabilities (Net) - (65.2%) (87,249)
-----------
Net Assets - 100.0% $ 133,833
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 1,042
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,289)
-----------
Unrealized depreciation-net $ (247)
===========
(b) Securities with an aggregate market value of $474 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 10 Year Bond (6/96) 13 $ (14)
Republic of Germany 10 Year Bond (6/96) 62 10
U.S. Treasury 5 Year Note (6/96) 59 (17)
U.S. Treasury 10 Year Bond (6/96) 121 (103)
---------
$ (124)
=========
</TABLE>
<TABLE>
<CAPTION>
(c) Foreign forward currency contracts outstanding at March 31, 1996:
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy AP 800 06/96 $ 27
Buy 900 12/96 53
Buy A$ 1,739 04/96 67
Sell 3,401 04/96 (33)
Sell BF 89 04/96 0
Buy 121,300 06/96 (3)
Buy C$ 7,179 05/96 39
Sell 2,400 05/96 (11)
Sell 4,600 03/97 (12)
Buy CK 114,621 08/96 48
Buy DM 10,528 04/96 12
Sell 6,170 04/96 8
Buy 20,015 05/96 (134)
Sell 1,737 05/96 6
Sell 21,861 12/96 422
Buy 3,992 01/97 (35)
Sell 317 03/97 0
Sell 12,170 03/97 (26)
Buy DK 4,192 04/96 (12)
Sell 4,439 04/96 11
Sell 1,583 05/96 0
Buy 15,685 09/96 $ 34
Buy SP 672,546 04/96 61
Sell 53,576 08/96 (5)
Buy FM 9,634 04/96 (18)
Sell 4,316 04/96 7
Buy 9,100 09/96 (105)
Buy FF 39,959 04/96 53
Sell 6 04/96 0
Buy 9,355 09/96 30
Sell BP 528 04/96 (1)
Buy 3,698 05/96 (2)
Buy IP 2,694 04/96 (32)
Sell 3,832 04/96 (19)
Buy IL 5,040,270 05/96 5
Sell 4,510,262 05/96 (26)
Buy 9,837,643 09/96 327
Sell JY 213,258 04/96 17
Buy 1,543,008 05/96 (168)
Buy 2,930,000 10/96 (2,715)
Sell 2,930,000 10/96 3,041
Buy DG 6,039 04/96 (30)
Sell N$ 459 04/96 2
Sell SK 34,453 04/96 46
Sell 4,376 05/96 (15)
Buy 20,067 09/96 230
-------
$ 1,144
=======
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1996.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premium Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Put - Republic of Argentina
Strike @ 68.25 Exp. 04/12/96 $ 1,400 $24 $ 5
Put - Italian Lira v. Swiss Franc
Strike @ 1,345.91 Exp. 04/17/96 IL 2,018,900 8 4
Put - Italian Lira v. German Mark
Strike @ 1,080.00 Exp. 04/11/96 DM 1,800 8 2
--------------
$40 $11
==============
</TABLE>
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
CK - Czech Koruna
DG - Dutch Gilder
DK - Danish Krone
DM - German Mark
FF - French Franc
FM - Finnish Markka
IL - Italian Lira
IP - Irish Punt
JY - Japanese Yen
MP - Mexican Peso
N$ - New Zealand Dollar
SK - Swedish Krona
SP - Spanish Peseta
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Security subject to outstanding forward sale commitment. See Note 1.
See Notes to Financial Statements
62
<PAGE>
SCHEDULE OF INVESTMENTS
High Yield Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
Mortgage-Backed Securities .................................. 9.0%
Corporate Bonds and Notes ................................... 77.9%
Other ....................................................... 10.2%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
Corporate Bonds and Notes - 77.9%
=========================================================================
<S> <C> <C>
Banking and Finance - 6.5%
Coleman Holdings
0.000% due 05/27/98 (b) $ $10,000 $ 8,300
Navistar Financial
8.875% due 11/15/98 4,500 4,523
Phoenix RE Corp.
9.750% due 08/15/03 6,550 7,009
Reliance Financial Services
9.000% due 11/15/00 6,000 6,090
10.360% due 12/01/00 (c) 1,000 1,013
Trizec Finance
10.875% due 10/15/05 6,500 6,630
UCC Investors
10.500% due 05/01/02 1,500 1,575
-----------
35,140
===========
Industrials - 58.4%
Abbey Healthcare Group
9.500% due 11/01/02 7,470 7,900
Albritton Communications
9.750% due 11/30/07 4,000 3,810
American Airlines
10.610% due 03/04/10 650 779
Amerigas Partners L.P.
10.125% due 04/15/07 4,750 5,035
Ametek, Inc.
9.750% due 03/15/04 6,000 6,398
Atlas Air, Inc.
12.250% due 12/01/02 4,500 4,815
Bally's Grand
10.375% due 12/15/03 5,800 6,025
Benedek Broadcasting
11.875% due 03/01/05 5,500 5,855
Boyd Gaming Corp.
10.750% due 09/01/03 4,000 4,240
Buckeye Cellulose Corp.
8.500% due 12/15/05 2,500 2,475
Building Materials Corp.
0.000% due 07/01/04 (b) 15,570 11,600
Cablevision Systems
10.750% due 04/01/04 1,640 1,734
9.875% due 04/01/23 3,000 3,098
Century Communication
11.875% due 10/15/03 5,500 5,899
CF Cable TV, Inc.
9.125% due 07/15/07 7,000 7,018
Continental Cablevision
11.000% due 06/01/07 5,810 6,638
9.500% due 08/01/13 3,625 4,087
Cumberland Farms
10.500% due 10/01/03 3,500 3,338
Delta Air Lines
10.790% due 03/26/14 2,264 2,721
Doane Products Co.
10.625% due 03/01/06 1,000 1,025
Doskocil Companies, Inc.
9.750% due 07/15/00 3,250 3,396
Exide Corp.
0.000% due 12/15/04 (b) 6,250 5,313
Ferrell Gas
10.000% due 08/01/01 5,350 5,725
Figgie International, Inc.
9.875% due 10/01/99 4,740 4,835
G-I Holdings, Inc.
0.000% due 10/01/98 (b) 430 344
Genesis Health Ventures
9.750% due 06/15/05 5,000 5,225
Granite Broadcasting Corp.
10.375% due 05/15/05 3,750 3,811
Gulf Canada Resources
9.250% due 01/15/04 8,750 8,936
HMH Properties
9.500% due 05/15/05 5,000 4,888
J.Q. Hammons Hotels
8.875% due 02/15/04 7,000 6,808
Hollinger International Publishing
9.250% due 02/01/06 5,500 5,418
Infinity Broadcasting
10.375% due 03/15/02 4,500 4,838
Jorgensen, Earle M. Co.
10.750% due 03/01/00 6,050 5,974
K-III Communications Co.
8.500% due 02/01/06 8,500 8,245
Lenfest Communications
8.375% due 11/01/05 7,500 7,238
Mobilemedia Communications Corp.
9.375% due 11/01/07 4,000 3,930
Nuevo Energy Co.
12.500% due 06/15/02 5,454 5,877
Owens Illinois
10.500% due 06/15/02 2,000 2,095
11.000% due 12/01/03 6,000 6,585
Pacific Lumber
10.500% due 03/01/03 3,500 3,360
Paging Network
10.125% due 08/01/07 6,500 6,833
Pathmark Stores, Inc.
9.625% due 05/01/03 6,500 6,143
0.000% due 11/01/03 (b) 1,500 908
Repap Wisconsin, Inc.
9.250% due 02/01/02 6,750 6,480
Revlon Consumer Products Corp.
9.500% due 06/01/99 6,000 6,090
10.500% due 02/15/03 2,000 2,030
RJR Nabisco
8.000% due 07/15/01 2,000 1,965
8.625% due 12/01/02 5,500 5,472
Rogers Cablesystems, Inc.
10.000% due 03/15/05 5,500 5,734
Rogers Cantel Mobile
10.750% due 11/01/01 6,180 6,474
11.125% due 07/15/02 2,000 2,138
SCI Television
11.000% due 06/30/05 7,675 8,068
Sequa Corp.
10.000% due 05/14/01 1,500 1,507
10.150% due 05/15/01 3,500 3,536
Showboat, Inc.
9.250% due 05/01/08 5,900 6,033
Stone Consolidated
10.250% due 12/15/00 2,250 2,374
Sweetheart Cup Co.
9.625% due 09/01/00 6,000 6,150
Teekay Shipping Corp.
8.320% due 02/01/08 3,500 3,408
Telewest Communications
9.625% due 10/01/06 7,500 7,500
Tenet Healthcare
10.125% due 03/01/05 4,800 5,172
Unisys Corp.
12.000% due 04/15/03 4,000 3,949
West Point Stevens
8.750% due 12/15/01 5,000 4,994
World Color Press, Inc.
9.125% due 03/15/03 9,085 9,210
Young Broadcasting, Inc.
9.000% due 01/15/06 5,000 4,775
-----------
314,274
===========
</TABLE>
63
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
High Yield Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
...............................................AAA ....................... 1%
...............................................BBB ....................... 7%
............................................... A1 ....................... 3%
............................................... B ....................... 27%
............................................... BB ....................... 62%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -------------------------------------------------------------------------
<S> <C> <C>
Utilities - 13.0%
AES Corp.
9.750% due 06/15/00 $ 6,285 $ 6,458
Cablevision Systems
9.875% due 02/15/13 2,000 2,090
California Energy
9.875% due 06/30/03 3,000 3,120
0.000% due 01/15/04 (b) 10,240 9,805
CMS Energy
9.875% due 10/01/99 (c) 4,950 5,173
CTC Mansfield Funding
11.125% due 09/30/16 7,000 7,309
El Paso Electric Co.
8.900% due 02/01/06 3,500 3,561
Long Island Lighting Co.
7.050% due 03/15/03 2,500 2,354
8.200% due 03/15/23 4,500 4,134
Niagara Mohawk Power
9.500% due 03/01/21 2,000 1,893
7.875% due 04/01/24 5,500 4,704
North Atlantic Energy
9.050% due 06/01/02 5,750 5,725
Triton Energy
0.000% due 11/01/97 6,950 6,151
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 481
10.732% due 01/01/13 6,993 6,720
-----------
69,678
-----------
Total Corporate Bonds and Notes 419,092
(Cost $411,358) ===========
=========================================================================
Mortgage-Backed Securities - 9.0%
=========================================================================
Collateralized Mortgage Obligations - 3.4%
Federal National Mortgage Assn.
8.099% due 05/25/28 (c) 2,835 1,905
Lennar Central Partners L.P.
9.890% due 09/15/04 1,000 1,006
LTC
9.200% due 08/04/23 1,877 1,971
Manufacturers Hanover Corp.
5.807% due 12/16/25 (c) 980 979
9.400% due 12/16/25 (c) 4,361 4,208
Red Mountain Funding Corp.
9.150% due 11/28/27 4,227 3,805
Resolution Trust Corp.
7.260% due 09/25/20 (c) 1,092 720
9.250% due 06/25/23 3,562 3,613
9.500% due 05/25/24 171 166
8.500% due 03/25/25 272 268
-----------
18,641
===========
Other Mortgage-Backed Securities - 4.8%
Kearny St. Real Estate Co.
9.400% due 10/15/05 5,000 4,993
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (c) 2,577 2,578
Resolution Trust Corp.
8.000% due 06/25/26 12,332 10,540
6.900% due 02/25/27 5,272 4,626
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,197
-----------
25,934
===========
Stripped Mortgage-Backed Securities - 0.8%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,500 525
7.000% due 07/25/08 8,061 1,212
6.500% due 06/25/17 5,000 568
Fund America (IO)
9.590% due 10/20/21 $ 2,536 $ 684
Prudential Home (IO)
0.251% due 05/25/24 117,689 1,097
-----------
4,086
-----------
Total Mortgage-Backed Securities 48,661
(Cost $48,888) ===========
=========================================================================
Asset-Backed Securities - 0.5%
=========================================================================
Airplanes Pass Through Trust
10.875% due 03/15/19 2,500 2,495
-----------
Total Asset-Backed Securities 2,495
(Cost $2,500) ===========
=========================================================================
Sovereign Issues - 3.7%
=========================================================================
First Mexican Acceptance Corp.
8.750% due 09/15/96 1,000 995
Republic of Argentina
6.313% due 03/31/05 (c) 14,603 10,514
5.000% due 03/31/23 (c) 8,000 4,140
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 919
United Mexican States
6.250% due 12/31/19 5,000 3,169
-----------
Total Sovereign Issues 19,737
(Cost $19,236) ===========
=========================================================================
Preferred Stock - 3.0%
=========================================================================
Shares
Cablevision Systems 60,000 6,055
First Nationwide Bank 87,500 9,844
-----------
Total Preferred Stock 15,899
===========
(Cost $15,581)
=========================================================================
Short-Term Instruments - 3.0%
=========================================================================
Principal
Amount
(000's)
Discount Notes - 2.5%
Commonwealth Bank of Australia
5.190% due 05/20/96 $ 1,800 1,787
Commonwealth of Canada
5.250% due 06/26/96 4,000 3,947
Ford Motor Credit Corp.
5.250% due 06/26/96 3,500 3,453
General Electric Capital Corp.
5.340% due 04/23/96 4,500 4,485
-----------
13,672
===========
Repurchase Agreements - 0.5%
Daiwa Securities
5.200% due 04/01/96 2,000 2,000
(Dated 3/29/96. Collateralized by
U.S. Treasury Bill 09/19/96 valued
at $2,049,323. Repurchase proceeds
are $2,000,867.)
State Street Bank
4.750% due 04/01/96 897 897
(Dated 3/29/96. Collateralized by
U.S. Treasury Bond 8.750% 05/15/17
valued at $916,524. Repurchase
proceeds are $897,355.)
-----------
2,897
-----------
Total Short-Term Instruments 16,569
(Cost $16,575) ===========
</TABLE>
64
<PAGE>
<TABLE>
=========================================================================
<S> <C>
Total Investments (a) - 97.1% $ 522,453
(Cost $514,138)
Other Assets and Liabilities (Net) - 2.9% 15,537
-----------
Net Assets - 100.0% $ 537,990
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 11,981
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (3,350)
-----------
Unrealized appreciation-net $ 8,631
===========
(b) Security becomes interest bearing at a future date.
(c) Variable rate security. The rate listed is as of March 31, 1996.
See Notes to Financial Statements
65
<PAGE>
SCHEDULE OF INVESTMENTS
Money Market Fund
March 31, 1996
[THE FOLLOWING TABLE WAS PRESENTED AS A PIE CHART IN THE PRINTED DOCUMENT]
<TABLE>
<S> <C>
AAA ...................................................................... 21%
A ...................................................................... 1%
A1 ...................................................................... 78%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================
U.S. Treasury Notes - 3.9%
=========================================================================
<S> <C> <C>
7.875% due 07/15/96 $ 1,000 $ 1,006
-----------
Total U.S. Treasury Notes 1,006
(Cost $1,006) ===========
=========================================================================
U.S. Government Agencies - 5.4%
=========================================================================
Federal National Mortgage Assn.
6.366% due 12/01/18 (a) 457 460
Student Loan Marketing Assn.
5.776% due 04/25/04 (a) 940 940
-----------
Total U.S. Government Agencies 1,400
(Cost $1,400) ===========
=========================================================================
Short-Term Instruments - 88.2%
=========================================================================
Discount Notes - 76.7%
Air Products & Chemicals, Inc.
5.370% due 06/21/96 300 296
Aluminum Co. of America
5.400% due 04/22/96 1,050 1,047
American Greetings Co.
5.350% due 04/04/96 1,000 1,000
Ameritech Corp.
5.120% due 04/29/96 700 697
Aon Corp.
5.250% due 05/13/96 800 795
Bell Atlantic Financial Services, Inc.
5.330% due 04/05/96 1,000 999
E.I. Du Pont de Nemours
5.290% due 04/08/96 600 599
5.350% due 08/05/96 400 393
Dun & Bradstreet Corp.
5.520% due 04/09/96 400 400
Federal Home Loan Bank
5.230% due 04/10/96 1,000 999
5.220% due 06/26/96 500 494
Federal Home Loan Mortgage Corp.
5.210% due 04/08/96 1,900 1,898
5.300% due 04/22/96 1,000 997
General Electric Capital Corp.
5.220% due 08/08/96 1,000 981
Goldman Sachs & Co.
5.600% due 04/04/96 350 350
Hewlett Packard Co.
5.240% due 04/18/96 750 748
Home Depot, Inc.
5.350% due 04/08/96 1,000 999
IBM Credit Corp.
5.120% due 04/11/96 800 799
Knight Ridder, Inc.
5.125% due 04/22/96 300 299
5.130% due 06/10/96 500 495
Lehman Brothers Holdings, Inc.
5.500% due 06/15/96 350 350
National Australia Funding
5.430% due 05/28/96 700 694
Proctor & Gamble Co.
5.050% due 05/02/96 600 597
Southwestern Bell Capital Corp.
5.250% due 06/19/96 1,000 988
Wal-Mart Stores
5.400% due 04/11/96 1,000 999
Xerox Credit Corp.
5.250% due 06/14/96 1,000 989
-----------
19,902
===========
Repurchase Agreement - 0.4%
State Street Bank
4.750% due 04/01/96 $ 103 $ 103
(Dated 3/29/96. Collateralized by -----------
U.S. Treasury Bond 8.750% 05/15/17
valued at $105,276. Repurchase
proceeds are $103,041.)
U.S. Treasury Bills - 11.1%
5.022% due 08/22/96-03/06/97 (b) 3,000 2,884
-----------
Total Short-Term Instruments 22,889
(Cost $22,889) -----------
Total Investments - 97.5% $ 25,295
(Cost $25,295)
Other Assets and Liabilities (Net) - 2.5% 650
-----------
Net Assets - 100.0% $ 25,945
===========
</TABLE>
Notes to Schedule of Investments:
(a) Variable rate security. The rate listed is as of March 31, 1996.
(b) Securities are grouped by coupon and represent a range of maturities.
See Notes to Financial Statements
66
<PAGE>
SCHEDULE OF INVESTMENTS
Growth Stock Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material]
<TABLE>
<S> <C>
Financial Services .......................................... 5.2%
Utilities/Telecommunications ................................ 10.7%
Capital Goods ............................................... 9.5%
Technology .................................................. 15.2%
Other ....................................................... 8.4%
Consumer Discretionary ...................................... 10.7%
Consumer Staples ............................................ 40.4%
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (000's)
================================================================================
Common Stock - 99.5%
================================================================================
<S> <C> <C>
Basic Materials - 4.5%
Bemis Co., Inc. (b) 1,900 $ 60
Bowater, Inc. 800 30
Cabot Corp. 2,000 61
Kimberly-Clark Corp. 900 67
Monsanto Co. 600 92
Morton International, Inc. 600 23
Sigma-Aldrich Corp. 400 23
--------
356
========
Capital Goods - 9.5%
Allied Products Corp. 900 20
Federal Signal Corp. 1,200 31
General Electric Co. 4,600 358
Johnson Controls, Inc. 1,400 104
Lennar Corp. (b) 1,200 30
Pulte Corp. 1,600 43
Raychem Corp. (b) 1,300 84
Thermo Electron Corp. 1,400 83
--------
753
========
Consumer Discretionary - 10.7%
Autozone, Inc. (b) 2,200 75
Claire's Stores, Inc. 5,250 95
Department 56, Inc. (b) 2,700 59
Disney (Walt) Co. 1,200 77
HBO & Co. 300 28
Hasbro, Inc. (b) 1,500 55
Hilton Hotels Corp. 1,000 94
Home Depot, Inc. 1,600 77
Magna International, Inc. A 1,200 55
Meredith Corp. (b) 1,900 78
Nike, Inc. Class B 1,100 89
Office Depot, Inc. (b) 1,000 20
Staples, Inc. (b) 2,100 43
--------
845
========
Consumer Staples - 40.4%
Abbott Laboratories 3,300 134
Albertsons, Inc. 2,600 97
Amgen, Inc. (b) 500 29
Becton, Dickinson & Co. (b) 900 74
Bergen Brunswig Corp. (b) 1,800 47
Campbell Soup Co. 3,800 231
Coca-Cola Co. 3,100 256
Columbia HCA Healthcare Corp. 1,100 64
ConAgra, Inc. 3,300 134
Health Management Associates, Inc. (b) 600 21
IBP, Inc. 3,300 85
Johnson & Johnson 3,000 277
Kroger Co. (b) 2,400 97
Medtronic, Inc. (b) 2,000 119
Merck & Co. 3,600 224
Pepsico, Inc. 4,800 304
Pfizer, Inc. 2,300 154
Proctor & Gamble Co. 1,000 85
Safeway, Inc. (b) 1,700 48
St. Jude Medical, Inc. (b) 1,700 63
Sara Lee Corp. 5,000 163
Schering Plough Corp. 2,200 128
Stryker Corp. (b) 1,200 59
United Healthcare Corp. (b) 600 37
U.S. Healthcare, Inc. 500 23
Vencor, Inc. (b) 1,100 38
Vons Cos.(b) 3,200 100
Wrigley, William Jr. Co. (b) 1,700 100
--------
3,191
========
Energy - 1.1%
Baker-Hughes, Inc. (b) 400 12
Halliburton Co. (b) 300 17
Mobil Corp. (b) 300 35
Smith International, Inc. (b) 800 20
--------
84
========
Financial Services - 5.2%
American Express Co. (b) 600 30
Charter One Financial, Inc. (b) 1,100 37
Equifax, Inc. 1,400 28
Federal National Mortgage Assn. 4,900 156
Fifth Third Bancorp 400 23
First USA, Inc. 400 23
Green Tree Financial Corp. 1,400 48
Household International, Inc. 200 13
SunAmerica, Inc. 600 30
Westcorp 1,300 24
--------
412
========
Services - 1.1%
CUC International, Inc. (b) 900 26
Federal Express Corp. (b) 200 14
Olsten Corp. 1,050 33
Tyco International, Ltd. 300 10
--------
83
========
Technology - 15.2%
Adaptec, Inc. (b) 1,100 53
ADC Telecommunications (b) 1,000 35
Analog Devices, Inc. (b) 1,400 39
Applied Materials, Inc. (b) 1,500 53
Avnet, Electronics Inc. 1,700 82
Bay Networks, Inc. (b) 1,400 43
Cabletron Systems, Inc. (b) 1,000 66
Cisco Systems, Inc. (b) 1,500 70
Compaq Computer Corp. (b) 700 27
Computer Associates International, Inc. (b) 800 57
CompUSA, Inc. (b) 2,000 111
EMC Corp. (b) 1,800 39
Hewlett Packard Co. 900 85
Intel Corp. 600 34
Komag, Inc. (b) 1,400 34
Linear Technology Corp. 1,800 75
Microsoft Corp. (b) 1,200 124
Novellus Systems, Inc. (b) 600 27
Oracle Corp. (b) 500 24
Shared Medical Systems Corp. 1,000 60
Tellabs, Inc. (b) 1,200 58
--------
1,196
========
Transportation - 1.1%
Delta Air Lines, Inc. (b) 700 54
Southwest Airlines Co. (b) 1,000 30
--------
84
========
Utilities/Telecommunications - 10.7%
AES Corp. (b) 1,700 42
AT&T Corp. 1,500 92
CalEnergy Co., Inc. (b) 5,600 149
Cincinnati Bell, Inc. 1,200 62
</TABLE>
67
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
Growth Stock Fund
March 31, 1996
<TABLE>
<CAPTION>
Value
Shares (000's)
<S> <C> <C>
Frontier Corp. 3,500 $ 110
GTE Corp. 3,000 132
Northern Telecom Ltd. 1,100 53
Sprint Corp. 2,400 91
360 Communications Co. (b) 800 19
Vodafone Group PLC 400 15
Williams Cos., Inc. 1,600 81
--------
846
--------
Total Common Stocks
(Cost $6,749) 7,850
========
</TABLE>
================================================================================
Short-Term Instruments - 0.6%
================================================================================
<TABLE>
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Repurchase Agreement - 0.6%
State Street Bank
4.750% due 04/01/96 $ 43 43
--------
(Dated 3/29/96. Collateralized by
U.S. Treasury Bond 8.750% 05/15/17
valued at $49,542. Repurchase
proceeds are $43,017.)
Total Short-Term Instruments 43
(Cost $43) ========
Total Investments (a) - 100.1% $ 7,893
(Cost $6,792)
Other Assets and Liabilities (Net)- (0.1%) (4)
--------
Net Assets - 100.0% $ 7,889
========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1996, 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. $ 1,268
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (169)
--------
Unrealized appreciation-net $ 1,099
========
(b) Non-income producing security.
</TABLE>
See Notes to Financial Statements
68
<PAGE>
SCHEDULE OF INVESTMENTS
StockPLUS Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<S> <C>
Short-Term Instruments ...................................... 21.0%
Other ....................................................... 4.6%
Corporate Bonds and Notes ................................... 34.3%
Mortgage-Backed Securities .................................. 45.9%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
Corporate Bonds and Notes - 34.3%
================================================================================
<S> <C> <C>
Banking and Finance - 14.9%
Advanta Corp.
7.260% due 10/15/96 $ 1,500 $ 1,512
Banco Latino
5.919% due 03/27/97 5,000 5,000
Capital One Bank
5.977% due 07/11/96 (d) 600 600
5.905% due 07/30/96 (d) 500 500
6.313% due 03/21/97 (d) 1,000 1,002
Caterpillar Financial
5.200% due 04/01/99 (d) 2,000 1,983
Chrysler Financial Corp.
6.190% due 10/27/97 2,000 2,005
Den Danske Bank
5.625% due 06/30/00 (d) 450 454
Ford Motor Credit Corp.
4.980% due 11/09/98 (d) 500 503
5.490% due 03/30/99 (d) 250 248
4.830% due 04/05/99 (d) 340 345
General Motors Acceptance Corp.
5.600% due 03/16/99 (d) 2,000 1,995
Kansallis-Osake
7.530% due 09/30/43 (d) 1,500 1,545
Merrill Lynch & Co.
7.000% due 10/10/00 (d) 3,000 3,004
Navistar Financial
9.500% due 06/01/96 1,000 1,005
Salomon, Inc.
6.175% due 10/21/96 (d) 500 500
5.888% due 04/05/99 (d) 500 488
------------
22,689
============
Industrials - 12.4%
Avencor Ltd.
9.220% due 06/30/96 1,000 1,026
COFIRI International, Inc.
5.800% due 10/27/00 (d) 2,000 1,983
First Brands Corp.
9.125% due 04/01/99 1,000 1,028
G-I Holdings, Inc.
0.000% due 10/01/98 1,000 800
McGaw Inc.
10.375% due 04/01/99 1,500 1,538
Merita
6.225% due 12/01/05 (d) 1,000 994
Occidental Petroleum
9.200% due 08/15/97 1,000 1,041
RJR Nabisco
8.000% due 07/15/01 500 491
TCI Communications, Inc.
6.001% due 03/11/03 (d) 4,000 3,998
Time Warner, Inc.
6.210% due 08/15/00 (d) 3,750 3,775
United Illuminating
10.240% due 01/02/20 2,000 2,165
------------
18,839
============
Utilities - 7.0%
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,003
CMS Energy
9.500% due 10/01/97 (d) 250 258
El Paso Electric Co.
7.250% due 02/01/99 1,000 995
North Atlantic Energy
9.050% due 06/01/02 1,486 1,479
Public Service of New Hampshire
8.875% due 05/15/96 4,120 4,130
Texas Utilities
6.383% due 05/01/99 (d) 2,500 2,505
Transcontinental Gas Pipeline
9.000% due 11/15/96 200 204
------------
10,574
------------
Total Corporate Bonds and Notes 52,102
(Cost $52,012) ============
================================================================================
U.S. Government Agencies - 1.3%
================================================================================
Student Loan Marketing Assn.
6.130% due 10/25/07 (d) 2,000 2,000
------------
Total U.S. Government Agencies 2,000
(Cost $2,000) ============
================================================================================
Mortgage-Backed Securities - 45.9%
================================================================================
Federal Home Loan Mortgage Corporation - 8.4%
6.920% due 07/01/19 (d) 3,102 3,167
7.835% due 12/01/22 (d) 1,921 1,978
8.000% due 04/11/26 5,000 5,089
8.214% due 06/01/22 (d) 1,480 1,528
8.500% due 04/01/25-06/1/25 (e) 974 1,008
------------
12,770
============
Federal National Mortgage Association - 2.1%
7.516% due 05/01/22 979 998
7.605% due 02/01/25 (d) 1,987 2,047
9.000% due 01/01/99 88 90
------------
3,135
============
Government National Mortgage Association - 10.1%
4.500% due 04/23/26 1,000 958
5.000% due 02/20/26-03/20/26(d)(e) 5,080 4,931
7.000% due 11/20/24 (d) 821 831
7.250% due 07/20/24-08/20/24(d)(e) 8,526 8,643
------------
15,363
============
Collateralized Mortgage Obligations - 15.6%
Bank Mart
7.592% due 03/01/19 (d) 2,765 2,757
Citicorp Mortgage
9.500% due 11/25/17 1,290 1,339
7.724% due 09/25/18 (d) 124 124
8.000% due 09/25/21 18 18
Collateralized Mortgage Securities Corp.
9.250% due 12/20/04 45 45
Countrywide
6.500% due 02/25/24 2,456 2,453
Donaldson, Lufkin & Jenrette
7.550% due 10/17/20 (d) 582 587
Federal Home Loan Mortgage Corp.
5.750% due 03/15/00 746 744
Federal National Mortgage Assn.
8.500% due 11/25/05 55 55
8.400% due 04/25/25 335 338
Greenwich
7.158% due 10/25/22 (d) 80 81
Manufacturers Hanover Corp.
5.807% due 12/16/25 (d) 2,695 2,694
PaineWebber Mortgage
6.531% due 02/25/01 (d) 2,615 2,571
Prudential Home
7.050% due 05/25/24 (d) 3,182 3,189
Residential Funding
6.431% due 03/25/18 (d) 1,059 1,048
Resolution Trust Corp.
7.400% due 01/25/20 (d) 1,000 1,019
</TABLE>
69
<PAGE>
SCHEDULE OF INVESTMENTS (Cont.)
StockPLUS Fund
March 31, 1996
[The following table was represented by a pie chart in the printed material.]
<TABLE>
<S> <C>
A1/P1 .................................................................... 16%
AAA ...................................................................... 39%
BB ....................................................................... 11%
BBB ...................................................................... 20%
AA ....................................................................... 5%
A ........................................................................ 9%
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
7.372% due 05/25/21(d) $ 95 $ 95
5.589% due 09/25/21(d) 2,054 2,050
7.000% due 10/25/24 425 424
Salomon Mortgage
7.000% due 07/25/24 83 83
Sears Mortgage
8.697% due 05/25/32 (d) 57 57
Structured Asset Securities Corp.
7.750% due 02/25/28 1,881 1,913
------------
23,684
============
Other Mortgage-Backed Securities - 7.8%
California Federal Savings & Loan
6.986% due 01/01/19 (d) 111 110
Fund America
7.668% due 06/25/23 (d) 297 302
Great Western Savings & Loan
6.614% due 01/25/18 (d) 129 128
MBLAC - NY REO Associates L.P.
9.375% due 02/01/98 (d) 1,687 1,687
J.P. Morgan & Co.
7.177% due 01/25/18 (d) 1,254 1,260
Red Mountain Funding Corp.
6.450% due 11/28/27 1,973 1,974
REIG Commercial Mortgage Funding Trust
6.158% due 04/27/98 (d) 2,400 2,402
Resolution Trust Corp.
7.113% due 12/25/23 (d) 131 132
Structured Asset Securities Corp.
7.146% due 09/25/36 (d) 1,914 1,934
Western Federal Savings & Loan
6.729% due 10/25/18 (d) 868 867
6.918% due 06/25/19 (d) 992 990
7.118% due 03/25/19 (d) 105 104
------------
11,890
============
Stripped Mortgage-Backed Securities - 1.9%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 01/15/08-08/15/13 (e) 1,656 40
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 1,600 177
7.000% due 07/25/06-03/25/07 (e) 1,800 172
7.000% due 07/25/21 2,294 367
7.500% due 08/25/10 1,177 23
Federal National Mortgage Assn. (PO)
0.000% due 01/25/20 2,037 1,983
Prudential Home (IO)
4.299% due 02/25/22 49 114
Residential Funding (IO)
6.750% due 01/25/24 1,591 6
------------
2,882
------------
Total Mortgage-Backed Securites 69,724
(Cost $69,836) ============
================================================================================
Sovereign Issues - 3.1%
================================================================================
Banco Latino
6.641% due 05/23/96 (d) 1,000 999
Republic of Argentina
6.313% due 03/31/05 (d) 2,475 1,782
United Mexican States
10.813% due 07/21/97 (d) 1,840 1,909
------------
Total Sovereign Issues 4,690
(Cost $4,669) ============
================================================================================
Purchased CME Put Options - 0.0%
================================================================================
Eurodollar June Futures 7,000 0
Strike @ 91.00 Exp. 06/18/96 ------------
Total Purchased CME Put Options 0
(Cost $0) ============
================================================================================
Preferred Stock - 0.2%
================================================================================
Shares
Santander Overseas 10,000 266
------------
Total Preferred Stock 266
(Cost $273) ============
================================================================================
Short-Term Instruments - 21.0%
================================================================================
Principal
Amount
(000's)
Discount Notes - 16.7%
Coca-Cola Corp.
5.250% due 05/24/96 $ 2,200 2,183
Commonwealth Bank of Australia
5.190% due 05/20/96 6,000 5,958
Commonwealth of Canada
5.240% due 04/15/96 1,500 1,498
Hewlett-Packard Co.
5.230% due 06/20/96 1,900 1,878
Motorola, Inc.
5.170% due 04/02/96 100 100
Pitney Bowes Credit, Inc.
5.210% due 05/14/96 2,000 1,988
Shell Oil Co.
5.180% due 04/12/96 6,000 5,991
United Parcel Service
5.170% due 04/12/96 1,800 1,797
Wal-Mart Stores
5.150% due 04/08/96 2,500 2,497
Wisconsin Gas
5.200% due 04/04/96 1,500 1,499
------------
25,389
============
Repurchase Agreement - 1.4%
State Street Bank
4.750% due 04/01/96 2,069 2,069
(Dated 03/29/96. Collateralized by ------------
U.S. Treasury Bond 8.750% 05/15/17
valued at $2,111,721. Repurchase
proceeds are $2,069,819.)
U.S. Treasury Bills - 2.9%
4.935% due 04/04/96-10/17/96 (b)(e) 4,435 4,406
------------
Total Short-Term Instruments 31,864
(Cost $31,864) ============
Total Investments (a) - 105.8% $ 160,646
(Cost $160,654)
Other Assets and Liabilities (Net) - (5.8%) (8,777)
------------
Net Assets - 100.0% $ 151,869
============
</TABLE>
70
<PAGE>
================================================================================
Notes to Schedule of Investments ($ in thousands):
<TABLE>
<CAPTION>
<S> <C>
(a) At March 31, 1996, 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. $ 498
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value. (286)
------------
Unrealized depreciation-net $ 212
============
(b) Securities with an aggregate market value of $4,406 have been segregated
with the custodian to cover margin requirements for the following open
future contracts at March 31, 1996:
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
S & P 500 Index (6/96) 272 $ 162
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1996:
<TABLE>
<CAPTION>
Principal
Amount
Covered Expiration Unrealized
Type by Contract Month Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy JY 2,561 05/96 $ 0
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1996.
(e) Securities are grouped by coupon and represent a range of maturities.
(f) Swap agreements outstanding at March 31, 1996:
<TABLE>
<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: Deutsche Bank AG London
Exp. 06/28/96 $ 25,037 $ 244
Broker: Morgan Stanley Capital Service
Exp. 09/30/96 31,700 0
------------
$ 244
============
</TABLE>
(g) Principal amount denoted in indicated currency:
JY - Japanese Yen
See Notes to Financial Statements
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS
March 31, 1996
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, as amended (the "Act"), as a no-load,
open-end investment management company. The Trust currently consists
of 18 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 Money Market Fund; the
Growth Stock Fund; the StocksPLUS Fund; the VersaSTYLE Equity Fund;
the Moderate Duration Fund; the Commercial Mortgage Securities Fund;
and the International Fund (available only to private account clients
of PIMCO). The annual reports for the International and VersaSTYLE
Equity Funds are provided separately. The Moderate Duration,
Commercial Mortgage Securities and Low Duration III Funds had not
commenced operations as of March 31, 1996. 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.
Reorganization. The Trust entered into an Agreement and Plan of
Reorganization with PIMCO Funds: Equity Advisors Series (formerly
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.
Security Valuation. Portfolio securities and other financial
instruments 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.
Delayed Delivery Transactions. A Fund may purchase or sell securities
on a when-issued or delayed delivery basis. These transactions involve
a commitment by a Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place
beyond the customary settlement period. When delayed delivery
purchases are outstanding, a Fund will set aside and maintain until
the settlement date in a segregated account, liquid assets or high
grade debt obligations in an amount sufficient to meet the purchase
price. When purchasing a security on a delayed delivery basis, a Fund
assumes the rights and risks of ownership of the security, including
the risk of price and yield fluctuations, and takes such fluctuations
into account when determining its net asset value. A Fund may dispose
of or renegotiate a delayed delivery transaction after it is entered
into, and may sell when-issued securities before they are delivered,
which may result in a capital gain or loss. When
72
<PAGE>
the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the
security. Forward sales commitments are accounted for by the Fund in
the same manner as forward currency contracts discussed below.
Credit Quality. The credit quality pie-charts included in the Schedule
of Investments represent the credit quality of all fixed income
securities. The rating assigned to each security is the higher of that
reported by Moody's or S&P. If the security is not rated by either
Moody's or S&P, the Advisor assigns a rating that is comparable in
quality.
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.
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 a tax basis return of capital in the
accompanying Statements 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 voting rights with respect to its
distribution plan. The Total Return, Total Return II, Low Duration,
Short-Term, High Yield and Money Market Funds commenced multiclass
operations on September 7, 1994, November 30, 1994, December 31, 1994,
February 1, 1996, January 16, 1995 and January 24, 1995, respectively.
None of the other PIMCO Funds had commenced multiclass operations as
of March 31, 1996.
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, adjusted for purchase orders received in
Federal Funds prior to 12:00 pm, Eastern time. 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 day's capital share activity.
73
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1996
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 (except the Money Market 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, the possibility of an illiquid market, and the inability of
the counter-party to meet the terms of the contract. 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
the 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 Total Return II, Low
Duration II, Long-Term U.S. Government, High Yield and Money Market
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 Fund'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.
Swaps. Each Fund (except the Money Market 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 March 31, 1996, 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 year ended March 31, 1996, net income of
$6,712,682 was derived from the agreements and is included in interest
income of the Fund.
74
<PAGE>
Forward Sales. The following securities were subject to outstanding
forward sale commitments at March 31, 1996 (Amounts in thousands):
<TABLE>
<CAPTION>
Principal
Foreign Fund Amount Value Proceeds
----------------------------------------------------------------
<S> <C> <C> <C> <C>
Commonwealth of Canada C$ 21,000 $ 16,798 $ 16,722
Government of Japan JY 6,071,000 60,962 61,607
Republic of Finland FM 140,000 33,399 33,462
Republic of Germany DM 24,700 14,830 15,662
United Kingdom Gilt BP 29,000 42,573 42,551
---------------------
$ 168,562 $170,004
=====================
</TABLE>
<TABLE>
<CAPTION>
Principal
Global Fund Amount Value Proceeds
-------------------------------------------------------------
<S> <C> <C> <C> <C>
Commonwealth of Canada C$ 11,000 $ 8,799 $ 8,759
Kingdom of Denmark DK 44,040 8,069 8,047
Kingdom of Spain SP 596,000 5,051 5,066
United Kingdom Gilt BP 7,000 10,275 10,271
-----------------
$32,194 $32,143
=================
</TABLE>
Estimates. The preparation of financial statements in accordance with
generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and
disclosures in the financial statements. Actual results could differ
from those estimates.
2. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. PIMCO serves as investment adviser (the
"Adviser") to the Trust, pursuant to an investment advisory contract.
The Adviser receives a monthly fee from each Fund at an annual rate
based on average daily net assets of the Fund as follows: Money Market
Fund - 0.15%, StocksPLUS Fund - 0.40% and all other Funds - 0.25%.
Prior to October 1, 1995, the Adviser received a monthly fee based on
average daily net assets as follows: 0.30% of the first $150 million,
and 0.25% thereafter (0.45% and 0.40%, respectively, for the
StocksPLUS Fund).
Administration Fee. Effective October 1, 1995, the Trust, exclusive of
the Total Return II and Money Market Funds, adopted a "unified fee
structure" whereby PIMCO (the Administrator) provides services
necessary for the operation of the Funds for a single administrative
fee based on each Funds average daily net assets. The unified fee on
an annual basis is 0.18% for the Total Return and Low Duration Funds,
0.20% for the Short-Term Fund, 0.30% for the Global Fund and 0.25% for
all other Funds. Prior to adoption of the unified fee structure, the
Administrator received a monthly fee from each Fund at an annual rate
of 0.10% of each Funds average daily net assets. In conjunction with
the "Agreement and Plan of Reorganization", the Total Return II and
the Money Market Funds participate in the unified fee structure at
annual rates of 0.25% and 0.20%, respectively, of average daily net
assets.
Expenses. Effective October 1, 1995, under the unified fee structure,
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 coun-
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONT.)
March 31, 1996
sel retained exclusively for their benefit; (vi) extraordinary
expenses, including costs of litigation and indemnification expenses;
(vii) expenses, such as organizational expenses, which were previously
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 Act and subject to review and
approval by the Trustees. Each unaffiliated Trustee receives an annual
retainer of $20,000, plus $2,500 for each Board of Trustees meeting
attended, plus reimbursement of related expenses. These expenses are
allocated to the Funds of the Trust according to their respective net
assets. Prior to October 1, 1995, 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.
Expense Offset Arrangement. Fees paid indirectly, in the accompanying
Statement of Operations, represent reductions in custody and transfer
agent expenses in lieu of 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 Adviser 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 had an expense limit of 0.65%), excluding distribution
fees of 0.25% relating to the Administrative Class.
Prior to October 1, 1995, the Adviser or Administrator would have
been reimbursed for fees foregone (or other expenses paid by them
pursuant to the expense limitation) at a later date when a Fund
reached a sufficient asset size; however, no such later payment would
have been made if that payment caused the annual expense ratio of a
Fund to exceed the amount of the relevant expense limitation. As of
September 30, 1995, all amounts previously foregone by the Adviser and
Administrator have been repaid by the Total Return, Low Duration,
Foreign and High Yield Funds. Cumulative unreimbursed amounts for
Total Return III, Low Duration II, 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 $90,816
respectively, at September 30, 1995. These amounts have been waived as
a result of the adoption of the unified fee.
Related Party Transactions. PIMCO Advisors Distribution Company
("PADCO"), an indirect wholly-owned subsidiary of PIMCO Advisors L.P.,
serves as the distributor of the Trust's shares. Under the contract,
all expenses relating to the distribution of Trust shares will be paid
by the Adviser or PADCO out of past profits and resources which may
include fees received by the Adviser.
76
<PAGE>
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments)
for the year or period ended March 31, 1996 were as follows ($ in
thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
--------------------------------------------------------
Purchases Sales Purchases Sales
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $20,122,002 $16,494,716 $ 5,487,050 $ 3,768,645
Total Return Fund II 510,012 322,291 7,902 37,515
Total Return Fund III 219,011 175,740 59,215 24,109
Low Duration Fund 6,452,394 5,504,523 704,378 634,948
Low Duration Fund II 612,758 482,263 52,184 29,360
Short-Term Fund 43,733 33,012 173,708 152,506
Long-Term U.S. Gov't Fund 87,534 68,103 12,211 6,937
Foreign Fund 105,279 60,694 4,540,144 4,305,050
Global Fund 67,782 54,049 1,299,496 1,218,948
High Yield Fund 20,508 19,471 437,514 261,334
Growth Stock Fund 161 34 9,835 20,223
StocksPLUS Fund 43,782 18,430 136,482 56,237
</TABLE>
4. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows ($ in
thousands):
<TABLE>
<CAPTION>
Total Total Low Low Long-Term
Return Return III Duration Duration II Short-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 29,417 237 1,320 0 168 94
Closing Buys (5,242) 0 0 0 (50) (160)
Expirations (42,455) (429) (3,993) (129) (257) (60)
Exercised (11,703) (131) (94) 0 0 0
------------------------------------------------------------------------------
Balance at 3/31/96 $ 11,679 $ 79 $ 0 $ 0 $ 0 $ 4
===============================================================================
</TABLE>
<TABLE>
<CAPTION>
High
Foreign Global Yield Stock
----------------------------------
---------- Premium ---------------
<S> <C> <C> <C> <C>
Balance at 3/31/95 $ 373 $ 50 $ 102 $ 4
Sales 9,721 252 167 12
Closing Buys (9,230) (41) (52) (3)
Expirations (784) (209) (217) (6)
Exercised 0 (12) 0 (7)
----------------------------------
Balance at 3/31/96 $ 80 $ 40 $ 0 $ 0
==================================
</TABLE>
<TABLE>
<CAPTION>
Total
StocksPLUS Return II(a)
------------------------
-------- Premium -------
<S> <C> <C>
Balance at 10/31/95(b) $ 45 $ 169
Sales 121 233
Closing Buys (73) (27)
Expirations (93) (142)
Exercised 0 0
------------------------
Balance at 3/31/96 $ 0 $ 233
========================
</TABLE>
(a) Formerly the PIMCO Managed Bond and Income Fund of the PIMCO
Funds: Equity Advisors Series.
(b) Audited by other independent accountants.
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONT.)
March 31, 1996
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 Total Total
Year or Period Ended Return Return Return II Return II Total
March 31, 1996 Inst'l Admin Inst'l Admin Return III
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold 342,019 11,183 3,595 23 4,560
Issued as reinvestment
of dividends 56,475 373 1,714 12 1,000
Shares redeemed (124,938) (2,289) (2,564) (8) (1,040)
----------------------------------------------------------------------
Net increase 273,556 9,267 2,745 27 4,520
======================================================================
</TABLE>
<TABLE>
Low Low Short- Short- Long-
Year or Period Ended Duration Duration Low Term Term Term
March 31, 1996 Inst'l Admin Duration II Inst'l Admin(a) U.S. Gov't
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 141,847 267 16,787 13,481 435 2,022
Issued as reinvestment
of dividends 14,360 8 1,339 498 0 372
Shares redeemed (126,025) (99) (9,818) (12,924) (32) (2,415)
---------------------------------------------------------------------------
Net increase (decrease) 30,182 176 8,308 1,055 403 (21)
===========================================================================
</TABLE>
(a) From commencement of operations, February 1, 1996.
<TABLE>
<CAPTION>
High High Money Money
Year or Period Ended Yield Yield Market Market
March 31, 1996 Foreign Global Inst'l Admin Inst'l Admin
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 7,828 5,338 27,025 90 23,183 4
Issued as reinvestment
of dividends 1,752 873 3,932 2 387 0
Shares redeemed (9,773) (649) (14,184) (4) (5,376) (4)
--------------------------------------------------------------------------
Net increase (decrease) (193) 5,562 16,773 88 18,194 0
==========================================================================
</TABLE>
<TABLE>
<CAPTION>
Year Ended Growth Stocks
March 31, 1996 Stock PLUS
------------------------------------------------------------
<S> <C> <C>
Shares sold 102 10,056
Issued as reinvestment
of dividends 215 1,556
Shares redeemed (774) (2,440)
----------------------
Net increase (decrease) (457) 9,172
======================
</TABLE>
<TABLE>
<CAPTION>
Total Total Low Low
Year or Period Return Return Total Duration Duration Low
Ended March 31, 1995 Inst'l Admin(a) Return IIII 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
=========================================================================
</TABLE>
78
<PAGE>
<TABLE>
<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 0
Shares redeemed (25,641) (1,708) (32,201) (1,408) (12,668) 0
-------------------------------------------------------------------------
Net increase (decrease) 1,828 677 (24,142) 3,642 11,382 4
=========================================================================
</TABLE>
<TABLE>
<CAPTION>
Year or Period Growth Stocks
Ended March 31, 1995 Stock PLUS
-----------------------------------------------------------
<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.
<TABLE>
<CAPTION>
Total
Total Return II Money Money
Year or Period Ended Return II Admin Market Market
October 31, 1995 Inst'l(a)(d) (a)(b)(d) Inst'l(d) Admin(c)(d)
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 10,242 306 22,820 1,799
Issued as reinvestment
of dividends 2,500 10 493 19
Shares redeemed (7,537) (7) (23,025) (1,808)
--------------------------------------------------------------
Net increase 5,205 309 288 10
==============================================================
</TABLE>
(a) Formerly the PIMCO Managed Bond and Income Fund of the PIMCO
Funds: Equity Advisors Series.
(b) From commencement of operations, November 30, 1994.
(c) From commencement of operations, January 24, 1995.
(d) Audited by other independent accountants.
6. Interest Expense
During the current year, the Short-Term Fund entered into certain
reverse repurchase agreements. Included in miscellaneous expenses is
$76,781 representing interest expense associated with these
instruments.
7. Federal Income Tax Matters
As of March 31, 1996, Low Duration Fund, Low Duration Fund II,
Short-Term Fund, and Foreign Fund have remaining capital loss
carryforwards that were realized in the prior year of $6,262,969,
$469,149, $122,770 and $1,519,059, respectively.
These capital losses are available to offset future realized
capital gains through March 31, 2003. Each Fund will resume capital
gains distributions in the future to the extent gains are realized in
excess of the available carryforwards.
79
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of the PIMCO Funds
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
the Total Return Fund, Total Return Fund III, Low Duration Fund, Low
Duration Fund II, Short-Term Fund, Long-Term U.S. Government Fund,
Foreign Fund, Global Fund, High Yield Fund, Growth Stock Fund, and
StocksPLUS Fund (series of the PIMCO Funds) at March 31, 1996, the
results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods indicated
and the financial position of the Total Return Fund II and Money
Market Fund (series of the PIMCO Funds, previously known as PIMCO
Managed Bond and Income Fund and Money Market Fund, formerly series of
the PIMCO Advisors Institutional Funds) at March 31, 1996, the results
of each of their operations, the changes in each of their net assets,
and the financial highlights for the period from November 1, 1995
through March 31, 1996, in conformity with generally accepted
accounting principles. These financial statements and the financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe
that our audits, which included confirmation of portfolio positions at
March 31, 1996 by correspondence with the custodian and brokers and
the application of alternative auditing procedures where confirmations
from brokers were not received, provide a reasonable basis for the
opinion expressed above. The financial statements of the Total Return
Fund II and the Money Market Fund for periods prior to November 1,
1995 were audited by other independent accountants whose report dated
December 15, 1995 expressed an unqualified opinion on those
statements.
PRICE WATERHOUSE LLP
Kansas City, Missouri
May 10, 1996
80
<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 $76 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
$97 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."
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 G. 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, Missouri 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.
